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SPQR: fix default threshold value

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This commit is contained in:
Gael Guennebaud 2015-02-03 22:32:34 +01:00
parent 5ef95fabee
commit ebdf6a2dbb
1 changed files with 40 additions and 11 deletions
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49
Eigen/src/SPQRSupport/SuiteSparseQRSupport.h
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@ -68,13 +68,13 @@ class SPQR : public SparseSolverBase<SPQR<_MatrixType> >
typedef Map<PermutationMatrix<Dynamic, Dynamic, Index> > PermutationType; typedef Map<PermutationMatrix<Dynamic, Dynamic, Index> > PermutationType;
public: public:
SPQR() SPQR()
: m_ordering(SPQR_ORDERING_DEFAULT), m_allow_tol(SPQR_DEFAULT_TOL), m_tolerance (NumTraits<Scalar>::epsilon()) : m_ordering(SPQR_ORDERING_DEFAULT), m_allow_tol(SPQR_DEFAULT_TOL), m_tolerance (NumTraits<Scalar>::epsilon()), m_useDefaultThreshold(true)
{ {
cholmod_l_start(&m_cc); cholmod_l_start(&m_cc);
} }
explicit SPQR(const _MatrixType& matrix) explicit SPQR(const _MatrixType& matrix)
: m_ordering(SPQR_ORDERING_DEFAULT), m_allow_tol(SPQR_DEFAULT_TOL), m_tolerance (NumTraits<Scalar>::epsilon()) : m_ordering(SPQR_ORDERING_DEFAULT), m_allow_tol(SPQR_DEFAULT_TOL), m_tolerance (NumTraits<Scalar>::epsilon()), m_useDefaultThreshold(true)
{ {
cholmod_l_start(&m_cc); cholmod_l_start(&m_cc);
compute(matrix); compute(matrix);
@ -99,10 +99,25 @@ class SPQR : public SparseSolverBase<SPQR<_MatrixType> >
if(m_isInitialized) SPQR_free(); if(m_isInitialized) SPQR_free();
MatrixType mat(matrix); MatrixType mat(matrix);
/* Compute the default threshold as in MatLab, see:
* Tim Davis, "Algorithm 915, SuiteSparseQR: Multifrontal Multithreaded Rank-Revealing
* Sparse QR Factorization, ACM Trans. on Math. Soft. 38(1), 2011, Page 8:3
*/
RealScalar pivotThreshold = m_tolerance;
if(m_useDefaultThreshold)
{
RealScalar max2Norm = 0.0;
for (int j = 0; j < mat.cols(); j++) max2Norm = numext::maxi(max2Norm, mat.col(j).norm());
if(max2Norm==RealScalar(0))
max2Norm = RealScalar(1);
pivotThreshold = 20 * (mat.rows() + mat.cols()) * max2Norm * NumTraits<RealScalar>::epsilon();
}
cholmod_sparse A; cholmod_sparse A;
A = viewAsCholmod(mat); A = viewAsCholmod(mat);
Index col = matrix.cols(); Index col = matrix.cols();
m_rank = SuiteSparseQR<Scalar>(m_ordering, m_tolerance, col, &A, m_rank = SuiteSparseQR<Scalar>(m_ordering, pivotThreshold, col, &A,
&m_cR, &m_E, &m_H, &m_HPinv, &m_HTau, &m_cc); &m_cR, &m_E, &m_H, &m_HPinv, &m_HTau, &m_cc);
if (!m_cR) if (!m_cR)
@ -118,7 +133,7 @@ class SPQR : public SparseSolverBase<SPQR<_MatrixType> >
/** /**
* Get the number of rows of the input matrix and the Q matrix * Get the number of rows of the input matrix and the Q matrix
*/ */
inline Index rows() const {return m_H->nrow; } inline Index rows() const {return m_cR->nrow; }
/** /**
* Get the number of columns of the input matrix. * Get the number of columns of the input matrix.
@ -132,14 +147,23 @@ class SPQR : public SparseSolverBase<SPQR<_MatrixType> >
eigen_assert(b.cols()==1 && "This method is for vectors only"); eigen_assert(b.cols()==1 && "This method is for vectors only");
//Compute Q^T * b //Compute Q^T * b
typename Dest::PlainObject y; typename Dest::PlainObject y, y2;
y = matrixQ().transpose() * b; y = matrixQ().transpose() * b;
// Solves with the triangular matrix R
// Solves with the triangular matrix R
Index rk = this->rank(); Index rk = this->rank();
y.topRows(rk) = this->matrixR().topLeftCorner(rk, rk).template triangularView<Upper>().solve(y.topRows(rk)); y2 = y;
y.bottomRows(cols()-rk).setZero(); y.resize((std::max)(cols(),Index(y.rows())),y.cols());
y.topRows(rk) = this->matrixR().topLeftCorner(rk, rk).template triangularView<Upper>().solve(y2.topRows(rk));
// Apply the column permutation // Apply the column permutation
dest.topRows(cols()) = colsPermutation() * y.topRows(cols()); // colsPermutation() performs a copy of the permutation,
// so let's apply it manually:
for(Index i = 0; i < rk; ++i) dest.row(m_E[i]) = y.row(i);
for(Index i = rk; i < cols(); ++i) dest.row(m_E[i]).setZero();
// y.bottomRows(y.rows()-rk).setZero();
// dest = colsPermutation() * y.topRows(cols());
m_info = Success; m_info = Success;
} }
@ -178,7 +202,11 @@ class SPQR : public SparseSolverBase<SPQR<_MatrixType> >
/// Set the fill-reducing ordering method to be used /// Set the fill-reducing ordering method to be used
void setSPQROrdering(int ord) { m_ordering = ord;} void setSPQROrdering(int ord) { m_ordering = ord;}
/// Set the tolerance tol to treat columns with 2-norm < =tol as zero /// Set the tolerance tol to treat columns with 2-norm < =tol as zero
void setPivotThreshold(const RealScalar& tol) { m_tolerance = tol; } void setPivotThreshold(const RealScalar& tol)
{
m_useDefaultThreshold = false;
m_tolerance = tol;
}
/** \returns a pointer to the SPQR workspace */ /** \returns a pointer to the SPQR workspace */
cholmod_common *cholmodCommon() const { return &m_cc; } cholmod_common *cholmodCommon() const { return &m_cc; }
@ -210,6 +238,7 @@ class SPQR : public SparseSolverBase<SPQR<_MatrixType> >
mutable cholmod_dense *m_HTau; // The Householder coefficients mutable cholmod_dense *m_HTau; // The Householder coefficients
mutable Index m_rank; // The rank of the matrix mutable Index m_rank; // The rank of the matrix
mutable cholmod_common m_cc; // Workspace and parameters mutable cholmod_common m_cc; // Workspace and parameters
bool m_useDefaultThreshold; // Use default threshold
template<typename ,typename > friend struct SPQR_QProduct; template<typename ,typename > friend struct SPQR_QProduct;
}; };