X-Git-Url: https://git.creatis.insa-lyon.fr/pubgit/?p=CreaPhase.git;a=blobdiff_plain;f=octave_packages%2Fm%2Fsparse%2Fbicgstab.m;fp=octave_packages%2Fm%2Fsparse%2Fbicgstab.m;h=3a585dcc1799c850957902ee9b01bf59d14c941d;hp=0000000000000000000000000000000000000000;hb=1c0469ada9531828709108a4882a751d2816994a;hpb=63de9f36673d49121015e3695f2c336ea92bc278 diff --git a/octave_packages/m/sparse/bicgstab.m b/octave_packages/m/sparse/bicgstab.m new file mode 100644 index 0000000..3a585dc --- /dev/null +++ b/octave_packages/m/sparse/bicgstab.m @@ -0,0 +1,247 @@ +## Copyright (C) 2008-2012 Radek Salac +## Copyright (C) 2012 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; see the file COPYING. If not, see +## . + +## -*- texinfo -*- +## +## @deftypefn {Function File} {@var{x} =} bicgstab (@var{A}, @var{b}, @var{rtol}, @var{maxit}, @var{M1}, @var{M2}, @var{x0}) +## @deftypefnx {Function File} {@var{x} =} bicgstab (@var{A}, @var{b}, @var{rtol}, @var{maxit}, @var{P}) +## @deftypefnx {Function File} {[@var{x}, @var{flag}, @var{relres}, @var{iter}, @var{resvec}] =} bicgstab (@var{A}, @var{b}, @dots{}) +## Solve @code{A x = b} using the stabilizied 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) = 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) = M1 \ x} or +## @code{g(x) = 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{bicg, cgs, gmres, pcg} +## +## @end deftypefn + +function [x, flag, relres, iter, resvec] = bicgstab (A, b, tol, maxit, + M1, M2, x0) + + if (nargin >= 2 && nargin <= 7 && isvector (full (b))) + + if (ischar (A)) + A = str2func (A); + elseif (ismatrix (A)) + Ax = @(x) A * x; + elseif (isa (A, "function_handle")) + Ax = @(x) feval (A, x); + else + error (["bicgstab: 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); + endif + + if (nargin < 5 || isempty (M1)) + M1m1x = @(x) x; + elseif (ischar (M1)) + M1m1x = str2func (M1); + elseif (ismatrix (M1)) + M1m1x = @(x) M1 \ x; + elseif (isa (M1, "function_handle")) + M1m1x = @(x) feval (M1, x); + else + error (["bicgstab: preconditioner is " ... + "expected to be a function or matrix"]); + endif + + if (nargin < 6 || isempty (M2)) + M2m1x = @(x) x; + elseif (ischar (M2)) + M2m1x = str2func (M2); + elseif (ismatrix (M2)) + M2m1x = @(x) M2 \ x; + elseif (isa (M2, "function_handle")) + M2m1x = @(x) feval (M2, x); + else + error (["bicgstab: preconditioner is "... + "expected to be a function or matrix"]); + endif + + precon = @(x) M2m1x (M1m1x (x)); + + if (nargin < 7 || isempty (x0)) + x0 = zeros (size (b)); + endif + + ## specifies initial estimate x0 + if (nargin < 7) + x = zeros (rows (b), 1); + else + x = x0; + endif + + norm_b = norm (b); + + res = b - Ax (x); + rr = res; + + ## Vector of the residual norms for each iteration. + resvec = norm(res) / norm_b; + + ## Default behaviour we don't reach tolerance tol within maxit iterations. + flag = 1; + + for iter = 1:maxit + rho_1 = res' * rr; + + if (iter == 1) + p = res; + else + beta = (rho_1 / rho_2) * (alpha / omega); + p = res + beta * (p - omega * v); + endif + + phat = precon (p); + + v = Ax (phat); + alpha = rho_1 / (rr' * v); + s = res - alpha * v; + + shat = precon (s); + + t = Ax (shat); + omega = (t' * s) / (t' * t); + x = x + alpha * phat + omega * shat; + res = s - omega * t; + rho_2 = rho_1; + + relres = norm (res) / norm_b; + resvec = [resvec; relres]; + + if (relres <= tol) + ## We reach tolerance tol within maxit iterations. + flag = 0; + break; + elseif (resvec(end) == resvec(end - 1)) + ## The method stagnates. + flag = 3; + break; + endif + endfor + + if (nargout < 2) + if (flag == 0) + printf ("bicgstab converged at iteration %i ", iter); + printf ("to a solution with relative residual %e\n", relres); + elseif (flag == 3) + printf ("bicgstab stopped at iteration %i ", iter); + printf ("without converging to the desired tolerance %e\n", tol); + printf ("because the method stagnated.\n"); + printf ("The iterate returned (number %i) ", iter); + printf ("has relative residual %e\n", relres); + else + printf ("bicgstab stopped at iteration %i ", iter); + printf ("without converging to the desired toleranc %e\n", tol); + printf ("because the maximum number of iterations was reached.\n"); + printf ("The iterate returned (number %i) ", iter); + printf ("has relative residual %e\n", relres); + endif + endif + + else + print_usage (); + endif + +endfunction + +%!demo +%! % Solve system of A*x=b +%! A = [5 -1 3;-1 2 -2;3 -2 3] +%! b = [7;-1;4] +%! [x, flag, relres, iter, resvec] = bicgstab(A, b) + +%!shared A, b, n, M1, M2 +%! +%!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] = bicgstab (A, b, tol, maxit, M1, M2); +%! assert (x, ones (size (b)), 1e-7); +%! +%!test +%!function y = afun (x, a) +%! y = a * x; +%!endfunction +%! +%! tol = 1e-8; +%! maxit = 15; +%! +%! [x, flag, relres, iter, resvec] = bicgstab (@(x) afun (x, 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] = bicgstab (A, b, tol, [], diag (diag (A))); +%! assert (x, ones (size (b)), 1e-7);