bug #977: add stableNormalize[d] methods: they are analogues to normalize[d] but with carefull handling of under/over-flow

Eigen/src/Core/Dot.h

@@ -142,6 +142,52 @@ inline void MatrixBase<Derived>::normalize()
     derived() /= numext::sqrt(z);
 }
 
+/** \returns an expression of the quotient of \c *this by its own norm while avoiding underflow and overflow.
+  *
+  * \only_for_vectors
+  *
+  * This method is analogue to the normalized() method, but it reduces the risk of
+  * underflow and overflow when computing the norm.
+  *
+  * \warning If the input vector is too small (i.e., this->norm()==0),
+  *          then this function returns a copy of the input.
+  *
+  * \sa stableNorm(), stableNormalize(), normalized()
+  */
+template<typename Derived>
+inline const typename MatrixBase<Derived>::PlainObject
+MatrixBase<Derived>::stableNormalized() const
+{
+  typedef typename internal::nested_eval<Derived,3>::type _Nested;
+  _Nested n(derived());
+  RealScalar w = n.cwiseAbs().maxCoeff();
+  RealScalar z = (n/w).squaredNorm();
+  if(z>RealScalar(0))
+    return n / (numext::sqrt(z)*w);
+  else
+    return n;
+}
+
+/** Normalizes the vector while avoid underflow and overflow
+  *
+  * \only_for_vectors
+  *
+  * This method is analogue to the normalize() method, but it reduces the risk of
+  * underflow and overflow when computing the norm.
+  *
+  * \warning If the input vector is too small (i.e., this->norm()==0), then \c *this is left unchanged.
+  *
+  * \sa stableNorm(), stableNormalized(), normalize()
+  */
+template<typename Derived>
+inline void MatrixBase<Derived>::stableNormalize()
+{
+  RealScalar w = cwiseAbs().maxCoeff();
+  RealScalar z = (derived()/w).squaredNorm();
+  if(z>RealScalar(0))
+    derived() /= numext::sqrt(z)*w;
+}
+
 //---------- implementation of other norms ----------
 
 namespace internal {

Eigen/src/Core/MatrixBase.h

@@ -204,7 +204,9 @@ template<typename Derived> class MatrixBase
     RealScalar blueNorm() const;
     RealScalar hypotNorm() const;
     EIGEN_DEVICE_FUNC const PlainObject normalized() const;
+    EIGEN_DEVICE_FUNC const PlainObject stableNormalized() const;
     EIGEN_DEVICE_FUNC void normalize();
+    EIGEN_DEVICE_FUNC void stableNormalize();
 
     EIGEN_DEVICE_FUNC const AdjointReturnType adjoint() const;
     EIGEN_DEVICE_FUNC void adjointInPlace();

test/stable_norm.cpp

@@ -163,6 +163,20 @@ template<typename MatrixType> void stable_norm(const MatrixType& m)
     VERIFY(!(numext::isfinite)(v.blueNorm()));      VERIFY((numext::isnan)(v.blueNorm()));
     VERIFY(!(numext::isfinite)(v.hypotNorm()));     VERIFY((numext::isnan)(v.hypotNorm()));
   }
+
+  // stableNormalize[d]
+  {
+    VERIFY_IS_APPROX(vrand.stableNormalized(), vrand.normalized());
+    MatrixType vcopy(vrand);
+    vcopy.stableNormalize();
+    VERIFY_IS_APPROX(vcopy, vrand.normalized());
+    VERIFY_IS_APPROX((vrand.stableNormalized()).norm(), RealScalar(1));
+    VERIFY_IS_APPROX(vcopy.norm(), RealScalar(1));
+    VERIFY_IS_APPROX((vbig.stableNormalized()).norm(), RealScalar(1));
+    VERIFY_IS_APPROX((vsmall.stableNormalized()).norm(), RealScalar(1));
+    VERIFY_IS_APPROX(vbig, vbig.stableNorm() * vbig.stableNormalized());
+    VERIFY_IS_APPROX(vsmall, vsmall.stableNorm() * vsmall.stableNormalized());
+  }
 }
 
 void test_stable_norm()