// This file is part of Eigen, a lightweight C++ template library // for linear algebra. // // Copyright (C) 2008-2014 Gael Guennebaud // Copyright (C) 2009 Benoit Jacob // // 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 SVD_DEFAULT #error a macro SVD_DEFAULT(MatrixType) must be defined prior to including svd_common.h #endif #ifndef SVD_FOR_MIN_NORM #error a macro SVD_FOR_MIN_NORM(MatrixType) must be defined prior to including svd_common.h #endif #ifndef SVD_STATIC_OPTIONS #error a macro SVD_STATIC_OPTIONS(MatrixType, Options) must be defined prior to including svd_common.h #endif #include "svd_fill.h" #include "solverbase.h" // Check that the matrix m is properly reconstructed and that the U and V factors are unitary // The SVD must have already been computed. template void svd_check_full(const MatrixType& m, const SvdType& svd) { Index rows = m.rows(); Index cols = m.cols(); enum { RowsAtCompileTime = MatrixType::RowsAtCompileTime, ColsAtCompileTime = MatrixType::ColsAtCompileTime }; typedef typename MatrixType::Scalar Scalar; typedef typename MatrixType::RealScalar RealScalar; typedef Matrix MatrixUType; typedef Matrix MatrixVType; MatrixType sigma = MatrixType::Zero(rows, cols); sigma.diagonal() = svd.singularValues().template cast(); MatrixUType u = svd.matrixU(); MatrixVType v = svd.matrixV(); RealScalar scaling = m.cwiseAbs().maxCoeff(); if (scaling < (std::numeric_limits::min)()) { VERIFY(sigma.cwiseAbs().maxCoeff() <= (std::numeric_limits::min)()); } else { VERIFY_IS_APPROX(m / scaling, u * (sigma / scaling) * v.adjoint()); } VERIFY_IS_UNITARY(u); VERIFY_IS_UNITARY(v); } // Compare partial SVD defined by computationOptions to a full SVD referenceSvd template void svd_compare_to_full(const MatrixType& m, const SvdType& referenceSvd) { typedef typename MatrixType::RealScalar RealScalar; Index rows = m.rows(); Index cols = m.cols(); Index diagSize = (std::min)(rows, cols); RealScalar prec = test_precision(); SVD_STATIC_OPTIONS(MatrixType, Options) svd(m); VERIFY_IS_APPROX(svd.singularValues(), referenceSvd.singularValues()); if (Options & (ComputeFullV | ComputeThinV)) { VERIFY((svd.matrixV().adjoint() * svd.matrixV()).isIdentity(prec)); VERIFY_IS_APPROX(svd.matrixV().leftCols(diagSize) * svd.singularValues().asDiagonal() * svd.matrixV().leftCols(diagSize).adjoint(), referenceSvd.matrixV().leftCols(diagSize) * referenceSvd.singularValues().asDiagonal() * referenceSvd.matrixV().leftCols(diagSize).adjoint()); } if (Options & (ComputeFullU | ComputeThinU)) { VERIFY((svd.matrixU().adjoint() * svd.matrixU()).isIdentity(prec)); VERIFY_IS_APPROX(svd.matrixU().leftCols(diagSize) * svd.singularValues().cwiseAbs2().asDiagonal() * svd.matrixU().leftCols(diagSize).adjoint(), referenceSvd.matrixU().leftCols(diagSize) * referenceSvd.singularValues().cwiseAbs2().asDiagonal() * referenceSvd.matrixU().leftCols(diagSize).adjoint()); } // The following checks are not critical. // For instance, with Dived&Conquer SVD, if only the factor 'V' is computed then different matrix-matrix product // implementation will be used and the resulting 'V' factor might be significantly different when the SVD // decomposition is not unique, especially with single precision float. ++g_test_level; if (Options & ComputeFullU) VERIFY_IS_APPROX(svd.matrixU(), referenceSvd.matrixU()); if (Options & ComputeThinU) VERIFY_IS_APPROX(svd.matrixU(), referenceSvd.matrixU().leftCols(diagSize)); if (Options & ComputeFullV) VERIFY_IS_APPROX(svd.matrixV().cwiseAbs(), referenceSvd.matrixV().cwiseAbs()); if (Options & ComputeThinV) VERIFY_IS_APPROX(svd.matrixV(), referenceSvd.matrixV().leftCols(diagSize)); --g_test_level; } template void svd_least_square(const MatrixType& m) { typedef typename MatrixType::Scalar Scalar; typedef typename MatrixType::RealScalar RealScalar; Index rows = m.rows(); Index cols = m.cols(); enum { RowsAtCompileTime = MatrixType::RowsAtCompileTime, ColsAtCompileTime = MatrixType::ColsAtCompileTime }; typedef Matrix RhsType; typedef Matrix SolutionType; RhsType rhs = RhsType::Random(rows, internal::random(1, cols)); SvdType svd(m); if (internal::is_same::value) svd.setThreshold(RealScalar(1e-8)); else if (internal::is_same::value) svd.setThreshold(RealScalar(2e-4)); SolutionType x = svd.solve(rhs); RealScalar residual = (m * x - rhs).norm(); RealScalar rhs_norm = rhs.norm(); if (!test_isMuchSmallerThan(residual, rhs.norm())) { // ^^^ If the residual is very small, then we have an exact solution, so we are already good. // evaluate normal equation which works also for least-squares solutions if (internal::is_same::value || svd.rank() == m.diagonal().size()) { using std::sqrt; // This test is not stable with single precision. // This is probably because squaring m signicantly affects the precision. if (internal::is_same::value) ++g_test_level; VERIFY_IS_APPROX(m.adjoint() * (m * x), m.adjoint() * rhs); if (internal::is_same::value) --g_test_level; } // Check that there is no significantly better solution in the neighborhood of x for (Index k = 0; k < x.rows(); ++k) { using std::abs; SolutionType y(x); y.row(k) = (RealScalar(1) + 2 * NumTraits::epsilon()) * x.row(k); RealScalar residual_y = (m * y - rhs).norm(); VERIFY(test_isMuchSmallerThan(abs(residual_y - residual), rhs_norm) || residual < residual_y); if (internal::is_same::value) ++g_test_level; VERIFY(test_isApprox(residual_y, residual) || residual < residual_y); if (internal::is_same::value) --g_test_level; y.row(k) = (RealScalar(1) - 2 * NumTraits::epsilon()) * x.row(k); residual_y = (m * y - rhs).norm(); VERIFY(test_isMuchSmallerThan(abs(residual_y - residual), rhs_norm) || residual < residual_y); if (internal::is_same::value) ++g_test_level; VERIFY(test_isApprox(residual_y, residual) || residual < residual_y); if (internal::is_same::value) --g_test_level; } } } // check minimal norm solutions, the input matrix m is only used to recover problem size template void svd_min_norm(const MatrixType& m) { typedef typename MatrixType::Scalar Scalar; Index cols = m.cols(); enum { ColsAtCompileTime = MatrixType::ColsAtCompileTime }; typedef Matrix SolutionType; // generate a full-rank m x n problem with m MatrixType2; typedef Matrix RhsType2; typedef Matrix MatrixType2T; Index rank = RankAtCompileTime2 == Dynamic ? internal::random(1, cols) : Index(RankAtCompileTime2); MatrixType2 m2(rank, cols); int guard = 0; do { m2.setRandom(); } while (SVD_FOR_MIN_NORM(MatrixType2)(m2).setThreshold(test_precision()).rank() != rank && (++guard) < 10); VERIFY(guard < 10); RhsType2 rhs2 = RhsType2::Random(rank); // use QR to find a reference minimal norm solution HouseholderQR qr(m2.adjoint()); Matrix tmp = qr.matrixQR().topLeftCorner(rank, rank).template triangularView().adjoint().solve(rhs2); tmp.conservativeResize(cols); tmp.tail(cols - rank).setZero(); SolutionType x21 = qr.householderQ() * tmp; // now check with SVD SVD_STATIC_OPTIONS(MatrixType2, Options) svd2(m2); SolutionType x22 = svd2.solve(rhs2); VERIFY_IS_APPROX(m2 * x21, rhs2); VERIFY_IS_APPROX(m2 * x22, rhs2); VERIFY_IS_APPROX(x21, x22); // Now check with a rank deficient matrix typedef Matrix MatrixType3; typedef Matrix RhsType3; Index rows3 = RowsAtCompileTime3 == Dynamic ? internal::random(rank + 1, 2 * cols) : Index(RowsAtCompileTime3); Matrix C = Matrix::Random(rows3, rank); MatrixType3 m3 = C * m2; RhsType3 rhs3 = C * rhs2; SVD_STATIC_OPTIONS(MatrixType3, Options) svd3(m3); SolutionType x3 = svd3.solve(rhs3); VERIFY_IS_APPROX(m3 * x3, rhs3); VERIFY_IS_APPROX(m3 * x21, rhs3); VERIFY_IS_APPROX(m2 * x3, rhs2); VERIFY_IS_APPROX(x21, x3); } template void svd_test_solvers(const MatrixType& m, const SolverType& solver) { Index rows, cols, cols2; rows = m.rows(); cols = m.cols(); if (MatrixType::ColsAtCompileTime == Dynamic) { cols2 = internal::random(2, EIGEN_TEST_MAX_SIZE); } else { cols2 = cols; } typedef Matrix CMatrixType; check_solverbase(m, solver, rows, cols, cols2); } // work around stupid msvc error when constructing at compile time an expression that involves // a division by zero, even if the numeric type has floating point template EIGEN_DONT_INLINE Scalar zero() { return Scalar(0); } // workaround aggressive optimization in ICC template EIGEN_DONT_INLINE T sub(T a, T b) { return a - b; } // This function verifies we don't iterate infinitely on nan/inf values, // and that info() returns InvalidInput. template void svd_inf_nan() { SVD_STATIC_OPTIONS(MatrixType, ComputeFullU | ComputeFullV) svd; typedef typename MatrixType::Scalar Scalar; Scalar some_inf = Scalar(1) / zero(); VERIFY(sub(some_inf, some_inf) != sub(some_inf, some_inf)); svd.compute(MatrixType::Constant(10, 10, some_inf)); VERIFY(svd.info() == InvalidInput); Scalar nan = std::numeric_limits::quiet_NaN(); VERIFY(nan != nan); svd.compute(MatrixType::Constant(10, 10, nan)); VERIFY(svd.info() == InvalidInput); MatrixType m = MatrixType::Zero(10, 10); m(internal::random(0, 9), internal::random(0, 9)) = some_inf; svd.compute(m); VERIFY(svd.info() == InvalidInput); m = MatrixType::Zero(10, 10); m(internal::random(0, 9), internal::random(0, 9)) = nan; svd.compute(m); VERIFY(svd.info() == InvalidInput); // regression test for bug 791 m.resize(3, 3); m << 0, 2 * NumTraits::epsilon(), 0.5, 0, -0.5, 0, nan, 0, 0; svd.compute(m); VERIFY(svd.info() == InvalidInput); Scalar min = (std::numeric_limits::min)(); m.resize(4, 4); m << 1, 0, 0, 0, 0, 3, 1, min, 1, 0, 1, nan, 0, nan, nan, 0; svd.compute(m); VERIFY(svd.info() == InvalidInput); } // Regression test for bug 286: JacobiSVD loops indefinitely with some // matrices containing denormal numbers. template void svd_underoverflow() { #if defined __INTEL_COMPILER // shut up warning #239: floating point underflow #pragma warning push #pragma warning disable 239 #endif Matrix2d M; M << -7.90884e-313, -4.94e-324, 0, 5.60844e-313; SVD_STATIC_OPTIONS(Matrix2d, ComputeFullU | ComputeFullV) svd; svd.compute(M); CALL_SUBTEST(svd_check_full(M, svd)); // Check all 2x2 matrices made with the following coefficients: VectorXd value_set(9); value_set << 0, 1, -1, 5.60844e-313, -5.60844e-313, 4.94e-324, -4.94e-324, -4.94e-223, 4.94e-223; Array4i id(0, 0, 0, 0); int k = 0; do { M << value_set(id(0)), value_set(id(1)), value_set(id(2)), value_set(id(3)); svd.compute(M); CALL_SUBTEST(svd_check_full(M, svd)); id(k)++; if (id(k) >= value_set.size()) { while (k < 3 && id(k) >= value_set.size()) id(++k)++; id.head(k).setZero(); k = 0; } } while ((id < int(value_set.size())).all()); #if defined __INTEL_COMPILER #pragma warning pop #endif // Check for overflow: Matrix3d M3; M3 << 4.4331978442502944e+307, -5.8585363752028680e+307, 6.4527017443412964e+307, 3.7841695601406358e+307, 2.4331702789740617e+306, -3.5235707140272905e+307, -8.7190887618028355e+307, -7.3453213709232193e+307, -2.4367363684472105e+307; SVD_STATIC_OPTIONS(Matrix3d, ComputeFullU | ComputeFullV) svd3; svd3.compute(M3); // just check we don't loop indefinitely CALL_SUBTEST(svd_check_full(M3, svd3)); } template void svd_all_trivial_2x2(void (*cb)(const MatrixType&)) { MatrixType M; VectorXd value_set(3); value_set << 0, 1, -1; Array4i id(0, 0, 0, 0); int k = 0; do { M << value_set(id(0)), value_set(id(1)), value_set(id(2)), value_set(id(3)); cb(M); id(k)++; if (id(k) >= value_set.size()) { while (k < 3 && id(k) >= value_set.size()) id(++k)++; id.head(k).setZero(); k = 0; } } while ((id < int(value_set.size())).all()); } template void svd_preallocate() { Vector3f v(3.f, 2.f, 1.f); MatrixXf m = v.asDiagonal(); internal::set_is_malloc_allowed(false); VERIFY_RAISES_ASSERT(VectorXf tmp(10);) SVD_DEFAULT(MatrixXf) svd; internal::set_is_malloc_allowed(true); svd.compute(m); VERIFY_IS_APPROX(svd.singularValues(), v); VERIFY_RAISES_ASSERT(svd.matrixU()); VERIFY_RAISES_ASSERT(svd.matrixV()); SVD_STATIC_OPTIONS(MatrixXf, ComputeFullU | ComputeFullV) svd2(3, 3); internal::set_is_malloc_allowed(false); svd2.compute(m); internal::set_is_malloc_allowed(true); VERIFY_IS_APPROX(svd2.singularValues(), v); VERIFY_IS_APPROX(svd2.matrixU(), Matrix3f::Identity()); VERIFY_IS_APPROX(svd2.matrixV(), Matrix3f::Identity()); internal::set_is_malloc_allowed(false); svd2.compute(m); internal::set_is_malloc_allowed(true); } template void svd_verify_assert_full_only(const MatrixType& input = MatrixType()) { enum { RowsAtCompileTime = MatrixType::RowsAtCompileTime }; typedef Matrix RhsType; RhsType rhs = RhsType::Zero(input.rows()); MatrixType m(input.rows(), input.cols()); svd_fill_random(m); SVD_STATIC_OPTIONS(MatrixType, QRPreconditioner) svd0; VERIFY_RAISES_ASSERT((svd0.matrixU())); VERIFY_RAISES_ASSERT((svd0.singularValues())); VERIFY_RAISES_ASSERT((svd0.matrixV())); VERIFY_RAISES_ASSERT((svd0.solve(rhs))); VERIFY_RAISES_ASSERT((svd0.transpose().solve(rhs))); VERIFY_RAISES_ASSERT((svd0.adjoint().solve(rhs))); SVD_STATIC_OPTIONS(MatrixType, QRPreconditioner) svd1(m); VERIFY_RAISES_ASSERT((svd1.matrixU())); VERIFY_RAISES_ASSERT((svd1.matrixV())); VERIFY_RAISES_ASSERT((svd1.solve(rhs))); SVD_STATIC_OPTIONS(MatrixType, QRPreconditioner | ComputeFullU) svdFullU(m); VERIFY_RAISES_ASSERT((svdFullU.matrixV())); VERIFY_RAISES_ASSERT((svdFullU.solve(rhs))); SVD_STATIC_OPTIONS(MatrixType, QRPreconditioner | ComputeFullV) svdFullV(m); VERIFY_RAISES_ASSERT((svdFullV.matrixU())); VERIFY_RAISES_ASSERT((svdFullV.solve(rhs))); } template void svd_verify_assert(const MatrixType& input = MatrixType()) { enum { RowsAtCompileTime = MatrixType::RowsAtCompileTime }; typedef Matrix RhsType; RhsType rhs = RhsType::Zero(input.rows()); MatrixType m(input.rows(), input.cols()); svd_fill_random(m); SVD_STATIC_OPTIONS(MatrixType, QRPreconditioner | ComputeThinU) svdThinU(m); VERIFY_RAISES_ASSERT((svdThinU.matrixV())); VERIFY_RAISES_ASSERT((svdThinU.solve(rhs))); SVD_STATIC_OPTIONS(MatrixType, QRPreconditioner | ComputeThinV) svdThinV(m); VERIFY_RAISES_ASSERT((svdThinV.matrixU())); VERIFY_RAISES_ASSERT((svdThinV.solve(rhs))); svd_verify_assert_full_only(m); } template void svd_compute_checks(const MatrixType& m) { typedef SVD_STATIC_OPTIONS(MatrixType, Options) SVDType; enum { RowsAtCompileTime = MatrixType::RowsAtCompileTime, ColsAtCompileTime = MatrixType::ColsAtCompileTime, DiagAtCompileTime = internal::min_size_prefer_dynamic(RowsAtCompileTime, ColsAtCompileTime), MatrixURowsAtCompileTime = SVDType::MatrixUType::RowsAtCompileTime, MatrixUColsAtCompileTime = SVDType::MatrixUType::ColsAtCompileTime, MatrixVRowsAtCompileTime = SVDType::MatrixVType::RowsAtCompileTime, MatrixVColsAtCompileTime = SVDType::MatrixVType::ColsAtCompileTime }; SVDType staticSvd(m); VERIFY(MatrixURowsAtCompileTime == RowsAtCompileTime); VERIFY(MatrixVRowsAtCompileTime == ColsAtCompileTime); if (Options & ComputeThinU) VERIFY(MatrixUColsAtCompileTime == DiagAtCompileTime); if (Options & ComputeFullU) VERIFY(MatrixUColsAtCompileTime == RowsAtCompileTime); if (Options & ComputeThinV) VERIFY(MatrixVColsAtCompileTime == DiagAtCompileTime); if (Options & ComputeFullV) VERIFY(MatrixVColsAtCompileTime == ColsAtCompileTime); if (Options & (ComputeThinU | ComputeFullU)) VERIFY(staticSvd.computeU()); else VERIFY(!staticSvd.computeU()); if (Options & (ComputeThinV | ComputeFullV)) VERIFY(staticSvd.computeV()); else VERIFY(!staticSvd.computeV()); if (staticSvd.computeU()) VERIFY(staticSvd.matrixU().isUnitary()); if (staticSvd.computeV()) VERIFY(staticSvd.matrixV().isUnitary()); if (staticSvd.computeU() && staticSvd.computeV()) { svd_test_solvers(m, staticSvd); svd_least_square(m); // svd_min_norm generates non-square matrices so it can't be used with NoQRPreconditioner if ((Options & internal::QRPreconditionerBits) != NoQRPreconditioner) svd_min_norm(m); } } template void svd_thin_option_checks(const MatrixType& input) { MatrixType m(input.rows(), input.cols()); svd_fill_random(m); svd_compute_checks(m); svd_compute_checks(m); svd_compute_checks(m); svd_compute_checks(m); svd_compute_checks(m); svd_compute_checks(m); typedef SVD_STATIC_OPTIONS(MatrixType, QRPreconditioner | ComputeFullU | ComputeFullV) FullSvdType; FullSvdType fullSvd(m); svd_check_full(m, fullSvd); svd_compare_to_full(m, fullSvd); } template void svd_option_checks_full_only(const MatrixType& input) { MatrixType m(input.rows(), input.cols()); svd_fill_random(m); svd_compute_checks(m); svd_compute_checks(m); svd_compute_checks(m); SVD_STATIC_OPTIONS(MatrixType, QRPreconditioner | ComputeFullU | ComputeFullV) fullSvd(m); svd_check_full(m, fullSvd); } template void svd_check_max_size_matrix(int initialRows, int initialCols) { enum { MaxRowsAtCompileTime = MatrixType::MaxRowsAtCompileTime, MaxColsAtCompileTime = MatrixType::MaxColsAtCompileTime }; int rows = MaxRowsAtCompileTime == Dynamic ? initialRows : (std::min)(initialRows, (int)MaxRowsAtCompileTime); int cols = MaxColsAtCompileTime == Dynamic ? initialCols : (std::min)(initialCols, (int)MaxColsAtCompileTime); MatrixType m(rows, cols); svd_fill_random(m); SVD_STATIC_OPTIONS(MatrixType, QRPreconditioner | ComputeThinU | ComputeThinV) thinSvd(m); SVD_STATIC_OPTIONS(MatrixType, QRPreconditioner | ComputeThinU | ComputeFullV) mixedSvd1(m); SVD_STATIC_OPTIONS(MatrixType, QRPreconditioner | ComputeFullU | ComputeThinV) mixedSvd2(m); SVD_STATIC_OPTIONS(MatrixType, QRPreconditioner | ComputeFullU | ComputeFullV) fullSvd(m); MatrixType n(MaxRowsAtCompileTime, MaxColsAtCompileTime); svd_fill_random(n); thinSvd.compute(n); mixedSvd1.compute(n); mixedSvd2.compute(n); fullSvd.compute(n); MatrixX dynamicMatrix(MaxRowsAtCompileTime + 1, MaxColsAtCompileTime + 1); VERIFY_RAISES_ASSERT(thinSvd.compute(dynamicMatrix)); VERIFY_RAISES_ASSERT(mixedSvd1.compute(dynamicMatrix)); VERIFY_RAISES_ASSERT(mixedSvd2.compute(dynamicMatrix)); VERIFY_RAISES_ASSERT(fullSvd.compute(dynamicMatrix)); } template void svd_verify_constructor_options_assert(const MatrixType& m) { typedef typename MatrixType::Scalar Scalar; Index rows = m.rows(); enum { RowsAtCompileTime = MatrixType::RowsAtCompileTime, ColsAtCompileTime = MatrixType::ColsAtCompileTime }; typedef Matrix RhsType; RhsType rhs(rows); svd_fill_random(rhs); SvdType svd; VERIFY_RAISES_ASSERT(svd.matrixU()) VERIFY_RAISES_ASSERT(svd.singularValues()) VERIFY_RAISES_ASSERT(svd.matrixV()) VERIFY_RAISES_ASSERT(svd.solve(rhs)) VERIFY_RAISES_ASSERT(svd.transpose().solve(rhs)) VERIFY_RAISES_ASSERT(svd.adjoint().solve(rhs)) } #undef SVD_DEFAULT #undef SVD_FOR_MIN_NORM #undef SVD_STATIC_OPTIONS