//
// 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.");
}
}
}
}