bool SparseOptimizerIncremental::computeCholeskyUpdate()
{
if (_cholmodFactor) {
cholmod_free_factor(&_cholmodFactor, &_cholmodCommon);
_cholmodFactor = 0;
}
const SparseBlockMatrix<MatrixXd>& A = _updateMat;
size_t m = A.rows();
size_t n = A.cols();
if (_cholmodSparse->columnsAllocated < n) {
//std::cerr << __PRETTY_FUNCTION__ << ": reallocating columns" << std::endl;
_cholmodSparse->columnsAllocated = _cholmodSparse->columnsAllocated == 0 ? n : 2 * n; // pre-allocate more space if re-allocating
delete[] (int*)_cholmodSparse->p;
_cholmodSparse->p = new int[_cholmodSparse->columnsAllocated+1];
}
size_t nzmax = A.nonZeros();
if (_cholmodSparse->nzmax < nzmax) {
//std::cerr << __PRETTY_FUNCTION__ << ": reallocating row + values" << std::endl;
_cholmodSparse->nzmax = _cholmodSparse->nzmax == 0 ? nzmax : 2 * nzmax; // pre-allocate more space if re-allocating
delete[] (double*)_cholmodSparse->x;
delete[] (int*)_cholmodSparse->i;
_cholmodSparse->i = new int[_cholmodSparse->nzmax];
_cholmodSparse->x = new double[_cholmodSparse->nzmax];
}
_cholmodSparse->ncol = n;
_cholmodSparse->nrow = m;
A.fillCCS((int*)_cholmodSparse->p, (int*)_cholmodSparse->i, (double*)_cholmodSparse->x, true);
//writeCCSMatrix("updatesparse.txt", _cholmodSparse->nrow, _cholmodSparse->ncol, (int*)_cholmodSparse->p, (int*)_cholmodSparse->i, (double*)_cholmodSparse->x, true);
_cholmodFactor = cholmod_analyze(_cholmodSparse, &_cholmodCommon);
cholmod_factorize(_cholmodSparse, _cholmodFactor, &_cholmodCommon);
#if 0
int* p = (int*)_cholmodFactor->Perm;
for (int i = 0; i < (int)n; ++i)
if (i != p[i])
cerr << "wrong permutation" << i << " -> " << p[i] << endl;
#endif
if (_cholmodCommon.status == CHOLMOD_NOT_POSDEF) {
//std::cerr << "Cholesky failure, writing debug.txt (Hessian loadable by Octave)" << std::endl;
//writeCCSMatrix("debug.txt", _cholmodSparse->nrow, _cholmodSparse->ncol, (int*)_cholmodSparse->p, (int*)_cholmodSparse->i, (double*)_cholmodSparse->x, true);
return false;
}
// change to the specific format we need to have a pretty normal L
int change_status = cholmod_change_factor(CHOLMOD_REAL, 1, 0, 1, 1, _cholmodFactor, &_cholmodCommon);
if (! change_status) {
return false;
}
return true;
}
SEXP CHMfactor_to_sparse(SEXP x)
{
CHM_FR L = AS_CHM_FR(x), Lcp;
CHM_SP Lm;
R_CheckStack();
/* cholmod_factor_to_sparse changes its first argument. Make a copy */
Lcp = cholmod_copy_factor(L, &c);
if (!(Lcp->is_ll))
if (!cholmod_change_factor(Lcp->xtype, 1, 0, 1, 1, Lcp, &c))
error(_("cholmod_change_factor failed with status %d"), c.status);
Lm = cholmod_factor_to_sparse(Lcp, &c); cholmod_free_factor(&Lcp, &c);
return chm_sparse_to_SEXP(Lm, 1/*do_free*/, -1/*uploT*/, 0/*Rkind*/,
"N"/*non_unit*/, R_NilValue/*dimNames*/);
}
/**
* Update the numerical values in the factor f as A + mult * I, if A is
* symmetric, otherwise AA' + mult * I
*
* @param f pointer to a CHM_FR object. f is updated upon return.
* @param A pointer to a CHM_SP object, possibly symmetric
* @param mult multiple of the identity to be added to A or AA' before
* decomposing.
*
* \note: A and f must be compatible. There is no check on this
* here. Incompatibility of A and f will cause the CHOLMOD functions
* to take an error exit.
*
*/
CHM_FR chm_factor_update(CHM_FR f, CHM_SP A, double mult)
{
int ll = f->is_ll;
double mm[2] = {0, 0};
mm[0] = mult;
// NB: Result depends if A is "dsC" or "dgC"; the latter case assumes we mean AA' !!!
if (!cholmod_factorize_p(A, mm, (int*)NULL, 0 /*fsize*/, f, &c))
/* -> ./CHOLMOD/Cholesky/cholmod_factorize.c */
error(_("cholmod_factorize_p failed: status %d, minor %d of ncol %d"),
c.status, f->minor, f->n);
if (f->is_ll != ll)
if(!cholmod_change_factor(f->xtype, ll, f->is_super, 1 /*to_packed*/,
1 /*to_monotonic*/, f, &c))
error(_("cholmod_change_factor failed"));
return f;
}
