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eigen/unsupported/Eigen/src/MatrixFunctions/MatrixExponential.h
Gael Guennebaud b3fd93207b Fix typos found using codespell
2018-06-07 14:43:02 +02:00

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// This file is part of Eigen, a lightweight C++ template library
// for linear algebra.
//
// Copyright (C) 2009, 2010, 2013 Jitse Niesen <jitse@maths.leeds.ac.uk>
// Copyright (C) 2011, 2013 Chen-Pang He <jdh8@ms63.hinet.net>
//
// 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_MATRIX_EXPONENTIAL
#define EIGEN_MATRIX_EXPONENTIAL
#include "StemFunction.h"
namespace Eigen {
namespace internal {
/** \brief Scaling operator.
*
* This struct is used by CwiseUnaryOp to scale a matrix by \f$ 2^{-s} \f$.
*/
template <typename RealScalar>
struct MatrixExponentialScalingOp
{
/** \brief Constructor.
*
* \param[in] squarings The integer \f$ s \f$ in this document.
*/
MatrixExponentialScalingOp(int squarings) : m_squarings(squarings) { }
/** \brief Scale a matrix coefficient.
*
* \param[in,out] x The scalar to be scaled, becoming \f$ 2^{-s} x \f$.
*/
inline const RealScalar operator() (const RealScalar& x) const
{
using std::ldexp;
return ldexp(x, -m_squarings);
}
typedef std::complex<RealScalar> ComplexScalar;
/** \brief Scale a matrix coefficient.
*
* \param[in,out] x The scalar to be scaled, becoming \f$ 2^{-s} x \f$.
*/
inline const ComplexScalar operator() (const ComplexScalar& x) const
{
using std::ldexp;
return ComplexScalar(ldexp(x.real(), -m_squarings), ldexp(x.imag(), -m_squarings));
}
private:
int m_squarings;
};
/** \brief Compute the (3,3)-Pad&eacute; approximant to the exponential.
*
* After exit, \f$ (V+U)(V-U)^{-1} \f$ is the Pad&eacute;
* approximant of \f$ \exp(A) \f$ around \f$ A = 0 \f$.
*/
template <typename MatA, typename MatU, typename MatV>
void matrix_exp_pade3(const MatA& A, MatU& U, MatV& V)
{
typedef typename MatA::PlainObject MatrixType;
typedef typename NumTraits<typename traits<MatA>::Scalar>::Real RealScalar;
const RealScalar b[] = {120.L, 60.L, 12.L, 1.L};
const MatrixType A2 = A * A;
const MatrixType tmp = b[3] * A2 + b[1] * MatrixType::Identity(A.rows(), A.cols());
U.noalias() = A * tmp;
V = b[2] * A2 + b[0] * MatrixType::Identity(A.rows(), A.cols());
}
/** \brief Compute the (5,5)-Pad&eacute; approximant to the exponential.
*
* After exit, \f$ (V+U)(V-U)^{-1} \f$ is the Pad&eacute;
* approximant of \f$ \exp(A) \f$ around \f$ A = 0 \f$.
*/
template <typename MatA, typename MatU, typename MatV>
void matrix_exp_pade5(const MatA& A, MatU& U, MatV& V)
{
typedef typename MatA::PlainObject MatrixType;
typedef typename NumTraits<typename traits<MatrixType>::Scalar>::Real RealScalar;
const RealScalar b[] = {30240.L, 15120.L, 3360.L, 420.L, 30.L, 1.L};
const MatrixType A2 = A * A;
const MatrixType A4 = A2 * A2;
const MatrixType tmp = b[5] * A4 + b[3] * A2 + b[1] * MatrixType::Identity(A.rows(), A.cols());
U.noalias() = A * tmp;
V = b[4] * A4 + b[2] * A2 + b[0] * MatrixType::Identity(A.rows(), A.cols());
}
/** \brief Compute the (7,7)-Pad&eacute; approximant to the exponential.
*
* After exit, \f$ (V+U)(V-U)^{-1} \f$ is the Pad&eacute;
* approximant of \f$ \exp(A) \f$ around \f$ A = 0 \f$.
*/
template <typename MatA, typename MatU, typename MatV>
void matrix_exp_pade7(const MatA& A, MatU& U, MatV& V)
{
typedef typename MatA::PlainObject MatrixType;
typedef typename NumTraits<typename traits<MatrixType>::Scalar>::Real RealScalar;
const RealScalar b[] = {17297280.L, 8648640.L, 1995840.L, 277200.L, 25200.L, 1512.L, 56.L, 1.L};
const MatrixType A2 = A * A;
const MatrixType A4 = A2 * A2;
const MatrixType A6 = A4 * A2;
const MatrixType tmp = b[7] * A6 + b[5] * A4 + b[3] * A2
+ b[1] * MatrixType::Identity(A.rows(), A.cols());
U.noalias() = A * tmp;
V = b[6] * A6 + b[4] * A4 + b[2] * A2 + b[0] * MatrixType::Identity(A.rows(), A.cols());
}
/** \brief Compute the (9,9)-Pad&eacute; approximant to the exponential.
*
* After exit, \f$ (V+U)(V-U)^{-1} \f$ is the Pad&eacute;
* approximant of \f$ \exp(A) \f$ around \f$ A = 0 \f$.
*/
template <typename MatA, typename MatU, typename MatV>
void matrix_exp_pade9(const MatA& A, MatU& U, MatV& V)
{
typedef typename MatA::PlainObject MatrixType;
typedef typename NumTraits<typename traits<MatrixType>::Scalar>::Real RealScalar;
const RealScalar b[] = {17643225600.L, 8821612800.L, 2075673600.L, 302702400.L, 30270240.L,
2162160.L, 110880.L, 3960.L, 90.L, 1.L};
const MatrixType A2 = A * A;
const MatrixType A4 = A2 * A2;
const MatrixType A6 = A4 * A2;
const MatrixType A8 = A6 * A2;
const MatrixType tmp = b[9] * A8 + b[7] * A6 + b[5] * A4 + b[3] * A2
+ b[1] * MatrixType::Identity(A.rows(), A.cols());
U.noalias() = A * tmp;
V = b[8] * A8 + b[6] * A6 + b[4] * A4 + b[2] * A2 + b[0] * MatrixType::Identity(A.rows(), A.cols());
}
/** \brief Compute the (13,13)-Pad&eacute; approximant to the exponential.
*
* After exit, \f$ (V+U)(V-U)^{-1} \f$ is the Pad&eacute;
* approximant of \f$ \exp(A) \f$ around \f$ A = 0 \f$.
*/
template <typename MatA, typename MatU, typename MatV>
void matrix_exp_pade13(const MatA& A, MatU& U, MatV& V)
{
typedef typename MatA::PlainObject MatrixType;
typedef typename NumTraits<typename traits<MatrixType>::Scalar>::Real RealScalar;
const RealScalar b[] = {64764752532480000.L, 32382376266240000.L, 7771770303897600.L,
1187353796428800.L, 129060195264000.L, 10559470521600.L, 670442572800.L,
33522128640.L, 1323241920.L, 40840800.L, 960960.L, 16380.L, 182.L, 1.L};
const MatrixType A2 = A * A;
const MatrixType A4 = A2 * A2;
const MatrixType A6 = A4 * A2;
V = b[13] * A6 + b[11] * A4 + b[9] * A2; // used for temporary storage
MatrixType tmp = A6 * V;
tmp += b[7] * A6 + b[5] * A4 + b[3] * A2 + b[1] * MatrixType::Identity(A.rows(), A.cols());
U.noalias() = A * tmp;
tmp = b[12] * A6 + b[10] * A4 + b[8] * A2;
V.noalias() = A6 * tmp;
V += b[6] * A6 + b[4] * A4 + b[2] * A2 + b[0] * MatrixType::Identity(A.rows(), A.cols());
}
/** \brief Compute the (17,17)-Pad&eacute; approximant to the exponential.
*
* After exit, \f$ (V+U)(V-U)^{-1} \f$ is the Pad&eacute;
* approximant of \f$ \exp(A) \f$ around \f$ A = 0 \f$.
*
* This function activates only if your long double is double-double or quadruple.
*/
#if LDBL_MANT_DIG > 64
template <typename MatA, typename MatU, typename MatV>
void matrix_exp_pade17(const MatA& A, MatU& U, MatV& V)
{
typedef typename MatA::PlainObject MatrixType;
typedef typename NumTraits<typename traits<MatrixType>::Scalar>::Real RealScalar;
const RealScalar b[] = {830034394580628357120000.L, 415017197290314178560000.L,
100610229646136770560000.L, 15720348382208870400000.L,
1774878043152614400000.L, 153822763739893248000.L, 10608466464820224000.L,
595373117923584000.L, 27563570274240000.L, 1060137318240000.L,
33924394183680.L, 899510451840.L, 19554575040.L, 341863200.L, 4651200.L,
46512.L, 306.L, 1.L};
const MatrixType A2 = A * A;
const MatrixType A4 = A2 * A2;
const MatrixType A6 = A4 * A2;
const MatrixType A8 = A4 * A4;
V = b[17] * A8 + b[15] * A6 + b[13] * A4 + b[11] * A2; // used for temporary storage
MatrixType tmp = A8 * V;
tmp += b[9] * A8 + b[7] * A6 + b[5] * A4 + b[3] * A2
+ b[1] * MatrixType::Identity(A.rows(), A.cols());
U.noalias() = A * tmp;
tmp = b[16] * A8 + b[14] * A6 + b[12] * A4 + b[10] * A2;
V.noalias() = tmp * A8;
V += b[8] * A8 + b[6] * A6 + b[4] * A4 + b[2] * A2
+ b[0] * MatrixType::Identity(A.rows(), A.cols());
}
#endif
template <typename MatrixType, typename RealScalar = typename NumTraits<typename traits<MatrixType>::Scalar>::Real>
struct matrix_exp_computeUV
{
/** \brief Compute Pad&eacute; approximant to the exponential.
*
* Computes \c U, \c V and \c squarings such that \f$ (V+U)(V-U)^{-1} \f$ is a Pad&eacute;
* approximant of \f$ \exp(2^{-\mbox{squarings}}M) \f$ around \f$ M = 0 \f$, where \f$ M \f$
* denotes the matrix \c arg. The degree of the Pad&eacute; approximant and the value of squarings
* are chosen such that the approximation error is no more than the round-off error.
*/
static void run(const MatrixType& arg, MatrixType& U, MatrixType& V, int& squarings);
};
template <typename MatrixType>
struct matrix_exp_computeUV<MatrixType, float>
{
template <typename ArgType>
static void run(const ArgType& arg, MatrixType& U, MatrixType& V, int& squarings)
{
using std::frexp;
using std::pow;
const float l1norm = arg.cwiseAbs().colwise().sum().maxCoeff();
squarings = 0;
if (l1norm < 4.258730016922831e-001f) {
matrix_exp_pade3(arg, U, V);
} else if (l1norm < 1.880152677804762e+000f) {
matrix_exp_pade5(arg, U, V);
} else {
const float maxnorm = 3.925724783138660f;
frexp(l1norm / maxnorm, &squarings);
if (squarings < 0) squarings = 0;
MatrixType A = arg.unaryExpr(MatrixExponentialScalingOp<float>(squarings));
matrix_exp_pade7(A, U, V);
}
}
};
template <typename MatrixType>
struct matrix_exp_computeUV<MatrixType, double>
{
template <typename ArgType>
static void run(const ArgType& arg, MatrixType& U, MatrixType& V, int& squarings)
{
using std::frexp;
using std::pow;
const double l1norm = arg.cwiseAbs().colwise().sum().maxCoeff();
squarings = 0;
if (l1norm < 1.495585217958292e-002) {
matrix_exp_pade3(arg, U, V);
} else if (l1norm < 2.539398330063230e-001) {
matrix_exp_pade5(arg, U, V);
} else if (l1norm < 9.504178996162932e-001) {
matrix_exp_pade7(arg, U, V);
} else if (l1norm < 2.097847961257068e+000) {
matrix_exp_pade9(arg, U, V);
} else {
const double maxnorm = 5.371920351148152;
frexp(l1norm / maxnorm, &squarings);
if (squarings < 0) squarings = 0;
MatrixType A = arg.unaryExpr(MatrixExponentialScalingOp<double>(squarings));
matrix_exp_pade13(A, U, V);
}
}
};
template <typename MatrixType>
struct matrix_exp_computeUV<MatrixType, long double>
{
template <typename ArgType>
static void run(const ArgType& arg, MatrixType& U, MatrixType& V, int& squarings)
{
#if LDBL_MANT_DIG == 53 // double precision
matrix_exp_computeUV<MatrixType, double>::run(arg, U, V, squarings);
#else
using std::frexp;
using std::pow;
const long double l1norm = arg.cwiseAbs().colwise().sum().maxCoeff();
squarings = 0;
#if LDBL_MANT_DIG <= 64 // extended precision
if (l1norm < 4.1968497232266989671e-003L) {
matrix_exp_pade3(arg, U, V);
} else if (l1norm < 1.1848116734693823091e-001L) {
matrix_exp_pade5(arg, U, V);
} else if (l1norm < 5.5170388480686700274e-001L) {
matrix_exp_pade7(arg, U, V);
} else if (l1norm < 1.3759868875587845383e+000L) {
matrix_exp_pade9(arg, U, V);
} else {
const long double maxnorm = 4.0246098906697353063L;
frexp(l1norm / maxnorm, &squarings);
if (squarings < 0) squarings = 0;
MatrixType A = arg.unaryExpr(MatrixExponentialScalingOp<long double>(squarings));
matrix_exp_pade13(A, U, V);
}
#elif LDBL_MANT_DIG <= 106 // double-double
if (l1norm < 3.2787892205607026992947488108213e-005L) {
matrix_exp_pade3(arg, U, V);
} else if (l1norm < 6.4467025060072760084130906076332e-003L) {
matrix_exp_pade5(arg, U, V);
} else if (l1norm < 6.8988028496595374751374122881143e-002L) {
matrix_exp_pade7(arg, U, V);
} else if (l1norm < 2.7339737518502231741495857201670e-001L) {
matrix_exp_pade9(arg, U, V);
} else if (l1norm < 1.3203382096514474905666448850278e+000L) {
matrix_exp_pade13(arg, U, V);
} else {
const long double maxnorm = 3.2579440895405400856599663723517L;
frexp(l1norm / maxnorm, &squarings);
if (squarings < 0) squarings = 0;
MatrixType A = arg.unaryExpr(MatrixExponentialScalingOp<long double>(squarings));
matrix_exp_pade17(A, U, V);
}
#elif LDBL_MANT_DIG <= 112 // quadruple precision
if (l1norm < 1.639394610288918690547467954466970e-005L) {
matrix_exp_pade3(arg, U, V);
} else if (l1norm < 4.253237712165275566025884344433009e-003L) {
matrix_exp_pade5(arg, U, V);
} else if (l1norm < 5.125804063165764409885122032933142e-002L) {
matrix_exp_pade7(arg, U, V);
} else if (l1norm < 2.170000765161155195453205651889853e-001L) {
matrix_exp_pade9(arg, U, V);
} else if (l1norm < 1.125358383453143065081397882891878e+000L) {
matrix_exp_pade13(arg, U, V);
} else {
const long double maxnorm = 2.884233277829519311757165057717815L;
frexp(l1norm / maxnorm, &squarings);
if (squarings < 0) squarings = 0;
MatrixType A = arg.unaryExpr(MatrixExponentialScalingOp<long double>(squarings));
matrix_exp_pade17(A, U, V);
}
#else
// this case should be handled in compute()
eigen_assert(false && "Bug in MatrixExponential");
#endif
#endif // LDBL_MANT_DIG
}
};
template<typename T> struct is_exp_known_type : false_type {};
template<> struct is_exp_known_type<float> : true_type {};
template<> struct is_exp_known_type<double> : true_type {};
#if LDBL_MANT_DIG <= 112
template<> struct is_exp_known_type<long double> : true_type {};
#endif
template <typename ArgType, typename ResultType>
void matrix_exp_compute(const ArgType& arg, ResultType &result, true_type) // natively supported scalar type
{
typedef typename ArgType::PlainObject MatrixType;
MatrixType U, V;
int squarings;
matrix_exp_computeUV<MatrixType>::run(arg, U, V, squarings); // Pade approximant is (U+V) / (-U+V)
MatrixType numer = U + V;
MatrixType denom = -U + V;
result = denom.partialPivLu().solve(numer);
for (int i=0; i<squarings; i++)
result *= result; // undo scaling by repeated squaring
}
/* Computes the matrix exponential
*
* \param arg argument of matrix exponential (should be plain object)
* \param result variable in which result will be stored
*/
template <typename ArgType, typename ResultType>
void matrix_exp_compute(const ArgType& arg, ResultType &result, false_type) // default
{
typedef typename ArgType::PlainObject MatrixType;
typedef typename traits<MatrixType>::Scalar Scalar;
typedef typename NumTraits<Scalar>::Real RealScalar;
typedef typename std::complex<RealScalar> ComplexScalar;
result = arg.matrixFunction(internal::stem_function_exp<ComplexScalar>);
}
} // end namespace Eigen::internal
/** \ingroup MatrixFunctions_Module
*
* \brief Proxy for the matrix exponential of some matrix (expression).
*
* \tparam Derived Type of the argument to the matrix exponential.
*
* This class holds the argument to the matrix exponential until it is assigned or evaluated for
* some other reason (so the argument should not be changed in the meantime). It is the return type
* of MatrixBase::exp() and most of the time this is the only way it is used.
*/
template<typename Derived> struct MatrixExponentialReturnValue
: public ReturnByValue<MatrixExponentialReturnValue<Derived> >
{
typedef typename Derived::Index Index;
public:
/** \brief Constructor.
*
* \param src %Matrix (expression) forming the argument of the matrix exponential.
*/
MatrixExponentialReturnValue(const Derived& src) : m_src(src) { }
/** \brief Compute the matrix exponential.
*
* \param result the matrix exponential of \p src in the constructor.
*/
template <typename ResultType>
inline void evalTo(ResultType& result) const
{
const typename internal::nested_eval<Derived, 10>::type tmp(m_src);
internal::matrix_exp_compute(tmp, result, internal::is_exp_known_type<typename Derived::Scalar>());
}
Index rows() const { return m_src.rows(); }
Index cols() const { return m_src.cols(); }
protected:
const typename internal::ref_selector<Derived>::type m_src;
};
namespace internal {
template<typename Derived>
struct traits<MatrixExponentialReturnValue<Derived> >
{
typedef typename Derived::PlainObject ReturnType;
};
}
template <typename Derived>
const MatrixExponentialReturnValue<Derived> MatrixBase<Derived>::exp() const
{
eigen_assert(rows() == cols());
return MatrixExponentialReturnValue<Derived>(derived());
}
} // end namespace Eigen
#endif // EIGEN_MATRIX_EXPONENTIAL
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