diff options
author | Stanislaw Halik <sthalik@misaki.pl> | 2019-03-03 21:09:10 +0100 |
---|---|---|
committer | Stanislaw Halik <sthalik@misaki.pl> | 2019-03-03 21:10:13 +0100 |
commit | f0238cfb6997c4acfc2bd200de7295f3fa36968f (patch) | |
tree | b215183760e4f615b9c1dabc1f116383b72a1b55 /eigen/unsupported/Eigen/src/MatrixFunctions/MatrixExponential.h | |
parent | 543edd372a5193d04b3de9f23c176ab439e51b31 (diff) |
don't index Eigen
Diffstat (limited to 'eigen/unsupported/Eigen/src/MatrixFunctions/MatrixExponential.h')
-rw-r--r-- | eigen/unsupported/Eigen/src/MatrixFunctions/MatrixExponential.h | 442 |
1 files changed, 0 insertions, 442 deletions
diff --git a/eigen/unsupported/Eigen/src/MatrixFunctions/MatrixExponential.h b/eigen/unsupported/Eigen/src/MatrixFunctions/MatrixExponential.h deleted file mode 100644 index e5ebbcf..0000000 --- a/eigen/unsupported/Eigen/src/MatrixFunctions/MatrixExponential.h +++ /dev/null @@ -1,442 +0,0 @@ -// This file is part of Eigen, a lightweight C++ template library -// for linear algebra. -// -// Copyright (C) 2009, 2010, 2013 Jitse Niesen <jitse@maths.leeds.ac.uk> -// Copyright (C) 2011, 2013 Chen-Pang He <jdh8@ms63.hinet.net> -// -// This Source Code Form is subject to the terms of the Mozilla -// Public License v. 2.0. If a copy of the MPL was not distributed -// with this file, You can obtain one at http://mozilla.org/MPL/2.0/. - -#ifndef EIGEN_MATRIX_EXPONENTIAL -#define EIGEN_MATRIX_EXPONENTIAL - -#include "StemFunction.h" - -namespace Eigen { -namespace internal { - -/** \brief Scaling operator. - * - * This struct is used by CwiseUnaryOp to scale a matrix by \f$ 2^{-s} \f$. - */ -template <typename RealScalar> -struct MatrixExponentialScalingOp -{ - /** \brief Constructor. - * - * \param[in] squarings The integer \f$ s \f$ in this document. - */ - MatrixExponentialScalingOp(int squarings) : m_squarings(squarings) { } - - - /** \brief Scale a matrix coefficient. - * - * \param[in,out] x The scalar to be scaled, becoming \f$ 2^{-s} x \f$. - */ - inline const RealScalar operator() (const RealScalar& x) const - { - using std::ldexp; - return ldexp(x, -m_squarings); - } - - typedef std::complex<RealScalar> ComplexScalar; - - /** \brief Scale a matrix coefficient. - * - * \param[in,out] x The scalar to be scaled, becoming \f$ 2^{-s} x \f$. - */ - inline const ComplexScalar operator() (const ComplexScalar& x) const - { - using std::ldexp; - return ComplexScalar(ldexp(x.real(), -m_squarings), ldexp(x.imag(), -m_squarings)); - } - - private: - int m_squarings; -}; - -/** \brief Compute the (3,3)-Padé approximant to the exponential. - * - * After exit, \f$ (V+U)(V-U)^{-1} \f$ is the Padé - * approximant of \f$ \exp(A) \f$ around \f$ A = 0 \f$. - */ -template <typename MatA, typename MatU, typename MatV> -void matrix_exp_pade3(const MatA& A, MatU& U, MatV& V) -{ - typedef typename MatA::PlainObject MatrixType; - typedef typename NumTraits<typename traits<MatA>::Scalar>::Real RealScalar; - const RealScalar b[] = {120.L, 60.L, 12.L, 1.L}; - const MatrixType A2 = A * A; - const MatrixType tmp = b[3] * A2 + b[1] * MatrixType::Identity(A.rows(), A.cols()); - U.noalias() = A * tmp; - V = b[2] * A2 + b[0] * MatrixType::Identity(A.rows(), A.cols()); -} - -/** \brief Compute the (5,5)-Padé approximant to the exponential. - * - * After exit, \f$ (V+U)(V-U)^{-1} \f$ is the Padé - * approximant of \f$ \exp(A) \f$ around \f$ A = 0 \f$. - */ -template <typename MatA, typename MatU, typename MatV> -void matrix_exp_pade5(const MatA& A, MatU& U, MatV& V) -{ - typedef typename MatA::PlainObject MatrixType; - typedef typename NumTraits<typename traits<MatrixType>::Scalar>::Real RealScalar; - const RealScalar b[] = {30240.L, 15120.L, 3360.L, 420.L, 30.L, 1.L}; - const MatrixType A2 = A * A; - const MatrixType A4 = A2 * A2; - const MatrixType tmp = b[5] * A4 + b[3] * A2 + b[1] * MatrixType::Identity(A.rows(), A.cols()); - U.noalias() = A * tmp; - V = b[4] * A4 + b[2] * A2 + b[0] * MatrixType::Identity(A.rows(), A.cols()); -} - -/** \brief Compute the (7,7)-Padé approximant to the exponential. - * - * After exit, \f$ (V+U)(V-U)^{-1} \f$ is the Padé - * approximant of \f$ \exp(A) \f$ around \f$ A = 0 \f$. - */ -template <typename MatA, typename MatU, typename MatV> -void matrix_exp_pade7(const MatA& A, MatU& U, MatV& V) -{ - typedef typename MatA::PlainObject MatrixType; - typedef typename NumTraits<typename traits<MatrixType>::Scalar>::Real RealScalar; - const RealScalar b[] = {17297280.L, 8648640.L, 1995840.L, 277200.L, 25200.L, 1512.L, 56.L, 1.L}; - const MatrixType A2 = A * A; - const MatrixType A4 = A2 * A2; - const MatrixType A6 = A4 * A2; - const MatrixType tmp = b[7] * A6 + b[5] * A4 + b[3] * A2 - + b[1] * MatrixType::Identity(A.rows(), A.cols()); - U.noalias() = A * tmp; - V = b[6] * A6 + b[4] * A4 + b[2] * A2 + b[0] * MatrixType::Identity(A.rows(), A.cols()); - -} - -/** \brief Compute the (9,9)-Padé approximant to the exponential. - * - * After exit, \f$ (V+U)(V-U)^{-1} \f$ is the Padé - * approximant of \f$ \exp(A) \f$ around \f$ A = 0 \f$. - */ -template <typename MatA, typename MatU, typename MatV> -void matrix_exp_pade9(const MatA& A, MatU& U, MatV& V) -{ - typedef typename MatA::PlainObject MatrixType; - typedef typename NumTraits<typename traits<MatrixType>::Scalar>::Real RealScalar; - const RealScalar b[] = {17643225600.L, 8821612800.L, 2075673600.L, 302702400.L, 30270240.L, - 2162160.L, 110880.L, 3960.L, 90.L, 1.L}; - const MatrixType A2 = A * A; - const MatrixType A4 = A2 * A2; - const MatrixType A6 = A4 * A2; - const MatrixType A8 = A6 * A2; - const MatrixType tmp = b[9] * A8 + b[7] * A6 + b[5] * A4 + b[3] * A2 - + b[1] * MatrixType::Identity(A.rows(), A.cols()); - U.noalias() = A * tmp; - V = b[8] * A8 + b[6] * A6 + b[4] * A4 + b[2] * A2 + b[0] * MatrixType::Identity(A.rows(), A.cols()); -} - -/** \brief Compute the (13,13)-Padé approximant to the exponential. - * - * After exit, \f$ (V+U)(V-U)^{-1} \f$ is the Padé - * approximant of \f$ \exp(A) \f$ around \f$ A = 0 \f$. - */ -template <typename MatA, typename MatU, typename MatV> -void matrix_exp_pade13(const MatA& A, MatU& U, MatV& V) -{ - typedef typename MatA::PlainObject MatrixType; - typedef typename NumTraits<typename traits<MatrixType>::Scalar>::Real RealScalar; - const RealScalar b[] = {64764752532480000.L, 32382376266240000.L, 7771770303897600.L, - 1187353796428800.L, 129060195264000.L, 10559470521600.L, 670442572800.L, - 33522128640.L, 1323241920.L, 40840800.L, 960960.L, 16380.L, 182.L, 1.L}; - const MatrixType A2 = A * A; - const MatrixType A4 = A2 * A2; - const MatrixType A6 = A4 * A2; - V = b[13] * A6 + b[11] * A4 + b[9] * A2; // used for temporary storage - MatrixType tmp = A6 * V; - tmp += b[7] * A6 + b[5] * A4 + b[3] * A2 + b[1] * MatrixType::Identity(A.rows(), A.cols()); - U.noalias() = A * tmp; - tmp = b[12] * A6 + b[10] * A4 + b[8] * A2; - V.noalias() = A6 * tmp; - V += b[6] * A6 + b[4] * A4 + b[2] * A2 + b[0] * MatrixType::Identity(A.rows(), A.cols()); -} - -/** \brief Compute the (17,17)-Padé approximant to the exponential. - * - * After exit, \f$ (V+U)(V-U)^{-1} \f$ is the Padé - * approximant of \f$ \exp(A) \f$ around \f$ A = 0 \f$. - * - * This function activates only if your long double is double-double or quadruple. - */ -#if LDBL_MANT_DIG > 64 -template <typename MatA, typename MatU, typename MatV> -void matrix_exp_pade17(const MatA& A, MatU& U, MatV& V) -{ - typedef typename MatA::PlainObject MatrixType; - typedef typename NumTraits<typename traits<MatrixType>::Scalar>::Real RealScalar; - const RealScalar b[] = {830034394580628357120000.L, 415017197290314178560000.L, - 100610229646136770560000.L, 15720348382208870400000.L, - 1774878043152614400000.L, 153822763739893248000.L, 10608466464820224000.L, - 595373117923584000.L, 27563570274240000.L, 1060137318240000.L, - 33924394183680.L, 899510451840.L, 19554575040.L, 341863200.L, 4651200.L, - 46512.L, 306.L, 1.L}; - const MatrixType A2 = A * A; - const MatrixType A4 = A2 * A2; - const MatrixType A6 = A4 * A2; - const MatrixType A8 = A4 * A4; - V = b[17] * A8 + b[15] * A6 + b[13] * A4 + b[11] * A2; // used for temporary storage - MatrixType tmp = A8 * V; - tmp += b[9] * A8 + b[7] * A6 + b[5] * A4 + b[3] * A2 - + b[1] * MatrixType::Identity(A.rows(), A.cols()); - U.noalias() = A * tmp; - tmp = b[16] * A8 + b[14] * A6 + b[12] * A4 + b[10] * A2; - V.noalias() = tmp * A8; - V += b[8] * A8 + b[6] * A6 + b[4] * A4 + b[2] * A2 - + b[0] * MatrixType::Identity(A.rows(), A.cols()); -} -#endif - -template <typename MatrixType, typename RealScalar = typename NumTraits<typename traits<MatrixType>::Scalar>::Real> -struct matrix_exp_computeUV -{ - /** \brief Compute Padé approximant to the exponential. - * - * Computes \c U, \c V and \c squarings such that \f$ (V+U)(V-U)^{-1} \f$ is a Padé - * approximant of \f$ \exp(2^{-\mbox{squarings}}M) \f$ around \f$ M = 0 \f$, where \f$ M \f$ - * denotes the matrix \c arg. The degree of the Padé approximant and the value of squarings - * are chosen such that the approximation error is no more than the round-off error. - */ - static void run(const MatrixType& arg, MatrixType& U, MatrixType& V, int& squarings); -}; - -template <typename MatrixType> -struct matrix_exp_computeUV<MatrixType, float> -{ - template <typename ArgType> - static void run(const ArgType& arg, MatrixType& U, MatrixType& V, int& squarings) - { - using std::frexp; - using std::pow; - const float l1norm = arg.cwiseAbs().colwise().sum().maxCoeff(); - squarings = 0; - if (l1norm < 4.258730016922831e-001f) { - matrix_exp_pade3(arg, U, V); - } else if (l1norm < 1.880152677804762e+000f) { - matrix_exp_pade5(arg, U, V); - } else { - const float maxnorm = 3.925724783138660f; - frexp(l1norm / maxnorm, &squarings); - if (squarings < 0) squarings = 0; - MatrixType A = arg.unaryExpr(MatrixExponentialScalingOp<float>(squarings)); - matrix_exp_pade7(A, U, V); - } - } -}; - -template <typename MatrixType> -struct matrix_exp_computeUV<MatrixType, double> -{ - typedef typename NumTraits<typename traits<MatrixType>::Scalar>::Real RealScalar; - template <typename ArgType> - static void run(const ArgType& arg, MatrixType& U, MatrixType& V, int& squarings) - { - using std::frexp; - using std::pow; - const RealScalar l1norm = arg.cwiseAbs().colwise().sum().maxCoeff(); - squarings = 0; - if (l1norm < 1.495585217958292e-002) { - matrix_exp_pade3(arg, U, V); - } else if (l1norm < 2.539398330063230e-001) { - matrix_exp_pade5(arg, U, V); - } else if (l1norm < 9.504178996162932e-001) { - matrix_exp_pade7(arg, U, V); - } else if (l1norm < 2.097847961257068e+000) { - matrix_exp_pade9(arg, U, V); - } else { - const RealScalar maxnorm = 5.371920351148152; - frexp(l1norm / maxnorm, &squarings); - if (squarings < 0) squarings = 0; - MatrixType A = arg.unaryExpr(MatrixExponentialScalingOp<RealScalar>(squarings)); - matrix_exp_pade13(A, U, V); - } - } -}; - -template <typename MatrixType> -struct matrix_exp_computeUV<MatrixType, long double> -{ - template <typename ArgType> - static void run(const ArgType& arg, MatrixType& U, MatrixType& V, int& squarings) - { -#if LDBL_MANT_DIG == 53 // double precision - matrix_exp_computeUV<MatrixType, double>::run(arg, U, V, squarings); - -#else - - using std::frexp; - using std::pow; - const long double l1norm = arg.cwiseAbs().colwise().sum().maxCoeff(); - squarings = 0; - -#if LDBL_MANT_DIG <= 64 // extended precision - - if (l1norm < 4.1968497232266989671e-003L) { - matrix_exp_pade3(arg, U, V); - } else if (l1norm < 1.1848116734693823091e-001L) { - matrix_exp_pade5(arg, U, V); - } else if (l1norm < 5.5170388480686700274e-001L) { - matrix_exp_pade7(arg, U, V); - } else if (l1norm < 1.3759868875587845383e+000L) { - matrix_exp_pade9(arg, U, V); - } else { - const long double maxnorm = 4.0246098906697353063L; - frexp(l1norm / maxnorm, &squarings); - if (squarings < 0) squarings = 0; - MatrixType A = arg.unaryExpr(MatrixExponentialScalingOp<long double>(squarings)); - matrix_exp_pade13(A, U, V); - } - -#elif LDBL_MANT_DIG <= 106 // double-double - - if (l1norm < 3.2787892205607026992947488108213e-005L) { - matrix_exp_pade3(arg, U, V); - } else if (l1norm < 6.4467025060072760084130906076332e-003L) { - matrix_exp_pade5(arg, U, V); - } else if (l1norm < 6.8988028496595374751374122881143e-002L) { - matrix_exp_pade7(arg, U, V); - } else if (l1norm < 2.7339737518502231741495857201670e-001L) { - matrix_exp_pade9(arg, U, V); - } else if (l1norm < 1.3203382096514474905666448850278e+000L) { - matrix_exp_pade13(arg, U, V); - } else { - const long double maxnorm = 3.2579440895405400856599663723517L; - frexp(l1norm / maxnorm, &squarings); - if (squarings < 0) squarings = 0; - MatrixType A = arg.unaryExpr(MatrixExponentialScalingOp<long double>(squarings)); - matrix_exp_pade17(A, U, V); - } - -#elif LDBL_MANT_DIG <= 112 // quadruple precison - - if (l1norm < 1.639394610288918690547467954466970e-005L) { - matrix_exp_pade3(arg, U, V); - } else if (l1norm < 4.253237712165275566025884344433009e-003L) { - matrix_exp_pade5(arg, U, V); - } else if (l1norm < 5.125804063165764409885122032933142e-002L) { - matrix_exp_pade7(arg, U, V); - } else if (l1norm < 2.170000765161155195453205651889853e-001L) { - matrix_exp_pade9(arg, U, V); - } else if (l1norm < 1.125358383453143065081397882891878e+000L) { - matrix_exp_pade13(arg, U, V); - } else { - const long double maxnorm = 2.884233277829519311757165057717815L; - frexp(l1norm / maxnorm, &squarings); - if (squarings < 0) squarings = 0; - MatrixType A = arg.unaryExpr(MatrixExponentialScalingOp<long double>(squarings)); - matrix_exp_pade17(A, U, V); - } - -#else - - // this case should be handled in compute() - eigen_assert(false && "Bug in MatrixExponential"); - -#endif -#endif // LDBL_MANT_DIG - } -}; - -template<typename T> struct is_exp_known_type : false_type {}; -template<> struct is_exp_known_type<float> : true_type {}; -template<> struct is_exp_known_type<double> : true_type {}; -#if LDBL_MANT_DIG <= 112 -template<> struct is_exp_known_type<long double> : true_type {}; -#endif - -template <typename ArgType, typename ResultType> -void matrix_exp_compute(const ArgType& arg, ResultType &result, true_type) // natively supported scalar type -{ - typedef typename ArgType::PlainObject MatrixType; - MatrixType U, V; - int squarings; - matrix_exp_computeUV<MatrixType>::run(arg, U, V, squarings); // Pade approximant is (U+V) / (-U+V) - MatrixType numer = U + V; - MatrixType denom = -U + V; - result = denom.partialPivLu().solve(numer); - for (int i=0; i<squarings; i++) - result *= result; // undo scaling by repeated squaring -} - - -/* Computes the matrix exponential - * - * \param arg argument of matrix exponential (should be plain object) - * \param result variable in which result will be stored - */ -template <typename ArgType, typename ResultType> -void matrix_exp_compute(const ArgType& arg, ResultType &result, false_type) // default -{ - typedef typename ArgType::PlainObject MatrixType; - typedef typename traits<MatrixType>::Scalar Scalar; - typedef typename NumTraits<Scalar>::Real RealScalar; - typedef typename std::complex<RealScalar> ComplexScalar; - result = arg.matrixFunction(internal::stem_function_exp<ComplexScalar>); -} - -} // end namespace Eigen::internal - -/** \ingroup MatrixFunctions_Module - * - * \brief Proxy for the matrix exponential of some matrix (expression). - * - * \tparam Derived Type of the argument to the matrix exponential. - * - * This class holds the argument to the matrix exponential until it is assigned or evaluated for - * some other reason (so the argument should not be changed in the meantime). It is the return type - * of MatrixBase::exp() and most of the time this is the only way it is used. - */ -template<typename Derived> struct MatrixExponentialReturnValue -: public ReturnByValue<MatrixExponentialReturnValue<Derived> > -{ - typedef typename Derived::Index Index; - public: - /** \brief Constructor. - * - * \param src %Matrix (expression) forming the argument of the matrix exponential. - */ - MatrixExponentialReturnValue(const Derived& src) : m_src(src) { } - - /** \brief Compute the matrix exponential. - * - * \param result the matrix exponential of \p src in the constructor. - */ - template <typename ResultType> - inline void evalTo(ResultType& result) const - { - const typename internal::nested_eval<Derived, 10>::type tmp(m_src); - internal::matrix_exp_compute(tmp, result, internal::is_exp_known_type<typename Derived::Scalar>()); - } - - Index rows() const { return m_src.rows(); } - Index cols() const { return m_src.cols(); } - - protected: - const typename internal::ref_selector<Derived>::type m_src; -}; - -namespace internal { -template<typename Derived> -struct traits<MatrixExponentialReturnValue<Derived> > -{ - typedef typename Derived::PlainObject ReturnType; -}; -} - -template <typename Derived> -const MatrixExponentialReturnValue<Derived> MatrixBase<Derived>::exp() const -{ - eigen_assert(rows() == cols()); - return MatrixExponentialReturnValue<Derived>(derived()); -} - -} // end namespace Eigen - -#endif // EIGEN_MATRIX_EXPONENTIAL |