examples/src/main/kotlin/space/kscience/kmath/tensors/LinearSystemSolvingWithLUP.kt

@@ -0,0 +1,97 @@
+/*
+ * Copyright 2018-2021 KMath contributors.
+ * Use of this source code is governed by the Apache 2.0 license that can be found in the license/LICENSE.txt file.
+ */
+
+package space.kscience.kmath.tensors
+
+import space.kscience.kmath.tensors.core.DoubleTensor
+import space.kscience.kmath.tensors.core.algebras.DoubleLinearOpsTensorAlgebra
+
+// solving linear system with LUP decomposition
+
+fun main () {
+
+    // work in context with linear operations
+    DoubleLinearOpsTensorAlgebra {
+
+        // set true value of x
+        val trueX = fromArray(
+            intArrayOf(4),
+            doubleArrayOf(-2.0, 1.5, 6.8, -2.4)
+        )
+
+        // and A matrix
+        val a = fromArray(
+            intArrayOf(4, 4),
+            doubleArrayOf(
+                0.5, 10.5, 4.5, 1.0,
+                8.5, 0.9, 12.8, 0.1,
+                5.56, 9.19, 7.62, 5.45,
+                1.0, 2.0, -3.0, -2.5
+            )
+        )
+
+        // calculate y value
+        val b = a dot trueX
+
+        // check out A and b
+        println("A:\n$a")
+        println("b:\n$b")
+
+        // solve `Ax = b` system using LUP decomposition
+
+        // get P, L, U such that PA = LU
+        val (lu, pivots) = a.lu()
+        val (p, l, u) = luPivot(lu, pivots)
+
+        // check that P is permutation matrix
+        println("P:\n$p")
+        // L is lower triangular matrix and U is upper triangular matrix
+        println("L:\n$l")
+        println("U:\n$u")
+        // and PA = LU
+        println("PA:\n${p dot a}")
+        println("LU:\n${l dot u}")
+
+     /* Ax = b;
+        PAx = Pb;
+        LUx = Pb;
+        let y = Ux, then
+        Ly = Pb -- this system can be easily solved, since the matrix L is lower triangular;
+        Ux = y can be solved the same way, since the matrix L is upper triangular
+         */
+
+
+
+        // this function returns solution x of a system lx = b, l should be lower triangular
+        fun solveLT(l: DoubleTensor, b: DoubleTensor): DoubleTensor {
+            val n = l.shape[0]
+            val x = zeros(intArrayOf(n))
+            for (i in 0 until n){
+                x[intArrayOf(i)] = (b[intArrayOf(i)] -  l[i].dot(x).value()) / l[intArrayOf(i, i)]
+            }
+            return x
+        }
+
+        val y = solveLT(l, p dot b)
+
+        // solveLT(l, b) function can be easily adapted for upper triangular matrix by the permutation matrix revMat
+        // create it by placing ones on side diagonal
+        val revMat = u.zeroesLike()
+        val n = revMat.shape[0]
+        for (i in 0 until n) {
+            revMat[intArrayOf(i, n - 1 - i)] = 1.0
+        }
+
+        // solution of system ux = b, u should be upper triangular
+        fun solveUT(u: DoubleTensor, b: DoubleTensor): DoubleTensor = revMat dot solveLT(
+            revMat dot u dot revMat, revMat dot b
+        )
+
+        val x = solveUT(u, y)
+
+        println("True x:\n$trueX")
+        println("x founded with LU method:\n$x")
+    }
+}