Commons Math example source code file (LUDecompositionImpl.java)
The Commons Math LUDecompositionImpl.java source code/*
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* The ASF licenses this file to You under the Apache License, Version 2.0
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* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
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* See the License for the specific language governing permissions and
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package org.apache.commons.math.linear;
import org.apache.commons.math.MathRuntimeException;
/**
* Calculates the LUP-decomposition of a square matrix.
* <p>The LUP-decomposition of a matrix A consists of three matrices
* L, U and P that satisfy: PA = LU, L is lower triangular, and U is
* upper triangular and P is a permutation matrix. All matrices are
* m×m.</p>
* <p>As shown by the presence of the P matrix, this decomposition is
* implemented using partial pivoting.</p>
*
* @version $Revision: 885278 $ $Date: 2009-11-29 16:47:51 -0500 (Sun, 29 Nov 2009) $
* @since 2.0
*/
public class LUDecompositionImpl implements LUDecomposition {
/** Default bound to determine effective singularity in LU decomposition */
private static final double DEFAULT_TOO_SMALL = 10E-12;
/** Message for vector length mismatch. */
private static final String VECTOR_LENGTH_MISMATCH_MESSAGE =
"vector length mismatch: got {0} but expected {1}";
/** Entries of LU decomposition. */
private double lu[][];
/** Pivot permutation associated with LU decomposition */
private int[] pivot;
/** Parity of the permutation associated with the LU decomposition */
private boolean even;
/** Singularity indicator. */
private boolean singular;
/** Cached value of L. */
private RealMatrix cachedL;
/** Cached value of U. */
private RealMatrix cachedU;
/** Cached value of P. */
private RealMatrix cachedP;
/**
* Calculates the LU-decomposition of the given matrix.
* @param matrix The matrix to decompose.
* @exception InvalidMatrixException if matrix is not square
*/
public LUDecompositionImpl(RealMatrix matrix)
throws InvalidMatrixException {
this(matrix, DEFAULT_TOO_SMALL);
}
/**
* Calculates the LU-decomposition of the given matrix.
* @param matrix The matrix to decompose.
* @param singularityThreshold threshold (based on partial row norm)
* under which a matrix is considered singular
* @exception NonSquareMatrixException if matrix is not square
*/
public LUDecompositionImpl(RealMatrix matrix, double singularityThreshold)
throws NonSquareMatrixException {
if (!matrix.isSquare()) {
throw new NonSquareMatrixException(matrix.getRowDimension(), matrix.getColumnDimension());
}
final int m = matrix.getColumnDimension();
lu = matrix.getData();
pivot = new int[m];
cachedL = null;
cachedU = null;
cachedP = null;
// Initialize permutation array and parity
for (int row = 0; row < m; row++) {
pivot[row] = row;
}
even = true;
singular = false;
// Loop over columns
for (int col = 0; col < m; col++) {
double sum = 0;
// upper
for (int row = 0; row < col; row++) {
final double[] luRow = lu[row];
sum = luRow[col];
for (int i = 0; i < row; i++) {
sum -= luRow[i] * lu[i][col];
}
luRow[col] = sum;
}
// lower
int max = col; // permutation row
double largest = Double.NEGATIVE_INFINITY;
for (int row = col; row < m; row++) {
final double[] luRow = lu[row];
sum = luRow[col];
for (int i = 0; i < col; i++) {
sum -= luRow[i] * lu[i][col];
}
luRow[col] = sum;
// maintain best permutation choice
if (Math.abs(sum) > largest) {
largest = Math.abs(sum);
max = row;
}
}
// Singularity check
if (Math.abs(lu[max][col]) < singularityThreshold) {
singular = true;
return;
}
// Pivot if necessary
if (max != col) {
double tmp = 0;
final double[] luMax = lu[max];
final double[] luCol = lu[col];
for (int i = 0; i < m; i++) {
tmp = luMax[i];
luMax[i] = luCol[i];
luCol[i] = tmp;
}
int temp = pivot[max];
pivot[max] = pivot[col];
pivot[col] = temp;
even = !even;
}
// Divide the lower elements by the "winning" diagonal elt.
final double luDiag = lu[col][col];
for (int row = col + 1; row < m; row++) {
lu[row][col] /= luDiag;
}
}
}
/** {@inheritDoc} */
public RealMatrix getL() {
if ((cachedL == null) && !singular) {
final int m = pivot.length;
cachedL = MatrixUtils.createRealMatrix(m, m);
for (int i = 0; i < m; ++i) {
final double[] luI = lu[i];
for (int j = 0; j < i; ++j) {
cachedL.setEntry(i, j, luI[j]);
}
cachedL.setEntry(i, i, 1.0);
}
}
return cachedL;
}
/** {@inheritDoc} */
public RealMatrix getU() {
if ((cachedU == null) && !singular) {
final int m = pivot.length;
cachedU = MatrixUtils.createRealMatrix(m, m);
for (int i = 0; i < m; ++i) {
final double[] luI = lu[i];
for (int j = i; j < m; ++j) {
cachedU.setEntry(i, j, luI[j]);
}
}
}
return cachedU;
}
/** {@inheritDoc} */
public RealMatrix getP() {
if ((cachedP == null) && !singular) {
final int m = pivot.length;
cachedP = MatrixUtils.createRealMatrix(m, m);
for (int i = 0; i < m; ++i) {
cachedP.setEntry(i, pivot[i], 1.0);
}
}
return cachedP;
}
/** {@inheritDoc} */
public int[] getPivot() {
return pivot.clone();
}
/** {@inheritDoc} */
public double getDeterminant() {
if (singular) {
return 0;
} else {
final int m = pivot.length;
double determinant = even ? 1 : -1;
for (int i = 0; i < m; i++) {
determinant *= lu[i][i];
}
return determinant;
}
}
/** {@inheritDoc} */
public DecompositionSolver getSolver() {
return new Solver(lu, pivot, singular);
}
/** Specialized solver. */
private static class Solver implements DecompositionSolver {
/** Entries of LU decomposition. */
private final double lu[][];
/** Pivot permutation associated with LU decomposition. */
private final int[] pivot;
/** Singularity indicator. */
private final boolean singular;
/**
* Build a solver from decomposed matrix.
* @param lu entries of LU decomposition
* @param pivot pivot permutation associated with LU decomposition
* @param singular singularity indicator
*/
private Solver(final double[][] lu, final int[] pivot, final boolean singular) {
this.lu = lu;
this.pivot = pivot;
this.singular = singular;
}
/** {@inheritDoc} */
public boolean isNonSingular() {
return !singular;
}
/** {@inheritDoc} */
public double[] solve(double[] b)
throws IllegalArgumentException, InvalidMatrixException {
final int m = pivot.length;
if (b.length != m) {
throw MathRuntimeException.createIllegalArgumentException(
VECTOR_LENGTH_MISMATCH_MESSAGE, b.length, m);
}
if (singular) {
throw new SingularMatrixException();
}
final double[] bp = new double[m];
// Apply permutations to b
for (int row = 0; row < m; row++) {
bp[row] = b[pivot[row]];
}
// Solve LY = b
for (int col = 0; col < m; col++) {
final double bpCol = bp[col];
for (int i = col + 1; i < m; i++) {
bp[i] -= bpCol * lu[i][col];
}
}
// Solve UX = Y
for (int col = m - 1; col >= 0; col--) {
bp[col] /= lu[col][col];
final double bpCol = bp[col];
for (int i = 0; i < col; i++) {
bp[i] -= bpCol * lu[i][col];
}
}
return bp;
}
/** {@inheritDoc} */
public RealVector solve(RealVector b)
throws IllegalArgumentException, InvalidMatrixException {
try {
return solve((ArrayRealVector) b);
} catch (ClassCastException cce) {
final int m = pivot.length;
if (b.getDimension() != m) {
throw MathRuntimeException.createIllegalArgumentException(
VECTOR_LENGTH_MISMATCH_MESSAGE, b.getDimension(), m);
}
if (singular) {
throw new SingularMatrixException();
}
final double[] bp = new double[m];
// Apply permutations to b
for (int row = 0; row < m; row++) {
bp[row] = b.getEntry(pivot[row]);
}
// Solve LY = b
for (int col = 0; col < m; col++) {
final double bpCol = bp[col];
for (int i = col + 1; i < m; i++) {
bp[i] -= bpCol * lu[i][col];
}
}
// Solve UX = Y
for (int col = m - 1; col >= 0; col--) {
bp[col] /= lu[col][col];
final double bpCol = bp[col];
for (int i = 0; i < col; i++) {
bp[i] -= bpCol * lu[i][col];
}
}
return new ArrayRealVector(bp, false);
}
}
/** Solve the linear equation A × X = B.
* <p>The A matrix is implicit here. It is
* @param b right-hand side of the equation A × X = B
* @return a vector X such that A × X = B
* @exception IllegalArgumentException if matrices dimensions don't match
* @exception InvalidMatrixException if decomposed matrix is singular
*/
public ArrayRealVector solve(ArrayRealVector b)
throws IllegalArgumentException, InvalidMatrixException {
return new ArrayRealVector(solve(b.getDataRef()), false);
}
/** {@inheritDoc} */
public RealMatrix solve(RealMatrix b)
throws IllegalArgumentException, InvalidMatrixException {
final int m = pivot.length;
if (b.getRowDimension() != m) {
throw MathRuntimeException.createIllegalArgumentException(
"dimensions mismatch: got {0}x{1} but expected {2}x{3}",
b.getRowDimension(), b.getColumnDimension(), m, "n");
}
if (singular) {
throw new SingularMatrixException();
}
final int nColB = b.getColumnDimension();
// Apply permutations to b
final double[][] bp = new double[m][nColB];
for (int row = 0; row < m; row++) {
final double[] bpRow = bp[row];
final int pRow = pivot[row];
for (int col = 0; col < nColB; col++) {
bpRow[col] = b.getEntry(pRow, col);
}
}
// Solve LY = b
for (int col = 0; col < m; col++) {
final double[] bpCol = bp[col];
for (int i = col + 1; i < m; i++) {
final double[] bpI = bp[i];
final double luICol = lu[i][col];
for (int j = 0; j < nColB; j++) {
bpI[j] -= bpCol[j] * luICol;
}
}
}
// Solve UX = Y
for (int col = m - 1; col >= 0; col--) {
final double[] bpCol = bp[col];
final double luDiag = lu[col][col];
for (int j = 0; j < nColB; j++) {
bpCol[j] /= luDiag;
}
for (int i = 0; i < col; i++) {
final double[] bpI = bp[i];
final double luICol = lu[i][col];
for (int j = 0; j < nColB; j++) {
bpI[j] -= bpCol[j] * luICol;
}
}
}
return new Array2DRowRealMatrix(bp, false);
}
/** {@inheritDoc} */
public RealMatrix getInverse() throws InvalidMatrixException {
return solve(MatrixUtils.createRealIdentityMatrix(pivot.length));
}
}
}
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