ml-matrix/src/dc/lu.js

Matrix manipulation and computation library

import Matrix from '../matrix';
import WrapperMatrix2D from '../wrap/WrapperMatrix2D';

export default class LuDecomposition {
  constructor(matrix) {
    matrix = WrapperMatrix2D.checkMatrix(matrix);

    let lu = matrix.clone();
    let rows = lu.rows;
    let columns = lu.columns;
    let pivotVector = new Float64Array(rows);
    let pivotSign = 1;
    let i, j, k, p, s, t, v;
    let LUcolj, kmax;

    for (i = 0; i < rows; i++) {
      pivotVector[i] = i;
    }

    LUcolj = new Float64Array(rows);

    for (j = 0; j < columns; j++) {
      for (i = 0; i < rows; i++) {
        LUcolj[i] = lu.get(i, j);
      }

      for (i = 0; i < rows; i++) {
        kmax = Math.min(i, j);
        s = 0;
        for (k = 0; k < kmax; k++) {
          s += lu.get(i, k) * LUcolj[k];
        }
        LUcolj[i] -= s;
        lu.set(i, j, LUcolj[i]);
      }

      p = j;
      for (i = j + 1; i < rows; i++) {
        if (Math.abs(LUcolj[i]) > Math.abs(LUcolj[p])) {
          p = i;
        }
      }

      if (p !== j) {
        for (k = 0; k < columns; k++) {
          t = lu.get(p, k);
          lu.set(p, k, lu.get(j, k));
          lu.set(j, k, t);
        }

        v = pivotVector[p];
        pivotVector[p] = pivotVector[j];
        pivotVector[j] = v;

        pivotSign = -pivotSign;
      }

      if (j < rows && lu.get(j, j) !== 0) {
        for (i = j + 1; i < rows; i++) {
          lu.set(i, j, lu.get(i, j) / lu.get(j, j));
        }
      }
    }

    this.LU = lu;
    this.pivotVector = pivotVector;
    this.pivotSign = pivotSign;
  }

  isSingular() {
    let data = this.LU;
    let col = data.columns;
    for (let j = 0; j < col; j++) {
      if (data.get(j, j) === 0) {
        return true;
      }
    }
    return false;
  }

  solve(value) {
    value = Matrix.checkMatrix(value);

    let lu = this.LU;
    let rows = lu.rows;

    if (rows !== value.rows) {
      throw new Error('Invalid matrix dimensions');
    }
    if (this.isSingular()) {
      throw new Error('LU matrix is singular');
    }

    let count = value.columns;
    let X = value.subMatrixRow(this.pivotVector, 0, count - 1);
    let columns = lu.columns;
    let i, j, k;

    for (k = 0; k < columns; k++) {
      for (i = k + 1; i < columns; i++) {
        for (j = 0; j < count; j++) {
          X.set(i, j, X.get(i, j) - X.get(k, j) * lu.get(i, k));
        }
      }
    }
    for (k = columns - 1; k >= 0; k--) {
      for (j = 0; j < count; j++) {
        X.set(k, j, X.get(k, j) / lu.get(k, k));
      }
      for (i = 0; i < k; i++) {
        for (j = 0; j < count; j++) {
          X.set(i, j, X.get(i, j) - X.get(k, j) * lu.get(i, k));
        }
      }
    }
    return X;
  }

  get determinant() {
    let data = this.LU;
    if (!data.isSquare()) {
      throw new Error('Matrix must be square');
    }
    let determinant = this.pivotSign;
    let col = data.columns;
    for (let j = 0; j < col; j++) {
      determinant *= data.get(j, j);
    }
    return determinant;
  }

  get lowerTriangularMatrix() {
    let data = this.LU;
    let rows = data.rows;
    let columns = data.columns;
    let X = new Matrix(rows, columns);
    for (let i = 0; i < rows; i++) {
      for (let j = 0; j < columns; j++) {
        if (i > j) {
          X.set(i, j, data.get(i, j));
        } else if (i === j) {
          X.set(i, j, 1);
        } else {
          X.set(i, j, 0);
        }
      }
    }
    return X;
  }

  get upperTriangularMatrix() {
    let data = this.LU;
    let rows = data.rows;
    let columns = data.columns;
    let X = new Matrix(rows, columns);
    for (let i = 0; i < rows; i++) {
      for (let j = 0; j < columns; j++) {
        if (i <= j) {
          X.set(i, j, data.get(i, j));
        } else {
          X.set(i, j, 0);
        }
      }
    }
    return X;
  }

  get pivotPermutationVector() {
    return Array.from(this.pivotVector);
  }
}