spark CholeskyDecomposition 源码

2022-10-20
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spark CholeskyDecomposition 代码

文件路径：/mllib/src/main/scala/org/apache/spark/mllib/linalg/CholeskyDecomposition.scala

/*
 * Licensed to the Apache Software Foundation (ASF) under one or more
 * contributor license agreements.  See the NOTICE file distributed with
 * this work for additional information regarding copyright ownership.
 * The ASF licenses this file to You under the Apache License, Version 2.0
 * (the "License"); you may not use this file except in compliance with
 * the License.  You may obtain a copy of the License at
 *
 *    http://www.apache.org/licenses/LICENSE-2.0
 *
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
 */

package org.apache.spark.mllib.linalg

import org.netlib.util.intW

import org.apache.spark.ml.optim.SingularMatrixException

/**
 * Compute Cholesky decomposition.
 */
private[spark] object CholeskyDecomposition {

  /**
   * Solves a symmetric positive definite linear system via Cholesky factorization.
   * The input arguments are modified in-place to store the factorization and the solution.
   * @param A the upper triangular part of A
   * @param bx right-hand side
   * @return the solution array
   */
  def solve(A: Array[Double], bx: Array[Double]): Array[Double] = {
    val k = bx.length
    val info = new intW(0)
    LAPACK.nativeLAPACK.dppsv("U", k, 1, A, bx, k, info)
    checkReturnValue(info, "dppsv")
    bx
  }

  /**
   * Computes the inverse of a real symmetric positive definite matrix A
   * using the Cholesky factorization A = U**T*U.
   * The input arguments are modified in-place to store the inverse matrix.
   * @param UAi the upper triangular factor U from the Cholesky factorization A = U**T*U
   * @param k the dimension of A
   * @return the upper triangle of the (symmetric) inverse of A
   */
  def inverse(UAi: Array[Double], k: Int): Array[Double] = {
    val info = new intW(0)
    LAPACK.nativeLAPACK.dpptri("U", k, UAi, info)
    checkReturnValue(info, "dpptri")
    UAi
  }

  private def checkReturnValue(info: intW, method: String): Unit = {
    info.`val` match {
      case code if code < 0 =>
        throw new IllegalStateException(s"LAPACK.$method returned $code; arg ${-code} is illegal")
      case code if code > 0 =>
        throw new SingularMatrixException (
          s"LAPACK.$method returned $code because A is not positive definite. Is A derived from " +
          "a singular matrix (e.g. collinear column values)?")
      case _ => // do nothing
    }
  }

}

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