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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/SVD
parent543edd372a5193d04b3de9f23c176ab439e51b31 (diff)
don't index Eigen
Diffstat (limited to 'eigen/Eigen/src/SVD')
-rw-r--r--eigen/Eigen/src/SVD/BDCSVD.h1246
-rw-r--r--eigen/Eigen/src/SVD/JacobiSVD.h804
-rw-r--r--eigen/Eigen/src/SVD/JacobiSVD_LAPACKE.h91
-rw-r--r--eigen/Eigen/src/SVD/SVDBase.h315
-rw-r--r--eigen/Eigen/src/SVD/UpperBidiagonalization.h414
5 files changed, 0 insertions, 2870 deletions
diff --git a/eigen/Eigen/src/SVD/BDCSVD.h b/eigen/Eigen/src/SVD/BDCSVD.h
deleted file mode 100644
index 1134d66..0000000
--- a/eigen/Eigen/src/SVD/BDCSVD.h
+++ /dev/null
@@ -1,1246 +0,0 @@
-// This file is part of Eigen, a lightweight C++ template library
-// for linear algebra.
-//
-// We used the "A Divide-And-Conquer Algorithm for the Bidiagonal SVD"
-// research report written by Ming Gu and Stanley C.Eisenstat
-// The code variable names correspond to the names they used in their
-// report
-//
-// Copyright (C) 2013 Gauthier Brun <brun.gauthier@gmail.com>
-// Copyright (C) 2013 Nicolas Carre <nicolas.carre@ensimag.fr>
-// Copyright (C) 2013 Jean Ceccato <jean.ceccato@ensimag.fr>
-// Copyright (C) 2013 Pierre Zoppitelli <pierre.zoppitelli@ensimag.fr>
-// Copyright (C) 2013 Jitse Niesen <jitse@maths.leeds.ac.uk>
-// Copyright (C) 2014-2017 Gael Guennebaud <gael.guennebaud@inria.fr>
-//
-// 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_BDCSVD_H
-#define EIGEN_BDCSVD_H
-// #define EIGEN_BDCSVD_DEBUG_VERBOSE
-// #define EIGEN_BDCSVD_SANITY_CHECKS
-
-namespace Eigen {
-
-#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
-IOFormat bdcsvdfmt(8, 0, ", ", "\n", " [", "]");
-#endif
-
-template<typename _MatrixType> class BDCSVD;
-
-namespace internal {
-
-template<typename _MatrixType>
-struct traits<BDCSVD<_MatrixType> >
-{
- typedef _MatrixType MatrixType;
-};
-
-} // end namespace internal
-
-
-/** \ingroup SVD_Module
- *
- *
- * \class BDCSVD
- *
- * \brief class Bidiagonal Divide and Conquer SVD
- *
- * \tparam _MatrixType the type of the matrix of which we are computing the SVD decomposition
- *
- * This class first reduces the input matrix to bi-diagonal form using class UpperBidiagonalization,
- * and then performs a divide-and-conquer diagonalization. Small blocks are diagonalized using class JacobiSVD.
- * You can control the switching size with the setSwitchSize() method, default is 16.
- * For small matrice (<16), it is thus preferable to directly use JacobiSVD. For larger ones, BDCSVD is highly
- * recommended and can several order of magnitude faster.
- *
- * \warning this algorithm is unlikely to provide accurate result when compiled with unsafe math optimizations.
- * For instance, this concerns Intel's compiler (ICC), which perfroms such optimization by default unless
- * you compile with the \c -fp-model \c precise option. Likewise, the \c -ffast-math option of GCC or clang will
- * significantly degrade the accuracy.
- *
- * \sa class JacobiSVD
- */
-template<typename _MatrixType>
-class BDCSVD : public SVDBase<BDCSVD<_MatrixType> >
-{
- typedef SVDBase<BDCSVD> Base;
-
-public:
- using Base::rows;
- using Base::cols;
- using Base::computeU;
- using Base::computeV;
-
- typedef _MatrixType MatrixType;
- typedef typename MatrixType::Scalar Scalar;
- typedef typename NumTraits<typename MatrixType::Scalar>::Real RealScalar;
- typedef typename NumTraits<RealScalar>::Literal Literal;
- enum {
- RowsAtCompileTime = MatrixType::RowsAtCompileTime,
- ColsAtCompileTime = MatrixType::ColsAtCompileTime,
- DiagSizeAtCompileTime = EIGEN_SIZE_MIN_PREFER_DYNAMIC(RowsAtCompileTime, ColsAtCompileTime),
- MaxRowsAtCompileTime = MatrixType::MaxRowsAtCompileTime,
- MaxColsAtCompileTime = MatrixType::MaxColsAtCompileTime,
- MaxDiagSizeAtCompileTime = EIGEN_SIZE_MIN_PREFER_FIXED(MaxRowsAtCompileTime, MaxColsAtCompileTime),
- MatrixOptions = MatrixType::Options
- };
-
- typedef typename Base::MatrixUType MatrixUType;
- typedef typename Base::MatrixVType MatrixVType;
- typedef typename Base::SingularValuesType SingularValuesType;
-
- typedef Matrix<Scalar, Dynamic, Dynamic, ColMajor> MatrixX;
- typedef Matrix<RealScalar, Dynamic, Dynamic, ColMajor> MatrixXr;
- typedef Matrix<RealScalar, Dynamic, 1> VectorType;
- typedef Array<RealScalar, Dynamic, 1> ArrayXr;
- typedef Array<Index,1,Dynamic> ArrayXi;
- typedef Ref<ArrayXr> ArrayRef;
- typedef Ref<ArrayXi> IndicesRef;
-
- /** \brief Default Constructor.
- *
- * The default constructor is useful in cases in which the user intends to
- * perform decompositions via BDCSVD::compute(const MatrixType&).
- */
- BDCSVD() : m_algoswap(16), m_numIters(0)
- {}
-
-
- /** \brief Default Constructor with memory preallocation
- *
- * Like the default constructor but with preallocation of the internal data
- * according to the specified problem size.
- * \sa BDCSVD()
- */
- BDCSVD(Index rows, Index cols, unsigned int computationOptions = 0)
- : m_algoswap(16), m_numIters(0)
- {
- allocate(rows, cols, computationOptions);
- }
-
- /** \brief Constructor performing the decomposition of given matrix.
- *
- * \param matrix the matrix to decompose
- * \param computationOptions optional parameter allowing to specify if you want full or thin U or V unitaries to be computed.
- * By default, none is computed. This is a bit - field, the possible bits are #ComputeFullU, #ComputeThinU,
- * #ComputeFullV, #ComputeThinV.
- *
- * Thin unitaries are only available if your matrix type has a Dynamic number of columns (for example MatrixXf). They also are not
- * available with the (non - default) FullPivHouseholderQR preconditioner.
- */
- BDCSVD(const MatrixType& matrix, unsigned int computationOptions = 0)
- : m_algoswap(16), m_numIters(0)
- {
- compute(matrix, computationOptions);
- }
-
- ~BDCSVD()
- {
- }
-
- /** \brief Method performing the decomposition of given matrix using custom options.
- *
- * \param matrix the matrix to decompose
- * \param computationOptions optional parameter allowing to specify if you want full or thin U or V unitaries to be computed.
- * By default, none is computed. This is a bit - field, the possible bits are #ComputeFullU, #ComputeThinU,
- * #ComputeFullV, #ComputeThinV.
- *
- * Thin unitaries are only available if your matrix type has a Dynamic number of columns (for example MatrixXf). They also are not
- * available with the (non - default) FullPivHouseholderQR preconditioner.
- */
- BDCSVD& compute(const MatrixType& matrix, unsigned int computationOptions);
-
- /** \brief Method performing the decomposition of given matrix using current options.
- *
- * \param matrix the matrix to decompose
- *
- * This method uses the current \a computationOptions, as already passed to the constructor or to compute(const MatrixType&, unsigned int).
- */
- BDCSVD& compute(const MatrixType& matrix)
- {
- return compute(matrix, this->m_computationOptions);
- }
-
- void setSwitchSize(int s)
- {
- eigen_assert(s>3 && "BDCSVD the size of the algo switch has to be greater than 3");
- m_algoswap = s;
- }
-
-private:
- void allocate(Index rows, Index cols, unsigned int computationOptions);
- void divide(Index firstCol, Index lastCol, Index firstRowW, Index firstColW, Index shift);
- void computeSVDofM(Index firstCol, Index n, MatrixXr& U, VectorType& singVals, MatrixXr& V);
- void computeSingVals(const ArrayRef& col0, const ArrayRef& diag, const IndicesRef& perm, VectorType& singVals, ArrayRef shifts, ArrayRef mus);
- void perturbCol0(const ArrayRef& col0, const ArrayRef& diag, const IndicesRef& perm, const VectorType& singVals, const ArrayRef& shifts, const ArrayRef& mus, ArrayRef zhat);
- void computeSingVecs(const ArrayRef& zhat, const ArrayRef& diag, const IndicesRef& perm, const VectorType& singVals, const ArrayRef& shifts, const ArrayRef& mus, MatrixXr& U, MatrixXr& V);
- void deflation43(Index firstCol, Index shift, Index i, Index size);
- void deflation44(Index firstColu , Index firstColm, Index firstRowW, Index firstColW, Index i, Index j, Index size);
- void deflation(Index firstCol, Index lastCol, Index k, Index firstRowW, Index firstColW, Index shift);
- template<typename HouseholderU, typename HouseholderV, typename NaiveU, typename NaiveV>
- void copyUV(const HouseholderU &householderU, const HouseholderV &householderV, const NaiveU &naiveU, const NaiveV &naivev);
- void structured_update(Block<MatrixXr,Dynamic,Dynamic> A, const MatrixXr &B, Index n1);
- static RealScalar secularEq(RealScalar x, const ArrayRef& col0, const ArrayRef& diag, const IndicesRef &perm, const ArrayRef& diagShifted, RealScalar shift);
-
-protected:
- MatrixXr m_naiveU, m_naiveV;
- MatrixXr m_computed;
- Index m_nRec;
- ArrayXr m_workspace;
- ArrayXi m_workspaceI;
- int m_algoswap;
- bool m_isTranspose, m_compU, m_compV;
-
- using Base::m_singularValues;
- using Base::m_diagSize;
- using Base::m_computeFullU;
- using Base::m_computeFullV;
- using Base::m_computeThinU;
- using Base::m_computeThinV;
- using Base::m_matrixU;
- using Base::m_matrixV;
- using Base::m_isInitialized;
- using Base::m_nonzeroSingularValues;
-
-public:
- int m_numIters;
-}; //end class BDCSVD
-
-
-// Method to allocate and initialize matrix and attributes
-template<typename MatrixType>
-void BDCSVD<MatrixType>::allocate(Index rows, Index cols, unsigned int computationOptions)
-{
- m_isTranspose = (cols > rows);
-
- if (Base::allocate(rows, cols, computationOptions))
- return;
-
- m_computed = MatrixXr::Zero(m_diagSize + 1, m_diagSize );
- m_compU = computeV();
- m_compV = computeU();
- if (m_isTranspose)
- std::swap(m_compU, m_compV);
-
- if (m_compU) m_naiveU = MatrixXr::Zero(m_diagSize + 1, m_diagSize + 1 );
- else m_naiveU = MatrixXr::Zero(2, m_diagSize + 1 );
-
- if (m_compV) m_naiveV = MatrixXr::Zero(m_diagSize, m_diagSize);
-
- m_workspace.resize((m_diagSize+1)*(m_diagSize+1)*3);
- m_workspaceI.resize(3*m_diagSize);
-}// end allocate
-
-template<typename MatrixType>
-BDCSVD<MatrixType>& BDCSVD<MatrixType>::compute(const MatrixType& matrix, unsigned int computationOptions)
-{
-#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
- std::cout << "\n\n\n======================================================================================================================\n\n\n";
-#endif
- allocate(matrix.rows(), matrix.cols(), computationOptions);
- using std::abs;
-
- const RealScalar considerZero = (std::numeric_limits<RealScalar>::min)();
-
- //**** step -1 - If the problem is too small, directly falls back to JacobiSVD and return
- if(matrix.cols() < m_algoswap)
- {
- // FIXME this line involves temporaries
- JacobiSVD<MatrixType> jsvd(matrix,computationOptions);
- if(computeU()) m_matrixU = jsvd.matrixU();
- if(computeV()) m_matrixV = jsvd.matrixV();
- m_singularValues = jsvd.singularValues();
- m_nonzeroSingularValues = jsvd.nonzeroSingularValues();
- m_isInitialized = true;
- return *this;
- }
-
- //**** step 0 - Copy the input matrix and apply scaling to reduce over/under-flows
- RealScalar scale = matrix.cwiseAbs().maxCoeff();
- if(scale==Literal(0)) scale = Literal(1);
- MatrixX copy;
- if (m_isTranspose) copy = matrix.adjoint()/scale;
- else copy = matrix/scale;
-
- //**** step 1 - Bidiagonalization
- // FIXME this line involves temporaries
- internal::UpperBidiagonalization<MatrixX> bid(copy);
-
- //**** step 2 - Divide & Conquer
- m_naiveU.setZero();
- m_naiveV.setZero();
- // FIXME this line involves a temporary matrix
- m_computed.topRows(m_diagSize) = bid.bidiagonal().toDenseMatrix().transpose();
- m_computed.template bottomRows<1>().setZero();
- divide(0, m_diagSize - 1, 0, 0, 0);
-
- //**** step 3 - Copy singular values and vectors
- for (int i=0; i<m_diagSize; i++)
- {
- RealScalar a = abs(m_computed.coeff(i, i));
- m_singularValues.coeffRef(i) = a * scale;
- if (a<considerZero)
- {
- m_nonzeroSingularValues = i;
- m_singularValues.tail(m_diagSize - i - 1).setZero();
- break;
- }
- else if (i == m_diagSize - 1)
- {
- m_nonzeroSingularValues = i + 1;
- break;
- }
- }
-
-#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
-// std::cout << "m_naiveU\n" << m_naiveU << "\n\n";
-// std::cout << "m_naiveV\n" << m_naiveV << "\n\n";
-#endif
- if(m_isTranspose) copyUV(bid.householderV(), bid.householderU(), m_naiveV, m_naiveU);
- else copyUV(bid.householderU(), bid.householderV(), m_naiveU, m_naiveV);
-
- m_isInitialized = true;
- return *this;
-}// end compute
-
-
-template<typename MatrixType>
-template<typename HouseholderU, typename HouseholderV, typename NaiveU, typename NaiveV>
-void BDCSVD<MatrixType>::copyUV(const HouseholderU &householderU, const HouseholderV &householderV, const NaiveU &naiveU, const NaiveV &naiveV)
-{
- // Note exchange of U and V: m_matrixU is set from m_naiveV and vice versa
- if (computeU())
- {
- Index Ucols = m_computeThinU ? m_diagSize : householderU.cols();
- m_matrixU = MatrixX::Identity(householderU.cols(), Ucols);
- m_matrixU.topLeftCorner(m_diagSize, m_diagSize) = naiveV.template cast<Scalar>().topLeftCorner(m_diagSize, m_diagSize);
- householderU.applyThisOnTheLeft(m_matrixU); // FIXME this line involves a temporary buffer
- }
- if (computeV())
- {
- Index Vcols = m_computeThinV ? m_diagSize : householderV.cols();
- m_matrixV = MatrixX::Identity(householderV.cols(), Vcols);
- m_matrixV.topLeftCorner(m_diagSize, m_diagSize) = naiveU.template cast<Scalar>().topLeftCorner(m_diagSize, m_diagSize);
- householderV.applyThisOnTheLeft(m_matrixV); // FIXME this line involves a temporary buffer
- }
-}
-
-/** \internal
- * Performs A = A * B exploiting the special structure of the matrix A. Splitting A as:
- * A = [A1]
- * [A2]
- * such that A1.rows()==n1, then we assume that at least half of the columns of A1 and A2 are zeros.
- * We can thus pack them prior to the the matrix product. However, this is only worth the effort if the matrix is large
- * enough.
- */
-template<typename MatrixType>
-void BDCSVD<MatrixType>::structured_update(Block<MatrixXr,Dynamic,Dynamic> A, const MatrixXr &B, Index n1)
-{
- Index n = A.rows();
- if(n>100)
- {
- // If the matrices are large enough, let's exploit the sparse structure of A by
- // splitting it in half (wrt n1), and packing the non-zero columns.
- Index n2 = n - n1;
- Map<MatrixXr> A1(m_workspace.data() , n1, n);
- Map<MatrixXr> A2(m_workspace.data()+ n1*n, n2, n);
- Map<MatrixXr> B1(m_workspace.data()+ n*n, n, n);
- Map<MatrixXr> B2(m_workspace.data()+2*n*n, n, n);
- Index k1=0, k2=0;
- for(Index j=0; j<n; ++j)
- {
- if( (A.col(j).head(n1).array()!=Literal(0)).any() )
- {
- A1.col(k1) = A.col(j).head(n1);
- B1.row(k1) = B.row(j);
- ++k1;
- }
- if( (A.col(j).tail(n2).array()!=Literal(0)).any() )
- {
- A2.col(k2) = A.col(j).tail(n2);
- B2.row(k2) = B.row(j);
- ++k2;
- }
- }
-
- A.topRows(n1).noalias() = A1.leftCols(k1) * B1.topRows(k1);
- A.bottomRows(n2).noalias() = A2.leftCols(k2) * B2.topRows(k2);
- }
- else
- {
- Map<MatrixXr,Aligned> tmp(m_workspace.data(),n,n);
- tmp.noalias() = A*B;
- A = tmp;
- }
-}
-
-// The divide algorithm is done "in place", we are always working on subsets of the same matrix. The divide methods takes as argument the
-// place of the submatrix we are currently working on.
-
-//@param firstCol : The Index of the first column of the submatrix of m_computed and for m_naiveU;
-//@param lastCol : The Index of the last column of the submatrix of m_computed and for m_naiveU;
-// lastCol + 1 - firstCol is the size of the submatrix.
-//@param firstRowW : The Index of the first row of the matrix W that we are to change. (see the reference paper section 1 for more information on W)
-//@param firstRowW : Same as firstRowW with the column.
-//@param shift : Each time one takes the left submatrix, one must add 1 to the shift. Why? Because! We actually want the last column of the U submatrix
-// to become the first column (*coeff) and to shift all the other columns to the right. There are more details on the reference paper.
-template<typename MatrixType>
-void BDCSVD<MatrixType>::divide (Index firstCol, Index lastCol, Index firstRowW, Index firstColW, Index shift)
-{
- // requires rows = cols + 1;
- using std::pow;
- using std::sqrt;
- using std::abs;
- const Index n = lastCol - firstCol + 1;
- const Index k = n/2;
- const RealScalar considerZero = (std::numeric_limits<RealScalar>::min)();
- RealScalar alphaK;
- RealScalar betaK;
- RealScalar r0;
- RealScalar lambda, phi, c0, s0;
- VectorType l, f;
- // We use the other algorithm which is more efficient for small
- // matrices.
- if (n < m_algoswap)
- {
- // FIXME this line involves temporaries
- JacobiSVD<MatrixXr> b(m_computed.block(firstCol, firstCol, n + 1, n), ComputeFullU | (m_compV ? ComputeFullV : 0));
- if (m_compU)
- m_naiveU.block(firstCol, firstCol, n + 1, n + 1).real() = b.matrixU();
- else
- {
- m_naiveU.row(0).segment(firstCol, n + 1).real() = b.matrixU().row(0);
- m_naiveU.row(1).segment(firstCol, n + 1).real() = b.matrixU().row(n);
- }
- if (m_compV) m_naiveV.block(firstRowW, firstColW, n, n).real() = b.matrixV();
- m_computed.block(firstCol + shift, firstCol + shift, n + 1, n).setZero();
- m_computed.diagonal().segment(firstCol + shift, n) = b.singularValues().head(n);
- return;
- }
- // We use the divide and conquer algorithm
- alphaK = m_computed(firstCol + k, firstCol + k);
- betaK = m_computed(firstCol + k + 1, firstCol + k);
- // The divide must be done in that order in order to have good results. Divide change the data inside the submatrices
- // and the divide of the right submatrice reads one column of the left submatrice. That's why we need to treat the
- // right submatrix before the left one.
- divide(k + 1 + firstCol, lastCol, k + 1 + firstRowW, k + 1 + firstColW, shift);
- divide(firstCol, k - 1 + firstCol, firstRowW, firstColW + 1, shift + 1);
-
- if (m_compU)
- {
- lambda = m_naiveU(firstCol + k, firstCol + k);
- phi = m_naiveU(firstCol + k + 1, lastCol + 1);
- }
- else
- {
- lambda = m_naiveU(1, firstCol + k);
- phi = m_naiveU(0, lastCol + 1);
- }
- r0 = sqrt((abs(alphaK * lambda) * abs(alphaK * lambda)) + abs(betaK * phi) * abs(betaK * phi));
- if (m_compU)
- {
- l = m_naiveU.row(firstCol + k).segment(firstCol, k);
- f = m_naiveU.row(firstCol + k + 1).segment(firstCol + k + 1, n - k - 1);
- }
- else
- {
- l = m_naiveU.row(1).segment(firstCol, k);
- f = m_naiveU.row(0).segment(firstCol + k + 1, n - k - 1);
- }
- if (m_compV) m_naiveV(firstRowW+k, firstColW) = Literal(1);
- if (r0<considerZero)
- {
- c0 = Literal(1);
- s0 = Literal(0);
- }
- else
- {
- c0 = alphaK * lambda / r0;
- s0 = betaK * phi / r0;
- }
-
-#ifdef EIGEN_BDCSVD_SANITY_CHECKS
- assert(m_naiveU.allFinite());
- assert(m_naiveV.allFinite());
- assert(m_computed.allFinite());
-#endif
-
- if (m_compU)
- {
- MatrixXr q1 (m_naiveU.col(firstCol + k).segment(firstCol, k + 1));
- // we shiftW Q1 to the right
- for (Index i = firstCol + k - 1; i >= firstCol; i--)
- m_naiveU.col(i + 1).segment(firstCol, k + 1) = m_naiveU.col(i).segment(firstCol, k + 1);
- // we shift q1 at the left with a factor c0
- m_naiveU.col(firstCol).segment( firstCol, k + 1) = (q1 * c0);
- // last column = q1 * - s0
- m_naiveU.col(lastCol + 1).segment(firstCol, k + 1) = (q1 * ( - s0));
- // first column = q2 * s0
- m_naiveU.col(firstCol).segment(firstCol + k + 1, n - k) = m_naiveU.col(lastCol + 1).segment(firstCol + k + 1, n - k) * s0;
- // q2 *= c0
- m_naiveU.col(lastCol + 1).segment(firstCol + k + 1, n - k) *= c0;
- }
- else
- {
- RealScalar q1 = m_naiveU(0, firstCol + k);
- // we shift Q1 to the right
- for (Index i = firstCol + k - 1; i >= firstCol; i--)
- m_naiveU(0, i + 1) = m_naiveU(0, i);
- // we shift q1 at the left with a factor c0
- m_naiveU(0, firstCol) = (q1 * c0);
- // last column = q1 * - s0
- m_naiveU(0, lastCol + 1) = (q1 * ( - s0));
- // first column = q2 * s0
- m_naiveU(1, firstCol) = m_naiveU(1, lastCol + 1) *s0;
- // q2 *= c0
- m_naiveU(1, lastCol + 1) *= c0;
- m_naiveU.row(1).segment(firstCol + 1, k).setZero();
- m_naiveU.row(0).segment(firstCol + k + 1, n - k - 1).setZero();
- }
-
-#ifdef EIGEN_BDCSVD_SANITY_CHECKS
- assert(m_naiveU.allFinite());
- assert(m_naiveV.allFinite());
- assert(m_computed.allFinite());
-#endif
-
- m_computed(firstCol + shift, firstCol + shift) = r0;
- m_computed.col(firstCol + shift).segment(firstCol + shift + 1, k) = alphaK * l.transpose().real();
- m_computed.col(firstCol + shift).segment(firstCol + shift + k + 1, n - k - 1) = betaK * f.transpose().real();
-
-#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
- ArrayXr tmp1 = (m_computed.block(firstCol+shift, firstCol+shift, n, n)).jacobiSvd().singularValues();
-#endif
- // Second part: try to deflate singular values in combined matrix
- deflation(firstCol, lastCol, k, firstRowW, firstColW, shift);
-#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
- ArrayXr tmp2 = (m_computed.block(firstCol+shift, firstCol+shift, n, n)).jacobiSvd().singularValues();
- std::cout << "\n\nj1 = " << tmp1.transpose().format(bdcsvdfmt) << "\n";
- std::cout << "j2 = " << tmp2.transpose().format(bdcsvdfmt) << "\n\n";
- std::cout << "err: " << ((tmp1-tmp2).abs()>1e-12*tmp2.abs()).transpose() << "\n";
- static int count = 0;
- std::cout << "# " << ++count << "\n\n";
- assert((tmp1-tmp2).matrix().norm() < 1e-14*tmp2.matrix().norm());
-// assert(count<681);
-// assert(((tmp1-tmp2).abs()<1e-13*tmp2.abs()).all());
-#endif
-
- // Third part: compute SVD of combined matrix
- MatrixXr UofSVD, VofSVD;
- VectorType singVals;
- computeSVDofM(firstCol + shift, n, UofSVD, singVals, VofSVD);
-
-#ifdef EIGEN_BDCSVD_SANITY_CHECKS
- assert(UofSVD.allFinite());
- assert(VofSVD.allFinite());
-#endif
-
- if (m_compU)
- structured_update(m_naiveU.block(firstCol, firstCol, n + 1, n + 1), UofSVD, (n+2)/2);
- else
- {
- Map<Matrix<RealScalar,2,Dynamic>,Aligned> tmp(m_workspace.data(),2,n+1);
- tmp.noalias() = m_naiveU.middleCols(firstCol, n+1) * UofSVD;
- m_naiveU.middleCols(firstCol, n + 1) = tmp;
- }
-
- if (m_compV) structured_update(m_naiveV.block(firstRowW, firstColW, n, n), VofSVD, (n+1)/2);
-
-#ifdef EIGEN_BDCSVD_SANITY_CHECKS
- assert(m_naiveU.allFinite());
- assert(m_naiveV.allFinite());
- assert(m_computed.allFinite());
-#endif
-
- m_computed.block(firstCol + shift, firstCol + shift, n, n).setZero();
- m_computed.block(firstCol + shift, firstCol + shift, n, n).diagonal() = singVals;
-}// end divide
-
-// Compute SVD of m_computed.block(firstCol, firstCol, n + 1, n); this block only has non-zeros in
-// the first column and on the diagonal and has undergone deflation, so diagonal is in increasing
-// order except for possibly the (0,0) entry. The computed SVD is stored U, singVals and V, except
-// that if m_compV is false, then V is not computed. Singular values are sorted in decreasing order.
-//
-// TODO Opportunities for optimization: better root finding algo, better stopping criterion, better
-// handling of round-off errors, be consistent in ordering
-// For instance, to solve the secular equation using FMM, see http://www.stat.uchicago.edu/~lekheng/courses/302/classics/greengard-rokhlin.pdf
-template <typename MatrixType>
-void BDCSVD<MatrixType>::computeSVDofM(Index firstCol, Index n, MatrixXr& U, VectorType& singVals, MatrixXr& V)
-{
- const RealScalar considerZero = (std::numeric_limits<RealScalar>::min)();
- using std::abs;
- ArrayRef col0 = m_computed.col(firstCol).segment(firstCol, n);
- m_workspace.head(n) = m_computed.block(firstCol, firstCol, n, n).diagonal();
- ArrayRef diag = m_workspace.head(n);
- diag(0) = Literal(0);
-
- // Allocate space for singular values and vectors
- singVals.resize(n);
- U.resize(n+1, n+1);
- if (m_compV) V.resize(n, n);
-
-#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
- if (col0.hasNaN() || diag.hasNaN())
- std::cout << "\n\nHAS NAN\n\n";
-#endif
-
- // Many singular values might have been deflated, the zero ones have been moved to the end,
- // but others are interleaved and we must ignore them at this stage.
- // To this end, let's compute a permutation skipping them:
- Index actual_n = n;
- while(actual_n>1 && diag(actual_n-1)==Literal(0)) --actual_n;
- Index m = 0; // size of the deflated problem
- for(Index k=0;k<actual_n;++k)
- if(abs(col0(k))>considerZero)
- m_workspaceI(m++) = k;
- Map<ArrayXi> perm(m_workspaceI.data(),m);
-
- Map<ArrayXr> shifts(m_workspace.data()+1*n, n);
- Map<ArrayXr> mus(m_workspace.data()+2*n, n);
- Map<ArrayXr> zhat(m_workspace.data()+3*n, n);
-
-#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
- std::cout << "computeSVDofM using:\n";
- std::cout << " z: " << col0.transpose() << "\n";
- std::cout << " d: " << diag.transpose() << "\n";
-#endif
-
- // Compute singVals, shifts, and mus
- computeSingVals(col0, diag, perm, singVals, shifts, mus);
-
-#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
- std::cout << " j: " << (m_computed.block(firstCol, firstCol, n, n)).jacobiSvd().singularValues().transpose().reverse() << "\n\n";
- std::cout << " sing-val: " << singVals.transpose() << "\n";
- std::cout << " mu: " << mus.transpose() << "\n";
- std::cout << " shift: " << shifts.transpose() << "\n";
-
- {
- Index actual_n = n;
- while(actual_n>1 && abs(col0(actual_n-1))<considerZero) --actual_n;
- std::cout << "\n\n mus: " << mus.head(actual_n).transpose() << "\n\n";
- std::cout << " check1 (expect0) : " << ((singVals.array()-(shifts+mus)) / singVals.array()).head(actual_n).transpose() << "\n\n";
- std::cout << " check2 (>0) : " << ((singVals.array()-diag) / singVals.array()).head(actual_n).transpose() << "\n\n";
- std::cout << " check3 (>0) : " << ((diag.segment(1,actual_n-1)-singVals.head(actual_n-1).array()) / singVals.head(actual_n-1).array()).transpose() << "\n\n\n";
- std::cout << " check4 (>0) : " << ((singVals.segment(1,actual_n-1)-singVals.head(actual_n-1))).transpose() << "\n\n\n";
- }
-#endif
-
-#ifdef EIGEN_BDCSVD_SANITY_CHECKS
- assert(singVals.allFinite());
- assert(mus.allFinite());
- assert(shifts.allFinite());
-#endif
-
- // Compute zhat
- perturbCol0(col0, diag, perm, singVals, shifts, mus, zhat);
-#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
- std::cout << " zhat: " << zhat.transpose() << "\n";
-#endif
-
-#ifdef EIGEN_BDCSVD_SANITY_CHECKS
- assert(zhat.allFinite());
-#endif
-
- computeSingVecs(zhat, diag, perm, singVals, shifts, mus, U, V);
-
-#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
- std::cout << "U^T U: " << (U.transpose() * U - MatrixXr(MatrixXr::Identity(U.cols(),U.cols()))).norm() << "\n";
- std::cout << "V^T V: " << (V.transpose() * V - MatrixXr(MatrixXr::Identity(V.cols(),V.cols()))).norm() << "\n";
-#endif
-
-#ifdef EIGEN_BDCSVD_SANITY_CHECKS
- assert(U.allFinite());
- assert(V.allFinite());
- assert((U.transpose() * U - MatrixXr(MatrixXr::Identity(U.cols(),U.cols()))).norm() < 1e-14 * n);
- assert((V.transpose() * V - MatrixXr(MatrixXr::Identity(V.cols(),V.cols()))).norm() < 1e-14 * n);
- assert(m_naiveU.allFinite());
- assert(m_naiveV.allFinite());
- assert(m_computed.allFinite());
-#endif
-
- // Because of deflation, the singular values might not be completely sorted.
- // Fortunately, reordering them is a O(n) problem
- for(Index i=0; i<actual_n-1; ++i)
- {
- if(singVals(i)>singVals(i+1))
- {
- using std::swap;
- swap(singVals(i),singVals(i+1));
- U.col(i).swap(U.col(i+1));
- if(m_compV) V.col(i).swap(V.col(i+1));
- }
- }
-
- // Reverse order so that singular values in increased order
- // Because of deflation, the zeros singular-values are already at the end
- singVals.head(actual_n).reverseInPlace();
- U.leftCols(actual_n).rowwise().reverseInPlace();
- if (m_compV) V.leftCols(actual_n).rowwise().reverseInPlace();
-
-#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
- JacobiSVD<MatrixXr> jsvd(m_computed.block(firstCol, firstCol, n, n) );
- std::cout << " * j: " << jsvd.singularValues().transpose() << "\n\n";
- std::cout << " * sing-val: " << singVals.transpose() << "\n";
-// std::cout << " * err: " << ((jsvd.singularValues()-singVals)>1e-13*singVals.norm()).transpose() << "\n";
-#endif
-}
-
-template <typename MatrixType>
-typename BDCSVD<MatrixType>::RealScalar BDCSVD<MatrixType>::secularEq(RealScalar mu, const ArrayRef& col0, const ArrayRef& diag, const IndicesRef &perm, const ArrayRef& diagShifted, RealScalar shift)
-{
- Index m = perm.size();
- RealScalar res = Literal(1);
- for(Index i=0; i<m; ++i)
- {
- Index j = perm(i);
- // The following expression could be rewritten to involve only a single division,
- // but this would make the expression more sensitive to overflow.
- res += (col0(j) / (diagShifted(j) - mu)) * (col0(j) / (diag(j) + shift + mu));
- }
- return res;
-
-}
-
-template <typename MatrixType>
-void BDCSVD<MatrixType>::computeSingVals(const ArrayRef& col0, const ArrayRef& diag, const IndicesRef &perm,
- VectorType& singVals, ArrayRef shifts, ArrayRef mus)
-{
- using std::abs;
- using std::swap;
- using std::sqrt;
-
- Index n = col0.size();
- Index actual_n = n;
- // Note that here actual_n is computed based on col0(i)==0 instead of diag(i)==0 as above
- // because 1) we have diag(i)==0 => col0(i)==0 and 2) if col0(i)==0, then diag(i) is already a singular value.
- while(actual_n>1 && col0(actual_n-1)==Literal(0)) --actual_n;
-
- for (Index k = 0; k < n; ++k)
- {
- if (col0(k) == Literal(0) || actual_n==1)
- {
- // if col0(k) == 0, then entry is deflated, so singular value is on diagonal
- // if actual_n==1, then the deflated problem is already diagonalized
- singVals(k) = k==0 ? col0(0) : diag(k);
- mus(k) = Literal(0);
- shifts(k) = k==0 ? col0(0) : diag(k);
- continue;
- }
-
- // otherwise, use secular equation to find singular value
- RealScalar left = diag(k);
- RealScalar right; // was: = (k != actual_n-1) ? diag(k+1) : (diag(actual_n-1) + col0.matrix().norm());
- if(k==actual_n-1)
- right = (diag(actual_n-1) + col0.matrix().norm());
- else
- {
- // Skip deflated singular values,
- // recall that at this stage we assume that z[j]!=0 and all entries for which z[j]==0 have been put aside.
- // This should be equivalent to using perm[]
- Index l = k+1;
- while(col0(l)==Literal(0)) { ++l; eigen_internal_assert(l<actual_n); }
- right = diag(l);
- }
-
- // first decide whether it's closer to the left end or the right end
- RealScalar mid = left + (right-left) / Literal(2);
- RealScalar fMid = secularEq(mid, col0, diag, perm, diag, Literal(0));
-#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
- std::cout << right-left << "\n";
- std::cout << "fMid = " << fMid << " " << secularEq(mid-left, col0, diag, perm, diag-left, left) << " " << secularEq(mid-right, col0, diag, perm, diag-right, right) << "\n";
- std::cout << " = " << secularEq(0.1*(left+right), col0, diag, perm, diag, 0)
- << " " << secularEq(0.2*(left+right), col0, diag, perm, diag, 0)
- << " " << secularEq(0.3*(left+right), col0, diag, perm, diag, 0)
- << " " << secularEq(0.4*(left+right), col0, diag, perm, diag, 0)
- << " " << secularEq(0.49*(left+right), col0, diag, perm, diag, 0)
- << " " << secularEq(0.5*(left+right), col0, diag, perm, diag, 0)
- << " " << secularEq(0.51*(left+right), col0, diag, perm, diag, 0)
- << " " << secularEq(0.6*(left+right), col0, diag, perm, diag, 0)
- << " " << secularEq(0.7*(left+right), col0, diag, perm, diag, 0)
- << " " << secularEq(0.8*(left+right), col0, diag, perm, diag, 0)
- << " " << secularEq(0.9*(left+right), col0, diag, perm, diag, 0) << "\n";
-#endif
- RealScalar shift = (k == actual_n-1 || fMid > Literal(0)) ? left : right;
-
- // measure everything relative to shift
- Map<ArrayXr> diagShifted(m_workspace.data()+4*n, n);
- diagShifted = diag - shift;
-
- // initial guess
- RealScalar muPrev, muCur;
- if (shift == left)
- {
- muPrev = (right - left) * RealScalar(0.1);
- if (k == actual_n-1) muCur = right - left;
- else muCur = (right - left) * RealScalar(0.5);
- }
- else
- {
- muPrev = -(right - left) * RealScalar(0.1);
- muCur = -(right - left) * RealScalar(0.5);
- }
-
- RealScalar fPrev = secularEq(muPrev, col0, diag, perm, diagShifted, shift);
- RealScalar fCur = secularEq(muCur, col0, diag, perm, diagShifted, shift);
- if (abs(fPrev) < abs(fCur))
- {
- swap(fPrev, fCur);
- swap(muPrev, muCur);
- }
-
- // rational interpolation: fit a function of the form a / mu + b through the two previous
- // iterates and use its zero to compute the next iterate
- bool useBisection = fPrev*fCur>Literal(0);
- while (fCur!=Literal(0) && abs(muCur - muPrev) > Literal(8) * NumTraits<RealScalar>::epsilon() * numext::maxi<RealScalar>(abs(muCur), abs(muPrev)) && abs(fCur - fPrev)>NumTraits<RealScalar>::epsilon() && !useBisection)
- {
- ++m_numIters;
-
- // Find a and b such that the function f(mu) = a / mu + b matches the current and previous samples.
- RealScalar a = (fCur - fPrev) / (Literal(1)/muCur - Literal(1)/muPrev);
- RealScalar b = fCur - a / muCur;
- // And find mu such that f(mu)==0:
- RealScalar muZero = -a/b;
- RealScalar fZero = secularEq(muZero, col0, diag, perm, diagShifted, shift);
-
- muPrev = muCur;
- fPrev = fCur;
- muCur = muZero;
- fCur = fZero;
-
-
- if (shift == left && (muCur < Literal(0) || muCur > right - left)) useBisection = true;
- if (shift == right && (muCur < -(right - left) || muCur > Literal(0))) useBisection = true;
- if (abs(fCur)>abs(fPrev)) useBisection = true;
- }
-
- // fall back on bisection method if rational interpolation did not work
- if (useBisection)
- {
-#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
- std::cout << "useBisection for k = " << k << ", actual_n = " << actual_n << "\n";
-#endif
- RealScalar leftShifted, rightShifted;
- if (shift == left)
- {
- // to avoid overflow, we must have mu > max(real_min, |z(k)|/sqrt(real_max)),
- // the factor 2 is to be more conservative
- leftShifted = numext::maxi<RealScalar>( (std::numeric_limits<RealScalar>::min)(), Literal(2) * abs(col0(k)) / sqrt((std::numeric_limits<RealScalar>::max)()) );
-
- // check that we did it right:
- eigen_internal_assert( (numext::isfinite)( (col0(k)/leftShifted)*(col0(k)/(diag(k)+shift+leftShifted)) ) );
- // I don't understand why the case k==0 would be special there:
- // if (k == 0) rightShifted = right - left; else
- rightShifted = (k==actual_n-1) ? right : ((right - left) * RealScalar(0.51)); // theoretically we can take 0.5, but let's be safe
- }
- else
- {
- leftShifted = -(right - left) * RealScalar(0.51);
- if(k+1<n)
- rightShifted = -numext::maxi<RealScalar>( (std::numeric_limits<RealScalar>::min)(), abs(col0(k+1)) / sqrt((std::numeric_limits<RealScalar>::max)()) );
- else
- rightShifted = -(std::numeric_limits<RealScalar>::min)();
- }
-
- RealScalar fLeft = secularEq(leftShifted, col0, diag, perm, diagShifted, shift);
-
-#if defined EIGEN_INTERNAL_DEBUGGING || defined EIGEN_BDCSVD_DEBUG_VERBOSE
- RealScalar fRight = secularEq(rightShifted, col0, diag, perm, diagShifted, shift);
-#endif
-
-#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
- if(!(fLeft * fRight<0))
- {
- std::cout << "fLeft: " << leftShifted << " - " << diagShifted.head(10).transpose() << "\n ; " << bool(left==shift) << " " << (left-shift) << "\n";
- std::cout << k << " : " << fLeft << " * " << fRight << " == " << fLeft * fRight << " ; " << left << " - " << right << " -> " << leftShifted << " " << rightShifted << " shift=" << shift << "\n";
- }
-#endif
- eigen_internal_assert(fLeft * fRight < Literal(0));
-
- while (rightShifted - leftShifted > Literal(2) * NumTraits<RealScalar>::epsilon() * numext::maxi<RealScalar>(abs(leftShifted), abs(rightShifted)))
- {
- RealScalar midShifted = (leftShifted + rightShifted) / Literal(2);
- fMid = secularEq(midShifted, col0, diag, perm, diagShifted, shift);
- if (fLeft * fMid < Literal(0))
- {
- rightShifted = midShifted;
- }
- else
- {
- leftShifted = midShifted;
- fLeft = fMid;
- }
- }
-
- muCur = (leftShifted + rightShifted) / Literal(2);
- }
-
- singVals[k] = shift + muCur;
- shifts[k] = shift;
- mus[k] = muCur;
-
- // perturb singular value slightly if it equals diagonal entry to avoid division by zero later
- // (deflation is supposed to avoid this from happening)
- // - this does no seem to be necessary anymore -
-// if (singVals[k] == left) singVals[k] *= 1 + NumTraits<RealScalar>::epsilon();
-// if (singVals[k] == right) singVals[k] *= 1 - NumTraits<RealScalar>::epsilon();
- }
-}
-
-
-// zhat is perturbation of col0 for which singular vectors can be computed stably (see Section 3.1)
-template <typename MatrixType>
-void BDCSVD<MatrixType>::perturbCol0
- (const ArrayRef& col0, const ArrayRef& diag, const IndicesRef &perm, const VectorType& singVals,
- const ArrayRef& shifts, const ArrayRef& mus, ArrayRef zhat)
-{
- using std::sqrt;
- Index n = col0.size();
- Index m = perm.size();
- if(m==0)
- {
- zhat.setZero();
- return;
- }
- Index last = perm(m-1);
- // The offset permits to skip deflated entries while computing zhat
- for (Index k = 0; k < n; ++k)
- {
- if (col0(k) == Literal(0)) // deflated
- zhat(k) = Literal(0);
- else
- {
- // see equation (3.6)
- RealScalar dk = diag(k);
- RealScalar prod = (singVals(last) + dk) * (mus(last) + (shifts(last) - dk));
-
- for(Index l = 0; l<m; ++l)
- {
- Index i = perm(l);
- if(i!=k)
- {
- Index j = i<k ? i : perm(l-1);
- prod *= ((singVals(j)+dk) / ((diag(i)+dk))) * ((mus(j)+(shifts(j)-dk)) / ((diag(i)-dk)));
-#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
- if(i!=k && std::abs(((singVals(j)+dk)*(mus(j)+(shifts(j)-dk)))/((diag(i)+dk)*(diag(i)-dk)) - 1) > 0.9 )
- std::cout << " " << ((singVals(j)+dk)*(mus(j)+(shifts(j)-dk)))/((diag(i)+dk)*(diag(i)-dk)) << " == (" << (singVals(j)+dk) << " * " << (mus(j)+(shifts(j)-dk))
- << ") / (" << (diag(i)+dk) << " * " << (diag(i)-dk) << ")\n";
-#endif
- }
- }
-#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
- std::cout << "zhat(" << k << ") = sqrt( " << prod << ") ; " << (singVals(last) + dk) << " * " << mus(last) + shifts(last) << " - " << dk << "\n";
-#endif
- RealScalar tmp = sqrt(prod);
- zhat(k) = col0(k) > Literal(0) ? tmp : -tmp;
- }
- }
-}
-
-// compute singular vectors
-template <typename MatrixType>
-void BDCSVD<MatrixType>::computeSingVecs
- (const ArrayRef& zhat, const ArrayRef& diag, const IndicesRef &perm, const VectorType& singVals,
- const ArrayRef& shifts, const ArrayRef& mus, MatrixXr& U, MatrixXr& V)
-{
- Index n = zhat.size();
- Index m = perm.size();
-
- for (Index k = 0; k < n; ++k)
- {
- if (zhat(k) == Literal(0))
- {
- U.col(k) = VectorType::Unit(n+1, k);
- if (m_compV) V.col(k) = VectorType::Unit(n, k);
- }
- else
- {
- U.col(k).setZero();
- for(Index l=0;l<m;++l)
- {
- Index i = perm(l);
- U(i,k) = zhat(i)/(((diag(i) - shifts(k)) - mus(k)) )/( (diag(i) + singVals[k]));
- }
- U(n,k) = Literal(0);
- U.col(k).normalize();
-
- if (m_compV)
- {
- V.col(k).setZero();
- for(Index l=1;l<m;++l)
- {
- Index i = perm(l);
- V(i,k) = diag(i) * zhat(i) / (((diag(i) - shifts(k)) - mus(k)) )/( (diag(i) + singVals[k]));
- }
- V(0,k) = Literal(-1);
- V.col(k).normalize();
- }
- }
- }
- U.col(n) = VectorType::Unit(n+1, n);
-}
-
-
-// page 12_13
-// i >= 1, di almost null and zi non null.
-// We use a rotation to zero out zi applied to the left of M
-template <typename MatrixType>
-void BDCSVD<MatrixType>::deflation43(Index firstCol, Index shift, Index i, Index size)
-{
- using std::abs;
- using std::sqrt;
- using std::pow;
- Index start = firstCol + shift;
- RealScalar c = m_computed(start, start);
- RealScalar s = m_computed(start+i, start);
- RealScalar r = numext::hypot(c,s);
- if (r == Literal(0))
- {
- m_computed(start+i, start+i) = Literal(0);
- return;
- }
- m_computed(start,start) = r;
- m_computed(start+i, start) = Literal(0);
- m_computed(start+i, start+i) = Literal(0);
-
- JacobiRotation<RealScalar> J(c/r,-s/r);
- if (m_compU) m_naiveU.middleRows(firstCol, size+1).applyOnTheRight(firstCol, firstCol+i, J);
- else m_naiveU.applyOnTheRight(firstCol, firstCol+i, J);
-}// end deflation 43
-
-
-// page 13
-// i,j >= 1, i!=j and |di - dj| < epsilon * norm2(M)
-// We apply two rotations to have zj = 0;
-// TODO deflation44 is still broken and not properly tested
-template <typename MatrixType>
-void BDCSVD<MatrixType>::deflation44(Index firstColu , Index firstColm, Index firstRowW, Index firstColW, Index i, Index j, Index size)
-{
- using std::abs;
- using std::sqrt;
- using std::conj;
- using std::pow;
- RealScalar c = m_computed(firstColm+i, firstColm);
- RealScalar s = m_computed(firstColm+j, firstColm);
- RealScalar r = sqrt(numext::abs2(c) + numext::abs2(s));
-#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
- std::cout << "deflation 4.4: " << i << "," << j << " -> " << c << " " << s << " " << r << " ; "
- << m_computed(firstColm + i-1, firstColm) << " "
- << m_computed(firstColm + i, firstColm) << " "
- << m_computed(firstColm + i+1, firstColm) << " "
- << m_computed(firstColm + i+2, firstColm) << "\n";
- std::cout << m_computed(firstColm + i-1, firstColm + i-1) << " "
- << m_computed(firstColm + i, firstColm+i) << " "
- << m_computed(firstColm + i+1, firstColm+i+1) << " "
- << m_computed(firstColm + i+2, firstColm+i+2) << "\n";
-#endif
- if (r==Literal(0))
- {
- m_computed(firstColm + i, firstColm + i) = m_computed(firstColm + j, firstColm + j);
- return;
- }
- c/=r;
- s/=r;
- m_computed(firstColm + i, firstColm) = r;
- m_computed(firstColm + j, firstColm + j) = m_computed(firstColm + i, firstColm + i);
- m_computed(firstColm + j, firstColm) = Literal(0);
-
- JacobiRotation<RealScalar> J(c,-s);
- if (m_compU) m_naiveU.middleRows(firstColu, size+1).applyOnTheRight(firstColu + i, firstColu + j, J);
- else m_naiveU.applyOnTheRight(firstColu+i, firstColu+j, J);
- if (m_compV) m_naiveV.middleRows(firstRowW, size).applyOnTheRight(firstColW + i, firstColW + j, J);
-}// end deflation 44
-
-
-// acts on block from (firstCol+shift, firstCol+shift) to (lastCol+shift, lastCol+shift) [inclusive]
-template <typename MatrixType>
-void BDCSVD<MatrixType>::deflation(Index firstCol, Index lastCol, Index k, Index firstRowW, Index firstColW, Index shift)
-{
- using std::sqrt;
- using std::abs;
- const Index length = lastCol + 1 - firstCol;
-
- Block<MatrixXr,Dynamic,1> col0(m_computed, firstCol+shift, firstCol+shift, length, 1);
- Diagonal<MatrixXr> fulldiag(m_computed);
- VectorBlock<Diagonal<MatrixXr>,Dynamic> diag(fulldiag, firstCol+shift, length);
-
- const RealScalar considerZero = (std::numeric_limits<RealScalar>::min)();
- RealScalar maxDiag = diag.tail((std::max)(Index(1),length-1)).cwiseAbs().maxCoeff();
- RealScalar epsilon_strict = numext::maxi<RealScalar>(considerZero,NumTraits<RealScalar>::epsilon() * maxDiag);
- RealScalar epsilon_coarse = Literal(8) * NumTraits<RealScalar>::epsilon() * numext::maxi<RealScalar>(col0.cwiseAbs().maxCoeff(), maxDiag);
-
-#ifdef EIGEN_BDCSVD_SANITY_CHECKS
- assert(m_naiveU.allFinite());
- assert(m_naiveV.allFinite());
- assert(m_computed.allFinite());
-#endif
-
-#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
- std::cout << "\ndeflate:" << diag.head(k+1).transpose() << " | " << diag.segment(k+1,length-k-1).transpose() << "\n";
-#endif
-
- //condition 4.1
- if (diag(0) < epsilon_coarse)
- {
-#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
- std::cout << "deflation 4.1, because " << diag(0) << " < " << epsilon_coarse << "\n";
-#endif
- diag(0) = epsilon_coarse;
- }
-
- //condition 4.2
- for (Index i=1;i<length;++i)
- if (abs(col0(i)) < epsilon_strict)
- {
-#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
- std::cout << "deflation 4.2, set z(" << i << ") to zero because " << abs(col0(i)) << " < " << epsilon_strict << " (diag(" << i << ")=" << diag(i) << ")\n";
-#endif
- col0(i) = Literal(0);
- }
-
- //condition 4.3
- for (Index i=1;i<length; i++)
- if (diag(i) < epsilon_coarse)
- {
-#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
- std::cout << "deflation 4.3, cancel z(" << i << ")=" << col0(i) << " because diag(" << i << ")=" << diag(i) << " < " << epsilon_coarse << "\n";
-#endif
- deflation43(firstCol, shift, i, length);
- }
-
-#ifdef EIGEN_BDCSVD_SANITY_CHECKS
- assert(m_naiveU.allFinite());
- assert(m_naiveV.allFinite());
- assert(m_computed.allFinite());
-#endif
-#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
- std::cout << "to be sorted: " << diag.transpose() << "\n\n";
-#endif
- {
- // Check for total deflation
- // If we have a total deflation, then we have to consider col0(0)==diag(0) as a singular value during sorting
- bool total_deflation = (col0.tail(length-1).array()<considerZero).all();
-
- // Sort the diagonal entries, since diag(1:k-1) and diag(k:length) are already sorted, let's do a sorted merge.
- // First, compute the respective permutation.
- Index *permutation = m_workspaceI.data();
- {
- permutation[0] = 0;
- Index p = 1;
-
- // Move deflated diagonal entries at the end.
- for(Index i=1; i<length; ++i)
- if(abs(diag(i))<considerZero)
- permutation[p++] = i;
-
- Index i=1, j=k+1;
- for( ; p < length; ++p)
- {
- if (i > k) permutation[p] = j++;
- else if (j >= length) permutation[p] = i++;
- else if (diag(i) < diag(j)) permutation[p] = j++;
- else permutation[p] = i++;
- }
- }
-
- // If we have a total deflation, then we have to insert diag(0) at the right place
- if(total_deflation)
- {
- for(Index i=1; i<length; ++i)
- {
- Index pi = permutation[i];
- if(abs(diag(pi))<considerZero || diag(0)<diag(pi))
- permutation[i-1] = permutation[i];
- else
- {
- permutation[i-1] = 0;
- break;
- }
- }
- }
-
- // Current index of each col, and current column of each index
- Index *realInd = m_workspaceI.data()+length;
- Index *realCol = m_workspaceI.data()+2*length;
-
- for(int pos = 0; pos< length; pos++)
- {
- realCol[pos] = pos;
- realInd[pos] = pos;
- }
-
- for(Index i = total_deflation?0:1; i < length; i++)
- {
- const Index pi = permutation[length - (total_deflation ? i+1 : i)];
- const Index J = realCol[pi];
-
- using std::swap;
- // swap diagonal and first column entries:
- swap(diag(i), diag(J));
- if(i!=0 && J!=0) swap(col0(i), col0(J));
-
- // change columns
- if (m_compU) m_naiveU.col(firstCol+i).segment(firstCol, length + 1).swap(m_naiveU.col(firstCol+J).segment(firstCol, length + 1));
- else m_naiveU.col(firstCol+i).segment(0, 2) .swap(m_naiveU.col(firstCol+J).segment(0, 2));
- if (m_compV) m_naiveV.col(firstColW + i).segment(firstRowW, length).swap(m_naiveV.col(firstColW + J).segment(firstRowW, length));
-
- //update real pos
- const Index realI = realInd[i];
- realCol[realI] = J;
- realCol[pi] = i;
- realInd[J] = realI;
- realInd[i] = pi;
- }
- }
-#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
- std::cout << "sorted: " << diag.transpose().format(bdcsvdfmt) << "\n";
- std::cout << " : " << col0.transpose() << "\n\n";
-#endif
-
- //condition 4.4
- {
- Index i = length-1;
- while(i>0 && (abs(diag(i))<considerZero || abs(col0(i))<considerZero)) --i;
- for(; i>1;--i)
- if( (diag(i) - diag(i-1)) < NumTraits<RealScalar>::epsilon()*maxDiag )
- {
-#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
- std::cout << "deflation 4.4 with i = " << i << " because " << (diag(i) - diag(i-1)) << " < " << NumTraits<RealScalar>::epsilon()*diag(i) << "\n";
-#endif
- eigen_internal_assert(abs(diag(i) - diag(i-1))<epsilon_coarse && " diagonal entries are not properly sorted");
- deflation44(firstCol, firstCol + shift, firstRowW, firstColW, i-1, i, length);
- }
- }
-
-#ifdef EIGEN_BDCSVD_SANITY_CHECKS
- for(Index j=2;j<length;++j)
- assert(diag(j-1)<=diag(j) || abs(diag(j))<considerZero);
-#endif
-
-#ifdef EIGEN_BDCSVD_SANITY_CHECKS
- assert(m_naiveU.allFinite());
- assert(m_naiveV.allFinite());
- assert(m_computed.allFinite());
-#endif
-}//end deflation
-
-#ifndef __CUDACC__
-/** \svd_module
- *
- * \return the singular value decomposition of \c *this computed by Divide & Conquer algorithm
- *
- * \sa class BDCSVD
- */
-template<typename Derived>
-BDCSVD<typename MatrixBase<Derived>::PlainObject>
-MatrixBase<Derived>::bdcSvd(unsigned int computationOptions) const
-{
- return BDCSVD<PlainObject>(*this, computationOptions);
-}
-#endif
-
-} // end namespace Eigen
-
-#endif
diff --git a/eigen/Eigen/src/SVD/JacobiSVD.h b/eigen/Eigen/src/SVD/JacobiSVD.h
deleted file mode 100644
index 43488b1..0000000
--- a/eigen/Eigen/src/SVD/JacobiSVD.h
+++ /dev/null
@@ -1,804 +0,0 @@
-// This file is part of Eigen, a lightweight C++ template library
-// for linear algebra.
-//
-// Copyright (C) 2009-2010 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
-// with this file, You can obtain one at http://mozilla.org/MPL/2.0/.
-
-#ifndef EIGEN_JACOBISVD_H
-#define EIGEN_JACOBISVD_H
-
-namespace Eigen {
-
-namespace internal {
-// forward declaration (needed by ICC)
-// the empty body is required by MSVC
-template<typename MatrixType, int QRPreconditioner,
- bool IsComplex = NumTraits<typename MatrixType::Scalar>::IsComplex>
-struct svd_precondition_2x2_block_to_be_real {};
-
-/*** QR preconditioners (R-SVD)
- ***
- *** Their role is to reduce the problem of computing the SVD to the case of a square matrix.
- *** This approach, known as R-SVD, is an optimization for rectangular-enough matrices, and is a requirement for
- *** JacobiSVD which by itself is only able to work on square matrices.
- ***/
-
-enum { PreconditionIfMoreColsThanRows, PreconditionIfMoreRowsThanCols };
-
-template<typename MatrixType, int QRPreconditioner, int Case>
-struct qr_preconditioner_should_do_anything
-{
- enum { a = MatrixType::RowsAtCompileTime != Dynamic &&
- MatrixType::ColsAtCompileTime != Dynamic &&
- MatrixType::ColsAtCompileTime <= MatrixType::RowsAtCompileTime,
- b = MatrixType::RowsAtCompileTime != Dynamic &&
- MatrixType::ColsAtCompileTime != Dynamic &&
- MatrixType::RowsAtCompileTime <= MatrixType::ColsAtCompileTime,
- ret = !( (QRPreconditioner == NoQRPreconditioner) ||
- (Case == PreconditionIfMoreColsThanRows && bool(a)) ||
- (Case == PreconditionIfMoreRowsThanCols && bool(b)) )
- };
-};
-
-template<typename MatrixType, int QRPreconditioner, int Case,
- bool DoAnything = qr_preconditioner_should_do_anything<MatrixType, QRPreconditioner, Case>::ret
-> struct qr_preconditioner_impl {};
-
-template<typename MatrixType, int QRPreconditioner, int Case>
-class qr_preconditioner_impl<MatrixType, QRPreconditioner, Case, false>
-{
-public:
- void allocate(const JacobiSVD<MatrixType, QRPreconditioner>&) {}
- bool run(JacobiSVD<MatrixType, QRPreconditioner>&, const MatrixType&)
- {
- return false;
- }
-};
-
-/*** preconditioner using FullPivHouseholderQR ***/
-
-template<typename MatrixType>
-class qr_preconditioner_impl<MatrixType, FullPivHouseholderQRPreconditioner, PreconditionIfMoreRowsThanCols, true>
-{
-public:
- typedef typename MatrixType::Scalar Scalar;
- enum
- {
- RowsAtCompileTime = MatrixType::RowsAtCompileTime,
- MaxRowsAtCompileTime = MatrixType::MaxRowsAtCompileTime
- };
- typedef Matrix<Scalar, 1, RowsAtCompileTime, RowMajor, 1, MaxRowsAtCompileTime> WorkspaceType;
-
- void allocate(const JacobiSVD<MatrixType, FullPivHouseholderQRPreconditioner>& svd)
- {
- if (svd.rows() != m_qr.rows() || svd.cols() != m_qr.cols())
- {
- m_qr.~QRType();
- ::new (&m_qr) QRType(svd.rows(), svd.cols());
- }
- if (svd.m_computeFullU) m_workspace.resize(svd.rows());
- }
-
- bool run(JacobiSVD<MatrixType, FullPivHouseholderQRPreconditioner>& svd, const MatrixType& matrix)
- {
- if(matrix.rows() > matrix.cols())
- {
- m_qr.compute(matrix);
- svd.m_workMatrix = m_qr.matrixQR().block(0,0,matrix.cols(),matrix.cols()).template triangularView<Upper>();
- if(svd.m_computeFullU) m_qr.matrixQ().evalTo(svd.m_matrixU, m_workspace);
- if(svd.computeV()) svd.m_matrixV = m_qr.colsPermutation();
- return true;
- }
- return false;
- }
-private:
- typedef FullPivHouseholderQR<MatrixType> QRType;
- QRType m_qr;
- WorkspaceType m_workspace;
-};
-
-template<typename MatrixType>
-class qr_preconditioner_impl<MatrixType, FullPivHouseholderQRPreconditioner, PreconditionIfMoreColsThanRows, true>
-{
-public:
- typedef typename MatrixType::Scalar Scalar;
- enum
- {
- RowsAtCompileTime = MatrixType::RowsAtCompileTime,
- ColsAtCompileTime = MatrixType::ColsAtCompileTime,
- MaxRowsAtCompileTime = MatrixType::MaxRowsAtCompileTime,
- MaxColsAtCompileTime = MatrixType::MaxColsAtCompileTime,
- TrOptions = RowsAtCompileTime==1 ? (MatrixType::Options & ~(RowMajor))
- : ColsAtCompileTime==1 ? (MatrixType::Options | RowMajor)
- : MatrixType::Options
- };
- typedef Matrix<Scalar, ColsAtCompileTime, RowsAtCompileTime, TrOptions, MaxColsAtCompileTime, MaxRowsAtCompileTime>
- TransposeTypeWithSameStorageOrder;
-
- void allocate(const JacobiSVD<MatrixType, FullPivHouseholderQRPreconditioner>& svd)
- {
- if (svd.cols() != m_qr.rows() || svd.rows() != m_qr.cols())
- {
- m_qr.~QRType();
- ::new (&m_qr) QRType(svd.cols(), svd.rows());
- }
- m_adjoint.resize(svd.cols(), svd.rows());
- if (svd.m_computeFullV) m_workspace.resize(svd.cols());
- }
-
- bool run(JacobiSVD<MatrixType, FullPivHouseholderQRPreconditioner>& svd, const MatrixType& matrix)
- {
- if(matrix.cols() > matrix.rows())
- {
- m_adjoint = matrix.adjoint();
- m_qr.compute(m_adjoint);
- svd.m_workMatrix = m_qr.matrixQR().block(0,0,matrix.rows(),matrix.rows()).template triangularView<Upper>().adjoint();
- if(svd.m_computeFullV) m_qr.matrixQ().evalTo(svd.m_matrixV, m_workspace);
- if(svd.computeU()) svd.m_matrixU = m_qr.colsPermutation();
- return true;
- }
- else return false;
- }
-private:
- typedef FullPivHouseholderQR<TransposeTypeWithSameStorageOrder> QRType;
- QRType m_qr;
- TransposeTypeWithSameStorageOrder m_adjoint;
- typename internal::plain_row_type<MatrixType>::type m_workspace;
-};
-
-/*** preconditioner using ColPivHouseholderQR ***/
-
-template<typename MatrixType>
-class qr_preconditioner_impl<MatrixType, ColPivHouseholderQRPreconditioner, PreconditionIfMoreRowsThanCols, true>
-{
-public:
- void allocate(const JacobiSVD<MatrixType, ColPivHouseholderQRPreconditioner>& svd)
- {
- if (svd.rows() != m_qr.rows() || svd.cols() != m_qr.cols())
- {
- m_qr.~QRType();
- ::new (&m_qr) QRType(svd.rows(), svd.cols());
- }
- if (svd.m_computeFullU) m_workspace.resize(svd.rows());
- else if (svd.m_computeThinU) m_workspace.resize(svd.cols());
- }
-
- bool run(JacobiSVD<MatrixType, ColPivHouseholderQRPreconditioner>& svd, const MatrixType& matrix)
- {
- if(matrix.rows() > matrix.cols())
- {
- m_qr.compute(matrix);
- svd.m_workMatrix = m_qr.matrixQR().block(0,0,matrix.cols(),matrix.cols()).template triangularView<Upper>();
- if(svd.m_computeFullU) m_qr.householderQ().evalTo(svd.m_matrixU, m_workspace);
- else if(svd.m_computeThinU)
- {
- svd.m_matrixU.setIdentity(matrix.rows(), matrix.cols());
- m_qr.householderQ().applyThisOnTheLeft(svd.m_matrixU, m_workspace);
- }
- if(svd.computeV()) svd.m_matrixV = m_qr.colsPermutation();
- return true;
- }
- return false;
- }
-
-private:
- typedef ColPivHouseholderQR<MatrixType> QRType;
- QRType m_qr;
- typename internal::plain_col_type<MatrixType>::type m_workspace;
-};
-
-template<typename MatrixType>
-class qr_preconditioner_impl<MatrixType, ColPivHouseholderQRPreconditioner, PreconditionIfMoreColsThanRows, true>
-{
-public:
- typedef typename MatrixType::Scalar Scalar;
- enum
- {
- RowsAtCompileTime = MatrixType::RowsAtCompileTime,
- ColsAtCompileTime = MatrixType::ColsAtCompileTime,
- MaxRowsAtCompileTime = MatrixType::MaxRowsAtCompileTime,
- MaxColsAtCompileTime = MatrixType::MaxColsAtCompileTime,
- TrOptions = RowsAtCompileTime==1 ? (MatrixType::Options & ~(RowMajor))
- : ColsAtCompileTime==1 ? (MatrixType::Options | RowMajor)
- : MatrixType::Options
- };
-
- typedef Matrix<Scalar, ColsAtCompileTime, RowsAtCompileTime, TrOptions, MaxColsAtCompileTime, MaxRowsAtCompileTime>
- TransposeTypeWithSameStorageOrder;
-
- void allocate(const JacobiSVD<MatrixType, ColPivHouseholderQRPreconditioner>& svd)
- {
- if (svd.cols() != m_qr.rows() || svd.rows() != m_qr.cols())
- {
- m_qr.~QRType();
- ::new (&m_qr) QRType(svd.cols(), svd.rows());
- }
- if (svd.m_computeFullV) m_workspace.resize(svd.cols());
- else if (svd.m_computeThinV) m_workspace.resize(svd.rows());
- m_adjoint.resize(svd.cols(), svd.rows());
- }
-
- bool run(JacobiSVD<MatrixType, ColPivHouseholderQRPreconditioner>& svd, const MatrixType& matrix)
- {
- if(matrix.cols() > matrix.rows())
- {
- m_adjoint = matrix.adjoint();
- m_qr.compute(m_adjoint);
-
- svd.m_workMatrix = m_qr.matrixQR().block(0,0,matrix.rows(),matrix.rows()).template triangularView<Upper>().adjoint();
- if(svd.m_computeFullV) m_qr.householderQ().evalTo(svd.m_matrixV, m_workspace);
- else if(svd.m_computeThinV)
- {
- svd.m_matrixV.setIdentity(matrix.cols(), matrix.rows());
- m_qr.householderQ().applyThisOnTheLeft(svd.m_matrixV, m_workspace);
- }
- if(svd.computeU()) svd.m_matrixU = m_qr.colsPermutation();
- return true;
- }
- else return false;
- }
-
-private:
- typedef ColPivHouseholderQR<TransposeTypeWithSameStorageOrder> QRType;
- QRType m_qr;
- TransposeTypeWithSameStorageOrder m_adjoint;
- typename internal::plain_row_type<MatrixType>::type m_workspace;
-};
-
-/*** preconditioner using HouseholderQR ***/
-
-template<typename MatrixType>
-class qr_preconditioner_impl<MatrixType, HouseholderQRPreconditioner, PreconditionIfMoreRowsThanCols, true>
-{
-public:
- void allocate(const JacobiSVD<MatrixType, HouseholderQRPreconditioner>& svd)
- {
- if (svd.rows() != m_qr.rows() || svd.cols() != m_qr.cols())
- {
- m_qr.~QRType();
- ::new (&m_qr) QRType(svd.rows(), svd.cols());
- }
- if (svd.m_computeFullU) m_workspace.resize(svd.rows());
- else if (svd.m_computeThinU) m_workspace.resize(svd.cols());
- }
-
- bool run(JacobiSVD<MatrixType, HouseholderQRPreconditioner>& svd, const MatrixType& matrix)
- {
- if(matrix.rows() > matrix.cols())
- {
- m_qr.compute(matrix);
- svd.m_workMatrix = m_qr.matrixQR().block(0,0,matrix.cols(),matrix.cols()).template triangularView<Upper>();
- if(svd.m_computeFullU) m_qr.householderQ().evalTo(svd.m_matrixU, m_workspace);
- else if(svd.m_computeThinU)
- {
- svd.m_matrixU.setIdentity(matrix.rows(), matrix.cols());
- m_qr.householderQ().applyThisOnTheLeft(svd.m_matrixU, m_workspace);
- }
- if(svd.computeV()) svd.m_matrixV.setIdentity(matrix.cols(), matrix.cols());
- return true;
- }
- return false;
- }
-private:
- typedef HouseholderQR<MatrixType> QRType;
- QRType m_qr;
- typename internal::plain_col_type<MatrixType>::type m_workspace;
-};
-
-template<typename MatrixType>
-class qr_preconditioner_impl<MatrixType, HouseholderQRPreconditioner, PreconditionIfMoreColsThanRows, true>
-{
-public:
- typedef typename MatrixType::Scalar Scalar;
- enum
- {
- RowsAtCompileTime = MatrixType::RowsAtCompileTime,
- ColsAtCompileTime = MatrixType::ColsAtCompileTime,
- MaxRowsAtCompileTime = MatrixType::MaxRowsAtCompileTime,
- MaxColsAtCompileTime = MatrixType::MaxColsAtCompileTime,
- Options = MatrixType::Options
- };
-
- typedef Matrix<Scalar, ColsAtCompileTime, RowsAtCompileTime, Options, MaxColsAtCompileTime, MaxRowsAtCompileTime>
- TransposeTypeWithSameStorageOrder;
-
- void allocate(const JacobiSVD<MatrixType, HouseholderQRPreconditioner>& svd)
- {
- if (svd.cols() != m_qr.rows() || svd.rows() != m_qr.cols())
- {
- m_qr.~QRType();
- ::new (&m_qr) QRType(svd.cols(), svd.rows());
- }
- if (svd.m_computeFullV) m_workspace.resize(svd.cols());
- else if (svd.m_computeThinV) m_workspace.resize(svd.rows());
- m_adjoint.resize(svd.cols(), svd.rows());
- }
-
- bool run(JacobiSVD<MatrixType, HouseholderQRPreconditioner>& svd, const MatrixType& matrix)
- {
- if(matrix.cols() > matrix.rows())
- {
- m_adjoint = matrix.adjoint();
- m_qr.compute(m_adjoint);
-
- svd.m_workMatrix = m_qr.matrixQR().block(0,0,matrix.rows(),matrix.rows()).template triangularView<Upper>().adjoint();
- if(svd.m_computeFullV) m_qr.householderQ().evalTo(svd.m_matrixV, m_workspace);
- else if(svd.m_computeThinV)
- {
- svd.m_matrixV.setIdentity(matrix.cols(), matrix.rows());
- m_qr.householderQ().applyThisOnTheLeft(svd.m_matrixV, m_workspace);
- }
- if(svd.computeU()) svd.m_matrixU.setIdentity(matrix.rows(), matrix.rows());
- return true;
- }
- else return false;
- }
-
-private:
- typedef HouseholderQR<TransposeTypeWithSameStorageOrder> QRType;
- QRType m_qr;
- TransposeTypeWithSameStorageOrder m_adjoint;
- typename internal::plain_row_type<MatrixType>::type m_workspace;
-};
-
-/*** 2x2 SVD implementation
- ***
- *** JacobiSVD consists in performing a series of 2x2 SVD subproblems
- ***/
-
-template<typename MatrixType, int QRPreconditioner>
-struct svd_precondition_2x2_block_to_be_real<MatrixType, QRPreconditioner, false>
-{
- typedef JacobiSVD<MatrixType, QRPreconditioner> SVD;
- typedef typename MatrixType::RealScalar RealScalar;
- static bool run(typename SVD::WorkMatrixType&, SVD&, Index, Index, RealScalar&) { return true; }
-};
-
-template<typename MatrixType, int QRPreconditioner>
-struct svd_precondition_2x2_block_to_be_real<MatrixType, QRPreconditioner, true>
-{
- typedef JacobiSVD<MatrixType, QRPreconditioner> SVD;
- typedef typename MatrixType::Scalar Scalar;
- typedef typename MatrixType::RealScalar RealScalar;
- static bool run(typename SVD::WorkMatrixType& work_matrix, SVD& svd, Index p, Index q, RealScalar& maxDiagEntry)
- {
- using std::sqrt;
- using std::abs;
- Scalar z;
- JacobiRotation<Scalar> rot;
- RealScalar n = sqrt(numext::abs2(work_matrix.coeff(p,p)) + numext::abs2(work_matrix.coeff(q,p)));
-
- const RealScalar considerAsZero = (std::numeric_limits<RealScalar>::min)();
- const RealScalar precision = NumTraits<Scalar>::epsilon();
-
- if(n==0)
- {
- // make sure first column is zero
- work_matrix.coeffRef(p,p) = work_matrix.coeffRef(q,p) = Scalar(0);
-
- if(abs(numext::imag(work_matrix.coeff(p,q)))>considerAsZero)
- {
- // work_matrix.coeff(p,q) can be zero if work_matrix.coeff(q,p) is not zero but small enough to underflow when computing n
- z = abs(work_matrix.coeff(p,q)) / work_matrix.coeff(p,q);
- work_matrix.row(p) *= z;
- if(svd.computeU()) svd.m_matrixU.col(p) *= conj(z);
- }
- if(abs(numext::imag(work_matrix.coeff(q,q)))>considerAsZero)
- {
- z = abs(work_matrix.coeff(q,q)) / work_matrix.coeff(q,q);
- work_matrix.row(q) *= z;
- if(svd.computeU()) svd.m_matrixU.col(q) *= conj(z);
- }
- // otherwise the second row is already zero, so we have nothing to do.
- }
- else
- {
- rot.c() = conj(work_matrix.coeff(p,p)) / n;
- rot.s() = work_matrix.coeff(q,p) / n;
- work_matrix.applyOnTheLeft(p,q,rot);
- if(svd.computeU()) svd.m_matrixU.applyOnTheRight(p,q,rot.adjoint());
- if(abs(numext::imag(work_matrix.coeff(p,q)))>considerAsZero)
- {
- z = abs(work_matrix.coeff(p,q)) / work_matrix.coeff(p,q);
- work_matrix.col(q) *= z;
- if(svd.computeV()) svd.m_matrixV.col(q) *= z;
- }
- if(abs(numext::imag(work_matrix.coeff(q,q)))>considerAsZero)
- {
- z = abs(work_matrix.coeff(q,q)) / work_matrix.coeff(q,q);
- work_matrix.row(q) *= z;
- if(svd.computeU()) svd.m_matrixU.col(q) *= conj(z);
- }
- }
-
- // update largest diagonal entry
- maxDiagEntry = numext::maxi<RealScalar>(maxDiagEntry,numext::maxi<RealScalar>(abs(work_matrix.coeff(p,p)), abs(work_matrix.coeff(q,q))));
- // and check whether the 2x2 block is already diagonal
- RealScalar threshold = numext::maxi<RealScalar>(considerAsZero, precision * maxDiagEntry);
- return abs(work_matrix.coeff(p,q))>threshold || abs(work_matrix.coeff(q,p)) > threshold;
- }
-};
-
-template<typename _MatrixType, int QRPreconditioner>
-struct traits<JacobiSVD<_MatrixType,QRPreconditioner> >
-{
- typedef _MatrixType MatrixType;
-};
-
-} // end namespace internal
-
-/** \ingroup SVD_Module
- *
- *
- * \class JacobiSVD
- *
- * \brief Two-sided Jacobi SVD decomposition of a rectangular matrix
- *
- * \tparam _MatrixType the type of the matrix of which we are computing the SVD decomposition
- * \tparam QRPreconditioner this optional parameter allows to specify the type of QR decomposition that will be used internally
- * for the R-SVD step for non-square matrices. See discussion of possible values below.
- *
- * SVD decomposition consists in decomposing any n-by-p matrix \a A as a product
- * \f[ A = U S V^* \f]
- * where \a U is a n-by-n unitary, \a V is a p-by-p unitary, and \a S is a n-by-p real positive matrix which is zero outside of its main diagonal;
- * the diagonal entries of S are known as the \em singular \em values of \a A and the columns of \a U and \a V are known as the left
- * and right \em singular \em vectors of \a A respectively.
- *
- * Singular values are always sorted in decreasing order.
- *
- * This JacobiSVD decomposition computes only the singular values by default. If you want \a U or \a V, you need to ask for them explicitly.
- *
- * You can ask for only \em thin \a U or \a V to be computed, meaning the following. In case of a rectangular n-by-p matrix, letting \a m be the
- * smaller value among \a n and \a p, there are only \a m singular vectors; the remaining columns of \a U and \a V do not correspond to actual
- * singular vectors. Asking for \em thin \a U or \a V means asking for only their \a m first columns to be formed. So \a U is then a n-by-m matrix,
- * and \a V is then a p-by-m matrix. Notice that thin \a U and \a V are all you need for (least squares) solving.
- *
- * Here's an example demonstrating basic usage:
- * \include JacobiSVD_basic.cpp
- * Output: \verbinclude JacobiSVD_basic.out
- *
- * This JacobiSVD class is a two-sided Jacobi R-SVD decomposition, ensuring optimal reliability and accuracy. The downside is that it's slower than
- * bidiagonalizing SVD algorithms for large square matrices; however its complexity is still \f$ O(n^2p) \f$ where \a n is the smaller dimension and
- * \a p is the greater dimension, meaning that it is still of the same order of complexity as the faster bidiagonalizing R-SVD algorithms.
- * In particular, like any R-SVD, it takes advantage of non-squareness in that its complexity is only linear in the greater dimension.
- *
- * If the input matrix has inf or nan coefficients, the result of the computation is undefined, but the computation is guaranteed to
- * terminate in finite (and reasonable) time.
- *
- * The possible values for QRPreconditioner are:
- * \li ColPivHouseholderQRPreconditioner is the default. In practice it's very safe. It uses column-pivoting QR.
- * \li FullPivHouseholderQRPreconditioner, is the safest and slowest. It uses full-pivoting QR.
- * Contrary to other QRs, it doesn't allow computing thin unitaries.
- * \li HouseholderQRPreconditioner is the fastest, and less safe and accurate than the pivoting variants. It uses non-pivoting QR.
- * This is very similar in safety and accuracy to the bidiagonalization process used by bidiagonalizing SVD algorithms (since bidiagonalization
- * is inherently non-pivoting). However the resulting SVD is still more reliable than bidiagonalizing SVDs because the Jacobi-based iterarive
- * process is more reliable than the optimized bidiagonal SVD iterations.
- * \li NoQRPreconditioner allows not to use a QR preconditioner at all. This is useful if you know that you will only be computing
- * JacobiSVD decompositions of square matrices. Non-square matrices require a QR preconditioner. Using this option will result in
- * faster compilation and smaller executable code. It won't significantly speed up computation, since JacobiSVD is always checking
- * if QR preconditioning is needed before applying it anyway.
- *
- * \sa MatrixBase::jacobiSvd()
- */
-template<typename _MatrixType, int QRPreconditioner> class JacobiSVD
- : public SVDBase<JacobiSVD<_MatrixType,QRPreconditioner> >
-{
- typedef SVDBase<JacobiSVD> Base;
- public:
-
- typedef _MatrixType MatrixType;
- typedef typename MatrixType::Scalar Scalar;
- typedef typename NumTraits<typename MatrixType::Scalar>::Real RealScalar;
- enum {
- RowsAtCompileTime = MatrixType::RowsAtCompileTime,
- ColsAtCompileTime = MatrixType::ColsAtCompileTime,
- DiagSizeAtCompileTime = EIGEN_SIZE_MIN_PREFER_DYNAMIC(RowsAtCompileTime,ColsAtCompileTime),
- MaxRowsAtCompileTime = MatrixType::MaxRowsAtCompileTime,
- MaxColsAtCompileTime = MatrixType::MaxColsAtCompileTime,
- MaxDiagSizeAtCompileTime = EIGEN_SIZE_MIN_PREFER_FIXED(MaxRowsAtCompileTime,MaxColsAtCompileTime),
- MatrixOptions = MatrixType::Options
- };
-
- typedef typename Base::MatrixUType MatrixUType;
- typedef typename Base::MatrixVType MatrixVType;
- typedef typename Base::SingularValuesType SingularValuesType;
-
- typedef typename internal::plain_row_type<MatrixType>::type RowType;
- typedef typename internal::plain_col_type<MatrixType>::type ColType;
- typedef Matrix<Scalar, DiagSizeAtCompileTime, DiagSizeAtCompileTime,
- MatrixOptions, MaxDiagSizeAtCompileTime, MaxDiagSizeAtCompileTime>
- WorkMatrixType;
-
- /** \brief Default Constructor.
- *
- * The default constructor is useful in cases in which the user intends to
- * perform decompositions via JacobiSVD::compute(const MatrixType&).
- */
- JacobiSVD()
- {}
-
-
- /** \brief Default Constructor with memory preallocation
- *
- * Like the default constructor but with preallocation of the internal data
- * according to the specified problem size.
- * \sa JacobiSVD()
- */
- JacobiSVD(Index rows, Index cols, unsigned int computationOptions = 0)
- {
- allocate(rows, cols, computationOptions);
- }
-
- /** \brief Constructor performing the decomposition of given matrix.
- *
- * \param matrix the matrix to decompose
- * \param computationOptions optional parameter allowing to specify if you want full or thin U or V unitaries to be computed.
- * By default, none is computed. This is a bit-field, the possible bits are #ComputeFullU, #ComputeThinU,
- * #ComputeFullV, #ComputeThinV.
- *
- * Thin unitaries are only available if your matrix type has a Dynamic number of columns (for example MatrixXf). They also are not
- * available with the (non-default) FullPivHouseholderQR preconditioner.
- */
- explicit JacobiSVD(const MatrixType& matrix, unsigned int computationOptions = 0)
- {
- compute(matrix, computationOptions);
- }
-
- /** \brief Method performing the decomposition of given matrix using custom options.
- *
- * \param matrix the matrix to decompose
- * \param computationOptions optional parameter allowing to specify if you want full or thin U or V unitaries to be computed.
- * By default, none is computed. This is a bit-field, the possible bits are #ComputeFullU, #ComputeThinU,
- * #ComputeFullV, #ComputeThinV.
- *
- * Thin unitaries are only available if your matrix type has a Dynamic number of columns (for example MatrixXf). They also are not
- * available with the (non-default) FullPivHouseholderQR preconditioner.
- */
- JacobiSVD& compute(const MatrixType& matrix, unsigned int computationOptions);
-
- /** \brief Method performing the decomposition of given matrix using current options.
- *
- * \param matrix the matrix to decompose
- *
- * This method uses the current \a computationOptions, as already passed to the constructor or to compute(const MatrixType&, unsigned int).
- */
- JacobiSVD& compute(const MatrixType& matrix)
- {
- return compute(matrix, m_computationOptions);
- }
-
- using Base::computeU;
- using Base::computeV;
- using Base::rows;
- using Base::cols;
- using Base::rank;
-
- private:
- void allocate(Index rows, Index cols, unsigned int computationOptions);
-
- protected:
- using Base::m_matrixU;
- using Base::m_matrixV;
- using Base::m_singularValues;
- using Base::m_isInitialized;
- using Base::m_isAllocated;
- using Base::m_usePrescribedThreshold;
- using Base::m_computeFullU;
- using Base::m_computeThinU;
- using Base::m_computeFullV;
- using Base::m_computeThinV;
- using Base::m_computationOptions;
- using Base::m_nonzeroSingularValues;
- using Base::m_rows;
- using Base::m_cols;
- using Base::m_diagSize;
- using Base::m_prescribedThreshold;
- WorkMatrixType m_workMatrix;
-
- template<typename __MatrixType, int _QRPreconditioner, bool _IsComplex>
- friend struct internal::svd_precondition_2x2_block_to_be_real;
- template<typename __MatrixType, int _QRPreconditioner, int _Case, bool _DoAnything>
- friend struct internal::qr_preconditioner_impl;
-
- internal::qr_preconditioner_impl<MatrixType, QRPreconditioner, internal::PreconditionIfMoreColsThanRows> m_qr_precond_morecols;
- internal::qr_preconditioner_impl<MatrixType, QRPreconditioner, internal::PreconditionIfMoreRowsThanCols> m_qr_precond_morerows;
- MatrixType m_scaledMatrix;
-};
-
-template<typename MatrixType, int QRPreconditioner>
-void JacobiSVD<MatrixType, QRPreconditioner>::allocate(Index rows, Index cols, unsigned int computationOptions)
-{
- eigen_assert(rows >= 0 && cols >= 0);
-
- if (m_isAllocated &&
- rows == m_rows &&
- cols == m_cols &&
- computationOptions == m_computationOptions)
- {
- return;
- }
-
- m_rows = rows;
- m_cols = cols;
- m_isInitialized = false;
- m_isAllocated = true;
- m_computationOptions = computationOptions;
- m_computeFullU = (computationOptions & ComputeFullU) != 0;
- m_computeThinU = (computationOptions & ComputeThinU) != 0;
- m_computeFullV = (computationOptions & ComputeFullV) != 0;
- m_computeThinV = (computationOptions & ComputeThinV) != 0;
- eigen_assert(!(m_computeFullU && m_computeThinU) && "JacobiSVD: you can't ask for both full and thin U");
- eigen_assert(!(m_computeFullV && m_computeThinV) && "JacobiSVD: you can't ask for both full and thin V");
- eigen_assert(EIGEN_IMPLIES(m_computeThinU || m_computeThinV, MatrixType::ColsAtCompileTime==Dynamic) &&
- "JacobiSVD: thin U and V are only available when your matrix has a dynamic number of columns.");
- if (QRPreconditioner == FullPivHouseholderQRPreconditioner)
- {
- eigen_assert(!(m_computeThinU || m_computeThinV) &&
- "JacobiSVD: can't compute thin U or thin V with the FullPivHouseholderQR preconditioner. "
- "Use the ColPivHouseholderQR preconditioner instead.");
- }
- m_diagSize = (std::min)(m_rows, m_cols);
- m_singularValues.resize(m_diagSize);
- if(RowsAtCompileTime==Dynamic)
- m_matrixU.resize(m_rows, m_computeFullU ? m_rows
- : m_computeThinU ? m_diagSize
- : 0);
- if(ColsAtCompileTime==Dynamic)
- m_matrixV.resize(m_cols, m_computeFullV ? m_cols
- : m_computeThinV ? m_diagSize
- : 0);
- m_workMatrix.resize(m_diagSize, m_diagSize);
-
- if(m_cols>m_rows) m_qr_precond_morecols.allocate(*this);
- if(m_rows>m_cols) m_qr_precond_morerows.allocate(*this);
- if(m_rows!=m_cols) m_scaledMatrix.resize(rows,cols);
-}
-
-template<typename MatrixType, int QRPreconditioner>
-JacobiSVD<MatrixType, QRPreconditioner>&
-JacobiSVD<MatrixType, QRPreconditioner>::compute(const MatrixType& matrix, unsigned int computationOptions)
-{
- using std::abs;
- allocate(matrix.rows(), matrix.cols(), computationOptions);
-
- // currently we stop when we reach precision 2*epsilon as the last bit of precision can require an unreasonable number of iterations,
- // only worsening the precision of U and V as we accumulate more rotations
- const RealScalar precision = RealScalar(2) * NumTraits<Scalar>::epsilon();
-
- // limit for denormal numbers to be considered zero in order to avoid infinite loops (see bug 286)
- const RealScalar considerAsZero = (std::numeric_limits<RealScalar>::min)();
-
- // Scaling factor to reduce over/under-flows
- RealScalar scale = matrix.cwiseAbs().maxCoeff();
- if(scale==RealScalar(0)) scale = RealScalar(1);
-
- /*** step 1. The R-SVD step: we use a QR decomposition to reduce to the case of a square matrix */
-
- if(m_rows!=m_cols)
- {
- m_scaledMatrix = matrix / scale;
- m_qr_precond_morecols.run(*this, m_scaledMatrix);
- m_qr_precond_morerows.run(*this, m_scaledMatrix);
- }
- else
- {
- m_workMatrix = matrix.block(0,0,m_diagSize,m_diagSize) / scale;
- if(m_computeFullU) m_matrixU.setIdentity(m_rows,m_rows);
- if(m_computeThinU) m_matrixU.setIdentity(m_rows,m_diagSize);
- if(m_computeFullV) m_matrixV.setIdentity(m_cols,m_cols);
- if(m_computeThinV) m_matrixV.setIdentity(m_cols, m_diagSize);
- }
-
- /*** step 2. The main Jacobi SVD iteration. ***/
- RealScalar maxDiagEntry = m_workMatrix.cwiseAbs().diagonal().maxCoeff();
-
- bool finished = false;
- while(!finished)
- {
- finished = true;
-
- // do a sweep: for all index pairs (p,q), perform SVD of the corresponding 2x2 sub-matrix
-
- for(Index p = 1; p < m_diagSize; ++p)
- {
- for(Index q = 0; q < p; ++q)
- {
- // if this 2x2 sub-matrix is not diagonal already...
- // notice that this comparison will evaluate to false if any NaN is involved, ensuring that NaN's don't
- // keep us iterating forever. Similarly, small denormal numbers are considered zero.
- RealScalar threshold = numext::maxi<RealScalar>(considerAsZero, precision * maxDiagEntry);
- if(abs(m_workMatrix.coeff(p,q))>threshold || abs(m_workMatrix.coeff(q,p)) > threshold)
- {
- finished = false;
- // perform SVD decomposition of 2x2 sub-matrix corresponding to indices p,q to make it diagonal
- // the complex to real operation returns true if the updated 2x2 block is not already diagonal
- if(internal::svd_precondition_2x2_block_to_be_real<MatrixType, QRPreconditioner>::run(m_workMatrix, *this, p, q, maxDiagEntry))
- {
- JacobiRotation<RealScalar> j_left, j_right;
- internal::real_2x2_jacobi_svd(m_workMatrix, p, q, &j_left, &j_right);
-
- // accumulate resulting Jacobi rotations
- m_workMatrix.applyOnTheLeft(p,q,j_left);
- if(computeU()) m_matrixU.applyOnTheRight(p,q,j_left.transpose());
-
- m_workMatrix.applyOnTheRight(p,q,j_right);
- if(computeV()) m_matrixV.applyOnTheRight(p,q,j_right);
-
- // keep track of the largest diagonal coefficient
- maxDiagEntry = numext::maxi<RealScalar>(maxDiagEntry,numext::maxi<RealScalar>(abs(m_workMatrix.coeff(p,p)), abs(m_workMatrix.coeff(q,q))));
- }
- }
- }
- }
- }
-
- /*** step 3. The work matrix is now diagonal, so ensure it's positive so its diagonal entries are the singular values ***/
-
- for(Index i = 0; i < m_diagSize; ++i)
- {
- // For a complex matrix, some diagonal coefficients might note have been
- // treated by svd_precondition_2x2_block_to_be_real, and the imaginary part
- // of some diagonal entry might not be null.
- if(NumTraits<Scalar>::IsComplex && abs(numext::imag(m_workMatrix.coeff(i,i)))>considerAsZero)
- {
- RealScalar a = abs(m_workMatrix.coeff(i,i));
- m_singularValues.coeffRef(i) = abs(a);
- if(computeU()) m_matrixU.col(i) *= m_workMatrix.coeff(i,i)/a;
- }
- else
- {
- // m_workMatrix.coeff(i,i) is already real, no difficulty:
- RealScalar a = numext::real(m_workMatrix.coeff(i,i));
- m_singularValues.coeffRef(i) = abs(a);
- if(computeU() && (a<RealScalar(0))) m_matrixU.col(i) = -m_matrixU.col(i);
- }
- }
-
- m_singularValues *= scale;
-
- /*** step 4. Sort singular values in descending order and compute the number of nonzero singular values ***/
-
- m_nonzeroSingularValues = m_diagSize;
- for(Index i = 0; i < m_diagSize; i++)
- {
- Index pos;
- RealScalar maxRemainingSingularValue = m_singularValues.tail(m_diagSize-i).maxCoeff(&pos);
- if(maxRemainingSingularValue == RealScalar(0))
- {
- m_nonzeroSingularValues = i;
- break;
- }
- if(pos)
- {
- pos += i;
- std::swap(m_singularValues.coeffRef(i), m_singularValues.coeffRef(pos));
- if(computeU()) m_matrixU.col(pos).swap(m_matrixU.col(i));
- if(computeV()) m_matrixV.col(pos).swap(m_matrixV.col(i));
- }
- }
-
- m_isInitialized = true;
- return *this;
-}
-
-/** \svd_module
- *
- * \return the singular value decomposition of \c *this computed by two-sided
- * Jacobi transformations.
- *
- * \sa class JacobiSVD
- */
-template<typename Derived>
-JacobiSVD<typename MatrixBase<Derived>::PlainObject>
-MatrixBase<Derived>::jacobiSvd(unsigned int computationOptions) const
-{
- return JacobiSVD<PlainObject>(*this, computationOptions);
-}
-
-} // end namespace Eigen
-
-#endif // EIGEN_JACOBISVD_H
diff --git a/eigen/Eigen/src/SVD/JacobiSVD_LAPACKE.h b/eigen/Eigen/src/SVD/JacobiSVD_LAPACKE.h
deleted file mode 100644
index ff0516f..0000000
--- a/eigen/Eigen/src/SVD/JacobiSVD_LAPACKE.h
+++ /dev/null
@@ -1,91 +0,0 @@
-/*
- Copyright (c) 2011, Intel Corporation. All rights reserved.
-
- Redistribution and use in source and binary forms, with or without modification,
- are permitted provided that the following conditions are met:
-
- * Redistributions of source code must retain the above copyright notice, this
- list of conditions and the following disclaimer.
- * Redistributions in binary form must reproduce the above copyright notice,
- this list of conditions and the following disclaimer in the documentation
- and/or other materials provided with the distribution.
- * Neither the name of Intel Corporation nor the names of its contributors may
- be used to endorse or promote products derived from this software without
- specific prior written permission.
-
- THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS" AND
- ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE IMPLIED
- WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE ARE
- DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT OWNER OR CONTRIBUTORS BE LIABLE FOR
- ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES
- (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES;
- LOSS OF USE, DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON
- ANY THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
- (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS
- SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
-
- ********************************************************************************
- * Content : Eigen bindings to LAPACKe
- * Singular Value Decomposition - SVD.
- ********************************************************************************
-*/
-
-#ifndef EIGEN_JACOBISVD_LAPACKE_H
-#define EIGEN_JACOBISVD_LAPACKE_H
-
-namespace Eigen {
-
-/** \internal Specialization for the data types supported by LAPACKe */
-
-#define EIGEN_LAPACKE_SVD(EIGTYPE, LAPACKE_TYPE, LAPACKE_RTYPE, LAPACKE_PREFIX, EIGCOLROW, LAPACKE_COLROW) \
-template<> inline \
-JacobiSVD<Matrix<EIGTYPE, Dynamic, Dynamic, EIGCOLROW, Dynamic, Dynamic>, ColPivHouseholderQRPreconditioner>& \
-JacobiSVD<Matrix<EIGTYPE, Dynamic, Dynamic, EIGCOLROW, Dynamic, Dynamic>, ColPivHouseholderQRPreconditioner>::compute(const Matrix<EIGTYPE, Dynamic, Dynamic, EIGCOLROW, Dynamic, Dynamic>& matrix, unsigned int computationOptions) \
-{ \
- typedef Matrix<EIGTYPE, Dynamic, Dynamic, EIGCOLROW, Dynamic, Dynamic> MatrixType; \
- /*typedef MatrixType::Scalar Scalar;*/ \
- /*typedef MatrixType::RealScalar RealScalar;*/ \
- allocate(matrix.rows(), matrix.cols(), computationOptions); \
-\
- /*const RealScalar precision = RealScalar(2) * NumTraits<Scalar>::epsilon();*/ \
- m_nonzeroSingularValues = m_diagSize; \
-\
- lapack_int lda = internal::convert_index<lapack_int>(matrix.outerStride()), ldu, ldvt; \
- lapack_int matrix_order = LAPACKE_COLROW; \
- char jobu, jobvt; \
- LAPACKE_TYPE *u, *vt, dummy; \
- jobu = (m_computeFullU) ? 'A' : (m_computeThinU) ? 'S' : 'N'; \
- jobvt = (m_computeFullV) ? 'A' : (m_computeThinV) ? 'S' : 'N'; \
- if (computeU()) { \
- ldu = internal::convert_index<lapack_int>(m_matrixU.outerStride()); \
- u = (LAPACKE_TYPE*)m_matrixU.data(); \
- } else { ldu=1; u=&dummy; }\
- MatrixType localV; \
- lapack_int vt_rows = (m_computeFullV) ? internal::convert_index<lapack_int>(m_cols) : (m_computeThinV) ? internal::convert_index<lapack_int>(m_diagSize) : 1; \
- if (computeV()) { \
- localV.resize(vt_rows, m_cols); \
- ldvt = internal::convert_index<lapack_int>(localV.outerStride()); \
- vt = (LAPACKE_TYPE*)localV.data(); \
- } else { ldvt=1; vt=&dummy; }\
- Matrix<LAPACKE_RTYPE, Dynamic, Dynamic> superb; superb.resize(m_diagSize, 1); \
- MatrixType m_temp; m_temp = matrix; \
- LAPACKE_##LAPACKE_PREFIX##gesvd( matrix_order, jobu, jobvt, internal::convert_index<lapack_int>(m_rows), internal::convert_index<lapack_int>(m_cols), (LAPACKE_TYPE*)m_temp.data(), lda, (LAPACKE_RTYPE*)m_singularValues.data(), u, ldu, vt, ldvt, superb.data()); \
- if (computeV()) m_matrixV = localV.adjoint(); \
- /* for(int i=0;i<m_diagSize;i++) if (m_singularValues.coeffRef(i) < precision) { m_nonzeroSingularValues--; m_singularValues.coeffRef(i)=RealScalar(0);}*/ \
- m_isInitialized = true; \
- return *this; \
-}
-
-EIGEN_LAPACKE_SVD(double, double, double, d, ColMajor, LAPACK_COL_MAJOR)
-EIGEN_LAPACKE_SVD(float, float, float , s, ColMajor, LAPACK_COL_MAJOR)
-EIGEN_LAPACKE_SVD(dcomplex, lapack_complex_double, double, z, ColMajor, LAPACK_COL_MAJOR)
-EIGEN_LAPACKE_SVD(scomplex, lapack_complex_float, float , c, ColMajor, LAPACK_COL_MAJOR)
-
-EIGEN_LAPACKE_SVD(double, double, double, d, RowMajor, LAPACK_ROW_MAJOR)
-EIGEN_LAPACKE_SVD(float, float, float , s, RowMajor, LAPACK_ROW_MAJOR)
-EIGEN_LAPACKE_SVD(dcomplex, lapack_complex_double, double, z, RowMajor, LAPACK_ROW_MAJOR)
-EIGEN_LAPACKE_SVD(scomplex, lapack_complex_float, float , c, RowMajor, LAPACK_ROW_MAJOR)
-
-} // end namespace Eigen
-
-#endif // EIGEN_JACOBISVD_LAPACKE_H
diff --git a/eigen/Eigen/src/SVD/SVDBase.h b/eigen/Eigen/src/SVD/SVDBase.h
deleted file mode 100644
index 3d1ef37..0000000
--- a/eigen/Eigen/src/SVD/SVDBase.h
+++ /dev/null
@@ -1,315 +0,0 @@
-// This file is part of Eigen, a lightweight C++ template library
-// for linear algebra.
-//
-// Copyright (C) 2009-2010 Benoit Jacob <jacob.benoit.1@gmail.com>
-// Copyright (C) 2014 Gael Guennebaud <gael.guennebaud@inria.fr>
-//
-// Copyright (C) 2013 Gauthier Brun <brun.gauthier@gmail.com>
-// Copyright (C) 2013 Nicolas Carre <nicolas.carre@ensimag.fr>
-// Copyright (C) 2013 Jean Ceccato <jean.ceccato@ensimag.fr>
-// Copyright (C) 2013 Pierre Zoppitelli <pierre.zoppitelli@ensimag.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
-// with this file, You can obtain one at http://mozilla.org/MPL/2.0/.
-
-#ifndef EIGEN_SVDBASE_H
-#define EIGEN_SVDBASE_H
-
-namespace Eigen {
-/** \ingroup SVD_Module
- *
- *
- * \class SVDBase
- *
- * \brief Base class of SVD algorithms
- *
- * \tparam Derived the type of the actual SVD decomposition
- *
- * SVD decomposition consists in decomposing any n-by-p matrix \a A as a product
- * \f[ A = U S V^* \f]
- * where \a U is a n-by-n unitary, \a V is a p-by-p unitary, and \a S is a n-by-p real positive matrix which is zero outside of its main diagonal;
- * the diagonal entries of S are known as the \em singular \em values of \a A and the columns of \a U and \a V are known as the left
- * and right \em singular \em vectors of \a A respectively.
- *
- * Singular values are always sorted in decreasing order.
- *
- *
- * You can ask for only \em thin \a U or \a V to be computed, meaning the following. In case of a rectangular n-by-p matrix, letting \a m be the
- * smaller value among \a n and \a p, there are only \a m singular vectors; the remaining columns of \a U and \a V do not correspond to actual
- * singular vectors. Asking for \em thin \a U or \a V means asking for only their \a m first columns to be formed. So \a U is then a n-by-m matrix,
- * and \a V is then a p-by-m matrix. Notice that thin \a U and \a V are all you need for (least squares) solving.
- *
- * If the input matrix has inf or nan coefficients, the result of the computation is undefined, but the computation is guaranteed to
- * terminate in finite (and reasonable) time.
- * \sa class BDCSVD, class JacobiSVD
- */
-template<typename Derived>
-class SVDBase
-{
-
-public:
- typedef typename internal::traits<Derived>::MatrixType MatrixType;
- typedef typename MatrixType::Scalar Scalar;
- typedef typename NumTraits<typename MatrixType::Scalar>::Real RealScalar;
- typedef typename MatrixType::StorageIndex StorageIndex;
- typedef Eigen::Index Index; ///< \deprecated since Eigen 3.3
- enum {
- RowsAtCompileTime = MatrixType::RowsAtCompileTime,
- ColsAtCompileTime = MatrixType::ColsAtCompileTime,
- DiagSizeAtCompileTime = EIGEN_SIZE_MIN_PREFER_DYNAMIC(RowsAtCompileTime,ColsAtCompileTime),
- MaxRowsAtCompileTime = MatrixType::MaxRowsAtCompileTime,
- MaxColsAtCompileTime = MatrixType::MaxColsAtCompileTime,
- MaxDiagSizeAtCompileTime = EIGEN_SIZE_MIN_PREFER_FIXED(MaxRowsAtCompileTime,MaxColsAtCompileTime),
- MatrixOptions = MatrixType::Options
- };
-
- typedef Matrix<Scalar, RowsAtCompileTime, RowsAtCompileTime, MatrixOptions, MaxRowsAtCompileTime, MaxRowsAtCompileTime> MatrixUType;
- typedef Matrix<Scalar, ColsAtCompileTime, ColsAtCompileTime, MatrixOptions, MaxColsAtCompileTime, MaxColsAtCompileTime> MatrixVType;
- typedef typename internal::plain_diag_type<MatrixType, RealScalar>::type SingularValuesType;
-
- Derived& derived() { return *static_cast<Derived*>(this); }
- const Derived& derived() const { return *static_cast<const Derived*>(this); }
-
- /** \returns the \a U matrix.
- *
- * For the SVD decomposition of a n-by-p matrix, letting \a m be the minimum of \a n and \a p,
- * the U matrix is n-by-n if you asked for \link Eigen::ComputeFullU ComputeFullU \endlink, and is n-by-m if you asked for \link Eigen::ComputeThinU ComputeThinU \endlink.
- *
- * The \a m first columns of \a U are the left singular vectors of the matrix being decomposed.
- *
- * This method asserts that you asked for \a U to be computed.
- */
- const MatrixUType& matrixU() const
- {
- eigen_assert(m_isInitialized && "SVD is not initialized.");
- eigen_assert(computeU() && "This SVD decomposition didn't compute U. Did you ask for it?");
- return m_matrixU;
- }
-
- /** \returns the \a V matrix.
- *
- * For the SVD decomposition of a n-by-p matrix, letting \a m be the minimum of \a n and \a p,
- * the V matrix is p-by-p if you asked for \link Eigen::ComputeFullV ComputeFullV \endlink, and is p-by-m if you asked for \link Eigen::ComputeThinV ComputeThinV \endlink.
- *
- * The \a m first columns of \a V are the right singular vectors of the matrix being decomposed.
- *
- * This method asserts that you asked for \a V to be computed.
- */
- const MatrixVType& matrixV() const
- {
- eigen_assert(m_isInitialized && "SVD is not initialized.");
- eigen_assert(computeV() && "This SVD decomposition didn't compute V. Did you ask for it?");
- return m_matrixV;
- }
-
- /** \returns the vector of singular values.
- *
- * For the SVD decomposition of a n-by-p matrix, letting \a m be the minimum of \a n and \a p, the
- * returned vector has size \a m. Singular values are always sorted in decreasing order.
- */
- const SingularValuesType& singularValues() const
- {
- eigen_assert(m_isInitialized && "SVD is not initialized.");
- return m_singularValues;
- }
-
- /** \returns the number of singular values that are not exactly 0 */
- Index nonzeroSingularValues() const
- {
- eigen_assert(m_isInitialized && "SVD is not initialized.");
- return m_nonzeroSingularValues;
- }
-
- /** \returns the rank of the matrix of which \c *this is the SVD.
- *
- * \note This method has to determine which singular values should be considered nonzero.
- * For that, it uses the threshold value that you can control by calling
- * setThreshold(const RealScalar&).
- */
- inline Index rank() const
- {
- using std::abs;
- eigen_assert(m_isInitialized && "JacobiSVD is not initialized.");
- if(m_singularValues.size()==0) return 0;
- RealScalar premultiplied_threshold = numext::maxi<RealScalar>(m_singularValues.coeff(0) * threshold(), (std::numeric_limits<RealScalar>::min)());
- Index i = m_nonzeroSingularValues-1;
- while(i>=0 && m_singularValues.coeff(i) < premultiplied_threshold) --i;
- return i+1;
- }
-
- /** Allows to prescribe a threshold to be used by certain methods, such as rank() and solve(),
- * which need to determine when singular values are to be considered nonzero.
- * This is not used for the SVD decomposition itself.
- *
- * When it needs to get the threshold value, Eigen calls threshold().
- * The default is \c NumTraits<Scalar>::epsilon()
- *
- * \param threshold The new value to use as the threshold.
- *
- * A singular value will be considered nonzero if its value is strictly greater than
- * \f$ \vert singular value \vert \leqslant threshold \times \vert max singular value \vert \f$.
- *
- * If you want to come back to the default behavior, call setThreshold(Default_t)
- */
- Derived& setThreshold(const RealScalar& threshold)
- {
- m_usePrescribedThreshold = true;
- m_prescribedThreshold = threshold;
- return derived();
- }
-
- /** Allows to come back to the default behavior, letting Eigen use its default formula for
- * determining the threshold.
- *
- * You should pass the special object Eigen::Default as parameter here.
- * \code svd.setThreshold(Eigen::Default); \endcode
- *
- * See the documentation of setThreshold(const RealScalar&).
- */
- Derived& setThreshold(Default_t)
- {
- m_usePrescribedThreshold = false;
- return derived();
- }
-
- /** Returns the threshold that will be used by certain methods such as rank().
- *
- * See the documentation of setThreshold(const RealScalar&).
- */
- RealScalar threshold() const
- {
- eigen_assert(m_isInitialized || m_usePrescribedThreshold);
- // this temporary is needed to workaround a MSVC issue
- Index diagSize = (std::max<Index>)(1,m_diagSize);
- return m_usePrescribedThreshold ? m_prescribedThreshold
- : diagSize*NumTraits<Scalar>::epsilon();
- }
-
- /** \returns true if \a U (full or thin) is asked for in this SVD decomposition */
- inline bool computeU() const { return m_computeFullU || m_computeThinU; }
- /** \returns true if \a V (full or thin) is asked for in this SVD decomposition */
- inline bool computeV() const { return m_computeFullV || m_computeThinV; }
-
- inline Index rows() const { return m_rows; }
- inline Index cols() const { return m_cols; }
-
- /** \returns a (least squares) solution of \f$ A x = b \f$ using the current SVD decomposition of A.
- *
- * \param b the right-hand-side of the equation to solve.
- *
- * \note Solving requires both U and V to be computed. Thin U and V are enough, there is no need for full U or V.
- *
- * \note SVD solving is implicitly least-squares. Thus, this method serves both purposes of exact solving and least-squares solving.
- * In other words, the returned solution is guaranteed to minimize the Euclidean norm \f$ \Vert A x - b \Vert \f$.
- */
- template<typename Rhs>
- inline const Solve<Derived, Rhs>
- solve(const MatrixBase<Rhs>& b) const
- {
- eigen_assert(m_isInitialized && "SVD is not initialized.");
- eigen_assert(computeU() && computeV() && "SVD::solve() requires both unitaries U and V to be computed (thin unitaries suffice).");
- return Solve<Derived, Rhs>(derived(), b.derived());
- }
-
- #ifndef EIGEN_PARSED_BY_DOXYGEN
- template<typename RhsType, typename DstType>
- EIGEN_DEVICE_FUNC
- void _solve_impl(const RhsType &rhs, DstType &dst) const;
- #endif
-
-protected:
-
- static void check_template_parameters()
- {
- EIGEN_STATIC_ASSERT_NON_INTEGER(Scalar);
- }
-
- // return true if already allocated
- bool allocate(Index rows, Index cols, unsigned int computationOptions) ;
-
- MatrixUType m_matrixU;
- MatrixVType m_matrixV;
- SingularValuesType m_singularValues;
- bool m_isInitialized, m_isAllocated, m_usePrescribedThreshold;
- bool m_computeFullU, m_computeThinU;
- bool m_computeFullV, m_computeThinV;
- unsigned int m_computationOptions;
- Index m_nonzeroSingularValues, m_rows, m_cols, m_diagSize;
- RealScalar m_prescribedThreshold;
-
- /** \brief Default Constructor.
- *
- * Default constructor of SVDBase
- */
- SVDBase()
- : m_isInitialized(false),
- m_isAllocated(false),
- m_usePrescribedThreshold(false),
- m_computationOptions(0),
- m_rows(-1), m_cols(-1), m_diagSize(0)
- {
- check_template_parameters();
- }
-
-
-};
-
-#ifndef EIGEN_PARSED_BY_DOXYGEN
-template<typename Derived>
-template<typename RhsType, typename DstType>
-void SVDBase<Derived>::_solve_impl(const RhsType &rhs, DstType &dst) const
-{
- eigen_assert(rhs.rows() == rows());
-
- // A = U S V^*
- // So A^{-1} = V S^{-1} U^*
-
- Matrix<Scalar, Dynamic, RhsType::ColsAtCompileTime, 0, MatrixType::MaxRowsAtCompileTime, RhsType::MaxColsAtCompileTime> tmp;
- Index l_rank = rank();
- tmp.noalias() = m_matrixU.leftCols(l_rank).adjoint() * rhs;
- tmp = m_singularValues.head(l_rank).asDiagonal().inverse() * tmp;
- dst = m_matrixV.leftCols(l_rank) * tmp;
-}
-#endif
-
-template<typename MatrixType>
-bool SVDBase<MatrixType>::allocate(Index rows, Index cols, unsigned int computationOptions)
-{
- eigen_assert(rows >= 0 && cols >= 0);
-
- if (m_isAllocated &&
- rows == m_rows &&
- cols == m_cols &&
- computationOptions == m_computationOptions)
- {
- return true;
- }
-
- m_rows = rows;
- m_cols = cols;
- m_isInitialized = false;
- m_isAllocated = true;
- m_computationOptions = computationOptions;
- m_computeFullU = (computationOptions & ComputeFullU) != 0;
- m_computeThinU = (computationOptions & ComputeThinU) != 0;
- m_computeFullV = (computationOptions & ComputeFullV) != 0;
- m_computeThinV = (computationOptions & ComputeThinV) != 0;
- eigen_assert(!(m_computeFullU && m_computeThinU) && "SVDBase: you can't ask for both full and thin U");
- eigen_assert(!(m_computeFullV && m_computeThinV) && "SVDBase: you can't ask for both full and thin V");
- eigen_assert(EIGEN_IMPLIES(m_computeThinU || m_computeThinV, MatrixType::ColsAtCompileTime==Dynamic) &&
- "SVDBase: thin U and V are only available when your matrix has a dynamic number of columns.");
-
- m_diagSize = (std::min)(m_rows, m_cols);
- m_singularValues.resize(m_diagSize);
- if(RowsAtCompileTime==Dynamic)
- m_matrixU.resize(m_rows, m_computeFullU ? m_rows : m_computeThinU ? m_diagSize : 0);
- if(ColsAtCompileTime==Dynamic)
- m_matrixV.resize(m_cols, m_computeFullV ? m_cols : m_computeThinV ? m_diagSize : 0);
-
- return false;
-}
-
-}// end namespace
-
-#endif // EIGEN_SVDBASE_H
diff --git a/eigen/Eigen/src/SVD/UpperBidiagonalization.h b/eigen/Eigen/src/SVD/UpperBidiagonalization.h
deleted file mode 100644
index 11ac847..0000000
--- a/eigen/Eigen/src/SVD/UpperBidiagonalization.h
+++ /dev/null
@@ -1,414 +0,0 @@
-// This file is part of Eigen, a lightweight C++ template library
-// 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
-// with this file, You can obtain one at http://mozilla.org/MPL/2.0/.
-
-#ifndef EIGEN_BIDIAGONALIZATION_H
-#define EIGEN_BIDIAGONALIZATION_H
-
-namespace Eigen {
-
-namespace internal {
-// UpperBidiagonalization will probably be replaced by a Bidiagonalization class, don't want to make it stable API.
-// At the same time, it's useful to keep for now as it's about the only thing that is testing the BandMatrix class.
-
-template<typename _MatrixType> class UpperBidiagonalization
-{
- public:
-
- typedef _MatrixType MatrixType;
- enum {
- RowsAtCompileTime = MatrixType::RowsAtCompileTime,
- ColsAtCompileTime = MatrixType::ColsAtCompileTime,
- ColsAtCompileTimeMinusOne = internal::decrement_size<ColsAtCompileTime>::ret
- };
- typedef typename MatrixType::Scalar Scalar;
- typedef typename MatrixType::RealScalar RealScalar;
- 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, RowMajor> BidiagonalType;
- typedef Matrix<Scalar, ColsAtCompileTime, 1> DiagVectorType;
- typedef Matrix<Scalar, ColsAtCompileTimeMinusOne, 1> SuperDiagVectorType;
- typedef HouseholderSequence<
- const MatrixType,
- const typename internal::remove_all<typename Diagonal<const MatrixType,0>::ConjugateReturnType>::type
- > HouseholderUSequenceType;
- typedef HouseholderSequence<
- const typename internal::remove_all<typename MatrixType::ConjugateReturnType>::type,
- Diagonal<const MatrixType,1>,
- OnTheRight
- > HouseholderVSequenceType;
-
- /**
- * \brief Default Constructor.
- *
- * The default constructor is useful in cases in which the user intends to
- * perform decompositions via Bidiagonalization::compute(const MatrixType&).
- */
- UpperBidiagonalization() : m_householder(), m_bidiagonal(), m_isInitialized(false) {}
-
- explicit UpperBidiagonalization(const MatrixType& matrix)
- : m_householder(matrix.rows(), matrix.cols()),
- m_bidiagonal(matrix.cols(), matrix.cols()),
- m_isInitialized(false)
- {
- compute(matrix);
- }
-
- UpperBidiagonalization& compute(const MatrixType& matrix);
- UpperBidiagonalization& computeUnblocked(const MatrixType& matrix);
-
- const MatrixType& householder() const { return m_householder; }
- const BidiagonalType& bidiagonal() const { return m_bidiagonal; }
-
- const HouseholderUSequenceType householderU() const
- {
- eigen_assert(m_isInitialized && "UpperBidiagonalization is not initialized.");
- return HouseholderUSequenceType(m_householder, m_householder.diagonal().conjugate());
- }
-
- const HouseholderVSequenceType householderV() // const here gives nasty errors and i'm lazy
- {
- eigen_assert(m_isInitialized && "UpperBidiagonalization is not initialized.");
- return HouseholderVSequenceType(m_householder.conjugate(), m_householder.const_derived().template diagonal<1>())
- .setLength(m_householder.cols()-1)
- .setShift(1);
- }
-
- protected:
- MatrixType m_householder;
- BidiagonalType m_bidiagonal;
- bool m_isInitialized;
-};
-
-// 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)
-{
- typedef typename MatrixType::Scalar Scalar;
-
- 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 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;
- typedef typename MatrixType::RealScalar RealScalar;
- typedef typename NumTraits<RealScalar>::Literal Literal;
- 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) = Literal(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);
-
- // 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;
-}
-
-#if 0
-/** \return the Householder QR decomposition of \c *this.
- *
- * \sa class Bidiagonalization
- */
-template<typename Derived>
-const UpperBidiagonalization<typename MatrixBase<Derived>::PlainObject>
-MatrixBase<Derived>::bidiagonalization() const
-{
- return UpperBidiagonalization<PlainObject>(eval());
-}
-#endif
-
-} // end namespace internal
-
-} // end namespace Eigen
-
-#endif // EIGEN_BIDIAGONALIZATION_H