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authorStanislaw Halik <sthalik@misaki.pl>2016-09-18 12:42:15 +0200
committerStanislaw Halik <sthalik@misaki.pl>2016-11-02 15:12:04 +0100
commit44861dcbfeee041223c4aac1ee075e92fa4daa01 (patch)
tree6dfdfd9637846a7aedd71ace97d7d2ad366496d7 /eigen/unsupported/Eigen/src/SVD
parentf3fe458b9e0a29a99a39d47d9a76dc18964b6fec (diff)
update
Diffstat (limited to 'eigen/unsupported/Eigen/src/SVD')
-rw-r--r--eigen/unsupported/Eigen/src/SVD/BDCSVD.h748
-rw-r--r--eigen/unsupported/Eigen/src/SVD/CMakeLists.txt6
-rw-r--r--eigen/unsupported/Eigen/src/SVD/JacobiSVD.h782
-rw-r--r--eigen/unsupported/Eigen/src/SVD/SVDBase.h236
-rw-r--r--eigen/unsupported/Eigen/src/SVD/TODOBdcsvd.txt29
-rw-r--r--eigen/unsupported/Eigen/src/SVD/doneInBDCSVD.txt21
6 files changed, 1822 insertions, 0 deletions
diff --git a/eigen/unsupported/Eigen/src/SVD/BDCSVD.h b/eigen/unsupported/Eigen/src/SVD/BDCSVD.h
new file mode 100644
index 0000000..11d4882
--- /dev/null
+++ b/eigen/unsupported/Eigen/src/SVD/BDCSVD.h
@@ -0,0 +1,748 @@
+// 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>
+//
+// 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 EPSILON 0.0000000000000001
+
+#define ALGOSWAP 32
+
+namespace Eigen {
+/** \ingroup SVD_Module
+ *
+ *
+ * \class BDCSVD
+ *
+ * \brief class Bidiagonal Divide and Conquer SVD
+ *
+ * \param MatrixType the type of the matrix of which we are computing the SVD decomposition
+ * We plan to have a very similar interface to JacobiSVD on this class.
+ * It should be used to speed up the calcul of SVD for big matrices.
+ */
+template<typename _MatrixType>
+class BDCSVD : public SVDBase<_MatrixType>
+{
+ typedef SVDBase<_MatrixType> Base;
+
+public:
+ using Base::rows;
+ using Base::cols;
+
+ typedef _MatrixType MatrixType;
+ typedef typename MatrixType::Scalar Scalar;
+ typedef typename NumTraits<typename MatrixType::Scalar>::Real RealScalar;
+ typedef typename MatrixType::Index Index;
+ 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;
+ typedef typename internal::plain_row_type<MatrixType>::type RowType;
+ typedef typename internal::plain_col_type<MatrixType>::type ColType;
+ typedef Matrix<Scalar, Dynamic, Dynamic> MatrixX;
+ typedef Matrix<RealScalar, Dynamic, Dynamic> MatrixXr;
+ typedef Matrix<RealScalar, Dynamic, 1> VectorType;
+
+ /** \brief Default Constructor.
+ *
+ * The default constructor is useful in cases in which the user intends to
+ * perform decompositions via BDCSVD::compute(const MatrixType&).
+ */
+ BDCSVD()
+ : SVDBase<_MatrixType>::SVDBase(),
+ algoswap(ALGOSWAP)
+ {}
+
+
+ /** \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)
+ : SVDBase<_MatrixType>::SVDBase(),
+ algoswap(ALGOSWAP)
+ {
+ 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)
+ : SVDBase<_MatrixType>::SVDBase(),
+ algoswap(ALGOSWAP)
+ {
+ 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.
+ */
+ SVDBase<MatrixType>& 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).
+ */
+ SVDBase<MatrixType>& 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 4");
+ algoswap = s;
+ }
+
+
+ /** \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 internal::solve_retval<BDCSVD, Rhs>
+ solve(const MatrixBase<Rhs>& b) const
+ {
+ eigen_assert(this->m_isInitialized && "BDCSVD is not initialized.");
+ eigen_assert(SVDBase<_MatrixType>::computeU() && SVDBase<_MatrixType>::computeV() &&
+ "BDCSVD::solve() requires both unitaries U and V to be computed (thin unitaries suffice).");
+ return internal::solve_retval<BDCSVD, Rhs>(*this, b.derived());
+ }
+
+
+ const MatrixUType& matrixU() const
+ {
+ eigen_assert(this->m_isInitialized && "SVD is not initialized.");
+ if (isTranspose){
+ eigen_assert(this->computeV() && "This SVD decomposition didn't compute U. Did you ask for it?");
+ return this->m_matrixV;
+ }
+ else
+ {
+ eigen_assert(this->computeU() && "This SVD decomposition didn't compute U. Did you ask for it?");
+ return this->m_matrixU;
+ }
+
+ }
+
+
+ const MatrixVType& matrixV() const
+ {
+ eigen_assert(this->m_isInitialized && "SVD is not initialized.");
+ if (isTranspose){
+ eigen_assert(this->computeU() && "This SVD decomposition didn't compute V. Did you ask for it?");
+ return this->m_matrixU;
+ }
+ else
+ {
+ eigen_assert(this->computeV() && "This SVD decomposition didn't compute V. Did you ask for it?");
+ return this->m_matrixV;
+ }
+ }
+
+private:
+ void allocate(Index rows, Index cols, unsigned int computationOptions);
+ void divide (Index firstCol, Index lastCol, Index firstRowW,
+ Index firstColW, Index shift);
+ 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);
+ void copyUV(MatrixXr naiveU, MatrixXr naiveV, MatrixX householderU, MatrixX houseHolderV);
+
+protected:
+ MatrixXr m_naiveU, m_naiveV;
+ MatrixXr m_computed;
+ Index nRec;
+ int algoswap;
+ bool isTranspose, compU, compV;
+
+}; //end class BDCSVD
+
+
+// Methode to allocate ans initialize matrix and attributs
+template<typename MatrixType>
+void BDCSVD<MatrixType>::allocate(Index rows, Index cols, unsigned int computationOptions)
+{
+ isTranspose = (cols > rows);
+ if (SVDBase<MatrixType>::allocate(rows, cols, computationOptions)) return;
+ m_computed = MatrixXr::Zero(this->m_diagSize + 1, this->m_diagSize );
+ if (isTranspose){
+ compU = this->computeU();
+ compV = this->computeV();
+ }
+ else
+ {
+ compV = this->computeU();
+ compU = this->computeV();
+ }
+ if (compU) m_naiveU = MatrixXr::Zero(this->m_diagSize + 1, this->m_diagSize + 1 );
+ else m_naiveU = MatrixXr::Zero(2, this->m_diagSize + 1 );
+
+ if (compV) m_naiveV = MatrixXr::Zero(this->m_diagSize, this->m_diagSize);
+
+
+ //should be changed for a cleaner implementation
+ if (isTranspose){
+ bool aux;
+ if (this->computeU()||this->computeV()){
+ aux = this->m_computeFullU;
+ this->m_computeFullU = this->m_computeFullV;
+ this->m_computeFullV = aux;
+ aux = this->m_computeThinU;
+ this->m_computeThinU = this->m_computeThinV;
+ this->m_computeThinV = aux;
+ }
+ }
+}// end allocate
+
+// Methode which compute the BDCSVD for the int
+template<>
+SVDBase<Matrix<int, Dynamic, Dynamic> >&
+BDCSVD<Matrix<int, Dynamic, Dynamic> >::compute(const MatrixType& matrix, unsigned int computationOptions) {
+ allocate(matrix.rows(), matrix.cols(), computationOptions);
+ this->m_nonzeroSingularValues = 0;
+ m_computed = Matrix<int, Dynamic, Dynamic>::Zero(rows(), cols());
+ for (int i=0; i<this->m_diagSize; i++) {
+ this->m_singularValues.coeffRef(i) = 0;
+ }
+ if (this->m_computeFullU) this->m_matrixU = Matrix<int, Dynamic, Dynamic>::Zero(rows(), rows());
+ if (this->m_computeFullV) this->m_matrixV = Matrix<int, Dynamic, Dynamic>::Zero(cols(), cols());
+ this->m_isInitialized = true;
+ return *this;
+}
+
+
+// Methode which compute the BDCSVD
+template<typename MatrixType>
+SVDBase<MatrixType>&
+BDCSVD<MatrixType>::compute(const MatrixType& matrix, unsigned int computationOptions)
+{
+ allocate(matrix.rows(), matrix.cols(), computationOptions);
+ using std::abs;
+
+ //**** step 1 Bidiagonalization isTranspose = (matrix.cols()>matrix.rows()) ;
+ MatrixType copy;
+ if (isTranspose) copy = matrix.adjoint();
+ else copy = matrix;
+
+ internal::UpperBidiagonalization<MatrixX > bid(copy);
+
+ //**** step 2 Divide
+ // this is ugly and has to be redone (care of complex cast)
+ MatrixXr temp;
+ temp = bid.bidiagonal().toDenseMatrix().transpose();
+ m_computed.setZero();
+ for (int i=0; i<this->m_diagSize - 1; i++) {
+ m_computed(i, i) = temp(i, i);
+ m_computed(i + 1, i) = temp(i + 1, i);
+ }
+ m_computed(this->m_diagSize - 1, this->m_diagSize - 1) = temp(this->m_diagSize - 1, this->m_diagSize - 1);
+ divide(0, this->m_diagSize - 1, 0, 0, 0);
+
+ //**** step 3 copy
+ for (int i=0; i<this->m_diagSize; i++) {
+ RealScalar a = abs(m_computed.coeff(i, i));
+ this->m_singularValues.coeffRef(i) = a;
+ if (a == 0){
+ this->m_nonzeroSingularValues = i;
+ break;
+ }
+ else if (i == this->m_diagSize - 1)
+ {
+ this->m_nonzeroSingularValues = i + 1;
+ break;
+ }
+ }
+ copyUV(m_naiveV, m_naiveU, bid.householderU(), bid.householderV());
+ this->m_isInitialized = true;
+ return *this;
+}// end compute
+
+
+template<typename MatrixType>
+void BDCSVD<MatrixType>::copyUV(MatrixXr naiveU, MatrixXr naiveV, MatrixX householderU, MatrixX householderV){
+ if (this->computeU()){
+ MatrixX temp = MatrixX::Zero(naiveU.rows(), naiveU.cols());
+ temp.real() = naiveU;
+ if (this->m_computeThinU){
+ this->m_matrixU = MatrixX::Identity(householderU.cols(), this->m_nonzeroSingularValues );
+ this->m_matrixU.block(0, 0, this->m_diagSize, this->m_nonzeroSingularValues) =
+ temp.block(0, 0, this->m_diagSize, this->m_nonzeroSingularValues);
+ this->m_matrixU = householderU * this->m_matrixU ;
+ }
+ else
+ {
+ this->m_matrixU = MatrixX::Identity(householderU.cols(), householderU.cols());
+ this->m_matrixU.block(0, 0, this->m_diagSize, this->m_diagSize) = temp.block(0, 0, this->m_diagSize, this->m_diagSize);
+ this->m_matrixU = householderU * this->m_matrixU ;
+ }
+ }
+ if (this->computeV()){
+ MatrixX temp = MatrixX::Zero(naiveV.rows(), naiveV.cols());
+ temp.real() = naiveV;
+ if (this->m_computeThinV){
+ this->m_matrixV = MatrixX::Identity(householderV.cols(),this->m_nonzeroSingularValues );
+ this->m_matrixV.block(0, 0, this->m_nonzeroSingularValues, this->m_nonzeroSingularValues) =
+ temp.block(0, 0, this->m_nonzeroSingularValues, this->m_nonzeroSingularValues);
+ this->m_matrixV = householderV * this->m_matrixV ;
+ }
+ else
+ {
+ this->m_matrixV = MatrixX::Identity(householderV.cols(), householderV.cols());
+ this->m_matrixV.block(0, 0, this->m_diagSize, this->m_diagSize) = temp.block(0, 0, this->m_diagSize, this->m_diagSize);
+ this->m_matrixV = householderV * this->m_matrixV;
+ }
+ }
+}
+
+// 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 nbRows = nbCols + 1;
+ using std::pow;
+ using std::sqrt;
+ using std::abs;
+ const Index n = lastCol - firstCol + 1;
+ const Index k = n/2;
+ RealScalar alphaK;
+ RealScalar betaK;
+ RealScalar r0;
+ RealScalar lambda, phi, c0, s0;
+ MatrixXr l, f;
+ // We use the other algorithm which is more efficient for small
+ // matrices.
+ if (n < algoswap){
+ JacobiSVD<MatrixXr> b(m_computed.block(firstCol, firstCol, n + 1, n),
+ ComputeFullU | (ComputeFullV * compV)) ;
+ if (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 (compV) m_naiveV.block(firstRowW, firstColW, n, n).real() << b.matrixV();
+ m_computed.block(firstCol + shift, firstCol + shift, n + 1, n).setZero();
+ for (int i=0; i<n; i++)
+ {
+ m_computed(firstCol + shift + i, firstCol + shift +i) = b.singularValues().coeffRef(i);
+ }
+ 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 (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 (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 (compV) m_naiveV(firstRowW+k, firstColW) = 1;
+ if (r0 == 0)
+ {
+ c0 = 1;
+ s0 = 0;
+ }
+ else
+ {
+ c0 = alphaK * lambda / r0;
+ s0 = betaK * phi / r0;
+ }
+ if (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();
+ }
+ 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();
+
+
+ // the line below do the deflation of the matrix for the third part of the algorithm
+ // Here the deflation is commented because the third part of the algorithm is not implemented
+ // the third part of the algorithm is a fast SVD on the matrix m_computed which works thanks to the deflation
+
+ deflation(firstCol, lastCol, k, firstRowW, firstColW, shift);
+
+ // Third part of the algorithm, since the real third part of the algorithm is not implemeted we use a JacobiSVD
+ JacobiSVD<MatrixXr> res= JacobiSVD<MatrixXr>(m_computed.block(firstCol + shift, firstCol +shift, n + 1, n),
+ ComputeFullU | (ComputeFullV * compV)) ;
+ if (compU) m_naiveU.block(firstCol, firstCol, n + 1, n + 1) *= res.matrixU();
+ else m_naiveU.block(0, firstCol, 2, n + 1) *= res.matrixU();
+
+ if (compV) m_naiveV.block(firstRowW, firstColW, n, n) *= res.matrixV();
+ m_computed.block(firstCol + shift, firstCol + shift, n, n) << MatrixXr::Zero(n, n);
+ for (int i=0; i<n; i++)
+ m_computed(firstCol + shift + i, firstCol + shift +i) = res.singularValues().coeffRef(i);
+ // end of the third part
+
+
+}// end divide
+
+
+// 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;
+ RealScalar c = m_computed(firstCol + shift, firstCol + shift);
+ RealScalar s = m_computed(i, firstCol + shift);
+ RealScalar r = sqrt(pow(abs(c), 2) + pow(abs(s), 2));
+ if (r == 0){
+ m_computed(i, i)=0;
+ return;
+ }
+ c/=r;
+ s/=r;
+ m_computed(firstCol + shift, firstCol + shift) = r;
+ m_computed(i, firstCol + shift) = 0;
+ m_computed(i, i) = 0;
+ if (compU){
+ m_naiveU.col(firstCol).segment(firstCol,size) =
+ c * m_naiveU.col(firstCol).segment(firstCol, size) -
+ s * m_naiveU.col(i).segment(firstCol, size) ;
+
+ m_naiveU.col(i).segment(firstCol, size) =
+ (c + s*s/c) * m_naiveU.col(i).segment(firstCol, size) +
+ (s/c) * m_naiveU.col(firstCol).segment(firstCol,size);
+ }
+}// end deflation 43
+
+
+// page 13
+// i,j >= 1, i != j and |di - dj| < epsilon * norm2(M)
+// We apply two rotations to have zj = 0;
+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, firstColm + j - 1);
+ RealScalar s = m_computed(firstColm, firstColm + i - 1);
+ RealScalar r = sqrt(pow(abs(c), 2) + pow(abs(s), 2));
+ if (r==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 + i, firstColm + i) = m_computed(firstColm + j, firstColm + j);
+ m_computed(firstColm + j, firstColm) = 0;
+ if (compU){
+ m_naiveU.col(firstColu + i).segment(firstColu, size) =
+ c * m_naiveU.col(firstColu + i).segment(firstColu, size) -
+ s * m_naiveU.col(firstColu + j).segment(firstColu, size) ;
+
+ m_naiveU.col(firstColu + j).segment(firstColu, size) =
+ (c + s*s/c) * m_naiveU.col(firstColu + j).segment(firstColu, size) +
+ (s/c) * m_naiveU.col(firstColu + i).segment(firstColu, size);
+ }
+ if (compV){
+ m_naiveV.col(firstColW + i).segment(firstRowW, size - 1) =
+ c * m_naiveV.col(firstColW + i).segment(firstRowW, size - 1) +
+ s * m_naiveV.col(firstColW + j).segment(firstRowW, size - 1) ;
+
+ m_naiveV.col(firstColW + j).segment(firstRowW, size - 1) =
+ (c + s*s/c) * m_naiveV.col(firstColW + j).segment(firstRowW, size - 1) -
+ (s/c) * m_naiveV.col(firstColW + i).segment(firstRowW, size - 1);
+ }
+}// end deflation 44
+
+
+
+template <typename MatrixType>
+void BDCSVD<MatrixType>::deflation(Index firstCol, Index lastCol, Index k, Index firstRowW, Index firstColW, Index shift){
+ //condition 4.1
+ RealScalar EPS = EPSILON * (std::max<RealScalar>(m_computed(firstCol + shift + 1, firstCol + shift + 1), m_computed(firstCol + k, firstCol + k)));
+ const Index length = lastCol + 1 - firstCol;
+ if (m_computed(firstCol + shift, firstCol + shift) < EPS){
+ m_computed(firstCol + shift, firstCol + shift) = EPS;
+ }
+ //condition 4.2
+ for (Index i=firstCol + shift + 1;i<=lastCol + shift;i++){
+ if (std::abs(m_computed(i, firstCol + shift)) < EPS){
+ m_computed(i, firstCol + shift) = 0;
+ }
+ }
+
+ //condition 4.3
+ for (Index i=firstCol + shift + 1;i<=lastCol + shift; i++){
+ if (m_computed(i, i) < EPS){
+ deflation43(firstCol, shift, i, length);
+ }
+ }
+
+ //condition 4.4
+
+ Index i=firstCol + shift + 1, j=firstCol + shift + k + 1;
+ //we stock the final place of each line
+ Index *permutation = new Index[length];
+
+ for (Index p =1; p < length; p++) {
+ if (i> firstCol + shift + k){
+ permutation[p] = j;
+ j++;
+ } else if (j> lastCol + shift)
+ {
+ permutation[p] = i;
+ i++;
+ }
+ else
+ {
+ if (m_computed(i, i) < m_computed(j, j)){
+ permutation[p] = j;
+ j++;
+ }
+ else
+ {
+ permutation[p] = i;
+ i++;
+ }
+ }
+ }
+ //we do the permutation
+ RealScalar aux;
+ //we stock the current index of each col
+ //and the column of each index
+ Index *realInd = new Index[length];
+ Index *realCol = new Index[length];
+ for (int pos = 0; pos< length; pos++){
+ realCol[pos] = pos + firstCol + shift;
+ realInd[pos] = pos;
+ }
+ const Index Zero = firstCol + shift;
+ VectorType temp;
+ for (int i = 1; i < length - 1; i++){
+ const Index I = i + Zero;
+ const Index realI = realInd[i];
+ const Index j = permutation[length - i] - Zero;
+ const Index J = realCol[j];
+
+ //diag displace
+ aux = m_computed(I, I);
+ m_computed(I, I) = m_computed(J, J);
+ m_computed(J, J) = aux;
+
+ //firstrow displace
+ aux = m_computed(I, Zero);
+ m_computed(I, Zero) = m_computed(J, Zero);
+ m_computed(J, Zero) = aux;
+
+ // change columns
+ if (compU) {
+ temp = m_naiveU.col(I - shift).segment(firstCol, length + 1);
+ m_naiveU.col(I - shift).segment(firstCol, length + 1) <<
+ m_naiveU.col(J - shift).segment(firstCol, length + 1);
+ m_naiveU.col(J - shift).segment(firstCol, length + 1) << temp;
+ }
+ else
+ {
+ temp = m_naiveU.col(I - shift).segment(0, 2);
+ m_naiveU.col(I - shift).segment(0, 2) <<
+ m_naiveU.col(J - shift).segment(0, 2);
+ m_naiveU.col(J - shift).segment(0, 2) << temp;
+ }
+ if (compV) {
+ const Index CWI = I + firstColW - Zero;
+ const Index CWJ = J + firstColW - Zero;
+ temp = m_naiveV.col(CWI).segment(firstRowW, length);
+ m_naiveV.col(CWI).segment(firstRowW, length) << m_naiveV.col(CWJ).segment(firstRowW, length);
+ m_naiveV.col(CWJ).segment(firstRowW, length) << temp;
+ }
+
+ //update real pos
+ realCol[realI] = J;
+ realCol[j] = I;
+ realInd[J - Zero] = realI;
+ realInd[I - Zero] = j;
+ }
+ for (Index i = firstCol + shift + 1; i<lastCol + shift;i++){
+ if ((m_computed(i + 1, i + 1) - m_computed(i, i)) < EPS){
+ deflation44(firstCol ,
+ firstCol + shift,
+ firstRowW,
+ firstColW,
+ i - Zero,
+ i + 1 - Zero,
+ length);
+ }
+ }
+ delete [] permutation;
+ delete [] realInd;
+ delete [] realCol;
+
+}//end deflation
+
+
+namespace internal{
+
+template<typename _MatrixType, typename Rhs>
+struct solve_retval<BDCSVD<_MatrixType>, Rhs>
+ : solve_retval_base<BDCSVD<_MatrixType>, Rhs>
+{
+ typedef BDCSVD<_MatrixType> BDCSVDType;
+ EIGEN_MAKE_SOLVE_HELPERS(BDCSVDType, Rhs)
+
+ template<typename Dest> void evalTo(Dest& dst) const
+ {
+ eigen_assert(rhs().rows() == dec().rows());
+ // A = U S V^*
+ // So A^{ - 1} = V S^{ - 1} U^*
+ Index diagSize = (std::min)(dec().rows(), dec().cols());
+ typename BDCSVDType::SingularValuesType invertedSingVals(diagSize);
+ Index nonzeroSingVals = dec().nonzeroSingularValues();
+ invertedSingVals.head(nonzeroSingVals) = dec().singularValues().head(nonzeroSingVals).array().inverse();
+ invertedSingVals.tail(diagSize - nonzeroSingVals).setZero();
+
+ dst = dec().matrixV().leftCols(diagSize)
+ * invertedSingVals.asDiagonal()
+ * dec().matrixU().leftCols(diagSize).adjoint()
+ * rhs();
+ return;
+ }
+};
+
+} //end namespace internal
+
+ /** \svd_module
+ *
+ * \return the singular value decomposition of \c *this computed by
+ * BDC Algorithm
+ *
+ * \sa class BDCSVD
+ */
+/*
+template<typename Derived>
+BDCSVD<typename MatrixBase<Derived>::PlainObject>
+MatrixBase<Derived>::bdcSvd(unsigned int computationOptions) const
+{
+ return BDCSVD<PlainObject>(*this, computationOptions);
+}
+*/
+
+} // end namespace Eigen
+
+#endif
diff --git a/eigen/unsupported/Eigen/src/SVD/CMakeLists.txt b/eigen/unsupported/Eigen/src/SVD/CMakeLists.txt
new file mode 100644
index 0000000..b40baf0
--- /dev/null
+++ b/eigen/unsupported/Eigen/src/SVD/CMakeLists.txt
@@ -0,0 +1,6 @@
+FILE(GLOB Eigen_SVD_SRCS "*.h")
+
+INSTALL(FILES
+ ${Eigen_SVD_SRCS}
+ DESTINATION ${INCLUDE_INSTALL_DIR}unsupported/Eigen/src/SVD COMPONENT Devel
+ )
diff --git a/eigen/unsupported/Eigen/src/SVD/JacobiSVD.h b/eigen/unsupported/Eigen/src/SVD/JacobiSVD.h
new file mode 100644
index 0000000..02fac40
--- /dev/null
+++ b/eigen/unsupported/Eigen/src/SVD/JacobiSVD.h
@@ -0,0 +1,782 @@
+// 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>
+//
+// 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:
+ typedef typename MatrixType::Index Index;
+ 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::Index Index;
+ 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::Index Index;
+ 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, 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:
+ typedef typename MatrixType::Index Index;
+
+ 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::Index Index;
+ 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, 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:
+ typedef typename MatrixType::Index Index;
+
+ 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::Index Index;
+ 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 SVD::Index Index;
+ static void run(typename SVD::WorkMatrixType&, SVD&, Index, Index) {}
+};
+
+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;
+ typedef typename SVD::Index Index;
+ static void run(typename SVD::WorkMatrixType& work_matrix, SVD& svd, Index p, Index q)
+ {
+ using std::sqrt;
+ Scalar z;
+ JacobiRotation<Scalar> rot;
+ RealScalar n = sqrt(numext::abs2(work_matrix.coeff(p,p)) + numext::abs2(work_matrix.coeff(q,p)));
+ if(n==0)
+ {
+ 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);
+ 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);
+ }
+ 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(work_matrix.coeff(p,q) != Scalar(0))
+ {
+ Scalar 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(work_matrix.coeff(q,q) != Scalar(0))
+ {
+ 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);
+ }
+ }
+ }
+};
+
+template<typename MatrixType, typename RealScalar, typename Index>
+void real_2x2_jacobi_svd(const MatrixType& matrix, Index p, Index q,
+ JacobiRotation<RealScalar> *j_left,
+ JacobiRotation<RealScalar> *j_right)
+{
+ using std::sqrt;
+ Matrix<RealScalar,2,2> m;
+ m << numext::real(matrix.coeff(p,p)), numext::real(matrix.coeff(p,q)),
+ numext::real(matrix.coeff(q,p)), numext::real(matrix.coeff(q,q));
+ JacobiRotation<RealScalar> rot1;
+ RealScalar t = m.coeff(0,0) + m.coeff(1,1);
+ RealScalar d = m.coeff(1,0) - m.coeff(0,1);
+ if(t == RealScalar(0))
+ {
+ rot1.c() = RealScalar(0);
+ rot1.s() = d > RealScalar(0) ? RealScalar(1) : RealScalar(-1);
+ }
+ else
+ {
+ RealScalar u = d / t;
+ rot1.c() = RealScalar(1) / sqrt(RealScalar(1) + numext::abs2(u));
+ rot1.s() = rot1.c() * u;
+ }
+ m.applyOnTheLeft(0,1,rot1);
+ j_right->makeJacobi(m,0,1);
+ *j_left = rot1 * j_right->transpose();
+}
+
+} // end namespace internal
+
+/** \ingroup SVD_Module
+ *
+ *
+ * \class JacobiSVD
+ *
+ * \brief Two-sided Jacobi SVD decomposition of a rectangular matrix
+ *
+ * \param MatrixType the type of the matrix of which we are computing the SVD decomposition
+ * \param 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<_MatrixType>
+{
+ public:
+
+ typedef _MatrixType MatrixType;
+ typedef typename MatrixType::Scalar Scalar;
+ typedef typename NumTraits<typename MatrixType::Scalar>::Real RealScalar;
+ typedef typename MatrixType::Index Index;
+ 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;
+ 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()
+ : SVDBase<_MatrixType>::SVDBase()
+ {}
+
+
+ /** \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)
+ : SVDBase<_MatrixType>::SVDBase()
+ {
+ 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.
+ */
+ JacobiSVD(const MatrixType& matrix, unsigned int computationOptions = 0)
+ : SVDBase<_MatrixType>::SVDBase()
+ {
+ 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.
+ */
+ SVDBase<MatrixType>& 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).
+ */
+ SVDBase<MatrixType>& compute(const MatrixType& matrix)
+ {
+ return compute(matrix, this->m_computationOptions);
+ }
+
+ /** \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 internal::solve_retval<JacobiSVD, Rhs>
+ solve(const MatrixBase<Rhs>& b) const
+ {
+ eigen_assert(this->m_isInitialized && "JacobiSVD is not initialized.");
+ eigen_assert(SVDBase<MatrixType>::computeU() && SVDBase<MatrixType>::computeV() && "JacobiSVD::solve() requires both unitaries U and V to be computed (thin unitaries suffice).");
+ return internal::solve_retval<JacobiSVD, Rhs>(*this, b.derived());
+ }
+
+
+
+ private:
+ void allocate(Index rows, Index cols, unsigned int computationOptions);
+
+ protected:
+ 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;
+};
+
+template<typename MatrixType, int QRPreconditioner>
+void JacobiSVD<MatrixType, QRPreconditioner>::allocate(Index rows, Index cols, unsigned int computationOptions)
+{
+ if (SVDBase<MatrixType>::allocate(rows, cols, computationOptions)) return;
+
+ if (QRPreconditioner == FullPivHouseholderQRPreconditioner)
+ {
+ eigen_assert(!(this->m_computeThinU || this->m_computeThinV) &&
+ "JacobiSVD: can't compute thin U or thin V with the FullPivHouseholderQR preconditioner. "
+ "Use the ColPivHouseholderQR preconditioner instead.");
+ }
+
+ m_workMatrix.resize(this->m_diagSize, this->m_diagSize);
+
+ if(this->m_cols>this->m_rows) m_qr_precond_morecols.allocate(*this);
+ if(this->m_rows>this->m_cols) m_qr_precond_morerows.allocate(*this);
+}
+
+template<typename MatrixType, int QRPreconditioner>
+SVDBase<MatrixType>&
+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 very small denormal numbers to be considered zero in order to avoid infinite loops (see bug 286)
+ const RealScalar considerAsZero = RealScalar(2) * std::numeric_limits<RealScalar>::denorm_min();
+
+ /*** step 1. The R-SVD step: we use a QR decomposition to reduce to the case of a square matrix */
+
+ if(!m_qr_precond_morecols.run(*this, matrix) && !m_qr_precond_morerows.run(*this, matrix))
+ {
+ m_workMatrix = matrix.block(0,0,this->m_diagSize,this->m_diagSize);
+ if(this->m_computeFullU) this->m_matrixU.setIdentity(this->m_rows,this->m_rows);
+ if(this->m_computeThinU) this->m_matrixU.setIdentity(this->m_rows,this->m_diagSize);
+ if(this->m_computeFullV) this->m_matrixV.setIdentity(this->m_cols,this->m_cols);
+ if(this->m_computeThinV) this->m_matrixV.setIdentity(this->m_cols, this->m_diagSize);
+ }
+
+ /*** step 2. The main Jacobi SVD iteration. ***/
+
+ 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 < this->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.
+ using std::max;
+ RealScalar threshold = (max)(considerAsZero, precision * (max)(abs(m_workMatrix.coeff(p,p)),
+ abs(m_workMatrix.coeff(q,q))));
+ if((max)(abs(m_workMatrix.coeff(p,q)),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
+ internal::svd_precondition_2x2_block_to_be_real<MatrixType, QRPreconditioner>::run(m_workMatrix, *this, p, q);
+ 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(SVDBase<MatrixType>::computeU()) this->m_matrixU.applyOnTheRight(p,q,j_left.transpose());
+
+ m_workMatrix.applyOnTheRight(p,q,j_right);
+ if(SVDBase<MatrixType>::computeV()) this->m_matrixV.applyOnTheRight(p,q,j_right);
+ }
+ }
+ }
+ }
+
+ /*** 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 < this->m_diagSize; ++i)
+ {
+ RealScalar a = abs(m_workMatrix.coeff(i,i));
+ this->m_singularValues.coeffRef(i) = a;
+ if(SVDBase<MatrixType>::computeU() && (a!=RealScalar(0))) this->m_matrixU.col(i) *= this->m_workMatrix.coeff(i,i)/a;
+ }
+
+ /*** step 4. Sort singular values in descending order and compute the number of nonzero singular values ***/
+
+ this->m_nonzeroSingularValues = this->m_diagSize;
+ for(Index i = 0; i < this->m_diagSize; i++)
+ {
+ Index pos;
+ RealScalar maxRemainingSingularValue = this->m_singularValues.tail(this->m_diagSize-i).maxCoeff(&pos);
+ if(maxRemainingSingularValue == RealScalar(0))
+ {
+ this->m_nonzeroSingularValues = i;
+ break;
+ }
+ if(pos)
+ {
+ pos += i;
+ std::swap(this->m_singularValues.coeffRef(i), this->m_singularValues.coeffRef(pos));
+ if(SVDBase<MatrixType>::computeU()) this->m_matrixU.col(pos).swap(this->m_matrixU.col(i));
+ if(SVDBase<MatrixType>::computeV()) this->m_matrixV.col(pos).swap(this->m_matrixV.col(i));
+ }
+ }
+
+ this->m_isInitialized = true;
+ return *this;
+}
+
+namespace internal {
+template<typename _MatrixType, int QRPreconditioner, typename Rhs>
+struct solve_retval<JacobiSVD<_MatrixType, QRPreconditioner>, Rhs>
+ : solve_retval_base<JacobiSVD<_MatrixType, QRPreconditioner>, Rhs>
+{
+ typedef JacobiSVD<_MatrixType, QRPreconditioner> JacobiSVDType;
+ EIGEN_MAKE_SOLVE_HELPERS(JacobiSVDType,Rhs)
+
+ template<typename Dest> void evalTo(Dest& dst) const
+ {
+ eigen_assert(rhs().rows() == dec().rows());
+
+ // A = U S V^*
+ // So A^{-1} = V S^{-1} U^*
+
+ Index diagSize = (std::min)(dec().rows(), dec().cols());
+ typename JacobiSVDType::SingularValuesType invertedSingVals(diagSize);
+
+ Index nonzeroSingVals = dec().nonzeroSingularValues();
+ invertedSingVals.head(nonzeroSingVals) = dec().singularValues().head(nonzeroSingVals).array().inverse();
+ invertedSingVals.tail(diagSize - nonzeroSingVals).setZero();
+
+ dst = dec().matrixV().leftCols(diagSize)
+ * invertedSingVals.asDiagonal()
+ * dec().matrixU().leftCols(diagSize).adjoint()
+ * rhs();
+ }
+};
+} // end namespace internal
+
+/** \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/unsupported/Eigen/src/SVD/SVDBase.h b/eigen/unsupported/Eigen/src/SVD/SVDBase.h
new file mode 100644
index 0000000..fd8af3b
--- /dev/null
+++ b/eigen/unsupported/Eigen/src/SVD/SVDBase.h
@@ -0,0 +1,236 @@
+// 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 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_SVD_H
+#define EIGEN_SVD_H
+
+namespace Eigen {
+/** \ingroup SVD_Module
+ *
+ *
+ * \class SVDBase
+ *
+ * \brief Mother class of SVD classes algorithms
+ *
+ * \param MatrixType the type of the matrix of which we are computing the 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 MatrixBase::genericSvd()
+ */
+template<typename _MatrixType>
+class SVDBase
+{
+
+public:
+ typedef _MatrixType MatrixType;
+ typedef typename MatrixType::Scalar Scalar;
+ typedef typename NumTraits<typename MatrixType::Scalar>::Real RealScalar;
+ typedef typename MatrixType::Index Index;
+ 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;
+ 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 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.
+ */
+ SVDBase& 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).
+ */
+ //virtual SVDBase& compute(const MatrixType& matrix) = 0;
+ SVDBase& compute(const MatrixType& matrix);
+
+ /** \returns the \a U matrix.
+ *
+ * For the SVDBase 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 #ComputeFullU, and is n-by-m if you asked for #ComputeThinU.
+ *
+ * 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 #ComputeFullV, and is p-by-m if you asked for ComputeThinV.
+ *
+ * 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 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; }
+
+
+protected:
+ // 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;
+ bool m_computeFullU, m_computeThinU;
+ bool m_computeFullV, m_computeThinV;
+ unsigned int m_computationOptions;
+ Index m_nonzeroSingularValues, m_rows, m_cols, m_diagSize;
+
+
+ /** \brief Default Constructor.
+ *
+ * Default constructor of SVDBase
+ */
+ SVDBase()
+ : m_isInitialized(false),
+ m_isAllocated(false),
+ m_computationOptions(0),
+ m_rows(-1), m_cols(-1)
+ {}
+
+
+};
+
+
+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_SVD_H
diff --git a/eigen/unsupported/Eigen/src/SVD/TODOBdcsvd.txt b/eigen/unsupported/Eigen/src/SVD/TODOBdcsvd.txt
new file mode 100644
index 0000000..0bc9a46
--- /dev/null
+++ b/eigen/unsupported/Eigen/src/SVD/TODOBdcsvd.txt
@@ -0,0 +1,29 @@
+TO DO LIST
+
+
+
+(optional optimization) - do all the allocations in the allocate part
+ - support static matrices
+ - return a error at compilation time when using integer matrices (int, long, std::complex<int>, ...)
+
+to finish the algorithm :
+ -implement the last part of the algorithm as described on the reference paper.
+ You may find more information on that part on this paper
+
+ -to replace the call to JacobiSVD at the end of the divide algorithm, just after the call to
+ deflation.
+
+(suggested step by step resolution)
+ 0) comment the call to Jacobi in the last part of the divide method and everything right after
+ until the end of the method. What is commented can be a guideline to steps 3) 4) and 6)
+ 1) solve the secular equation (Characteristic equation) on the values that are not null (zi!=0 and di!=0), after the deflation
+ wich should be uncommented in the divide method
+ 2) remember the values of the singular values that are already computed (zi=0)
+ 3) assign the singular values found in m_computed at the right places (with the ones found in step 2) )
+ in decreasing order
+ 4) set the firstcol to zero (except the first element) in m_computed
+ 5) compute all the singular vectors when CompV is set to true and only the left vectors when
+ CompV is set to false
+ 6) multiply naiveU and naiveV to the right by the matrices found, only naiveU when CompV is set to
+ false, /!\ if CompU is false NaiveU has only 2 rows
+ 7) delete everything commented in step 0)
diff --git a/eigen/unsupported/Eigen/src/SVD/doneInBDCSVD.txt b/eigen/unsupported/Eigen/src/SVD/doneInBDCSVD.txt
new file mode 100644
index 0000000..8563dda
--- /dev/null
+++ b/eigen/unsupported/Eigen/src/SVD/doneInBDCSVD.txt
@@ -0,0 +1,21 @@
+This unsupported package is about a divide and conquer algorithm to compute SVD.
+
+The implementation follows as closely as possible the following reference paper :
+http://www.cs.yale.edu/publications/techreports/tr933.pdf
+
+The code documentation uses the same names for variables as the reference paper. The code, deflation included, is
+working but there are a few things that could be optimised as explained in the TODOBdsvd.
+
+In the code comments were put at the line where would be the third step of the algorithm so one could simply add the call
+of a function doing the last part of the algorithm and that would not require any knowledge of the part we implemented.
+
+In the TODOBdcsvd we explain what is the main difficulty of the last part and suggest a reference paper to help solve it.
+
+The implemented has trouble with fixed size matrices.
+
+In the actual implementation, it returns matrices of zero when ask to do a svd on an int matrix.
+
+
+Paper for the third part:
+http://www.stat.uchicago.edu/~lekheng/courses/302/classics/greengard-rokhlin.pdf
+