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-rw-r--r--experiments/pivoting_vs_no_pivoting.cpp260
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diff --git a/experiments/pivoting_vs_no_pivoting.cpp b/experiments/pivoting_vs_no_pivoting.cpp
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+// 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;
+}