#[cfg(feature = "serde-serialize")] use serde::{Deserialize, Serialize}; use num::One; use simba::scalar::ComplexField; use simba::simd::SimdComplexField; use crate::allocator::Allocator; use crate::base::{DefaultAllocator, Matrix, MatrixMN, MatrixN, SquareMatrix, Vector}; use crate::constraint::{SameNumberOfRows, ShapeConstraint}; use crate::dimension::{Dim, DimAdd, DimDiff, DimSub, DimSum, Dynamic, U1}; use crate::storage::{Storage, StorageMut}; /// The Cholesky decomposition of a symmetric-definite-positive matrix. #[cfg_attr(feature = "serde-serialize", derive(Serialize, Deserialize))] #[cfg_attr( feature = "serde-serialize", serde(bound(serialize = "DefaultAllocator: Allocator, MatrixN: Serialize")) )] #[cfg_attr( feature = "serde-serialize", serde(bound(deserialize = "DefaultAllocator: Allocator, MatrixN: Deserialize<'de>")) )] #[derive(Clone, Debug)] pub struct Cholesky where DefaultAllocator: Allocator, { chol: MatrixN, } impl Copy for Cholesky where DefaultAllocator: Allocator, MatrixN: Copy, { } impl Cholesky where DefaultAllocator: Allocator, { /// Computes the Cholesky decomposition of `matrix` without checking that the matrix is definite-positive. /// /// If the input matrix is not definite-positive, the decomposition may contain trash values (Inf, NaN, etc.) pub fn new_unchecked(mut matrix: MatrixN) -> Self { assert!(matrix.is_square(), "The input matrix must be square."); let n = matrix.nrows(); for j in 0..n { for k in 0..j { let factor = unsafe { -*matrix.get_unchecked((j, k)) }; let (mut col_j, col_k) = matrix.columns_range_pair_mut(j, k); let mut col_j = col_j.rows_range_mut(j..); let col_k = col_k.rows_range(j..); col_j.axpy(factor.simd_conjugate(), &col_k, N::one()); } let diag = unsafe { *matrix.get_unchecked((j, j)) }; let denom = diag.simd_sqrt(); unsafe { *matrix.get_unchecked_mut((j, j)) = denom; } let mut col = matrix.slice_range_mut(j + 1.., j); col /= denom; } Cholesky { chol: matrix } } /// Retrieves the lower-triangular factor of the Cholesky decomposition with its strictly /// upper-triangular part filled with zeros. pub fn unpack(mut self) -> MatrixN { self.chol.fill_upper_triangle(N::zero(), 1); self.chol } /// Retrieves the lower-triangular factor of the Cholesky decomposition, without zeroing-out /// its strict upper-triangular part. /// /// The values of the strict upper-triangular part are garbage and should be ignored by further /// computations. pub fn unpack_dirty(self) -> MatrixN { self.chol } /// Retrieves the lower-triangular factor of the Cholesky decomposition with its strictly /// uppen-triangular part filled with zeros. pub fn l(&self) -> MatrixN { self.chol.lower_triangle() } /// Retrieves the lower-triangular factor of the Cholesky decomposition, without zeroing-out /// its strict upper-triangular part. /// /// This is an allocation-less version of `self.l()`. The values of the strict upper-triangular /// part are garbage and should be ignored by further computations. pub fn l_dirty(&self) -> &MatrixN { &self.chol } /// Solves the system `self * x = b` where `self` is the decomposed matrix and `x` the unknown. /// /// The result is stored on `b`. pub fn solve_mut(&self, b: &mut Matrix) where S2: StorageMut, ShapeConstraint: SameNumberOfRows, { self.chol.solve_lower_triangular_unchecked_mut(b); self.chol.ad_solve_lower_triangular_unchecked_mut(b); } /// Returns the solution of the system `self * x = b` where `self` is the decomposed matrix and /// `x` the unknown. pub fn solve(&self, b: &Matrix) -> MatrixMN where S2: Storage, DefaultAllocator: Allocator, ShapeConstraint: SameNumberOfRows, { let mut res = b.clone_owned(); self.solve_mut(&mut res); res } /// Computes the inverse of the decomposed matrix. pub fn inverse(&self) -> MatrixN { let shape = self.chol.data.shape(); let mut res = MatrixN::identity_generic(shape.0, shape.1); self.solve_mut(&mut res); res } } impl Cholesky where DefaultAllocator: Allocator, { /// Attempts to compute the Cholesky decomposition of `matrix`. /// /// Returns `None` if the input matrix is not definite-positive. The input matrix is assumed /// to be symmetric and only the lower-triangular part is read. pub fn new(mut matrix: MatrixN) -> Option { assert!(matrix.is_square(), "The input matrix must be square."); let n = matrix.nrows(); for j in 0..n { for k in 0..j { let factor = unsafe { -*matrix.get_unchecked((j, k)) }; let (mut col_j, col_k) = matrix.columns_range_pair_mut(j, k); let mut col_j = col_j.rows_range_mut(j..); let col_k = col_k.rows_range(j..); col_j.axpy(factor.conjugate(), &col_k, N::one()); } let diag = unsafe { *matrix.get_unchecked((j, j)) }; if !diag.is_zero() { if let Some(denom) = diag.try_sqrt() { unsafe { *matrix.get_unchecked_mut((j, j)) = denom; } let mut col = matrix.slice_range_mut(j + 1.., j); col /= denom; continue; } } // The diagonal element is either zero or its square root could not // be taken (e.g. for negative real numbers). return None; } Some(Cholesky { chol: matrix }) } /// Given the Cholesky decomposition of a matrix `M`, a scalar `sigma` and a vector `v`, /// performs a rank one update such that we end up with the decomposition of `M + sigma * (v * v.adjoint())`. #[inline] pub fn rank_one_update(&mut self, x: &Vector, sigma: N::RealField) where S2: Storage, DefaultAllocator: Allocator, ShapeConstraint: SameNumberOfRows, { Self::xx_rank_one_update(&mut self.chol, &mut x.clone_owned(), sigma) } /// Updates the decomposition such that we get the decomposition of a matrix with the given column `col` in the `j`th position. /// Since the matrix is square, an identical row will be added in the `j`th row. pub fn insert_column( &self, j: usize, col: Vector, ) -> Cholesky> where D: DimAdd, R2: Dim, S2: Storage, DefaultAllocator: Allocator, DimSum> + Allocator, ShapeConstraint: SameNumberOfRows>, { let mut col = col.into_owned(); // for an explanation of the formulas, see https://en.wikipedia.org/wiki/Cholesky_decomposition#Updating_the_decomposition let n = col.nrows(); assert_eq!( n, self.chol.nrows() + 1, "The new column must have the size of the factored matrix plus one." ); assert!(j < n, "j needs to be within the bound of the new matrix."); // loads the data into a new matrix with an additional jth row/column let mut chol = unsafe { Matrix::new_uninitialized_generic( self.chol.data.shape().0.add(U1), self.chol.data.shape().1.add(U1), ) }; chol.slice_range_mut(..j, ..j) .copy_from(&self.chol.slice_range(..j, ..j)); chol.slice_range_mut(..j, j + 1..) .copy_from(&self.chol.slice_range(..j, j..)); chol.slice_range_mut(j + 1.., ..j) .copy_from(&self.chol.slice_range(j.., ..j)); chol.slice_range_mut(j + 1.., j + 1..) .copy_from(&self.chol.slice_range(j.., j..)); // update the jth row let top_left_corner = self.chol.slice_range(..j, ..j); let col_j = col[j]; let (mut new_rowj_adjoint, mut new_colj) = col.rows_range_pair_mut(..j, j + 1..); assert!( top_left_corner.solve_lower_triangular_mut(&mut new_rowj_adjoint), "Cholesky::insert_column : Unable to solve lower triangular system!" ); new_rowj_adjoint.adjoint_to(&mut chol.slice_range_mut(j, ..j)); // update the center element let center_element = N::sqrt(col_j - N::from_real(new_rowj_adjoint.norm_squared())); chol[(j, j)] = center_element; // update the jth column let bottom_left_corner = self.chol.slice_range(j.., ..j); // new_colj = (col_jplus - bottom_left_corner * new_rowj.adjoint()) / center_element; new_colj.gemm( -N::one() / center_element, &bottom_left_corner, &new_rowj_adjoint, N::one() / center_element, ); chol.slice_range_mut(j + 1.., j).copy_from(&new_colj); // update the bottom right corner let mut bottom_right_corner = chol.slice_range_mut(j + 1.., j + 1..); Self::xx_rank_one_update( &mut bottom_right_corner, &mut new_colj, -N::RealField::one(), ); Cholesky { chol } } /// Updates the decomposition such that we get the decomposition of the factored matrix with its `j`th column removed. /// Since the matrix is square, the `j`th row will also be removed. pub fn remove_column(&self, j: usize) -> Cholesky> where D: DimSub, DefaultAllocator: Allocator, DimDiff> + Allocator, { let n = self.chol.nrows(); assert!(n > 0, "The matrix needs at least one column."); assert!(j < n, "j needs to be within the bound of the matrix."); // loads the data into a new matrix except for the jth row/column let mut chol = unsafe { Matrix::new_uninitialized_generic( self.chol.data.shape().0.sub(U1), self.chol.data.shape().1.sub(U1), ) }; chol.slice_range_mut(..j, ..j) .copy_from(&self.chol.slice_range(..j, ..j)); chol.slice_range_mut(..j, j..) .copy_from(&self.chol.slice_range(..j, j + 1..)); chol.slice_range_mut(j.., ..j) .copy_from(&self.chol.slice_range(j + 1.., ..j)); chol.slice_range_mut(j.., j..) .copy_from(&self.chol.slice_range(j + 1.., j + 1..)); // updates the bottom right corner let mut bottom_right_corner = chol.slice_range_mut(j.., j..); let mut workspace = self.chol.column(j).clone_owned(); let mut old_colj = workspace.rows_range_mut(j + 1..); Self::xx_rank_one_update(&mut bottom_right_corner, &mut old_colj, N::RealField::one()); Cholesky { chol } } /// Given the Cholesky decomposition of a matrix `M`, a scalar `sigma` and a vector `x`, /// performs a rank one update such that we end up with the decomposition of `M + sigma * (x * x.adjoint())`. /// /// This helper method is called by `rank_one_update` but also `insert_column` and `remove_column` /// where it is used on a square slice of the decomposition fn xx_rank_one_update( chol: &mut Matrix, x: &mut Vector, sigma: N::RealField, ) where //N: ComplexField, Dm: Dim, Rx: Dim, Sm: StorageMut, Sx: StorageMut, { // heavily inspired by Eigen's `llt_rank_update_lower` implementation https://eigen.tuxfamily.org/dox/LLT_8h_source.html let n = x.nrows(); assert_eq!( n, chol.nrows(), "The input vector must be of the same size as the factorized matrix." ); let mut beta = crate::one::(); for j in 0..n { // updates the diagonal let diag = N::real(unsafe { *chol.get_unchecked((j, j)) }); let diag2 = diag * diag; let xj = unsafe { *x.get_unchecked(j) }; let sigma_xj2 = sigma * N::modulus_squared(xj); let gamma = diag2 * beta + sigma_xj2; let new_diag = (diag2 + sigma_xj2 / beta).sqrt(); unsafe { *chol.get_unchecked_mut((j, j)) = N::from_real(new_diag) }; beta += sigma_xj2 / diag2; // updates the terms of L let mut xjplus = x.rows_range_mut(j + 1..); let mut col_j = chol.slice_range_mut(j + 1.., j); // temp_jplus -= (wj / N::from_real(diag)) * col_j; xjplus.axpy(-xj / N::from_real(diag), &col_j, N::one()); if gamma != crate::zero::() { // col_j = N::from_real(nljj / diag) * col_j + (N::from_real(nljj * sigma / gamma) * N::conjugate(wj)) * temp_jplus; col_j.axpy( N::from_real(new_diag * sigma / gamma) * N::conjugate(xj), &xjplus, N::from_real(new_diag / diag), ); } } } } impl, S: Storage> SquareMatrix where DefaultAllocator: Allocator, { /// Attempts to compute the Cholesky decomposition of this matrix. /// /// Returns `None` if the input matrix is not definite-positive. The input matrix is assumed /// to be symmetric and only the lower-triangular part is read. pub fn cholesky(self) -> Option> { Cholesky::new(self.into_owned()) } }