Mercurial > hg > octave-nkf
view scripts/sparse/bicg.m @ 20737:2d9ec16fa960
Print error, rather than aborting, if mex function mxIsFromGlobalWS is used (bug #46070).
* mex.cc (mxIsFromGlobalWS): Call mexErrMsgTxt rather than abort() in function.
author | Rik <rik@octave.org> |
---|---|
date | Tue, 29 Sep 2015 12:00:11 -0700 |
parents | df437a52bcaf |
children |
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## Copyright (C) 2006 Sylvain Pelissier ## Copyright (C) 2012-2015 Carlo de Falco ## ## This file is part of Octave. ## ## Octave is free software; you can redistribute it and/or modify ## it under the terms of the GNU General Public License as published by ## the Free Software Foundation; either version 3 of the License, or ## (at your option) any later version. ## ## Octave is distributed in the hope that it will be useful, ## but WITHOUT ANY WARRANTY; without even the implied warranty of ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the ## GNU General Public License for more details. ## ## You should have received a copy of the GNU General Public License ## along with Octave; If not, see <http://www.gnu.org/licenses/>. ## -*- texinfo -*- ## @deftypefn {Function File} {@var{x} =} bicg (@var{A}, @var{b}, @var{rtol}, @var{maxit}, @var{M1}, @var{M2}, @var{x0}) ## @deftypefnx {Function File} {@var{x} =} bicg (@var{A}, @var{b}, @var{rtol}, @var{maxit}, @var{P}) ## @deftypefnx {Function File} {[@var{x}, @var{flag}, @var{relres}, @var{iter}, @var{resvec}] =} bicg (@var{A}, @var{b}, @dots{}) ## Solve @code{A x = b} using the Bi-conjugate gradient iterative method. ## ## @itemize @minus ## @item @var{rtol} is the relative tolerance, if not given or set to [] the ## default value 1e-6 is used. ## ## @item @var{maxit} the maximum number of outer iterations, if not given or ## set to [] the default value @code{min (20, numel (b))} is used. ## ## @item @var{x0} the initial guess, if not given or set to [] the default ## value @code{zeros (size (b))} is used. ## @end itemize ## ## @var{A} can be passed as a matrix or as a function handle or inline function ## @code{f} such that @code{f(x, "notransp") = A*x} and ## @code{f(x, "transp") = A'*x}. ## ## The preconditioner @var{P} is given as @code{P = M1 * M2}. Both @var{M1} ## and @var{M2} can be passed as a matrix or as a function handle or inline ## function @code{g} such that @code{g(x, "notransp") = M1 \ x} or ## @code{g(x, "notransp") = M2 \ x} and @code{g(x, "transp") = M1' \ x} or ## @code{g(x, "transp") = M2' \ x}. ## ## If called with more than one output parameter ## ## @itemize @minus ## @item @var{flag} indicates the exit status: ## ## @itemize @minus ## @item 0: iteration converged to the within the chosen tolerance ## ## @item 1: the maximum number of iterations was reached before convergence ## ## @item 3: the algorithm reached stagnation ## @end itemize ## ## (the value 2 is unused but skipped for compatibility). ## ## @item @var{relres} is the final value of the relative residual. ## ## @item @var{iter} is the number of iterations performed. ## ## @item @var{resvec} is a vector containing the relative residual at each ## iteration. ## @end itemize ## ## @seealso{bicgstab, cgs, gmres, pcg, qmr} ## ## @end deftypefn ## Author: Sylvain Pelissier <sylvain.pelissier@gmail.com> ## Author: Carlo de Falco function [x, flag, res1, k, resvec] = bicg (A, b, tol, maxit, M1, M2, x0) if (nargin >= 2 && isvector (full (b))) if (ischar (A)) fun = str2func (A); Ax = @(x) feval (fun, x, "notransp"); Atx = @(x) feval (fun, x, "transp"); elseif (isnumeric (A) && ismatrix (A)) Ax = @(x) A * x; Atx = @(x) A' * x; elseif (isa (A, "function_handle")) Ax = @(x) feval (A, x, "notransp"); Atx = @(x) feval (A, x, "transp"); else error (["bicg: first argument is expected to " ... "be a function or a square matrix"]); endif if (nargin < 3 || isempty (tol)) tol = 1e-6; endif if (nargin < 4 || isempty (maxit)) maxit = min (rows (b), 20); else maxit = fix (maxit); endif if (nargin < 5 || isempty (M1)) M1m1x = @(x, ignore) x; M1tm1x = M1m1x; elseif (ischar (M1)) fun = str2func (M1); M1m1x = @(x) feval (fun, x, "notransp"); M1tm1x = @(x) feval (fun, x, "transp"); elseif (isnumeric (M1) && ismatrix (M1)) M1m1x = @(x) M1 \ x; M1tm1x = @(x) M1' \ x; elseif (isa (M1, "function_handle")) M1m1x = @(x) feval (M1, x, "notransp"); M1tm1x = @(x) feval (M1, x, "transp"); else error (["bicg: preconditioner is expected to " ... "be a function or matrix"]); endif if (nargin < 6 || isempty (M2)) M2m1x = @(x, ignore) x; M2tm1x = M2m1x; elseif (ischar (M2)) fun = str2func (M2); M2m1x = @(x) feval (fun, x, "notransp"); M2tm1x = @(x) feval (fun, x, "transp"); elseif (isnumeric (M2) && ismatrix (M2)) M2m1x = @(x) M2 \ x; M2tm1x = @(x) M2' \ x; elseif (isa (M2, "function_handle")) M2m1x = @(x) feval (M2, x, "notransp"); M2tm1x = @(x) feval (M2, x, "transp"); else error (["bicg: preconditioner is expected to " ... "be a function or matrix"]); endif Pm1x = @(x) M2m1x (M1m1x (x)); Ptm1x = @(x) M1tm1x (M2tm1x (x)); if (nargin < 7 || isempty (x0)) x0 = zeros (size (b)); endif y = x = x0; c = b; r0 = b - Ax (x); s0 = c - Atx (y); d = Pm1x (r0); f = Ptm1x (s0); bnorm = norm (b); res0 = Inf; if (any (r0 != 0)) for k = 1:maxit a = (s0' * Pm1x (r0)) ./ (f' * Ax (d)); x += a * d; y += conj (a) * f; r1 = r0 - a * Ax (d); s1 = s0 - conj (a) * Atx (f); beta = (s1' * Pm1x (r1)) ./ (s0' * Pm1x (r0)); d = Pm1x (r1) + beta * d; f = Ptm1x (s1) + conj (beta) * f; r0 = r1; s0 = s1; res1 = norm (b - Ax (x)) / bnorm; if (res1 < tol) flag = 0; if (nargout < 2) printf ("bicg converged at iteration %i ", k); printf ("to a solution with relative residual %e\n", res1); endif break; endif if (res0 <= res1) flag = 3; printf ("bicg stopped at iteration %i ", k); printf ("without converging to the desired tolerance %e\n", tol); printf ("because the method stagnated.\n"); printf ("The iterate returned (number %i) ", k-1); printf ("has relative residual %e\n", res0); break endif res0 = res1; if (nargout > 4) resvec(k) = res0; endif endfor if (k == maxit) flag = 1; printf ("bicg stopped at iteration %i ", maxit); printf ("without converging to the desired tolerance %e\n", tol); printf ("because the maximum number of iterations was reached. "); printf ("The iterate returned (number %i) has ", maxit); printf ("relative residual %e\n", res1); endif else flag = 0; if (nargout < 2) printf ("bicg converged after 0 interations\n"); endif endif else print_usage (); endif endfunction; %!test %! n = 100; %! A = spdiags ([-2*ones(n,1) 4*ones(n,1) -ones(n,1)], -1:1, n, n); %! b = sum (A, 2); %! tol = 1e-8; %! maxit = 15; %! M1 = spdiags ([ones(n,1)/(-2) ones(n,1)],-1:0, n, n); %! M2 = spdiags ([4*ones(n,1) -ones(n,1)], 0:1, n, n); %! [x, flag, relres, iter, resvec] = bicg (A, b, tol, maxit, M1, M2); %! assert (x, ones (size (b)), 1e-7); %!function y = afun (x, t, a) %! switch (t) %! case "notransp" %! y = a * x; %! case "transp" %! y = a' * x; %! endswitch %!endfunction %! %!test %! n = 100; %! A = spdiags ([-2*ones(n,1) 4*ones(n,1) -ones(n,1)], -1:1, n, n); %! b = sum (A, 2); %! tol = 1e-8; %! maxit = 15; %! M1 = spdiags ([ones(n,1)/(-2) ones(n,1)],-1:0, n, n); %! M2 = spdiags ([4*ones(n,1) -ones(n,1)], 0:1, n, n); %! %! [x, flag, relres, iter, resvec] = bicg (@(x, t) afun (x, t, A), %! b, tol, maxit, M1, M2); %! assert (x, ones (size (b)), 1e-7); %!test %! n = 100; %! tol = 1e-8; %! a = sprand (n, n, .1); %! A = a' * a + 100 * eye (n); %! b = sum (A, 2); %! [x, flag, relres, iter, resvec] = bicg (A, b, tol, [], diag (diag (A))); %! assert (x, ones (size (b)), 1e-7);