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Reafctoring in D&C SVD unsupported module: clean and merge the SVDBase class to Eigen/SVD, rm copy/pasted JacobiSVD.h file

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Gael Guennebaud 2014-09-01 18:16:20 +02:00
parent b121eecf60
commit eb39296028
14 changed files with 180 additions and 1049 deletions
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1
Eigen/SVD
View File

@ -21,6 +21,7 @@
*/ */
#include "src/misc/Solve.h" #include "src/misc/Solve.h"
#include "src/SVD/SVDBase.h"
#include "src/SVD/JacobiSVD.h" #include "src/SVD/JacobiSVD.h"
#if defined(EIGEN_USE_LAPACKE) && !defined(EIGEN_USE_LAPACKE_STRICT) #if defined(EIGEN_USE_LAPACKE) && !defined(EIGEN_USE_LAPACKE_STRICT)
#include "src/SVD/JacobiSVD_MKL.h" #include "src/SVD/JacobiSVD_MKL.h"

182
Eigen/src/SVD/JacobiSVD.h
View File

@ -2,6 +2,7 @@
// for linear algebra. // for linear algebra.
// //
// Copyright (C) 2009-2010 Benoit Jacob <jacob.benoit.1@gmail.com> // Copyright (C) 2009-2010 Benoit Jacob <jacob.benoit.1@gmail.com>
// Copyright (C) 2013-2014 Gael Guennebaud <gael.guennebaud@inria.fr>
// //
// This Source Code Form is subject to the terms of the Mozilla // This Source Code Form is subject to the terms of the Mozilla
// Public License v. 2.0. If a copy of the MPL was not distributed // Public License v. 2.0. If a copy of the MPL was not distributed
@ -442,6 +443,12 @@ void real_2x2_jacobi_svd(const MatrixType& matrix, Index p, Index q,
*j_left = rot1 * j_right->transpose(); *j_left = rot1 * j_right->transpose();
} }
template<typename _MatrixType, int QRPreconditioner>
struct traits<JacobiSVD<_MatrixType,QRPreconditioner> >
{
typedef _MatrixType MatrixType;
};
} // end namespace internal } // end namespace internal
/** \ingroup SVD_Module /** \ingroup SVD_Module
@ -498,7 +505,9 @@ void real_2x2_jacobi_svd(const MatrixType& matrix, Index p, Index q,
* \sa MatrixBase::jacobiSvd() * \sa MatrixBase::jacobiSvd()
*/ */
template<typename _MatrixType, int QRPreconditioner> class JacobiSVD template<typename _MatrixType, int QRPreconditioner> class JacobiSVD
: public SVDBase<JacobiSVD<_MatrixType,QRPreconditioner> >
{ {
typedef SVDBase<JacobiSVD> Base;
public: public:
typedef _MatrixType MatrixType; typedef _MatrixType MatrixType;
@ -515,13 +524,10 @@ template<typename _MatrixType, int QRPreconditioner> class JacobiSVD
MatrixOptions = MatrixType::Options MatrixOptions = MatrixType::Options
}; };
typedef Matrix<Scalar, RowsAtCompileTime, RowsAtCompileTime, typedef typename Base::MatrixUType MatrixUType;
MatrixOptions, MaxRowsAtCompileTime, MaxRowsAtCompileTime> typedef typename Base::MatrixVType MatrixVType;
MatrixUType; typedef typename Base::SingularValuesType SingularValuesType;
typedef Matrix<Scalar, ColsAtCompileTime, ColsAtCompileTime,
MatrixOptions, MaxColsAtCompileTime, MaxColsAtCompileTime>
MatrixVType;
typedef typename internal::plain_diag_type<MatrixType, RealScalar>::type SingularValuesType;
typedef typename internal::plain_row_type<MatrixType>::type RowType; typedef typename internal::plain_row_type<MatrixType>::type RowType;
typedef typename internal::plain_col_type<MatrixType>::type ColType; typedef typename internal::plain_col_type<MatrixType>::type ColType;
typedef Matrix<Scalar, DiagSizeAtCompileTime, DiagSizeAtCompileTime, typedef Matrix<Scalar, DiagSizeAtCompileTime, DiagSizeAtCompileTime,
@ -534,11 +540,6 @@ template<typename _MatrixType, int QRPreconditioner> class JacobiSVD
* perform decompositions via JacobiSVD::compute(const MatrixType&). * perform decompositions via JacobiSVD::compute(const MatrixType&).
*/ */
JacobiSVD() JacobiSVD()
: m_isInitialized(false),
m_isAllocated(false),
m_usePrescribedThreshold(false),
m_computationOptions(0),
m_rows(-1), m_cols(-1), m_diagSize(0)
{} {}
@ -549,11 +550,6 @@ template<typename _MatrixType, int QRPreconditioner> class JacobiSVD
* \sa JacobiSVD() * \sa JacobiSVD()
*/ */
JacobiSVD(Index rows, Index cols, unsigned int computationOptions = 0) JacobiSVD(Index rows, Index cols, unsigned int computationOptions = 0)
: m_isInitialized(false),
m_isAllocated(false),
m_usePrescribedThreshold(false),
m_computationOptions(0),
m_rows(-1), m_cols(-1)
{ {
allocate(rows, cols, computationOptions); allocate(rows, cols, computationOptions);
} }
@ -569,11 +565,6 @@ template<typename _MatrixType, int QRPreconditioner> class JacobiSVD
* available with the (non-default) FullPivHouseholderQR preconditioner. * available with the (non-default) FullPivHouseholderQR preconditioner.
*/ */
JacobiSVD(const MatrixType& matrix, unsigned int computationOptions = 0) JacobiSVD(const MatrixType& matrix, unsigned int computationOptions = 0)
: m_isInitialized(false),
m_isAllocated(false),
m_usePrescribedThreshold(false),
m_computationOptions(0),
m_rows(-1), m_cols(-1)
{ {
compute(matrix, computationOptions); compute(matrix, computationOptions);
} }
@ -601,54 +592,6 @@ template<typename _MatrixType, int QRPreconditioner> class JacobiSVD
return compute(matrix, m_computationOptions); return compute(matrix, m_computationOptions);
} }
/** \returns the \a U matrix.
*
* For the SVD decomposition of a n-by-p matrix, letting \a m be the minimum of \a n and \a p,
* the U matrix is n-by-n if you asked for #ComputeFullU, and is n-by-m if you asked for #ComputeThinU.
*
* The \a m first columns of \a U are the left singular vectors of the matrix being decomposed.
*
* This method asserts that you asked for \a U to be computed.
*/
const MatrixUType& matrixU() const
{
eigen_assert(m_isInitialized && "JacobiSVD is not initialized.");
eigen_assert(computeU() && "This JacobiSVD decomposition didn't compute U. Did you ask for it?");
return m_matrixU;
}
/** \returns the \a V matrix.
*
* For the SVD decomposition of a n-by-p matrix, letting \a m be the minimum of \a n and \a p,
* the V matrix is p-by-p if you asked for #ComputeFullV, and is p-by-m if you asked for ComputeThinV.
*
* The \a m first columns of \a V are the right singular vectors of the matrix being decomposed.
*
* This method asserts that you asked for \a V to be computed.
*/
const MatrixVType& matrixV() const
{
eigen_assert(m_isInitialized && "JacobiSVD is not initialized.");
eigen_assert(computeV() && "This JacobiSVD decomposition didn't compute V. Did you ask for it?");
return m_matrixV;
}
/** \returns the vector of singular values.
*
* For the SVD decomposition of a n-by-p matrix, letting \a m be the minimum of \a n and \a p, the
* returned vector has size \a m. Singular values are always sorted in decreasing order.
*/
const SingularValuesType& singularValues() const
{
eigen_assert(m_isInitialized && "JacobiSVD is not initialized.");
return m_singularValues;
}
/** \returns true if \a U (full or thin) is asked for in this SVD decomposition */
inline bool computeU() const { return m_computeFullU || m_computeThinU; }
/** \returns true if \a V (full or thin) is asked for in this SVD decomposition */
inline bool computeV() const { return m_computeFullV || m_computeThinV; }
/** \returns a (least squares) solution of \f$ A x = b \f$ using the current SVD decomposition of A. /** \returns a (least squares) solution of \f$ A x = b \f$ using the current SVD decomposition of A.
* *
* \param b the right-hand-side of the equation to solve. * \param b the right-hand-side of the equation to solve.
@ -667,93 +610,30 @@ template<typename _MatrixType, int QRPreconditioner> class JacobiSVD
return internal::solve_retval<JacobiSVD, Rhs>(*this, b.derived()); return internal::solve_retval<JacobiSVD, Rhs>(*this, b.derived());
} }
/** \returns the number of singular values that are not exactly 0 */ using Base::computeU;
Index nonzeroSingularValues() const using Base::computeV;
{
eigen_assert(m_isInitialized && "JacobiSVD is not initialized.");
return m_nonzeroSingularValues;
}
/** \returns the rank of the matrix of which \c *this is the SVD.
*
* \note This method has to determine which singular values should be considered nonzero.
* For that, it uses the threshold value that you can control by calling
* setThreshold(const RealScalar&).
*/
inline Index rank() const
{
using std::abs;
eigen_assert(m_isInitialized && "JacobiSVD is not initialized.");
if(m_singularValues.size()==0) return 0;
RealScalar premultiplied_threshold = m_singularValues.coeff(0) * threshold();
Index i = m_nonzeroSingularValues-1;
while(i>=0 && m_singularValues.coeff(i) < premultiplied_threshold) --i;
return i+1;
}
/** Allows to prescribe a threshold to be used by certain methods, such as rank() and solve(),
* which need to determine when singular values are to be considered nonzero.
* This is not used for the SVD decomposition itself.
*
* When it needs to get the threshold value, Eigen calls threshold().
* The default is \c NumTraits<Scalar>::epsilon()
*
* \param threshold The new value to use as the threshold.
*
* A singular value will be considered nonzero if its value is strictly greater than
* \f$ \vert singular value \vert \leqslant threshold \times \vert max singular value \vert \f$.
*
* If you want to come back to the default behavior, call setThreshold(Default_t)
*/
JacobiSVD& setThreshold(const RealScalar& threshold)
{
m_usePrescribedThreshold = true;
m_prescribedThreshold = threshold;
return *this;
}
/** Allows to come back to the default behavior, letting Eigen use its default formula for
* determining the threshold.
*
* You should pass the special object Eigen::Default as parameter here.
* \code svd.setThreshold(Eigen::Default); \endcode
*
* See the documentation of setThreshold(const RealScalar&).
*/
JacobiSVD& setThreshold(Default_t)
{
m_usePrescribedThreshold = false;
return *this;
}
/** Returns the threshold that will be used by certain methods such as rank().
*
* See the documentation of setThreshold(const RealScalar&).
*/
RealScalar threshold() const
{
eigen_assert(m_isInitialized || m_usePrescribedThreshold);
return m_usePrescribedThreshold ? m_prescribedThreshold
: (std::max<Index>)(1,m_diagSize)*NumTraits<Scalar>::epsilon();
}
inline Index rows() const { return m_rows; }
inline Index cols() const { return m_cols; }
private: private:
void allocate(Index rows, Index cols, unsigned int computationOptions); void allocate(Index rows, Index cols, unsigned int computationOptions);
protected: protected:
MatrixUType m_matrixU; using Base::m_matrixU;
MatrixVType m_matrixV; using Base::m_matrixV;
SingularValuesType m_singularValues; using Base::m_singularValues;
using Base::m_isInitialized;
using Base::m_isAllocated;
using Base::m_usePrescribedThreshold;
using Base::m_computeFullU;
using Base::m_computeThinU;
using Base::m_computeFullV;
using Base::m_computeThinV;
using Base::m_computationOptions;
using Base::m_nonzeroSingularValues;
using Base::m_rows;
using Base::m_cols;
using Base::m_diagSize;
using Base::m_prescribedThreshold;
WorkMatrixType m_workMatrix; WorkMatrixType m_workMatrix;
bool m_isInitialized, m_isAllocated, m_usePrescribedThreshold;
bool m_computeFullU, m_computeThinU;
bool m_computeFullV, m_computeThinV;
unsigned int m_computationOptions;
Index m_nonzeroSingularValues, m_rows, m_cols, m_diagSize;
RealScalar m_prescribedThreshold;
template<typename __MatrixType, int _QRPreconditioner, bool _IsComplex> template<typename __MatrixType, int _QRPreconditioner, bool _IsComplex>
friend struct internal::svd_precondition_2x2_block_to_be_real; friend struct internal::svd_precondition_2x2_block_to_be_real;

137
unsupported/Eigen/src/SVD/SVDBase.h → Eigen/src/SVD/SVDBase.h
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@ -2,6 +2,7 @@
// for linear algebra. // for linear algebra.
// //
// Copyright (C) 2009-2010 Benoit Jacob <jacob.benoit.1@gmail.com> // Copyright (C) 2009-2010 Benoit Jacob <jacob.benoit.1@gmail.com>
// Copyright (C) 2014 Gael Guennebaud <gael.guennebaud@inria.fr>
// //
// Copyright (C) 2013 Gauthier Brun <brun.gauthier@gmail.com> // Copyright (C) 2013 Gauthier Brun <brun.gauthier@gmail.com>
// Copyright (C) 2013 Nicolas Carre <nicolas.carre@ensimag.fr> // Copyright (C) 2013 Nicolas Carre <nicolas.carre@ensimag.fr>
@ -12,8 +13,8 @@
// Public License v. 2.0. If a copy of the MPL was not distributed // Public License v. 2.0. If a copy of the MPL was not distributed
// with this file, You can obtain one at http://mozilla.org/MPL/2.0/. // with this file, You can obtain one at http://mozilla.org/MPL/2.0/.
#ifndef EIGEN_SVD_H #ifndef EIGEN_SVDBASE_H
#define EIGEN_SVD_H #define EIGEN_SVDBASE_H
namespace Eigen { namespace Eigen {
/** \ingroup SVD_Module /** \ingroup SVD_Module
@ -21,9 +22,10 @@ namespace Eigen {
* *
* \class SVDBase * \class SVDBase
* *
* \brief Mother class of SVD classes algorithms * \brief Base class of SVD algorithms
*
* \tparam Derived the type of the actual SVD decomposition
* *
* \param MatrixType the type of the matrix of which we are computing the SVD decomposition
* SVD decomposition consists in decomposing any n-by-p matrix \a A as a product * SVD decomposition consists in decomposing any n-by-p matrix \a A as a product
* \f[ A = U S V^* \f] * \f[ A = U S V^* \f]
* where \a U is a n-by-n unitary, \a V is a p-by-p unitary, and \a S is a n-by-p real positive matrix which is zero outside of its main diagonal; * where \a U is a n-by-n unitary, \a V is a p-by-p unitary, and \a S is a n-by-p real positive matrix which is zero outside of its main diagonal;
@ -42,12 +44,12 @@ namespace Eigen {
* terminate in finite (and reasonable) time. * terminate in finite (and reasonable) time.
* \sa MatrixBase::genericSvd() * \sa MatrixBase::genericSvd()
*/ */
template<typename _MatrixType> template<typename Derived>
class SVDBase class SVDBase
{ {
public: public:
typedef _MatrixType MatrixType; typedef typename internal::traits<Derived>::MatrixType MatrixType;
typedef typename MatrixType::Scalar Scalar; typedef typename MatrixType::Scalar Scalar;
typedef typename NumTraits<typename MatrixType::Scalar>::Real RealScalar; typedef typename NumTraits<typename MatrixType::Scalar>::Real RealScalar;
typedef typename MatrixType::Index Index; typedef typename MatrixType::Index Index;
@ -61,46 +63,16 @@ public:
MatrixOptions = MatrixType::Options MatrixOptions = MatrixType::Options
}; };
typedef Matrix<Scalar, RowsAtCompileTime, RowsAtCompileTime, typedef Matrix<Scalar, RowsAtCompileTime, RowsAtCompileTime, MatrixOptions, MaxRowsAtCompileTime, MaxRowsAtCompileTime> MatrixUType;
MatrixOptions, MaxRowsAtCompileTime, MaxRowsAtCompileTime> typedef Matrix<Scalar, ColsAtCompileTime, ColsAtCompileTime, MatrixOptions, MaxColsAtCompileTime, MaxColsAtCompileTime> MatrixVType;
MatrixUType;
typedef Matrix<Scalar, ColsAtCompileTime, ColsAtCompileTime,
MatrixOptions, MaxColsAtCompileTime, MaxColsAtCompileTime>
MatrixVType;
typedef typename internal::plain_diag_type<MatrixType, RealScalar>::type SingularValuesType; typedef typename internal::plain_diag_type<MatrixType, RealScalar>::type SingularValuesType;
typedef typename internal::plain_row_type<MatrixType>::type RowType;
typedef typename internal::plain_col_type<MatrixType>::type ColType;
typedef Matrix<Scalar, DiagSizeAtCompileTime, DiagSizeAtCompileTime,
MatrixOptions, MaxDiagSizeAtCompileTime, MaxDiagSizeAtCompileTime>
WorkMatrixType;
Derived& derived() { return *static_cast<Derived*>(this); }
const Derived& derived() const { return *static_cast<const Derived*>(this); }
/** \brief Method performing the decomposition of given matrix using custom options.
*
* \param matrix the matrix to decompose
* \param computationOptions optional parameter allowing to specify if you want full or thin U or V unitaries to be computed.
* By default, none is computed. This is a bit-field, the possible bits are #ComputeFullU, #ComputeThinU,
* #ComputeFullV, #ComputeThinV.
*
* Thin unitaries are only available if your matrix type has a Dynamic number of columns (for example MatrixXf). They also are not
* available with the (non-default) FullPivHouseholderQR preconditioner.
*/
SVDBase& compute(const MatrixType& matrix, unsigned int computationOptions);
/** \brief Method performing the decomposition of given matrix using current options.
*
* \param matrix the matrix to decompose
*
* This method uses the current \a computationOptions, as already passed to the constructor or to compute(const MatrixType&, unsigned int).
*/
//virtual SVDBase& compute(const MatrixType& matrix) = 0;
SVDBase& compute(const MatrixType& matrix);
/** \returns the \a U matrix. /** \returns the \a U matrix.
* *
* For the SVDBase decomposition of a n-by-p matrix, letting \a m be the minimum of \a n and \a p, * For the SVD decomposition of a n-by-p matrix, letting \a m be the minimum of \a n and \a p,
* the U matrix is n-by-n if you asked for #ComputeFullU, and is n-by-m if you asked for #ComputeThinU. * the U matrix is n-by-n if you asked for #ComputeFullU, and is n-by-m if you asked for #ComputeThinU.
* *
* The \a m first columns of \a U are the left singular vectors of the matrix being decomposed. * The \a m first columns of \a U are the left singular vectors of the matrix being decomposed.
@ -141,8 +113,6 @@ public:
return m_singularValues; return m_singularValues;
} }
/** \returns the number of singular values that are not exactly 0 */ /** \returns the number of singular values that are not exactly 0 */
Index nonzeroSingularValues() const Index nonzeroSingularValues() const
{ {
@ -150,17 +120,77 @@ public:
return m_nonzeroSingularValues; return m_nonzeroSingularValues;
} }
/** \returns the rank of the matrix of which \c *this is the SVD.
*
* \note This method has to determine which singular values should be considered nonzero.
* For that, it uses the threshold value that you can control by calling
* setThreshold(const RealScalar&).
*/
inline Index rank() const
{
using std::abs;
eigen_assert(m_isInitialized && "JacobiSVD is not initialized.");
if(m_singularValues.size()==0) return 0;
RealScalar premultiplied_threshold = m_singularValues.coeff(0) * threshold();
Index i = m_nonzeroSingularValues-1;
while(i>=0 && m_singularValues.coeff(i) < premultiplied_threshold) --i;
return i+1;
}
/** Allows to prescribe a threshold to be used by certain methods, such as rank() and solve(),
* which need to determine when singular values are to be considered nonzero.
* This is not used for the SVD decomposition itself.
*
* When it needs to get the threshold value, Eigen calls threshold().
* The default is \c NumTraits<Scalar>::epsilon()
*
* \param threshold The new value to use as the threshold.
*
* A singular value will be considered nonzero if its value is strictly greater than
* \f$ \vert singular value \vert \leqslant threshold \times \vert max singular value \vert \f$.
*
* If you want to come back to the default behavior, call setThreshold(Default_t)
*/
Derived& setThreshold(const RealScalar& threshold)
{
m_usePrescribedThreshold = true;
m_prescribedThreshold = threshold;
return derived();
}
/** Allows to come back to the default behavior, letting Eigen use its default formula for
* determining the threshold.
*
* You should pass the special object Eigen::Default as parameter here.
* \code svd.setThreshold(Eigen::Default); \endcode
*
* See the documentation of setThreshold(const RealScalar&).
*/
Derived& setThreshold(Default_t)
{
m_usePrescribedThreshold = false;
return derived();
}
/** Returns the threshold that will be used by certain methods such as rank().
*
* See the documentation of setThreshold(const RealScalar&).
*/
RealScalar threshold() const
{
eigen_assert(m_isInitialized || m_usePrescribedThreshold);
return m_usePrescribedThreshold ? m_prescribedThreshold
: (std::max<Index>)(1,m_diagSize)*NumTraits<Scalar>::epsilon();
}
/** \returns true if \a U (full or thin) is asked for in this SVD decomposition */ /** \returns true if \a U (full or thin) is asked for in this SVD decomposition */
inline bool computeU() const { return m_computeFullU || m_computeThinU; } inline bool computeU() const { return m_computeFullU || m_computeThinU; }
/** \returns true if \a V (full or thin) is asked for in this SVD decomposition */ /** \returns true if \a V (full or thin) is asked for in this SVD decomposition */
inline bool computeV() const { return m_computeFullV || m_computeThinV; } inline bool computeV() const { return m_computeFullV || m_computeThinV; }
inline Index rows() const { return m_rows; } inline Index rows() const { return m_rows; }
inline Index cols() const { return m_cols; } inline Index cols() const { return m_cols; }
protected: protected:
// return true if already allocated // return true if already allocated
bool allocate(Index rows, Index cols, unsigned int computationOptions) ; bool allocate(Index rows, Index cols, unsigned int computationOptions) ;
@ -168,12 +198,12 @@ protected:
MatrixUType m_matrixU; MatrixUType m_matrixU;
MatrixVType m_matrixV; MatrixVType m_matrixV;
SingularValuesType m_singularValues; SingularValuesType m_singularValues;
bool m_isInitialized, m_isAllocated; bool m_isInitialized, m_isAllocated, m_usePrescribedThreshold;
bool m_computeFullU, m_computeThinU; bool m_computeFullU, m_computeThinU;
bool m_computeFullV, m_computeThinV; bool m_computeFullV, m_computeThinV;
unsigned int m_computationOptions; unsigned int m_computationOptions;
Index m_nonzeroSingularValues, m_rows, m_cols, m_diagSize; Index m_nonzeroSingularValues, m_rows, m_cols, m_diagSize;
RealScalar m_prescribedThreshold;
/** \brief Default Constructor. /** \brief Default Constructor.
* *
@ -182,8 +212,9 @@ protected:
SVDBase() SVDBase()
: m_isInitialized(false), : m_isInitialized(false),
m_isAllocated(false), m_isAllocated(false),
m_usePrescribedThreshold(false),
m_computationOptions(0), m_computationOptions(0),
m_rows(-1), m_cols(-1) m_rows(-1), m_cols(-1), m_diagSize(0)
{} {}
@ -220,17 +251,13 @@ bool SVDBase<MatrixType>::allocate(Index rows, Index cols, unsigned int computat
m_diagSize = (std::min)(m_rows, m_cols); m_diagSize = (std::min)(m_rows, m_cols);
m_singularValues.resize(m_diagSize); m_singularValues.resize(m_diagSize);
if(RowsAtCompileTime==Dynamic) if(RowsAtCompileTime==Dynamic)
m_matrixU.resize(m_rows, m_computeFullU ? m_rows m_matrixU.resize(m_rows, m_computeFullU ? m_rows : m_computeThinU ? m_diagSize : 0);
: m_computeThinU ? m_diagSize
: 0);
if(ColsAtCompileTime==Dynamic) if(ColsAtCompileTime==Dynamic)
m_matrixV.resize(m_cols, m_computeFullV ? m_cols m_matrixV.resize(m_cols, m_computeFullV ? m_cols : m_computeThinV ? m_diagSize : 0);
: m_computeThinV ? m_diagSize
: 0);
return false; return false;
} }
}// end namespace }// end namespace
#endif // EIGEN_SVD_H #endif // EIGEN_SVDBASE_H

1
Eigen/src/SVD/UpperBidiagonalization.h
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@ -2,6 +2,7 @@
// for linear algebra. // for linear algebra.
// //
// Copyright (C) 2010 Benoit Jacob <jacob.benoit.1@gmail.com> // Copyright (C) 2010 Benoit Jacob <jacob.benoit.1@gmail.com>
// Copyright (C) 2013-2014 Gael Guennebaud <gael.guennebaud@inria.fr>
// //
// This Source Code Form is subject to the terms of the Mozilla // This Source Code Form is subject to the terms of the Mozilla
// Public License v. 2.0. If a copy of the MPL was not distributed // Public License v. 2.0. If a copy of the MPL was not distributed

26
unsupported/Eigen/BDCSVD Normal file
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@ -0,0 +1,26 @@
#ifndef EIGEN_BDCSVD_MODULE_H
#define EIGEN_BDCSVD_MODULE_H
#include <Eigen/SVD>
#include "../../Eigen/src/Core/util/DisableStupidWarnings.h"
/** \defgroup BDCSVD_Module BDCSVD module
*
*
*
* This module provides Divide & Conquer SVD decomposition for matrices (both real and complex).
* This decomposition is accessible via the following MatrixBase method:
* - MatrixBase::bdcSvd()
*
* \code
* #include <Eigen/BDCSVD>
* \endcode
*/
#include "src/BDCSVD/BDCSVD.h"
#include "../../Eigen/src/Core/util/ReenableStupidWarnings.h"
#endif // EIGEN_BDCSVD_MODULE_H
/* vim: set filetype=cpp et sw=2 ts=2 ai: */

35
unsupported/Eigen/SVD
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@ -1,35 +0,0 @@
#ifndef EIGEN_SVD_MODULE_H
#define EIGEN_SVD_MODULE_H
#include <Eigen/QR>
#include <Eigen/Householder>
#include <Eigen/Jacobi>
#include "../../Eigen/src/Core/util/DisableStupidWarnings.h"
/** \defgroup SVD_Module SVD module
*
*
*
* This module provides SVD decomposition for matrices (both real and complex).
* This decomposition is accessible via the following MatrixBase method:
* - MatrixBase::jacobiSvd()
*
* \code
* #include <Eigen/SVD>
* \endcode
*/
#include "../../Eigen/src/misc/Solve.h"
#include "../../Eigen/src/SVD/UpperBidiagonalization.h"
#include "src/SVD/SVDBase.h"
#include "src/SVD/JacobiSVD.h"
#include "src/SVD/BDCSVD.h"
#if defined(EIGEN_USE_LAPACKE) && !defined(EIGEN_USE_LAPACKE_STRICT)
#include "../../Eigen/src/SVD/JacobiSVD_MKL.h"
#endif
#include "../../Eigen/src/Core/util/ReenableStupidWarnings.h"
#endif // EIGEN_SVD_MODULE_H
/* vim: set filetype=cpp et sw=2 ts=2 ai: */

46
unsupported/Eigen/src/SVD/BDCSVD.h → unsupported/Eigen/src/BDCSVD/BDCSVD.h
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@ -24,6 +24,20 @@
#define ALGOSWAP 16 #define ALGOSWAP 16
namespace Eigen { namespace Eigen {
template<typename _MatrixType> class BDCSVD;
namespace internal {
template<typename _MatrixType>
struct traits<BDCSVD<_MatrixType> >
{
typedef _MatrixType MatrixType;
};
} // end namespace internal
/** \ingroup SVD_Module /** \ingroup SVD_Module
* *
* *
@ -36,9 +50,9 @@ namespace Eigen {
* It should be used to speed up the calcul of SVD for big matrices. * It should be used to speed up the calcul of SVD for big matrices.
*/ */
template<typename _MatrixType> template<typename _MatrixType>
class BDCSVD : public SVDBase<_MatrixType> class BDCSVD : public SVDBase<BDCSVD<_MatrixType> >
{ {
typedef SVDBase<_MatrixType> Base; typedef SVDBase<BDCSVD> Base;
public: public:
using Base::rows; using Base::rows;
@ -77,9 +91,7 @@ public:
* The default constructor is useful in cases in which the user intends to * The default constructor is useful in cases in which the user intends to
* perform decompositions via BDCSVD::compute(const MatrixType&). * perform decompositions via BDCSVD::compute(const MatrixType&).
*/ */
BDCSVD() BDCSVD() : algoswap(ALGOSWAP), m_numIters(0)
: SVDBase<_MatrixType>::SVDBase(),
algoswap(ALGOSWAP), m_numIters(0)
{} {}
@ -90,8 +102,7 @@ public:
* \sa BDCSVD() * \sa BDCSVD()
*/ */
BDCSVD(Index rows, Index cols, unsigned int computationOptions = 0) BDCSVD(Index rows, Index cols, unsigned int computationOptions = 0)
: SVDBase<_MatrixType>::SVDBase(), : algoswap(ALGOSWAP), m_numIters(0)
algoswap(ALGOSWAP), m_numIters(0)
{ {
allocate(rows, cols, computationOptions); allocate(rows, cols, computationOptions);
} }
@ -107,8 +118,7 @@ public:
* available with the (non - default) FullPivHouseholderQR preconditioner. * available with the (non - default) FullPivHouseholderQR preconditioner.
*/ */
BDCSVD(const MatrixType& matrix, unsigned int computationOptions = 0) BDCSVD(const MatrixType& matrix, unsigned int computationOptions = 0)
: SVDBase<_MatrixType>::SVDBase(), : algoswap(ALGOSWAP), m_numIters(0)
algoswap(ALGOSWAP), m_numIters(0)
{ {
compute(matrix, computationOptions); compute(matrix, computationOptions);
} }
@ -116,6 +126,7 @@ public:
~BDCSVD() ~BDCSVD()
{ {
} }
/** \brief Method performing the decomposition of given matrix using custom options. /** \brief Method performing the decomposition of given matrix using custom options.
* *
* \param matrix the matrix to decompose * \param matrix the matrix to decompose
@ -126,7 +137,7 @@ public:
* Thin unitaries are only available if your matrix type has a Dynamic number of columns (for example MatrixXf). They also are not * Thin unitaries are only available if your matrix type has a Dynamic number of columns (for example MatrixXf). They also are not
* available with the (non - default) FullPivHouseholderQR preconditioner. * available with the (non - default) FullPivHouseholderQR preconditioner.
*/ */
SVDBase<MatrixType>& compute(const MatrixType& matrix, unsigned int computationOptions); BDCSVD& compute(const MatrixType& matrix, unsigned int computationOptions);
/** \brief Method performing the decomposition of given matrix using current options. /** \brief Method performing the decomposition of given matrix using current options.
* *
@ -134,7 +145,7 @@ public:
* *
* This method uses the current \a computationOptions, as already passed to the constructor or to compute(const MatrixType&, unsigned int). * This method uses the current \a computationOptions, as already passed to the constructor or to compute(const MatrixType&, unsigned int).
*/ */
SVDBase<MatrixType>& compute(const MatrixType& matrix) BDCSVD& compute(const MatrixType& matrix)
{ {
return compute(matrix, this->m_computationOptions); return compute(matrix, this->m_computationOptions);
} }
@ -160,7 +171,7 @@ public:
solve(const MatrixBase<Rhs>& b) const solve(const MatrixBase<Rhs>& b) const
{ {
eigen_assert(this->m_isInitialized && "BDCSVD is not initialized."); eigen_assert(this->m_isInitialized && "BDCSVD is not initialized.");
eigen_assert(SVDBase<_MatrixType>::computeU() && SVDBase<_MatrixType>::computeV() && eigen_assert(computeU() && computeV() &&
"BDCSVD::solve() requires both unitaries U and V to be computed (thin unitaries suffice)."); "BDCSVD::solve() requires both unitaries U and V to be computed (thin unitaries suffice).");
return internal::solve_retval<BDCSVD, Rhs>(*this, b.derived()); return internal::solve_retval<BDCSVD, Rhs>(*this, b.derived());
} }
@ -196,6 +207,9 @@ public:
} }
} }
using Base::computeU;
using Base::computeV;
private: private:
void allocate(Index rows, Index cols, unsigned int computationOptions); void allocate(Index rows, Index cols, unsigned int computationOptions);
void divide(Index firstCol, Index lastCol, Index firstRowW, Index firstColW, Index shift); void divide(Index firstCol, Index lastCol, Index firstRowW, Index firstColW, Index shift);
@ -229,7 +243,7 @@ template<typename MatrixType>
void BDCSVD<MatrixType>::allocate(Index rows, Index cols, unsigned int computationOptions) void BDCSVD<MatrixType>::allocate(Index rows, Index cols, unsigned int computationOptions)
{ {
isTranspose = (cols > rows); isTranspose = (cols > rows);
if (SVDBase<MatrixType>::allocate(rows, cols, computationOptions)) return; if (Base::allocate(rows, cols, computationOptions)) return;
m_computed = MatrixXr::Zero(this->m_diagSize + 1, this->m_diagSize ); m_computed = MatrixXr::Zero(this->m_diagSize + 1, this->m_diagSize );
if (isTranspose){ if (isTranspose){
compU = this->computeU(); compU = this->computeU();
@ -262,8 +276,7 @@ void BDCSVD<MatrixType>::allocate(Index rows, Index cols, unsigned int computati
// Methode which compute the BDCSVD for the int // Methode which compute the BDCSVD for the int
template<> template<>
SVDBase<Matrix<int, Dynamic, Dynamic> >& BDCSVD<Matrix<int, Dynamic, Dynamic> >& BDCSVD<Matrix<int, Dynamic, Dynamic> >::compute(const MatrixType& matrix, unsigned int computationOptions) {
BDCSVD<Matrix<int, Dynamic, Dynamic> >::compute(const MatrixType& matrix, unsigned int computationOptions) {
allocate(matrix.rows(), matrix.cols(), computationOptions); allocate(matrix.rows(), matrix.cols(), computationOptions);
this->m_nonzeroSingularValues = 0; this->m_nonzeroSingularValues = 0;
m_computed = Matrix<int, Dynamic, Dynamic>::Zero(rows(), cols()); m_computed = Matrix<int, Dynamic, Dynamic>::Zero(rows(), cols());
@ -279,8 +292,7 @@ BDCSVD<Matrix<int, Dynamic, Dynamic> >::compute(const MatrixType& matrix, unsign
// Methode which compute the BDCSVD // Methode which compute the BDCSVD
template<typename MatrixType> template<typename MatrixType>
SVDBase<MatrixType>& BDCSVD<MatrixType>& BDCSVD<MatrixType>::compute(const MatrixType& matrix, unsigned int computationOptions)
BDCSVD<MatrixType>::compute(const MatrixType& matrix, unsigned int computationOptions)
{ {
allocate(matrix.rows(), matrix.cols(), computationOptions); allocate(matrix.rows(), matrix.cols(), computationOptions);
using std::abs; using std::abs;

6
unsupported/Eigen/src/BDCSVD/CMakeLists.txt Normal file
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@ -0,0 +1,6 @@
FILE(GLOB Eigen_BDCSVD_SRCS "*.h")
INSTALL(FILES
${Eigen_BDCSVD_SRCS}
DESTINATION ${INCLUDE_INSTALL_DIR}unsupported/Eigen/src/BDCSVD COMPONENT Devel
)

0
unsupported/Eigen/src/SVD/TODOBdcsvd.txt → unsupported/Eigen/src/BDCSVD/TODOBdcsvd.txt
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0
unsupported/Eigen/src/SVD/doneInBDCSVD.txt → unsupported/Eigen/src/BDCSVD/doneInBDCSVD.txt
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1
unsupported/Eigen/src/CMakeLists.txt
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@ -12,3 +12,4 @@ ADD_SUBDIRECTORY(Skyline)
ADD_SUBDIRECTORY(SparseExtra) ADD_SUBDIRECTORY(SparseExtra)
ADD_SUBDIRECTORY(KroneckerProduct) ADD_SUBDIRECTORY(KroneckerProduct)
ADD_SUBDIRECTORY(Splines) ADD_SUBDIRECTORY(Splines)
ADD_SUBDIRECTORY(BDCSVD)

6
unsupported/Eigen/src/SVD/CMakeLists.txt
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@ -1,6 +0,0 @@
FILE(GLOB Eigen_SVD_SRCS "*.h")
INSTALL(FILES
${Eigen_SVD_SRCS}
DESTINATION ${INCLUDE_INSTALL_DIR}unsupported/Eigen/src/SVD COMPONENT Devel
)

782
unsupported/Eigen/src/SVD/JacobiSVD.h
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@ -1,782 +0,0 @@
// This file is part of Eigen, a lightweight C++ template library
// for linear algebra.
//
// Copyright (C) 2009-2010 Benoit Jacob <jacob.benoit.1@gmail.com>
//
// This Source Code Form is subject to the terms of the Mozilla
// Public License v. 2.0. If a copy of the MPL was not distributed
// with this file, You can obtain one at http://mozilla.org/MPL/2.0/.
#ifndef EIGEN_JACOBISVD_H
#define EIGEN_JACOBISVD_H
namespace Eigen {
namespace internal {
// forward declaration (needed by ICC)
// the empty body is required by MSVC
template<typename MatrixType, int QRPreconditioner,
bool IsComplex = NumTraits<typename MatrixType::Scalar>::IsComplex>
struct svd_precondition_2x2_block_to_be_real {};
/*** QR preconditioners (R-SVD)
***
*** Their role is to reduce the problem of computing the SVD to the case of a square matrix.
*** This approach, known as R-SVD, is an optimization for rectangular-enough matrices, and is a requirement for
*** JacobiSVD which by itself is only able to work on square matrices.
***/
enum { PreconditionIfMoreColsThanRows, PreconditionIfMoreRowsThanCols };
template<typename MatrixType, int QRPreconditioner, int Case>
struct qr_preconditioner_should_do_anything
{
enum { a = MatrixType::RowsAtCompileTime != Dynamic &&
MatrixType::ColsAtCompileTime != Dynamic &&
MatrixType::ColsAtCompileTime <= MatrixType::RowsAtCompileTime,
b = MatrixType::RowsAtCompileTime != Dynamic &&
MatrixType::ColsAtCompileTime != Dynamic &&
MatrixType::RowsAtCompileTime <= MatrixType::ColsAtCompileTime,
ret = !( (QRPreconditioner == NoQRPreconditioner) ||
(Case == PreconditionIfMoreColsThanRows && bool(a)) ||
(Case == PreconditionIfMoreRowsThanCols && bool(b)) )
};
};
template<typename MatrixType, int QRPreconditioner, int Case,
bool DoAnything = qr_preconditioner_should_do_anything<MatrixType, QRPreconditioner, Case>::ret
> struct qr_preconditioner_impl {};
template<typename MatrixType, int QRPreconditioner, int Case>
class qr_preconditioner_impl<MatrixType, QRPreconditioner, Case, false>
{
public:
typedef typename MatrixType::Index Index;
void allocate(const JacobiSVD<MatrixType, QRPreconditioner>&) {}
bool run(JacobiSVD<MatrixType, QRPreconditioner>&, const MatrixType&)
{
return false;
}
};
/*** preconditioner using FullPivHouseholderQR ***/
template<typename MatrixType>
class qr_preconditioner_impl<MatrixType, FullPivHouseholderQRPreconditioner, PreconditionIfMoreRowsThanCols, true>
{
public:
typedef typename MatrixType::Index Index;
typedef typename MatrixType::Scalar Scalar;
enum
{
RowsAtCompileTime = MatrixType::RowsAtCompileTime,
MaxRowsAtCompileTime = MatrixType::MaxRowsAtCompileTime
};
typedef Matrix<Scalar, 1, RowsAtCompileTime, RowMajor, 1, MaxRowsAtCompileTime> WorkspaceType;
void allocate(const JacobiSVD<MatrixType, FullPivHouseholderQRPreconditioner>& svd)
{
if (svd.rows() != m_qr.rows() || svd.cols() != m_qr.cols())
{
m_qr.~QRType();
::new (&m_qr) QRType(svd.rows(), svd.cols());
}
if (svd.m_computeFullU) m_workspace.resize(svd.rows());
}
bool run(JacobiSVD<MatrixType, FullPivHouseholderQRPreconditioner>& svd, const MatrixType& matrix)
{
if(matrix.rows() > matrix.cols())
{
m_qr.compute(matrix);
svd.m_workMatrix = m_qr.matrixQR().block(0,0,matrix.cols(),matrix.cols()).template triangularView<Upper>();
if(svd.m_computeFullU) m_qr.matrixQ().evalTo(svd.m_matrixU, m_workspace);
if(svd.computeV()) svd.m_matrixV = m_qr.colsPermutation();
return true;
}
return false;
}
private:
typedef FullPivHouseholderQR<MatrixType> QRType;
QRType m_qr;
WorkspaceType m_workspace;
};
template<typename MatrixType>
class qr_preconditioner_impl<MatrixType, FullPivHouseholderQRPreconditioner, PreconditionIfMoreColsThanRows, true>
{
public:
typedef typename MatrixType::Index Index;
typedef typename MatrixType::Scalar Scalar;
enum
{
RowsAtCompileTime = MatrixType::RowsAtCompileTime,
ColsAtCompileTime = MatrixType::ColsAtCompileTime,
MaxRowsAtCompileTime = MatrixType::MaxRowsAtCompileTime,
MaxColsAtCompileTime = MatrixType::MaxColsAtCompileTime,
Options = MatrixType::Options
};
typedef Matrix<Scalar, ColsAtCompileTime, RowsAtCompileTime, Options, MaxColsAtCompileTime, MaxRowsAtCompileTime>
TransposeTypeWithSameStorageOrder;
void allocate(const JacobiSVD<MatrixType, FullPivHouseholderQRPreconditioner>& svd)
{
if (svd.cols() != m_qr.rows() || svd.rows() != m_qr.cols())
{
m_qr.~QRType();
::new (&m_qr) QRType(svd.cols(), svd.rows());
}
m_adjoint.resize(svd.cols(), svd.rows());
if (svd.m_computeFullV) m_workspace.resize(svd.cols());
}
bool run(JacobiSVD<MatrixType, FullPivHouseholderQRPreconditioner>& svd, const MatrixType& matrix)
{
if(matrix.cols() > matrix.rows())
{
m_adjoint = matrix.adjoint();
m_qr.compute(m_adjoint);
svd.m_workMatrix = m_qr.matrixQR().block(0,0,matrix.rows(),matrix.rows()).template triangularView<Upper>().adjoint();
if(svd.m_computeFullV) m_qr.matrixQ().evalTo(svd.m_matrixV, m_workspace);
if(svd.computeU()) svd.m_matrixU = m_qr.colsPermutation();
return true;
}
else return false;
}
private:
typedef FullPivHouseholderQR<TransposeTypeWithSameStorageOrder> QRType;
QRType m_qr;
TransposeTypeWithSameStorageOrder m_adjoint;
typename internal::plain_row_type<MatrixType>::type m_workspace;
};
/*** preconditioner using ColPivHouseholderQR ***/
template<typename MatrixType>
class qr_preconditioner_impl<MatrixType, ColPivHouseholderQRPreconditioner, PreconditionIfMoreRowsThanCols, true>
{
public:
typedef typename MatrixType::Index Index;
void allocate(const JacobiSVD<MatrixType, ColPivHouseholderQRPreconditioner>& svd)
{
if (svd.rows() != m_qr.rows() || svd.cols() != m_qr.cols())
{
m_qr.~QRType();
::new (&m_qr) QRType(svd.rows(), svd.cols());
}
if (svd.m_computeFullU) m_workspace.resize(svd.rows());
else if (svd.m_computeThinU) m_workspace.resize(svd.cols());
}
bool run(JacobiSVD<MatrixType, ColPivHouseholderQRPreconditioner>& svd, const MatrixType& matrix)
{
if(matrix.rows() > matrix.cols())
{
m_qr.compute(matrix);
svd.m_workMatrix = m_qr.matrixQR().block(0,0,matrix.cols(),matrix.cols()).template triangularView<Upper>();
if(svd.m_computeFullU) m_qr.householderQ().evalTo(svd.m_matrixU, m_workspace);
else if(svd.m_computeThinU)
{
svd.m_matrixU.setIdentity(matrix.rows(), matrix.cols());
m_qr.householderQ().applyThisOnTheLeft(svd.m_matrixU, m_workspace);
}
if(svd.computeV()) svd.m_matrixV = m_qr.colsPermutation();
return true;
}
return false;
}
private:
typedef ColPivHouseholderQR<MatrixType> QRType;
QRType m_qr;
typename internal::plain_col_type<MatrixType>::type m_workspace;
};
template<typename MatrixType>
class qr_preconditioner_impl<MatrixType, ColPivHouseholderQRPreconditioner, PreconditionIfMoreColsThanRows, true>
{
public:
typedef typename MatrixType::Index Index;
typedef typename MatrixType::Scalar Scalar;
enum
{
RowsAtCompileTime = MatrixType::RowsAtCompileTime,
ColsAtCompileTime = MatrixType::ColsAtCompileTime,
MaxRowsAtCompileTime = MatrixType::MaxRowsAtCompileTime,
MaxColsAtCompileTime = MatrixType::MaxColsAtCompileTime,
Options = MatrixType::Options
};
typedef Matrix<Scalar, ColsAtCompileTime, RowsAtCompileTime, Options, MaxColsAtCompileTime, MaxRowsAtCompileTime>
TransposeTypeWithSameStorageOrder;
void allocate(const JacobiSVD<MatrixType, ColPivHouseholderQRPreconditioner>& svd)
{
if (svd.cols() != m_qr.rows() || svd.rows() != m_qr.cols())
{
m_qr.~QRType();
::new (&m_qr) QRType(svd.cols(), svd.rows());
}
if (svd.m_computeFullV) m_workspace.resize(svd.cols());
else if (svd.m_computeThinV) m_workspace.resize(svd.rows());
m_adjoint.resize(svd.cols(), svd.rows());
}
bool run(JacobiSVD<MatrixType, ColPivHouseholderQRPreconditioner>& svd, const MatrixType& matrix)
{
if(matrix.cols() > matrix.rows())
{
m_adjoint = matrix.adjoint();
m_qr.compute(m_adjoint);
svd.m_workMatrix = m_qr.matrixQR().block(0,0,matrix.rows(),matrix.rows()).template triangularView<Upper>().adjoint();
if(svd.m_computeFullV) m_qr.householderQ().evalTo(svd.m_matrixV, m_workspace);
else if(svd.m_computeThinV)
{
svd.m_matrixV.setIdentity(matrix.cols(), matrix.rows());
m_qr.householderQ().applyThisOnTheLeft(svd.m_matrixV, m_workspace);
}
if(svd.computeU()) svd.m_matrixU = m_qr.colsPermutation();
return true;
}
else return false;
}
private:
typedef ColPivHouseholderQR<TransposeTypeWithSameStorageOrder> QRType;
QRType m_qr;
TransposeTypeWithSameStorageOrder m_adjoint;
typename internal::plain_row_type<MatrixType>::type m_workspace;
};
/*** preconditioner using HouseholderQR ***/
template<typename MatrixType>
class qr_preconditioner_impl<MatrixType, HouseholderQRPreconditioner, PreconditionIfMoreRowsThanCols, true>
{
public:
typedef typename MatrixType::Index Index;
void allocate(const JacobiSVD<MatrixType, HouseholderQRPreconditioner>& svd)
{
if (svd.rows() != m_qr.rows() || svd.cols() != m_qr.cols())
{
m_qr.~QRType();
::new (&m_qr) QRType(svd.rows(), svd.cols());
}
if (svd.m_computeFullU) m_workspace.resize(svd.rows());
else if (svd.m_computeThinU) m_workspace.resize(svd.cols());
}
bool run(JacobiSVD<MatrixType, HouseholderQRPreconditioner>& svd, const MatrixType& matrix)
{
if(matrix.rows() > matrix.cols())
{
m_qr.compute(matrix);
svd.m_workMatrix = m_qr.matrixQR().block(0,0,matrix.cols(),matrix.cols()).template triangularView<Upper>();
if(svd.m_computeFullU) m_qr.householderQ().evalTo(svd.m_matrixU, m_workspace);
else if(svd.m_computeThinU)
{
svd.m_matrixU.setIdentity(matrix.rows(), matrix.cols());
m_qr.householderQ().applyThisOnTheLeft(svd.m_matrixU, m_workspace);
}
if(svd.computeV()) svd.m_matrixV.setIdentity(matrix.cols(), matrix.cols());
return true;
}
return false;
}
private:
typedef HouseholderQR<MatrixType> QRType;
QRType m_qr;
typename internal::plain_col_type<MatrixType>::type m_workspace;
};
template<typename MatrixType>
class qr_preconditioner_impl<MatrixType, HouseholderQRPreconditioner, PreconditionIfMoreColsThanRows, true>
{
public:
typedef typename MatrixType::Index Index;
typedef typename MatrixType::Scalar Scalar;
enum
{
RowsAtCompileTime = MatrixType::RowsAtCompileTime,
ColsAtCompileTime = MatrixType::ColsAtCompileTime,
MaxRowsAtCompileTime = MatrixType::MaxRowsAtCompileTime,
MaxColsAtCompileTime = MatrixType::MaxColsAtCompileTime,
Options = MatrixType::Options
};
typedef Matrix<Scalar, ColsAtCompileTime, RowsAtCompileTime, Options, MaxColsAtCompileTime, MaxRowsAtCompileTime>
TransposeTypeWithSameStorageOrder;
void allocate(const JacobiSVD<MatrixType, HouseholderQRPreconditioner>& svd)
{
if (svd.cols() != m_qr.rows() || svd.rows() != m_qr.cols())
{
m_qr.~QRType();
::new (&m_qr) QRType(svd.cols(), svd.rows());
}
if (svd.m_computeFullV) m_workspace.resize(svd.cols());
else if (svd.m_computeThinV) m_workspace.resize(svd.rows());
m_adjoint.resize(svd.cols(), svd.rows());
}
bool run(JacobiSVD<MatrixType, HouseholderQRPreconditioner>& svd, const MatrixType& matrix)
{
if(matrix.cols() > matrix.rows())
{
m_adjoint = matrix.adjoint();
m_qr.compute(m_adjoint);
svd.m_workMatrix = m_qr.matrixQR().block(0,0,matrix.rows(),matrix.rows()).template triangularView<Upper>().adjoint();
if(svd.m_computeFullV) m_qr.householderQ().evalTo(svd.m_matrixV, m_workspace);
else if(svd.m_computeThinV)
{
svd.m_matrixV.setIdentity(matrix.cols(), matrix.rows());
m_qr.householderQ().applyThisOnTheLeft(svd.m_matrixV, m_workspace);
}
if(svd.computeU()) svd.m_matrixU.setIdentity(matrix.rows(), matrix.rows());
return true;
}
else return false;
}
private:
typedef HouseholderQR<TransposeTypeWithSameStorageOrder> QRType;
QRType m_qr;
TransposeTypeWithSameStorageOrder m_adjoint;
typename internal::plain_row_type<MatrixType>::type m_workspace;
};
/*** 2x2 SVD implementation
***
*** JacobiSVD consists in performing a series of 2x2 SVD subproblems
***/
template<typename MatrixType, int QRPreconditioner>
struct svd_precondition_2x2_block_to_be_real<MatrixType, QRPreconditioner, false>
{
typedef JacobiSVD<MatrixType, QRPreconditioner> SVD;
typedef typename SVD::Index Index;
static void run(typename SVD::WorkMatrixType&, SVD&, Index, Index) {}
};
template<typename MatrixType, int QRPreconditioner>
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;
typedef typename SVD::Index Index;
static void run(typename SVD::WorkMatrixType& work_matrix, SVD& svd, Index p, Index q)
{
using std::sqrt;
Scalar z;
JacobiRotation<Scalar> rot;
RealScalar n = sqrt(numext::abs2(work_matrix.coeff(p,p)) + numext::abs2(work_matrix.coeff(q,p)));
if(n==0)
{
z = abs(work_matrix.coeff(p,q)) / work_matrix.coeff(p,q);
work_matrix.row(p) *= z;
if(svd.computeU()) svd.m_matrixU.col(p) *= conj(z);
z = abs(work_matrix.coeff(q,q)) / work_matrix.coeff(q,q);
work_matrix.row(q) *= z;
if(svd.computeU()) svd.m_matrixU.col(q) *= conj(z);
}
else
{
rot.c() = conj(work_matrix.coeff(p,p)) / n;
rot.s() = work_matrix.coeff(q,p) / n;
work_matrix.applyOnTheLeft(p,q,rot);
if(svd.computeU()) svd.m_matrixU.applyOnTheRight(p,q,rot.adjoint());
if(work_matrix.coeff(p,q) != Scalar(0))
{
Scalar z = abs(work_matrix.coeff(p,q)) / work_matrix.coeff(p,q);
work_matrix.col(q) *= z;
if(svd.computeV()) svd.m_matrixV.col(q) *= z;
}
if(work_matrix.coeff(q,q) != Scalar(0))
{
z = abs(work_matrix.coeff(q,q)) / work_matrix.coeff(q,q);
work_matrix.row(q) *= z;
if(svd.computeU()) svd.m_matrixU.col(q) *= conj(z);
}
}
}
};
template<typename MatrixType, typename RealScalar, typename Index>
void real_2x2_jacobi_svd(const MatrixType& matrix, Index p, Index q,
JacobiRotation<RealScalar> *j_left,
JacobiRotation<RealScalar> *j_right)
{
using std::sqrt;
Matrix<RealScalar,2,2> m;
m << numext::real(matrix.coeff(p,p)), numext::real(matrix.coeff(p,q)),
numext::real(matrix.coeff(q,p)), numext::real(matrix.coeff(q,q));
JacobiRotation<RealScalar> rot1;
RealScalar t = m.coeff(0,0) + m.coeff(1,1);
RealScalar d = m.coeff(1,0) - m.coeff(0,1);
if(t == RealScalar(0))
{
rot1.c() = RealScalar(0);
rot1.s() = d > RealScalar(0) ? RealScalar(1) : RealScalar(-1);
}
else
{
RealScalar u = d / t;
rot1.c() = RealScalar(1) / sqrt(RealScalar(1) + numext::abs2(u));
rot1.s() = rot1.c() * u;
}
m.applyOnTheLeft(0,1,rot1);
j_right->makeJacobi(m,0,1);
*j_left = rot1 * j_right->transpose();
}
} // end namespace internal
/** \ingroup SVD_Module
*
*
* \class JacobiSVD
*
* \brief Two-sided Jacobi SVD decomposition of a rectangular matrix
*
* \param MatrixType the type of the matrix of which we are computing the SVD decomposition
* \param QRPreconditioner this optional parameter allows to specify the type of QR decomposition that will be used internally
* for the R-SVD step for non-square matrices. See discussion of possible values below.
*
* SVD decomposition consists in decomposing any n-by-p matrix \a A as a product
* \f[ A = U S V^* \f]
* where \a U is a n-by-n unitary, \a V is a p-by-p unitary, and \a S is a n-by-p real positive matrix which is zero outside of its main diagonal;
* the diagonal entries of S are known as the \em singular \em values of \a A and the columns of \a U and \a V are known as the left
* and right \em singular \em vectors of \a A respectively.
*
* Singular values are always sorted in decreasing order.
*
* This JacobiSVD decomposition computes only the singular values by default. If you want \a U or \a V, you need to ask for them explicitly.
*
* You can ask for only \em thin \a U or \a V to be computed, meaning the following. In case of a rectangular n-by-p matrix, letting \a m be the
* smaller value among \a n and \a p, there are only \a m singular vectors; the remaining columns of \a U and \a V do not correspond to actual
* singular vectors. Asking for \em thin \a U or \a V means asking for only their \a m first columns to be formed. So \a U is then a n-by-m matrix,
* and \a V is then a p-by-m matrix. Notice that thin \a U and \a V are all you need for (least squares) solving.
*
* Here's an example demonstrating basic usage:
* \include JacobiSVD_basic.cpp
* Output: \verbinclude JacobiSVD_basic.out
*
* This JacobiSVD class is a two-sided Jacobi R-SVD decomposition, ensuring optimal reliability and accuracy. The downside is that it's slower than
* bidiagonalizing SVD algorithms for large square matrices; however its complexity is still \f$ O(n^2p) \f$ where \a n is the smaller dimension and
* \a p is the greater dimension, meaning that it is still of the same order of complexity as the faster bidiagonalizing R-SVD algorithms.
* In particular, like any R-SVD, it takes advantage of non-squareness in that its complexity is only linear in the greater dimension.
*
* If the input matrix has inf or nan coefficients, the result of the computation is undefined, but the computation is guaranteed to
* terminate in finite (and reasonable) time.
*
* The possible values for QRPreconditioner are:
* \li ColPivHouseholderQRPreconditioner is the default. In practice it's very safe. It uses column-pivoting QR.
* \li FullPivHouseholderQRPreconditioner, is the safest and slowest. It uses full-pivoting QR.
* Contrary to other QRs, it doesn't allow computing thin unitaries.
* \li HouseholderQRPreconditioner is the fastest, and less safe and accurate than the pivoting variants. It uses non-pivoting QR.
* This is very similar in safety and accuracy to the bidiagonalization process used by bidiagonalizing SVD algorithms (since bidiagonalization
* is inherently non-pivoting). However the resulting SVD is still more reliable than bidiagonalizing SVDs because the Jacobi-based iterarive
* process is more reliable than the optimized bidiagonal SVD iterations.
* \li NoQRPreconditioner allows not to use a QR preconditioner at all. This is useful if you know that you will only be computing
* JacobiSVD decompositions of square matrices. Non-square matrices require a QR preconditioner. Using this option will result in
* faster compilation and smaller executable code. It won't significantly speed up computation, since JacobiSVD is always checking
* if QR preconditioning is needed before applying it anyway.
*
* \sa MatrixBase::jacobiSvd()
*/
template<typename _MatrixType, int QRPreconditioner>
class JacobiSVD : public SVDBase<_MatrixType>
{
public:
typedef _MatrixType MatrixType;
typedef typename MatrixType::Scalar Scalar;
typedef typename NumTraits<typename MatrixType::Scalar>::Real RealScalar;
typedef typename MatrixType::Index Index;
enum {
RowsAtCompileTime = MatrixType::RowsAtCompileTime,
ColsAtCompileTime = MatrixType::ColsAtCompileTime,
DiagSizeAtCompileTime = EIGEN_SIZE_MIN_PREFER_DYNAMIC(RowsAtCompileTime,ColsAtCompileTime),
MaxRowsAtCompileTime = MatrixType::MaxRowsAtCompileTime,
MaxColsAtCompileTime = MatrixType::MaxColsAtCompileTime,
MaxDiagSizeAtCompileTime = EIGEN_SIZE_MIN_PREFER_FIXED(MaxRowsAtCompileTime,MaxColsAtCompileTime),
MatrixOptions = MatrixType::Options
};
typedef Matrix<Scalar, RowsAtCompileTime, RowsAtCompileTime,
MatrixOptions, MaxRowsAtCompileTime, MaxRowsAtCompileTime>
MatrixUType;
typedef Matrix<Scalar, ColsAtCompileTime, ColsAtCompileTime,
MatrixOptions, MaxColsAtCompileTime, MaxColsAtCompileTime>
MatrixVType;
typedef typename internal::plain_diag_type<MatrixType, RealScalar>::type SingularValuesType;
typedef typename internal::plain_row_type<MatrixType>::type RowType;
typedef typename internal::plain_col_type<MatrixType>::type ColType;
typedef Matrix<Scalar, DiagSizeAtCompileTime, DiagSizeAtCompileTime,
MatrixOptions, MaxDiagSizeAtCompileTime, MaxDiagSizeAtCompileTime>
WorkMatrixType;
/** \brief Default Constructor.
*
* The default constructor is useful in cases in which the user intends to
* perform decompositions via JacobiSVD::compute(const MatrixType&).
*/
JacobiSVD()
: SVDBase<_MatrixType>::SVDBase()
{}
/** \brief Default Constructor with memory preallocation
*
* Like the default constructor but with preallocation of the internal data
* according to the specified problem size.
* \sa JacobiSVD()
*/
JacobiSVD(Index rows, Index cols, unsigned int computationOptions = 0)
: SVDBase<_MatrixType>::SVDBase()
{
allocate(rows, cols, computationOptions);
}
/** \brief Constructor performing the decomposition of given matrix.
*
* \param matrix the matrix to decompose
* \param computationOptions optional parameter allowing to specify if you want full or thin U or V unitaries to be computed.
* By default, none is computed. This is a bit-field, the possible bits are #ComputeFullU, #ComputeThinU,
* #ComputeFullV, #ComputeThinV.
*
* Thin unitaries are only available if your matrix type has a Dynamic number of columns (for example MatrixXf). They also are not
* available with the (non-default) FullPivHouseholderQR preconditioner.
*/
JacobiSVD(const MatrixType& matrix, unsigned int computationOptions = 0)
: SVDBase<_MatrixType>::SVDBase()
{
compute(matrix, computationOptions);
}
/** \brief Method performing the decomposition of given matrix using custom options.
*
* \param matrix the matrix to decompose
* \param computationOptions optional parameter allowing to specify if you want full or thin U or V unitaries to be computed.
* By default, none is computed. This is a bit-field, the possible bits are #ComputeFullU, #ComputeThinU,
* #ComputeFullV, #ComputeThinV.
*
* Thin unitaries are only available if your matrix type has a Dynamic number of columns (for example MatrixXf). They also are not
* available with the (non-default) FullPivHouseholderQR preconditioner.
*/
SVDBase<MatrixType>& compute(const MatrixType& matrix, unsigned int computationOptions);
/** \brief Method performing the decomposition of given matrix using current options.
*
* \param matrix the matrix to decompose
*
* This method uses the current \a computationOptions, as already passed to the constructor or to compute(const MatrixType&, unsigned int).
*/
SVDBase<MatrixType>& compute(const MatrixType& matrix)
{
return compute(matrix, this->m_computationOptions);
}
/** \returns a (least squares) solution of \f$ A x = b \f$ using the current SVD decomposition of A.
*
* \param b the right-hand-side of the equation to solve.
*
* \note Solving requires both U and V to be computed. Thin U and V are enough, there is no need for full U or V.
*
* \note SVD solving is implicitly least-squares. Thus, this method serves both purposes of exact solving and least-squares solving.
* In other words, the returned solution is guaranteed to minimize the Euclidean norm \f$ \Vert A x - b \Vert \f$.
*/
template<typename Rhs>
inline const internal::solve_retval<JacobiSVD, Rhs>
solve(const MatrixBase<Rhs>& b) const
{
eigen_assert(this->m_isInitialized && "JacobiSVD is not initialized.");
eigen_assert(SVDBase<MatrixType>::computeU() && SVDBase<MatrixType>::computeV() && "JacobiSVD::solve() requires both unitaries U and V to be computed (thin unitaries suffice).");
return internal::solve_retval<JacobiSVD, Rhs>(*this, b.derived());
}
private:
void allocate(Index rows, Index cols, unsigned int computationOptions);
protected:
WorkMatrixType m_workMatrix;
template<typename __MatrixType, int _QRPreconditioner, bool _IsComplex>
friend struct internal::svd_precondition_2x2_block_to_be_real;
template<typename __MatrixType, int _QRPreconditioner, int _Case, bool _DoAnything>
friend struct internal::qr_preconditioner_impl;
internal::qr_preconditioner_impl<MatrixType, QRPreconditioner, internal::PreconditionIfMoreColsThanRows> m_qr_precond_morecols;
internal::qr_preconditioner_impl<MatrixType, QRPreconditioner, internal::PreconditionIfMoreRowsThanCols> m_qr_precond_morerows;
};
template<typename MatrixType, int QRPreconditioner>
void JacobiSVD<MatrixType, QRPreconditioner>::allocate(Index rows, Index cols, unsigned int computationOptions)
{
if (SVDBase<MatrixType>::allocate(rows, cols, computationOptions)) return;
if (QRPreconditioner == FullPivHouseholderQRPreconditioner)
{
eigen_assert(!(this->m_computeThinU || this->m_computeThinV) &&
"JacobiSVD: can't compute thin U or thin V with the FullPivHouseholderQR preconditioner. "
"Use the ColPivHouseholderQR preconditioner instead.");
}
m_workMatrix.resize(this->m_diagSize, this->m_diagSize);
if(this->m_cols>this->m_rows) m_qr_precond_morecols.allocate(*this);
if(this->m_rows>this->m_cols) m_qr_precond_morerows.allocate(*this);
}
template<typename MatrixType, int QRPreconditioner>
SVDBase<MatrixType>&
JacobiSVD<MatrixType, QRPreconditioner>::compute(const MatrixType& matrix, unsigned int computationOptions)
{
using std::abs;
allocate(matrix.rows(), matrix.cols(), computationOptions);
// currently we stop when we reach precision 2*epsilon as the last bit of precision can require an unreasonable number of iterations,
// only worsening the precision of U and V as we accumulate more rotations
const RealScalar precision = RealScalar(2) * NumTraits<Scalar>::epsilon();
// limit for very small denormal numbers to be considered zero in order to avoid infinite loops (see bug 286)
const RealScalar considerAsZero = RealScalar(2) * std::numeric_limits<RealScalar>::denorm_min();
/*** step 1. The R-SVD step: we use a QR decomposition to reduce to the case of a square matrix */
if(!m_qr_precond_morecols.run(*this, matrix) && !m_qr_precond_morerows.run(*this, matrix))
{
m_workMatrix = matrix.block(0,0,this->m_diagSize,this->m_diagSize);
if(this->m_computeFullU) this->m_matrixU.setIdentity(this->m_rows,this->m_rows);
if(this->m_computeThinU) this->m_matrixU.setIdentity(this->m_rows,this->m_diagSize);
if(this->m_computeFullV) this->m_matrixV.setIdentity(this->m_cols,this->m_cols);
if(this->m_computeThinV) this->m_matrixV.setIdentity(this->m_cols, this->m_diagSize);
}
/*** step 2. The main Jacobi SVD iteration. ***/
bool finished = false;
while(!finished)
{
finished = true;
// do a sweep: for all index pairs (p,q), perform SVD of the corresponding 2x2 sub-matrix
for(Index p = 1; p < this->m_diagSize; ++p)
{
for(Index q = 0; q < p; ++q)
{
// if this 2x2 sub-matrix is not diagonal already...
// notice that this comparison will evaluate to false if any NaN is involved, ensuring that NaN's don't
// keep us iterating forever. Similarly, small denormal numbers are considered zero.
using std::max;
RealScalar threshold = (max)(considerAsZero, precision * (max)(abs(m_workMatrix.coeff(p,p)),
abs(m_workMatrix.coeff(q,q))));
if((max)(abs(m_workMatrix.coeff(p,q)),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);
// accumulate resulting Jacobi rotations
m_workMatrix.applyOnTheLeft(p,q,j_left);
if(SVDBase<MatrixType>::computeU()) this->m_matrixU.applyOnTheRight(p,q,j_left.transpose());
m_workMatrix.applyOnTheRight(p,q,j_right);
if(SVDBase<MatrixType>::computeV()) this->m_matrixV.applyOnTheRight(p,q,j_right);
}
}
}
}
/*** step 3. The work matrix is now diagonal, so ensure it's positive so its diagonal entries are the singular values ***/
for(Index i = 0; i < this->m_diagSize; ++i)
{
RealScalar a = abs(m_workMatrix.coeff(i,i));
this->m_singularValues.coeffRef(i) = a;
if(SVDBase<MatrixType>::computeU() && (a!=RealScalar(0))) this->m_matrixU.col(i) *= this->m_workMatrix.coeff(i,i)/a;
}
/*** step 4. Sort singular values in descending order and compute the number of nonzero singular values ***/
this->m_nonzeroSingularValues = this->m_diagSize;
for(Index i = 0; i < this->m_diagSize; i++)
{
Index pos;
RealScalar maxRemainingSingularValue = this->m_singularValues.tail(this->m_diagSize-i).maxCoeff(&pos);
if(maxRemainingSingularValue == RealScalar(0))
{
this->m_nonzeroSingularValues = i;
break;
}
if(pos)
{
pos += i;
std::swap(this->m_singularValues.coeffRef(i), this->m_singularValues.coeffRef(pos));
if(SVDBase<MatrixType>::computeU()) this->m_matrixU.col(pos).swap(this->m_matrixU.col(i));
if(SVDBase<MatrixType>::computeV()) this->m_matrixV.col(pos).swap(this->m_matrixV.col(i));
}
}
this->m_isInitialized = true;
return *this;
}
namespace internal {
template<typename _MatrixType, int QRPreconditioner, typename Rhs>
struct solve_retval<JacobiSVD<_MatrixType, QRPreconditioner>, Rhs>
: solve_retval_base<JacobiSVD<_MatrixType, QRPreconditioner>, Rhs>
{
typedef JacobiSVD<_MatrixType, QRPreconditioner> JacobiSVDType;
EIGEN_MAKE_SOLVE_HELPERS(JacobiSVDType,Rhs)
template<typename Dest> void evalTo(Dest& dst) const
{
eigen_assert(rhs().rows() == dec().rows());
// A = U S V^*
// So A^{-1} = V S^{-1} U^*
Index diagSize = (std::min)(dec().rows(), dec().cols());
typename JacobiSVDType::SingularValuesType invertedSingVals(diagSize);
Index nonzeroSingVals = dec().nonzeroSingularValues();
invertedSingVals.head(nonzeroSingVals) = dec().singularValues().head(nonzeroSingVals).array().inverse();
invertedSingVals.tail(diagSize - nonzeroSingVals).setZero();
dst = dec().matrixV().leftCols(diagSize)
* invertedSingVals.asDiagonal()
* dec().matrixU().leftCols(diagSize).adjoint()
* rhs();
}
};
} // end namespace internal
/** \svd_module
*
* \return the singular value decomposition of \c *this computed by two-sided
* Jacobi transformations.
*
* \sa class JacobiSVD
*/
template<typename Derived>
JacobiSVD<typename MatrixBase<Derived>::PlainObject>
MatrixBase<Derived>::jacobiSvd(unsigned int computationOptions) const
{
return JacobiSVD<PlainObject>(*this, computationOptions);
}
} // end namespace Eigen
#endif // EIGEN_JACOBISVD_H

2
unsupported/test/svd_common.h
View File

@ -18,7 +18,7 @@
#define EIGEN_RUNTIME_NO_MALLOC #define EIGEN_RUNTIME_NO_MALLOC
#include "main.h" #include "main.h"
#include <unsupported/Eigen/SVD> #include <unsupported/Eigen/BDCSVD>
#include <Eigen/LU> #include <Eigen/LU>