lu_vec_ad_ok.cpp

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Lu Factor and Solve With Recorded Pivoting: Example and Test

# include <cppad/cppad.hpp>
# include "lu_vec_ad.hpp"
# include <cppad/speed/det_by_minor.hpp>

bool lu_vec_ad_ok(void)
{  bool  ok = true;

   using namespace CppAD;
   typedef AD<double> ADdouble;
   using CppAD::NearEqual;
   double eps99 = 99.0 * std::numeric_limits<double>::epsilon();

   size_t              n = 3;
   size_t              m = 2;
   double a1[] = {
      3., 0., 0., // (1,1) is first  pivot
      1., 2., 1., // (2,2) is second pivot
      1., 0., .5  // (3,3) is third  pivot
   };
   double a2[] = {
      1., 2., 1., // (1,2) is second pivot
      3., 0., 0., // (2,1) is first  pivot
      1., 0., .5  // (3,3) is third  pivot
   };
   double rhs[] = {
      1., 3.,
      2., 2.,
      3., 1.
   };

   VecAD<double>       Copy    (n * n);
   VecAD<double>       Rhs     (n * m);
   VecAD<double>       Result  (n * m);
   ADdouble            logdet;
   ADdouble            signdet;

   // routine for checking determinants using expansion by minors
   det_by_minor<ADdouble> Det(n);

   // matrix we are computing the determinant of
   CPPAD_TESTVECTOR(ADdouble) A(n * n);

   // dependent variable values
   CPPAD_TESTVECTOR(ADdouble) Y(1 + n * m);

   size_t  i;
   size_t  j;
   size_t  k;

   // Original matrix
   for(i = 0; i < n * n; i++)
      A[i] = a1[i];

   // right hand side
   for(j = 0; j < n; j++)
      for(k = 0; k < m; k++)
         Rhs[ j * m + k ] = rhs[ j * m + k ];

   // Declare independent variables
   Independent(A);

   // Copy the matrix
   ADdouble index(0);
   for(i = 0; i < n*n; i++)
   {  Copy[index] = A[i];
      index += 1.;
   }

   // Solve the equation
   signdet = lu_vec_ad(n, m, Copy, Rhs, Result, logdet);

   // Result is the first n * m dependent variables
   index = 0.;
   for(i = 0; i < n * m; i++)
   {  Y[i] = Result[index];
      index += 1.;
   }

   // Determinant is last component of the solution
   Y[ n * m ] = signdet * exp( logdet );

   // construct f: A -> Y
   ADFun<double> f(A, Y);

   // check determinant using minors routine
   ADdouble determinant = Det( A );
   ok &= NearEqual(Y[n * m], determinant, eps99, eps99);


   // Check solution of Rhs = A * Result
   double sum;
   for(k = 0; k < m; k++)
   {  for(i = 0; i < n; i++)
      {  sum = 0.;
         for(j = 0; j < n; j++)
            sum += a1[i * n + j] * Value( Y[j * m + k] );
         ok &= NearEqual( rhs[i * m + k], sum, eps99, eps99);
      }
   }

   CPPAD_TESTVECTOR(double) y2(1 + n * m);
   CPPAD_TESTVECTOR(double) A2(n * n);
   for(i = 0; i < n * n; i++)
      A[i] = A2[i] = a2[i];


   y2          = f.Forward(0, A2);
   determinant = Det(A);
   ok &= NearEqual(y2[ n * m], Value(determinant), eps99, eps99);

   // Check solution of Rhs = A2 * Result
   for(k = 0; k < m; k++)
   {  for(i = 0; i < n; i++)
      {  sum = 0.;
         for(j = 0; j < n; j++)
            sum += a2[i * n + j] * y2[j * m + k];
         ok &= NearEqual( rhs[i * m + k], sum, eps99, eps99);
      }
   }

   return ok;
}