From 35f7829af10c61e33dd2e2a7a015058e11a11ea0 Mon Sep 17 00:00:00 2001
From: Stanislaw Halik <sthalik@misaki.pl>
Date: Sat, 25 Mar 2017 14:17:07 +0100
Subject: update

---
 eigen/Eigen/src/SVD/UpperBidiagonalization.h | 326 ++++++++++++++++++++++++---
 1 file changed, 295 insertions(+), 31 deletions(-)

(limited to 'eigen/Eigen/src/SVD/UpperBidiagonalization.h')

diff --git a/eigen/Eigen/src/SVD/UpperBidiagonalization.h b/eigen/Eigen/src/SVD/UpperBidiagonalization.h
index 587de37..0b14608 100644
--- a/eigen/Eigen/src/SVD/UpperBidiagonalization.h
+++ b/eigen/Eigen/src/SVD/UpperBidiagonalization.h
@@ -2,6 +2,7 @@
 // for linear algebra.
 //
 // Copyright (C) 2010 Benoit Jacob <jacob.benoit.1@gmail.com>
+// Copyright (C) 2013-2014 Gael Guennebaud <gael.guennebaud@inria.fr>
 //
 // 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
@@ -28,15 +29,15 @@ template<typename _MatrixType> class UpperBidiagonalization
     };
     typedef typename MatrixType::Scalar Scalar;
     typedef typename MatrixType::RealScalar RealScalar;
-    typedef typename MatrixType::Index Index;
+    typedef Eigen::Index Index; ///< \deprecated since Eigen 3.3
     typedef Matrix<Scalar, 1, ColsAtCompileTime> RowVectorType;
     typedef Matrix<Scalar, RowsAtCompileTime, 1> ColVectorType;
-    typedef BandMatrix<RealScalar, ColsAtCompileTime, ColsAtCompileTime, 1, 0> BidiagonalType;
+    typedef BandMatrix<RealScalar, ColsAtCompileTime, ColsAtCompileTime, 1, 0, RowMajor> BidiagonalType;
     typedef Matrix<Scalar, ColsAtCompileTime, 1> DiagVectorType;
     typedef Matrix<Scalar, ColsAtCompileTimeMinusOne, 1> SuperDiagVectorType;
     typedef HouseholderSequence<
               const MatrixType,
-              CwiseUnaryOp<internal::scalar_conjugate_op<Scalar>, const Diagonal<const MatrixType,0> >
+              const typename internal::remove_all<typename Diagonal<const MatrixType,0>::ConjugateReturnType>::type
             > HouseholderUSequenceType;
     typedef HouseholderSequence<
               const typename internal::remove_all<typename MatrixType::ConjugateReturnType>::type,
@@ -52,7 +53,7 @@ template<typename _MatrixType> class UpperBidiagonalization
     */
     UpperBidiagonalization() : m_householder(), m_bidiagonal(), m_isInitialized(false) {}
 
-    UpperBidiagonalization(const MatrixType& matrix)
+    explicit UpperBidiagonalization(const MatrixType& matrix)
       : m_householder(matrix.rows(), matrix.cols()),
         m_bidiagonal(matrix.cols(), matrix.cols()),
         m_isInitialized(false)
@@ -61,6 +62,7 @@ template<typename _MatrixType> class UpperBidiagonalization
     }
     
     UpperBidiagonalization& compute(const MatrixType& matrix);
+    UpperBidiagonalization& computeUnblocked(const MatrixType& matrix);
     
     const MatrixType& householder() const { return m_householder; }
     const BidiagonalType& bidiagonal() const { return m_bidiagonal; }
@@ -85,45 +87,307 @@ template<typename _MatrixType> class UpperBidiagonalization
     bool m_isInitialized;
 };
 
-template<typename _MatrixType>
-UpperBidiagonalization<_MatrixType>& UpperBidiagonalization<_MatrixType>::compute(const _MatrixType& matrix)
+// Standard upper bidiagonalization without fancy optimizations
+// This version should be faster for small matrix size
+template<typename MatrixType>
+void upperbidiagonalization_inplace_unblocked(MatrixType& mat,
+                                              typename MatrixType::RealScalar *diagonal,
+                                              typename MatrixType::RealScalar *upper_diagonal,
+                                              typename MatrixType::Scalar* tempData = 0)
 {
-  Index rows = matrix.rows();
-  Index cols = matrix.cols();
-  
-  eigen_assert(rows >= cols && "UpperBidiagonalization is only for matrices satisfying rows>=cols.");
-  
-  m_householder = matrix;
+  typedef typename MatrixType::Scalar Scalar;
 
-  ColVectorType temp(rows);
+  Index rows = mat.rows();
+  Index cols = mat.cols();
+
+  typedef Matrix<Scalar,Dynamic,1,ColMajor,MatrixType::MaxRowsAtCompileTime,1> TempType;
+  TempType tempVector;
+  if(tempData==0)
+  {
+    tempVector.resize(rows);
+    tempData = tempVector.data();
+  }
 
   for (Index k = 0; /* breaks at k==cols-1 below */ ; ++k)
   {
     Index remainingRows = rows - k;
     Index remainingCols = cols - k - 1;
 
-    // construct left householder transform in-place in m_householder
-    m_householder.col(k).tail(remainingRows)
-                 .makeHouseholderInPlace(m_householder.coeffRef(k,k),
-                                         m_bidiagonal.template diagonal<0>().coeffRef(k));
-    // apply householder transform to remaining part of m_householder on the left
-    m_householder.bottomRightCorner(remainingRows, remainingCols)
-                 .applyHouseholderOnTheLeft(m_householder.col(k).tail(remainingRows-1),
-                                            m_householder.coeff(k,k),
-                                            temp.data());
+    // construct left householder transform in-place in A
+    mat.col(k).tail(remainingRows)
+       .makeHouseholderInPlace(mat.coeffRef(k,k), diagonal[k]);
+    // apply householder transform to remaining part of A on the left
+    mat.bottomRightCorner(remainingRows, remainingCols)
+       .applyHouseholderOnTheLeft(mat.col(k).tail(remainingRows-1), mat.coeff(k,k), tempData);
 
     if(k == cols-1) break;
+
+    // construct right householder transform in-place in mat
+    mat.row(k).tail(remainingCols)
+       .makeHouseholderInPlace(mat.coeffRef(k,k+1), upper_diagonal[k]);
+    // apply householder transform to remaining part of mat on the left
+    mat.bottomRightCorner(remainingRows-1, remainingCols)
+       .applyHouseholderOnTheRight(mat.row(k).tail(remainingCols-1).transpose(), mat.coeff(k,k+1), tempData);
+  }
+}
+
+/** \internal
+  * Helper routine for the block reduction to upper bidiagonal form.
+  *
+  * Let's partition the matrix A:
+  * 
+  *      | A00 A01 |
+  *  A = |         |
+  *      | A10 A11 |
+  *
+  * This function reduces to bidiagonal form the left \c rows x \a blockSize vertical panel [A00/A10]
+  * and the \a blockSize x \c cols horizontal panel [A00 A01] of the matrix \a A. The bottom-right block A11
+  * is updated using matrix-matrix products:
+  *   A22 -= V * Y^T - X * U^T
+  * where V and U contains the left and right Householder vectors. U and V are stored in A10, and A01
+  * respectively, and the update matrices X and Y are computed during the reduction.
+  * 
+  */
+template<typename MatrixType>
+void upperbidiagonalization_blocked_helper(MatrixType& A,
+                                           typename MatrixType::RealScalar *diagonal,
+                                           typename MatrixType::RealScalar *upper_diagonal,
+                                           Index bs,
+                                           Ref<Matrix<typename MatrixType::Scalar, Dynamic, Dynamic,
+                                                      traits<MatrixType>::Flags & RowMajorBit> > X,
+                                           Ref<Matrix<typename MatrixType::Scalar, Dynamic, Dynamic,
+                                                      traits<MatrixType>::Flags & RowMajorBit> > Y)
+{
+  typedef typename MatrixType::Scalar Scalar;
+  enum { StorageOrder = traits<MatrixType>::Flags & RowMajorBit };
+  typedef InnerStride<int(StorageOrder) == int(ColMajor) ? 1 : Dynamic> ColInnerStride;
+  typedef InnerStride<int(StorageOrder) == int(ColMajor) ? Dynamic : 1> RowInnerStride;
+  typedef Ref<Matrix<Scalar, Dynamic, 1>, 0, ColInnerStride>    SubColumnType;
+  typedef Ref<Matrix<Scalar, 1, Dynamic>, 0, RowInnerStride>    SubRowType;
+  typedef Ref<Matrix<Scalar, Dynamic, Dynamic, StorageOrder > > SubMatType;
+  
+  Index brows = A.rows();
+  Index bcols = A.cols();
+
+  Scalar tau_u, tau_u_prev(0), tau_v;
+
+  for(Index k = 0; k < bs; ++k)
+  {
+    Index remainingRows = brows - k;
+    Index remainingCols = bcols - k - 1;
+
+    SubMatType X_k1( X.block(k,0, remainingRows,k) );
+    SubMatType V_k1( A.block(k,0, remainingRows,k) );
+
+    // 1 - update the k-th column of A
+    SubColumnType v_k = A.col(k).tail(remainingRows);
+          v_k -= V_k1 * Y.row(k).head(k).adjoint();
+    if(k) v_k -= X_k1 * A.col(k).head(k);
+    
+    // 2 - construct left Householder transform in-place
+    v_k.makeHouseholderInPlace(tau_v, diagonal[k]);
+       
+    if(k+1<bcols)
+    {
+      SubMatType Y_k  ( Y.block(k+1,0, remainingCols, k+1) );
+      SubMatType U_k1 ( A.block(0,k+1, k,remainingCols) );
+      
+      // this eases the application of Householder transforAions
+      // A(k,k) will store tau_v later
+      A(k,k) = Scalar(1);
+
+      // 3 - Compute y_k^T = tau_v * ( A^T*v_k - Y_k-1*V_k-1^T*v_k - U_k-1*X_k-1^T*v_k )
+      {
+        SubColumnType y_k( Y.col(k).tail(remainingCols) );
+        
+        // let's use the begining of column k of Y as a temporary vector
+        SubColumnType tmp( Y.col(k).head(k) );
+        y_k.noalias()  = A.block(k,k+1, remainingRows,remainingCols).adjoint() * v_k; // bottleneck
+        tmp.noalias()  = V_k1.adjoint()  * v_k;
+        y_k.noalias() -= Y_k.leftCols(k) * tmp;
+        tmp.noalias()  = X_k1.adjoint()  * v_k;
+        y_k.noalias() -= U_k1.adjoint()  * tmp;
+        y_k *= numext::conj(tau_v);
+      }
+
+      // 4 - update k-th row of A (it will become u_k)
+      SubRowType u_k( A.row(k).tail(remainingCols) );
+      u_k = u_k.conjugate();
+      {
+        u_k -= Y_k * A.row(k).head(k+1).adjoint();
+        if(k) u_k -= U_k1.adjoint() * X.row(k).head(k).adjoint();
+      }
+
+      // 5 - construct right Householder transform in-place
+      u_k.makeHouseholderInPlace(tau_u, upper_diagonal[k]);
+
+      // this eases the application of Householder transformations
+      // A(k,k+1) will store tau_u later
+      A(k,k+1) = Scalar(1);
+
+      // 6 - Compute x_k = tau_u * ( A*u_k - X_k-1*U_k-1^T*u_k - V_k*Y_k^T*u_k )
+      {
+        SubColumnType x_k ( X.col(k).tail(remainingRows-1) );
+        
+        // let's use the begining of column k of X as a temporary vectors
+        // note that tmp0 and tmp1 overlaps
+        SubColumnType tmp0 ( X.col(k).head(k) ),
+                      tmp1 ( X.col(k).head(k+1) );
+                    
+        x_k.noalias()   = A.block(k+1,k+1, remainingRows-1,remainingCols) * u_k.transpose(); // bottleneck
+        tmp0.noalias()  = U_k1 * u_k.transpose();
+        x_k.noalias()  -= X_k1.bottomRows(remainingRows-1) * tmp0;
+        tmp1.noalias()  = Y_k.adjoint() * u_k.transpose();
+        x_k.noalias()  -= A.block(k+1,0, remainingRows-1,k+1) * tmp1;
+        x_k *= numext::conj(tau_u);
+        tau_u = numext::conj(tau_u);
+        u_k = u_k.conjugate();
+      }
+
+      if(k>0) A.coeffRef(k-1,k) = tau_u_prev;
+      tau_u_prev = tau_u;
+    }
+    else
+      A.coeffRef(k-1,k) = tau_u_prev;
+
+    A.coeffRef(k,k) = tau_v;
+  }
+  
+  if(bs<bcols)
+    A.coeffRef(bs-1,bs) = tau_u_prev;
+
+  // update A22
+  if(bcols>bs && brows>bs)
+  {
+    SubMatType A11( A.bottomRightCorner(brows-bs,bcols-bs) );
+    SubMatType A10( A.block(bs,0, brows-bs,bs) );
+    SubMatType A01( A.block(0,bs, bs,bcols-bs) );
+    Scalar tmp = A01(bs-1,0);
+    A01(bs-1,0) = 1;
+    A11.noalias() -= A10 * Y.topLeftCorner(bcols,bs).bottomRows(bcols-bs).adjoint();
+    A11.noalias() -= X.topLeftCorner(brows,bs).bottomRows(brows-bs) * A01;
+    A01(bs-1,0) = tmp;
+  }
+}
+
+/** \internal
+  *
+  * Implementation of a block-bidiagonal reduction.
+  * It is based on the following paper:
+  *   The Design of a Parallel Dense Linear Algebra Software Library: Reduction to Hessenberg, Tridiagonal, and Bidiagonal Form.
+  *   by Jaeyoung Choi, Jack J. Dongarra, David W. Walker. (1995)
+  *   section 3.3
+  */
+template<typename MatrixType, typename BidiagType>
+void upperbidiagonalization_inplace_blocked(MatrixType& A, BidiagType& bidiagonal,
+                                            Index maxBlockSize=32,
+                                            typename MatrixType::Scalar* /*tempData*/ = 0)
+{
+  typedef typename MatrixType::Scalar Scalar;
+  typedef Block<MatrixType,Dynamic,Dynamic> BlockType;
+
+  Index rows = A.rows();
+  Index cols = A.cols();
+  Index size = (std::min)(rows, cols);
+
+  // X and Y are work space
+  enum { StorageOrder = traits<MatrixType>::Flags & RowMajorBit };
+  Matrix<Scalar,
+         MatrixType::RowsAtCompileTime,
+         Dynamic,
+         StorageOrder,
+         MatrixType::MaxRowsAtCompileTime> X(rows,maxBlockSize);
+  Matrix<Scalar,
+         MatrixType::ColsAtCompileTime,
+         Dynamic,
+         StorageOrder,
+         MatrixType::MaxColsAtCompileTime> Y(cols,maxBlockSize);
+  Index blockSize = (std::min)(maxBlockSize,size);
+
+  Index k = 0;
+  for(k = 0; k < size; k += blockSize)
+  {
+    Index bs = (std::min)(size-k,blockSize);  // actual size of the block
+    Index brows = rows - k;                   // rows of the block
+    Index bcols = cols - k;                   // columns of the block
+
+    // partition the matrix A:
+    // 
+    //      | A00 A01 A02 |
+    //      |             |
+    // A  = | A10 A11 A12 |
+    //      |             |
+    //      | A20 A21 A22 |
+    //
+    // where A11 is a bs x bs diagonal block,
+    // and let:
+    //      | A11 A12 |
+    //  B = |         |
+    //      | A21 A22 |
+
+    BlockType B = A.block(k,k,brows,bcols);
     
-    // construct right householder transform in-place in m_householder
-    m_householder.row(k).tail(remainingCols)
-                 .makeHouseholderInPlace(m_householder.coeffRef(k,k+1),
-                                         m_bidiagonal.template diagonal<1>().coeffRef(k));
-    // apply householder transform to remaining part of m_householder on the left
-    m_householder.bottomRightCorner(remainingRows-1, remainingCols)
-                 .applyHouseholderOnTheRight(m_householder.row(k).tail(remainingCols-1).transpose(),
-                                             m_householder.coeff(k,k+1),
-                                             temp.data());
+    // This stage performs the bidiagonalization of A11, A21, A12, and updating of A22.
+    // Finally, the algorithm continue on the updated A22.
+    //
+    // However, if B is too small, or A22 empty, then let's use an unblocked strategy
+    if(k+bs==cols || bcols<48) // somewhat arbitrary threshold
+    {
+      upperbidiagonalization_inplace_unblocked(B,
+                                               &(bidiagonal.template diagonal<0>().coeffRef(k)),
+                                               &(bidiagonal.template diagonal<1>().coeffRef(k)),
+                                               X.data()
+                                              );
+      break; // We're done
+    }
+    else
+    {
+      upperbidiagonalization_blocked_helper<BlockType>( B,
+                                                        &(bidiagonal.template diagonal<0>().coeffRef(k)),
+                                                        &(bidiagonal.template diagonal<1>().coeffRef(k)),
+                                                        bs,
+                                                        X.topLeftCorner(brows,bs),
+                                                        Y.topLeftCorner(bcols,bs)
+                                                      );
+    }
   }
+}
+
+template<typename _MatrixType>
+UpperBidiagonalization<_MatrixType>& UpperBidiagonalization<_MatrixType>::computeUnblocked(const _MatrixType& matrix)
+{
+  Index rows = matrix.rows();
+  Index cols = matrix.cols();
+  EIGEN_ONLY_USED_FOR_DEBUG(cols);
+
+  eigen_assert(rows >= cols && "UpperBidiagonalization is only for Arices satisfying rows>=cols.");
+
+  m_householder = matrix;
+
+  ColVectorType temp(rows);
+
+  upperbidiagonalization_inplace_unblocked(m_householder,
+                                           &(m_bidiagonal.template diagonal<0>().coeffRef(0)),
+                                           &(m_bidiagonal.template diagonal<1>().coeffRef(0)),
+                                           temp.data());
+
+  m_isInitialized = true;
+  return *this;
+}
+
+template<typename _MatrixType>
+UpperBidiagonalization<_MatrixType>& UpperBidiagonalization<_MatrixType>::compute(const _MatrixType& matrix)
+{
+  Index rows = matrix.rows();
+  Index cols = matrix.cols();
+  EIGEN_ONLY_USED_FOR_DEBUG(rows);
+  EIGEN_ONLY_USED_FOR_DEBUG(cols);
+
+  eigen_assert(rows >= cols && "UpperBidiagonalization is only for Arices satisfying rows>=cols.");
+
+  m_householder = matrix;
+  upperbidiagonalization_inplace_blocked(m_householder, m_bidiagonal);
+            
   m_isInitialized = true;
   return *this;
 }
-- 
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