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Fix deflation in BDCSVD.

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Antonio Sánchez 2024-02-15 23:53:59 +00:00 committed by Rasmus Munk Larsen
parent f40ad38fda
commit 0b9ca1159b
2 changed files with 32 additions and 26 deletions
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47
Eigen/src/SVD/BDCSVD.h
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@ -1126,13 +1126,6 @@ void BDCSVD<MatrixType, Options>::perturbCol0(const ArrayRef& col0, const ArrayR
<< "j=" << j << "\n"; << "j=" << j << "\n";
} }
#endif #endif
// Avoid index out of bounds.
// Will end up setting zhat(k) = 0.
if (i >= k && l == 0) {
m_info = NumericalIssue;
prod = 0;
break;
}
Index j = i < k ? i : l > 0 ? perm(l - 1) : i; Index j = i < k ? i : l > 0 ? perm(l - 1) : i;
#ifdef EIGEN_BDCSVD_SANITY_CHECKS #ifdef EIGEN_BDCSVD_SANITY_CHECKS
if (!(dk != Literal(0) || diag(i) != Literal(0))) { if (!(dk != Literal(0) || diag(i) != Literal(0))) {
@ -1205,7 +1198,7 @@ void BDCSVD<MatrixType, Options>::computeSingVecs(const ArrayRef& zhat, const Ar
// page 12_13 // page 12_13
// i >= 1, di almost null and zi non null. // i >= 1, di almost null and zi non null.
// We use a rotation to zero out zi applied to the left of M // We use a rotation to zero out zi applied to the left of M, and set di = 0.
template <typename MatrixType, int Options> template <typename MatrixType, int Options>
void BDCSVD<MatrixType, Options>::deflation43(Index firstCol, Index shift, Index i, Index size) { void BDCSVD<MatrixType, Options>::deflation43(Index firstCol, Index shift, Index i, Index size) {
using std::abs; using std::abs;
@ -1231,9 +1224,8 @@ void BDCSVD<MatrixType, Options>::deflation43(Index firstCol, Index shift, Index
} // end deflation 43 } // end deflation 43
// page 13 // page 13
// i,j >= 1, i!=j and |di - dj| < epsilon * norm2(M) // i,j >= 1, i > j, and |di - dj| < epsilon * norm2(M)
// We apply two rotations to have zj = 0; // We apply two rotations to have zi = 0, and dj = di.
// TODO deflation44 is still broken and not properly tested
template <typename MatrixType, int Options> template <typename MatrixType, int Options>
void BDCSVD<MatrixType, Options>::deflation44(Index firstColu, Index firstColm, Index firstRowW, Index firstColW, void BDCSVD<MatrixType, Options>::deflation44(Index firstColu, Index firstColm, Index firstRowW, Index firstColW,
Index i, Index j, Index size) { Index i, Index j, Index size) {
@ -1241,9 +1233,10 @@ void BDCSVD<MatrixType, Options>::deflation44(Index firstColu, Index firstColm,
using std::conj; using std::conj;
using std::pow; using std::pow;
using std::sqrt; using std::sqrt;
RealScalar c = m_computed(firstColm + i, firstColm);
RealScalar s = m_computed(firstColm + j, firstColm); RealScalar s = m_computed(firstColm + i, firstColm);
RealScalar r = sqrt(numext::abs2(c) + numext::abs2(s)); RealScalar c = m_computed(firstColm + j, firstColm);
RealScalar r = numext::hypot(c, s);
#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE #ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
std::cout << "deflation 4.4: " << i << "," << j << " -> " << c << " " << s << " " << r << " ; " 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, firstColm) << " "
@ -1253,21 +1246,21 @@ void BDCSVD<MatrixType, Options>::deflation44(Index firstColu, Index firstColm,
<< m_computed(firstColm + i + 2, firstColm + i + 2) << "\n"; << m_computed(firstColm + i + 2, firstColm + i + 2) << "\n";
#endif #endif
if (numext::is_exactly_zero(r)) { if (numext::is_exactly_zero(r)) {
m_computed(firstColm + i, firstColm + i) = m_computed(firstColm + j, firstColm + j); m_computed(firstColm + j, firstColm + j) = m_computed(firstColm + i, firstColm + i);
return; return;
} }
c /= r; c /= r;
s /= r; s /= r;
m_computed(firstColm + i, firstColm) = r; m_computed(firstColm + j, firstColm) = r;
m_computed(firstColm + j, firstColm + j) = m_computed(firstColm + i, firstColm + i); m_computed(firstColm + j, firstColm + j) = m_computed(firstColm + i, firstColm + i);
m_computed(firstColm + j, firstColm) = Literal(0); m_computed(firstColm + i, firstColm) = Literal(0);
JacobiRotation<RealScalar> J(c, -s); JacobiRotation<RealScalar> J(c, -s);
if (m_compU) if (m_compU)
m_naiveU.middleRows(firstColu, size + 1).applyOnTheRight(firstColu + i, firstColu + j, J); m_naiveU.middleRows(firstColu, size + 1).applyOnTheRight(firstColu + j, firstColu + i, J);
else else
m_naiveU.applyOnTheRight(firstColu + i, firstColu + j, J); m_naiveU.applyOnTheRight(firstColu + j, firstColu + i, J);
if (m_compV) m_naiveV.middleRows(firstRowW, size).applyOnTheRight(firstColW + i, firstColW + j, J); if (m_compV) m_naiveV.middleRows(firstRowW, size).applyOnTheRight(firstColW + j, firstColW + i, J);
} // end deflation 44 } // end deflation 44
// acts on block from (firstCol+shift, firstCol+shift) to (lastCol+shift, lastCol+shift) [inclusive] // acts on block from (firstCol+shift, firstCol+shift) to (lastCol+shift, lastCol+shift) [inclusive]
@ -1350,7 +1343,7 @@ void BDCSVD<MatrixType, Options>::deflation(Index firstCol, Index lastCol, Index
// Move deflated diagonal entries at the end. // Move deflated diagonal entries at the end.
for (Index i = 1; i < length; ++i) for (Index i = 1; i < length; ++i)
if (abs(diag(i)) < considerZero) permutation[p++] = i; if (diag(i) < considerZero) permutation[p++] = i;
Index i = 1, j = k + 1; Index i = 1, j = k + 1;
for (; p < length; ++p) { for (; p < length; ++p) {
@ -1369,7 +1362,7 @@ void BDCSVD<MatrixType, Options>::deflation(Index firstCol, Index lastCol, Index
if (total_deflation) { if (total_deflation) {
for (Index i = 1; i < length; ++i) { for (Index i = 1; i < length; ++i) {
Index pi = permutation[i]; Index pi = permutation[i];
if (abs(diag(pi)) < considerZero || diag(0) < diag(pi)) if (diag(pi) < considerZero || diag(0) < diag(pi))
permutation[i - 1] = permutation[i]; permutation[i - 1] = permutation[i];
else { else {
permutation[i - 1] = 0; permutation[i - 1] = 0;
@ -1424,17 +1417,19 @@ void BDCSVD<MatrixType, Options>::deflation(Index firstCol, Index lastCol, Index
// condition 4.4 // condition 4.4
{ {
Index i = length - 1; Index i = length - 1;
while (i > 0 && (abs(diag(i)) < considerZero || abs(col0(i)) < considerZero)) --i; // Find last non-deflated entry.
while (i > 0 && (diag(i) < considerZero || abs(col0(i)) < considerZero)) --i;
for (; i > 1; --i) for (; i > 1; --i)
if ((diag(i) - diag(i - 1)) < NumTraits<RealScalar>::epsilon() * maxDiag) { if ((diag(i) - diag(i - 1)) < epsilon_strict) {
#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE #ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
std::cout << "deflation 4.4 with i = " << i << " because " << diag(i) << " - " << diag(i - 1) std::cout << "deflation 4.4 with i = " << i << " because " << diag(i) << " - " << diag(i - 1)
<< " == " << (diag(i) - diag(i - 1)) << " < " << " == " << (diag(i) - diag(i - 1)) << " < "
<< NumTraits<RealScalar>::epsilon() * /*diag(i)*/ maxDiag << "\n"; << epsilon_strict << "\n";
#endif #endif
eigen_internal_assert(abs(diag(i) - diag(i - 1)) < epsilon_coarse && eigen_internal_assert(abs(diag(i) - diag(i - 1)) < epsilon_coarse &&
" diagonal entries are not properly sorted"); " diagonal entries are not properly sorted");
deflation44(firstCol, firstCol + shift, firstRowW, firstColW, i - 1, i, length); deflation44(firstCol, firstCol + shift, firstRowW, firstColW, i, i - 1, length);
} }
} }

11
test/bdcsvd.cpp
View File

@ -77,6 +77,14 @@ void bdcsvd_verify_assert(const MatrixType& input = MatrixType()) {
svd_verify_constructor_options_assert<BDCSVD<MatrixType>>(input); svd_verify_constructor_options_assert<BDCSVD<MatrixType>>(input);
} }
template <typename MatrixType>
void bdcsvd_check_convergence(const MatrixType& input) {
BDCSVD<MatrixType, Eigen::ComputeThinU | Eigen::ComputeThinV> svd(input);
VERIFY(svd.info() == Eigen::Success);
MatrixType D = svd.matrixU() * svd.singularValues().asDiagonal() * svd.matrixV().transpose();
VERIFY_IS_APPROX(input, D);
}
EIGEN_DECLARE_TEST(bdcsvd) { EIGEN_DECLARE_TEST(bdcsvd) {
CALL_SUBTEST_1((bdcsvd_verify_assert<Matrix3f>())); CALL_SUBTEST_1((bdcsvd_verify_assert<Matrix3f>()));
CALL_SUBTEST_2((bdcsvd_verify_assert<Matrix4d>())); CALL_SUBTEST_2((bdcsvd_verify_assert<Matrix4d>()));
@ -163,4 +171,7 @@ EIGEN_DECLARE_TEST(bdcsvd) {
// With total deflation issues before, when it shouldn't be triggered. // With total deflation issues before, when it shouldn't be triggered.
CALL_SUBTEST_47((compare_bdc_jacobi_instance(true, 3))); CALL_SUBTEST_47((compare_bdc_jacobi_instance(true, 3)));
CALL_SUBTEST_48((compare_bdc_jacobi_instance(false, 3))); CALL_SUBTEST_48((compare_bdc_jacobi_instance(false, 3)));
// Convergence for large constant matrix (https://gitlab.com/libeigen/eigen/-/issues/2491)
CALL_SUBTEST_49(bdcsvd_check_convergence<MatrixXf>(MatrixXf::Constant(500, 500, 1)));
} }