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authorStanislaw Halik <sthalik@misaki.pl>2019-03-03 21:09:10 +0100
committerStanislaw Halik <sthalik@misaki.pl>2019-03-03 21:10:13 +0100
commitf0238cfb6997c4acfc2bd200de7295f3fa36968f (patch)
treeb215183760e4f615b9c1dabc1f116383b72a1b55 /eigen/Eigen/src/Eigenvalues/RealSchur.h
parent543edd372a5193d04b3de9f23c176ab439e51b31 (diff)
don't index Eigen
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-// This file is part of Eigen, a lightweight C++ template library
-// for linear algebra.
-//
-// Copyright (C) 2008 Gael Guennebaud <gael.guennebaud@inria.fr>
-// Copyright (C) 2010,2012 Jitse Niesen <jitse@maths.leeds.ac.uk>
-//
-// 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_REAL_SCHUR_H
-#define EIGEN_REAL_SCHUR_H
-
-#include "./HessenbergDecomposition.h"
-
-namespace Eigen {
-
-/** \eigenvalues_module \ingroup Eigenvalues_Module
- *
- *
- * \class RealSchur
- *
- * \brief Performs a real Schur decomposition of a square matrix
- *
- * \tparam _MatrixType the type of the matrix of which we are computing the
- * real Schur decomposition; this is expected to be an instantiation of the
- * Matrix class template.
- *
- * Given a real square matrix A, this class computes the real Schur
- * decomposition: \f$ A = U T U^T \f$ where U is a real orthogonal matrix and
- * T is a real quasi-triangular matrix. An orthogonal matrix is a matrix whose
- * inverse is equal to its transpose, \f$ U^{-1} = U^T \f$. A quasi-triangular
- * matrix is a block-triangular matrix whose diagonal consists of 1-by-1
- * blocks and 2-by-2 blocks with complex eigenvalues. The eigenvalues of the
- * blocks on the diagonal of T are the same as the eigenvalues of the matrix
- * A, and thus the real Schur decomposition is used in EigenSolver to compute
- * the eigendecomposition of a matrix.
- *
- * Call the function compute() to compute the real Schur decomposition of a
- * given matrix. Alternatively, you can use the RealSchur(const MatrixType&, bool)
- * constructor which computes the real Schur decomposition at construction
- * time. Once the decomposition is computed, you can use the matrixU() and
- * matrixT() functions to retrieve the matrices U and T in the decomposition.
- *
- * The documentation of RealSchur(const MatrixType&, bool) contains an example
- * of the typical use of this class.
- *
- * \note The implementation is adapted from
- * <a href="http://math.nist.gov/javanumerics/jama/">JAMA</a> (public domain).
- * Their code is based on EISPACK.
- *
- * \sa class ComplexSchur, class EigenSolver, class ComplexEigenSolver
- */
-template<typename _MatrixType> class RealSchur
-{
- public:
- typedef _MatrixType MatrixType;
- enum {
- RowsAtCompileTime = MatrixType::RowsAtCompileTime,
- ColsAtCompileTime = MatrixType::ColsAtCompileTime,
- Options = MatrixType::Options,
- MaxRowsAtCompileTime = MatrixType::MaxRowsAtCompileTime,
- MaxColsAtCompileTime = MatrixType::MaxColsAtCompileTime
- };
- typedef typename MatrixType::Scalar Scalar;
- typedef std::complex<typename NumTraits<Scalar>::Real> ComplexScalar;
- typedef Eigen::Index Index; ///< \deprecated since Eigen 3.3
-
- typedef Matrix<ComplexScalar, ColsAtCompileTime, 1, Options & ~RowMajor, MaxColsAtCompileTime, 1> EigenvalueType;
- typedef Matrix<Scalar, ColsAtCompileTime, 1, Options & ~RowMajor, MaxColsAtCompileTime, 1> ColumnVectorType;
-
- /** \brief Default constructor.
- *
- * \param [in] size Positive integer, size of the matrix whose Schur decomposition will be computed.
- *
- * The default constructor is useful in cases in which the user intends to
- * perform decompositions via compute(). The \p size parameter is only
- * used as a hint. It is not an error to give a wrong \p size, but it may
- * impair performance.
- *
- * \sa compute() for an example.
- */
- explicit RealSchur(Index size = RowsAtCompileTime==Dynamic ? 1 : RowsAtCompileTime)
- : m_matT(size, size),
- m_matU(size, size),
- m_workspaceVector(size),
- m_hess(size),
- m_isInitialized(false),
- m_matUisUptodate(false),
- m_maxIters(-1)
- { }
-
- /** \brief Constructor; computes real Schur decomposition of given matrix.
- *
- * \param[in] matrix Square matrix whose Schur decomposition is to be computed.
- * \param[in] computeU If true, both T and U are computed; if false, only T is computed.
- *
- * This constructor calls compute() to compute the Schur decomposition.
- *
- * Example: \include RealSchur_RealSchur_MatrixType.cpp
- * Output: \verbinclude RealSchur_RealSchur_MatrixType.out
- */
- template<typename InputType>
- explicit RealSchur(const EigenBase<InputType>& matrix, bool computeU = true)
- : m_matT(matrix.rows(),matrix.cols()),
- m_matU(matrix.rows(),matrix.cols()),
- m_workspaceVector(matrix.rows()),
- m_hess(matrix.rows()),
- m_isInitialized(false),
- m_matUisUptodate(false),
- m_maxIters(-1)
- {
- compute(matrix.derived(), computeU);
- }
-
- /** \brief Returns the orthogonal matrix in the Schur decomposition.
- *
- * \returns A const reference to the matrix U.
- *
- * \pre Either the constructor RealSchur(const MatrixType&, bool) or the
- * member function compute(const MatrixType&, bool) has been called before
- * to compute the Schur decomposition of a matrix, and \p computeU was set
- * to true (the default value).
- *
- * \sa RealSchur(const MatrixType&, bool) for an example
- */
- const MatrixType& matrixU() const
- {
- eigen_assert(m_isInitialized && "RealSchur is not initialized.");
- eigen_assert(m_matUisUptodate && "The matrix U has not been computed during the RealSchur decomposition.");
- return m_matU;
- }
-
- /** \brief Returns the quasi-triangular matrix in the Schur decomposition.
- *
- * \returns A const reference to the matrix T.
- *
- * \pre Either the constructor RealSchur(const MatrixType&, bool) or the
- * member function compute(const MatrixType&, bool) has been called before
- * to compute the Schur decomposition of a matrix.
- *
- * \sa RealSchur(const MatrixType&, bool) for an example
- */
- const MatrixType& matrixT() const
- {
- eigen_assert(m_isInitialized && "RealSchur is not initialized.");
- return m_matT;
- }
-
- /** \brief Computes Schur decomposition of given matrix.
- *
- * \param[in] matrix Square matrix whose Schur decomposition is to be computed.
- * \param[in] computeU If true, both T and U are computed; if false, only T is computed.
- * \returns Reference to \c *this
- *
- * The Schur decomposition is computed by first reducing the matrix to
- * Hessenberg form using the class HessenbergDecomposition. The Hessenberg
- * matrix is then reduced to triangular form by performing Francis QR
- * iterations with implicit double shift. The cost of computing the Schur
- * decomposition depends on the number of iterations; as a rough guide, it
- * may be taken to be \f$25n^3\f$ flops if \a computeU is true and
- * \f$10n^3\f$ flops if \a computeU is false.
- *
- * Example: \include RealSchur_compute.cpp
- * Output: \verbinclude RealSchur_compute.out
- *
- * \sa compute(const MatrixType&, bool, Index)
- */
- template<typename InputType>
- RealSchur& compute(const EigenBase<InputType>& matrix, bool computeU = true);
-
- /** \brief Computes Schur decomposition of a Hessenberg matrix H = Z T Z^T
- * \param[in] matrixH Matrix in Hessenberg form H
- * \param[in] matrixQ orthogonal matrix Q that transform a matrix A to H : A = Q H Q^T
- * \param computeU Computes the matriX U of the Schur vectors
- * \return Reference to \c *this
- *
- * This routine assumes that the matrix is already reduced in Hessenberg form matrixH
- * using either the class HessenbergDecomposition or another mean.
- * It computes the upper quasi-triangular matrix T of the Schur decomposition of H
- * When computeU is true, this routine computes the matrix U such that
- * A = U T U^T = (QZ) T (QZ)^T = Q H Q^T where A is the initial matrix
- *
- * NOTE Q is referenced if computeU is true; so, if the initial orthogonal matrix
- * is not available, the user should give an identity matrix (Q.setIdentity())
- *
- * \sa compute(const MatrixType&, bool)
- */
- template<typename HessMatrixType, typename OrthMatrixType>
- RealSchur& computeFromHessenberg(const HessMatrixType& matrixH, const OrthMatrixType& matrixQ, bool computeU);
- /** \brief Reports whether previous computation was successful.
- *
- * \returns \c Success if computation was succesful, \c NoConvergence otherwise.
- */
- ComputationInfo info() const
- {
- eigen_assert(m_isInitialized && "RealSchur is not initialized.");
- return m_info;
- }
-
- /** \brief Sets the maximum number of iterations allowed.
- *
- * If not specified by the user, the maximum number of iterations is m_maxIterationsPerRow times the size
- * of the matrix.
- */
- RealSchur& setMaxIterations(Index maxIters)
- {
- m_maxIters = maxIters;
- return *this;
- }
-
- /** \brief Returns the maximum number of iterations. */
- Index getMaxIterations()
- {
- return m_maxIters;
- }
-
- /** \brief Maximum number of iterations per row.
- *
- * If not otherwise specified, the maximum number of iterations is this number times the size of the
- * matrix. It is currently set to 40.
- */
- static const int m_maxIterationsPerRow = 40;
-
- private:
-
- MatrixType m_matT;
- MatrixType m_matU;
- ColumnVectorType m_workspaceVector;
- HessenbergDecomposition<MatrixType> m_hess;
- ComputationInfo m_info;
- bool m_isInitialized;
- bool m_matUisUptodate;
- Index m_maxIters;
-
- typedef Matrix<Scalar,3,1> Vector3s;
-
- Scalar computeNormOfT();
- Index findSmallSubdiagEntry(Index iu);
- void splitOffTwoRows(Index iu, bool computeU, const Scalar& exshift);
- void computeShift(Index iu, Index iter, Scalar& exshift, Vector3s& shiftInfo);
- void initFrancisQRStep(Index il, Index iu, const Vector3s& shiftInfo, Index& im, Vector3s& firstHouseholderVector);
- void performFrancisQRStep(Index il, Index im, Index iu, bool computeU, const Vector3s& firstHouseholderVector, Scalar* workspace);
-};
-
-
-template<typename MatrixType>
-template<typename InputType>
-RealSchur<MatrixType>& RealSchur<MatrixType>::compute(const EigenBase<InputType>& matrix, bool computeU)
-{
- const Scalar considerAsZero = (std::numeric_limits<Scalar>::min)();
-
- eigen_assert(matrix.cols() == matrix.rows());
- Index maxIters = m_maxIters;
- if (maxIters == -1)
- maxIters = m_maxIterationsPerRow * matrix.rows();
-
- Scalar scale = matrix.derived().cwiseAbs().maxCoeff();
- if(scale<considerAsZero)
- {
- m_matT.setZero(matrix.rows(),matrix.cols());
- if(computeU)
- m_matU.setIdentity(matrix.rows(),matrix.cols());
- m_info = Success;
- m_isInitialized = true;
- m_matUisUptodate = computeU;
- return *this;
- }
-
- // Step 1. Reduce to Hessenberg form
- m_hess.compute(matrix.derived()/scale);
-
- // Step 2. Reduce to real Schur form
- computeFromHessenberg(m_hess.matrixH(), m_hess.matrixQ(), computeU);
-
- m_matT *= scale;
-
- return *this;
-}
-template<typename MatrixType>
-template<typename HessMatrixType, typename OrthMatrixType>
-RealSchur<MatrixType>& RealSchur<MatrixType>::computeFromHessenberg(const HessMatrixType& matrixH, const OrthMatrixType& matrixQ, bool computeU)
-{
- using std::abs;
-
- m_matT = matrixH;
- if(computeU)
- m_matU = matrixQ;
-
- Index maxIters = m_maxIters;
- if (maxIters == -1)
- maxIters = m_maxIterationsPerRow * matrixH.rows();
- m_workspaceVector.resize(m_matT.cols());
- Scalar* workspace = &m_workspaceVector.coeffRef(0);
-
- // The matrix m_matT is divided in three parts.
- // Rows 0,...,il-1 are decoupled from the rest because m_matT(il,il-1) is zero.
- // Rows il,...,iu is the part we are working on (the active window).
- // Rows iu+1,...,end are already brought in triangular form.
- Index iu = m_matT.cols() - 1;
- Index iter = 0; // iteration count for current eigenvalue
- Index totalIter = 0; // iteration count for whole matrix
- Scalar exshift(0); // sum of exceptional shifts
- Scalar norm = computeNormOfT();
-
- if(norm!=Scalar(0))
- {
- while (iu >= 0)
- {
- Index il = findSmallSubdiagEntry(iu);
-
- // Check for convergence
- if (il == iu) // One root found
- {
- m_matT.coeffRef(iu,iu) = m_matT.coeff(iu,iu) + exshift;
- if (iu > 0)
- m_matT.coeffRef(iu, iu-1) = Scalar(0);
- iu--;
- iter = 0;
- }
- else if (il == iu-1) // Two roots found
- {
- splitOffTwoRows(iu, computeU, exshift);
- iu -= 2;
- iter = 0;
- }
- else // No convergence yet
- {
- // The firstHouseholderVector vector has to be initialized to something to get rid of a silly GCC warning (-O1 -Wall -DNDEBUG )
- Vector3s firstHouseholderVector = Vector3s::Zero(), shiftInfo;
- computeShift(iu, iter, exshift, shiftInfo);
- iter = iter + 1;
- totalIter = totalIter + 1;
- if (totalIter > maxIters) break;
- Index im;
- initFrancisQRStep(il, iu, shiftInfo, im, firstHouseholderVector);
- performFrancisQRStep(il, im, iu, computeU, firstHouseholderVector, workspace);
- }
- }
- }
- if(totalIter <= maxIters)
- m_info = Success;
- else
- m_info = NoConvergence;
-
- m_isInitialized = true;
- m_matUisUptodate = computeU;
- return *this;
-}
-
-/** \internal Computes and returns vector L1 norm of T */
-template<typename MatrixType>
-inline typename MatrixType::Scalar RealSchur<MatrixType>::computeNormOfT()
-{
- const Index size = m_matT.cols();
- // FIXME to be efficient the following would requires a triangular reduxion code
- // Scalar norm = m_matT.upper().cwiseAbs().sum()
- // + m_matT.bottomLeftCorner(size-1,size-1).diagonal().cwiseAbs().sum();
- Scalar norm(0);
- for (Index j = 0; j < size; ++j)
- norm += m_matT.col(j).segment(0, (std::min)(size,j+2)).cwiseAbs().sum();
- return norm;
-}
-
-/** \internal Look for single small sub-diagonal element and returns its index */
-template<typename MatrixType>
-inline Index RealSchur<MatrixType>::findSmallSubdiagEntry(Index iu)
-{
- using std::abs;
- Index res = iu;
- while (res > 0)
- {
- Scalar s = abs(m_matT.coeff(res-1,res-1)) + abs(m_matT.coeff(res,res));
- if (abs(m_matT.coeff(res,res-1)) <= NumTraits<Scalar>::epsilon() * s)
- break;
- res--;
- }
- return res;
-}
-
-/** \internal Update T given that rows iu-1 and iu decouple from the rest. */
-template<typename MatrixType>
-inline void RealSchur<MatrixType>::splitOffTwoRows(Index iu, bool computeU, const Scalar& exshift)
-{
- using std::sqrt;
- using std::abs;
- const Index size = m_matT.cols();
-
- // The eigenvalues of the 2x2 matrix [a b; c d] are
- // trace +/- sqrt(discr/4) where discr = tr^2 - 4*det, tr = a + d, det = ad - bc
- Scalar p = Scalar(0.5) * (m_matT.coeff(iu-1,iu-1) - m_matT.coeff(iu,iu));
- Scalar q = p * p + m_matT.coeff(iu,iu-1) * m_matT.coeff(iu-1,iu); // q = tr^2 / 4 - det = discr/4
- m_matT.coeffRef(iu,iu) += exshift;
- m_matT.coeffRef(iu-1,iu-1) += exshift;
-
- if (q >= Scalar(0)) // Two real eigenvalues
- {
- Scalar z = sqrt(abs(q));
- JacobiRotation<Scalar> rot;
- if (p >= Scalar(0))
- rot.makeGivens(p + z, m_matT.coeff(iu, iu-1));
- else
- rot.makeGivens(p - z, m_matT.coeff(iu, iu-1));
-
- m_matT.rightCols(size-iu+1).applyOnTheLeft(iu-1, iu, rot.adjoint());
- m_matT.topRows(iu+1).applyOnTheRight(iu-1, iu, rot);
- m_matT.coeffRef(iu, iu-1) = Scalar(0);
- if (computeU)
- m_matU.applyOnTheRight(iu-1, iu, rot);
- }
-
- if (iu > 1)
- m_matT.coeffRef(iu-1, iu-2) = Scalar(0);
-}
-
-/** \internal Form shift in shiftInfo, and update exshift if an exceptional shift is performed. */
-template<typename MatrixType>
-inline void RealSchur<MatrixType>::computeShift(Index iu, Index iter, Scalar& exshift, Vector3s& shiftInfo)
-{
- using std::sqrt;
- using std::abs;
- shiftInfo.coeffRef(0) = m_matT.coeff(iu,iu);
- shiftInfo.coeffRef(1) = m_matT.coeff(iu-1,iu-1);
- shiftInfo.coeffRef(2) = m_matT.coeff(iu,iu-1) * m_matT.coeff(iu-1,iu);
-
- // Wilkinson's original ad hoc shift
- if (iter == 10)
- {
- exshift += shiftInfo.coeff(0);
- for (Index i = 0; i <= iu; ++i)
- m_matT.coeffRef(i,i) -= shiftInfo.coeff(0);
- Scalar s = abs(m_matT.coeff(iu,iu-1)) + abs(m_matT.coeff(iu-1,iu-2));
- shiftInfo.coeffRef(0) = Scalar(0.75) * s;
- shiftInfo.coeffRef(1) = Scalar(0.75) * s;
- shiftInfo.coeffRef(2) = Scalar(-0.4375) * s * s;
- }
-
- // MATLAB's new ad hoc shift
- if (iter == 30)
- {
- Scalar s = (shiftInfo.coeff(1) - shiftInfo.coeff(0)) / Scalar(2.0);
- s = s * s + shiftInfo.coeff(2);
- if (s > Scalar(0))
- {
- s = sqrt(s);
- if (shiftInfo.coeff(1) < shiftInfo.coeff(0))
- s = -s;
- s = s + (shiftInfo.coeff(1) - shiftInfo.coeff(0)) / Scalar(2.0);
- s = shiftInfo.coeff(0) - shiftInfo.coeff(2) / s;
- exshift += s;
- for (Index i = 0; i <= iu; ++i)
- m_matT.coeffRef(i,i) -= s;
- shiftInfo.setConstant(Scalar(0.964));
- }
- }
-}
-
-/** \internal Compute index im at which Francis QR step starts and the first Householder vector. */
-template<typename MatrixType>
-inline void RealSchur<MatrixType>::initFrancisQRStep(Index il, Index iu, const Vector3s& shiftInfo, Index& im, Vector3s& firstHouseholderVector)
-{
- using std::abs;
- Vector3s& v = firstHouseholderVector; // alias to save typing
-
- for (im = iu-2; im >= il; --im)
- {
- const Scalar Tmm = m_matT.coeff(im,im);
- const Scalar r = shiftInfo.coeff(0) - Tmm;
- const Scalar s = shiftInfo.coeff(1) - Tmm;
- v.coeffRef(0) = (r * s - shiftInfo.coeff(2)) / m_matT.coeff(im+1,im) + m_matT.coeff(im,im+1);
- v.coeffRef(1) = m_matT.coeff(im+1,im+1) - Tmm - r - s;
- v.coeffRef(2) = m_matT.coeff(im+2,im+1);
- if (im == il) {
- break;
- }
- const Scalar lhs = m_matT.coeff(im,im-1) * (abs(v.coeff(1)) + abs(v.coeff(2)));
- const Scalar rhs = v.coeff(0) * (abs(m_matT.coeff(im-1,im-1)) + abs(Tmm) + abs(m_matT.coeff(im+1,im+1)));
- if (abs(lhs) < NumTraits<Scalar>::epsilon() * rhs)
- break;
- }
-}
-
-/** \internal Perform a Francis QR step involving rows il:iu and columns im:iu. */
-template<typename MatrixType>
-inline void RealSchur<MatrixType>::performFrancisQRStep(Index il, Index im, Index iu, bool computeU, const Vector3s& firstHouseholderVector, Scalar* workspace)
-{
- eigen_assert(im >= il);
- eigen_assert(im <= iu-2);
-
- const Index size = m_matT.cols();
-
- for (Index k = im; k <= iu-2; ++k)
- {
- bool firstIteration = (k == im);
-
- Vector3s v;
- if (firstIteration)
- v = firstHouseholderVector;
- else
- v = m_matT.template block<3,1>(k,k-1);
-
- Scalar tau, beta;
- Matrix<Scalar, 2, 1> ess;
- v.makeHouseholder(ess, tau, beta);
-
- if (beta != Scalar(0)) // if v is not zero
- {
- if (firstIteration && k > il)
- m_matT.coeffRef(k,k-1) = -m_matT.coeff(k,k-1);
- else if (!firstIteration)
- m_matT.coeffRef(k,k-1) = beta;
-
- // These Householder transformations form the O(n^3) part of the algorithm
- m_matT.block(k, k, 3, size-k).applyHouseholderOnTheLeft(ess, tau, workspace);
- m_matT.block(0, k, (std::min)(iu,k+3) + 1, 3).applyHouseholderOnTheRight(ess, tau, workspace);
- if (computeU)
- m_matU.block(0, k, size, 3).applyHouseholderOnTheRight(ess, tau, workspace);
- }
- }
-
- Matrix<Scalar, 2, 1> v = m_matT.template block<2,1>(iu-1, iu-2);
- Scalar tau, beta;
- Matrix<Scalar, 1, 1> ess;
- v.makeHouseholder(ess, tau, beta);
-
- if (beta != Scalar(0)) // if v is not zero
- {
- m_matT.coeffRef(iu-1, iu-2) = beta;
- m_matT.block(iu-1, iu-1, 2, size-iu+1).applyHouseholderOnTheLeft(ess, tau, workspace);
- m_matT.block(0, iu-1, iu+1, 2).applyHouseholderOnTheRight(ess, tau, workspace);
- if (computeU)
- m_matU.block(0, iu-1, size, 2).applyHouseholderOnTheRight(ess, tau, workspace);
- }
-
- // clean up pollution due to round-off errors
- for (Index i = im+2; i <= iu; ++i)
- {
- m_matT.coeffRef(i,i-2) = Scalar(0);
- if (i > im+2)
- m_matT.coeffRef(i,i-3) = Scalar(0);
- }
-}
-
-} // end namespace Eigen
-
-#endif // EIGEN_REAL_SCHUR_H