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author | Stanislaw Halik <sthalik@misaki.pl> | 2019-03-03 21:09:10 +0100 |
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committer | Stanislaw Halik <sthalik@misaki.pl> | 2019-03-03 21:10:13 +0100 |
commit | f0238cfb6997c4acfc2bd200de7295f3fa36968f (patch) | |
tree | b215183760e4f615b9c1dabc1f116383b72a1b55 /eigen/doc/TutorialLinearAlgebra.dox | |
parent | 543edd372a5193d04b3de9f23c176ab439e51b31 (diff) |
don't index Eigen
Diffstat (limited to 'eigen/doc/TutorialLinearAlgebra.dox')
-rw-r--r-- | eigen/doc/TutorialLinearAlgebra.dox | 292 |
1 files changed, 0 insertions, 292 deletions
diff --git a/eigen/doc/TutorialLinearAlgebra.dox b/eigen/doc/TutorialLinearAlgebra.dox deleted file mode 100644 index a727241..0000000 --- a/eigen/doc/TutorialLinearAlgebra.dox +++ /dev/null @@ -1,292 +0,0 @@ -namespace Eigen { - -/** \eigenManualPage TutorialLinearAlgebra Linear algebra and decompositions - -This page explains how to solve linear systems, compute various decompositions such as LU, -QR, %SVD, eigendecompositions... After reading this page, don't miss our -\link TopicLinearAlgebraDecompositions catalogue \endlink of dense matrix decompositions. - -\eigenAutoToc - -\section TutorialLinAlgBasicSolve Basic linear solving - -\b The \b problem: You have a system of equations, that you have written as a single matrix equation - \f[ Ax \: = \: b \f] -Where \a A and \a b are matrices (\a b could be a vector, as a special case). You want to find a solution \a x. - -\b The \b solution: You can choose between various decompositions, depending on what your matrix \a A looks like, -and depending on whether you favor speed or accuracy. However, let's start with an example that works in all cases, -and is a good compromise: -<table class="example"> -<tr><th>Example:</th><th>Output:</th></tr> -<tr> - <td>\include TutorialLinAlgExSolveColPivHouseholderQR.cpp </td> - <td>\verbinclude TutorialLinAlgExSolveColPivHouseholderQR.out </td> -</tr> -</table> - -In this example, the colPivHouseholderQr() method returns an object of class ColPivHouseholderQR. Since here the -matrix is of type Matrix3f, this line could have been replaced by: -\code -ColPivHouseholderQR<Matrix3f> dec(A); -Vector3f x = dec.solve(b); -\endcode - -Here, ColPivHouseholderQR is a QR decomposition with column pivoting. It's a good compromise for this tutorial, as it -works for all matrices while being quite fast. Here is a table of some other decompositions that you can choose from, -depending on your matrix and the trade-off you want to make: - -<table class="manual"> - <tr> - <th>Decomposition</th> - <th>Method</th> - <th>Requirements<br/>on the matrix</th> - <th>Speed<br/> (small-to-medium)</th> - <th>Speed<br/> (large)</th> - <th>Accuracy</th> - </tr> - <tr> - <td>PartialPivLU</td> - <td>partialPivLu()</td> - <td>Invertible</td> - <td>++</td> - <td>++</td> - <td>+</td> - </tr> - <tr class="alt"> - <td>FullPivLU</td> - <td>fullPivLu()</td> - <td>None</td> - <td>-</td> - <td>- -</td> - <td>+++</td> - </tr> - <tr> - <td>HouseholderQR</td> - <td>householderQr()</td> - <td>None</td> - <td>++</td> - <td>++</td> - <td>+</td> - </tr> - <tr class="alt"> - <td>ColPivHouseholderQR</td> - <td>colPivHouseholderQr()</td> - <td>None</td> - <td>+</td> - <td>-</td> - <td>+++</td> - </tr> - <tr> - <td>FullPivHouseholderQR</td> - <td>fullPivHouseholderQr()</td> - <td>None</td> - <td>-</td> - <td>- -</td> - <td>+++</td> - </tr> - <tr class="alt"> - <td>CompleteOrthogonalDecomposition</td> - <td>completeOrthogonalDecomposition()</td> - <td>None</td> - <td>+</td> - <td>-</td> - <td>+++</td> - </tr> - <tr class="alt"> - <td>LLT</td> - <td>llt()</td> - <td>Positive definite</td> - <td>+++</td> - <td>+++</td> - <td>+</td> - </tr> - <tr> - <td>LDLT</td> - <td>ldlt()</td> - <td>Positive or negative<br/> semidefinite</td> - <td>+++</td> - <td>+</td> - <td>++</td> - </tr> - <tr class="alt"> - <td>BDCSVD</td> - <td>bdcSvd()</td> - <td>None</td> - <td>-</td> - <td>-</td> - <td>+++</td> - </tr> - <tr class="alt"> - <td>JacobiSVD</td> - <td>jacobiSvd()</td> - <td>None</td> - <td>-</td> - <td>- - -</td> - <td>+++</td> - </tr> -</table> -To get an overview of the true relative speed of the different decompositions, check this \link DenseDecompositionBenchmark benchmark \endlink. - -All of these decompositions offer a solve() method that works as in the above example. - -For example, if your matrix is positive definite, the above table says that a very good -choice is then the LLT or LDLT decomposition. Here's an example, also demonstrating that using a general -matrix (not a vector) as right hand side is possible. - -<table class="example"> -<tr><th>Example:</th><th>Output:</th></tr> -<tr> - <td>\include TutorialLinAlgExSolveLDLT.cpp </td> - <td>\verbinclude TutorialLinAlgExSolveLDLT.out </td> -</tr> -</table> - -For a \ref TopicLinearAlgebraDecompositions "much more complete table" comparing all decompositions supported by Eigen (notice that Eigen -supports many other decompositions), see our special page on -\ref TopicLinearAlgebraDecompositions "this topic". - -\section TutorialLinAlgSolutionExists Checking if a solution really exists - -Only you know what error margin you want to allow for a solution to be considered valid. -So Eigen lets you do this computation for yourself, if you want to, as in this example: - -<table class="example"> -<tr><th>Example:</th><th>Output:</th></tr> -<tr> - <td>\include TutorialLinAlgExComputeSolveError.cpp </td> - <td>\verbinclude TutorialLinAlgExComputeSolveError.out </td> -</tr> -</table> - -\section TutorialLinAlgEigensolving Computing eigenvalues and eigenvectors - -You need an eigendecomposition here, see available such decompositions on \ref TopicLinearAlgebraDecompositions "this page". -Make sure to check if your matrix is self-adjoint, as is often the case in these problems. Here's an example using -SelfAdjointEigenSolver, it could easily be adapted to general matrices using EigenSolver or ComplexEigenSolver. - -The computation of eigenvalues and eigenvectors does not necessarily converge, but such failure to converge is -very rare. The call to info() is to check for this possibility. - -<table class="example"> -<tr><th>Example:</th><th>Output:</th></tr> -<tr> - <td>\include TutorialLinAlgSelfAdjointEigenSolver.cpp </td> - <td>\verbinclude TutorialLinAlgSelfAdjointEigenSolver.out </td> -</tr> -</table> - -\section TutorialLinAlgInverse Computing inverse and determinant - -First of all, make sure that you really want this. While inverse and determinant are fundamental mathematical concepts, -in \em numerical linear algebra they are not as popular as in pure mathematics. Inverse computations are often -advantageously replaced by solve() operations, and the determinant is often \em not a good way of checking if a matrix -is invertible. - -However, for \em very \em small matrices, the above is not true, and inverse and determinant can be very useful. - -While certain decompositions, such as PartialPivLU and FullPivLU, offer inverse() and determinant() methods, you can also -call inverse() and determinant() directly on a matrix. If your matrix is of a very small fixed size (at most 4x4) this -allows Eigen to avoid performing a LU decomposition, and instead use formulas that are more efficient on such small matrices. - -Here is an example: -<table class="example"> -<tr><th>Example:</th><th>Output:</th></tr> -<tr> - <td>\include TutorialLinAlgInverseDeterminant.cpp </td> - <td>\verbinclude TutorialLinAlgInverseDeterminant.out </td> -</tr> -</table> - -\section TutorialLinAlgLeastsquares Least squares solving - -The most accurate method to do least squares solving is with a SVD decomposition. -Eigen provides two implementations. -The recommended one is the BDCSVD class, which scale well for large problems -and automatically fall-back to the JacobiSVD class for smaller problems. -For both classes, their solve() method is doing least-squares solving. - -Here is an example: -<table class="example"> -<tr><th>Example:</th><th>Output:</th></tr> -<tr> - <td>\include TutorialLinAlgSVDSolve.cpp </td> - <td>\verbinclude TutorialLinAlgSVDSolve.out </td> -</tr> -</table> - -Another methods, potentially faster but less reliable, are to use a Cholesky decomposition of the -normal matrix or a QR decomposition. Our page on \link LeastSquares least squares solving \endlink -has more details. - - -\section TutorialLinAlgSeparateComputation Separating the computation from the construction - -In the above examples, the decomposition was computed at the same time that the decomposition object was constructed. -There are however situations where you might want to separate these two things, for example if you don't know, -at the time of the construction, the matrix that you will want to decompose; or if you want to reuse an existing -decomposition object. - -What makes this possible is that: -\li all decompositions have a default constructor, -\li all decompositions have a compute(matrix) method that does the computation, and that may be called again - on an already-computed decomposition, reinitializing it. - -For example: - -<table class="example"> -<tr><th>Example:</th><th>Output:</th></tr> -<tr> - <td>\include TutorialLinAlgComputeTwice.cpp </td> - <td>\verbinclude TutorialLinAlgComputeTwice.out </td> -</tr> -</table> - -Finally, you can tell the decomposition constructor to preallocate storage for decomposing matrices of a given size, -so that when you subsequently decompose such matrices, no dynamic memory allocation is performed (of course, if you -are using fixed-size matrices, no dynamic memory allocation happens at all). This is done by just -passing the size to the decomposition constructor, as in this example: -\code -HouseholderQR<MatrixXf> qr(50,50); -MatrixXf A = MatrixXf::Random(50,50); -qr.compute(A); // no dynamic memory allocation -\endcode - -\section TutorialLinAlgRankRevealing Rank-revealing decompositions - -Certain decompositions are rank-revealing, i.e. are able to compute the rank of a matrix. These are typically -also the decompositions that behave best in the face of a non-full-rank matrix (which in the square case means a -singular matrix). On \ref TopicLinearAlgebraDecompositions "this table" you can see for all our decompositions -whether they are rank-revealing or not. - -Rank-revealing decompositions offer at least a rank() method. They can also offer convenience methods such as isInvertible(), -and some are also providing methods to compute the kernel (null-space) and image (column-space) of the matrix, as is the -case with FullPivLU: - -<table class="example"> -<tr><th>Example:</th><th>Output:</th></tr> -<tr> - <td>\include TutorialLinAlgRankRevealing.cpp </td> - <td>\verbinclude TutorialLinAlgRankRevealing.out </td> -</tr> -</table> - -Of course, any rank computation depends on the choice of an arbitrary threshold, since practically no -floating-point matrix is \em exactly rank-deficient. Eigen picks a sensible default threshold, which depends -on the decomposition but is typically the diagonal size times machine epsilon. While this is the best default we -could pick, only you know what is the right threshold for your application. You can set this by calling setThreshold() -on your decomposition object before calling rank() or any other method that needs to use such a threshold. -The decomposition itself, i.e. the compute() method, is independent of the threshold. You don't need to recompute the -decomposition after you've changed the threshold. - -<table class="example"> -<tr><th>Example:</th><th>Output:</th></tr> -<tr> - <td>\include TutorialLinAlgSetThreshold.cpp </td> - <td>\verbinclude TutorialLinAlgSetThreshold.out </td> -</tr> -</table> - -*/ - -} |