/// <summary>
/// Performs the operation: <paramref name="result"/> = generalized_inverse(A) * <paramref name="vector"/>.
/// The resulting vector overwrites <paramref name="result"/>.
/// </summary>
/// <param name="vector">The vector that will be multiplied. Its <see cref="IIndexable1D.Length"/> must be equal to
/// <see cref="IIndexable2D.NumRows"/> of the original matrix A.
/// </param>
/// <param name="result">
/// Output vector that will be overwritten with the solution of the linear system. Its <see cref="IIndexable1D.Length"/>
/// must be equal to <see cref="IIndexable2D.NumColumns"/> of the original matrix A.
/// </param>
/// <exception cref="NonMatchingDimensionsException">
/// Thrown if <paramref name="vector"/> or <paramref name="result"/> violate the described constraints.
/// </exception>
public void MultiplyGeneralizedInverseMatrixTimesVector(Vector vector, Vector result)
{
Preconditions.CheckSystemSolutionDimensions(Order, vector.Length);
Preconditions.CheckMultiplicationDimensions(Order, result.Length);
// A^+ * b = [ Aii^-1 * bi; 0], where i are the independent rows/columns
// TODO: Is this correct?
CholeskySkyline.SubstituteForward(Order, values, diagOffsets, vector.RawData, result.RawData);
CholeskySkyline.SubstituteBack(Order, values, diagOffsets, result.RawData);
foreach (int row in DependentColumns)
{
result[row] = 0.0;
}
}
internal static (List <int> dependentColumns, List <double[]> nullSpaceBasis) FactorizeInternal(int order, double[] values,
int[] diagOffsets, double pivotTolerance)
{
var dependentColumns = new List <int>();
var nullSpaceBasis = new List <double[]>();
// Process column j
for (int j = 0; j < order; ++j)
{
int offsetAjj = diagOffsets[j];
// The number of non-zero entries in column j, above the diagonal and excluding it
int heightColJ = diagOffsets[j + 1] - offsetAjj - 1; //TODO: reuse the diagOffset form previous iteration.
// The row index above which col j has only zeros
int topColJ = j - heightColJ;
// Update each A[i,j] by traversing the column j from the top until the diagonal.
// The top now is the min row with a non-zero entry instead of 0.
for (int i = topColJ; i < j; ++i)
{
int offsetAii = diagOffsets[i]; // TODO: increment/decrement the offset from previous iteration
int offsetAij = offsetAjj + j - i; // TODO: increment/decrement the offset from previous iteration
// The number of non-zero entries in column i, above the diagonal and excluding it
int heightColI = diagOffsets[i + 1] - offsetAii - 1; //TODO: reuse the diagOffset form previous iteration.
// The row index above which col j has only zeros
int topColI = i - heightColI;
// The row index above which either col j or col i has only zeros: max(topColJ, topColI)
int topCommon = (topColI > topColJ) ? topColI : topColJ;
// Dot product of the parts of columns j, i (i < j) between: [the common top non-zero row, row i)
// for (int k = max(topRowOfColJ, topRowOfColI; k < i; ++k) dotColsIJ += A[k,i] * A[k,j]
int numDotEntries = i - topCommon;
double dotColsIJ = 0.0;
for (int t = 1; t <= numDotEntries; ++t) //TODO: BLAS dot
{
dotColsIJ += values[offsetAii + t] * values[offsetAij + t];
}
// A[i,j] = (A[i,j] - dotIJ) / A[i,i]
values[offsetAij] = (values[offsetAij] - dotColsIJ) / values[offsetAii];
}
// Update the diagonal term
// Dot product with itself of the part of column j between: [the top non-zero row, row j).
// for (int k = topRowOfColJ; k < j; ++k) dotColsJJ += A[k,j]^2
double dotColsJJ = 0.0;
double valueAkj;
for (int t = 1; t <= heightColJ; ++t) //TODO: BLAS dot. //TODO: the managed version would be better off using the offsetAkj as a loop variable
{
valueAkj = values[offsetAjj + t];
dotColsJJ += valueAkj * valueAkj;
}
// if A[j,j] = sqrt(A[j,j]-dotColsJJ), but if the subroot is <= 0, then the matrix is not positive definite
double subroot = values[offsetAjj] - dotColsJJ;
if (subroot > pivotTolerance)
{
values[offsetAjj] = Math.Sqrt(subroot); // positive definite
}
else if (subroot < -pivotTolerance) // not positive semidefinite
{
throw new IndefiniteMatrixException($"The leading minor of order {j} (and therefore the matrix itself)"
+ " is negative, and the factorization could not be completed.");
}
else // positive semidefinite with rank deficiency
{
// Set the dependent column to identity and partially calculate a new basis vector of the null space.
dependentColumns.Add(j);
var basisVector = new double[order];
nullSpaceBasis.Add(basisVector);
// The diagonal entries of the skyline column and the null space basis vector are set to 1.
basisVector[j] = 1.0;
values[offsetAjj] = 1.0;
// Superdiagonal entries are set to 0 after copying them to the nullspace (and negating them).
for (int t = 1; t <= heightColJ; ++t) //TODO: indexing could be written more efficiently
{
basisVector[j - t] = -values[offsetAjj + t];
values[offsetAjj + t] = 0;
}
// Subdiagonal entries are also set to 0, but they are stored in subsequent columns i of the skyline format.
for (int i = j + 1; i < order; ++i)
{
int offsetAij = diagOffsets[i] + i - j; // TODO: reuse the indexing from the previous iteration
if (offsetAij < diagOffsets[i + 1])
{
values[offsetAij] = 0; //TODO: originally this was <= ? Which is the correct one?
}
}
}
}
// The independent columns have been factorized successfully. Apply back substitution to finish the calculation
// of each vector in the null space basis.
foreach (var basisVector in nullSpaceBasis)
{
CholeskySkyline.SubstituteBack(order, values, diagOffsets, basisVector);
}
return(dependentColumns, nullSpaceBasis);
}