//
// 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;
namespace IStation.Numerics.LinearAlgebra.Double.Factorization
{
///
/// A class which encapsulates the functionality of an LU factorization.
/// For a matrix A, the LU factorization is a pair of lower triangular matrix L and
/// upper triangular matrix U so that A = L*U.
///
///
/// The computation of the LU factorization is done at construction time.
///
internal sealed class UserLU : LU
{
///
/// Initializes a new instance of the class. This object will compute the
/// LU factorization when the constructor is called and cache it's factorization.
///
/// The matrix to factor.
/// If is null.
/// If is not a square matrix.
public static UserLU Create(Matrix matrix)
{
if (matrix == null)
{
throw new ArgumentNullException(nameof(matrix));
}
if (matrix.RowCount != matrix.ColumnCount)
{
throw new ArgumentException("Matrix must be square.");
}
// Create an array for the pivot indices.
var order = matrix.RowCount;
var factors = matrix.Clone();
var pivots = new int[order];
// Initialize the pivot matrix to the identity permutation.
for (var i = 0; i < order; i++)
{
pivots[i] = i;
}
var vectorLUcolj = new double[order];
for (var j = 0; j < order; j++)
{
// Make a copy of the j-th column to localize references.
for (var i = 0; i < order; i++)
{
vectorLUcolj[i] = factors.At(i, j);
}
// Apply previous transformations.
for (var i = 0; i < order; i++)
{
var kmax = Math.Min(i, j);
var s = 0.0;
for (var k = 0; k < kmax; k++)
{
s += factors.At(i, k)*vectorLUcolj[k];
}
vectorLUcolj[i] -= s;
factors.At(i, j, vectorLUcolj[i]);
}
// Find pivot and exchange if necessary.
var p = j;
for (var i = j + 1; i < order; i++)
{
if (Math.Abs(vectorLUcolj[i]) > Math.Abs(vectorLUcolj[p]))
{
p = i;
}
}
if (p != j)
{
for (var k = 0; k < order; k++)
{
var temp = factors.At(p, k);
factors.At(p, k, factors.At(j, k));
factors.At(j, k, temp);
}
pivots[j] = p;
}
// Compute multipliers.
if (j < order & factors.At(j, j) != 0.0)
{
for (var i = j + 1; i < order; i++)
{
factors.At(i, j, (factors.At(i, j)/factors.At(j, j)));
}
}
}
return new UserLU(factors, pivots);
}
UserLU(Matrix factors, int[] pivots)
: base(factors, pivots)
{
}
///
/// Solves a system of linear equations, AX = B, with A LU factorized.
///
/// The right hand side , B.
/// The left hand side , X.
public override void Solve(Matrix input, Matrix result)
{
// Check for proper arguments.
if (input == null)
{
throw new ArgumentNullException(nameof(input));
}
if (result == null)
{
throw new ArgumentNullException(nameof(result));
}
// Check for proper dimensions.
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 != Factors.RowCount)
{
throw Matrix.DimensionsDontMatch(input, Factors);
}
// Copy the contents of input to result.
input.CopyTo(result);
for (var i = 0; i < Pivots.Length; i++)
{
if (Pivots[i] == i)
{
continue;
}
var p = Pivots[i];
for (var j = 0; j < result.ColumnCount; j++)
{
var temp = result.At(p, j);
result.At(p, j, result.At(i, j));
result.At(i, j, temp);
}
}
var order = Factors.RowCount;
// Solve L*Y = P*B
for (var k = 0; k < order; k++)
{
for (var i = k + 1; i < order; i++)
{
for (var j = 0; j < result.ColumnCount; j++)
{
var temp = result.At(k, j)*Factors.At(i, k);
result.At(i, j, result.At(i, j) - temp);
}
}
}
// Solve U*X = Y;
for (var k = order - 1; k >= 0; k--)
{
for (var j = 0; j < result.ColumnCount; j++)
{
result.At(k, j, (result.At(k, j)/Factors.At(k, k)));
}
for (var i = 0; i < k; i++)
{
for (var j = 0; j < result.ColumnCount; j++)
{
var temp = result.At(k, j)*Factors.At(i, k);
result.At(i, j, result.At(i, j) - temp);
}
}
}
}
///
/// Solves a system of linear equations, Ax = b, with A LU factorized.
///
/// The right hand side vector, b.
/// The left hand side , x.
public override void Solve(Vector input, Vector result)
{
// Check for proper arguments.
if (input == null)
{
throw new ArgumentNullException(nameof(input));
}
if (result == null)
{
throw new ArgumentNullException(nameof(result));
}
// Check for proper dimensions.
if (input.Count != result.Count)
{
throw new ArgumentException("All vectors must have the same dimensionality.");
}
if (input.Count != Factors.RowCount)
{
throw Matrix.DimensionsDontMatch(input, Factors);
}
// Copy the contents of input to result.
input.CopyTo(result);
for (var i = 0; i < Pivots.Length; i++)
{
if (Pivots[i] == i)
{
continue;
}
var p = Pivots[i];
var temp = result[p];
result[p] = result[i];
result[i] = temp;
}
var order = Factors.RowCount;
// Solve L*Y = P*B
for (var k = 0; k < order; k++)
{
for (var i = k + 1; i < order; i++)
{
result[i] -= result[k]*Factors.At(i, k);
}
}
// Solve U*X = Y;
for (var k = order - 1; k >= 0; k--)
{
result[k] /= Factors.At(k, k);
for (var i = 0; i < k; i++)
{
result[i] -= result[k]*Factors.At(i, k);
}
}
}
///
/// Returns the inverse of this matrix. The inverse is calculated using LU decomposition.
///
/// The inverse of this matrix.
public override Matrix Inverse()
{
var order = Factors.RowCount;
var inverse = Matrix.Build.SameAs(Factors, order, order);
for (var i = 0; i < order; i++)
{
inverse.At(i, i, 1.0);
}
return Solve(inverse);
}
}
}