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Fix JacobiSVD wrt undeR/overflow by doing scaling prior to QR preconditioning

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Gael Guennebaud 2014-10-17 15:32:06 +02:00
parent 8472e697ca
commit feacfa5f83
1 changed files with 6 additions and 7 deletions
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13
Eigen/src/SVD/JacobiSVD.h
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@ -692,21 +692,20 @@ JacobiSVD<MatrixType, QRPreconditioner>::compute(const MatrixType& matrix, unsig
// limit for very small denormal numbers to be considered zero in order to avoid infinite loops (see bug 286) // 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(); const RealScalar considerAsZero = RealScalar(2) * std::numeric_limits<RealScalar>::denorm_min();
// Scaling factor to reduce over/under-flows
RealScalar scale = matrix.cwiseAbs().maxCoeff();
if(scale==RealScalar(0)) scale = RealScalar(1);
/*** step 1. The R-SVD step: we use a QR decomposition to reduce to the case of a square matrix */ /*** 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)) if(!m_qr_precond_morecols.run(*this, matrix/scale) && !m_qr_precond_morerows.run(*this, matrix/scale))
{ {
m_workMatrix = matrix.block(0,0,m_diagSize,m_diagSize); m_workMatrix = matrix.block(0,0,m_diagSize,m_diagSize) / scale;
if(m_computeFullU) m_matrixU.setIdentity(m_rows,m_rows); if(m_computeFullU) m_matrixU.setIdentity(m_rows,m_rows);
if(m_computeThinU) m_matrixU.setIdentity(m_rows,m_diagSize); if(m_computeThinU) m_matrixU.setIdentity(m_rows,m_diagSize);
if(m_computeFullV) m_matrixV.setIdentity(m_cols,m_cols); if(m_computeFullV) m_matrixV.setIdentity(m_cols,m_cols);
if(m_computeThinV) m_matrixV.setIdentity(m_cols, m_diagSize); if(m_computeThinV) m_matrixV.setIdentity(m_cols, m_diagSize);
} }
// Scaling factor to reduce over/under-flows
RealScalar scale = m_workMatrix.cwiseAbs().maxCoeff();
if(scale==RealScalar(0)) scale = RealScalar(1);
m_workMatrix /= scale;
/*** step 2. The main Jacobi SVD iteration. ***/ /*** step 2. The main Jacobi SVD iteration. ***/