eigen/test/sparse_solver.h

// This file is part of Eigen, a lightweight C++ template library
// for linear algebra.
//
// Copyright (C) 2011 Gael Guennebaud <g.gael@free.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/>.

#include "sparse.h"
#include <Eigen/SparseCore>

template<typename Solver, typename Rhs, typename DenseMat, typename DenseRhs>
void check_sparse_solving(Solver& solver, const typename Solver::MatrixType& A, const Rhs& b, const DenseMat& dA, const DenseRhs& db)
{
  typedef typename Solver::MatrixType Mat;
  typedef typename Mat::Scalar Scalar;

  DenseRhs refX = dA.lu().solve(db);

  Rhs x(b.rows(), b.cols());
  Rhs oldb = b;

  solver.compute(A);
  if (solver.info() != Success)
  {
    std::cerr << "sparse solver testing: factorization failed (check_sparse_solving)\n";
    exit(0);
    return;
  }
  x = solver.solve(b);
  if (solver.info() != Success)
  {
    std::cerr << "sparse solver testing: solving failed\n";
    return;
  }
  VERIFY(oldb.isApprox(b) && "sparse solver testing: the rhs should not be modified!");

  VERIFY(x.isApprox(refX,test_precision<Scalar>()));
  
  x.setZero();
  // test the analyze/factorize API
  solver.analyzePattern(A);
  solver.factorize(A);
  if (solver.info() != Success)
  {
    std::cerr << "sparse solver testing: factorization failed (check_sparse_solving)\n";
    exit(0);
    return;
  }
  x = solver.solve(b);
  if (solver.info() != Success)
  {
    std::cerr << "sparse solver testing: solving failed\n";
    return;
  }
  VERIFY(oldb.isApprox(b) && "sparse solver testing: the rhs should not be modified!");

  VERIFY(x.isApprox(refX,test_precision<Scalar>()));
}

template<typename Solver, typename Rhs>
void check_sparse_solving_real_cases(Solver& solver, const typename Solver::MatrixType& A, const Rhs& b, const Rhs& refX)
{
  typedef typename Solver::MatrixType Mat;
  typedef typename Mat::Scalar Scalar;
  typedef typename Mat::RealScalar RealScalar;
  
  Rhs x(b.rows(), b.cols());
  
  solver.compute(A);
  if (solver.info() != Success)
  {
    std::cerr << "sparse solver testing: factorization failed (check_sparse_solving_real_cases)\n";
    exit(0);
    return;
  }
  x = solver.solve(b);
  if (solver.info() != Success)
  {
    std::cerr << "sparse solver testing: solving failed\n";
    return;
  }
  
  RealScalar res_error;
  // Compute the norm of the relative error
  if(refX.size() != 0)
    res_error = (refX - x).norm()/refX.norm();
  else
  { 
    // Compute the relative residual norm
    res_error = (b - A * x).norm()/b.norm();
  }
  if (res_error > test_precision<Scalar>() ){
    std::cerr << "Test " << g_test_stack.back() << " failed in "EI_PP_MAKE_STRING(__FILE__) 
    << " (" << EI_PP_MAKE_STRING(__LINE__) << ")" << std::endl << std::endl;
    abort();
  }
  
}
template<typename Solver, typename DenseMat>
void check_sparse_determinant(Solver& solver, const typename Solver::MatrixType& A, const DenseMat& dA)
{
  typedef typename Solver::MatrixType Mat;
  typedef typename Mat::Scalar Scalar;
  typedef typename Mat::RealScalar RealScalar;
  
  solver.compute(A);
  if (solver.info() != Success)
  {
    std::cerr << "sparse solver testing: factorization failed (check_sparse_determinant)\n";
    return;
  }

  Scalar refDet = dA.determinant();
  VERIFY_IS_APPROX(refDet,solver.determinant());
}


template<typename Solver, typename DenseMat>
int generate_sparse_spd_problem(Solver& , typename Solver::MatrixType& A, typename Solver::MatrixType& halfA, DenseMat& dA, int maxSize = 300)
{
  typedef typename Solver::MatrixType Mat;
  typedef typename Mat::Scalar Scalar;
  typedef Matrix<Scalar,Dynamic,Dynamic> DenseMatrix;

  int size = internal::random<int>(1,maxSize);
  double density = (std::max)(8./(size*size), 0.01);

  Mat M(size, size);
  DenseMatrix dM(size, size);

  initSparse<Scalar>(density, dM, M, ForceNonZeroDiag);

  A = M * M.adjoint();
  dA = dM * dM.adjoint();
  
  halfA.resize(size,size);
  halfA.template selfadjointView<Solver::UpLo>().rankUpdate(M);
  
  return size;
}


#ifdef TEST_REAL_CASES
template<typename Scalar>
inline std::string get_matrixfolder()
{
  std::string mat_folder = TEST_REAL_CASES; 
  if( internal::is_same<Scalar, std::complex<float> >::value || internal::is_same<Scalar, std::complex<double> >::value )
    mat_folder  = mat_folder + static_cast<string>("/complex/");
  else
    mat_folder = mat_folder + static_cast<string>("/real/");
  return mat_folder;
}
#endif

template<typename Solver> void check_sparse_spd_solving(Solver& solver)
{
  typedef typename Solver::MatrixType Mat;
  typedef typename Mat::Scalar Scalar;
  typedef typename Mat::Index Index; 
  typedef SparseMatrix<Scalar,ColMajor> SpMat;
  typedef Matrix<Scalar,Dynamic,Dynamic> DenseMatrix;
  typedef Matrix<Scalar,Dynamic,1> DenseVector;

  // generate the problem
  Mat A, halfA;
  DenseMatrix dA;
  int size = generate_sparse_spd_problem(solver, A, halfA, dA);

  // generate the right hand sides
  int rhsCols = internal::random<int>(1,16);
  double density = (std::max)(8./(size*rhsCols), 0.1);
  SpMat B(size,rhsCols);
  DenseVector b = DenseVector::Random(size);
  DenseMatrix dB(size,rhsCols);
  initSparse<Scalar>(density, dB, B);
  
  for (int i = 0; i < g_repeat; i++) {
    check_sparse_solving(solver, A,     b,  dA, b);
    check_sparse_solving(solver, halfA, b,  dA, b);
    check_sparse_solving(solver, A,     dB, dA, dB);
    check_sparse_solving(solver, halfA, dB, dA, dB);
    check_sparse_solving(solver, A,     B,  dA, dB);
    check_sparse_solving(solver, halfA, B,  dA, dB);
  }

  // First, get the folder 
#ifdef TEST_REAL_CASES  
  if (internal::is_same<Scalar, float>::value 
      || internal::is_same<Scalar, std::complex<float> >::value)
    return ;
  
  std::string mat_folder = get_matrixfolder<Scalar>();
  MatrixMarketIterator<Scalar> it(mat_folder);
  for (; it; ++it)
  {
    if (it.sym() == SPD){
      Mat halfA;
      PermutationMatrix<Dynamic, Dynamic, Index> pnull;
      halfA.template selfadjointView<Solver::UpLo>() = it.matrix().template triangularView<Eigen::Lower>().twistedBy(pnull);
      
      std::cout<< " ==== SOLVING WITH MATRIX " << it.matname() << " ==== \n";
      check_sparse_solving_real_cases(solver, it.matrix(), it.rhs(), it.refX());
      check_sparse_solving_real_cases(solver, halfA, it.rhs(), it.refX());
    }
  }
#endif
}

template<typename Solver> void check_sparse_spd_determinant(Solver& solver)
{
  typedef typename Solver::MatrixType Mat;
  typedef typename Mat::Scalar Scalar;
  typedef Matrix<Scalar,Dynamic,Dynamic> DenseMatrix;

  // generate the problem
  Mat A, halfA;
  DenseMatrix dA;
  generate_sparse_spd_problem(solver, A, halfA, dA, 30);
  
  for (int i = 0; i < g_repeat; i++) {
    check_sparse_determinant(solver, A,     dA);
    check_sparse_determinant(solver, halfA, dA );
  }
}

template<typename Solver, typename DenseMat>
int generate_sparse_square_problem(Solver&, typename Solver::MatrixType& A, DenseMat& dA, int maxSize = 300)
{
  typedef typename Solver::MatrixType Mat;
  typedef typename Mat::Scalar Scalar;
  typedef Matrix<Scalar,Dynamic,Dynamic> DenseMatrix;

  int size = internal::random<int>(1,maxSize);
  double density = (std::max)(8./(size*size), 0.01);
  
  A.resize(size,size);
  dA.resize(size,size);

  initSparse<Scalar>(density, dA, A, ForceNonZeroDiag);
  
  return size;
}

template<typename Solver> void check_sparse_square_solving(Solver& solver)
{
  typedef typename Solver::MatrixType Mat;
  typedef typename Mat::Scalar Scalar;
  typedef Matrix<Scalar,Dynamic,Dynamic> DenseMatrix;
  typedef Matrix<Scalar,Dynamic,1> DenseVector;

  int rhsCols = internal::random<int>(1,16);

  Mat A;
  DenseMatrix dA;
  int size = generate_sparse_square_problem(solver, A, dA);

  DenseVector b = DenseVector::Random(size);
  DenseMatrix dB = DenseMatrix::Random(size,rhsCols);
  A.makeCompressed();
  for (int i = 0; i < g_repeat; i++) {
    check_sparse_solving(solver, A, b,  dA, b);
    check_sparse_solving(solver, A, dB, dA, dB);
  }
   
  // First, get the folder 
#ifdef TEST_REAL_CASES
  if (internal::is_same<Scalar, float>::value 
      || internal::is_same<Scalar, std::complex<float> >::value)
    return ;
  
  std::string mat_folder = get_matrixfolder<Scalar>();
  MatrixMarketIterator<Scalar> it(mat_folder);
  for (; it; ++it)
  {
    std::cout<< " ==== SOLVING WITH MATRIX " << it.matname() << " ==== \n";
    check_sparse_solving_real_cases(solver, it.matrix(), it.rhs(), it.refX());
  }
#endif

}

template<typename Solver> void check_sparse_square_determinant(Solver& solver)
{
  typedef typename Solver::MatrixType Mat;
  typedef typename Mat::Scalar Scalar;
  typedef Matrix<Scalar,Dynamic,Dynamic> DenseMatrix;

  // generate the problem
  Mat A;
  DenseMatrix dA;
  generate_sparse_square_problem(solver, A, dA, 30);
  A.makeCompressed();
  for (int i = 0; i < g_repeat; i++) {
    check_sparse_determinant(solver, A, dA);
  }
}