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use matrix::{Matrix, BaseMatrix, BaseMatrixMut}; use matrix::{back_substitution}; use matrix::PermutationMatrix; use vector::Vector; use error::{Error, ErrorKind}; use std::any::Any; use libnum::{Float, Zero, One}; use matrix::decomposition::Decomposition; /// Result of unpacking an instance of /// [PartialPivLu](struct.PartialPivLu.html). #[derive(Debug, Clone)] pub struct LUP<T> { /// The lower triangular matrix in the decomposition. pub l: Matrix<T>, /// The upper triangular matrix in the decomposition. pub u: Matrix<T>, /// The permutation matrix in the decomposition. pub p: PermutationMatrix<T> } /// LU decomposition with partial pivoting. /// /// For any square matrix A, there exist a permutation matrix /// `P`, a lower triangular matrix `L` and an upper triangular /// matrix `U` such that /// /// ```text /// PA = LU. /// ``` /// /// However, due to the way partial pivoting algorithms work, /// LU decomposition with partial pivoting is in general /// *only numerically stable for well-conditioned invertible matrices*. /// /// That said, partial pivoting is sufficient in the vast majority /// of practical applications, and it is also the fastest of the /// pivoting schemes in existence. /// /// /// # Applications /// /// Given a matrix `x`, computing the LU(P) decomposition is simple: /// /// ``` /// use rulinalg::matrix::decomposition::{PartialPivLu, LUP, Decomposition}; /// use rulinalg::matrix::Matrix; /// /// let x = Matrix::<f64>::identity(4); /// /// // The matrix is consumed and its memory /// // re-purposed for the decomposition /// let lu = PartialPivLu::decompose(x).expect("Matrix is invertible."); /// /// // See below for applications /// // ... /// /// // The factors L, U and P can be obtained by unpacking the /// // decomposition, for example by destructuring as seen here /// let LUP { l, u, p } = lu.unpack(); /// /// ``` /// /// ## Solving linear systems /// /// Arguably the most common use case of LU decomposition /// is the computation of solutions to (multiple) linear systems /// that share the same coefficient matrix. /// /// ``` /// # #[macro_use] extern crate rulinalg; /// # use rulinalg::matrix::decomposition::PartialPivLu; /// # use rulinalg::matrix::Matrix; /// # fn main() { /// # let x = Matrix::identity(4); /// # let lu = PartialPivLu::decompose(x).unwrap(); /// let b = vector![3.0, 4.0, 2.0, 1.0]; /// let y = lu.solve(b) /// .expect("Matrix is invertible."); /// assert_vector_eq!(y, vector![3.0, 4.0, 2.0, 1.0], comp = float); /// /// // We can efficiently solve multiple such systems /// let c = vector![0.0, 0.0, 0.0, 0.0]; /// let z = lu.solve(c).unwrap(); /// assert_vector_eq!(z, vector![0.0, 0.0, 0.0, 0.0], comp = float); /// # } /// ``` /// /// ## Computing the inverse of a matrix /// /// The LU decomposition provides a convenient way to obtain /// the inverse of the decomposed matrix. However, please keep /// in mind that explicitly computing the inverse of a matrix /// is *usually* a bad idea. In many cases, one might instead simply /// solve multiple systems using `solve`. /// /// For example, a common misconception is that when one needs /// to solve multiple linear systems `Ax = b` for different `b`, /// one should pre-compute the inverse of the matrix for efficiency. /// In fact, this is practically never a good idea! A far more efficient /// and accurate method is to perform the LU decomposition once, and /// then solve each system as shown in the examples of the previous /// subsection. /// /// That said, there are definitely cases where an explicit inverse is /// needed. In these cases, the inverse can easily be obtained /// through the `inverse()` method. /// /// # Computing the determinant of a matrix /// /// Once the LU decomposition has been obtained, computing /// the determinant of the decomposed matrix is a very cheap /// operation. /// /// ``` /// # #[macro_use] extern crate rulinalg; /// # use rulinalg::matrix::decomposition::PartialPivLu; /// # use rulinalg::matrix::Matrix; /// # fn main() { /// # let x = Matrix::<f64>::identity(4); /// # let lu = PartialPivLu::decompose(x).unwrap(); /// assert_eq!(lu.det(), 1.0); /// # } /// ``` #[derive(Debug, Clone)] pub struct PartialPivLu<T> { lu: Matrix<T>, p: PermutationMatrix<T> } impl<T: Clone + One + Zero> Decomposition for PartialPivLu<T> { type Factors = LUP<T>; fn unpack(self) -> LUP<T> { let l = unit_lower_triangular_part(&self.lu); let u = nullify_lower_triangular_part(self.lu); LUP { l: l, u: u, p: self.p } } } impl<T: 'static + Float> PartialPivLu<T> { /// Performs the decomposition. /// /// # Panics /// /// The matrix must be square. /// /// # Errors /// /// An error will be returned if the matrix /// is singular to working precision (badly conditioned). pub fn decompose(matrix: Matrix<T>) -> Result<Self, Error> { let n = matrix.cols; assert!(matrix.rows == n, "Matrix must be square for LU decomposition."); let mut lu = matrix; let mut p = PermutationMatrix::identity(n); for index in 0..n { let mut curr_max_idx = index; let mut curr_max = lu[[curr_max_idx, curr_max_idx]]; for i in (curr_max_idx+1)..n { if lu[[i, index]].abs() > curr_max.abs() { curr_max = lu[[i, index]]; curr_max_idx = i; } } if curr_max.abs() < T::epsilon() { return Err(Error::new(ErrorKind::DivByZero, "The matrix is too ill-conditioned for LU decomposition with partial pivoting.")); } lu.swap_rows(index, curr_max_idx); p.swap_rows(index, curr_max_idx); for i in (index+1)..n { let mult = lu[[i, index]] / curr_max; lu[[i, index]] = mult; for j in (index+1)..n { lu[[i, j]] = lu[[i,j]] - mult*lu[[index, j]]; } } } Ok(PartialPivLu { lu: lu, p: p.inverse() }) } } // TODO: Remove Any bound (cannot for the time being, since // back substitution uses Any bound) impl<T> PartialPivLu<T> where T: Any + Float { /// Solves the linear system `Ax = b`. /// /// Here, `A` is the decomposed matrix satisfying /// `PA = LU`. Note that this method is particularly /// well suited to solving multiple such linear systems /// involving the same `A` but different `b`. /// /// # Errors /// /// If the matrix is very ill-conditioned, the function /// might fail to obtain the solution to the system. /// /// # Panics /// /// The right-hand side vector `b` must have compatible size. /// /// # Examples /// /// ``` /// # #[macro_use] extern crate rulinalg; /// # use rulinalg::matrix::decomposition::PartialPivLu; /// # use rulinalg::matrix::Matrix; /// # fn main() { /// let x = Matrix::identity(4); /// let lu = PartialPivLu::decompose(x).unwrap(); /// let b = vector![3.0, 4.0, 2.0, 1.0]; /// let y = lu.solve(b) /// .expect("Matrix is invertible."); /// assert_vector_eq!(y, vector![3.0, 4.0, 2.0, 1.0], comp = float); /// # } /// ``` pub fn solve(&self, b: Vector<T>) -> Result<Vector<T>, Error> { assert!(b.size() == self.lu.rows(), "Right-hand side vector must have compatible size."); // Note that applying p here implicitly incurs a clone. // TODO: Is it possible to avoid the clone somehow? // To my knowledge, applying a permutation matrix // in-place in O(n) time requires O(n) storage for bookkeeping. // However, we might be able to get by with something like // O(n log n) for the permutation as the forward/backward // substitution algorithms are O(n^2), if this helps us // avoid the memory overhead. let b = lu_forward_substitution(&self.lu, &self.p * b); back_substitution(&self.lu, b) } /// Computes the inverse of the matrix which this LUP decomposition /// represents. /// /// # Errors /// The inversion might fail if the matrix is very ill-conditioned. pub fn inverse(&self) -> Result<Matrix<T>, Error> { let n = self.lu.rows(); let mut inv = Matrix::zeros(n, n); let mut e = Vector::zeros(n); // To compute the inverse of a matrix A, note that // we can simply solve the system // AX = I, // where X is the inverse of A, and I is the identity // matrix of appropriate dimension. // // Note that this is not optimal in terms of performance, // and there is likely significant potential for improvement. // // A more performant technique is usually to compute the // triangular inverse of each of the L and U triangular matrices, // but this again requires efficient algorithms (blocked/recursive) // to invert triangular matrices, which at this point // we do not have available. // Solve for each column of the inverse matrix for i in 0 .. n { e[i] = T::one(); let col = try!(self.solve(e)); for j in 0 .. n { inv[[j, i]] = col[j]; } e = col.apply(&|_| T::zero()); } Ok(inv) } /// Computes the determinant of the decomposed matrix. pub fn det(&self) -> T { // Recall that the determinant of a triangular matrix // is the product of its diagonal entries. Also, // the determinant of L is implicitly 1. let u_det = self.lu.diag().fold(T::one(), |x, &y| x * y); // Note that the determinant of P is equal to the // determinant of P^T, so we don't have to invert it let p_det = self.p.clone().det(); p_det * u_det } } /// Performs forward substitution using the LU matrix /// for which L has an implicit unit diagonal. That is, /// the strictly lower triangular part of LU corresponds /// to the strictly lower triangular part of L. /// /// This is equivalent to solving the system Lx = b. fn lu_forward_substitution<T: Float>(lu: &Matrix<T>, b: Vector<T>) -> Vector<T> { assert!(lu.rows() == lu.cols(), "LU matrix must be square."); assert!(b.size() == lu.rows(), "LU matrix and RHS vector must be compatible."); let mut x = b; for (i, row) in lu.row_iter().enumerate().skip(1) { // Note that at time of writing we need raw_slice here for // auto-vectorization to kick in let adjustment = row.raw_slice() .iter() .take(i) .cloned() .zip(x.iter().cloned()) .fold(T::zero(), |sum, (l, x)| sum + l * x); x[i] = x[i] - adjustment; } x } fn unit_lower_triangular_part<T, M>(matrix: &M) -> Matrix<T> where T: Zero + One + Clone, M: BaseMatrix<T> { let (m, n) = (matrix.rows(), matrix.cols()); let mut data = Vec::<T>::with_capacity(m * n); for (i, row) in matrix.row_iter().enumerate() { for element in row.iter().take(i).cloned() { data.push(element); } if i < n { data.push(T::one()); } for _ in (i + 1) .. n { data.push(T::zero()); } } Matrix::new(m, n, data) } fn nullify_lower_triangular_part<T: Zero>(mut matrix: Matrix<T>) -> Matrix<T> { for (i, mut row) in matrix.row_iter_mut().enumerate() { for element in row.iter_mut().take(i) { *element = T::zero(); } } matrix } impl<T> Matrix<T> where T: Any + Float { /// Computes L, U, and P for LUP decomposition. /// /// Returns L,U, and P respectively. /// /// This function is deprecated. /// Please see [PartialPivLu](decomposition/struct.PartialPivLu.html) /// for a replacement. /// /// # Examples /// /// ``` /// # #[macro_use] extern crate rulinalg; fn main() { /// use rulinalg::matrix::Matrix; /// /// let a = matrix![1.0, 2.0, 0.0; /// 0.0, 3.0, 4.0; /// 5.0, 1.0, 2.0]; /// /// let (l, u, p) = a.lup_decomp().expect("This matrix should decompose!"); /// # } /// ``` /// /// # Panics /// /// - Matrix is not square. /// /// # Failures /// /// - Matrix cannot be LUP decomposed. #[deprecated] pub fn lup_decomp(self) -> Result<(Matrix<T>, Matrix<T>, Matrix<T>), Error> { let n = self.cols; assert!(self.rows == n, "Matrix must be square for LUP decomposition."); let mut l = Matrix::<T>::zeros(n, n); let mut u = self; let mut p = Matrix::<T>::identity(n); for index in 0..n { let mut curr_max_idx = index; let mut curr_max = u[[curr_max_idx, curr_max_idx]]; for i in (curr_max_idx+1)..n { if u[[i, index]].abs() > curr_max.abs() { curr_max = u[[i, index]]; curr_max_idx = i; } } if curr_max.abs() < T::epsilon() { return Err(Error::new(ErrorKind::DivByZero, "Singular matrix found in LUP decomposition. \ A value in the diagonal of U == 0.0.")); } if curr_max_idx != index { l.swap_rows(index, curr_max_idx); u.swap_rows(index, curr_max_idx); p.swap_rows(index, curr_max_idx); } l[[index, index]] = T::one(); for i in (index+1)..n { let mult = u[[i, index]]/curr_max; l[[i, index]] = mult; u[[i, index]] = T::zero(); for j in (index+1)..n { u[[i, j]] = u[[i,j]] - mult*u[[index, j]]; } } } Ok((l, u, p)) } } #[cfg(test)] mod tests { use matrix::{Matrix, PermutationMatrix}; use testsupport::{is_lower_triangular, is_upper_triangular}; use super::{PartialPivLu, LUP}; use matrix::decomposition::Decomposition; use libnum::Float; #[allow(deprecated)] #[test] #[should_panic] fn test_non_square_lup_decomp() { let a: Matrix<f64> = Matrix::ones(2, 3); let _ = a.lup_decomp(); } #[allow(deprecated)] #[test] fn test_lup_decomp() { use error::ErrorKind; let a: Matrix<f64> = matrix![ 1., 2., 3., 4.; 0., 0., 0., 0.; 0., 0., 0., 0.; 0., 0., 0., 0. ]; match a.lup_decomp() { Err(e) => assert!(*e.kind() == ErrorKind::DivByZero), Ok(_) => panic!() } } #[test] fn partial_piv_lu_decompose_arbitrary() { // Since the LUP decomposition is not in general unique, // we can not test against factors directly, but // instead we must rely on the fact that the // matrices P, L and U together construct the // original matrix let x = matrix![ -3.0, 0.0, 4.0, 1.0; -12.0, 5.0, 17.0, 1.0; 15.0, 0.0, -18.0, -5.0; 6.0, 20.0, -10.0, -15.0 ]; let LUP { l, u, p } = PartialPivLu::decompose(x.clone()) .unwrap() .unpack(); let y = p.inverse() * &l * &u; assert_matrix_eq!(x, y, comp = float); assert!(is_lower_triangular(&l)); assert!(is_upper_triangular(&u)); } #[test] pub fn partial_piv_lu_inverse_identity() { let lu = PartialPivLu::<f64> { lu: Matrix::identity(3), p: PermutationMatrix::identity(3) }; let inv = lu.inverse().expect("Matrix is invertible."); assert_matrix_eq!(inv, Matrix::identity(3), comp = float); } #[test] pub fn partial_piv_lu_inverse_arbitrary_invertible_matrix() { let x = matrix![5.0, 0.0, 0.0, 1.0; 2.0, 2.0, 2.0, 1.0; 4.0, 5.0, 5.0, 5.0; 1.0, 6.0, 4.0, 5.0]; let inv = matrix![1.85185185185185203e-01, 1.85185185185185175e-01, -7.40740740740740561e-02, -1.02798428206033007e-17; 1.66666666666666630e-01, 6.66666666666666519e-01, -6.66666666666666519e-01, 4.99999999999999833e-01; -3.88888888888888840e-01, 1.11111111111111174e-01, 5.55555555555555358e-01, -4.99999999999999833e-01; 7.40740740740740838e-02, -9.25925925925925819e-01, 3.70370370370370294e-01, 5.13992141030165006e-17]; let lu = PartialPivLu::decompose(x).unwrap(); assert_matrix_eq!(lu.inverse().unwrap(), inv, comp = float); } #[test] pub fn partial_piv_lu_det_identity() { let lu = PartialPivLu::<f64> { lu: Matrix::identity(3), p: PermutationMatrix::identity(3) }; assert_eq!(lu.det(), 1.0); } #[test] pub fn partial_piv_lu_det_arbitrary_invertible_matrix() { let x = matrix![ 5.0, 0.0, 0.0, 1.0; 0.0, 2.0, 2.0, 1.0; 15.0, 4.0, 7.0, 10.0; 5.0, 2.0, 17.0, 32.0]; let lu = PartialPivLu::decompose(x).unwrap(); let expected_det = 149.99999999999997; let diff = lu.det() - expected_det; assert!(diff.abs() < 1e-12); } #[test] pub fn partial_piv_lu_solve_arbitrary_matrix() { let x = matrix![ 5.0, 0.0, 0.0, 1.0; 2.0, 2.0, 2.0, 1.0; 4.0, 5.0, 5.0, 5.0; 1.0, 6.0, 4.0, 5.0 ]; let b = vector![9.0, 16.0, 49.0, 45.0]; let expected = vector![1.0, 2.0, 3.0, 4.0]; let lu = PartialPivLu::decompose(x).unwrap(); let y = lu.solve(b).unwrap(); // Need to up the tolerance to take into account // numerical error. Ideally there'd be a more systematic // way to test this. assert_vector_eq!(y, expected, comp = ulp, tol = 100); } #[test] pub fn lu_forward_substitution() { use super::lu_forward_substitution; { let lu: Matrix<f64> = matrix![]; let b = vector![]; let x = lu_forward_substitution(&lu, b); assert!(x.size() == 0); } { let lu = matrix![3.0]; let b = vector![1.0]; let x = lu_forward_substitution(&lu, b); assert_eq!(x, vector![1.0]); } { let lu = matrix![3.0, 2.0; 2.0, 2.0]; let b = vector![1.0, 2.0]; let x = lu_forward_substitution(&lu, b); assert_eq!(x, vector![1.0, 0.0]); } } }