Improve LUP decomposition wrapper, add Cholesky decomposition
This commit is contained in:
Iaroslav Postovalov
parent
7105b3662f
commit
472e2bf671
@ -7,7 +7,6 @@ import kscience.kmath.operations.Complex
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import kscience.kmath.operations.ComplexField
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import kscience.kmath.operations.toComplex
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import kscience.kmath.structures.Matrix
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import kscience.kmath.structures.toList
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import org.gnu.gsl.*
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import kotlin.reflect.KClass
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import kotlin.reflect.cast
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@ -114,37 +113,41 @@ public class GslRealMatrixContext(internal val scope: AutofreeScope) :
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@Suppress("IMPLICIT_CAST_TO_ANY")
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@UnstableKMathAPI
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public override fun <F : Any> getFeature(m: Matrix<Double>, type: KClass<F>): F? = when (type) {
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LupDecompositionFeature::class -> object : LupDecompositionFeature<Double> {
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private val lup by lazy {
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LupDecompositionFeature::class, DeterminantFeature::class -> object : LupDecompositionFeature<Double>,
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DeterminantFeature<Double>, InverseMatrixFeature<Double> {
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private val lups by lazy {
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val lu = m.toGsl().copy()
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val n = lu.rowNum
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val n = m.rowNum
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val perm = gsl_permutation_alloc(n.toULong())
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scope.defer { gsl_permutation_free(perm) }
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memScoped {
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val signum = memScoped {
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val i = alloc<IntVar>()
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gsl_linalg_LU_decomp(lu.nativeHandle, perm, i.ptr)
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i.value
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}
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Triple(lu, perm, signum)
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}
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override val p by lazy {
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val n = m.rowNum
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val one = produce(n, n) { i, j -> if (i == j) 1.0 else 0.0 }
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val p = produce(n, n) { _, _ -> 0.0 }
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val perm = produce(n, n) { _, _ -> 0.0 }
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for (j in 0 until perm!!.pointed.size.toInt()) {
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println("7 $j")
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val k = gsl_permutation_get(perm, j.toULong()).toInt()
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for (j in 0 until lups.second!!.pointed.size.toInt()) {
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val k = gsl_permutation_get(lups.second!!, j.toULong()).toInt()
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val col = one.columns[k]
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println(p.toGsl())
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println(col.toList())
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gsl_matrix_set_col(p.nativeHandle, j.toULong(), col.toGsl().nativeHandle)
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gsl_matrix_set_col(perm.nativeHandle, j.toULong(), col.toGsl().nativeHandle)
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}
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gsl_permutation_free(perm)
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lu to p
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perm
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}
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override val l by lazy {
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VirtualMatrix(lup.first.shape[0], lup.first.shape[1]) { i, j ->
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VirtualMatrix(lups.first.shape[0], lups.first.shape[1]) { i, j ->
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when {
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j < i -> lup.first[i, j]
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j < i -> lups.first[i, j]
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j == i -> 1.0
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else -> 0.0
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}
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@ -153,13 +156,28 @@ public class GslRealMatrixContext(internal val scope: AutofreeScope) :
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override val u by lazy {
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VirtualMatrix(
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lup.first.shape[0],
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lup.first.shape[1],
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) { i, j -> if (j >= i) lup.first[i, j] else 0.0 } + UFeature
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lups.first.shape[0],
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lups.first.shape[1],
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) { i, j -> if (j >= i) lups.first[i, j] else 0.0 } + UFeature
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}
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override val p by lazy(lup::second)
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override val determinant by lazy { gsl_linalg_LU_det(lups.first.nativeHandle, lups.third) }
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override val inverse by lazy {
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val inv = lups.first.copy()
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gsl_linalg_LU_invx(inv.nativeHandle, lups.second)
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inv
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}
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}
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CholeskyDecompositionFeature::class -> object : CholeskyDecompositionFeature<Double> {
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override val l: Matrix<Double> by lazy {
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val chol = m.toGsl().copy()
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gsl_linalg_cholesky_decomp(chol.nativeHandle)
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chol
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}
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}
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else -> super.getFeature(m, type)
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}?.let(type::cast)
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}
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@ -286,37 +304,41 @@ public class GslComplexMatrixContext(internal val scope: AutofreeScope) :
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@Suppress("IMPLICIT_CAST_TO_ANY")
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@UnstableKMathAPI
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public override fun <F : Any> getFeature(m: Matrix<Complex>, type: KClass<F>): F? = when (type) {
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LupDecompositionFeature::class -> object : LupDecompositionFeature<Complex> {
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private val lup by lazy {
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LupDecompositionFeature::class, DeterminantFeature::class -> object : LupDecompositionFeature<Complex>,
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DeterminantFeature<Complex>, InverseMatrixFeature<Complex> {
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private val lups by lazy {
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val lu = m.toGsl().copy()
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val n = lu.rowNum
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val n = m.rowNum
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val perm = gsl_permutation_alloc(n.toULong())
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scope.defer { gsl_permutation_free(perm) }
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memScoped {
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val signum = memScoped {
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val i = alloc<IntVar>()
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gsl_linalg_complex_LU_decomp(lu.nativeHandle, perm, i.ptr)
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i.value
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}
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Triple(lu, perm, signum)
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}
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override val p by lazy {
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val n = m.rowNum
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val one = produce(n, n) { i, j -> if (i == j) 1.0.toComplex() else 0.0.toComplex() }
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val p = produce(n, n) { _, _ -> 0.0.toComplex() }
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val perm = produce(n, n) { _, _ -> 0.0.toComplex() }
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for (j in 0 until perm!!.pointed.size.toInt()) {
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println("7 $j")
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val k = gsl_permutation_get(perm, j.toULong()).toInt()
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for (j in 0 until lups.second!!.pointed.size.toInt()) {
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val k = gsl_permutation_get(lups.second!!, j.toULong()).toInt()
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val col = one.columns[k]
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println(p.toGsl())
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println(col.toList())
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gsl_matrix_complex_set_col(p.nativeHandle, j.toULong(), col.toGsl().nativeHandle)
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gsl_matrix_complex_set_col(perm.nativeHandle, j.toULong(), col.toGsl().nativeHandle)
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}
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gsl_permutation_free(perm)
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lu to p
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perm
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}
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override val l by lazy {
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VirtualMatrix(lup.first.shape[0], lup.first.shape[1]) { i, j ->
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VirtualMatrix(lups.first.shape[0], lups.first.shape[1]) { i, j ->
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when {
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j < i -> lup.first[i, j]
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j < i -> lups.first[i, j]
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j == i -> 1.0.toComplex()
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else -> 0.0.toComplex()
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}
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@ -325,13 +347,30 @@ public class GslComplexMatrixContext(internal val scope: AutofreeScope) :
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override val u by lazy {
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VirtualMatrix(
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lup.first.shape[0],
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lup.first.shape[1],
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) { i, j -> if (j >= i) lup.first[i, j] else 0.0.toComplex() } + UFeature
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lups.first.shape[0],
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lups.first.shape[1],
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) { i, j -> if (j >= i) lups.first[i, j] else 0.0.toComplex() } + UFeature
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}
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override val p by lazy(lup::second)
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override val determinant by lazy {
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gsl_linalg_complex_LU_det(lups.first.nativeHandle, lups.third).toKMath()
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}
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override val inverse by lazy {
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val inv = lups.first.copy()
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gsl_linalg_complex_LU_invx(inv.nativeHandle, lups.second)
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inv
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}
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}
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CholeskyDecompositionFeature::class -> object : CholeskyDecompositionFeature<Complex> {
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override val l by lazy {
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val chol = m.toGsl().copy()
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gsl_linalg_complex_cholesky_decomp(chol.nativeHandle)
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chol
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}
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}
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else -> super.getFeature(m, type)
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}?.let(type::cast)
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}
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