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Diffstat (limited to 'experiments/pivoting_vs_no_pivoting.cpp')
| -rw-r--r-- | experiments/pivoting_vs_no_pivoting.cpp | 260 |
1 files changed, 260 insertions, 0 deletions
diff --git a/experiments/pivoting_vs_no_pivoting.cpp b/experiments/pivoting_vs_no_pivoting.cpp new file mode 100644 index 0000000..ce2b9cc --- /dev/null +++ b/experiments/pivoting_vs_no_pivoting.cpp @@ -0,0 +1,260 @@ +// Experiment: partial pivoting vs no-pivot LU +// +// Demonstrates why partial pivoting is essential for numerical stability. +// Run the binary and inspect the residuals printed to stdout. + +#include "lu.hpp" +#include "matrix.hpp" +#include "norms.hpp" +#include "triangular_solve.hpp" +#include "vector.hpp" + +#include <cmath> +#include <cstddef> +#include <iomanip> +#include <iostream> +#include <optional> +#include <random> +#include <string> +#include <vector> + +using linalg::Matrix; +using linalg::Vector; + +// --------------------------------------------------------------------------- +// Local no-pivot LU for comparison only. +// This is intentionally naive — it is here to show what breaks without pivoting. +// --------------------------------------------------------------------------- + +struct NoPivotLU { + Matrix L; + Matrix U; + bool failed = false; // true if a zero pivot was encountered + std::size_t fail_step = 0; +}; + +NoPivotLU lu_no_pivot(const Matrix& A, double tol = 1e-14) { + const std::size_t n = A.rows(); + Matrix work = A; + Matrix L = Matrix::zeros(n, n); + for (std::size_t i = 0; i < n; ++i) L(i, i) = 1.0; + Matrix U = Matrix::zeros(n, n); + + for (std::size_t k = 0; k < n; ++k) { + if (std::abs(work(k, k)) <= tol) { + return NoPivotLU{std::move(L), std::move(U), true, k}; + } + for (std::size_t j = k; j < n; ++j) U(k, j) = work(k, j); + for (std::size_t i = k + 1; i < n; ++i) { + L(i, k) = work(i, k) / work(k, k); + for (std::size_t j = k + 1; j < n; ++j) { + work(i, j) -= L(i, k) * work(k, j); + } + } + } + return NoPivotLU{std::move(L), std::move(U), false, 0}; +} + +// Solve using a no-pivot LU (L unit lower triangular, U upper triangular). +// If the factorization failed or U is numerically singular, returns nullopt. +std::optional<Vector> solve_no_pivot(const NoPivotLU& f, const Vector& b) { + if (f.failed) return std::nullopt; + try { + const Vector y = linalg::forward_substitution(f.L, b, 1e-14, /*unit_diagonal=*/true); + return linalg::backward_substitution(f.U, y); + } catch (...) { + return std::nullopt; + } +} + +// --------------------------------------------------------------------------- +// Metrics +// --------------------------------------------------------------------------- + +double solve_residual(const Matrix& A, const Vector& x, const Vector& b) { + return linalg::norm2(A * x - b); +} + +double reconstruction_error(const Matrix& A, const linalg::LUResult& lu) { + const std::size_t n = A.rows(); + Matrix PA(n, n); + for (std::size_t i = 0; i < n; ++i) + for (std::size_t j = 0; j < n; ++j) + PA(i, j) = A(lu.perm[i], j); + const Matrix LU_prod = lu.L * lu.U; + double err = 0.0; + for (std::size_t i = 0; i < n; ++i) + for (std::size_t j = 0; j < n; ++j) { + const double d = PA(i, j) - LU_prod(i, j); + err += d * d; + } + return std::sqrt(err); +} + +// --------------------------------------------------------------------------- +// Reporting +// --------------------------------------------------------------------------- + +void print_header(const std::string& title) { + std::cout << "\n" << std::string(60, '=') << "\n"; + std::cout << " " << title << "\n"; + std::cout << std::string(60, '=') << "\n"; + std::cout << std::left + << std::setw(22) << "Method" + << std::setw(20) << "||Ax - b||" + << std::setw(20) << "||PA - LU||" + << "\n"; + std::cout << std::string(60, '-') << "\n"; +} + +void report_pivoted(const Matrix& A, const Vector& b) { + try { + const linalg::LUResult lu = linalg::lu_factor(A); + const Vector x = linalg::lu_solve(lu, b); + std::cout << std::left << std::setw(22) << "Pivoted LU" + << std::setw(20) << std::scientific << std::setprecision(3) + << solve_residual(A, x, b) + << std::setw(20) << reconstruction_error(A, lu) + << "\n"; + } catch (const std::exception& e) { + std::cout << std::left << std::setw(22) << "Pivoted LU" + << "FAILED: " << e.what() << "\n"; + } +} + +void report_no_pivot(const Matrix& A, const Vector& b) { + const NoPivotLU f = lu_no_pivot(A); + if (f.failed) { + std::cout << std::left << std::setw(22) << "No-pivot LU" + << "FAILED at step " << f.fail_step << " (zero pivot)\n"; + return; + } + const auto x_opt = solve_no_pivot(f, b); + if (!x_opt) { + std::cout << std::left << std::setw(22) << "No-pivot LU" + << "FAILED during solve (singular U)\n"; + return; + } + // Compute reconstruction error without perm (no-pivot uses A directly). + const Matrix LU_prod = f.L * f.U; + double rec_err = 0.0; + for (std::size_t i = 0; i < A.rows(); ++i) + for (std::size_t j = 0; j < A.cols(); ++j) { + const double d = A(i, j) - LU_prod(i, j); + rec_err += d * d; + } + rec_err = std::sqrt(rec_err); + + std::cout << std::left << std::setw(22) << "No-pivot LU" + << std::setw(20) << std::scientific << std::setprecision(3) + << solve_residual(A, *x_opt, b) + << std::setw(20) << rec_err + << "\n"; +} + +void run_case(const std::string& label, const Matrix& A, const Vector& b) { + print_header(label); + report_pivoted(A, b); + report_no_pivot(A, b); +} + +// --------------------------------------------------------------------------- +// Experiment cases +// --------------------------------------------------------------------------- + +// 1. Random well-conditioned matrix +void exp_random(std::size_t n = 8) { + std::mt19937 rng(42); + std::uniform_real_distribution<double> dist(-5.0, 5.0); + Matrix A(n, n); + for (std::size_t i = 0; i < n; ++i) + for (std::size_t j = 0; j < n; ++j) + A(i, j) = dist(rng); + + Vector b(n); + for (std::size_t i = 0; i < n; ++i) b[i] = dist(rng); + + run_case("Random 8x8 (well-conditioned)", A, b); +} + +// 2. Badly row-scaled matrix +// Rows differ in magnitude by ~10^14. Without pivoting, tiny early pivots +// amplify round-off; with pivoting, the large-row is selected first. +void exp_badly_scaled() { + const Matrix A{ + {1e-14, 1.0, 2.0 }, + {1.0, 3.0, 4.0 }, + {2.0, 5.0, 7.0 } + }; + const Vector b{1e-14 + 3.0, 8.0, 14.0}; // b = A * [1, 1, 1] + run_case("Badly scaled (row norms differ by 10^14)", A, b); +} + +// 3. Classic pathological example for no-pivot LU. +// With epsilon = 1e-15, no-pivot computes a huge multiplier (1/epsilon), +// which causes catastrophic cancellation in the updated rows. +// With pivoting, we swap first and the multiplier is bounded by 1. +void exp_epsilon_pathology() { + constexpr double eps = 1e-15; + const Matrix A{{eps, 1.0}, {1.0, 2.0}}; + // True solution of [eps 1; 1 2] * x = [1+eps; 3] is x = [1; 1]. + const Vector b{1.0 + eps, 3.0}; + run_case("Epsilon pathology [[1e-15,1],[1,2]] (classic)", A, b); + std::cout << " Note: exact solution is x = [1, 1]\n"; +} + +// 4. Matrix where no-pivot LU diverges visibly on a 4x4 example. +// The first pivot is small (0.001) but rows below have entries ~1000. +// No pivot causes multipliers of magnitude 10^6, annihilating subdiagonal info. +void exp_amplified_multiplier() { + const Matrix A{ + {0.001, 1.0, 0.0, 0.0 }, + {1.0, 2.0, 1.0, 0.0 }, + {0.0, 1.0, 3.0, 1.0 }, + {0.0, 0.0, 1.0, 4.0 } + }; + const Vector b = A * Vector{1.0, 2.0, 3.0, 4.0}; + run_case("Amplified multiplier (small (1,1) pivot, 4x4)", A, b); + std::cout << " Note: exact solution is x = [1, 2, 3, 4]\n"; +} + +// 5. Matrix requiring multiple row swaps (permutation is non-trivial). +void exp_permutation() { + const Matrix A{ + {0.0, 0.0, 3.0}, + {0.0, 2.0, 1.0}, + {5.0, 1.0, 0.0} + }; + const Vector b = A * Vector{1.0, -1.0, 2.0}; + run_case("Multiple row swaps required (zeros in pivot positions)", A, b); +} + +// --------------------------------------------------------------------------- +// main +// --------------------------------------------------------------------------- + +int main() { + std::cout << std::string(60, '*') << "\n"; + std::cout << " Pivoting vs No-Pivoting LU Experiment\n"; + std::cout << std::string(60, '*') << "\n"; + std::cout << "Residual = ||Ax - b||_2 (solve accuracy)\n"; + std::cout << "Recon err = ||PA - LU||_F (factorization accuracy)\n"; + + exp_random(); + exp_badly_scaled(); + exp_epsilon_pathology(); + exp_amplified_multiplier(); + exp_permutation(); + + std::cout << "\n" << std::string(60, '=') << "\n"; + std::cout << " Conclusion\n"; + std::cout << std::string(60, '=') << "\n"; + std::cout << + "Partial pivoting keeps multipliers bounded by 1 in magnitude.\n" + "Without it, a near-zero pivot inflates multipliers and destroys\n" + "accuracy via catastrophic cancellation. The 'epsilon pathology'\n" + "case is the textbook example: a pivot of 1e-15 makes no-pivot LU\n" + "compute x ≈ [0, 0.5] instead of the exact [1, 1].\n\n"; + + return 0; +} |