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fix MKL interface with LLT::rankUpdate
This commit is contained in:
Gael Guennebaud
parent
309b27b545
commit
fc85f91df0
@ -184,7 +184,7 @@ template<typename _MatrixType, int _UpLo> class LLT
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inline Index cols() const { return m_matrix.cols(); }
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template<typename VectorType>
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LLT& rankUpdate(const VectorType& vec, const RealScalar& sigma = 1);
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LLT rankUpdate(const VectorType& vec, const RealScalar& sigma = 1);
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protected:
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/** \internal
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@ -200,6 +200,76 @@ namespace internal {
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template<typename Scalar, int UpLo> struct llt_inplace;
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template<typename MatrixType, typename VectorType>
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static typename MatrixType::Index llt_rank_update_lower(MatrixType& mat, const VectorType& vec, const typename MatrixType::RealScalar& sigma)
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{
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typedef typename MatrixType::Scalar Scalar;
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typedef typename MatrixType::RealScalar RealScalar;
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typedef typename MatrixType::Index Index;
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typedef typename MatrixType::ColXpr ColXpr;
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typedef typename internal::remove_all<ColXpr>::type ColXprCleaned;
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typedef typename ColXprCleaned::SegmentReturnType ColXprSegment;
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typedef Matrix<Scalar,Dynamic,1> TempVectorType;
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typedef typename TempVectorType::SegmentReturnType TempVecSegment;
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int n = mat.cols();
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eigen_assert(mat.rows()==n && vec.size()==n);
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TempVectorType temp;
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if(sigma>0)
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{
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// This version is based on Givens rotations.
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// It is faster than the other one below, but only works for updates,
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// i.e., for sigma > 0
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temp = sqrt(sigma) * vec;
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for(int i=0; i<n; ++i)
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{
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JacobiRotation<Scalar> g;
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g.makeGivens(mat(i,i), -temp(i), &mat(i,i));
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int rs = n-i-1;
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if(rs>0)
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{
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ColXprSegment x(mat.col(i).tail(rs));
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TempVecSegment y(temp.tail(rs));
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apply_rotation_in_the_plane(x, y, g);
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}
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}
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}
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else
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{
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temp = vec;
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RealScalar beta = 1;
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for(int j=0; j<n; ++j)
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{
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RealScalar Ljj = real(mat.coeff(j,j));
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RealScalar dj = abs2(Ljj);
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Scalar wj = temp.coeff(j);
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RealScalar swj2 = sigma*abs2(wj);
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RealScalar gamma = dj*beta + swj2;
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RealScalar x = dj + swj2/beta;
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if (x<=RealScalar(0))
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return j;
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RealScalar nLjj = sqrt(x);
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mat.coeffRef(j,j) = nLjj;
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beta += swj2/dj;
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// Update the terms of L
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Index rs = n-j-1;
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if(rs)
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{
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temp.tail(rs) -= (wj/Ljj) * mat.col(j).tail(rs);
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if(gamma != 0)
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mat.col(j).tail(rs) = (nLjj/Ljj) * mat.col(j).tail(rs) + (nLjj * sigma*conj(wj)/gamma)*temp.tail(rs);
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}
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}
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}
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return -1;
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}
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template<typename Scalar> struct llt_inplace<Scalar, Lower>
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{
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typedef typename NumTraits<Scalar>::Real RealScalar;
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@ -265,72 +335,10 @@ template<typename Scalar> struct llt_inplace<Scalar, Lower>
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template<typename MatrixType, typename VectorType>
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static typename MatrixType::Index rankUpdate(MatrixType& mat, const VectorType& vec, const RealScalar& sigma)
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{
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typedef typename MatrixType::Index Index;
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typedef typename MatrixType::ColXpr ColXpr;
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typedef typename internal::remove_all<ColXpr>::type ColXprCleaned;
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typedef typename ColXprCleaned::SegmentReturnType ColXprSegment;
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typedef Matrix<Scalar,Dynamic,1> TempVectorType;
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typedef typename TempVectorType::SegmentReturnType TempVecSegment;
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int n = mat.cols();
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eigen_assert(mat.rows()==n && vec.size()==n);
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TempVectorType temp;
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if(sigma>0)
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{
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// This version is based on Givens rotations.
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// It is faster than the other one below, but only works for updates,
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// i.e., for sigma > 0
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temp = sqrt(sigma) * vec;
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for(int i=0; i<n; ++i)
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{
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JacobiRotation<Scalar> g;
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g.makeGivens(mat(i,i), -temp(i), &mat(i,i));
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int rs = n-i-1;
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if(rs>0)
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{
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ColXprSegment x(mat.col(i).tail(rs));
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TempVecSegment y(temp.tail(rs));
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apply_rotation_in_the_plane(x, y, g);
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}
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}
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}
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else
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{
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temp = vec;
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RealScalar beta = 1;
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for(int j=0; j<n; ++j)
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{
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RealScalar Ljj = real(mat.coeff(j,j));
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RealScalar dj = abs2(Ljj);
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Scalar wj = temp.coeff(j);
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RealScalar swj2 = sigma*abs2(wj);
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RealScalar gamma = dj*beta + swj2;
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RealScalar x = dj + swj2/beta;
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if (x<=RealScalar(0))
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return j;
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RealScalar nLjj = sqrt(x);
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mat.coeffRef(j,j) = nLjj;
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beta += swj2/dj;
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// Update the terms of L
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Index rs = n-j-1;
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if(rs)
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{
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temp.tail(rs) -= (wj/Ljj) * mat.col(j).tail(rs);
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if(gamma != 0)
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mat.col(j).tail(rs) = (nLjj/Ljj) * mat.col(j).tail(rs) + (nLjj * sigma*conj(wj)/gamma)*temp.tail(rs);
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}
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}
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}
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return -1;
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return llt_rank_update_lower(mat, vec, sigma);
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}
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};
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template<typename Scalar> struct llt_inplace<Scalar, Upper>
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{
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typedef typename NumTraits<Scalar>::Real RealScalar;
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@ -404,9 +412,9 @@ LLT<MatrixType,_UpLo>& LLT<MatrixType,_UpLo>::compute(const MatrixType& a)
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* then after it we have LL^* = A + sigma * v v^* where \a v must be a vector
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* of same dimension.
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*/
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template<typename MatrixType, int _UpLo>
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template<typename _MatrixType, int _UpLo>
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template<typename VectorType>
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LLT<MatrixType,_UpLo>& LLT<MatrixType,_UpLo>::rankUpdate(const VectorType& v, const RealScalar& sigma)
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LLT<_MatrixType,_UpLo> LLT<_MatrixType,_UpLo>::rankUpdate(const VectorType& v, const RealScalar& sigma)
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{
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EIGEN_STATIC_ASSERT_VECTOR_ONLY(VectorType);
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eigen_assert(v.size()==m_matrix.cols());
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@ -50,7 +50,7 @@ template<> struct mkl_llt<EIGTYPE> \
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lapack_int size, lda, info, StorageOrder; \
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EIGTYPE* a; \
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eigen_assert(m.rows()==m.cols()); \
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/* Set up parameters for ?potrf */ \
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/* Set up parameters for ?potrf */ \
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size = m.rows(); \
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StorageOrder = MatrixType::Flags&RowMajorBit?RowMajor:ColMajor; \
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matrix_order = StorageOrder==RowMajor ? LAPACK_ROW_MAJOR : LAPACK_COL_MAJOR; \
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@ -70,33 +70,8 @@ template<> struct llt_inplace<EIGTYPE, Lower> \
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return mkl_llt<EIGTYPE>::potrf(m, 'L'); \
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} \
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template<typename MatrixType, typename VectorType> \
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static void rankUpdate(MatrixType& mat, const VectorType& vec) \
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{ \
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typedef typename MatrixType::ColXpr ColXpr; \
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typedef typename internal::remove_all<ColXpr>::type ColXprCleaned; \
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typedef typename ColXprCleaned::SegmentReturnType ColXprSegment; \
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typedef typename MatrixType::Scalar Scalar; \
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typedef Matrix<Scalar,Dynamic,1> TempVectorType; \
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typedef typename TempVectorType::SegmentReturnType TempVecSegment; \
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\
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int n = mat.cols(); \
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eigen_assert(mat.rows()==n && vec.size()==n); \
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TempVectorType temp(vec); \
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\
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for(int i=0; i<n; ++i) \
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{ \
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JacobiRotation<Scalar> g; \
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g.makeGivens(mat(i,i), -temp(i), &mat(i,i)); \
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\
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int rs = n-i-1; \
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if(rs>0) \
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{ \
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ColXprSegment x(mat.col(i).tail(rs)); \
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TempVecSegment y(temp.tail(rs)); \
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apply_rotation_in_the_plane(x, y, g); \
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} \
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} \
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} \
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static typename MatrixType::Index rankUpdate(MatrixType& mat, const VectorType& vec, const typename MatrixType::RealScalar& sigma) \
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{ return llt_rank_update_lower(mat, vec, sigma); } \
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}; \
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template<> struct llt_inplace<EIGTYPE, Upper> \
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{ \
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@ -106,10 +81,10 @@ template<> struct llt_inplace<EIGTYPE, Upper> \
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return mkl_llt<EIGTYPE>::potrf(m, 'U'); \
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} \
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template<typename MatrixType, typename VectorType> \
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static void rankUpdate(MatrixType& mat, const VectorType& vec) \
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static typename MatrixType::Index rankUpdate(MatrixType& mat, const VectorType& vec, const typename MatrixType::RealScalar& sigma) \
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{ \
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Transpose<MatrixType> matt(mat); \
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return llt_inplace<EIGTYPE, Lower>::rankUpdate(matt, vec.conjugate()); \
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return llt_inplace<EIGTYPE, Lower>::rankUpdate(matt, vec.conjugate(), sigma); \
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} \
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};
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