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found uneeded storagemut

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Nestor Demeure 2019-11-03 15:17:20 +01:00 committed by Sébastien Crozet
parent cfa7bbdc7c
commit b29231cf7b
3 changed files with 47 additions and 15 deletions
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26
src/linalg/cholesky.rs
View File

@ -195,7 +195,7 @@ where
pub fn insert_column<R2: Dim, S2>(
self,
j: usize,
c: &Matrix<N, R2, U1, S2>,
col: &Matrix<N, R2, U1, S2>,
) -> Cholesky<N, DimSum<D, U1>>
where
D: DimAdd<U1>,
@ -203,7 +203,7 @@ where
S2: Storage<N, R2, U1>,
ShapeConstraint: SameNumberOfRows<R2, DimSum<D, U1>>,
{
let n = c.nrows();
let n = col.nrows();
assert_eq!(
n,
self.chol.nrows() + 1,
@ -211,10 +211,26 @@ where
);
assert!(j < n, "j needs to be within the bound of the new matrix.");
// TODO what is the fastest way to produce the new matrix ?
let chol= self.chol.clone().insert_column(j, N::zero()).insert_row(j, N::zero());
// TODO check for adjoint problems
let mut chol= self.chol.clone().insert_column(j, N::zero()).insert_row(j, N::zero());
// update the top center element S12
let top_left_corner = chol.slice_range(..j-1, ..j-1);
let colj = col.rows_range(..j-1); // clone_owned needed to get storage mut for b in solve
let new_colj = top_left_corner.ad_solve_lower_triangular(&colj).unwrap();
chol.slice_range_mut(..j-1, j).copy_from(&new_colj);
// update the center element S22
let rowj = chol.slice_range(j, ..j-1);
let center_element = N::sqrt(col[j] + rowj.dot(&rowj.adjoint())); // TODO is there a better way to multiply a vector by its adjoint ? norm_squared ?
chol[(j,j)] = center_element;
// update the right center element S23
//chol.slice_range_mut(j+1.., j).copy_from(&new_rowj);
// update the bottom right corner
// TODO see https://en.wikipedia.org/wiki/Cholesky_decomposition#Updating_the_decomposition
unimplemented!();
Cholesky { chol }
}
@ -234,7 +250,7 @@ where
// TODO what is the fastest way to produce the new matrix ?
let mut chol= self.chol.clone().remove_column(j).remove_row(j);
// updates the corner
// updates the bottom right corner
let mut corner = chol.slice_range_mut(j.., j..);
let colj = self.chol.slice_range(j+1.., j);
rank_one_update_helper(&mut corner, &colj, N::real(N::one()));

12
src/linalg/solve.rs
View File

@ -15,7 +15,7 @@ impl<N: ComplexField, D: Dim, S: Storage<N, D, D>> SquareMatrix<N, D, S> {
b: &Matrix<N, R2, C2, S2>,
) -> Option<MatrixMN<N, R2, C2>>
where
S2: StorageMut<N, R2, C2>,
S2: Storage<N, R2, C2>,
DefaultAllocator: Allocator<N, R2, C2>,
ShapeConstraint: SameNumberOfRows<R2, D>,
{
@ -35,7 +35,7 @@ impl<N: ComplexField, D: Dim, S: Storage<N, D, D>> SquareMatrix<N, D, S> {
b: &Matrix<N, R2, C2, S2>,
) -> Option<MatrixMN<N, R2, C2>>
where
S2: StorageMut<N, R2, C2>,
S2: Storage<N, R2, C2>,
DefaultAllocator: Allocator<N, R2, C2>,
ShapeConstraint: SameNumberOfRows<R2, D>,
{
@ -191,7 +191,7 @@ impl<N: ComplexField, D: Dim, S: Storage<N, D, D>> SquareMatrix<N, D, S> {
b: &Matrix<N, R2, C2, S2>,
) -> Option<MatrixMN<N, R2, C2>>
where
S2: StorageMut<N, R2, C2>,
S2: Storage<N, R2, C2>,
DefaultAllocator: Allocator<N, R2, C2>,
ShapeConstraint: SameNumberOfRows<R2, D>,
{
@ -211,7 +211,7 @@ impl<N: ComplexField, D: Dim, S: Storage<N, D, D>> SquareMatrix<N, D, S> {
b: &Matrix<N, R2, C2, S2>,
) -> Option<MatrixMN<N, R2, C2>>
where
S2: StorageMut<N, R2, C2>,
S2: Storage<N, R2, C2>,
DefaultAllocator: Allocator<N, R2, C2>,
ShapeConstraint: SameNumberOfRows<R2, D>,
{
@ -273,7 +273,7 @@ impl<N: ComplexField, D: Dim, S: Storage<N, D, D>> SquareMatrix<N, D, S> {
b: &Matrix<N, R2, C2, S2>,
) -> Option<MatrixMN<N, R2, C2>>
where
S2: StorageMut<N, R2, C2>,
S2: Storage<N, R2, C2>,
DefaultAllocator: Allocator<N, R2, C2>,
ShapeConstraint: SameNumberOfRows<R2, D>,
{
@ -293,7 +293,7 @@ impl<N: ComplexField, D: Dim, S: Storage<N, D, D>> SquareMatrix<N, D, S> {
b: &Matrix<N, R2, C2, S2>,
) -> Option<MatrixMN<N, R2, C2>>
where
S2: StorageMut<N, R2, C2>,
S2: Storage<N, R2, C2>,
DefaultAllocator: Allocator<N, R2, C2>,
ShapeConstraint: SameNumberOfRows<R2, D>,
{

24
tests/linalg/cholesky.rs
View File

@ -99,6 +99,26 @@ macro_rules! gen_tests(
relative_eq!(m, m_chol_updated, epsilon = 1.0e-7)
}
fn cholesky_insert_column(n: usize) -> bool {
let n = n.max(1).min(5);
let j = random::<usize>() % n;
let m_updated = RandomSDP::new(Dynamic::new(n), || random::<$scalar>().0).unwrap();
// build m and col from m_updated
let col = m_updated.column(j);
let m = m_updated.clone().remove_column(j).remove_row(j);
// remove column from cholesky decomposition and rebuild m
let chol = m.clone().cholesky().unwrap().insert_column(j, &col);
let m_chol_updated = chol.l() * chol.l().adjoint();
println!("n={} j={}", n, j);
println!("chol updated:{}", m_chol_updated);
println!("m updated:{}", m_updated);
relative_eq!(m_updated, m_chol_updated, epsilon = 1.0e-7)
}
fn cholesky_remove_column(n: usize) -> bool {
let n = n.max(1).min(5);
let j = random::<usize>() % n;
@ -111,10 +131,6 @@ macro_rules! gen_tests(
// remove column from m
let m_updated = m.remove_column(j).remove_row(j);
println!("n={} j={}", n, j);
println!("chol:{}", m_chol_updated);
println!("m up:{}", m_updated);
relative_eq!(m_updated, m_chol_updated, epsilon = 1.0e-7)
}
}