LUDecomposition.h

Go to the documentation of this file.

//
// File: LU.h
// Created by: Julien Dutheil
// Created on: Tue Apr 7 16:24 2004
//

/*
   Copyright or © or Copr. Bio++ Development Team, (November 17, 2004)

   This software is a computer program whose purpose is to provide classes
   for numerical calculus.

   This software is governed by the CeCILL  license under French law and
   abiding by the rules of distribution of free software.  You can  use,
   modify and/ or redistribute the software under the terms of the CeCILL
   license as circulated by CEA, CNRS and INRIA at the following URL
   "http://www.cecill.info".

   As a counterpart to the access to the source code and  rights to copy,
   modify and redistribute granted by the license, users are provided only
   with a limited warranty  and the software's author,  the holder of the
   economic rights,  and the successive licensors  have only  limited
   liability.

   In this respect, the user's attention is drawn to the risks associated
   with loading,  using,  modifying and/or developing or reproducing the
   software by the user in light of its specific status of free software,
   that may mean  that it is complicated to manipulate,  and  that  also
   therefore means  that it is reserved for developers  and  experienced
   professionals having in-depth computer knowledge. Users are therefore
   encouraged to load and test the software's suitability as regards their
   requirements in conditions enabling the security of their systems and/or
   data to be ensured and,  more generally, to use and operate it in the
   same conditions as regards security.

   The fact that you are presently reading this means that you have had
   knowledge of the CeCILL license and that you accept its terms.
 */

#ifndef _LU_H_
#define _LU_H_

#include "Matrix.h"
#include "../NumTools.h"
#include "../../Exceptions.h"

// From the STL:
#include <algorithm>
#include <vector>
// for min(), max() below

namespace bpp
{
template<class Real>
class LUDecomposition
{
private:
  /* Array for internal storage of decomposition.  */
  RowMatrix<Real> LU;
  RowMatrix<Real> L_;
  RowMatrix<Real> U_;
  size_t m, n;
  int pivsign;
  std::vector<size_t> piv;

private:
  static void permuteCopy(const Matrix<Real>& A, const std::vector<size_t>& piv, size_t j0, size_t j1, Matrix<Real>& X)
  {
    size_t piv_length = piv.size();

    X.resize(piv_length, j1 - j0 + 1);

    for (size_t i = 0; i < piv_length; i++)
    {
      for (size_t j = j0; j <= j1; j++)
      {
        X(i, j - j0) = A(piv[i], j);
      }
    }
  }

  static void permuteCopy(const std::vector<Real>& A, const std::vector<size_t>& piv, std::vector<Real>& X)
  {
    size_t piv_length = piv.size();
    if (piv_length != A.size())
      X.clean();

    X.resize(piv_length);

    for (size_t i = 0; i < piv_length; i++)
    {
      X[i] = A[piv[i]];
    }
  }

public:
  // This is the constructor in JAMA C++ port. However, it seems to have some bug...
  // We use the original JAMA's 'experimental' port, which gives good results instead.
  /*    LUDecomposition (const Matrix<Real> &A) : LU(A), m(A.getNumberOfRows()), n(A.getNumberOfColumns()), piv(A.getNumberOfRows())
        {

        // Use a "left-looking", dot-product, Crout/Doolittle algorithm.


        for (size_t i = 0; i < m; i++) {
        piv[i] = i;
        }
        pivsign = 1;
        //Real *LUrowi = 0;;
        vector<Real> LUrowi;
        vector<Real> LUcolj;

        // Outer loop.

        for (size_t j = 0; j < n; j++) {

        // Make a copy of the j-th column to localize references.

        LUcolj = LU.col(j);
        //for (size_t i = 0; i < m; i++) {
      //  LUcolj[i] = LU(i,j);
      //}

      // Apply previous transformations.

      for (size_t i = 0; i < m; i++) {
        //LUrowi = LU[i];
        LUrowi = LU.row(i);

        // Most of the time is spent in the following dot product.

        size_t kmax = NumTools::min<size_t>(i,j);
        double s = 0.0;
        for (size_t k = 0; k < kmax; k++) {
        s += LUrowi[k] * LUcolj[k];
        }

        LUrowi[j] = LUcolj[i] -= s;
        }

        // Find pivot and exchange if necessary.

        size_t p = j;
        for (size_t i = j+1; i < m; i++) {
        if (NumTools::abs<Real>(LUcolj[i]) > NumTools::abs<Real>(LUcolj[p])) {
        p = i;
        }
        }
        if (p != j) {
        size_t k=0;
        for (k = 0; k < n; k++) {
        double t = LU(p,k);
        LU(p,k) = LU(j,k);
        LU(j,k) = t;
        }
        k = piv[p];
        piv[p] = piv[j];
        piv[j] = k;
        pivsign = -pivsign;
        }

        // Compute multipliers.

        if ((j < m) && (LU(j,j) != 0.0)) {
        for (size_t i = j+1; i < m; i++) {
        LU(i,j) /= LU(j,j);
        }
        }
        }
        }
   */

  LUDecomposition (const Matrix<Real>& A) :
    LU(A),
    L_(A.getNumberOfRows(), A.getNumberOfColumns()),
    U_(A.getNumberOfColumns(), A.getNumberOfColumns()),
    m(A.getNumberOfRows()),
    n(A.getNumberOfColumns()),
    pivsign(1),
    piv(A.getNumberOfRows())
  {
    for (size_t i = 0; i < m; i++)
    {
      piv[i] = i;
    }
    // Main loop.
    for (size_t k = 0; k < n; k++)
    {
      // Find pivot.
      size_t p = k;
      for (size_t i = k + 1; i < m; i++)
      {
        if (NumTools::abs<Real>(LU(i, k)) > NumTools::abs<Real>(LU(p, k)))
        {
          p = i;
        }
      }
      // Exchange if necessary.
      if (p != k)
      {
        for (size_t j = 0; j < n; j++)
        {
          double t = LU(p, j); LU(p, j) = LU(k, j); LU(k, j) = t;
        }
        size_t t = piv[p]; piv[p] = piv[k]; piv[k] = t;
        pivsign = -pivsign;
      }
      // Compute multipliers and eliminate k-th column.
      if (LU(k, k) != 0.0)
      {
        for (size_t i = k + 1; i < m; i++)
        {
          LU(i, k) /= LU(k, k);
          for (size_t j = k + 1; j < n; j++)
          {
            LU(i, j) -= LU(i, k) * LU(k, j);
          }
        }
      }
    }
  }

  const RowMatrix<Real>& getL()
  {
    for (size_t i = 0; i < m; i++)
    {
      for (size_t j = 0; j < n; j++)
      {
        if (i > j)
        {
          L_(i, j) = LU(i, j);
        }
        else if (i == j)
        {
          L_(i, j) = 1.0;
        }
        else
        {
          L_(i, j) = 0.0;
        }
      }
    }
    return L_;
  }

  const RowMatrix<Real>& getU ()
  {
    for (size_t i = 0; i < n; i++)
    {
      for (size_t j = 0; j < n; j++)
      {
        if (i <= j)
        {
          U_(i, j) = LU(i, j);
        }
        else
        {
          U_(i, j) = 0.0;
        }
      }
    }
    return U_;
  }

  std::vector<size_t> getPivot () const
  {
    return piv;
  }


  Real det() const
  {
    if (m != n)
    {
      return Real(0);
    }
    Real d = Real(pivsign);
    for (size_t j = 0; j < n; j++)
    {
      d *= LU(j, j);
    }
    return d;
  }

  Real solve (const Matrix<Real>& B, Matrix<Real>& X) const throw (BadIntegerException, ZeroDivisionException)
  {
    /* Dimensions: A is mxn, X is nxk, B is mxk */

    if (B.getNumberOfRows() != m)
    {
      throw BadIntegerException("Wrong dimension in LU::solve", static_cast<int>(B.getNumberOfRows()));
    }

    Real minD = NumTools::abs<Real>(LU(0, 0));
    for (size_t i = 1; i < m; i++)
    {
      Real currentValue = NumTools::abs<Real>(LU(i, i));
      if (currentValue < minD)
        minD = currentValue;
    }

    if (minD < NumConstants::SMALL())
    {
      throw ZeroDivisionException("Singular matrix in LU::solve.");
    }

    // Copy right hand side with pivoting
    size_t nx = B.getNumberOfColumns();

    permuteCopy(B, piv, 0, nx - 1, X);

    // Solve L*Y = B(piv,:)
    for (size_t k = 0; k < n; k++)
    {
      for (size_t i = k + 1; i < n; i++)
      {
        for (size_t j = 0; j < nx; j++)
        {
          X(i, j) -= X(k, j) * LU(i, k);
        }
      }
    }
    // Solve U*X = Y;
    // !!! Do not use unsigned int with -- loop!!!
    // for (int k = n-1; k >= 0; k--) {
    size_t k = n;

    do
    {
      k--;
      for (size_t j = 0; j < nx; j++)
      {
        X(k, j) /= LU(k, k);
      }
      for (size_t i = 0; i < k; i++)
      {
        for (size_t j = 0; j < nx; j++)
        {
          X(i, j) -= X(k, j) * LU(i, k);
        }
      }
    }
    while (k > 0);

    return minD;
  }


  Real solve (const std::vector<Real>& b, std::vector<Real>& x)  const throw (BadIntegerException, ZeroDivisionException)
  {
    /* Dimensions: A is mxn, X is nxk, B is mxk */

    if (b.dim1() != m)
    {
      throw BadIntegerException("Wrong dimension in LU::solve", b.dim1());
    }

    Real minD = NumTools::abs<Real>(LU(0, 0));
    for (size_t i = 1; i < m; i++)
    {
      Real currentValue = NumTools::abs<Real>(LU(i, i));
      if (currentValue < minD)
        minD = currentValue;
    }

    if (minD < NumConstants::SMALL())
    {
      throw ZeroDivisionException("Singular matrix in LU::solve.");
    }

    permuteCopy(b, piv, x);

    // Solve L*Y = B(piv)
    for (size_t k = 0; k < n; k++)
    {
      for (size_t i = k + 1; i < n; i++)
      {
        x[i] -= x[k] * LU(i, k);
      }
    }

    // Solve U*X = Y;
    // for (size_t k = n-1; k >= 0; k--) {
    size_t k = n;
    do
    {
      k--;
      x[k] /= LU(k, k);
      for (size_t i = 0; i < k; i++)
      {
        x[i] -= x[k] * LU(i, k);
      }
    }
    while (k > 0);

    return minD;
  }
}; /* class LU */
} // end of namespace bpp.

#endif // _LU_H_