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Fix JacobiSVD for complex when the complex-to-real update already gives a diagonal 2x2 block.

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This commit is contained in:
Gael Guennebaud 2016-04-13 23:43:26 +02:00
parent 2c9e4fa417
commit 39211ba46b
1 changed files with 20 additions and 12 deletions
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32
Eigen/src/SVD/JacobiSVD.h
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@ -350,7 +350,7 @@ template<typename MatrixType, int QRPreconditioner>
struct svd_precondition_2x2_block_to_be_real<MatrixType, QRPreconditioner, false>
{
typedef JacobiSVD<MatrixType, QRPreconditioner> SVD;
static void run(typename SVD::WorkMatrixType&, SVD&, Index, Index) {}
static bool run(typename SVD::WorkMatrixType&, SVD&, Index, Index, const typename MatrixType::RealScalar&) { return true; }
};
template<typename MatrixType, int QRPreconditioner>
@ -359,7 +359,7 @@ 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 void run(typename SVD::WorkMatrixType& work_matrix, SVD& svd, Index p, Index q)
static bool run(typename SVD::WorkMatrixType& work_matrix, SVD& svd, Index p, Index q, const typename MatrixType::RealScalar& precision)
{
using std::sqrt;
Scalar z;
@ -368,7 +368,7 @@ struct svd_precondition_2x2_block_to_be_real<MatrixType, QRPreconditioner, true>
if(n==0)
{
// make sure firt column is zero (deflation)
// make sure first column is zero
work_matrix.coeffRef(p,p) = work_matrix.coeffRef(q,p) = Scalar(0);
if(work_matrix.coeff(p,q)!=Scalar(0))
{
@ -404,6 +404,12 @@ struct svd_precondition_2x2_block_to_be_real<MatrixType, QRPreconditioner, true>
if(svd.computeU()) svd.m_matrixU.col(q) *= conj(z);
}
}
const RealScalar considerAsZero = RealScalar(2) * std::numeric_limits<RealScalar>::denorm_min();
RealScalar threshold = numext::maxi<RealScalar>(considerAsZero,
precision * numext::maxi<RealScalar>(abs(work_matrix.coeff(p,p)), abs(work_matrix.coeff(q,q))));
// return true if we still have some work to do
return numext::abs(work_matrix(p,q)) > threshold || numext::abs(work_matrix(q,p)) > threshold;
}
};
@ -735,18 +741,20 @@ JacobiSVD<MatrixType, QRPreconditioner>::compute(const MatrixType& matrix, unsig
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
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);
// the complex to real operation returns true is 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, precision))
{
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());
// 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);
m_workMatrix.applyOnTheRight(p,q,j_right);
if(computeV()) m_matrixV.applyOnTheRight(p,q,j_right);
}
}
}
}