// <copyright file="DenseCholesky.cs" company="Math.NET">
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// Math.NET Numerics, part of the Math.NET Project
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// http://numerics.mathdotnet.com
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// http://github.com/mathnet/mathnet-numerics
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//
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// Copyright (c) 2009-2013 Math.NET
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//
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// Permission is hereby granted, free of charge, to any person
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// obtaining a copy of this software and associated documentation
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// files (the "Software"), to deal in the Software without
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// restriction, including without limitation the rights to use,
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// copy, modify, merge, publish, distribute, sublicense, and/or sell
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// copies of the Software, and to permit persons to whom the
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// Software is furnished to do so, subject to the following
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// conditions:
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//
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// The above copyright notice and this permission notice shall be
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// included in all copies or substantial portions of the Software.
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//
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// THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND,
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// EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES
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// OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND
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// NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT
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// WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING
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// FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR
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// OTHER DEALINGS IN THE SOFTWARE.
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// </copyright>
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using System;
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using IStation.Numerics.Providers.LinearAlgebra;
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namespace IStation.Numerics.LinearAlgebra.Double.Factorization
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{
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/// <summary>
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/// <para>A class which encapsulates the functionality of a Cholesky factorization for dense matrices.</para>
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/// <para>For a symmetric, positive definite matrix A, the Cholesky factorization
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/// is an lower triangular matrix L so that A = L*L'.</para>
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/// </summary>
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/// <remarks>
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/// The computation of the Cholesky factorization is done at construction time. If the matrix is not symmetric
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/// or positive definite, the constructor will throw an exception.
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/// </remarks>
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internal sealed class DenseCholesky : Cholesky
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{
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/// <summary>
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/// Initializes a new instance of the <see cref="DenseCholesky"/> class. This object will compute the
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/// Cholesky factorization when the constructor is called and cache it's factorization.
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/// </summary>
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/// <param name="matrix">The matrix to factor.</param>
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/// <exception cref="ArgumentNullException">If <paramref name="matrix"/> is <c>null</c>.</exception>
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/// <exception cref="ArgumentException">If <paramref name="matrix"/> is not a square matrix.</exception>
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/// <exception cref="ArgumentException">If <paramref name="matrix"/> is not positive definite.</exception>
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public static DenseCholesky Create(DenseMatrix matrix)
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{
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if (matrix.RowCount != matrix.ColumnCount)
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{
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throw new ArgumentException("Matrix must be square.");
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}
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// Create a new matrix for the Cholesky factor, then perform factorization (while overwriting).
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var factor = (DenseMatrix) matrix.Clone();
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LinearAlgebraControl.Provider.CholeskyFactor(factor.Values, factor.RowCount);
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return new DenseCholesky(factor);
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}
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DenseCholesky(Matrix<double> factor)
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: base(factor)
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{
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}
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/// <summary>
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/// Solves a system of linear equations, <b>AX = B</b>, with A Cholesky factorized.
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/// </summary>
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/// <param name="input">The right hand side <see cref="Matrix{T}"/>, <b>B</b>.</param>
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/// <param name="result">The left hand side <see cref="Matrix{T}"/>, <b>X</b>.</param>
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public override void Solve(Matrix<double> input, Matrix<double> result)
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{
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if (result.RowCount != input.RowCount)
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{
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throw new ArgumentException("Matrix row dimensions must agree.");
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}
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if (result.ColumnCount != input.ColumnCount)
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{
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throw new ArgumentException("Matrix column dimensions must agree.");
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}
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if (input.RowCount != Factor.RowCount)
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{
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throw Matrix.DimensionsDontMatch<ArgumentException>(input, Factor);
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}
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if (input is DenseMatrix dinput && result is DenseMatrix dresult)
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{
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// Copy the contents of input to result.
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Buffer.BlockCopy(dinput.Values, 0, dresult.Values, 0, dinput.Values.Length * Constants.SizeOfDouble);
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// Cholesky solve by overwriting result.
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var dfactor = (DenseMatrix) Factor;
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LinearAlgebraControl.Provider.CholeskySolveFactored(dfactor.Values, dfactor.RowCount, dresult.Values, dresult.ColumnCount);
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}
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else
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{
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throw new NotSupportedException("Can only do Cholesky factorization for dense matrices at the moment.");
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}
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}
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/// <summary>
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/// Solves a system of linear equations, <b>Ax = b</b>, with A Cholesky factorized.
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/// </summary>
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/// <param name="input">The right hand side vector, <b>b</b>.</param>
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/// <param name="result">The left hand side <see cref="Matrix{T}"/>, <b>x</b>.</param>
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public override void Solve(Vector<double> input, Vector<double> result)
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{
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if (input.Count != result.Count)
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{
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throw new ArgumentException("All vectors must have the same dimensionality.");
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}
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if (input.Count != Factor.RowCount)
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{
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throw Matrix.DimensionsDontMatch<ArgumentException>(input, Factor);
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}
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if (input is DenseVector dinput && result is DenseVector dresult)
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{
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// Copy the contents of input to result.
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Buffer.BlockCopy(dinput.Values, 0, dresult.Values, 0, dinput.Values.Length * Constants.SizeOfDouble);
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// Cholesky solve by overwriting result.
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var dfactor = (DenseMatrix) Factor;
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LinearAlgebraControl.Provider.CholeskySolveFactored(dfactor.Values, dfactor.RowCount, dresult.Values, 1);
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}
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else
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{
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throw new NotSupportedException("Can only do Cholesky factorization for dense vectors at the moment.");
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}
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}
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/// <summary>
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/// Calculates the Cholesky factorization of the input matrix.
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/// </summary>
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/// <param name="matrix">The matrix to be factorized<see cref="Matrix{T}"/>.</param>
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/// <exception cref="ArgumentNullException">If <paramref name="matrix"/> is <c>null</c>.</exception>
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/// <exception cref="ArgumentException">If <paramref name="matrix"/> is not a square matrix.</exception>
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/// <exception cref="ArgumentException">If <paramref name="matrix"/> is not positive definite.</exception>
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/// <exception cref="ArgumentOutOfRangeException">If <paramref name="matrix"/> does not have the same dimensions as the existing factor.</exception>
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public override void Factorize(Matrix<double> matrix)
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{
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if (matrix.RowCount != matrix.ColumnCount)
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{
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throw new ArgumentException("Matrix must be square.");
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}
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if (matrix.RowCount != Factor.RowCount || matrix.ColumnCount != Factor.ColumnCount)
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{
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throw Matrix.DimensionsDontMatch<ArgumentException>(matrix, Factor);
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}
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if (matrix is DenseMatrix dmatrix)
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{
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var dfactor = (DenseMatrix) Factor;
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// Overwrite the existing Factor matrix with the input.
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Buffer.BlockCopy(dmatrix.Values, 0, dfactor.Values, 0, dmatrix.Values.Length * Constants.SizeOfDouble);
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// Perform factorization (while overwriting).
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LinearAlgebraControl.Provider.CholeskyFactor(dfactor.Values, dfactor.RowCount);
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}
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else
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{
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throw new NotSupportedException("Can only do Cholesky factorization for dense matrices at the moment.");
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}
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}
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}
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}
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