Add a RealQZ class: a generalized Schur decomposition for real matrices

Eigen/Eigenvalues

@@ -27,6 +27,7 @@
 
 #include "src/Eigenvalues/Tridiagonalization.h"
 #include "src/Eigenvalues/RealSchur.h"
+#include "src/Eigenvalues/RealQZ.h"
 #include "src/Eigenvalues/EigenSolver.h"
 #include "src/Eigenvalues/SelfAdjointEigenSolver.h"
 #include "src/Eigenvalues/GeneralizedSelfAdjointEigenSolver.h"

Eigen/src/Eigenvalues/RealQZ.h

@@ -0,0 +1,592 @@
+// This file is part of Eigen, a lightweight C++ template library
+// for linear algebra.
+//
+// Copyright (C) 2012 Alexey Korepanov <kaikaikai@yandex.ru>
+//
+// Eigen is free software; you can redistribute it and/or
+// modify it under the terms of the GNU Lesser General Public
+// License as published by the Free Software Foundation; either
+// version 3 of the License, or (at your option) any later version.
+//
+// Alternatively, you can redistribute it and/or
+// modify it under the terms of the GNU General Public License as
+// published by the Free Software Foundation; either version 2 of
+// the License, or (at your option) any later version.
+//
+// Eigen is distributed in the hope that it will be useful, but WITHOUT ANY
+// WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+// FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License or the
+// GNU General Public License for more details.
+//
+// You should have received a copy of the GNU Lesser General Public
+// License and a copy of the GNU General Public License along with
+// Eigen. If not, see <http://www.gnu.org/licenses/>.
+
+/* TODO:
+ * moar documentation
+ *
+ * Scalar(0), Scalar(0.5), etc
+ * use coeffRef?
+ *
+ */
+
+#ifndef EIGEN_REAL_QZ_H
+#define EIGEN_REAL_QZ_H
+
+namespace Eigen {
+
+  /** \eigenvalues_module \ingroup Eigenvalues_Module
+   *
+   *
+   * \class RealQZ
+   *
+   * \brief Performs a real QZ decomposition of a pair of square matrices
+   *
+   * \tparam _MatrixType the type of the matrix of which we are computing the
+   * real QZ decomposition; this is expected to be an instantiation of the
+   * Matrix class template.
+   *
+   * Given a real square matrices A and B, this class computes the real QZ
+   * decomposition: \f$ A = Q S Z \f$, \f$ B = Q T Z \f$ where Q and Z are
+   * real orthogonal matrixes, T is upper-triangular matrix, and S is upper
+   * quasi-triangular matrix. An orthogonal matrix is a matrix whose
+   * inverse is equal to its transpose, \f$ U^{-1} = U^T \f$. A quasi-triangular
+   * matrix is a block-triangular matrix whose diagonal consists of 1-by-1
+   * blocks and 2-by-2 blocks where further reduction is impossible due to
+   * complex eigenvalues. 
+   *
+   * The eigenvalues of the pencil \f$ A - z B \f$ can be obtained from
+   * 1x1 and 2x2 blocks on the diagonals of S and T.
+   *
+   * Call the function compute() to compute the real QZ decomposition of a
+   * given pair of matrices. Alternatively, you can use the 
+   * RealQZ(const MatrixType& B, const MatrixType& B, bool computeQZ)
+   * constructor which computes the real QZ decomposition at construction
+   * time. Once the decomposition is computed, you can use the matrixS(),
+   * matrixT(), matrixQ() and matrixZ() functions to retrieve the matrices
+   * S, T, Q and Z in the decomposition. If computeQZ==false, some time
+   * is saved by not computing matrices Q and Z.
+   *
+   * I should add an example of usage of this class, but I don't exactly know
+   * how.
+   *
+   * \note The implementation is based on the algorithm in "Matrix Computations"
+   * by Gene H. Golub and Charles F. Van Loan, and a paper "An algorithm for
+   * generalized eigenvalue problems" by C.B.Moler and G.W.Stewart.
+   *
+   * \sa class RealSchur, class ComplexSchur, class EigenSolver, class ComplexEigenSolver
+   */
+
+  template<typename _MatrixType> class RealQZ {
+    public:
+      typedef _MatrixType MatrixType;
+      enum {
+        RowsAtCompileTime = MatrixType::RowsAtCompileTime,
+        ColsAtCompileTime = MatrixType::ColsAtCompileTime,
+        Options = MatrixType::Options,
+        MaxRowsAtCompileTime = MatrixType::MaxRowsAtCompileTime,
+        MaxColsAtCompileTime = MatrixType::MaxColsAtCompileTime
+      };
+      typedef typename MatrixType::Scalar Scalar;
+      typedef std::complex<typename NumTraits<Scalar>::Real> ComplexScalar;
+      typedef typename MatrixType::Index Index;
+
+      typedef Matrix<ComplexScalar, ColsAtCompileTime, 1, Options & ~RowMajor, MaxColsAtCompileTime, 1> EigenvalueType;
+      typedef Matrix<Scalar, ColsAtCompileTime, 1, Options & ~RowMajor, MaxColsAtCompileTime, 1> ColumnVectorType;
+
+      /** \brief Default constructor.
+       *
+       * \param [in] size  Positive integer, size of the matrix whose QZ decomposition will be computed.
+       *
+       * The default constructor is useful in cases in which the user intends to
+       * perform decompositions via compute().  The \p size parameter is only
+       * used as a hint. It is not an error to give a wrong \p size, but it may
+       * impair performance.
+       *
+       * \sa compute() for an example.
+       */
+      RealQZ(Index size = RowsAtCompileTime==Dynamic ? 1 : RowsAtCompileTime) : 
+        m_S(size, size),
+        m_T(size, size),
+        m_Q(size, size),
+        m_Z(size, size),
+        m_workspace(size*2),
+        m_isInitialized(false)
+        { }
+
+      /** \brief Constructor; computes real QZ decomposition of given matrices
+       * 
+       * \param[in]  A          Matrix A.
+       * \param[in]  B          Matrix B.
+       * \param[in]  computeQZ  If false, A and Z are not computed.
+       *
+       * This constructor calls compute() to compute the QZ decomposition.
+       */
+      RealQZ(const MatrixType& A, const MatrixType& B, bool computeQZ = true) :
+        m_S(A.rows(),A.cols()),
+        m_T(A.rows(),A.cols()),
+        m_Q(A.rows(),A.cols()),
+        m_Z(A.rows(),A.cols()),
+        m_workspace(A.rows()*2),
+        m_isInitialized(false) {
+          compute(A, B, computeQZ);
+        }
+
+      /** \brief Returns matrix Q in the QZ decomposition. 
+       *
+       * \returns A const reference to the matrix Q.
+       */
+      const MatrixType& matrixQ() const {
+        eigen_assert(m_isInitialized && "RealQZ is not initialized.");
+        eigen_assert(m_computeQZ && "The matrices Q and Z have not been computed during the QZ decomposition.");
+        return m_Q;
+      }
+
+      /** \brief Returns matrix Z in the QZ decomposition. 
+       *
+       * \returns A const reference to the matrix Z.
+       */
+      const MatrixType& matrixZ() const {
+        eigen_assert(m_isInitialized && "RealQZ is not initialized.");
+        eigen_assert(m_computeQZ && "The matrices Q and Z have not been computed during the QZ decomposition.");
+        return m_Z;
+      }
+
+      /** \brief Returns matrix S in the QZ decomposition. 
+       *
+       * \returns A const reference to the matrix S.
+       */
+      const MatrixType& matrixS() const {
+        eigen_assert(m_isInitialized && "RealQZ is not initialized.");
+        return m_S;
+      }
+
+      /** \brief Returns matrix S in the QZ decomposition. 
+       *
+       * \returns A const reference to the matrix S.
+       */
+      const MatrixType& matrixT() const {
+        eigen_assert(m_isInitialized && "RealQZ is not initialized.");
+        return m_T;
+      }
+
+      /** \brief Computes QZ decomposition of given matrix. 
+       * 
+       * \param[in]  A          Matrix A.
+       * \param[in]  B          Matrix B.
+       * \param[in]  computeQZ  If false, A and Z are not computed.
+       * \returns    Reference to \c *this
+       */
+      RealQZ& compute(const MatrixType& A, const MatrixType& B, bool computeQZ = true);
+
+      /** \brief Reports whether previous computation was successful.
+       *
+       * \returns \c Success if computation was succesful, \c NoConvergence otherwise.
+       */
+      ComputationInfo info() const
+      {
+        eigen_assert(m_isInitialized && "RealQZ is not initialized.");
+        return m_info;
+      }
+
+      /** \brief Returns number of performed QR-like iterations.
+      */
+      Index iterations() const
+      {
+        eigen_assert(m_isInitialized && "RealQZ is not initialized.");
+        return m_global_iter;
+      }
+
+      /** \brief Maximum number of iterations.
+       *
+       * Maximum number of iterations allowed for an eigenvalue to converge. 
+       */
+      static const Index m_max_iter = 400;
+
+    private:
+
+      MatrixType m_S, m_T, m_Q, m_Z;
+      Matrix<Scalar,Dynamic,1> m_workspace;
+      ComputationInfo m_info;
+      bool m_isInitialized;
+      bool m_computeQZ;
+      Scalar m_normOfT, m_normOfS;
+      Index m_global_iter;
+
+      typedef Matrix<Scalar,3,1> Vector3s;
+      typedef Matrix<Scalar,2,1> Vector2s;
+      typedef Matrix<Scalar,2,2> Matrix2s;
+      typedef JacobiRotation<Scalar> JRs;
+
+      void hessenbergTriangular();
+      void computeNorms();
+      Index findSmallSubdiagEntry(Index iu);
+      Index findSmallDiagEntry(Index f, Index l);
+      void splitOffTwoRows(Index i);
+      void pushDownZero(Index z, Index f, Index l);
+      void step(Index f, Index l, Index iter);
+
+  }; // RealQZ
+
+  /** \internal Reduces S and T to upper Hessenberg - triangular form */
+  template<typename MatrixType>
+    void RealQZ<MatrixType>::hessenbergTriangular() {
+
+      const Index dim = m_S.cols();
+
+      // perform QR decomposition of T, overwrite T with R, save Q
+      HouseholderQR<MatrixType> qrT(m_T);
+      m_T = qrT.matrixQR();
+      m_T.template triangularView<StrictlyLower>().setZero();
+      m_Q = qrT.householderQ();
+      // overwrite S with Q* S
+      m_S.applyOnTheLeft(m_Q.adjoint());
+      // init Z as Identity
+      if (m_computeQZ)
+        m_Z = MatrixType::Identity(dim,dim);
+      // reduce S to upper Hessenberg with Givens rotations
+      for (Index j=0; j<=dim-3; j++) {
+        for (Index i=dim-1; i>=j+2; i--) {
+          JRs G;
+          // kill S(i,j)
+          G.makeGivens(m_S.coeff(i-1, j), m_S.coeff(i,j));
+          m_S.applyOnTheLeft(i-1,i,G.adjoint());
+          m_T.applyOnTheLeft(i-1,i,G.adjoint());
+          m_S.coeffRef(i,j) = Scalar(0.0);
+          // update Q
+          if (m_computeQZ)
+            m_Q.applyOnTheRight(i-1,i,G);
+          // kill T(i,i-1)
+          G.makeGivens(m_T.coeff(i,i), m_T.coeff(i,i-1));
+          m_S.applyOnTheRight(i,i-1,G);
+          m_T.applyOnTheRight(i,i-1,G);
+          m_T.coeffRef(i,i-1) = Scalar(0.0);
+          // update Z
+          if (m_computeQZ)
+            m_Z.applyOnTheLeft(i,i-1,G.adjoint());
+        }
+      }
+    }
+
+  /** \internal Computes vector L1 norms of S and T when in Hessenberg-Triangular form already */
+  template<typename MatrixType>
+    inline void RealQZ<MatrixType>::computeNorms() {
+      const Index size = m_S.cols();
+      m_normOfS = Scalar(0.0);
+      m_normOfT = Scalar(0.0);
+      for (Index j = 0; j < size; ++j) {
+        Index row_start = (std::max)(j-1,Index(0));
+        m_normOfS += m_S.row(j).segment(row_start, size - row_start).cwiseAbs().sum();
+        m_normOfT += m_T.row(j).segment(j, size - j).cwiseAbs().sum();
+      }
+    }
+
+
+  /** \internal Look for single small sub-diagonal element S(res, res-1) and return res (or 0) */
+  template<typename MatrixType>
+    inline typename MatrixType::Index RealQZ<MatrixType>::findSmallSubdiagEntry(Index iu) {
+      Index res = iu;
+      while (res > 0) {
+        Scalar s = internal::abs(m_S.coeff(res-1,res-1)) + internal::abs(m_S.coeff(res,res));
+        if (s == Scalar(0.0))
+          s = m_normOfS;
+        if (internal::abs(m_S.coeff(res,res-1)) < NumTraits<Scalar>::epsilon() * s)
+          break;
+        res--;
+      }
+      return res;
+    }
+
+  /** \internal Look for single small diagonal element T(res, res) for res between f and l, and return res (or f-1)  */
+  template<typename MatrixType>
+    inline typename MatrixType::Index RealQZ<MatrixType>::findSmallDiagEntry(Index f, Index l) {
+      Index res = l;
+      while (res >= f) {
+        if (internal::abs(m_T.coeff(res,res)) <= NumTraits<Scalar>::epsilon() * m_normOfT)
+          break;
+        res--;
+      }
+      return res;
+    }
+
+  /** \internal decouple 2x2 diagonal block in rows iu, iu+1 if eigenvalues are real */
+  template<typename MatrixType>
+    inline void RealQZ<MatrixType>::splitOffTwoRows(Index i) {
+      const Index dim=m_S.cols();
+      if (internal::abs(m_S.coeff(i+1,1)==Scalar(0)))
+        return;
+      Index z = findSmallDiagEntry(i,i+1);
+      if (z==i-1) {
+        // block of (S T^{-1})
+        Matrix2s STi = m_T.template block<2,2>(i,i).template triangularView<Upper>().
+          template solve<OnTheRight>(m_S.template block<2,2>(i,i));
+        Scalar p = Scalar(0.5)*(STi(0,0)-STi(1,1));
+        Scalar q = p*p + STi(1,0)*STi(0,1);
+        if (q>=0) {
+          Scalar z = internal::sqrt(q);
+          // QR for ABi - lambda I
+          JRs G;
+          if (p>=0)
+            G.makeGivens(p + z, STi(1,0));
+          else
+            G.makeGivens(p - z, STi(1,0));
+          m_S.rightCols(dim-i).applyOnTheLeft(i,i+1,G.adjoint());
+          m_T.rightCols(dim-i).applyOnTheLeft(i,i+1,G.adjoint());
+          // update Q
+          if (m_computeQZ)
+            m_Q.applyOnTheRight(i,i+1,G);
+
+          G.makeGivens(m_T.coeff(i+1,i+1), m_T.coeff(i+1,i));
+          m_S.topRows(i+2).applyOnTheRight(i+1,i,G);
+          m_T.topRows(i+2).applyOnTheRight(i+1,i,G);
+          // update Z
+          if (m_computeQZ)
+            m_Z.applyOnTheLeft(i+1,i,G.adjoint());
+
+          m_S.coeffRef(i+1,i) = Scalar(0.0);
+          m_T.coeffRef(i+1,i) = Scalar(0.0);
+        }
+      } else {
+        pushDownZero(z,i,i+1);
+      }
+    }
+
+  /** \internal use zero in T(z,z) to zero S(l,l-1), working in block f..l */
+  template<typename MatrixType>
+    inline void RealQZ<MatrixType>::pushDownZero(Index z, Index f, Index l) {
+      JRs G;
+      const Index dim = m_S.cols();
+      for (Index zz=z; zz<l; zz++) {
+        // push 0 down
+        Index firstColS = zz>f ? (zz-1) : zz;
+        G.makeGivens(m_T.coeff(zz, zz+1), m_T.coeff(zz+1, zz+1));
+        m_S.rightCols(dim-firstColS).applyOnTheLeft(zz,zz+1,G.adjoint());
+        m_T.rightCols(dim-zz).applyOnTheLeft(zz,zz+1,G.adjoint());
+        m_T.coeffRef(zz+1,zz+1) = Scalar(0.0);
+        // update Q
+        if (m_computeQZ)
+          m_Q.applyOnTheRight(zz,zz+1,G);
+        // kill S(zz+1, zz-1)
+        if (zz>f) {
+          G.makeGivens(m_S.coeff(zz+1, zz), m_S.coeff(zz+1,zz-1));
+          m_S.bottomRows(dim-zz).applyOnTheRight(zz, zz-1,G);
+          m_T.bottomRows(dim-zz).applyOnTheRight(zz, zz-1,G);
+          m_S.coeffRef(zz+1,zz-1) = Scalar(0.0);
+          // update Z
+          if (m_computeQZ)
+            m_Z.applyOnTheLeft(zz,zz-1,G.adjoint());
+        }
+      }
+      // finally kill S(l,l-1)
+      G.makeGivens(m_S.coeff(l,l), m_S.coeff(l,l-1));
+      m_S.applyOnTheRight(l,l-1,G);
+      m_T.applyOnTheRight(l,l-1,G);
+      m_S.coeffRef(l,l-1)=Scalar(0.0);
+      // update Z
+      if (m_computeQZ)
+        m_Z.applyOnTheLeft(l,l-1,G.adjoint());
+    }
+
+  /** \internal QR-like iterative step */
+  template<typename MatrixType>
+    inline void RealQZ<MatrixType>::step(Index f, Index l, Index iter) {
+      const Index dim = m_S.cols();
+
+      // x, y, z
+      Scalar x, y, z;
+      if (iter==10) {
+        // Wilkinson ad hoc shift
+        const Scalar
+          a11=m_S.coeff(f+0,f+0), a12=m_S.coeff(f+0,f+1),
+          a21=m_S.coeff(f+1,f+0), a22=m_S.coeff(f+1,f+1), a32=m_S.coeff(f+2,f+1),
+          b12=m_T.coeff(f+0,f+1),
+          b11i=Scalar(1.0)/m_T.coeff(f+0,f+0),
+          b22i=Scalar(1.0)/m_T.coeff(f+1,f+1),
+          a87=m_S.coeff(l-1,l-2),
+          a98=m_S.coeff(l-0,l-1),
+          b77i=Scalar(1.0)/m_T.coeff(l-2,l-2),
+          b88i=Scalar(1.0)/m_T.coeff(l-1,l-1);
+        Scalar ss = internal::abs(a87*b77i) + internal::abs(a98*b88i),
+               lpl = Scalar(1.5)*ss,
+               ll = ss*ss;
+        x = ll + a11*a11*b11i*b11i - lpl*a11*b11i + a12*a21*b11i*b22i
+          - a11*a21*b12*b11i*b11i*b22i;
+        y = a11*a21*b11i*b11i - lpl*a21*b11i + a21*a22*b11i*b22i 
+          - a21*a21*b12*b11i*b11i*b22i;
+        z = a21*a32*b11i*b22i;
+      } else if (iter==16) {
+        // another exceptional shift
+        x = m_S.coeff(f,f)/m_T.coeff(f,f)-m_S.coeff(l,l)/m_T.coeff(l,l) + m_S.coeff(l,l-1)*m_T.coeff(l-1,l) /
+          (m_T.coeff(l-1,l-1)*m_T.coeff(l,l));
+        y = m_S.coeff(f+1,f)/m_T.coeff(f,f);
+        z = 0;
+      } else if (iter>23 && !(iter%8)) {
+        // extremely exceptional shift
+        x = internal::random<Scalar>(-1.0,1.0);
+        y = internal::random<Scalar>(-1.0,1.0);
+        z = internal::random<Scalar>(-1.0,1.0);
+      } else {
+        const Scalar 
+          a11=m_S.coeff(f,f), a12=m_S.coeff(f,f+1), 
+          a21=m_S.coeff(f+1,f), a22=m_S.coeff(f+1,f+1),
+          a32=m_S.coeff(f+2,f+1),
+          a88=m_S.coeff(l-1,l-1), a89=m_S.coeff(l-1,l),
+          a98=m_S.coeff(l,l-1), a99=m_S.coeff(l,l),
+          b11=m_T.coeff(f,f), b11i=1.0/b11, b12=m_T.coeff(f,f+1),
+          b22i=Scalar(1.0)/m_T.coeff(f+1,f+1),
+          b88i=Scalar(1.0)/m_T.coeff(l-1,l-1), b89=m_T.coeff(l-1,l),
+          b99i=Scalar(1.0)/m_T.coeff(l,l);
+        x = ( (a88*b88i - a11*b11i)*(a99*b99i - a11*b11i) - (a89*b99i)*(a98*b88i) + (a98*b88i)*(b89*b99i)*(a11*b11i) ) * (b11/a21)
+          + a12*b22i - (a11*b11i)*(b12*b22i);
+        y = (a22*b22i-a11*b11i) - (a21*b11i)*(b12*b22i) - (a88*b88i-a11*b11i) - (a99*b99i-a11*b11i) + (a98*b88i)*(b89*b99i);
+        z = a32*b22i;
+      }
+
+      JRs G;
+
+      for (Index k=f; k<=l-2; k++) {  
+        // variables for Householder reflections
+        Vector2s essential2;
+        Scalar tau, beta;
+
+        Vector3s hr(x,y,z);
+
+        // Q_k
+        hr.makeHouseholderInPlace(tau, beta);
+        essential2 = hr.template bottomRows<2>();
+        Index fc=(std::max)(k-1,Index(0));  // first col to update
+        m_S.template middleRows<3>(k).rightCols(dim-fc).applyHouseholderOnTheLeft(essential2, tau, m_workspace.data());
+        m_T.template middleRows<3>(k).rightCols(dim-fc).applyHouseholderOnTheLeft(essential2, tau, m_workspace.data());
+        if (m_computeQZ)
+          m_Q.template middleCols<3>(k).applyHouseholderOnTheRight(essential2, tau, m_workspace.data());
+        if (k>f) {
+          m_S.coeffRef(k+1,k-1) = Scalar(0.0);
+          m_S.coeffRef(k+2,k-1) = Scalar(0.0);
+        }
+
+        // Z_{k1}
+        hr << m_T.coeff(k+2,k+2),m_T.coeff(k+2,k),m_T.coeff(k+2,k+1);
+        hr.makeHouseholderInPlace(tau, beta);
+        essential2 = hr.template bottomRows<2>();
+        {
+          Index lr = (std::min)(k+4,dim); // last row to update
+          Map<Matrix<Scalar,Dynamic,1> > tmp(m_workspace.data(),lr);
+          // S
+          tmp = m_S.template middleCols<2>(k).topRows(lr) * essential2;
+          tmp += m_S.col(k+2).head(lr);
+          m_S.col(k+2).head(lr) -= tau*tmp;
+          m_S.template middleCols<2>(k).topRows(lr) -= (tau*tmp) * essential2.adjoint();
+          // T
+          tmp = m_T.template middleCols<2>(k).topRows(lr) * essential2;
+          tmp += m_T.col(k+2).head(lr);
+          m_T.col(k+2).head(lr) -= tau*tmp;
+          m_T.template middleCols<2>(k).topRows(lr) -= (tau*tmp) * essential2.adjoint();
+        }
+        if (m_computeQZ) {
+          // Z
+          Map<Matrix<Scalar,1,Dynamic> > tmp(m_workspace.data(),dim);
+          tmp = essential2.adjoint()*(m_Z.template middleRows<2>(k));
+          tmp += m_Z.row(k+2);
+          m_Z.row(k+2) -= tau*tmp;
+          m_Z.template middleRows<2>(k) -= essential2 * (tau*tmp);
+        }
+        m_T.coeffRef(k+2,k) = Scalar(0.0);
+        m_T.coeffRef(k+2,k+1) = Scalar(0.0);
+
+        // Z_{k2}
+        G.makeGivens(m_T.coeff(k+1,k+1), m_T.coeff(k+1,k));
+        m_S.applyOnTheRight(k+1,k,G);
+        m_T.applyOnTheRight(k+1,k,G);
+        // update Z
+        if (m_computeQZ)
+          m_Z.applyOnTheLeft(k+1,k,G.adjoint());
+        m_T.coeffRef(k+1,k) = Scalar(0.0);
+
+        // update x,y,z
+        x = m_S.coeff(k+1,k);
+        y = m_S.coeff(k+2,k);
+        if (k < l-2)
+          z = m_S.coeff(k+3,k);
+      } // loop over k
+
+      // Q_{n-1}
+      G.makeGivens(x,y);
+      m_S.applyOnTheLeft(l-1,l,G.adjoint());
+      m_T.applyOnTheLeft(l-1,l,G.adjoint());
+      if (m_computeQZ)
+        m_Q.applyOnTheRight(l-1,l,G);
+      m_S.coeffRef(l,l-2) = Scalar(0.0);
+
+      // Z_{n-1}
+      G.makeGivens(m_T.coeff(l,l),m_T.coeff(l,l-1));
+      m_S.applyOnTheRight(l,l-1,G);
+      m_T.applyOnTheRight(l,l-1,G);
+      if (m_computeQZ)
+        m_Z.applyOnTheLeft(l,l-1,G.adjoint());
+      m_T.coeffRef(l,l-1) = Scalar(0.0);
+
+    }
+
+
+  template<typename MatrixType>
+    RealQZ<MatrixType>& RealQZ<MatrixType>::compute(const MatrixType& A_in, const MatrixType& B_in, bool computeQZ) {
+
+      const Index dim = A_in.cols();
+
+      assert (A_in.rows()==dim && A_in.cols()==dim 
+          && B_in.rows()==dim && B_in.cols()==dim 
+          && "Need square matrices of the same dimension");
+
+      m_isInitialized = true;
+      m_computeQZ = computeQZ;
+      m_S = A_in; m_T = B_in;
+      m_workspace.resize(dim*2);
+      m_global_iter = 0;
+
+      // entrance point: hessenberg triangular decomposition
+      hessenbergTriangular();
+      // compute L1 vector norms of T, S into m_normOfS, m_normOfT
+      computeNorms();
+
+      Index l = dim-1, 
+            f, 
+            local_iter = 0;
+
+      while (l>0 && local_iter<m_max_iter) {
+        f = findSmallSubdiagEntry(l);
+        if (f>0) m_S.coeffRef(f,f-1) = Scalar(0.0);
+        if (f == l) {
+          l --;
+          local_iter = 0;
+        } else if (f == l-1) {
+          splitOffTwoRows(f);
+          l -= 2;
+          local_iter = 0;
+        } else {
+          Index z = findSmallDiagEntry(f,l);
+          if (z>=f) {
+            // zero found
+            pushDownZero(z,f,l);
+          } else {
+            // QR-like iteration
+            step(f,l, local_iter);
+            local_iter++;
+            m_global_iter++;
+          }
+        }
+      }
+      // check if we converged before reaching iterations limit
+      if (local_iter<m_max_iter) {
+        m_info = Success;
+      } else {
+        m_info = NoConvergence;
+      }
+      return *this;
+    } // end compute
+
+
+} // end namespace Eigen
+
+
+#endif //EIGEN_REAL_QZ
+

test/CMakeLists.txt

@@ -155,6 +155,7 @@ ei_add_test(inverse)
 ei_add_test(qr)
 ei_add_test(qr_colpivoting)
 ei_add_test(qr_fullpivoting)
+ei_add_test(real_qz)
 ei_add_test(upperbidiagonalization)
 ei_add_test(hessenberg)
 ei_add_test(schur_real)

test/real_qz.cpp

@@ -0,0 +1,84 @@
+// This file is part of Eigen, a lightweight C++ template library
+// for linear algebra.
+//
+// Copyright (C) 2012 Alexey Korepanov <kaikaikai@yandex.ru>
+//
+// Eigen is free software; you can redistribute it and/or
+// modify it under the terms of the GNU Lesser General Public
+// License as published by the Free Software Foundation; either
+// version 3 of the License, or (at your option) any later version.
+//
+// Alternatively, you can redistribute it and/or
+// modify it under the terms of the GNU General Public License as
+// published by the Free Software Foundation; either version 2 of
+// the License, or (at your option) any later version.
+//
+// Eigen is distributed in the hope that it will be useful, but WITHOUT ANY
+// WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+// FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License or the
+// GNU General Public License for more details.
+//
+// You should have received a copy of the GNU Lesser General Public
+// License and a copy of the GNU General Public License along with
+// Eigen. If not, see <http://www.gnu.org/licenses/>.
+
+#include "main.h"
+#include <limits>
+#include <Eigen/Eigenvalues>
+
+template<typename MatrixType> void real_qz(const MatrixType& m)
+{
+  /* this test covers the following files:
+     RealQZ.h
+  */
+  
+  typedef typename MatrixType::Index Index;
+  typedef typename MatrixType::Scalar Scalar;
+  typedef typename NumTraits<Scalar>::Real RealScalar;
+  typedef Matrix<Scalar, MatrixType::RowsAtCompileTime, 1> VectorType;
+  typedef Matrix<RealScalar, MatrixType::RowsAtCompileTime, 1> RealVectorType;
+  typedef typename std::complex<typename NumTraits<typename MatrixType::Scalar>::Real> Complex;
+  
+  Index dim = m.cols();
+  
+  MatrixType A = MatrixType::Random(dim,dim),
+             B = MatrixType::Random(dim,dim);
+
+  RealQZ<MatrixType> qz(A,B);
+  
+  VERIFY_IS_EQUAL(qz.info(), Success);
+  // check for zeros
+  bool all_zeros = true;
+  for (Index i=0; i<A.cols(); i++)
+    for (Index j=0; j<i; j++) {
+      if (internal::abs(qz.matrixT()(i,j))!=Scalar(0.0))
+        all_zeros = false;
+      if (j<i-1 && internal::abs(qz.matrixS()(i,j))!=Scalar(0.0))
+        all_zeros = false;
+      if (j==i-1 && j>0 && internal::abs(qz.matrixS()(i,j))!=Scalar(0.0) && internal::abs(qz.matrixS()(i-1,j-1))!=Scalar(0.0))
+        all_zeros = false;
+    }
+  VERIFY_IS_EQUAL(all_zeros, true);
+  VERIFY_IS_APPROX(qz.matrixQ()*qz.matrixS()*qz.matrixZ(), A);
+  VERIFY_IS_APPROX(qz.matrixQ()*qz.matrixT()*qz.matrixZ(), B);
+  VERIFY_IS_APPROX(qz.matrixQ()*qz.matrixQ().adjoint(), MatrixType::Identity(dim,dim));
+  VERIFY_IS_APPROX(qz.matrixZ()*qz.matrixZ().adjoint(), MatrixType::Identity(dim,dim));
+}
+
+void test_real_qz()
+{
+  int s;
+  for(int i = 0; i < g_repeat; i++) {
+    CALL_SUBTEST_1( real_qz(Matrix4f()) );
+    s = internal::random<int>(1,EIGEN_TEST_MAX_SIZE/4);
+    CALL_SUBTEST_2( real_qz(MatrixXd(s,s)) );
+
+    // some trivial but implementation-wise tricky cases
+    CALL_SUBTEST_2( real_qz(MatrixXd(1,1)) );
+    CALL_SUBTEST_2( real_qz(MatrixXd(2,2)) );
+    CALL_SUBTEST_3( real_qz(Matrix<double,1,1>()) );
+    CALL_SUBTEST_4( real_qz(Matrix2d()) );
+  }
+  
+  EIGEN_UNUSED_VARIABLE(s)
+}