incomplete_cholesky.cpp

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// This file is part of Eigen, a lightweight C++ template library
// for linear algebra.
//
// Copyright (C) 2015-2016 Gael Guennebaud <gael.guennebaud@inria.fr>
//
// This Source Code Form is subject to the terms of the Mozilla
// Public License v. 2.0. If a copy of the MPL was not distributed
// with this file, You can obtain one at http://mozilla.org/MPL/2.0/.
// #define EIGEN_DONT_VECTORIZE
// #define EIGEN_MAX_ALIGN_BYTES 0
#include "sparse_solver.h"
#include <Eigen/IterativeLinearSolvers>
#include <unsupported/Eigen/IterativeSolvers>

template<typename T, typename I_> void test_incomplete_cholesky_T()
{
  typedef SparseMatrix<T,0,I_> SparseMatrixType;
  ConjugateGradient<SparseMatrixType, Lower, IncompleteCholesky<T, Lower, AMDOrdering<I_> > >        cg_illt_lower_amd;
  ConjugateGradient<SparseMatrixType, Lower, IncompleteCholesky<T, Lower, NaturalOrdering<I_> > >    cg_illt_lower_nat;
  ConjugateGradient<SparseMatrixType, Upper, IncompleteCholesky<T, Upper, AMDOrdering<I_> > >        cg_illt_upper_amd;
  ConjugateGradient<SparseMatrixType, Upper, IncompleteCholesky<T, Upper, NaturalOrdering<I_> > >    cg_illt_upper_nat;
  ConjugateGradient<SparseMatrixType, Upper|Lower, IncompleteCholesky<T, Lower, AMDOrdering<I_> > >  cg_illt_uplo_amd;
  

  CALL_SUBTEST( check_sparse_spd_solving(cg_illt_lower_amd) );
  CALL_SUBTEST( check_sparse_spd_solving(cg_illt_lower_nat) );
  CALL_SUBTEST( check_sparse_spd_solving(cg_illt_upper_amd) );
  CALL_SUBTEST( check_sparse_spd_solving(cg_illt_upper_nat) );
  CALL_SUBTEST( check_sparse_spd_solving(cg_illt_uplo_amd) );
}

template<int>
void bug1150()
{
  // regression for bug 1150
  for(int N = 1; N<20; ++N)
  {
    Eigen::MatrixXd b( N, N );
    b.setOnes();

    Eigen::SparseMatrix<double> m( N, N );
    m.reserve(Eigen::VectorXi::Constant(N,4));
    for( int i = 0; i < N; ++i )
    {
        m.insert( i, i ) = 1;
        m.coeffRef( i, i / 2 ) = 2;
        m.coeffRef( i, i / 3 ) = 2;
        m.coeffRef( i, i / 4 ) = 2;
    }

    Eigen::SparseMatrix<double> A;
    A = m * m.transpose();

    Eigen::ConjugateGradient<Eigen::SparseMatrix<double>,
        Eigen::Lower | Eigen::Upper,
        Eigen::IncompleteCholesky<double> > solver( A );
    VERIFY(solver.preconditioner().info() == Eigen::Success);
    VERIFY(solver.info() == Eigen::Success);
  }
}

EIGEN_DECLARE_TEST(incomplete_cholesky)
{
  CALL_SUBTEST_1(( test_incomplete_cholesky_T<double,int>() ));
  CALL_SUBTEST_2(( test_incomplete_cholesky_T<std::complex<double>, int>() ));
  CALL_SUBTEST_3(( test_incomplete_cholesky_T<double,long int>() ));

  CALL_SUBTEST_1(( bug1150<0>() ));
}