nalgebra/nalgebra-lapack/src/cholesky.rs

use num::Zero;
use num_complex::Complex;

use na::{Scalar, DefaultAllocator, MatrixN, MatrixMN};
use na::dimension::Dim;
use na::allocator::Allocator;

use lapack::fortran as interface;

/// The cholesky decomposion of a symmetric-definite-positive matrix.
pub struct Cholesky<N: Scalar, D: Dim>
    where DefaultAllocator: Allocator<N, D, D> {
    l: MatrixN<N, D>
}

impl<N: CholeskyScalar + Zero, D: Dim> Cholesky<N, D>
    where DefaultAllocator: Allocator<N, D, D> {

    /// Complutes the cholesky decomposition of the given symmetric-definite-positive square
    /// matrix.
    ///
    /// Only the lower-triangular part of the input matrix is considered.
    #[inline]
    pub fn new(mut m: MatrixN<N, D>) -> Option<Self> {
        // FIXME: check symmetry as well?
        assert!(m.is_square(), "Unable to compute the cholesky decomposition of a non-square matrix.");

        let uplo     = b'L';
        let dim      = m.nrows() as i32;
        let mut info = 0;

        N::xpotrf(uplo, dim, m.as_mut_slice(), dim, &mut info);
        lapack_check!(info);

        Some(Cholesky { l: m })
    }

    pub fn unpack(mut self) -> MatrixN<N, D> {
        self.l.fill_upper_triangle(Zero::zero(), 1);
        self.l
    }

    pub fn l(&self) -> MatrixN<N, D> {
        let mut res = self.l.clone();
        res.fill_upper_triangle(Zero::zero(), 1);
        res
    }

    /// Solves the symmetric-definite-positive linear system `self * x = b`, where `x` is the
    /// unknown to be determined.
    pub fn solve<R2: Dim, C2: Dim>(&self, mut b: MatrixMN<N, R2, C2>)
        -> Option<MatrixMN<N, R2, C2>>
        where DefaultAllocator: Allocator<N, R2, C2> {

        let dim = self.l.nrows();

        assert!(b.nrows() == dim, "The number of rows of `b` must be equal to the dimension of the matrix `a`.");

        let nrhs = b.ncols() as i32;
        let lda  = dim as i32;
        let ldb  = dim as i32;
        let mut info = 0;

        N::xpotrs(b'L', dim as i32, nrhs, self.l.as_slice(), lda, b.as_mut_slice(), ldb, &mut info);
        lapack_check!(info);

        Some(b)
    }

    /// Computes the inverse of the decomposed matrix.
    pub fn inverse(mut self) -> Option<MatrixN<N, D>> {
        let dim = self.l.nrows();
        let mut info = 0;

        N::xpotri(b'L', dim as i32, self.l.as_mut_slice(), dim as i32, &mut info);
        lapack_check!(info);

        // Copy lower triangle to upper triangle.
        for i in 0 .. dim {
            for j in i + 1 .. dim {
                unsafe { *self.l.get_unchecked_mut(i, j) = *self.l.get_unchecked(j, i) };
            }
        }

        Some(self.l)
    }
}




/*
 *
 * Lapack functions dispatch.
 *
 */
/// Trait implemented by floats (`f32`, `f64`) and complex floats (`Complex<f32>`, `Complex<f64>`)
/// supported by the cholesky decompotition.
pub trait CholeskyScalar: Scalar {
    fn xpotrf(uplo: u8, n: i32, a: &mut [Self], lda: i32, info: &mut i32);
    fn xpotrs(uplo: u8, n: i32, nrhs: i32, a: &[Self], lda: i32, b: &mut [Self], ldb: i32, info: &mut i32);
    fn xpotri(uplo: u8, n: i32, a: &mut [Self], lda: i32, info: &mut i32);
}

macro_rules! cholesky_scalar_impl(
    ($N: ty, $xpotrf: path, $xpotrs: path, $xpotri: path) => (
        impl CholeskyScalar for $N {
            #[inline]
            fn xpotrf(uplo: u8, n: i32, a: &mut [Self], lda: i32, info: &mut i32) {
                $xpotrf(uplo, n, a, lda, info)
            }

            #[inline]
            fn xpotrs(uplo: u8, n: i32, nrhs: i32, a: &[Self], lda: i32,
                      b: &mut [Self], ldb: i32, info: &mut i32) {
                $xpotrs(uplo, n, nrhs, a, lda, b, ldb, info)
            }

            #[inline]
            fn xpotri(uplo: u8, n: i32, a: &mut [Self], lda: i32, info: &mut i32) {
                $xpotri(uplo, n, a, lda, info)
            }
        }
    )
);

cholesky_scalar_impl!(f32, interface::spotrf, interface::spotrs, interface::spotri);
cholesky_scalar_impl!(f64, interface::dpotrf, interface::dpotrs, interface::dpotri);
cholesky_scalar_impl!(Complex<f32>, interface::cpotrf, interface::cpotrs, interface::cpotri);
cholesky_scalar_impl!(Complex<f64>, interface::zpotrf, interface::zpotrs, interface::zpotri);