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authorLukas Steiblys <imbusy@imbusy.org>2009-10-02 02:29:15 +0400
committerLukas Steiblys <imbusy@imbusy.org>2009-10-02 02:29:15 +0400
commit0677398a649b6b8c293df3ce3c6668f0a3be3bc8 (patch)
tree9d510a5bd23559bf4fae670ed04d7e5d6c12578c /extern/Eigen2/Eigen/src/QR/Tridiagonalization.h
parent59248e9f62006ba05e3098e4d213f3dcb23fe711 (diff)
parentbc942eceacb638735dc4f4f68252c4c207147a70 (diff)
merge from 23153 to 23595soc-2009-imbusy
Diffstat (limited to 'extern/Eigen2/Eigen/src/QR/Tridiagonalization.h')
-rw-r--r--extern/Eigen2/Eigen/src/QR/Tridiagonalization.h431
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+// This file is part of Eigen, a lightweight C++ template library
+// for linear algebra. Eigen itself is part of the KDE project.
+//
+// Copyright (C) 2008 Gael Guennebaud <g.gael@free.fr>
+//
+// Eigen is free software; you can redistribute it and/or
+// modify it under the terms of the GNU Lesser General Public
+// License as published by the Free Software Foundation; either
+// version 3 of the License, or (at your option) any later version.
+//
+// Alternatively, you can redistribute it and/or
+// modify it under the terms of the GNU General Public License as
+// published by the Free Software Foundation; either version 2 of
+// the License, or (at your option) any later version.
+//
+// Eigen is distributed in the hope that it will be useful, but WITHOUT ANY
+// WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+// FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License or the
+// GNU General Public License for more details.
+//
+// You should have received a copy of the GNU Lesser General Public
+// License and a copy of the GNU General Public License along with
+// Eigen. If not, see <http://www.gnu.org/licenses/>.
+
+#ifndef EIGEN_TRIDIAGONALIZATION_H
+#define EIGEN_TRIDIAGONALIZATION_H
+
+/** \ingroup QR_Module
+ * \nonstableyet
+ *
+ * \class Tridiagonalization
+ *
+ * \brief Trigiagonal decomposition of a selfadjoint matrix
+ *
+ * \param MatrixType the type of the matrix of which we are performing the tridiagonalization
+ *
+ * This class performs a tridiagonal decomposition of a selfadjoint matrix \f$ A \f$ such that:
+ * \f$ A = Q T Q^* \f$ where \f$ Q \f$ is unitary and \f$ T \f$ a real symmetric tridiagonal matrix.
+ *
+ * \sa MatrixBase::tridiagonalize()
+ */
+template<typename _MatrixType> class Tridiagonalization
+{
+ public:
+
+ typedef _MatrixType MatrixType;
+ typedef typename MatrixType::Scalar Scalar;
+ typedef typename NumTraits<Scalar>::Real RealScalar;
+ typedef typename ei_packet_traits<Scalar>::type Packet;
+
+ enum {
+ Size = MatrixType::RowsAtCompileTime,
+ SizeMinusOne = MatrixType::RowsAtCompileTime==Dynamic
+ ? Dynamic
+ : MatrixType::RowsAtCompileTime-1,
+ PacketSize = ei_packet_traits<Scalar>::size
+ };
+
+ typedef Matrix<Scalar, SizeMinusOne, 1> CoeffVectorType;
+ typedef Matrix<RealScalar, Size, 1> DiagonalType;
+ typedef Matrix<RealScalar, SizeMinusOne, 1> SubDiagonalType;
+
+ typedef typename NestByValue<DiagonalCoeffs<MatrixType> >::RealReturnType DiagonalReturnType;
+
+ typedef typename NestByValue<DiagonalCoeffs<
+ NestByValue<Block<MatrixType,SizeMinusOne,SizeMinusOne> > > >::RealReturnType SubDiagonalReturnType;
+
+ /** This constructor initializes a Tridiagonalization object for
+ * further use with Tridiagonalization::compute()
+ */
+ Tridiagonalization(int size = Size==Dynamic ? 2 : Size)
+ : m_matrix(size,size), m_hCoeffs(size-1)
+ {}
+
+ Tridiagonalization(const MatrixType& matrix)
+ : m_matrix(matrix),
+ m_hCoeffs(matrix.cols()-1)
+ {
+ _compute(m_matrix, m_hCoeffs);
+ }
+
+ /** Computes or re-compute the tridiagonalization for the matrix \a matrix.
+ *
+ * This method allows to re-use the allocated data.
+ */
+ void compute(const MatrixType& matrix)
+ {
+ m_matrix = matrix;
+ m_hCoeffs.resize(matrix.rows()-1, 1);
+ _compute(m_matrix, m_hCoeffs);
+ }
+
+ /** \returns the householder coefficients allowing to
+ * reconstruct the matrix Q from the packed data.
+ *
+ * \sa packedMatrix()
+ */
+ inline CoeffVectorType householderCoefficients(void) const { return m_hCoeffs; }
+
+ /** \returns the internal result of the decomposition.
+ *
+ * The returned matrix contains the following information:
+ * - the strict upper part is equal to the input matrix A
+ * - the diagonal and lower sub-diagonal represent the tridiagonal symmetric matrix (real).
+ * - the rest of the lower part contains the Householder vectors that, combined with
+ * Householder coefficients returned by householderCoefficients(),
+ * allows to reconstruct the matrix Q as follow:
+ * Q = H_{N-1} ... H_1 H_0
+ * where the matrices H are the Householder transformations:
+ * H_i = (I - h_i * v_i * v_i')
+ * where h_i == householderCoefficients()[i] and v_i is a Householder vector:
+ * v_i = [ 0, ..., 0, 1, M(i+2,i), ..., M(N-1,i) ]
+ *
+ * See LAPACK for further details on this packed storage.
+ */
+ inline const MatrixType& packedMatrix(void) const { return m_matrix; }
+
+ MatrixType matrixQ(void) const;
+ MatrixType matrixT(void) const;
+ const DiagonalReturnType diagonal(void) const;
+ const SubDiagonalReturnType subDiagonal(void) const;
+
+ static void decomposeInPlace(MatrixType& mat, DiagonalType& diag, SubDiagonalType& subdiag, bool extractQ = true);
+
+ private:
+
+ static void _compute(MatrixType& matA, CoeffVectorType& hCoeffs);
+
+ static void _decomposeInPlace3x3(MatrixType& mat, DiagonalType& diag, SubDiagonalType& subdiag, bool extractQ = true);
+
+ protected:
+ MatrixType m_matrix;
+ CoeffVectorType m_hCoeffs;
+};
+
+/** \returns an expression of the diagonal vector */
+template<typename MatrixType>
+const typename Tridiagonalization<MatrixType>::DiagonalReturnType
+Tridiagonalization<MatrixType>::diagonal(void) const
+{
+ return m_matrix.diagonal().nestByValue().real();
+}
+
+/** \returns an expression of the sub-diagonal vector */
+template<typename MatrixType>
+const typename Tridiagonalization<MatrixType>::SubDiagonalReturnType
+Tridiagonalization<MatrixType>::subDiagonal(void) const
+{
+ int n = m_matrix.rows();
+ return Block<MatrixType,SizeMinusOne,SizeMinusOne>(m_matrix, 1, 0, n-1,n-1)
+ .nestByValue().diagonal().nestByValue().real();
+}
+
+/** constructs and returns the tridiagonal matrix T.
+ * Note that the matrix T is equivalent to the diagonal and sub-diagonal of the packed matrix.
+ * Therefore, it might be often sufficient to directly use the packed matrix, or the vector
+ * expressions returned by diagonal() and subDiagonal() instead of creating a new matrix.
+ */
+template<typename MatrixType>
+typename Tridiagonalization<MatrixType>::MatrixType
+Tridiagonalization<MatrixType>::matrixT(void) const
+{
+ // FIXME should this function (and other similar ones) rather take a matrix as argument
+ // and fill it ? (to avoid temporaries)
+ int n = m_matrix.rows();
+ MatrixType matT = m_matrix;
+ matT.corner(TopRight,n-1, n-1).diagonal() = subDiagonal().template cast<Scalar>().conjugate();
+ if (n>2)
+ {
+ matT.corner(TopRight,n-2, n-2).template part<UpperTriangular>().setZero();
+ matT.corner(BottomLeft,n-2, n-2).template part<LowerTriangular>().setZero();
+ }
+ return matT;
+}
+
+#ifndef EIGEN_HIDE_HEAVY_CODE
+
+/** \internal
+ * Performs a tridiagonal decomposition of \a matA in place.
+ *
+ * \param matA the input selfadjoint matrix
+ * \param hCoeffs returned Householder coefficients
+ *
+ * The result is written in the lower triangular part of \a matA.
+ *
+ * Implemented from Golub's "Matrix Computations", algorithm 8.3.1.
+ *
+ * \sa packedMatrix()
+ */
+template<typename MatrixType>
+void Tridiagonalization<MatrixType>::_compute(MatrixType& matA, CoeffVectorType& hCoeffs)
+{
+ assert(matA.rows()==matA.cols());
+ int n = matA.rows();
+// std::cerr << matA << "\n\n";
+ for (int i = 0; i<n-2; ++i)
+ {
+ // let's consider the vector v = i-th column starting at position i+1
+
+ // start of the householder transformation
+ // squared norm of the vector v skipping the first element
+ RealScalar v1norm2 = matA.col(i).end(n-(i+2)).squaredNorm();
+
+ // FIXME comparing against 1
+ if (ei_isMuchSmallerThan(v1norm2,static_cast<Scalar>(1)))
+ {
+ hCoeffs.coeffRef(i) = 0.;
+ }
+ else
+ {
+ Scalar v0 = matA.col(i).coeff(i+1);
+ RealScalar beta = ei_sqrt(ei_abs2(v0)+v1norm2);
+ if (ei_real(v0)>=0.)
+ beta = -beta;
+ matA.col(i).end(n-(i+2)) *= (Scalar(1)/(v0-beta));
+ matA.col(i).coeffRef(i+1) = beta;
+ Scalar h = (beta - v0) / beta;
+ // end of the householder transformation
+
+ // Apply similarity transformation to remaining columns,
+ // i.e., A = H' A H where H = I - h v v' and v = matA.col(i).end(n-i-1)
+
+ matA.col(i).coeffRef(i+1) = 1;
+
+ /* This is the initial algorithm which minimize operation counts and maximize
+ * the use of Eigen's expression. Unfortunately, the first matrix-vector product
+ * using Part<LowerTriangular|Selfadjoint> is very very slow */
+ #ifdef EIGEN_NEVER_DEFINED
+ // matrix - vector product
+ hCoeffs.end(n-i-1) = (matA.corner(BottomRight,n-i-1,n-i-1).template part<LowerTriangular|SelfAdjoint>()
+ * (h * matA.col(i).end(n-i-1))).lazy();
+ // simple axpy
+ hCoeffs.end(n-i-1) += (h * Scalar(-0.5) * matA.col(i).end(n-i-1).dot(hCoeffs.end(n-i-1)))
+ * matA.col(i).end(n-i-1);
+ // rank-2 update
+ //Block<MatrixType,Dynamic,1> B(matA,i+1,i,n-i-1,1);
+ matA.corner(BottomRight,n-i-1,n-i-1).template part<LowerTriangular>() -=
+ (matA.col(i).end(n-i-1) * hCoeffs.end(n-i-1).adjoint()).lazy()
+ + (hCoeffs.end(n-i-1) * matA.col(i).end(n-i-1).adjoint()).lazy();
+ #endif
+ /* end initial algorithm */
+
+ /* If we still want to minimize operation count (i.e., perform operation on the lower part only)
+ * then we could provide the following algorithm for selfadjoint - vector product. However, a full
+ * matrix-vector product is still faster (at least for dynamic size, and not too small, did not check
+ * small matrices). The algo performs block matrix-vector and transposed matrix vector products. */
+ #ifdef EIGEN_NEVER_DEFINED
+ int n4 = (std::max(0,n-4)/4)*4;
+ hCoeffs.end(n-i-1).setZero();
+ for (int b=i+1; b<n4; b+=4)
+ {
+ // the ?x4 part:
+ hCoeffs.end(b-4) +=
+ Block<MatrixType,Dynamic,4>(matA,b+4,b,n-b-4,4) * matA.template block<4,1>(b,i);
+ // the respective transposed part:
+ Block<CoeffVectorType,4,1>(hCoeffs, b, 0, 4,1) +=
+ Block<MatrixType,Dynamic,4>(matA,b+4,b,n-b-4,4).adjoint() * Block<MatrixType,Dynamic,1>(matA,b+4,i,n-b-4,1);
+ // the 4x4 block diagonal:
+ Block<CoeffVectorType,4,1>(hCoeffs, b, 0, 4,1) +=
+ (Block<MatrixType,4,4>(matA,b,b,4,4).template part<LowerTriangular|SelfAdjoint>()
+ * (h * Block<MatrixType,4,1>(matA,b,i,4,1))).lazy();
+ }
+ #endif
+ // todo: handle the remaining part
+ /* end optimized selfadjoint - vector product */
+
+ /* Another interesting note: the above rank-2 update is much slower than the following hand written loop.
+ * After an analyze of the ASM, it seems GCC (4.2) generate poor code because of the Block. Moreover,
+ * if we remove the specialization of Block for Matrix then it is even worse, much worse ! */
+ #ifdef EIGEN_NEVER_DEFINED
+ for (int j1=i+1; j1<n; ++j1)
+ for (int i1=j1; i1<n; ++i1)
+ matA.coeffRef(i1,j1) -= matA.coeff(i1,i)*ei_conj(hCoeffs.coeff(j1-1))
+ + hCoeffs.coeff(i1-1)*ei_conj(matA.coeff(j1,i));
+ #endif
+ /* end hand writen partial rank-2 update */
+
+ /* The current fastest implementation: the full matrix is used, no "optimization" to use/compute
+ * only half of the matrix. Custom vectorization of the inner col -= alpha X + beta Y such that access
+ * to col are always aligned. Once we support that in Assign, then the algorithm could be rewriten as
+ * a single compact expression. This code is therefore a good benchmark when will do that. */
+
+ // let's use the end of hCoeffs to store temporary values:
+ hCoeffs.end(n-i-1) = (matA.corner(BottomRight,n-i-1,n-i-1) * (h * matA.col(i).end(n-i-1))).lazy();
+ // FIXME in the above expr a temporary is created because of the scalar multiple by h
+
+ hCoeffs.end(n-i-1) += (h * Scalar(-0.5) * matA.col(i).end(n-i-1).dot(hCoeffs.end(n-i-1)))
+ * matA.col(i).end(n-i-1);
+
+ const Scalar* EIGEN_RESTRICT pb = &matA.coeffRef(0,i);
+ const Scalar* EIGEN_RESTRICT pa = (&hCoeffs.coeffRef(0)) - 1;
+ for (int j1=i+1; j1<n; ++j1)
+ {
+ int starti = i+1;
+ int alignedEnd = starti;
+ if (PacketSize>1)
+ {
+ int alignedStart = (starti) + ei_alignmentOffset(&matA.coeffRef(starti,j1), n-starti);
+ alignedEnd = alignedStart + ((n-alignedStart)/PacketSize)*PacketSize;
+
+ for (int i1=starti; i1<alignedStart; ++i1)
+ matA.coeffRef(i1,j1) -= matA.coeff(i1,i)*ei_conj(hCoeffs.coeff(j1-1))
+ + hCoeffs.coeff(i1-1)*ei_conj(matA.coeff(j1,i));
+
+ Packet tmp0 = ei_pset1(hCoeffs.coeff(j1-1));
+ Packet tmp1 = ei_pset1(matA.coeff(j1,i));
+ Scalar* pc = &matA.coeffRef(0,j1);
+ for (int i1=alignedStart ; i1<alignedEnd; i1+=PacketSize)
+ ei_pstore(pc+i1,ei_psub(ei_pload(pc+i1),
+ ei_padd(ei_pmul(tmp0, ei_ploadu(pb+i1)),
+ ei_pmul(tmp1, ei_ploadu(pa+i1)))));
+ }
+ for (int i1=alignedEnd; i1<n; ++i1)
+ matA.coeffRef(i1,j1) -= matA.coeff(i1,i)*ei_conj(hCoeffs.coeff(j1-1))
+ + hCoeffs.coeff(i1-1)*ei_conj(matA.coeff(j1,i));
+ }
+ /* end optimized implementation */
+
+ // note: at that point matA(i+1,i+1) is the (i+1)-th element of the final diagonal
+ // note: the sequence of the beta values leads to the subdiagonal entries
+ matA.col(i).coeffRef(i+1) = beta;
+
+ hCoeffs.coeffRef(i) = h;
+ }
+ }
+ if (NumTraits<Scalar>::IsComplex)
+ {
+ // Householder transformation on the remaining single scalar
+ int i = n-2;
+ Scalar v0 = matA.col(i).coeff(i+1);
+ RealScalar beta = ei_abs(v0);
+ if (ei_real(v0)>=0.)
+ beta = -beta;
+ matA.col(i).coeffRef(i+1) = beta;
+ if(ei_isMuchSmallerThan(beta, Scalar(1))) hCoeffs.coeffRef(i) = Scalar(0);
+ else hCoeffs.coeffRef(i) = (beta - v0) / beta;
+ }
+ else
+ {
+ hCoeffs.coeffRef(n-2) = 0;
+ }
+}
+
+/** reconstructs and returns the matrix Q */
+template<typename MatrixType>
+typename Tridiagonalization<MatrixType>::MatrixType
+Tridiagonalization<MatrixType>::matrixQ(void) const
+{
+ int n = m_matrix.rows();
+ MatrixType matQ = MatrixType::Identity(n,n);
+ for (int i = n-2; i>=0; i--)
+ {
+ Scalar tmp = m_matrix.coeff(i+1,i);
+ m_matrix.const_cast_derived().coeffRef(i+1,i) = 1;
+
+ matQ.corner(BottomRight,n-i-1,n-i-1) -=
+ ((m_hCoeffs.coeff(i) * m_matrix.col(i).end(n-i-1)) *
+ (m_matrix.col(i).end(n-i-1).adjoint() * matQ.corner(BottomRight,n-i-1,n-i-1)).lazy()).lazy();
+
+ m_matrix.const_cast_derived().coeffRef(i+1,i) = tmp;
+ }
+ return matQ;
+}
+
+/** Performs a full decomposition in place */
+template<typename MatrixType>
+void Tridiagonalization<MatrixType>::decomposeInPlace(MatrixType& mat, DiagonalType& diag, SubDiagonalType& subdiag, bool extractQ)
+{
+ int n = mat.rows();
+ ei_assert(mat.cols()==n && diag.size()==n && subdiag.size()==n-1);
+ if (n==3 && (!NumTraits<Scalar>::IsComplex) )
+ {
+ _decomposeInPlace3x3(mat, diag, subdiag, extractQ);
+ }
+ else
+ {
+ Tridiagonalization tridiag(mat);
+ diag = tridiag.diagonal();
+ subdiag = tridiag.subDiagonal();
+ if (extractQ)
+ mat = tridiag.matrixQ();
+ }
+}
+
+/** \internal
+ * Optimized path for 3x3 matrices.
+ * Especially useful for plane fitting.
+ */
+template<typename MatrixType>
+void Tridiagonalization<MatrixType>::_decomposeInPlace3x3(MatrixType& mat, DiagonalType& diag, SubDiagonalType& subdiag, bool extractQ)
+{
+ diag[0] = ei_real(mat(0,0));
+ RealScalar v1norm2 = ei_abs2(mat(0,2));
+ if (ei_isMuchSmallerThan(v1norm2, RealScalar(1)))
+ {
+ diag[1] = ei_real(mat(1,1));
+ diag[2] = ei_real(mat(2,2));
+ subdiag[0] = ei_real(mat(0,1));
+ subdiag[1] = ei_real(mat(1,2));
+ if (extractQ)
+ mat.setIdentity();
+ }
+ else
+ {
+ RealScalar beta = ei_sqrt(ei_abs2(mat(0,1))+v1norm2);
+ RealScalar invBeta = RealScalar(1)/beta;
+ Scalar m01 = mat(0,1) * invBeta;
+ Scalar m02 = mat(0,2) * invBeta;
+ Scalar q = RealScalar(2)*m01*mat(1,2) + m02*(mat(2,2) - mat(1,1));
+ diag[1] = ei_real(mat(1,1) + m02*q);
+ diag[2] = ei_real(mat(2,2) - m02*q);
+ subdiag[0] = beta;
+ subdiag[1] = ei_real(mat(1,2) - m01 * q);
+ if (extractQ)
+ {
+ mat(0,0) = 1;
+ mat(0,1) = 0;
+ mat(0,2) = 0;
+ mat(1,0) = 0;
+ mat(1,1) = m01;
+ mat(1,2) = m02;
+ mat(2,0) = 0;
+ mat(2,1) = m02;
+ mat(2,2) = -m01;
+ }
+ }
+}
+
+#endif // EIGEN_HIDE_HEAVY_CODE
+
+#endif // EIGEN_TRIDIAGONALIZATION_H