eigen/bench/dense_solvers.cpp

#include <iostream>
#include "BenchTimer.h"
#include <Eigen/Dense>
#include <map>
#include <vector>
#include <string>
#include <sstream>
using namespace Eigen;

std::map<std::string,Array<float,1,8,DontAlign|RowMajor> > results;
std::vector<std::string> labels;
std::vector<Array2i> sizes;

template<typename Solver,typename MatrixType>
EIGEN_DONT_INLINE
void compute_norm_equation(Solver &solver, const MatrixType &A) {
  if(A.rows()!=A.cols())
    solver.compute(A.transpose()*A);
  else
    solver.compute(A);
}

template<typename Solver,typename MatrixType>
EIGEN_DONT_INLINE
void compute(Solver &solver, const MatrixType &A) {
  solver.compute(A);
}

template<typename Scalar,int Size>
void bench(int id, int rows, int size = Size)
{
  typedef Matrix<Scalar,Dynamic,Size> Mat;
  typedef Matrix<Scalar,Dynamic,Dynamic> MatDyn;
  typedef Matrix<Scalar,Size,Size> MatSquare;
  Mat A(rows,size);
  A.setRandom();
  if(rows==size)
    A = A*A.adjoint();
  BenchTimer t_llt, t_ldlt, t_lu, t_fplu, t_qr, t_cpqr, t_cod, t_fpqr, t_jsvd, t_bdcsvd;

  int svd_opt = ComputeThinU|ComputeThinV;
  
  int tries = 5;
  int rep = 1000/size;
  if(rep==0) rep = 1;
//   rep = rep*rep;
  
  LLT<MatSquare> llt(size);
  LDLT<MatSquare> ldlt(size);
  PartialPivLU<MatSquare> lu(size);
  FullPivLU<MatSquare> fplu(size,size);
  HouseholderQR<Mat> qr(A.rows(),A.cols());
  ColPivHouseholderQR<Mat> cpqr(A.rows(),A.cols());
  CompleteOrthogonalDecomposition<Mat> cod(A.rows(),A.cols());
  FullPivHouseholderQR<Mat> fpqr(A.rows(),A.cols());
  JacobiSVD<MatDyn> jsvd(A.rows(),A.cols());
  BDCSVD<MatDyn> bdcsvd(A.rows(),A.cols());
  
  BENCH(t_llt, tries, rep, compute_norm_equation(llt,A));
  BENCH(t_ldlt, tries, rep, compute_norm_equation(ldlt,A));
  BENCH(t_lu, tries, rep, compute_norm_equation(lu,A));
  if(size<=1000)
    BENCH(t_fplu, tries, rep, compute_norm_equation(fplu,A));
  BENCH(t_qr, tries, rep, compute(qr,A));
  BENCH(t_cpqr, tries, rep, compute(cpqr,A));
  BENCH(t_cod, tries, rep, compute(cod,A));
  if(size*rows<=10000000)
    BENCH(t_fpqr, tries, rep, compute(fpqr,A));
  if(size<500) // JacobiSVD is really too slow for too large matrices
    BENCH(t_jsvd, tries, rep, jsvd.compute(A,svd_opt));
//   if(size*rows<=20000000)
    BENCH(t_bdcsvd, tries, rep, bdcsvd.compute(A,svd_opt));
  
  results["LLT"][id] = t_llt.best();
  results["LDLT"][id] = t_ldlt.best();
  results["PartialPivLU"][id] = t_lu.best();
  results["FullPivLU"][id] = t_fplu.best();
  results["HouseholderQR"][id] = t_qr.best();
  results["ColPivHouseholderQR"][id] = t_cpqr.best();
  results["CompleteOrthogonalDecomposition"][id] = t_cod.best();
  results["FullPivHouseholderQR"][id] = t_fpqr.best();
  results["JacobiSVD"][id] = t_jsvd.best();
  results["BDCSVD"][id] = t_bdcsvd.best();
}


int main()
{
  labels.push_back("LLT");
  labels.push_back("LDLT");
  labels.push_back("PartialPivLU");
  labels.push_back("FullPivLU");
  labels.push_back("HouseholderQR");
  labels.push_back("ColPivHouseholderQR");
  labels.push_back("CompleteOrthogonalDecomposition");
  labels.push_back("FullPivHouseholderQR");
  labels.push_back("JacobiSVD");
  labels.push_back("BDCSVD");

  for(int i=0; i<labels.size(); ++i)
    results[labels[i]].fill(-1);

  const int small = 8;
  sizes.push_back(Array2i(small,small));
  sizes.push_back(Array2i(100,100));
  sizes.push_back(Array2i(1000,1000));
  sizes.push_back(Array2i(4000,4000));
  sizes.push_back(Array2i(10000,small));
  sizes.push_back(Array2i(10000,100));
  sizes.push_back(Array2i(10000,1000));
  sizes.push_back(Array2i(10000,4000));

  using namespace std;

  for(int k=0; k<sizes.size(); ++k)
  {
    cout << sizes[k](0) << "x" << sizes[k](1) << "...\n";
    bench<float,Dynamic>(k,sizes[k](0),sizes[k](1));
  }

  cout.width(32);
  cout << "solver/size";
  cout << "  ";
  for(int k=0; k<sizes.size(); ++k)
  {
    std::stringstream ss;
    ss << sizes[k](0) << "x" << sizes[k](1);
    cout.width(10); cout << ss.str(); cout << " ";
  }
  cout << endl;


  for(int i=0; i<labels.size(); ++i)
  {
    cout.width(32); cout << labels[i]; cout << "  ";
    ArrayXf r = (results[labels[i]]*100000.f).floor()/100.f;
    for(int k=0; k<sizes.size(); ++k)
    {
      cout.width(10);
      if(r(k)>=1e6)  cout << "-";
      else           cout << r(k);
      cout << " ";
    }
    cout << endl;
  }

  // HTML output
  cout << "<table class=\"manual\">" << endl;
  cout << "<tr><th>solver/size</th>" << endl;
  for(int k=0; k<sizes.size(); ++k)
    cout << "  <th>" << sizes[k](0) << "x" << sizes[k](1) << "</th>";
  cout << "</tr>" << endl;
  for(int i=0; i<labels.size(); ++i)
  {
    cout << "<tr";
    if(i%2==1) cout << " class=\"alt\"";
    cout << "><td>" << labels[i] << "</td>";
    ArrayXf r = (results[labels[i]]*100000.f).floor()/100.f;
    for(int k=0; k<sizes.size(); ++k)
    {
      if(r(k)>=1e6) cout << "<td>-</td>";
      else
      {
        cout << "<td>" << r(k);
        if(i>0)
          cout << " (x" << numext::round(10.f*results[labels[i]](k)/results["LLT"](k))/10.f << ")";
        if(i<4 && sizes[k](0)!=sizes[k](1))
          cout << " <sup><a href=\"#note_ls\">*</a></sup>";
        cout << "</td>";
      }
    }
    cout << "</tr>" << endl;
  }
  cout << "</table>" << endl;

//   cout << "LLT                             (ms)  " << (results["LLT"]*1000.).format(fmt) << "\n";
//   cout << "LDLT                             (%)  " << (results["LDLT"]/results["LLT"]).format(fmt) << "\n";
//   cout << "PartialPivLU                     (%)  " << (results["PartialPivLU"]/results["LLT"]).format(fmt) << "\n";
//   cout << "FullPivLU                        (%)  " << (results["FullPivLU"]/results["LLT"]).format(fmt) << "\n";
//   cout << "HouseholderQR                    (%)  " << (results["HouseholderQR"]/results["LLT"]).format(fmt) << "\n";
//   cout << "ColPivHouseholderQR              (%)  " << (results["ColPivHouseholderQR"]/results["LLT"]).format(fmt) << "\n";
//   cout << "CompleteOrthogonalDecomposition  (%)  " << (results["CompleteOrthogonalDecomposition"]/results["LLT"]).format(fmt) << "\n";
//   cout << "FullPivHouseholderQR             (%)  " << (results["FullPivHouseholderQR"]/results["LLT"]).format(fmt) << "\n";
//   cout << "JacobiSVD                        (%)  " << (results["JacobiSVD"]/results["LLT"]).format(fmt) << "\n";
//   cout << "BDCSVD                           (%)  " << (results["BDCSVD"]/results["LLT"]).format(fmt) << "\n";
}