// // 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.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. /// In the Math.Net implementation we also store a set of pivot elements for increased /// numerical stability. The pivot elements encode a permutation matrix P such that P*A = L*U. /// /// /// The computation of the LU factorization is done at construction time. /// /// Supported data types are double, single, , and . public abstract class LU : ISolver where T : struct, IEquatable, IFormattable { static readonly T One = BuilderInstance.Matrix.One; readonly Lazy> _lazyL; readonly Lazy> _lazyU; readonly Lazy _lazyP; protected readonly Matrix Factors; protected readonly int[] Pivots; protected LU(Matrix factors, int[] pivots) { Factors = factors; Pivots = pivots; _lazyL = new Lazy>(ComputeL); _lazyU = new Lazy>(Factors.UpperTriangle); _lazyP = new Lazy(() => Permutation.FromInversions(Pivots)); } Matrix ComputeL() { var result = Factors.LowerTriangle(); for (var i = 0; i < result.RowCount; i++) { result.At(i, i, One); } return result; } /// /// Gets the lower triangular factor. /// public Matrix L => _lazyL.Value; /// /// Gets the upper triangular factor. /// public Matrix U => _lazyU.Value; /// /// Gets the permutation applied to LU factorization. /// public Permutation P => _lazyP.Value; /// /// Gets the determinant of the matrix for which the LU factorization was computed. /// public abstract T Determinant { get; } /// /// Solves a system of linear equations, AX = B, with A LU factorized. /// /// The right hand side , B. /// The left hand side , X. public virtual Matrix Solve(Matrix input) { var x = Matrix.Build.SameAs(input, input.RowCount, input.ColumnCount, fullyMutable: true); Solve(input, x); return x; } /// /// Solves a system of linear equations, AX = B, with A LU factorized. /// /// The right hand side , B. /// The left hand side , X. public abstract void Solve(Matrix input, Matrix result); /// /// Solves a system of linear equations, Ax = b, with A LU factorized. /// /// The right hand side vector, b. /// The left hand side , x. public virtual Vector Solve(Vector input) { var x = Vector.Build.SameAs(input, input.Count); Solve(input, x); return x; } /// /// Solves a system of linear equations, Ax = b, with A LU factorized. /// /// The right hand side vector, b. /// The left hand side , x. public abstract void Solve(Vector input, Vector result); /// /// Returns the inverse of this matrix. The inverse is calculated using LU decomposition. /// /// The inverse of this matrix. public abstract Matrix Inverse(); } }