Squashed 'third_party/eigen/' changes from 61d72f6..cf794d3
Change-Id: I9b814151b01f49af6337a8605d0c42a3a1ed4c72
git-subtree-dir: third_party/eigen
git-subtree-split: cf794d3b741a6278df169e58461f8529f43bce5d
diff --git a/bench/dense_solvers.cpp b/bench/dense_solvers.cpp
new file mode 100644
index 0000000..24343dc
--- /dev/null
+++ b/bench/dense_solvers.cpp
@@ -0,0 +1,186 @@
+#include <iostream>
+#include "BenchTimer.h"
+#include <Eigen/Dense>
+#include <map>
+#include <vector>
+#include <string>
+#include <sstream>
+using namespace Eigen;
+
+std::map<std::string,Array<float,1,8,DontAlign|RowMajor> > results;
+std::vector<std::string> labels;
+std::vector<Array2i> sizes;
+
+template<typename Solver,typename MatrixType>
+EIGEN_DONT_INLINE
+void compute_norm_equation(Solver &solver, const MatrixType &A) {
+ if(A.rows()!=A.cols())
+ solver.compute(A.transpose()*A);
+ else
+ solver.compute(A);
+}
+
+template<typename Solver,typename MatrixType>
+EIGEN_DONT_INLINE
+void compute(Solver &solver, const MatrixType &A) {
+ solver.compute(A);
+}
+
+template<typename Scalar,int Size>
+void bench(int id, int rows, int size = Size)
+{
+ typedef Matrix<Scalar,Dynamic,Size> Mat;
+ typedef Matrix<Scalar,Dynamic,Dynamic> MatDyn;
+ typedef Matrix<Scalar,Size,Size> MatSquare;
+ Mat A(rows,size);
+ A.setRandom();
+ if(rows==size)
+ A = A*A.adjoint();
+ BenchTimer t_llt, t_ldlt, t_lu, t_fplu, t_qr, t_cpqr, t_cod, t_fpqr, t_jsvd, t_bdcsvd;
+
+ int svd_opt = ComputeThinU|ComputeThinV;
+
+ int tries = 5;
+ int rep = 1000/size;
+ if(rep==0) rep = 1;
+// rep = rep*rep;
+
+ LLT<MatSquare> llt(size);
+ LDLT<MatSquare> ldlt(size);
+ PartialPivLU<MatSquare> lu(size);
+ FullPivLU<MatSquare> fplu(size,size);
+ HouseholderQR<Mat> qr(A.rows(),A.cols());
+ ColPivHouseholderQR<Mat> cpqr(A.rows(),A.cols());
+ CompleteOrthogonalDecomposition<Mat> cod(A.rows(),A.cols());
+ FullPivHouseholderQR<Mat> fpqr(A.rows(),A.cols());
+ JacobiSVD<MatDyn> jsvd(A.rows(),A.cols());
+ BDCSVD<MatDyn> bdcsvd(A.rows(),A.cols());
+
+ BENCH(t_llt, tries, rep, compute_norm_equation(llt,A));
+ BENCH(t_ldlt, tries, rep, compute_norm_equation(ldlt,A));
+ BENCH(t_lu, tries, rep, compute_norm_equation(lu,A));
+ if(size<=1000)
+ BENCH(t_fplu, tries, rep, compute_norm_equation(fplu,A));
+ BENCH(t_qr, tries, rep, compute(qr,A));
+ BENCH(t_cpqr, tries, rep, compute(cpqr,A));
+ BENCH(t_cod, tries, rep, compute(cod,A));
+ if(size*rows<=10000000)
+ BENCH(t_fpqr, tries, rep, compute(fpqr,A));
+ if(size<500) // JacobiSVD is really too slow for too large matrices
+ BENCH(t_jsvd, tries, rep, jsvd.compute(A,svd_opt));
+// if(size*rows<=20000000)
+ BENCH(t_bdcsvd, tries, rep, bdcsvd.compute(A,svd_opt));
+
+ results["LLT"][id] = t_llt.best();
+ results["LDLT"][id] = t_ldlt.best();
+ results["PartialPivLU"][id] = t_lu.best();
+ results["FullPivLU"][id] = t_fplu.best();
+ results["HouseholderQR"][id] = t_qr.best();
+ results["ColPivHouseholderQR"][id] = t_cpqr.best();
+ results["CompleteOrthogonalDecomposition"][id] = t_cod.best();
+ results["FullPivHouseholderQR"][id] = t_fpqr.best();
+ results["JacobiSVD"][id] = t_jsvd.best();
+ results["BDCSVD"][id] = t_bdcsvd.best();
+}
+
+
+int main()
+{
+ labels.push_back("LLT");
+ labels.push_back("LDLT");
+ labels.push_back("PartialPivLU");
+ labels.push_back("FullPivLU");
+ labels.push_back("HouseholderQR");
+ labels.push_back("ColPivHouseholderQR");
+ labels.push_back("CompleteOrthogonalDecomposition");
+ labels.push_back("FullPivHouseholderQR");
+ labels.push_back("JacobiSVD");
+ labels.push_back("BDCSVD");
+
+ for(int i=0; i<labels.size(); ++i)
+ results[labels[i]].fill(-1);
+
+ const int small = 8;
+ sizes.push_back(Array2i(small,small));
+ sizes.push_back(Array2i(100,100));
+ sizes.push_back(Array2i(1000,1000));
+ sizes.push_back(Array2i(4000,4000));
+ sizes.push_back(Array2i(10000,small));
+ sizes.push_back(Array2i(10000,100));
+ sizes.push_back(Array2i(10000,1000));
+ sizes.push_back(Array2i(10000,4000));
+
+ using namespace std;
+
+ for(int k=0; k<sizes.size(); ++k)
+ {
+ cout << sizes[k](0) << "x" << sizes[k](1) << "...\n";
+ bench<float,Dynamic>(k,sizes[k](0),sizes[k](1));
+ }
+
+ cout.width(32);
+ cout << "solver/size";
+ cout << " ";
+ for(int k=0; k<sizes.size(); ++k)
+ {
+ std::stringstream ss;
+ ss << sizes[k](0) << "x" << sizes[k](1);
+ cout.width(10); cout << ss.str(); cout << " ";
+ }
+ cout << endl;
+
+
+ for(int i=0; i<labels.size(); ++i)
+ {
+ cout.width(32); cout << labels[i]; cout << " ";
+ ArrayXf r = (results[labels[i]]*100000.f).floor()/100.f;
+ for(int k=0; k<sizes.size(); ++k)
+ {
+ cout.width(10);
+ if(r(k)>=1e6) cout << "-";
+ else cout << r(k);
+ cout << " ";
+ }
+ cout << endl;
+ }
+
+ // HTML output
+ cout << "<table class=\"manual\">" << endl;
+ cout << "<tr><th>solver/size</th>" << endl;
+ for(int k=0; k<sizes.size(); ++k)
+ cout << " <th>" << sizes[k](0) << "x" << sizes[k](1) << "</th>";
+ cout << "</tr>" << endl;
+ for(int i=0; i<labels.size(); ++i)
+ {
+ cout << "<tr";
+ if(i%2==1) cout << " class=\"alt\"";
+ cout << "><td>" << labels[i] << "</td>";
+ ArrayXf r = (results[labels[i]]*100000.f).floor()/100.f;
+ for(int k=0; k<sizes.size(); ++k)
+ {
+ if(r(k)>=1e6) cout << "<td>-</td>";
+ else
+ {
+ cout << "<td>" << r(k);
+ if(i>0)
+ cout << " (x" << numext::round(10.f*results[labels[i]](k)/results["LLT"](k))/10.f << ")";
+ if(i<4 && sizes[k](0)!=sizes[k](1))
+ cout << " <sup><a href=\"#note_ls\">*</a></sup>";
+ cout << "</td>";
+ }
+ }
+ cout << "</tr>" << endl;
+ }
+ cout << "</table>" << endl;
+
+// cout << "LLT (ms) " << (results["LLT"]*1000.).format(fmt) << "\n";
+// cout << "LDLT (%) " << (results["LDLT"]/results["LLT"]).format(fmt) << "\n";
+// cout << "PartialPivLU (%) " << (results["PartialPivLU"]/results["LLT"]).format(fmt) << "\n";
+// cout << "FullPivLU (%) " << (results["FullPivLU"]/results["LLT"]).format(fmt) << "\n";
+// cout << "HouseholderQR (%) " << (results["HouseholderQR"]/results["LLT"]).format(fmt) << "\n";
+// cout << "ColPivHouseholderQR (%) " << (results["ColPivHouseholderQR"]/results["LLT"]).format(fmt) << "\n";
+// cout << "CompleteOrthogonalDecomposition (%) " << (results["CompleteOrthogonalDecomposition"]/results["LLT"]).format(fmt) << "\n";
+// cout << "FullPivHouseholderQR (%) " << (results["FullPivHouseholderQR"]/results["LLT"]).format(fmt) << "\n";
+// cout << "JacobiSVD (%) " << (results["JacobiSVD"]/results["LLT"]).format(fmt) << "\n";
+// cout << "BDCSVD (%) " << (results["BDCSVD"]/results["LLT"]).format(fmt) << "\n";
+}