TridiagonalConjugation

Project.toml

@@ -26,7 +26,7 @@ FillArrays = "1.0"
 InfiniteArrays = "0.15"
 InfiniteRandomArrays = "0.2"
 Infinities = "0.1"
-LazyArrays = "2.3"
+LazyArrays = "2.5"
 LazyBandedMatrices = "0.11"
 LinearAlgebra = "1"
 MatrixFactorizations = "3.0"

src/InfiniteLinearAlgebra.jl

@@ -14,7 +14,7 @@ import Base.Broadcast: BroadcastStyle, Broadcasted, broadcasted
 
 import ArrayLayouts: AbstractBandedLayout, AbstractQLayout, AdjQRPackedQLayout, CNoPivot, DenseColumnMajor, FillLayout,
                      MatLdivVec, MatLmulMat, MatLmulVec, MemoryLayout, QRPackedQLayout, RangeCumsum, TriangularLayout,
-                     TridiagonalLayout, __qr, _factorize, _qr, check_mul_axes, colsupport,
+                     TridiagonalLayout, _qr_layout, factorize_layout, qr_layout, check_mul_axes, colsupport,
                      diagonaldata, ldiv!, lmul!, mul, mulreduce, reflector!, reflectorApply!,
                      rowsupport, sub_materialize, subdiagonaldata, sublayout, supdiagonaldata, transposelayout,
                      triangulardata, triangularlayout, zero!, materialize!
@@ -40,12 +40,17 @@ import LazyArrays: AbstractCachedMatrix, AbstractCachedVector, AbstractLazyLayou
                    CachedArray, CachedLayout, CachedMatrix, CachedVector, LazyArrayStyle, LazyLayout,
                    LazyLayouts, LazyMatrix, LazyVector, AbstractPaddedLayout, PaddedColumns, _broadcast_sub_arguments,
                    applybroadcaststyle, applylayout, arguments, cacheddata, paddeddata, resizedata!, simplifiable,
-                   simplify, islazy, islazy_layout, cache_getindex
+                   simplify, islazy, islazy_layout, cache_getindex, cache_layout
 
 import LazyBandedMatrices: AbstractLazyBandedBlockBandedLayout, AbstractLazyBandedLayout, ApplyBandedLayout, BlockVec,
                            BroadcastBandedLayout, KronTravBandedBlockBandedLayout, LazyBandedLayout,
                            _block_interlace_axes, _krontrav_axes, krontravargs
 
+const StructuredLayoutTypes{Lay} = Union{SymmetricLayout{Lay}, HermitianLayout{Lay}, TriangularLayout{'L','N',Lay}, TriangularLayout{'U','N',Lay}, TriangularLayout{'L','U',Lay}, TriangularLayout{'U','U',Lay}}
+
+const BandedLayouts = Union{AbstractBandedLayout, StructuredLayoutTypes{<:AbstractBandedLayout}}
+
+
 import LinearAlgebra: AbstractQ, AdjointQ, AdjOrTrans, factorize, matprod, qr
 
 import MatrixFactorizations: AdjQLPackedQLayout, LayoutQ, QL, QLPackedQ, QLPackedQLayout, QR, QRPackedQ,
@@ -125,5 +130,6 @@ include("infqr.jl")
 include("inful.jl")
 include("infcholesky.jl")
 include("banded/bidiagonalconjugation.jl")
+include("banded/tridiagonalconjugation.jl")
 
 end # module

src/banded/tridiagonalconjugation.jl

@@ -0,0 +1,303 @@
+
+# upper_mul_tri_triview(U, X) == Tridiagonal(U*X) where U is Upper triangular BandedMatrix and X is Tridiagonal
+function upper_mul_tri_triview(U::BandedMatrix, X::Tridiagonal)
+    T = promote_type(eltype(U), eltype(X))
+    n = size(U,1)
+    UX = Tridiagonal(Vector{T}(undef, n-1), Vector{T}(undef, n), Vector{T}(undef, n-1))
+
+    upper_mul_tri_triview!(UX, U, X)
+end
+
+function upper_mul_tri_triview!(UX::Tridiagonal, U::BandedMatrix, X::Tridiagonal)
+    n = size(UX,1)
+
+
+    Xdl, Xd, Xdu = X.dl, X.d, X.du
+    UXdl, UXd, UXdu = UX.dl, UX.d, UX.du
+
+    l,u = bandwidths(U)
+
+    @assert size(U) == (n,n)
+    @assert l ≥ 0
+    # Tridiagonal bands can be resized
+    @assert length(Xdl)+1 == length(Xd) == length(Xdu)+1 == length(UXdl)+1 == length(UXd) == length(UXdu)+1 == n
+
+    UX, bₖ, aₖ, cₖ, cₖ₋₁ = initiate_upper_mul_tri_triview!(UX, U, X)
+    UX, bₖ, aₖ, cₖ, cₖ₋₁ = main_upper_mul_tri_triview!(UX, U, X, 2:n-2, bₖ, aₖ, cₖ, cₖ₋₁)
+    finalize_upper_mul_tri_triview!(UX, U, X, n-1, bₖ, aₖ, cₖ, cₖ₋₁)
+end
+
+# populate first row of UX with UX
+
+initiate_upper_mul_tri_triview!(UX, U::UpperTriangular, X) = initiate_upper_mul_tri_triview!(UX, parent(U), X)
+initiate_upper_mul_tri_triview!(UX, U::CachedMatrix, X) = initiate_upper_mul_tri_triview!(UX, U.data, X)
+initiate_upper_mul_tri_triview!(UX, U::Union{AdaptiveCholeskyFactors,AdaptiveQRFactors}, X) = initiate_upper_mul_tri_triview!(UX, U.data.data, X)
+
+function initiate_upper_mul_tri_triview!(UX, U::BandedMatrix, X)
+    Xdl, Xd, Xdu = subdiagonaldata(X), diagonaldata(X), supdiagonaldata(X)
+    UXdl, UXd, UXdu = UX.dl, UX.d, UX.du
+    Udat = U.data
+
+    l,u = bandwidths(U)
+
+    k = 1
+    aₖ, cₖ = Xd[1], Xdl[1]
+    Uₖₖ, Uₖₖ₊₁, Uₖₖ₊₂ =  Udat[u+1,1], Udat[u,2],  (u > 1 ? Udat[u-1,3] : zero(eltype(Udat)))  # U[k,k], U[k,k+1], U[k,k+2]
+    UXd[1] = Uₖₖ*aₖ +  Uₖₖ₊₁*cₖ  # UX[k,k] = U[k,k]*X[k,k] + U[k,k+1]*X[k+1,k]
+    bₖ, aₖ, cₖ, cₖ₋₁ = Xdu[1], Xd[2], Xdl[2], cₖ  # X[k,k+1], X[k+1,k+1], X[k+2,k+1], X[k+1,k]
+    UXdu[1] = Uₖₖ*bₖ + Uₖₖ₊₁*aₖ + Uₖₖ₊₂*cₖ # UX[k,k+1] = U[k,k]*X[k,k+1] + U[k,k+1]*X[k+1,k+1] + U[k,k+1]*X[k+1,k]
+
+    UX, bₖ, aₖ, cₖ, cₖ₋₁
+end
+
+# fills in the rows kr of UX
+main_upper_mul_tri_triview!(UX, U::UpperTriangular, X, kr, kwds...) = main_upper_mul_tri_triview!(UX, parent(U), X, kr, kwds...)
+
+function main_upper_mul_tri_triview!(UX, U::Union{CachedMatrix,AdaptiveCholeskyFactors}, X, kr, kwds...)
+    resizedata!(U, kr[end], kr[end]+2)
+    main_upper_mul_tri_triview!(UX, U.data, X, kr, kwds...)
+end
+
+function main_upper_mul_tri_triview!(UX, U::AdaptiveQRFactors, X, kr, kwds...)
+    resizedata!(U, kr[end], kr[end]+2)
+    main_upper_mul_tri_triview!(UX, U.data.data, X, kr, kwds...)
+end
+
+
+function main_upper_mul_tri_triview!(UX, U::BandedMatrix, X, kr, bₖ=X[kr[1]-1,kr[1]], aₖ=X[kr[1],kr[1]], cₖ=X[kr[1]+1,kr[1]], cₖ₋₁=X[kr[1],kr[1]-1])
+    Xdl, Xd, Xdu = subdiagonaldata(X), diagonaldata(X), supdiagonaldata(X)
+    UXdl, UXd, UXdu = UX.dl, UX.d, UX.du
+    Udat = U.data
+    l,u = bandwidths(U)
+
+    for k = kr
+        Uₖₖ, Uₖₖ₊₁, Uₖₖ₊₂ =  Udat[u+1,k], Udat[u,k+1],  (u > 1 ? Udat[u-1,k+2] : zero(eltype(Udat))) # U[k,k], U[k,k+1], U[k,k+2]
+        UXdl[k-1] = Uₖₖ*cₖ₋₁ # UX[k,k-1] = U[k,k]*X[k,k-1]
+        UXd[k] = Uₖₖ*aₖ +  Uₖₖ₊₁*cₖ  # UX[k,k] = U[k,k]*X[k,k] + U[k,k+1]*X[k+1,k]
+        bₖ, aₖ, cₖ, cₖ₋₁ = Xdu[k], Xd[k+1], Xdl[k+1], cₖ  # X[k,k+1], X[k+1,k+1], X[k+2,k+1], X[k+1,k]
+        UXdu[k] = Uₖₖ*bₖ + Uₖₖ₊₁*aₖ + Uₖₖ₊₂*cₖ # UX[k,k+1] = U[k,k]*X[k,k+1] + U[k,k+1]*X[k+1,k+1] + U[k,k+2]*X[k+2,k+1]
+    end
+
+    UX, bₖ, aₖ, cₖ, cₖ₋₁
+end
+
+# populate rows k and k+1 of UX, assuming we are at the bottom-right
+function finalize_upper_mul_tri_triview!(UX, U, X, k, bₖ, aₖ, cₖ, cₖ₋₁)
+    Xdl, Xd, Xdu = X.dl, X.d, X.du
+    UXdl, UXd, UXdu = UX.dl, UX.d, UX.du
+    Udat = U.data
+    l,u = bandwidths(U)
+
+    Uₖₖ, Uₖₖ₊₁ =  Udat[u+1,k], Udat[u,k+1] # U[k,k], U[k,k+1]
+    UXdl[k-1] = Uₖₖ*cₖ₋₁ # UX[k,k-1] = U[k,k]*X[k,k-1]
+    UXd[k] = Uₖₖ*aₖ +  Uₖₖ₊₁*cₖ  # UX[k,k] = U[k,k]*X[k,k] + U[k,k+1]*X[k+1,k]
+    bₖ, aₖ, cₖ₋₁ = Xdu[k], Xd[k+1], cₖ  # X[k,k+1], X[k+1,k+1], X[k+2,k+1], X[k+1,k]
+    UXdu[k] = Uₖₖ*bₖ + Uₖₖ₊₁*aₖ # UX[k,k+1] = U[k,k]*X[k,k+1] + U[k,k+1]*X[k+1,k+1] + U[k,k+2]*X[k+2,k+1]
+
+    k += 1
+    Uₖₖ =  Udat[u+1,k] # U[k,k]
+    UXdl[k-1] = Uₖₖ*cₖ₋₁ # UX[k,k-1] = U[k,k]*X[k,k-1]
+    UXd[k] = Uₖₖ*aₖ  # UX[k,k] = U[k,k]*X[k,k] + U[k,k+1]*X[k+1,k]
+
+    UX
+end
+
+
+# X*R^{-1} = X*[1/R₁₁ -R₁₂/(R₁₁R₂₂)  -R₁₃/R₂₂ …
+#               0       1/R₂₂   -R₂₃/R₃₃
+#                               1/R₃₃
+
+tri_mul_invupper_triview(X::Tridiagonal, R::BandedMatrix) = tri_mul_invupper_triview!(similar(X, promote_type(eltype(X), eltype(R))), X, R)
+
+
+function tri_mul_invupper_triview!(Y::Tridiagonal, X::Tridiagonal, R::BandedMatrix)
+    n = size(X,1)
+    Xdl, Xd, Xdu = X.dl, X.d, X.du
+    Ydl, Yd, Ydu = Y.dl, Y.d, Y.du
+
+    l,u = bandwidths(R)
+
+    @assert size(R) == (n,n)
+    @assert l ≥ 0 && u ≥ 1
+    # Tridiagonal bands can be resized
+    @assert length(Xdl)+1 == length(Xd) == length(Xdu)+1 == length(Ydl)+1 == length(Yd) == length(Ydu)+1 == n
+
+    UX, Rₖₖ, Rₖₖ₊₁ = initiate_tri_mul_invupper_triview!(Y, X, R)
+    UX, Rₖₖ, Rₖₖ₊₁ = main_tri_mul_invupper_triview!(Y, X, R, 2:n-1, Rₖₖ, Rₖₖ₊₁)
+    finalize_tri_mul_invupper_triview!(Y, X, R, n, Rₖₖ, Rₖₖ₊₁)
+end
+
+# partially-populate first row of X/R
+# Ydu[k] is updated below
+function initiate_tri_mul_invupper_triview!(Y, X, R::CachedMatrix)
+    resizedata!(R, 1, 2)
+    initiate_tri_mul_invupper_triview!(Y, X, R.data)
+end
+
+function initiate_tri_mul_invupper_triview!(Y, X, R::Union{AdaptiveCholeskyFactors,AdaptiveQRFactors})
+    resizedata!(R, 1, 2)
+    initiate_tri_mul_invupper_triview!(Y, X, R.data.data)
+end
+
+initiate_tri_mul_invupper_triview!(Y, X, R::UpperTriangular) = initiate_tri_mul_invupper_triview!(Y, X, parent(R))
+
+function initiate_tri_mul_invupper_triview!(Y, X, R::BandedMatrix)
+    Xdl, Xd, Xdu = X.dl, X.d, X.du
+    Ydl, Yd, Ydu = Y.dl, Y.d, Y.du
+    Rdat = R.data
+
+    l,u = bandwidths(R)
+
+    k = 1
+    aₖ,bₖ = Xd[k], Xdu[k]
+    Rₖₖ,Rₖₖ₊₁ = Rdat[u+1,k], Rdat[u,k+1] # R[1,1], R[1,2]
+
+    Yd[k] = aₖ/Rₖₖ
+    Ydu[k] = bₖ - aₖ * Rₖₖ₊₁/Rₖₖ
+
+    Y, Rₖₖ, Rₖₖ₊₁
+end
+
+
+# populate rows kr of X/R. Ydu[k] is wrong until next run.
+main_tri_mul_invupper_triview!(Y::Tridiagonal, X::Tridiagonal, R::UpperTriangular, kr, kwds...) = main_tri_mul_invupper_triview!(Y, X, parent(R), kr, kwds...)
+function main_tri_mul_invupper_triview!(Y::Tridiagonal, X::Tridiagonal, R::Union{AdaptiveCholeskyFactors,CachedMatrix}, kr, kwds...)
+    resizedata!(R, kr[end], kr[end]+1)
+    main_tri_mul_invupper_triview!(Y, X, R.data, kr, kwds...)
+end
+
+function main_tri_mul_invupper_triview!(Y::Tridiagonal, X::Tridiagonal, R::AdaptiveQRFactors, kr, kwds...)
+    resizedata!(R, kr[end], kr[end]+1)
+    main_tri_mul_invupper_triview!(Y, X, R.data.data, kr, kwds...)
+end
+
+function main_tri_mul_invupper_triview!(Y::Tridiagonal, X::Tridiagonal, R::BandedMatrix, kr, Rₖₖ=R[first(kr)-1,first(kr)-1], Rₖₖ₊₁=R[first(kr)-1,first(kr)])
+    Xdl, Xd, Xdu = X.dl, X.d, X.du
+    Ydl, Yd, Ydu = Y.dl, Y.d, Y.du
+    Rdat = R.data
+    l,u = bandwidths(R)
+
+    for k = kr
+        cₖ₋₁,aₖ,bₖ = Xdl[k-1], Xd[k], Xdu[k]
+        Ydl[k-1] = cₖ₋₁/Rₖₖ
+        Yd[k] = aₖ-cₖ₋₁*Rₖₖ₊₁/Rₖₖ
+        Ydu[k] = cₖ₋₁/Rₖₖ
+        Rₖₖ,Rₖₖ₊₁,Rₖ₋₁ₖ₊₁,Rₖ₋₁ₖ = Rdat[u+1,k], Rdat[u,k+1],(u > 1 ? Rdat[u-1,k+1] : zero(eltype(Rdat))),Rₖₖ₊₁ # R[k,k], R[k,k+1], R[k-1,k+1]
+        Yd[k] /= Rₖₖ
+        Ydu[k-1] /= Rₖₖ
+        Ydu[k] *= Rₖ₋₁ₖ*Rₖₖ₊₁/Rₖₖ - Rₖ₋₁ₖ₊₁
+        Ydu[k] += bₖ - aₖ * Rₖₖ₊₁ / Rₖₖ
+    end
+    Y, Rₖₖ, Rₖₖ₊₁
+end
+
+
+# populate row k of X/R, assuming we are at the bottom-right
+function finalize_tri_mul_invupper_triview!(Y::Tridiagonal, X::Tridiagonal, R::BandedMatrix, k, Rₖₖ=R[k-1,k-1], Rₖₖ₊₁=R[k-1,k])
+    Xdl, Xd, Xdu = X.dl, X.d, X.du
+    Ydl, Yd, Ydu = Y.dl, Y.d, Y.du
+    Rdat = R.data  
+    l,u = bandwidths(R)
+    cₖ₋₁,aₖ = Xdl[k-1], Xd[k]
+    Ydl[k-1] = cₖ₋₁/Rₖₖ
+    Yd[k] = aₖ-cₖ₋₁*Rₖₖ₊₁/Rₖₖ
+    Rₖₖ = Rdat[u+1,k] # R[k,k]
+    Yd[k] /= Rₖₖ
+    Ydu[k-1] /= Rₖₖ
+
+    Y
+end
+"""
+    TridiagonalConjugationData(U, X, V, Y)
+
+caches the infinite dimensional Tridiagonal(U*X/V)
+in the tridiagonal matrix `Y`
+"""
+
+mutable struct TridiagonalConjugationData{T}
+    const U::AbstractMatrix{T}
+    const X::AbstractMatrix{T}
+    const V::AbstractMatrix{T}
+
+    const UX::Tridiagonal{T,Vector{T}} # cache Tridiagonal(U*X)
+    const Y::Tridiagonal{T,Vector{T}} # cache Tridiagonal(U*X/V)
+
+    datasize::Int
+end
+
+function TridiagonalConjugationData(U, X, V)
+    T = promote_type(typeof(inv(V[1, 1])), eltype(U), eltype(X)) # include inv so that we can't get Ints
+    n_init = 100
+    UX = Tridiagonal(Vector{T}(undef, n_init-1), Vector{T}(undef, n_init), Vector{T}(undef, n_init-1))
+    Y = Tridiagonal(Vector{T}(undef, n_init-1), Vector{T}(undef, n_init), Vector{T}(undef, n_init-1))
+    resizedata!(U, n_init, n_init)
+    resizedata!(V, n_init, n_init)
+    initiate_upper_mul_tri_triview!(UX, U, X) # fill-in 1st row
+    initiate_tri_mul_invupper_triview!(Y, UX, V)
+    return TridiagonalConjugationData(U, X, V, UX, Y, 0)
+end
+
+
+function TridiagonalConjugationData(U, X)
+    C = cache(U)
+    TridiagonalConjugationData(C, X, C)
+end
+
+copy(data::TridiagonalConjugationData) = TridiagonalConjugationData(copy(data.U), copy(data.X), copy(data.V), copy(data.UX), copy(data.Y), data.datasize)
+
+
+function resizedata!(data::TridiagonalConjugationData, n)
+    n ≤ data.datasize && return data
+
+    if n ≥ length(data.UX.dl) # Avoid O(n²) growing. Note min(length(dv), length(ev)) == length(ev)
+        resize!(data.UX.dl, 2n)
+        resize!(data.UX.d, 2n + 1)
+        resize!(data.UX.du, 2n)
+
+        resize!(data.Y.dl, 2n)
+        resize!(data.Y.d, 2n + 1)
+        resize!(data.Y.du, 2n)
+    end
+
+
+    if n > data.datasize
+        main_upper_mul_tri_triview!(data.UX, data.U, data.X, data.datasize+2:n+1)
+        main_tri_mul_invupper_triview!(data.Y, data.UX, data.U, data.datasize+2:n+1) # need one extra as it updates first row
+        data.datasize = n
+    end
+
+    data
+end
+
+struct TridiagonalConjugationBand{T} <: LazyVector{T}
+    data::TridiagonalConjugationData{T}
+    diag::Symbol
+end
+
+size(P::TridiagonalConjugationBand) = (ℵ₀,)
+resizedata!(A::TridiagonalConjugationBand, n) = resizedata!(A.data, n)
+
+function _triconj_getindex(C::TridiagonalConjugationBand, I)
+    resizedata!(C, maximum(I)+1)
+    getfield(C.data.Y, C.diag)[I]
+end
+
+getindex(A::TridiagonalConjugationBand, I::Integer) = _triconj_getindex(A, I)
+getindex(A::TridiagonalConjugationBand, I::AbstractVector) = _triconj_getindex(A, I)
+getindex(K::TridiagonalConjugationBand, k::AbstractInfUnitRange{<:Integer}) = view(K, k)
+getindex(K::SubArray{<:Any,1,<:TridiagonalConjugationBand}, k::AbstractInfUnitRange{<:Integer}) = view(K, k)
+
+copy(A::TridiagonalConjugationBand) = A # immutable
+
+
+const TridiagonalConjugation{T} = Tridiagonal{T, TridiagonalConjugationBand{T}}
+const SymTridiagonalConjugation{T} = SymTridiagonal{T, TridiagonalConjugationBand{T}}
+function TridiagonalConjugation(R, X, Y...)
+    data = TridiagonalConjugationData(R, X, Y...)
+    Tridiagonal(TridiagonalConjugationBand(data, :dl), TridiagonalConjugationBand(data, :d), TridiagonalConjugationBand(data, :du))
+end
+
+function SymTridiagonalConjugation(R, X, Y...)
+    data = TridiagonalConjugationData(R, X, Y...)
+    SymTridiagonal(TridiagonalConjugationBand(data, :d), TridiagonalConjugationBand(data, :du))
+end

src/infcholesky.jl

@@ -12,7 +12,7 @@ const SymmetricBandedLayouts = Union{SymTridiagonalLayout,SymmetricLayout{<:Abst
 function AdaptiveCholeskyFactors(::SymmetricBandedLayouts, S::AbstractMatrix{T}) where T
     A = parent(S)
     l,u = bandwidths(A)
-    data = BandedMatrix{T}(undef,(0,0),(l,u)) # pad super
+    data = BandedMatrix(Zeros{T}(0,0),(l,u)) # pad super
     AdaptiveCholeskyFactors(CachedArray(data,A), 0)
 end
 AdaptiveCholeskyFactors(A::AbstractMatrix{T}) where T = AdaptiveCholeskyFactors(MemoryLayout(A), A)
@@ -41,6 +41,10 @@ function partialcholesky!(F::AdaptiveCholeskyFactors{T,<:BandedMatrix}, n::Int)
     F
 end
 
+resizedata!(F::AdaptiveCholeskyFactors, m, n) = partialcholesky!(F, n) # support cache interface
+
+resizedata!(R::UpperTriangular{<:Any,<:AdaptiveCholeskyFactors}, m...) = resizedata!(parent(R), m...)
+
 function getindex(F::AdaptiveCholeskyFactors, k::Int, j::Int)
     partialcholesky!(F, max(k,j))
     F.data.data[k,j]