#include #include #include #include class MatrixReplacement; template class MatrixReplacement_ProductReturnType; namespace Eigen { namespace internal { template<> struct traits : Eigen::internal::traits > {}; template struct traits > { // The equivalent plain objet type of the product. This type is used if the product needs to be evaluated into a temporary. typedef Eigen::Matrix ReturnType; }; } } // Inheriting EigenBase should not be needed in the future. class MatrixReplacement : public Eigen::EigenBase { public: // Expose some compile-time information to Eigen: typedef double Scalar; typedef double RealScalar; enum { ColsAtCompileTime = Eigen::Dynamic, RowsAtCompileTime = Eigen::Dynamic, MaxColsAtCompileTime = Eigen::Dynamic, MaxRowsAtCompileTime = Eigen::Dynamic }; Index rows() const { return 4; } Index cols() const { return 4; } void resize(Index a_rows, Index a_cols) { // This method should not be needed in the future. assert(a_rows==0 && a_cols==0 || a_rows==rows() && a_cols==cols()); } // In the future, the return type should be Eigen::Product template MatrixReplacement_ProductReturnType operator*(const Eigen::MatrixBase& x) const { return MatrixReplacement_ProductReturnType(*this, x.derived()); } }; // The proxy class representing the product of a MatrixReplacement with a MatrixBase<> template class MatrixReplacement_ProductReturnType : public Eigen::ReturnByValue > { public: typedef MatrixReplacement::Index Index; // The ctor store references to the matrix and right-hand-side object (usually a vector). MatrixReplacement_ProductReturnType(const MatrixReplacement& matrix, const Rhs& rhs) : m_matrix(matrix), m_rhs(rhs) {} Index rows() const { return m_matrix.rows(); } Index cols() const { return m_rhs.cols(); } // This function is automatically called by Eigen. It must evaluate the product of matrix * rhs into y. template void evalTo(Dest& y) const { y.setZero(4); y(0) += 2 * m_rhs(0); y(1) += 1 * m_rhs(0); y(0) += 1 * m_rhs(1); y(1) += 2 * m_rhs(1); y(2) += 1 * m_rhs(1); y(1) += 1 * m_rhs(2); y(2) += 2 * m_rhs(2); y(3) += 1 * m_rhs(2); y(2) += 1 * m_rhs(3); y(3) += 2 * m_rhs(3); } protected: const MatrixReplacement& m_matrix; typename Rhs::Nested m_rhs; }; /*****/ // This class simply warp a diagonal matrix as a Jacobi preconditioner. // In the future such simple and generic wrapper should be shipped within Eigen itsel. template class MyJacobiPreconditioner { typedef _Scalar Scalar; typedef Eigen::Matrix Vector; typedef typename Vector::Index Index; public: // this typedef is only to export the scalar type and compile-time dimensions to solve_retval typedef Eigen::Matrix MatrixType; MyJacobiPreconditioner() : m_isInitialized(false) {} void setInvDiag(const Eigen::VectorXd &invdiag) { m_invdiag=invdiag; m_isInitialized=true; } Index rows() const { return m_invdiag.size(); } Index cols() const { return m_invdiag.size(); } template MyJacobiPreconditioner& analyzePattern(const MatType& ) { return *this; } template MyJacobiPreconditioner& factorize(const MatType& mat) { return *this; } template MyJacobiPreconditioner& compute(const MatType& mat) { return *this; } template void _solve(const Rhs& b, Dest& x) const { x = m_invdiag.array() * b.array() ; } template inline const Eigen::internal::solve_retval solve(const Eigen::MatrixBase& b) const { eigen_assert(m_isInitialized && "MyJacobiPreconditioner is not initialized."); eigen_assert(m_invdiag.size()==b.rows() && "MyJacobiPreconditioner::solve(): invalid number of rows of the right hand side matrix b"); return Eigen::internal::solve_retval(*this, b.derived()); } protected: Vector m_invdiag; bool m_isInitialized; }; namespace Eigen { namespace internal { template struct solve_retval, Rhs> : solve_retval_base, Rhs> { typedef MyJacobiPreconditioner<_MatrixType> Dec; EIGEN_MAKE_SOLVE_HELPERS(Dec,Rhs) template void evalTo(Dest& dst) const { dec()._solve(rhs(),dst); } }; } } /*****/ int main() { MatrixReplacement A; Eigen::VectorXd b(4), x; b << 1, 1, 1, 1; // solve Ax = b using CG with matrix-free version: Eigen::ConjugateGradient < MatrixReplacement, Eigen::Lower|Eigen::Upper, MyJacobiPreconditioner > cg; Eigen::VectorXd invdiag(4); invdiag << 1./3., 1./4., 1./4., 1./3.; cg.preconditioner().setInvDiag(invdiag); cg.compute(A); x = cg.solve(b); std::cout << "#iterations: " << cg.iterations() << std::endl; std::cout << "estimated error: " << cg.error() << std::endl; }