StochasticEigenSolver.h

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#ifndef STOCHASTICEIGENSOLVER_H
#define STOCHASTICEIGENSOLVER_H
 
#include "MUQ/Modeling/LinearAlgebra/GeneralizedEigenSolver.h"
#include <boost/property_tree/ptree_fwd.hpp>
 
namespace muq{
namespace Modeling{
 
class StochasticEigenSolver : public GeneralizedEigenSolver {
 
public:
 
  StochasticEigenSolver(int    numEigsIn,
                        double eigRelTolIn=0.0,
                        double eigAbsTolIn=0.0,
                        int    expectedRankIn=-1,
                        int    samplingFactorIn=-1,
                        int    blockSize=10,
                        int    verbosityIn=0);
  StochasticEigenSolver(boost::property_tree::ptree const& options);
 
  virtual StochasticEigenSolver& compute(std::shared_ptr<LinearOperator> const& A,
                                         std::shared_ptr<LinearOperator>        B = nullptr,
                                         std::shared_ptr<LinearOperator>        Binv = nullptr);
 
 
private:
 
  std::pair<Eigen::MatrixXd, Eigen::MatrixXd> CholeskyQR(Eigen::MatrixXd                 const& Y,
                                                         std::shared_ptr<LinearOperator> const& B) const;
 
  int numEigs;
  double eigRelTol;
  double eigAbsTol;
  int    expectedRank;
  int    samplingFactor;
  int    blockSize;
  int    verbosity;
};
 
} // namespace Modeling
} // namespace muq
 
#endif // #ifndef STOCHASTICEIGENSOLVER_H