// -*- c++ -*-
//
// $COPYRIGHT$
//
//===========================================================================
#ifndef MTL_LU_H
#define MTL_LU_H
#include "mtl/matrix.h"
#include "mtl/mtl.h"
/* Note, the calls to copy() for row and column are
because I can't use row and column directly in the rank_one_update
due to their indexing being in terms of A, not subA
I need to create some way to do this in constant time :)
*/
namespace mtl {
//: LU Factorization of a general (dense) matrix
//
// This is the outer product (a level-2 operation) form of the LU
// Factorization with pivoting algorithm . This is equivalent to
// LAPACK's dgetf2. Also see "Matrix Computations" 3rd Ed. by Golub
// and Van Loan section 3.2.5 and especially page 115.
//
// The pivot indices in ipvt are indexed starting from 1
// so that this is compatible with LAPACK (Fortran).
//
//!tparam: DenseMatrix - A dense MTL Matrix
//!tparam: Pvector - A Vector with integral element type
//!category: algorithms
//!component: function
//!example: lu_factorization.cc
template
int
lu_factor(DenseMatrix& A, Pvector& ipvt)
{
typedef typename rows_type::type RowMatrix;
typedef typename columns_type::type ColumnMatrix;
typedef typename triangle_view::type Lower;
typedef typename triangle_view::type Unit_Upper;
typedef typename triangle_view::type Unit_Lower;
typedef typename DenseMatrix::value_type T;
typedef typename DenseMatrix::size_type sizet;
int info = 0;
sizet j, jp, M = A.nrows(), N = A.ncols();
Lower D(columns(A));
Unit_Upper U(rows(A));
Unit_Lower L(columns(A));
dense1D c(M), r(N);
typename DenseMatrix::submatrix_type subA;
typename Lower::iterator dcoli = D.begin();
typename Unit_Upper::iterator rowi = U.begin();
typename Unit_Lower::iterator columni = L.begin();
for (j = 0; j < MTL_MIN(M - 1, N - 1); ++j, ++dcoli, ++rowi, ++columni) {
jp = max_abs_index(*dcoli); /* find pivot */
ipvt[j] = jp + 1;
if ( A(jp, j) != T(0) ) { /* make sure pivot isn't zero */
if (jp != j)
swap(rows(A)[j], rows(A)[jp]); /* swap the rows */
if (j < M - 1)
scale(*columni, T(1) / A(j,j)); /* update column under the pivot */
} else {
info = j + 1;
break;
}
if (j < MTL_MIN(M - 1, N - 1)) {
subA = A.sub_matrix(j+1, M, j+1, N);
/* TODO: Better to have an adaptor here -- A.L. */
copy(*columni, c); copy(*rowi, r); /* translate to submatrix coords */
rank_one_update(subA, scaled(c, T(-1)), r); /* update the submatrix */
}
}
ipvt[j] = j + 1;
return info;
}
/* For backward compatibility */
template
inline int
lu_factorize(DenseMatrix& A, Pvector& ipvt)
{
return lu_factor(A, ipvt);
}
//: LU Solve
//
// Solve equation Ax=b, given an LU factored matrix.
//
// Usage:
//
// typedef matrix,
// dense<>, row_major>::type Matrix;
// Matrix LU(A.nrows(), A.ncols());
// dense1D pvector(A.nrows());
//
// copy(A, LU);
// lu_factor(LU, pvector);
//
// // call lu_solve with as many times for the same A as you want
// lu_solve(LU, pvector, b, x);
//
//
// Thanks to Valient Gough for this routine!
//
//!tparam: DenseMatrix - A dense MTL Matrix which resulted from calling lu_factor
//!tparam: Pvector - A Vector with integral element type, the ipvt vector from lu_factor
//!category: algorithms
//!component: function
//!example: lu_solve.cc
template
void
lu_solve(const DenseMatrix &LU, const Pvector& pvector,
const VectorB &b, VectorX &x)
{
typedef typename Pvector::size_type p_int;
copy(b, x);
/* use the permutation vector to modify the starting vector
* to account for the permutations in LU
*/
for(p_int i=0; i < pvector.size(); i++) {
p_int perm = pvector[i]-1; // permutations stored in 1's offset
if(i != perm)
std::swap(x[i], x[perm]);
}
/* solve Ax = b -> LUx = b -> Ux = L^-1 b
* which we solve in two steps
* 1) y = L^-1 b
* 2) x = U^-1 y
*/
typename triangle_view::type L(LU);
typename triangle_view::type U(LU);
tri_solve(L, x);
tri_solve(U, x);
}
//: LU Inverse
//
// Given an LU factored matrix, construct the inverse of the matrix.
//
// Thanks to Valient Gough for this routine!
//
//!tparam: DenseMatrixLU - A dense MTL Matrix which resulted from calling lu_factor
//!tparam: DenseMatrix = The dense Matrix type used to store the inverse
//!tparam: Pvector - A Vector with integral element type, the ipvt vector from lu_factor
//!category: algorithms
//!component: function
template
void
lu_inverse(const DenseMatrixLU& LU, const Pvector& pvector, DenseMatrix& AInv)
{
typedef typename matrix_traits::value_type T;
typedef typename Pvector::size_type p_int;
dense1D tmp(pvector.size());
dense1D result(pvector.size());
mtl::set(tmp, 0.0);
for(p_int i = 0; i < pvector.size(); i++) {
tmp[i] = 1.0;
lu_solve(LU, pvector, tmp, result);
copy(result, columns(AInv)[i]);
tmp[i] = 0.0;
}
}
} /* namespace mtl */
#endif