DirectLinearSolverComplex.cpp

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/*
 * This program is free software; 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 3 of the License, or
 * (at your option) any later version.
 *
 * Written (W) 2013 Soumyajit De
 */

#include <shogun/lib/config.h>

#ifdef HAVE_EIGEN3
#include <shogun/lib/SGVector.h>
#include <shogun/lib/SGMatrix.h>
#include <shogun/io/SGIO.h>
#include <shogun/mathematics/eigen3.h>
#include <shogun/mathematics/linalg/linop/DenseMatrixOperator.h>
#include <shogun/mathematics/linalg/linsolver/DirectLinearSolverComplex.h>

using namespace Eigen;

namespace shogun
{

CDirectLinearSolverComplex::CDirectLinearSolverComplex()
    : CLinearSolver<complex128_t, float64_t>(),
      m_type(DS_QR_NOPERM)
{
    SG_GCDEBUG("%s created (%p)\n", this->get_name(), this)
}

CDirectLinearSolverComplex::CDirectLinearSolverComplex(EDirectSolverType type)
    : CLinearSolver<complex128_t, float64_t>(),
      m_type(type)
{
    SG_GCDEBUG("%s created (%p)\n", this->get_name(), this)
}

CDirectLinearSolverComplex::~CDirectLinearSolverComplex()
{
    SG_GCDEBUG("%s destroyed (%p)\n", this->get_name(), this)
}

SGVector<complex128_t> CDirectLinearSolverComplex::solve(
        CLinearOperator<complex128_t>* A, SGVector<float64_t> b)
{
    SGVector<complex128_t> x(b.vlen);

    REQUIRE(A, "Operator is NULL!\n");
    REQUIRE(A->get_dimension()==b.vlen, "Dimension mismatch!\n");

    CDenseMatrixOperator<complex128_t> *op=
        dynamic_cast<CDenseMatrixOperator<complex128_t>*>(A);
    REQUIRE(op, "Operator is not CDenseMatrixOperator<complex128_t, float64_t> type!\n");

    SGMatrix<complex128_t> mat_A=op->get_matrix_operator();
    Map<MatrixXcd> map_A(mat_A.matrix, mat_A.num_rows, mat_A.num_cols);
    Map<VectorXd> map_b(b.vector, b.vlen);
    Map<VectorXcd> map_x(x.vector, x.vlen);

    switch (m_type)
    {
    case DS_LLT:
        {
            LLT<MatrixXcd> llt(map_A);
            map_x=llt.solve(map_b.cast<complex128_t>());

            // checking for success
            if (llt.info()==NumericalIssue)
                SG_WARNING("Matrix is not Hermitian positive definite!\n");
        }
        break;
    case DS_QR_NOPERM:
        map_x=map_A.householderQr().solve(map_b.cast<complex128_t>());
        break;
    case DS_QR_COLPERM:
        map_x=map_A.colPivHouseholderQr().solve(map_b.cast<complex128_t>());
        break;
    case DS_QR_FULLPERM:
        map_x=map_A.fullPivHouseholderQr().solve(map_b.cast<complex128_t>());
        break;
    case DS_SVD:
        map_x=map_A.jacobiSvd(ComputeThinU|ComputeThinV).solve(map_b.cast<complex128_t>());
        break;
    }

    return x;
}

}
#endif // HAVE_EIGEN3