Add CscCholesky::solve and ::solve_mut
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@ -4,9 +4,11 @@
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use crate::pattern::SparsityPattern;
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use crate::csc::CscMatrix;
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use core::{mem, iter};
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use nalgebra::{Scalar, RealField};
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use nalgebra::{Scalar, RealField, DMatrixSlice, DMatrixSliceMut, DMatrix};
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use std::sync::Arc;
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use std::fmt::{Display, Formatter};
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use crate::ops::serial::spsolve_csc_lower_triangular;
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use crate::ops::Op;
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pub struct CscSymbolicCholesky {
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// Pattern of the original matrix that was decomposed
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@ -177,6 +179,27 @@ impl<T: RealField> CscCholesky<T> {
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Ok(())
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}
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pub fn solve<'a>(&'a self, b: impl Into<DMatrixSlice<'a, T>>) -> DMatrix<T> {
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let b = b.into();
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let mut output = b.clone_owned();
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self.solve_mut(&mut output);
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output
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}
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pub fn solve_mut<'a>(&'a self, b: impl Into<DMatrixSliceMut<'a, T>>)
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{
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let expect_msg = "If the Cholesky factorization succeeded,\
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then the triangular solve should never fail";
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// Solve LY = B
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let mut y = b.into();
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spsolve_csc_lower_triangular(Op::NoOp(self.l()), &mut y)
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.expect(expect_msg);
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// Solve L^T X = Y
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let mut x = y;
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spsolve_csc_lower_triangular(Op::Transpose(self.l()), &mut x)
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.expect(expect_msg);
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}
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}
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@ -4,6 +4,7 @@ use nalgebra_sparse::csc::CscMatrix;
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use nalgebra_sparse::factorization::{CscCholesky};
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use nalgebra_sparse::proptest::csc;
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use nalgebra::{Matrix5, Vector5, Cholesky, DMatrix};
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use nalgebra::proptest::matrix;
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use proptest::prelude::*;
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use matrixcompare::{assert_matrix_eq, prop_assert_matrix_eq};
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@ -35,6 +36,30 @@ proptest! {
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prop_assert!(is_lower_triangular);
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}
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#[test]
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fn cholesky_solve_positive_definite(
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(matrix, rhs) in positive_definite()
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.prop_flat_map(|csc| {
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let rhs = matrix(value_strategy::<f64>(), csc.nrows(), PROPTEST_MATRIX_DIM);
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(Just(csc), rhs)
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})
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) {
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let cholesky = CscCholesky::factor(&matrix).unwrap();
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// solve_mut
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{
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let mut x = rhs.clone();
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cholesky.solve_mut(&mut x);
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prop_assert_matrix_eq!(&matrix * &x, rhs, comp=abs, tol=1e-12);
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}
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// solve
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{
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let x = cholesky.solve(&rhs);
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prop_assert_matrix_eq!(&matrix * &x, rhs, comp=abs, tol=1e-12);
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}
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}
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}
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// This is a test ported from nalgebra's "sparse" module, for the original CsCholesky impl
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