/******************************************************** * ██████╗ ██████╗████████╗██╗ * ██╔════╝ ██╔════╝╚══██╔══╝██║ * ██║ ███╗██║ ██║ ██║ * ██║ ██║██║ ██║ ██║ * ╚██████╔╝╚██████╗ ██║ ███████╗ * ╚═════╝ ╚═════╝ ╚═╝ ╚══════╝ * Geophysical Computational Tools & Library (GCTL) * * Copyright (c) 2022 Yi Zhang (yizhang-geo@zju.edu.cn) * * GCTL is distributed under a dual licensing scheme. You can redistribute * it and/or modify it under the terms of the GNU Lesser General Public * License as published by the Free Software Foundation, either version 2 * of the License, or (at your option) any later version. You should have * received a copy of the GNU Lesser General Public License along with this * program. If not, see . * * If the terms and conditions of the LGPL v.2. would prevent you from using * the GCTL, please consider the option to obtain a commercial license for a * fee. These licenses are offered by the GCTL's original author. As a rule, * licenses are provided "as-is", unlimited in time for a one time fee. Please * send corresponding requests to: yizhang-geo@zju.edu.cn. Please do not forget * to include some description of your company and the realm of its activities. * Also add information on how to contact you by electronic and paper mail. ******************************************************/ #include "lu.h" gctl::lu::lu(matrix &sourceMatrix) : decomposedMatrix(sourceMatrix) { if (sourceMatrix.empty() || sourceMatrix.row_size() != sourceMatrix.col_size()) { throw domain_error("Invalid input matrix. From lu::lu(...)"); } } // Decomposition into triangular matrices void gctl::lu::decompose() { // Initialize the permutation vector int n = decomposedMatrix.row_size(); rowPermutation.resize(n); for (int i = 0; i < n; i++) { rowPermutation[i] = i; } // LU factorization double tmp, det = 1.0; for (int p = 1; p <= n - 1; p++) { // Find pivot element. for (int i = p + 1; i <= n; i++) { if (std::fabs(decomposedMatrix[rowPermutation[i - 1]][p - 1]) > std::fabs(decomposedMatrix[rowPermutation[p - 1]][p - 1])) { // Switch the index for the p-1 pivot row if necessary. tmp = rowPermutation[p - 1]; rowPermutation[p - 1] = rowPermutation[i - 1]; rowPermutation[i - 1] = tmp; det = -det; } } if (decomposedMatrix[rowPermutation[p - 1]][p - 1] == 0.0) { // The matrix is singular, at least to precision of algorithm throw runtime_error("The input matrix is singular. From gctl::lu::decompose()"); return; } // Multiply the diagonal elements. det = det * decomposedMatrix[rowPermutation[p - 1]][p - 1]; // Form multiplier. for (int i = p + 1; i <= n; i++) { decomposedMatrix[rowPermutation[i - 1]][p - 1] /= decomposedMatrix[rowPermutation[p - 1]][p - 1]; // Eliminate [p-1]. for (int j = p + 1; j <= n; j++) { decomposedMatrix[rowPermutation[i - 1]][j - 1] -= decomposedMatrix[rowPermutation[i - 1]][p - 1] * decomposedMatrix[rowPermutation[p - 1]][j - 1]; } } } det = det * decomposedMatrix[rowPermutation[n - 1]][n - 1]; if (det == 0.0) { throw runtime_error("Determinant of the input matrix is zero. From gctl::lu::decompose()"); } return; } // solve for x in form Ax = b. A is the original input matrix. // Note: b is modified in-place for row permutations void gctl::lu::solve(const array& b, array &x) { // Our decomposed matrix is comprised of both the lower and upper diagonal matrices. // The rows of this matrix have been permutated during the decomposition process. The // rowPermutation indicates the proper row order. // The lower diagonal matrix only include elements below the diagonal with diagonal // elements set to 1. // The upper diagonal matrix is fully specified. // First solve Ly = Pb for x using forward substitution. P is a permutated identity matrix. if (b.empty()) { throw domain_error("Invalid target vector. From gctl::lu::solve(...)"); } x.resize(b.size()); for (int i = 0; i < x.size(); i++) { int currentRow = rowPermutation[i]; double sum = 0.0; for (int j = 0; j < i; j++) { sum += (decomposedMatrix[currentRow][j] * x[j]); } x[i] = (b[currentRow] - sum); } // Now solve Uy = x for y using back substitution. Note that // y can be solved in place using the existing y vector. No need // to allocate another vector. for (int i = b.size()-1; i >= 0; i--) { int currentRow = rowPermutation[i]; double sum = 0.0; for (int j = b.size()-1; j > i; j--) { sum += (decomposedMatrix[currentRow][j] * x[j]); } x[i] = (x[i] - sum) / decomposedMatrix[currentRow][i]; } return; }