public static void test_SparseCG_Precond()
{
// A test case where Jacobi preconditioner (ie M = diag(A)) provides some improvement
// described in http://www.math.iit.edu/~fass/477577_Chapter_16.pdf
int N = 10000;
SymmetricSparseMatrix M = new SymmetricSparseMatrix();
double[] B = new double[N];
for (int i = 0; i < N; ++i)
{
for (int j = i; j < N; ++j)
{
if (i == j)
{
M.Set(i, i, 0.5 + Math.Sqrt(i));
}
else if (Math.Abs(i - j) == 1)
{
M.Set(i, j, 1);
}
else if (Math.Abs(i - j) == 100)
{
M.Set(i, j, 1);
}
}
B[i] = 1;
}
SparseSymmetricCG Solver = new SparseSymmetricCG()
{
B = B, MultiplyF = M.Multiply
};
Solver.Solve();
double[] BTest = new double[N];
M.Multiply(Solver.X, BTest);
double diff = BufferUtil.DistanceSquared(B, BTest);
if (diff > MathUtil.ZeroTolerance)
{
System.Console.WriteLine("test_SparseCG: initial solve failed!");
}
PackedSparseMatrix PackedM = new PackedSparseMatrix(M);
PackedM.Sort();
SparseSymmetricCG Solver_PackedM = new SparseSymmetricCG()
{
B = B, MultiplyF = PackedM.Multiply
};
Solver_PackedM.Solve();
PackedM.Multiply(Solver_PackedM.X, BTest);
double diff_packed = BufferUtil.DistanceSquared(B, BTest);
if (diff_packed > MathUtil.ZeroTolerance)
{
System.Console.WriteLine("test_SparseCG: Packed solve failed!");
}
#if false
SparseCholeskyDecomposition cholDecomp = new SparseCholeskyDecomposition(PackedM);
cholDecomp.ComputeIncomplete();
// factorization is filled with NaNs!! doing something wrong.
double[] TmpX = new double[N], Y = new double[N];
cholDecomp.Solve(BTest, TmpX, Y);
// note: can also try just lower-triangular matrix - this is (L+D), Gauss-Seidel preconditioner?
// see http://www.math.iit.edu/~fass/477577_Chapter_16.pdf
Action <double[], double[]> cholPrecond = (R, Z) => {
cholDecomp.Solve(R, Z, Y);
};
SymmetricSparseMatrix diagPrecond = new SymmetricSparseMatrix(N);
for (int k = 0; k < N; ++k)
{
diagPrecond[k, k] = 1.0 / M[k, k];
}
SparseSymmetricCG Solver_Precond = new SparseSymmetricCG()
{
B = B, MultiplyF = PackedM.Multiply, PreconditionMultiplyF = diagPrecond.Multiply
};
//SparseSymmetricCG Solver_Precond = new SparseSymmetricCG() { B = B, MultiplyF = PackedM.Multiply, PreconditionMultiplyF = cholPrecond };
Solver_Precond.SolvePreconditioned();
PackedM.Multiply(Solver_Precond.X, BTest);
double diff_precond = BufferUtil.DistanceSquared(B, BTest);
if (diff_precond > MathUtil.ZeroTolerance)
{
System.Console.WriteLine("test_SparseCG: cholesky-preconditioned solve failed!");
}
System.Console.WriteLine("Iterations regular {0} precond {1}", Solver_PackedM.Iterations, Solver_Precond.Iterations);
System.Console.WriteLine("Tol regular {0} precond {1}", diff_packed, diff_precond);
#endif
}
public static void test_SparseCG()
{
Random r = new Random(31337);
int N = 100;
var pts = TestUtil.RandomScalars(N, r, new Interval1d(1, 10));
SymmetricSparseMatrix M = new SymmetricSparseMatrix();
double[] B = new double[N];
for (int i = 0; i < N; ++i)
{
for (int j = i; j < N; ++j)
{
if (i == j)
{
M.Set(i, j, pts[i]);
}
else
{
M.Set(i, j, (double)(i + j) / 10.0);
}
}
B[i] = i + 1;
}
SparseSymmetricCG Solver = new SparseSymmetricCG()
{
B = B, MultiplyF = M.Multiply
};
Solver.Solve();
double[] BTest = new double[N];
M.Multiply(Solver.X, BTest);
double diff = BufferUtil.DistanceSquared(B, BTest);
if (diff > MathUtil.ZeroTolerance)
{
System.Console.WriteLine("test_SparseCG: initial solve failed!");
}
PackedSparseMatrix PackedM = new PackedSparseMatrix(M);
PackedM.Sort();
SparseSymmetricCG Solver_PackedM = new SparseSymmetricCG()
{
B = B, MultiplyF = PackedM.Multiply
};
Solver_PackedM.Solve();
PackedM.Multiply(Solver_PackedM.X, BTest);
double diff_packed = BufferUtil.DistanceSquared(B, BTest);
if (diff_packed > MathUtil.ZeroTolerance)
{
System.Console.WriteLine("test_SparseCG: Packed solve failed!");
}
#if false
SparseCholeskyDecomposition decomp = new SparseCholeskyDecomposition(PackedM);
decomp.ComputeIncomplete();
PackedSparseMatrix choleskyPrecond = decomp.L.Square();
SymmetricSparseMatrix diagPrecond = new SymmetricSparseMatrix(N);
for (int k = 0; k < N; ++k)
{
diagPrecond[k, k] = 1.0 / M[k, k];
}
SparseSymmetricCG Solver_Precond = new SparseSymmetricCG()
{
B = B, MultiplyF = PackedM.Multiply, PreconditionMultiplyF = diagPrecond.Multiply
};
Solver_Precond.SolvePreconditioned();
PackedM.Multiply(Solver_Precond.X, BTest);
double diff_precond = BufferUtil.DistanceSquared(B, BTest);
if (diff_precond > MathUtil.ZeroTolerance)
{
System.Console.WriteLine("test_SparseCG: cholesky-preconditioned solve failed!");
}
System.Console.WriteLine("Iterations regular {0} precond {1}", Solver_PackedM.Iterations, Solver_Precond.Iterations);
System.Console.WriteLine("Tol regular {0} precond {1}", diff_packed, diff_precond);
#endif
}
