// This file is part of Eigen, a lightweight C++ template library // for linear algebra. // // Copyright (C) 2015-2016 Gael Guennebaud <gael.guennebaud@inria.fr> // // This Source Code Form is subject to the terms of the Mozilla // Public License v. 2.0. If a copy of the MPL was not distributed // with this file, You can obtain one at http://mozilla.org/MPL/2.0/. // #define EIGEN_DONT_VECTORIZE // #define EIGEN_MAX_ALIGN_BYTES 0 #include "sparse_solver.h" #include <Eigen/IterativeLinearSolvers> template <typename T, typename I_> void test_incomplete_cholesky_T() { typedef SparseMatrix<T, 0, I_> SparseMatrixType; ConjugateGradient<SparseMatrixType, Lower, IncompleteCholesky<T, Lower, AMDOrdering<I_> > > cg_illt_lower_amd; ConjugateGradient<SparseMatrixType, Lower, IncompleteCholesky<T, Lower, NaturalOrdering<I_> > > cg_illt_lower_nat; ConjugateGradient<SparseMatrixType, Upper, IncompleteCholesky<T, Upper, AMDOrdering<I_> > > cg_illt_upper_amd; ConjugateGradient<SparseMatrixType, Upper, IncompleteCholesky<T, Upper, NaturalOrdering<I_> > > cg_illt_upper_nat; ConjugateGradient<SparseMatrixType, Upper | Lower, IncompleteCholesky<T, Lower, AMDOrdering<I_> > > cg_illt_uplo_amd; CALL_SUBTEST(check_sparse_spd_solving(cg_illt_lower_amd)); CALL_SUBTEST(check_sparse_spd_solving(cg_illt_lower_nat)); CALL_SUBTEST(check_sparse_spd_solving(cg_illt_upper_amd)); CALL_SUBTEST(check_sparse_spd_solving(cg_illt_upper_nat)); CALL_SUBTEST(check_sparse_spd_solving(cg_illt_uplo_amd)); } template <int> void bug1150() { // regression for bug 1150 for (int N = 1; N < 20; ++N) { Eigen::MatrixXd b(N, N); b.setOnes(); Eigen::SparseMatrix<double> m(N, N); m.reserve(Eigen::VectorXi::Constant(N, 4)); for (int i = 0; i < N; ++i) { m.insert(i, i) = 1; m.coeffRef(i, i / 2) = 2; m.coeffRef(i, i / 3) = 2; m.coeffRef(i, i / 4) = 2; } Eigen::SparseMatrix<double> A; A = m * m.transpose(); Eigen::ConjugateGradient<Eigen::SparseMatrix<double>, Eigen::Lower | Eigen::Upper, Eigen::IncompleteCholesky<double> > solver(A); VERIFY(solver.preconditioner().info() == Eigen::Success); VERIFY(solver.info() == Eigen::Success); } } void test_non_spd() { Eigen::SparseMatrix<double> A(2, 2); A.insert(0, 0) = 0; A.insert(1, 1) = 3; Eigen::IncompleteCholesky<double> solver(A); // Recover original matrix. Eigen::MatrixXd M = solver.permutationP().transpose() * (solver.scalingS().asDiagonal().inverse() * (solver.matrixL() * solver.matrixL().transpose() - solver.shift() * Eigen::MatrixXd::Identity(A.rows(), A.cols())) * solver.scalingS().asDiagonal().inverse()) * solver.permutationP(); VERIFY_IS_APPROX(A.toDense(), M); } EIGEN_DECLARE_TEST(incomplete_cholesky) { CALL_SUBTEST_1((test_incomplete_cholesky_T<double, int>())); CALL_SUBTEST_2((test_incomplete_cholesky_T<std::complex<double>, int>())); CALL_SUBTEST_3((test_incomplete_cholesky_T<double, long int>())); CALL_SUBTEST_4((bug1150<0>())); CALL_SUBTEST_4(test_non_spd()); }