use alga::general::Real; use core::{DefaultAllocator, MatrixN, MatrixMN, Matrix, SquareMatrix}; use constraint::{ShapeConstraint, SameNumberOfRows}; use storage::{Storage, StorageMut}; use allocator::Allocator; use dimension::{Dim, Dynamic, DimSub}; /// The cholesky decomposion of a symmetric-definite-positive matrix. #[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 { /// Attempts to compute the sholesky decomposition of `matrix`. /// /// Returns `None` if the input matrix is not definite-positive. The intput 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, &col_k, N::one()); } let diag = unsafe { *matrix.get_unchecked(j, j) }; if diag > N::zero() { let denom = diag.sqrt(); unsafe { *matrix.get_unchecked_mut(j, j) = denom; } let mut col = matrix.slice_range_mut(j + 1 .., j); col /= denom; } else { return None; } } Some(Cholesky { chol: matrix }) } /// Retrieves the lower-triangular factor of the cholesky decomposition. pub fn unpack(mut self) -> MatrixN { self.chol.fill_upper_triangle(N::zero(), 1); self.chol } /// Retrieves the lower-triangular factor of che 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 unpack_dirty(self) -> MatrixN { self.chol } /// Retrieves the lower-triangular factor of the cholesky decomposition. 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_mut(b); self.chol.tr_solve_lower_triangular_mut(b); } /// 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(&self, b: &Matrix) -> MatrixMN where S2: StorageMut, 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, S: Storage> SquareMatrix where DefaultAllocator: Allocator { /// Attempts to compute the sholesky decomposition of this matrix. /// /// Returns `None` if the input matrix is not definite-positive. The intput matrix is assumed /// to be symmetric and only the lower-triangular part is read. pub fn cholesky(self) -> Option> { Cholesky::new(self.into_owned()) } }