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// Copyright 2008-2016 Conrad Sanderson (http://conradsanderson.id.au)
// Copyright 2008-2016 National ICT Australia (NICTA)
//
// Licensed under the Apache License, Version 2.0 (the "License");
// you may not use this file except in compliance with the License.
// You may obtain a copy of the License at
// http://www.apache.org/licenses/LICENSE-2.0
//
// Unless required by applicable law or agreed to in writing, software
// distributed under the License is distributed on an "AS IS" BASIS,
// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
// See the License for the specific language governing permissions and
// limitations under the License.
// ------------------------------------------------------------------------
namespace newarp
{
template<typename eT, int SelectionRule, typename OpType>
inline
void
SymEigsSolver<eT, SelectionRule, OpType>::factorise_from(uword from_k, uword to_m, const Col<eT>& fk)
{
arma_extra_debug_sigprint();
if(to_m <= from_k) { return; }
fac_f = fk;
Col<eT> w(dim_n);
eT beta = norm(fac_f), Hii = 0.0;
// Keep the upperleft k x k submatrix of H and set other elements to 0
fac_H.tail_cols(ncv - from_k).zeros();
fac_H.submat(span(from_k, ncv - 1), span(0, from_k - 1)).zeros();
for(uword i = from_k; i <= to_m - 1; i++)
{
bool restart = false;
// If beta = 0, then the next V is not full rank
// We need to generate a new residual vector that is orthogonal
// to the current V, which we call a restart
if(beta < eps)
{
// Generate new random vector for fac_f
blas_int idist = 2;
blas_int iseed[4] = {1, 3, 5, 7};
iseed[0] = (i + 100) % 4095;
blas_int n = dim_n;
lapack::larnv(&idist, &iseed[0], &n, fac_f.memptr());
// f <- f - V * V' * f, so that f is orthogonal to V
Mat<eT> Vs(fac_V.memptr(), dim_n, i, false); // First i columns
Col<eT> Vf = Vs.t() * fac_f;
fac_f -= Vs * Vf;
// beta <- ||f||
beta = norm(fac_f);
restart = true;
}
// v <- f / ||f||
Col<eT> v(fac_V.colptr(i), dim_n, false); // The (i+1)-th column
v = fac_f / beta;
// Note that H[i+1, i] equals to the unrestarted beta
if(restart) { fac_H(i, i - 1) = 0.0; } else { fac_H(i, i - 1) = beta; }
// w <- A * v, v = fac_V.col(i)
op.perform_op(v.memptr(), w.memptr());
nmatop++;
Hii = dot(v, w);
fac_H(i - 1, i) = fac_H(i, i - 1); // Due to symmetry
fac_H(i, i) = Hii;
// f <- w - V * V' * w = w - H[i+1, i] * V{i} - H[i+1, i+1] * V{i+1}
// If restarting, we know that H[i+1, i] = 0
if(restart)
{
fac_f = w - Hii * v;
}
else
{
fac_f = w - fac_H(i, i - 1) * fac_V.col(i - 1) - Hii * v;
}
beta = norm(fac_f);
// f/||f|| is going to be the next column of V, so we need to test
// whether V' * (f/||f||) ~= 0
Mat<eT> Vs(fac_V.memptr(), dim_n, i + 1, false); // First i+1 columns
Col<eT> Vf = Vs.t() * fac_f;
// If not, iteratively correct the residual
uword count = 0;
while(count < 5 && abs(Vf).max() > approx0 * beta)
{
// f <- f - V * Vf
fac_f -= Vs * Vf;
// h <- h + Vf
fac_H(i - 1, i) += Vf[i - 1];
fac_H(i, i - 1) = fac_H(i - 1, i);
fac_H(i, i) += Vf[i];
// beta <- ||f||
beta = norm(fac_f);
Vf = Vs.t() * fac_f;
count++;
}
}
}
template<typename eT, int SelectionRule, typename OpType>
inline
void
SymEigsSolver<eT, SelectionRule, OpType>::restart(uword k)
{
arma_extra_debug_sigprint();
if(k >= ncv) { return; }
TridiagQR<eT> decomp;
Mat<eT> Q = eye< Mat<eT> >(ncv, ncv);
for(uword i = k; i < ncv; i++)
{
// QR decomposition of H-mu*I, mu is the shift
fac_H.diag() -= ritz_val(i);
decomp.compute(fac_H);
// Q -> Q * Qi
decomp.apply_YQ(Q);
// H -> Q'HQ
// Since QR = H - mu * I, we have H = QR + mu * I
// and therefore Q'HQ = RQ + mu * I
fac_H = decomp.matrix_RQ();
fac_H.diag() += ritz_val(i);
}
// V -> VQ, only need to update the first k+1 columns
// Q has some elements being zero
// The first (ncv - k + i) elements of the i-th column of Q are non-zero
Mat<eT> Vs(dim_n, k + 1);
uword nnz;
for(uword i = 0; i < k; i++)
{
nnz = ncv - k + i + 1;
Mat<eT> V(fac_V.memptr(), dim_n, nnz, false);
Col<eT> q(Q.colptr(i), nnz, false);
Vs.col(i) = V * q;
}
Vs.col(k) = fac_V * Q.col(k);
fac_V.head_cols(k + 1) = Vs;
Col<eT> fk = fac_f * Q(ncv - 1, k - 1) + fac_V.col(k) * fac_H(k, k - 1);
factorise_from(k, ncv, fk);
retrieve_ritzpair();
}
template<typename eT, int SelectionRule, typename OpType>
inline
uword
SymEigsSolver<eT, SelectionRule, OpType>::num_converged(eT tol)
{
arma_extra_debug_sigprint();
// thresh = tol * max(approx0, abs(theta)), theta for ritz value
const eT f_norm = norm(fac_f);
for(uword i = 0; i < nev; i++)
{
eT thresh = tol * std::max(approx0, std::abs(ritz_val(i)));
eT resid = std::abs(ritz_est(i)) * f_norm;
ritz_conv[i] = (resid < thresh);
}
return std::count(ritz_conv.begin(), ritz_conv.end(), true);
}
template<typename eT, int SelectionRule, typename OpType>
inline
uword
SymEigsSolver<eT, SelectionRule, OpType>::nev_adjusted(uword nconv)
{
arma_extra_debug_sigprint();
uword nev_new = nev;
for(uword i = nev; i < ncv; i++)
{
if(std::abs(ritz_est(i)) < eps) { nev_new++; }
}
// Adjust nev_new, according to dsaup2.f line 677~684 in ARPACK
nev_new += std::min(nconv, (ncv - nev_new) / 2);
if(nev_new >= ncv) { nev_new = ncv - 1; }
if(nev_new == 1 && ncv >= 6)
{
nev_new = ncv / 2;
}
else
if(nev_new == 1 && ncv > 2)
{
nev_new = 2;
}
return nev_new;
}
template<typename eT, int SelectionRule, typename OpType>
inline
void
SymEigsSolver<eT, SelectionRule, OpType>::retrieve_ritzpair()
{
arma_extra_debug_sigprint();
TridiagEigen<eT> decomp(fac_H);
Col<eT> evals = decomp.eigenvalues();
Mat<eT> evecs = decomp.eigenvectors();
SortEigenvalue<eT, SelectionRule> sorting(evals.memptr(), evals.n_elem);
std::vector<uword> ind = sorting.index();
// For BOTH_ENDS, the eigenvalues are sorted according
// to the LARGEST_ALGE rule, so we need to move those smallest
// values to the left
// The order would be
// Largest => Smallest => 2nd largest => 2nd smallest => ...
// We keep this order since the first k values will always be
// the wanted collection, no matter k is nev_updated (used in restart())
// or is nev (used in sort_ritzpair())
if(SelectionRule == EigsSelect::BOTH_ENDS)
{
std::vector<uword> ind_copy(ind);
for(uword i = 0; i < ncv; i++)
{
// If i is even, pick values from the left (large values)
// If i is odd, pick values from the right (small values)
if(i % 2 == 0) { ind[i] = ind_copy[i / 2]; } else { ind[i] = ind_copy[ncv - 1 - i / 2]; }
}
}
// Copy the ritz values and vectors to ritz_val and ritz_vec, respectively
for(uword i = 0; i < ncv; i++)
{
ritz_val(i) = evals(ind[i]);
ritz_est(i) = evecs(ncv - 1, ind[i]);
}
for(uword i = 0; i < nev; i++)
{
ritz_vec.col(i) = evecs.col(ind[i]);
}
}
template<typename eT, int SelectionRule, typename OpType>
inline
void
SymEigsSolver<eT, SelectionRule, OpType>::sort_ritzpair()
{
arma_extra_debug_sigprint();
// SortEigenvalue<eT, EigsSelect::LARGEST_MAGN> sorting(ritz_val.memptr(), nev);
// sort Ritz values in ascending algebraic, to be consistent with ARPACK
SortEigenvalue<eT, EigsSelect::SMALLEST_ALGE> sorting(ritz_val.memptr(), nev);
std::vector<uword> ind = sorting.index();
Col<eT> new_ritz_val(ncv);
Mat<eT> new_ritz_vec(ncv, nev);
std::vector<bool> new_ritz_conv(nev);
for(uword i = 0; i < nev; i++)
{
new_ritz_val(i) = ritz_val(ind[i]);
new_ritz_vec.col(i) = ritz_vec.col(ind[i]);
new_ritz_conv[i] = ritz_conv[ind[i]];
}
ritz_val.swap(new_ritz_val);
ritz_vec.swap(new_ritz_vec);
ritz_conv.swap(new_ritz_conv);
}
template<typename eT, int SelectionRule, typename OpType>
inline
SymEigsSolver<eT, SelectionRule, OpType>::SymEigsSolver(const OpType& op_, uword nev_, uword ncv_)
: op(op_)
, nev(nev_)
, dim_n(op.n_rows)
, ncv(ncv_ > dim_n ? dim_n : ncv_)
, nmatop(0)
, niter(0)
, eps(std::numeric_limits<eT>::epsilon())
, approx0(std::pow(eps, eT(2.0) / 3))
{
arma_extra_debug_sigprint();
arma_debug_check( (nev_ < 1 || nev_ > dim_n - 1), "newarp::SymEigsSolver: nev must satisfy 1 <= nev <= n - 1, n is the size of matrix" );
arma_debug_check( (ncv_ <= nev_ || ncv_ > dim_n), "newarp::SymEigsSolver: ncv must satisfy nev < ncv <= n, n is the size of matrix" );
}
template<typename eT, int SelectionRule, typename OpType>
inline
void
SymEigsSolver<eT, SelectionRule, OpType>::init(eT* init_resid)
{
arma_extra_debug_sigprint();
// Reset all matrices/vectors to zero
fac_V.zeros(dim_n, ncv);
fac_H.zeros(ncv, ncv);
fac_f.zeros(dim_n);
ritz_val.zeros(ncv);
ritz_vec.zeros(ncv, nev);
ritz_est.zeros(ncv);
ritz_conv.assign(nev, false);
nmatop = 0;
niter = 0;
Col<eT> r(init_resid, dim_n, false);
// The first column of fac_V
Col<eT> v(fac_V.colptr(0), dim_n, false);
eT rnorm = norm(r);
arma_check( (rnorm < eps), "newarp::SymEigsSolver::init(): initial residual vector cannot be zero" );
v = r / rnorm;
Col<eT> w(dim_n);
op.perform_op(v.memptr(), w.memptr());
nmatop++;
fac_H(0, 0) = dot(v, w);
fac_f = w - v * fac_H(0, 0);
}
template<typename eT, int SelectionRule, typename OpType>
inline
void
SymEigsSolver<eT, SelectionRule, OpType>::init()
{
arma_extra_debug_sigprint();
podarray<eT> init_resid(dim_n);
blas_int idist = 2; // Uniform(-1, 1)
blas_int iseed[4] = {1, 3, 5, 7}; // Fixed random seed
blas_int n = dim_n;
lapack::larnv(&idist, &iseed[0], &n, init_resid.memptr());
init(init_resid.memptr());
}
template<typename eT, int SelectionRule, typename OpType>
inline
uword
SymEigsSolver<eT, SelectionRule, OpType>::compute(uword maxit, eT tol)
{
arma_extra_debug_sigprint();
// The m-step Arnoldi factorisation
factorise_from(1, ncv, fac_f);
retrieve_ritzpair();
// Restarting
uword i, nconv = 0, nev_adj;
for(i = 0; i < maxit; i++)
{
nconv = num_converged(tol);
if(nconv >= nev) { break; }
nev_adj = nev_adjusted(nconv);
restart(nev_adj);
}
// Sorting results
sort_ritzpair();
niter = i + 1;
return std::min(nev, nconv);
}
template<typename eT, int SelectionRule, typename OpType>
inline
Col<eT>
SymEigsSolver<eT, SelectionRule, OpType>::eigenvalues()
{
arma_extra_debug_sigprint();
uword nconv = std::count(ritz_conv.begin(), ritz_conv.end(), true);
Col<eT> res(nconv);
if(nconv > 0)
{
uword j = 0;
for(uword i = 0; i < nev; i++)
{
if(ritz_conv[i])
{
res(j) = ritz_val(i);
j++;
}
}
}
return res;
}
template<typename eT, int SelectionRule, typename OpType>
inline
Mat<eT>
SymEigsSolver<eT, SelectionRule, OpType>::eigenvectors(uword nvec)
{
arma_extra_debug_sigprint();
uword nconv = std::count(ritz_conv.begin(), ritz_conv.end(), true);
nvec = std::min(nvec, nconv);
Mat<eT> res(dim_n, nvec);
if(nvec > 0)
{
Mat<eT> ritz_vec_conv(ncv, nvec);
uword j = 0;
for(uword i = 0; i < nev && j < nvec; i++)
{
if(ritz_conv[i])
{
ritz_vec_conv.col(j) = ritz_vec.col(i);
j++;
}
}
res = fac_V * ritz_vec_conv;
}
return res;
}
} // namespace newarp
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