Merge pull request #94 from SciML/myb/linalg

Add fast blocked substitution for triangular matrices

Author: ChrisRackauckas

Project.toml

@@ -1,7 +1,7 @@
 name = "RecursiveArrayTools"
 uuid = "731186ca-8d62-57ce-b412-fbd966d074cd"
 authors = ["Chris Rackauckas <[email protected]>"]
-version = "2.3.0"
+version = "2.3.1"
 
 [deps]
 ArrayInterface = "4fba245c-0d91-5ea0-9b3e-6abc04ee57a9"
@@ -25,6 +25,7 @@ NLsolve = "2774e3e8-f4cf-5e23-947b-6d7e65073b56"
 OrdinaryDiffEq = "1dea7af3-3e70-54e6-95c3-0bf5283fa5ed"
 Test = "8dfed614-e22c-5e08-85e1-65c5234f0b40"
 Unitful = "1986cc42-f94f-5a68-af5c-568840ba703d"
+Random = "9a3f8284-a2c9-5f02-9a11-845980a1fd5c"
 
 [targets]
-test = ["NLsolve", "OrdinaryDiffEq", "Test", "Unitful"]
+test = ["NLsolve", "OrdinaryDiffEq", "Test", "Unitful", "Random"]

src/array_partition.jl

@@ -299,6 +299,70 @@ common_number(a, b) =
 ## Linear Algebra
 
 ArrayInterface.zeromatrix(A::ArrayPartition) = ArrayInterface.zeromatrix(reduce(vcat,vec.(A.x)))
-LinearAlgebra.ldiv!(A::LinearAlgebra.LU,b::ArrayPartition) = ldiv!(A,Array(b))
-LinearAlgebra.ldiv!(A::LinearAlgebra.QR,b::ArrayPartition) = ldiv!(A,Array(b))
-LinearAlgebra.ldiv!(A::LinearAlgebra.SVD,b::ArrayPartition) = ldiv!(A,Array(b))
+
+LinearAlgebra.ldiv!(A::Factorization, b::ArrayPartition) = (x = ldiv!(A, Array(b)); copyto!(b, x))
+function LinearAlgebra.ldiv!(A::LU, b::ArrayPartition)
+    LinearAlgebra._ipiv_rows!(A, 1 : length(A.ipiv), b)
+    ldiv!(UpperTriangular(A.factors), ldiv!(UnitLowerTriangular(A.factors), b))
+    return b
+end
+
+# block matrix indexing
+@inbounds function getblock(A, lens, i, j)
+    ii1 = i == 1 ? 0 : sum(ii->lens[ii], 1:i-1)
+    jj1 = j == 1 ? 0 : sum(ii->lens[ii], 1:j-1)
+    ij1 = CartesianIndex(ii1, jj1)
+    cc1 = CartesianIndex((1, 1))
+    inc = CartesianIndex(lens[i], lens[j])
+    return @view A[(ij1+cc1):(ij1+inc)]
+end
+# fast ldiv for UpperTriangular and UnitLowerTriangular
+# [U11  U12  U13]   [ b1 ]
+# [ 0   U22  U23] \ [ b2 ]
+# [ 0    0   U33]   [ b3 ]
+function LinearAlgebra.ldiv!(A::T, bb::ArrayPartition) where T<:Union{UnitUpperTriangular,UpperTriangular}
+    A = A.data
+    n = npartitions(bb)
+    b = bb.x
+    lens = map(length, b)
+    @inbounds for j in n:-1:1
+        Ajj = T(getblock(A, lens, j, j))
+        xj = ldiv!(Ajj, b[j])
+        for i in j-1:-1:1
+            Aij = getblock(A, lens, i, j)
+            # bi = -Aij * xj + bi
+            mul!(b[i], Aij, xj, -1, true)
+        end
+    end
+    return bb
+end
+
+function LinearAlgebra.ldiv!(A::T, bb::ArrayPartition) where T<:Union{UnitLowerTriangular,LowerTriangular}
+    A = A.data
+    n = npartitions(bb)
+    b = bb.x
+    lens = map(length, b)
+    @inbounds for j in 1:n
+        Ajj = T(getblock(A, lens, j, j))
+        xj = ldiv!(Ajj, b[j])
+        for i in j+1:n
+            Aij = getblock(A, lens, i, j)
+            # bi = -Aij * xj + b[i]
+            mul!(b[i], Aij, xj, -1, true)
+        end
+    end
+    return bb
+end
+# TODO: optimize
+function LinearAlgebra._ipiv_rows!(A::LU, order::OrdinalRange, B::ArrayPartition)
+    for i = order
+        if i != A.ipiv[i]
+            LinearAlgebra._swap_rows!(B, i, A.ipiv[i])
+        end
+    end
+    return B
+end
+function LinearAlgebra._swap_rows!(B::ArrayPartition, i::Integer, j::Integer)
+    B[i], B[j] = B[j], B[i]
+    return B
+end

test/linalg.jl

@@ -0,0 +1,28 @@
+using RecursiveArrayTools, Test, Random
+using LinearAlgebra
+
+n, m = 5, 6
+bb = rand(n), rand(m)
+b = ArrayPartition(bb)
+@test Array(b) == collect(b) == vcat(bb...)
+A = randn(MersenneTwister(123), n+m, n+m)
+
+for T in (UpperTriangular, UnitUpperTriangular, LowerTriangular, UnitLowerTriangular)
+    B = T(A)
+    @test B*Array(B \ b) ≈ b
+    bbb = copy(b)
+    @test ldiv!(bbb, B, b) === bbb
+    copyto!(bbb, b)
+    @test ldiv!(B, bbb) === bbb
+    @test B*Array(bbb) ≈ b
+end
+
+for ff in (lu, svd, qr)
+    FF = ff(A)
+    @test A*(FF \ b) ≈ b
+    bbb = copy(b)
+    @test ldiv!(bbb, FF, b) === bbb
+    copyto!(bbb, b)
+    @test ldiv!(FF, bbb) === bbb
+    @test A*bbb ≈ b
+end

test/runtests.jl

@@ -7,5 +7,6 @@ using Test
   @time @testset "VecOfArr Indexing Tests" begin include("basic_indexing.jl") end
   @time @testset "VecOfArr Interface Tests" begin include("interface_tests.jl") end
   @time @testset "StaticArrays Tests" begin include("copy_static_array_test.jl") end
+  @time @testset "Linear Algebra Tests" begin include("linalg.jl") end
   @time @testset "Upstream Tests" begin include("upstream.jl") end
 end