forked from tsai/mathnet-numerics
Jurgen Van Gael
17 years ago
9 changed files with 504 additions and 52 deletions
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// <copyright file="DenseLU.cs" company="Math.NET">
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// Math.NET Numerics, part of the Math.NET Project
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// http://numerics.mathdotnet.com
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// http://github.com/mathnet/mathnet-numerics
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// http://mathnetnumerics.codeplex.com
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//
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// Copyright (c) 2009-2010 Math.NET
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//
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// Permission is hereby granted, free of charge, to any person
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// obtaining a copy of this software and associated documentation
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// files (the "Software"), to deal in the Software without
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// restriction, including without limitation the rights to use,
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// copy, modify, merge, publish, distribute, sublicense, and/or sell
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// copies of the Software, and to permit persons to whom the
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// Software is furnished to do so, subject to the following
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// conditions:
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//
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// The above copyright notice and this permission notice shall be
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// included in all copies or substantial portions of the Software.
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//
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// THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND,
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// EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES
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// OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND
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// NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT
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// HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY,
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// WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING
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// FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR
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// OTHER DEALINGS IN THE SOFTWARE.
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// </copyright>
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namespace MathNet.Numerics.LinearAlgebra.Double.Factorization |
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{ |
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using System; |
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using Properties; |
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/// <summary>
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/// <para>A class which encapsulates the functionality of an LU factorization.</para>
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/// <para>For a matrix A, the LU factorization is a pair of lower triangular matrix L and
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/// upper triangular matrix U so that A = L*U.</para>
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/// </summary>
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/// <remarks>
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/// The computation of the LU factorization is done at construction time.
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/// </remarks>
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public class DenseLU : LU |
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{ |
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/// <summary>
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/// Initializes a new instance of the <see cref="DenseLU"/> class. This object will compute the
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/// LU factorization when the constructor is called and cache it's factorization.
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/// </summary>
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/// <param name="matrix">The matrix to factor.</param>
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/// <exception cref="ArgumentNullException">If <paramref name="matrix"/> is <b>null</b>.</exception>
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/// <exception cref="ArgumentException">If <paramref name="matrix"/> is not a square matrix.</exception>
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public DenseLU(DenseMatrix matrix) |
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{ |
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if (matrix == null) |
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{ |
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throw new ArgumentNullException("matrix"); |
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} |
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if (matrix.RowCount != matrix.ColumnCount) |
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{ |
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throw new ArgumentException(Resources.ArgumentMatrixSquare); |
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} |
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// Create an array for the pivot indices.
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mPivots = new int[matrix.RowCount]; |
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// Create a new matrix for the LU factors, then perform factorization (while overwriting).
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var factors = (DenseMatrix)matrix.Clone(); |
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Control.LinearAlgebraProvider.LUFactor(factors.Data, factors.RowCount, mPivots); |
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mFactors = factors; |
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} |
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/// <summary>
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/// Solves a system of linear equations, <b>AX = B</b>, with A LU factorized.
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/// </summary>
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/// <param name="input">The right hand side <see cref="Matrix"/>, <b>B</b>.</param>
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/// <param name="result">The left hand side <see cref="Matrix"/>, <b>X</b>.</param>
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public override void Solve(Matrix input, Matrix result) |
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{ |
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// Check for proper arguments.
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if (input == null) |
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{ |
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throw new ArgumentNullException("input"); |
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} |
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if (result == null) |
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{ |
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throw new ArgumentNullException("result"); |
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} |
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// Check for proper dimensions.
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if (result.RowCount != input.RowCount) |
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{ |
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throw new ArgumentException(Resources.ArgumentMatrixSameRowDimension); |
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} |
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if (result.ColumnCount != input.ColumnCount) |
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{ |
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throw new ArgumentException(Resources.ArgumentMatrixSameColumnDimension); |
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} |
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if (input.RowCount != mFactors.RowCount) |
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{ |
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throw new ArgumentException(Resources.ArgumentMatrixDimensions); |
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} |
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var dinput = input as DenseMatrix; |
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if (dinput == null) |
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{ |
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throw new NotImplementedException("Can only do LU factorization for dense matrices at the moment."); |
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} |
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var dresult = result as DenseMatrix; |
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if (dresult == null) |
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{ |
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throw new NotImplementedException("Can only do LU factorization for dense matrices at the moment."); |
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} |
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// Copy the contents of input to result.
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Buffer.BlockCopy(dinput.Data, 0, dresult.Data, 0, dinput.Data.Length * Constants.SizeOfDouble); |
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// LU solve by overwriting result.
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var dfactors = mFactors as DenseMatrix; |
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throw new NotImplementedException(); |
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//Control.LinearAlgebraProvider.LUSolveFactored(dfactors.Data, dfactors.RowCount, dresult.Data, dresult.RowCount, dresult.ColumnCount);
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} |
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/// <summary>
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/// Solves a system of linear equations, <b>Ax = b</b>, with A LU factorized.
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/// </summary>
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/// <param name="input">The right hand side vector, <b>b</b>.</param>
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/// <param name="result">The left hand side <see cref="Matrix"/>, <b>x</b>.</param>
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public override void Solve(Vector input, Vector result) |
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{ |
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// Check for proper arguments.
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if (input == null) |
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{ |
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throw new ArgumentNullException("input"); |
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} |
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if (result == null) |
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{ |
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throw new ArgumentNullException("result"); |
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} |
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// Check for proper dimensions.
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if (input.Count != result.Count) |
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{ |
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throw new ArgumentException(Resources.ArgumentVectorsSameLength); |
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} |
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if (input.Count != mFactors.RowCount) |
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{ |
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throw new ArgumentException(Resources.ArgumentMatrixDimensions); |
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} |
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var dinput = input as DenseVector; |
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if (dinput == null) |
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{ |
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throw new NotImplementedException("Can only do LU factorization for dense vectors at the moment."); |
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} |
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var dresult = result as DenseVector; |
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if (dresult == null) |
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{ |
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throw new NotImplementedException("Can only do LU factorization for dense vectors at the moment."); |
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} |
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// Copy the contents of input to result.
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Buffer.BlockCopy(dinput.Data, 0, dresult.Data, 0, dinput.Data.Length * Constants.SizeOfDouble); |
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// LU solve by overwriting result.
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var dfactors = mFactors as DenseMatrix; |
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throw new NotImplementedException(); |
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//Control.LinearAlgebraProvider.LUSolveFactored(dfactors.Data, dfactors.RowCount, dresult.Data, dresult.Count, 1);
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} |
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} |
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} |
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@ -0,0 +1,171 @@ |
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// <copyright file="LU.cs" company="Math.NET">
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// Math.NET Numerics, part of the Math.NET Project
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// http://numerics.mathdotnet.com
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// http://github.com/mathnet/mathnet-numerics
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// http://mathnetnumerics.codeplex.com
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//
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// Copyright (c) 2009-2010 Math.NET
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//
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// Permission is hereby granted, free of charge, to any person
|
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// obtaining a copy of this software and associated documentation
|
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// files (the "Software"), to deal in the Software without
|
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// restriction, including without limitation the rights to use,
|
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// copy, modify, merge, publish, distribute, sublicense, and/or sell
|
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// copies of the Software, and to permit persons to whom the
|
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// Software is furnished to do so, subject to the following
|
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// conditions:
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//
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// The above copyright notice and this permission notice shall be
|
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// included in all copies or substantial portions of the Software.
|
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//
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// THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND,
|
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// EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES
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// OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND
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// NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT
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// HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY,
|
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// WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING
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// FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR
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// OTHER DEALINGS IN THE SOFTWARE.
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// </copyright>
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namespace MathNet.Numerics.LinearAlgebra.Double.Factorization |
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{ |
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using System; |
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using Properties; |
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/// <summary>
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/// <para>A class which encapsulates the functionality of an LU factorization.</para>
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/// <para>For a matrix A, the LU factorization is a pair of lower triangular matrix L and
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/// upper triangular matrix U so that A = L*U.</para>
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/// <para>In the Math.Net implementation we also store a set of pivot elements for increased
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/// numerical stability. The pivot elements encode a permutation matrix P such that P*A = L*U.</para>
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/// </summary>
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/// <remarks>
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/// The computation of the LU factorization is done at construction time.
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/// </remarks>
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public abstract class LU |
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{ |
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/// <summary>
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/// Stores both the L and U factors in the same matrix..
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/// </summary>
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protected Matrix mFactors; |
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/// <summary>
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/// Stores the pivot indices of the LU factorization.
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/// </summary>
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protected int[] mPivots; |
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/// <summary>
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/// Internal method which routes the call to perform the LU factorization to the appropriate class.
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/// </summary>
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/// <param name="matrix">The matrix to factor.</param>
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/// <returns>An LU factorization object.</returns>
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internal static LU Create(Matrix matrix) |
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{ |
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var dense = matrix as DenseMatrix; |
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if (dense != null) |
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{ |
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return new DenseLU(dense); |
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} |
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throw new NotImplementedException(); |
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} |
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/// <summary>
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/// Returns the lower triangular factor.
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/// </summary>
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public virtual Matrix L |
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{ |
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get |
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{ |
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Matrix result = mFactors.GetLowerTriangle(); |
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for (int i = 0; i < result.RowCount; i++) |
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{ |
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result.At(i, i, 1); |
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} |
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return result; |
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} |
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} |
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/// <summary>
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/// Returns the upper triangular factor.
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/// </summary>
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public virtual Matrix U |
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{ |
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get { return mFactors.GetUpperTriangle(); } |
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} |
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/// <summary>
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/// The determinant of the matrix for which the LU factorization was computed.
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/// </summary>
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public virtual double Determinant |
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{ |
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get |
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{ |
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double det = 1.0; |
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for (int j = 0; j < mFactors.RowCount; j++) |
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{ |
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if (mPivots[j] != j) |
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{ |
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det = -det * mFactors.At(j, j); |
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} |
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else |
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{ |
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det *= mFactors.At(j, j); |
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} |
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} |
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return det; |
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} |
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} |
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/// <summary>
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/// Solves a system of linear equations, <b>AX = B</b>, with A LU factorized.
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/// </summary>
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/// <param name="input">The right hand side <see cref="Matrix"/>, <b>B</b>.</param>
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/// <returns>The left hand side <see cref="Matrix"/>, <b>X</b>.</returns>
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public virtual Matrix Solve(Matrix input) |
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{ |
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// Check for proper arguments.
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if (input == null) |
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{ |
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throw new ArgumentNullException("input"); |
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} |
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var X = input.CreateMatrix(input.RowCount, input.ColumnCount); |
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Solve(input, X); |
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return X; |
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} |
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/// <summary>
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/// Solves a system of linear equations, <b>AX = B</b>, with A LU factorized.
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/// </summary>
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/// <param name="input">The right hand side <see cref="Matrix"/>, <b>B</b>.</param>
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/// <param name="result">The left hand side <see cref="Matrix"/>, <b>X</b>.</param>
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public abstract void Solve(Matrix input, Matrix result); |
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/// <summary>
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/// Solves a system of linear equations, <b>Ax = b</b>, with A LU factorized.
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/// </summary>
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/// <param name="input">The right hand side vector, <b>b</b>.</param>
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/// <returns>The left hand side <see cref="Vector"/>, <b>x</b>.</returns>
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public virtual Vector Solve(Vector input) |
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{ |
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// Check for proper arguments.
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if (input == null) |
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{ |
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throw new ArgumentNullException("input"); |
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} |
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var x = input.CreateVector(input.Count); |
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Solve(input, x); |
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return x; |
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} |
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/// <summary>
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/// Solves a system of linear equations, <b>Ax = b</b>, with A LU factorized.
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/// </summary>
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/// <param name="input">The right hand side vector, <b>b</b>.</param>
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/// <param name="result">The left hand side <see cref="Matrix"/>, <b>x</b>.</param>
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public abstract void Solve(Vector input, Vector result); |
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} |
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} |
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