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