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Fix total deflation issue in BDCSVD, when & only when M is already diagonal.

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This commit is contained in:
Xinle Liu 2021-11-02 16:53:55 +00:00 committed by Rasmus Munk Larsen
parent 8f8c2ba2fe
commit 478a1bdda6
2 changed files with 158 additions and 121 deletions
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16
Eigen/src/SVD/BDCSVD.h
View File

@ -29,6 +29,10 @@
#include "./InternalHeaderCheck.h"
#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
#include <iostream>
#endif
namespace Eigen {
#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
@ -174,7 +178,7 @@ public:
void setSwitchSize(int s)
{
eigen_assert(s>3 && "BDCSVD the size of the algo switch has to be greater than 3");
eigen_assert(s>=3 && "BDCSVD the size of the algo switch has to be at least 3.");
m_algoswap = s;
}
@ -406,7 +410,7 @@ void BDCSVD<MatrixType>::structured_update(Block<MatrixXr,Dynamic,Dynamic> A, co
//@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 firstColW : 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>
@ -901,7 +905,7 @@ void BDCSVD<MatrixType>::computeSingVals(const ArrayRef& col0, const ArrayRef& d
RealScalar fLeft = secularEq(leftShifted, col0, diag, perm, diagShifted, shift);
eigen_internal_assert(fLeft<Literal(0));
#if defined EIGEN_INTERNAL_DEBUGGING || defined EIGEN_BDCSVD_SANITY_CHECKS
#if defined EIGEN_BDCSVD_DEBUG_VERBOSE || defined EIGEN_BDCSVD_SANITY_CHECKS || defined EIGEN_INTERNAL_DEBUGGING
RealScalar fRight = secularEq(rightShifted, col0, diag, perm, diagShifted, shift);
#endif
@ -1243,9 +1247,9 @@ void BDCSVD<MatrixType>::deflation(Eigen::Index firstCol, Eigen::Index lastCol,
std::cout << " : " << col0.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();
// 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.
const bool total_deflation = (col0.tail(length-1).array().abs()<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.

43
test/bdcsvd.cpp
View File

@ -54,20 +54,46 @@ void bdcsvd_method()
VERIFY_IS_APPROX(m.bdcSvd(ComputeFullU|ComputeFullV).adjoint().solve(m), m);
}
// compare the Singular values returned with Jacobi and Bdc
// Compare the Singular values returned with Jacobi and Bdc.
template<typename MatrixType>
void compare_bdc_jacobi(const MatrixType& a = MatrixType(), unsigned int computationOptions = 0)
void compare_bdc_jacobi(const MatrixType& a = MatrixType(), unsigned int computationOptions = 0, int algoswap = 16, bool random = true)
{
MatrixType m = MatrixType::Random(a.rows(), a.cols());
BDCSVD<MatrixType> bdc_svd(m);
MatrixType m = random ? MatrixType::Random(a.rows(), a.cols()) : a;
BDCSVD<MatrixType> bdc_svd(m.rows(), m.cols(), computationOptions);
bdc_svd.setSwitchSize(algoswap);
bdc_svd.compute(m);
JacobiSVD<MatrixType> jacobi_svd(m);
VERIFY_IS_APPROX(bdc_svd.singularValues(), jacobi_svd.singularValues());
if(computationOptions & ComputeFullU) VERIFY_IS_APPROX(bdc_svd.matrixU(), jacobi_svd.matrixU());
if(computationOptions & ComputeThinU) VERIFY_IS_APPROX(bdc_svd.matrixU(), jacobi_svd.matrixU());
if(computationOptions & ComputeFullV) VERIFY_IS_APPROX(bdc_svd.matrixV(), jacobi_svd.matrixV());
if(computationOptions & ComputeThinV) VERIFY_IS_APPROX(bdc_svd.matrixV(), jacobi_svd.matrixV());
}
// Verifies total deflation is **not** triggered.
void compare_bdc_jacobi_instance(bool structure_as_m, int algoswap = 16)
{
MatrixXd m(4, 3);
if (structure_as_m) {
// The first 3 rows are the reduced form of Matrix 1 as shown below, and it
// has nonzero elements in the first column and diagonals only.
m << 1.056293, 0, 0,
-0.336468, 0.907359, 0,
-1.566245, 0, 0.149150,
-0.1, 0, 0;
} else {
// Matrix 1.
m << 0.882336, 18.3914, -26.7921,
-5.58135, 17.1931, -24.0892,
-20.794, 8.68496, -4.83103,
-8.4981, -10.5451, 23.9072;
}
compare_bdc_jacobi(m, 0, algoswap, false);
}
EIGEN_DECLARE_TEST(bdcsvd)
{
CALL_SUBTEST_3(( svd_verify_assert<BDCSVD<Matrix3f> >(Matrix3f()) ));
@ -114,5 +140,12 @@ EIGEN_DECLARE_TEST(bdcsvd)
// CALL_SUBTEST_9( svd_preallocate<void>() );
CALL_SUBTEST_2( svd_underoverflow<void>() );
}
// Without total deflation issues.
CALL_SUBTEST_11(( compare_bdc_jacobi_instance(true) ));
CALL_SUBTEST_12(( compare_bdc_jacobi_instance(false) ));
// With total deflation issues before, when it shouldn't be triggered.
CALL_SUBTEST_13(( compare_bdc_jacobi_instance(true, 3) ));
CALL_SUBTEST_14(( compare_bdc_jacobi_instance(false, 3) ));
}