// SPDX-License-Identifier: EPL-2.0 OR GPL-2.0-or-later
// SPDX-FileCopyrightText: Bradley M. Bell <bradbell@seanet.com>
// SPDX-FileContributor: 2003-22 Bradley M. Bell
// ----------------------------------------------------------------------------

/*
{xrst_begin conj_grad.cpp}
{xrst_spell
   iterate
}

Differentiate Conjugate Gradient Algorithm: Example and Test
############################################################

Purpose
*******
The conjugate gradient algorithm is sparse linear solver and
a good example where checkpointing can be applied (for each iteration).
This example is a preliminary version of a new library routine
for the conjugate gradient algorithm.

Algorithm
*********
Given a positive definite matrix :math:`A \in \B{R}^{n \times n}`,
a vector :math:`b \in \B{R}^n`,
and tolerance :math:`\varepsilon`,
the conjugate gradient algorithm finds an :math:`x \in \B{R}^n`
such that :math:`\| A x - b \|^2 / n \leq \varepsilon^2`
(or it terminates at a specified maximum number of iterations).

#. Input:

   The matrix :math:`A \in \B{R}^{n \times n}`,
   the vector :math:`b \in \B{R}^n`,
   a tolerance :math:`\varepsilon \geq 0`,
   a maximum number of iterations :math:`m`,
   and the initial approximate solution :math:`x^0 \in \B{R}^n`
   (can use zero for :math:`x^0`).

#. Initialize:

   :math:`g^0 = A * x^0 - b`,
   :math:`d^0 = - g^0`,
   :math:`s_0 = ( g^0 )^\R{T} g^0`,
   :math:`k = 0`.

#. Convergence Check:

   if :math:`k = m` or :math:`\sqrt{ s_k / n } < \varepsilon`,
   return :math:`k` as the number of iterations and :math:`x^k`
   as the approximate solution.

#. Next :math:`x`:

   :math:`\mu_{k+1} = s_k / [ ( d^k )^\R{T} A d^k ]`,
   :math:`x^{k+1} = x^k + \mu_{k+1} d^k`.

#. Next :math:`g`:

   :math:`g^{k+1} = g^k + \mu_{k+1} A d^k`,
   :math:`s_{k+1} = ( g^{k+1} )^\R{T} g^{k+1}`.

#. Next :math:`d`:

   :math:`d^{k+1} = - g^k + ( s_{k+1} / s_k ) d^k`.

#. Iterate:

   :math:`k = k + 1`,
   goto Convergence Check.

{xrst_literal
   // BEGIN C++
   // END C++
}

{xrst_end conj_grad.cpp}
*/
// BEGIN C++
# include <cppad/cppad.hpp>
# include <cstdlib>
# include <cmath>

namespace { // Begin empty namespace
   using CppAD::AD;

   // A simple matrix multiply c = a * b , where a has n columns
   // and b has n rows. This should be changed to a function so that
   // it can efficiently handle the case were A is large and sparse.
   template <class Vector> // a simple vector class
   void mat_mul(size_t n, const Vector& a, const Vector& b, Vector& c)
   {  typedef typename Vector::value_type scalar;

      size_t m, p;
      m = a.size() / n;
      p = b.size() / n;

      assert( m * n == a.size() );
      assert( n * p == b.size() );
      assert( m * p == c.size() );

      size_t i, j, k, ij;
      for(i = 0; i < m; i++)
      {  for(j = 0; j < p; j++)
         {  ij    = i * p + j;
            c[ij] = scalar(0);
            for(k = 0; k < n; k++)
               c[ij] = c[ij] + a[i * m + k] * b[k * p + j];
         }
      }
      return;
   }

   // Solve A * x == b to tolerance epsilon or terminate at m interations.
   template <class Vector> // a simple vector class
   size_t conjugate_gradient(
      size_t         m       , // input
      double         epsilon , // input
      const Vector&  A       , // input
      const Vector&  b       , // input
      Vector&        x       ) // input / output
   {  typedef typename Vector::value_type scalar;
      scalar mu, s_previous;
      size_t i, k;

      size_t n = x.size();
      assert( A.size() == n * n );
      assert( b.size() == n );

      Vector g(n), d(n), s(1), Ad(n), dAd(1);

      // g = A * x
      mat_mul(n, A, x, g);
      for(i = 0; i < n; i++)
      {  // g = A * x - b
         g[i] = g[i] - b[i];

         // d = - g
         d[i] = -g[i];
      }
      // s = g^T * g
      mat_mul(n, g, g, s);

      for(k = 0; k < m; k++)
      {  s_previous = s[0];
         if( s_previous < epsilon )
            return k;

         // Ad = A * d
         mat_mul(n, A, d, Ad);

         // dAd = d^T * A * d
         mat_mul(n, d, Ad, dAd);

         // mu = s / d^T * A * d
         mu = s_previous / dAd[0];

         // g = g + mu * A * d
         for(i = 0; i < n; i++)
         {  x[i] = x[i] + mu * d[i];
            g[i] = g[i] + mu * Ad[i];
         }

         // s = g^T * g
         mat_mul(n, g, g, s);

         // d = - g + (s / s_previous) * d
         for(i = 0; i < n; i++)
            d[i] = - g[i] + ( s[0] / s_previous) * d[i];
      }
      return m;
   }

} // End empty namespace

bool conj_grad(void)
{  bool ok = true;

   // ----------------------------------------------------------------------
   // Setup
   // ----------------------------------------------------------------------
   using CppAD::AD;
   using CppAD::NearEqual;
   using CppAD::vector;
   using std::cout;
   using std::endl;
   size_t i, j;


   // size of the vectors
   size_t n  = 40;
   vector<double> D(n * n), Dt(n * n), A(n * n), x(n), b(n), c(n);
   vector< AD<double> > a_A(n * n), a_x(n), a_b(n);

   // D = diagonally dominant matrix
   // c = vector of ones
   for(i = 0; i < n; i++)
   {  c[i] = 1.;
      double sum = 0;
      for(j = 0; j < n; j++) if( i != j )
      {  D[ i * n + j ] = std::rand() / double(RAND_MAX);
         Dt[j * n + i ] = D[i * n + j ];
         sum           += D[i * n + j ];
      }
      Dt[ i * n + i ] = D[ i * n + i ] = sum * 1.1;
   }

   // A = D^T * D
   mat_mul(n, Dt, D, A);

   // b = D^T * c
   mat_mul(n, Dt, c, b);

   // copy from double to AD<double>
   for(i = 0; i < n; i++)
   {  a_b[i] = b[i];
      for(j = 0; j < n; j++)
         a_A[ i * n + j ] = A[ i * n + j ];
   }

   // ---------------------------------------------------------------------
   // Record the function f : b -> x
   // ---------------------------------------------------------------------
   // Make b the independent variable vector
   Independent(a_b);

   // Solve A * x = b using conjugate gradient method
   double epsilon = 1e-7;
   for(i = 0; i < n; i++)
         a_x[i] = AD<double>(0);
   size_t m = n + 1;
   size_t k = conjugate_gradient(m, epsilon, a_A, a_b, a_x);

   // create f_cg: b -> x and stop tape recording
   CppAD::ADFun<double> f(a_b, a_x);

   // ---------------------------------------------------------------------
   // Check for correctness
   // ---------------------------------------------------------------------

   // conjugate gradient should converge with in n iterations
   ok &= (k <= n);

   // accuracy to which we expect values to agree
   double delta = 10. * epsilon * std::sqrt( double(n) );

   // copy x from AD<double> to double
   for(i = 0; i < n; i++)
      x[i] = Value( a_x[i] );

   // check c = A * x
   mat_mul(n, A, x, c);
   for(i = 0; i < n; i++)
      ok &= NearEqual(c[i] , b[i],  delta , delta);

   // forward computation of partials w.r.t. b[0]
   vector<double> db(n), dx(n);
   for(j = 0; j < n; j++)
      db[j] = 0.;
   db[0] = 1.;

   // check db = A * dx
   delta = 5. * delta;
   dx = f.Forward(1, db);
   mat_mul(n, A, dx, c);
   for(i = 0; i < n; i++)
      ok   &= NearEqual(c[i], db[i], delta, delta);

   return ok;
}

// END C++
