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LOBPCG: Perform direct eigensolves for small problems #1

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LOBPCG: Perform direct eigensolves for small problems #1

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18 changes: 18 additions & 0 deletions include/Optimization/LinearAlgebra/LOBPCG.h
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Original file line number Diff line number Diff line change
Expand Up @@ -156,6 +156,24 @@ LOBPCG(const SymmetricLinearOperator<Matrix, Args...> &A,
throw std::invalid_argument("Block size nx must be less than or equal to "
"the dimension m of the problem");


// if we are working with a sufficiently small problem (small m)
// then let's use a standard eigensolver to compute the minimum
// nev eigenpairs.
if (m <= 100) {
Matrix I = Matrix::Identity(m, m);
if (!B) {
Eigen::SelfAdjointEigenSolver<Matrix> eig(A(I));
return std::make_pair(eig.eigenvalues().head(nev),
eig.eigenvectors().leftCols(nev));
} else {
Eigen::GeneralizedSelfAdjointEigenSolver<Matrix> eig;
eig.compute(A(I), (*B)(I));
return std::make_pair(eig.eigenvalues().head(nev),
eig.eigenvectors().leftCols(nev));
}
}

/// Preallocate memory

// Get some useful references to elements of the result struct
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