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Diffstat (limited to 'Eigen/src/IterativeLinearSolvers/BasicPreconditioners.h')
-rw-r--r-- | Eigen/src/IterativeLinearSolvers/BasicPreconditioners.h | 139 |
1 files changed, 139 insertions, 0 deletions
diff --git a/Eigen/src/IterativeLinearSolvers/BasicPreconditioners.h b/Eigen/src/IterativeLinearSolvers/BasicPreconditioners.h new file mode 100644 index 000000000..d9edd1461 --- /dev/null +++ b/Eigen/src/IterativeLinearSolvers/BasicPreconditioners.h @@ -0,0 +1,139 @@ +// This file is part of Eigen, a lightweight C++ template library +// for linear algebra. +// +// Copyright (C) 2011 Gael Guennebaud <gael.guennebaud@inria.fr> +// +// Eigen is free software; you can redistribute it and/or +// modify it under the terms of the GNU Lesser General Public +// License as published by the Free Software Foundation; either +// version 3 of the License, or (at your option) any later version. +// +// Alternatively, you can redistribute it and/or +// modify it under the terms of the GNU General Public License as +// published by the Free Software Foundation; either version 2 of +// the License, or (at your option) any later version. +// +// Eigen is distributed in the hope that it will be useful, but WITHOUT ANY +// WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS +// FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License or the +// GNU General Public License for more details. +// +// You should have received a copy of the GNU Lesser General Public +// License and a copy of the GNU General Public License along with +// Eigen. If not, see <http://www.gnu.org/licenses/>. + +#ifndef EIGEN_BASIC_PRECONDITIONERS_H +#define EIGEN_BASIC_PRECONDITIONERS_H + +/** \brief A preconditioner based on the digonal entries + * + * This class allows to approximately solve for A.x = b problems assuming A is a diagonal matrix. + * In other words, this preconditioner neglects all off diagonal entries and, in Eigen's language, solves for: + * \code + * A.diagonal().asDiagonal() . x = b + * \endcode + * + * \tparam _Scalar the type of the scalar. + * + * This preconditioner is suitable for both selfadjoint and general problems. + * The diagonal entries are pre-inverted and stored into a dense vector. + * + * \note A variant that has yet to be implemented would attempt to preserve the norm of each column. + * + */ +template <typename _Scalar> +class DiagonalPreconditioner +{ + typedef _Scalar Scalar; + typedef Matrix<Scalar,Dynamic,1> Vector; + typedef typename Vector::Index Index; + + public: + typedef Matrix<Scalar,Dynamic,Dynamic> MatrixType; + + DiagonalPreconditioner() : m_isInitialized(false) {} + + template<typename MatrixType> + DiagonalPreconditioner(const MatrixType& mat) : m_invdiag(mat.cols()) + { + compute(mat); + } + + Index rows() const { return m_invdiag.size(); } + Index cols() const { return m_invdiag.size(); } + + template<typename MatrixType> + DiagonalPreconditioner& compute(const MatrixType& mat) + { + m_invdiag.resize(mat.cols()); + for(int j=0; j<mat.outerSize(); ++j) + { + typename MatrixType::InnerIterator it(mat,j); + while(it && it.index()!=j) ++it; + if(it && it.index()==j) + m_invdiag(j) = Scalar(1)/it.value(); + else + m_invdiag(j) = 0; + } + m_isInitialized = true; + return *this; + } + + template<typename Rhs, typename Dest> + void _solve(const Rhs& b, Dest& x) const + { + x = m_invdiag.array() * b.array() ; + } + + template<typename Rhs> inline const internal::solve_retval<DiagonalPreconditioner, Rhs> + solve(const MatrixBase<Rhs>& b) const + { + eigen_assert(m_isInitialized && "DiagonalPreconditioner is not initialized."); + eigen_assert(m_invdiag.size()==b.rows() + && "DiagonalPreconditioner::solve(): invalid number of rows of the right hand side matrix b"); + return internal::solve_retval<DiagonalPreconditioner, Rhs>(*this, b.derived()); + } + + protected: + Vector m_invdiag; + bool m_isInitialized; +}; + +namespace internal { + +template<typename _MatrixType, typename Rhs> +struct solve_retval<DiagonalPreconditioner<_MatrixType>, Rhs> + : solve_retval_base<DiagonalPreconditioner<_MatrixType>, Rhs> +{ + typedef DiagonalPreconditioner<_MatrixType> Dec; + EIGEN_MAKE_SOLVE_HELPERS(Dec,Rhs) + + template<typename Dest> void evalTo(Dest& dst) const + { + dec()._solve(rhs(),dst); + } +}; + +} + +/** \brief A naive preconditioner which approximates any matrix as the identity matrix + * + * \sa class DiagonalPreconditioner + */ +class IdentityPreconditioner +{ + public: + + IdentityPreconditioner() {} + + template<typename MatrixType> + IdentityPreconditioner(const MatrixType& ) {} + + template<typename MatrixType> + IdentityPreconditioner& compute(const MatrixType& ) { return *this; } + + template<typename Rhs> + inline const Rhs& solve(const Rhs& b) const { return b; } +}; + +#endif // EIGEN_BASIC_PRECONDITIONERS_H |