1c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath/* 2c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath Copyright (c) 2011, Intel Corporation. All rights reserved. 3c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath 4c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath Redistribution and use in source and binary forms, with or without modification, 5c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath are permitted provided that the following conditions are met: 6c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath 7c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath * Redistributions of source code must retain the above copyright notice, this 8c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath list of conditions and the following disclaimer. 9c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath * Redistributions in binary form must reproduce the above copyright notice, 10c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath this list of conditions and the following disclaimer in the documentation 11c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath and/or other materials provided with the distribution. 12c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath * Neither the name of Intel Corporation nor the names of its contributors may 13c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath be used to endorse or promote products derived from this software without 14c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath specific prior written permission. 15c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath 16c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS" AND 17c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE IMPLIED 18c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE ARE 19c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT OWNER OR CONTRIBUTORS BE LIABLE FOR 20c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES 21c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; 22c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath LOSS OF USE, DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON 23c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath ANY THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT 24c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS 25c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE. 26c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath 27c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath ******************************************************************************** 28c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath * Content : Eigen bindings to Intel(R) MKL 29c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath * LLt decomposition based on LAPACKE_?potrf function. 30c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath ******************************************************************************** 31c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath*/ 32c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath 33c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath#ifndef EIGEN_LLT_MKL_H 34c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath#define EIGEN_LLT_MKL_H 35c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath 36c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath#include "Eigen/src/Core/util/MKL_support.h" 37c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath#include <iostream> 38c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath 39c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamathnamespace Eigen { 40c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath 41c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamathnamespace internal { 42c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath 43c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamathtemplate<typename Scalar> struct mkl_llt; 44c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath 45c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath#define EIGEN_MKL_LLT(EIGTYPE, MKLTYPE, MKLPREFIX) \ 46c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamathtemplate<> struct mkl_llt<EIGTYPE> \ 47c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath{ \ 48c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath template<typename MatrixType> \ 49c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath static inline typename MatrixType::Index potrf(MatrixType& m, char uplo) \ 50c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath { \ 51c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath lapack_int matrix_order; \ 52c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath lapack_int size, lda, info, StorageOrder; \ 53c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath EIGTYPE* a; \ 54c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath eigen_assert(m.rows()==m.cols()); \ 55c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath /* Set up parameters for ?potrf */ \ 56c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath size = m.rows(); \ 57c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath StorageOrder = MatrixType::Flags&RowMajorBit?RowMajor:ColMajor; \ 58c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath matrix_order = StorageOrder==RowMajor ? LAPACK_ROW_MAJOR : LAPACK_COL_MAJOR; \ 59c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath a = &(m.coeffRef(0,0)); \ 60c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath lda = m.outerStride(); \ 61c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath\ 62c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath info = LAPACKE_##MKLPREFIX##potrf( matrix_order, uplo, size, (MKLTYPE*)a, lda ); \ 63a829215e078ace896f52702caa0c27608f40e3b0Miao Wang info = (info==0) ? -1 : info>0 ? info-1 : size; \ 64c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath return info; \ 65c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath } \ 66c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath}; \ 67c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamathtemplate<> struct llt_inplace<EIGTYPE, Lower> \ 68c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath{ \ 69c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath template<typename MatrixType> \ 70c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath static typename MatrixType::Index blocked(MatrixType& m) \ 71c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath { \ 72c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath return mkl_llt<EIGTYPE>::potrf(m, 'L'); \ 73c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath } \ 74c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath template<typename MatrixType, typename VectorType> \ 75c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath static typename MatrixType::Index rankUpdate(MatrixType& mat, const VectorType& vec, const typename MatrixType::RealScalar& sigma) \ 76c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath { return Eigen::internal::llt_rank_update_lower(mat, vec, sigma); } \ 77c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath}; \ 78c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamathtemplate<> struct llt_inplace<EIGTYPE, Upper> \ 79c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath{ \ 80c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath template<typename MatrixType> \ 81c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath static typename MatrixType::Index blocked(MatrixType& m) \ 82c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath { \ 83c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath return mkl_llt<EIGTYPE>::potrf(m, 'U'); \ 84c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath } \ 85c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath template<typename MatrixType, typename VectorType> \ 86c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath static typename MatrixType::Index rankUpdate(MatrixType& mat, const VectorType& vec, const typename MatrixType::RealScalar& sigma) \ 87c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath { \ 88c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath Transpose<MatrixType> matt(mat); \ 89c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath return llt_inplace<EIGTYPE, Lower>::rankUpdate(matt, vec.conjugate(), sigma); \ 90c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath } \ 91c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath}; 92c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath 93c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan KamathEIGEN_MKL_LLT(double, double, d) 94c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan KamathEIGEN_MKL_LLT(float, float, s) 95c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan KamathEIGEN_MKL_LLT(dcomplex, MKL_Complex16, z) 96c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan KamathEIGEN_MKL_LLT(scomplex, MKL_Complex8, c) 97c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath 98c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath} // end namespace internal 99c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath 100c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath} // end namespace Eigen 101c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath 102c981c48f5bc9aefeffc0bcb0cc3934c2fae179ddNarayan Kamath#endif // EIGEN_LLT_MKL_H 103