In place modification of an Eigen's LDLT object - eigen

Given a matrix's LDLT decomposition, I would like to modify the diagonal - for example floor all the values. Is there a way to do this with eigen?
To be clear, I can do:
auto ldlt_ = matrix.ldlt();
and I would like to follow up with:
ldlt_.vectorD().cwiseMax(Vector::Constant(n,epsilon))
before solving a problem:
ldlt_.solve(a)
I don't see any non const accessors to the vectorD member - what am I missing?

No, you cannot do that, and I don't think that's a good idea to increase small (or negative) diagonal entries this way. If there are too small entries, the usual approach is either to ignore them (default behavior of LDLT::solve), or to redo the factorization with matrix+eps*I. Anyway, if you really want to tweak D yourself, then you have to implement your own solve function.

Related

Algorithmic representation of list of list

I am creating a list with the elements of another list. I want to make sure about two things. First that the list is made from another list and second the size of list changes. Is the following representation good enough ?
n ∈ {2,3,4}
new_list = [list[1], ... , list[n]]
How can I represent algorithmically that I create the "new_list" with elements of "list" without the dots ?
There is no standard of pseudo-code. (I am glad there isn't.)
Standards for pseudo code?
https://cs.stackexchange.com/questions/42226/the-convention-for-declaring-arrays-in-pseudocode
Therefore, I think it is vastly up to you to imagine what is good/bad.
Here are some rough conventions, but none address what you asked directly :-
http://www.cs.princeton.edu/courses/archive/spr11/cos116/handouts/Pseudocode_Reference.pdf
http://www.dreamincode.net/forums/topic/304088-question-in-declaring-and-using-arrays-in-writing-pseudocode/
http://cs.brown.edu/courses/cs016/static/files/docs/PseudocodeStandards.pdf
Therefore, I will use my opinion : the pseudo-code you show looks OK for me.
Just be sure that your article uses consistent notation.
(use same symbol/pattern to denote the same thing)
I hope that this solution is good enough for you.

Re-use Eigen::SimplicialLLT's symbolic decomposition

I am struggling a bit with the API of the Eigen Library, namely the SimplicialLLT class for Cholesky factorization of sparse matrices.
I have three matrices that I need to factor and later use to solve many equation systems (changing only the right side) - therefore I would like to factor these matrices only once and then just re-use them. Moreover, they all have the same sparcity pattern, so I would like to do the symbolic decomposition only once and then use it for the numerical decomposition for all three matrices. According to the documentation, this is exactly what the SimplicialLLT::analyzePattern and SimplicialLLT::factor methods are for. However, I can't seem to find a way to keep all three factors in the memory.
This is my code:
I have these member variables in my class I would like to fill with the factors:
Eigen::SimplicialLLT<Eigen::SparseMatrix<double>> choleskyA;
Eigen::SimplicialLLT<Eigen::SparseMatrix<double>> choleskyB;
Eigen::SimplicialLLT<Eigen::SparseMatrix<double>> choleskyC;
Then I create the three sparse matrices A, B and C and want to factor them:
choleskyA.analyzePattern(A);
choleskyA.factorize(A);
choleskyB.analyzePattern(B); // this has already been done!
choleskyB.factorize(B);
choleskyC.analyzePattern(C); // this has already been done!
choleskyC.factorize(C);
And later I can use them for solutions over and over again, changing just the b vectors of right sides:
xA = choleskyA.solve(bA);
xB = choleskyB.solve(bB);
xC = choleskyC.solve(bC);
This works (I think), but the second and third call to analyzePattern are redundant. What I would like to do is something like:
choleskyA.analyzePattern(A);
choleskyA.factorize(A);
choleskyB = choleskyA.factorize(B);
choleskyC = choleskyA.factorize(C);
But that is not an option with the current API (we use Eigen 3.2.3, but if I see correctly there is no change in this regard in 3.3.2). The problem here is that the subsequent calls to factorize on the same instance of SimplicialLLT will overwrite the previously computed factor and at the same time, I can't find a way to make a copy of it to keep. I took a look at the sources but I have to admit that didn't help much as I can't see any simple way to copy the underlying data structures. It seems to me like a rather common usage, so I feel like I am missing something obvious, please help.
What I have tried:
I tried using simply choleskyB = choleskyA hoping that the default copy constructor will get things done, but I have found out that the base classes are designed to be non-copyable.
I can get the L and U matrices (there's a getter for them) from choleskyA, make a copy of them and store only those and then basically copy-paste the content of SimplicialCholeskyBase::_solve_impl() (copy-pasted below) to write the method for solving myself using the previously stored L and U directly.
template<typename Rhs,typename Dest>
void _solve_impl(const MatrixBase<Rhs> &b, MatrixBase<Dest> &dest) const
{
eigen_assert(m_factorizationIsOk && "The decomposition is not in a valid state for solving, you must first call either compute() or symbolic()/numeric()");
eigen_assert(m_matrix.rows()==b.rows());
if(m_info!=Success)
return;
if(m_P.size()>0)
dest = m_P * b;
else
dest = b;
if(m_matrix.nonZeros()>0) // otherwise L==I
derived().matrixL().solveInPlace(dest);
if(m_diag.size()>0)
dest = m_diag.asDiagonal().inverse() * dest;
if (m_matrix.nonZeros()>0) // otherwise U==I
derived().matrixU().solveInPlace(dest);
if(m_P.size()>0)
dest = m_Pinv * dest;
}
...but that's quite an ugly solution plus I would probably screw it up since I don't have that good understanding of the process (I don't need the m_diag from the above code since I am doing LLT, right? that would be relevant only if I was using LDLT?). I hope this is not what I need to do...
A final note - adding the necessary getters/setters to the Eigen classes and compiling "my own" Eigen is not an option (well, not a good one) as this code will (hopefully) be further redistributed as open source, so it would be troublesome.
This is a quite unusual pattern. In practice the symbolic factorization is very cheap compared to the numerical factorization, so I'm not sure it's worth bothering much. The cleanest solution to address this pattern would be to let SimplicialL?LT to be copiable.

How to check if an Eigen::Matrix4f is close to identity matrix?

Is there a good practice to check if my result Eigen::Matrix4f is almost identity? Since due to floating point errors I don't get some times exactly only zeros and ones.
One brute force method would be, to check each value in the matrix if it is between certain EPSILON and if just one of them fails, then it is not an identity matrix. Is there a better solution?
First, you have to define in what sense they shall be "close". There can be many different definitions of closeness, depending on your specific task. One of the most used is:
norm( A - I ) < eps
where norm is some matrix norm. Most common are 2-norm, 1-norm, inf-norm and Frobenius norm.
Your method is also possible. It is equivalent to the method above with max-norm (where norm(A) = max abs Aij). It can be implemented in Eigen using:
(A - Matrix4f::Identity()).cwiseAbs().max() < eps;
Update:
Actually, in Eigen there is a special method to check that: isIdentity. You give it the threshold value:
A.isIdentity(eps)

Fast check if element is in MATLAB matrix

I would like to verify whether an element is present in a MATLAB matrix.
At the beginning, I implemented as follows:
if ~isempty(find(matrix(:) == element))
which is obviously slow. Thus, I changed to:
if sum(matrix(:) == element) ~= 0
but this is again slow: I am calling a lot of times the function that contains this instruction, and I lose 14 seconds each time!
Is there a way of further optimize this instruction?
Thanks.
If you just need to know if a value exists in a matrix, using the second argument of find to specify that you just want one value will be slightly faster (25-50%) and even a bit faster than using sum, at least on my machine. An example:
matrix = randi(100,1e4,1e4);
element = 50;
~isempty(find(matrix(:)==element,1))
However, in recent versions of Matlab (I'm using R2014b), nnz is finally faster for this operation, so:
matrix = randi(100,1e4,1e4);
element = 50;
nnz(matrix==element)~=0
On my machine this is about 2.8 times faster than any other approach (including using any, strangely) for the example provided. To my mind, this solution also has the benefit of being the most readable.
In my opinion, there are several things you could try to improve performance:
following your initial idea, i would go for the function any to test is any of the equality tests had a success:
if any(matrix(:) == element)
I tested this on a 1000 by 1000 matrix and it is faster than the solutions you have tested.
I do not think that the unfolding matrix(:) is penalizing since it is equivalent to a reshape and Matlab does this in a smart way where it does not actually allocate and move memory since you are not modifying the temporary object matrix(:)
If your does not change between the calls to the function or changes rarely you could simply use another vector containing all the elements of your matrix, but sorted. This way you could use a more efficient search algorithm O(log(N)) test for the presence of your element.
I personally like the ismember function for this kind of problems. It might not be the fastest but for non critical parts of the code it greatly improves readability and code maintenance (and I prefer to spend one hour coding something that will take day to run than spending one day to code something that will run in one hour (this of course depends on how often you use this program, but it is something one should never forget)
If you can have a sorted copy of the elements of your matrix, you could consider using the undocumented Matlab function ismembc but remember that inputs must be sorted non-sparse non-NaN values.
If performance really is critical you might want to write your own mex file and for this task you could even include some simple parallelization using openmp.
Hope this helps,
Adrien.

Expectation Maximization Reestimation

Typically, the re-estimation iterative procedure stops when lambda.bar - lambda is less than some epsilon value.
How exactly does one determine this epsilon value? I often only see is written as the general epsilon symbol in papers, and never the actual value used, which I assume would change depending on the data.
So, for instance, if the lambda value of my first iteration was 5*10^-22, second iteration was 1.3*10^-15, third was 8.45*10^-15, fourth was 1.65*10^-14, etc., how would I determine when the algorithm needed no more iteratons?
Moreover, what if I were to apply the same alogrithm to a different datset? would I need to change my epsilon definitions?
Sorry for the long question. Pretty puzzled by it... :)
"how would I determine when the algorithm needed no more iteratons?"
When you get a "good-enough" result within a reasonable amount of time. ;-)
"Moreover, what if I were to apply the same alogrithm to a different datset? would I need to
change my epsilon definitions?"
Yes, most probably.
If you can afford it, you can just let it iterate until the updated value <= the old value (it could be < due to floating point error). I would be inclined to go with this until I ran out of patience or cpu budget.

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