sparse-chol.cc

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/*

Copyright (C) 2016-2017 John W. Eaton
Copyright (C) 2005-2016 David Bateman
Copyright (C) 1998-2005 Andy Adler

This file is part of Octave.

Octave is free software; you can redistribute it and/or modify it
under the terms of the GNU General Public License as published by the
Free Software Foundation; either version 3 of the License, or (at your
option) any later version.

Octave is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
FITNESS FOR A PARTICULAR PURPOSE.  See the GNU General Public License
for more details.

You should have received a copy of the GNU General Public License
along with Octave; see the file COPYING.  If not, see
<http://www.gnu.org/licenses/>.

*/

#if defined (HAVE_CONFIG_H)
#  include "config.h"
#endif

#include "sparse-chol.h"
#include "sparse-util.h"
#include "lo-error.h"
#include "oct-sparse.h"
#include "oct-spparms.h"
#include "quit.h"
#include "MatrixType.h"

namespace octave
{
  namespace math
  {
    template <typename chol_type>
    class sparse_chol<chol_type>::sparse_chol_rep
    {
    public:

      sparse_chol_rep (void)
        : count (1), is_pd (false), minor_p (0), perms (), cond (0)
#if defined (HAVE_CHOLMOD)
        , Lsparse (0), Common ()
#endif
      { }

      sparse_chol_rep (const chol_type& a, bool natural, bool force)
        : count (1), is_pd (false), minor_p (0), perms (), cond (0)
#if defined (HAVE_CHOLMOD)
        , Lsparse (0), Common ()
#endif
      {
        init (a, natural, force);
      }

      sparse_chol_rep (const chol_type& a, octave_idx_type& info,
                       bool natural, bool force)
        : count (1), is_pd (false), minor_p (0), perms (), cond (0)
#if defined (HAVE_CHOLMOD)
        , Lsparse (0), Common ()
#endif
      {
        info = init (a, natural, force);
      }

      ~sparse_chol_rep (void)
      {
#if defined (HAVE_CHOLMOD)
        if (Lsparse)
          CHOLMOD_NAME (free_sparse) (&Lsparse, &Common);

        CHOLMOD_NAME(finish) (&Common);
#endif
      }

#if defined (HAVE_CHOLMOD)
      cholmod_sparse *L (void) const
      {
        return Lsparse;
      }
#endif

      octave_idx_type P (void) const
      {
#if defined (HAVE_CHOLMOD)
        return (minor_p == static_cast<octave_idx_type>(Lsparse->ncol) ?
                0 : minor_p + 1);
#else
        return 0;
#endif
      }

      RowVector perm (void) const { return perms + 1; }

      SparseMatrix Q (void) const;

      bool is_positive_definite (void) const { return is_pd; }

      double rcond (void) const { return cond; }

      octave_refcount<int> count;

    private:

      bool is_pd;

      octave_idx_type minor_p;

      RowVector perms;

      double cond;

#if defined (HAVE_CHOLMOD)
      cholmod_sparse *Lsparse;

      cholmod_common Common;

      void drop_zeros (const cholmod_sparse *S);
#endif

      octave_idx_type init (const chol_type& a, bool natural, bool force);

      // No copying!

      sparse_chol_rep (const sparse_chol_rep&);

      sparse_chol_rep& operator = (const sparse_chol_rep&);
    };

#if defined (HAVE_CHOLMOD)

    // Can't use CHOLMOD_NAME(drop)(0.0, S, cm) because it doesn't treat
    // complex matrices.

    template <typename chol_type>
    void
    sparse_chol<chol_type>::sparse_chol_rep::drop_zeros (const cholmod_sparse *S)
    {
      if (! S)
        return;

      octave_idx_type *Sp = static_cast<octave_idx_type *>(S->p);
      octave_idx_type *Si = static_cast<octave_idx_type *>(S->i);
      chol_elt *Sx = static_cast<chol_elt *>(S->x);

      octave_idx_type pdest = 0;
      octave_idx_type ncol = S->ncol;

      for (octave_idx_type k = 0; k < ncol; k++)
        {
          octave_idx_type p = Sp[k];
          octave_idx_type pend = Sp[k+1];
          Sp[k] = pdest;

          for (; p < pend; p++)
            {
              chol_elt sik = Sx[p];

              if (CHOLMOD_IS_NONZERO (sik))
                {
                  if (p != pdest)
                    {
                      Si[pdest] = Si[p];
                      Sx[pdest] = sik;
                    }

                  pdest++;
                }
            }
        }

      Sp[ncol] = pdest;
    }

    // Must provide a specialization for this function.
    template <typename T>
    int
    get_xtype (void);

    template <>
    inline int
    get_xtype<double> (void)
    {
      return CHOLMOD_REAL;
    }

    template <>
    inline int
    get_xtype<Complex> (void)
    {
      return CHOLMOD_COMPLEX;
    }

#endif

    template <typename chol_type>
    octave_idx_type
    sparse_chol<chol_type>::sparse_chol_rep::init (const chol_type& a,
                                                   bool natural, bool force)
    {
      volatile octave_idx_type info = 0;

#if defined (HAVE_CHOLMOD)

      octave_idx_type a_nr = a.rows ();
      octave_idx_type a_nc = a.cols ();

      if (a_nr != a_nc)
        (*current_liboctave_error_handler) ("sparse_chol requires square matrix");

      cholmod_common *cm = &Common;

      // Setup initial parameters

      CHOLMOD_NAME(start) (cm);
      cm->prefer_zomplex = false;

      double spu = octave_sparse_params::get_key ("spumoni");

      if (spu == 0.)
        {
          cm->print = -1;
          SUITESPARSE_ASSIGN_FPTR (printf_func, cm->print_function, 0);
        }
      else
        {
          cm->print = static_cast<int> (spu) + 2;
          SUITESPARSE_ASSIGN_FPTR (printf_func, cm->print_function, &SparseCholPrint);
        }

      cm->error_handler = &SparseCholError;

      SUITESPARSE_ASSIGN_FPTR2 (divcomplex_func, cm->complex_divide, divcomplex);
      SUITESPARSE_ASSIGN_FPTR2 (hypot_func, cm->hypotenuse, hypot);

      cm->final_asis = false;
      cm->final_super = false;
      cm->final_ll = true;
      cm->final_pack = true;
      cm->final_monotonic = true;
      cm->final_resymbol = false;

      cholmod_sparse A;
      cholmod_sparse *ac = &A;
      double dummy;

      ac->nrow = a_nr;
      ac->ncol = a_nc;

      ac->p = a.cidx ();
      ac->i = a.ridx ();
      ac->nzmax = a.nnz ();
      ac->packed = true;
      ac->sorted = true;
      ac->nz = 0;
#if defined (OCTAVE_ENABLE_64)
      ac->itype = CHOLMOD_LONG;
#else
      ac->itype = CHOLMOD_INT;
#endif
      ac->dtype = CHOLMOD_DOUBLE;
      ac->stype = 1;
      ac->xtype = get_xtype<chol_elt> ();

      if (a_nr < 1)
        ac->x = &dummy;
      else
        ac->x = a.data ();

      // use natural ordering if no q output parameter
      if (natural)
        {
          cm->nmethods = 1;
          cm->method[0].ordering = CHOLMOD_NATURAL;
          cm->postorder = false;
        }

      cholmod_factor *Lfactor;
      BEGIN_INTERRUPT_IMMEDIATELY_IN_FOREIGN_CODE;
      Lfactor = CHOLMOD_NAME(analyze) (ac, cm);
      CHOLMOD_NAME(factorize) (ac, Lfactor, cm);
      END_INTERRUPT_IMMEDIATELY_IN_FOREIGN_CODE;

      is_pd = cm->status == CHOLMOD_OK;
      info = (is_pd ? 0 : cm->status);

      if (is_pd || force)
        {
          BEGIN_INTERRUPT_IMMEDIATELY_IN_FOREIGN_CODE;
          cond = CHOLMOD_NAME(rcond) (Lfactor, cm);
          END_INTERRUPT_IMMEDIATELY_IN_FOREIGN_CODE;

          minor_p = Lfactor->minor;

          BEGIN_INTERRUPT_IMMEDIATELY_IN_FOREIGN_CODE;
          Lsparse = CHOLMOD_NAME(factor_to_sparse) (Lfactor, cm);
          END_INTERRUPT_IMMEDIATELY_IN_FOREIGN_CODE;

          if (minor_p > 0 && minor_p < a_nr)
            {
              size_t n1 = a_nr + 1;
              Lsparse->p = CHOLMOD_NAME(realloc) (minor_p+1,
                                                  sizeof(octave_idx_type),
                                                  Lsparse->p, &n1, cm);
              BEGIN_INTERRUPT_IMMEDIATELY_IN_FOREIGN_CODE;
              CHOLMOD_NAME(reallocate_sparse)
                (static_cast<octave_idx_type *>(Lsparse->p)[minor_p], Lsparse, cm);
              END_INTERRUPT_IMMEDIATELY_IN_FOREIGN_CODE;

              Lsparse->ncol = minor_p;
            }

          drop_zeros (Lsparse);

          if (! natural)
            {
              perms.resize (a_nr);
              for (octave_idx_type i = 0; i < a_nr; i++)
                perms(i) = static_cast<octave_idx_type *>(Lfactor->Perm)[i];
            }
        }

      // NAME used to prefix statistics report from print_common
      static char blank_name[] = " ";

      BEGIN_INTERRUPT_IMMEDIATELY_IN_FOREIGN_CODE;
      CHOLMOD_NAME(print_common) (blank_name, cm);
      CHOLMOD_NAME(free_factor) (&Lfactor, cm);
      END_INTERRUPT_IMMEDIATELY_IN_FOREIGN_CODE;

      return info;

#else

      octave_unused_parameter (a);
      octave_unused_parameter (natural);
      octave_unused_parameter (force);

      (*current_liboctave_error_handler)
        ("support for CHOLMOD was unavailable or disabled when liboctave was built");

      return info;

#endif
    }

    template <typename chol_type>
    SparseMatrix
    sparse_chol<chol_type>::sparse_chol_rep::Q (void) const
    {
#if defined (HAVE_CHOLMOD)

      octave_idx_type n = Lsparse->nrow;
      SparseMatrix p (n, n, n);

      for (octave_idx_type i = 0; i < n; i++)
        {
          p.xcidx (i) = i;
          p.xridx (i) = static_cast<octave_idx_type>(perms (i));
          p.xdata (i) = 1;
        }

      p.xcidx (n) = n;

      return p;

#else

      return SparseMatrix ();

#endif
    }

    template <typename chol_type>
    sparse_chol<chol_type>::sparse_chol (void)
      : rep (new typename sparse_chol<chol_type>::sparse_chol_rep ())
    { }

    template <typename chol_type>
    sparse_chol<chol_type>::sparse_chol (const chol_type& a, bool natural,
                                         bool force)
      : rep (new typename
             sparse_chol<chol_type>::sparse_chol_rep (a, natural, force))
    { }

    template <typename chol_type>
    sparse_chol<chol_type>::sparse_chol (const chol_type& a, octave_idx_type& info,
                                         bool natural, bool force)
      : rep (new typename
             sparse_chol<chol_type>::sparse_chol_rep (a, info, natural, force))
    { }

    template <typename chol_type>
    sparse_chol<chol_type>::sparse_chol (const chol_type& a, octave_idx_type& info,
                                         bool natural)
      : rep (new typename
             sparse_chol<chol_type>::sparse_chol_rep (a, info, natural, false))
    { }

    template <typename chol_type>
    sparse_chol<chol_type>::sparse_chol (const chol_type& a, octave_idx_type& info)
      : rep (new typename
             sparse_chol<chol_type>::sparse_chol_rep (a, info, false, false))
    { }

    template <typename chol_type>
    sparse_chol<chol_type>::sparse_chol (const sparse_chol<chol_type>& a)
      : rep (a.rep)
    {
      rep->count++;
    }

    template <typename chol_type>
    sparse_chol<chol_type>::~sparse_chol (void)
    {
      if (--rep->count == 0)
        delete rep;
    }

    template <typename chol_type>
    sparse_chol<chol_type>&
    sparse_chol<chol_type>::operator = (const sparse_chol& a)
    {
      if (this != &a)
        {
          if (--rep->count == 0)
            delete rep;

          rep = a.rep;
          rep->count++;
        }

      return *this;
    }

    template <typename chol_type>
    chol_type
    sparse_chol<chol_type>::L (void) const
    {
#if defined (HAVE_CHOLMOD)

      cholmod_sparse *m = rep->L ();

      octave_idx_type nc = m->ncol;
      octave_idx_type nnz = m->nzmax;

      chol_type ret (m->nrow, nc, nnz);

      for (octave_idx_type j = 0; j < nc+1; j++)
        ret.xcidx (j) = static_cast<octave_idx_type *>(m->p)[j];

      for (octave_idx_type i = 0; i < nnz; i++)
        {
          ret.xridx (i) = static_cast<octave_idx_type *>(m->i)[i];
          ret.xdata (i) = static_cast<chol_elt *>(m->x)[i];
        }

      return ret;

#else

      return chol_type ();

#endif
    }

    template <typename chol_type>
    octave_idx_type
    sparse_chol<chol_type>::P (void) const
    {
      return rep->P ();
    }

    template <typename chol_type>
    RowVector
    sparse_chol<chol_type>::perm (void) const
    {
      return rep->perm ();
    }

    template <typename chol_type>
    SparseMatrix
    sparse_chol<chol_type>::Q (void) const
    {
      return rep->Q ();
    }

    template <typename chol_type>
    bool
    sparse_chol<chol_type>::is_positive_definite (void) const
    {
      return rep->is_positive_definite ();
    }

    template <typename chol_type>
    double
    sparse_chol<chol_type>::rcond (void) const
    {
      return rep->rcond ();
    }

    template <typename chol_type>
    chol_type
    sparse_chol<chol_type>::inverse (void) const
    {
      chol_type retval;

#if defined (HAVE_CHOLMOD)

      cholmod_sparse *m = rep->L ();
      octave_idx_type n = m->ncol;
      RowVector perms = rep->perm ();
      double rcond2;
      octave_idx_type info;
      MatrixType mattype (MatrixType::Upper);
      chol_type linv = L ().hermitian ().inverse (mattype, info, rcond2, 1, 0);

      if (perms.numel () == n)
        {
          SparseMatrix Qc = Q ();

          retval = Qc * linv * linv.hermitian () * Qc.transpose ();
        }
      else
        retval = linv * linv.hermitian ();

#endif

      return retval;
    }

    template <typename chol_type>
    chol_type
    chol2inv (const chol_type& r)
    {
      octave_idx_type r_nr = r.rows ();
      octave_idx_type r_nc = r.cols ();
      chol_type retval;

      if (r_nr != r_nc)
        (*current_liboctave_error_handler) ("U must be a square matrix");

      MatrixType mattype (r);
      int typ = mattype.type (false);
      double rcond;
      octave_idx_type info;
      chol_type rtra, multip;

      if (typ == MatrixType::Upper)
        {
          rtra = r.transpose ();
          multip = (rtra*r);
        }
      else if (typ == MatrixType::Lower)
        {
          rtra = r.transpose ();
          multip = (r*rtra);
        }
      else
        (*current_liboctave_error_handler) ("U must be a triangular matrix");

      MatrixType mattypenew (multip);
      retval = multip.inverse (mattypenew, info, rcond, true, false);
      return retval;
    }

    // SparseComplexMatrix specialization (the value for the NATURAL
    // parameter in the sparse_chol<T>::sparse_chol_rep constructor is
    // different from the default).

    template <>
    sparse_chol<SparseComplexMatrix>::sparse_chol (const SparseComplexMatrix& a,
                                                   octave_idx_type& info)
      : rep (new sparse_chol<SparseComplexMatrix>::sparse_chol_rep (a, info,
                                                                    true,
                                                                    false))
    { }

    // Instantiations we need.

    template class sparse_chol<SparseMatrix>;

    template class sparse_chol<SparseComplexMatrix>;

    template SparseMatrix
    chol2inv<SparseMatrix> (const SparseMatrix& r);

    template SparseComplexMatrix
    chol2inv<SparseComplexMatrix> (const SparseComplexMatrix& r);
  }
}