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diff --git a/src/eigen/Eigen/src/Eigenvalues/GeneralizedEigenSolver.h b/src/eigen/Eigen/src/Eigenvalues/GeneralizedEigenSolver.h new file mode 100644 index 000000000..87d789b3f --- /dev/null +++ b/src/eigen/Eigen/src/Eigenvalues/GeneralizedEigenSolver.h @@ -0,0 +1,418 @@ +// This file is part of Eigen, a lightweight C++ template library +// for linear algebra. +// +// Copyright (C) 2012-2016 Gael Guennebaud <gael.guennebaud@inria.fr> +// Copyright (C) 2010,2012 Jitse Niesen <jitse@maths.leeds.ac.uk> +// Copyright (C) 2016 Tobias Wood <tobias@spinicist.org.uk> +// +// 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_GENERALIZEDEIGENSOLVER_H +#define EIGEN_GENERALIZEDEIGENSOLVER_H + +#include "./RealQZ.h" + +namespace Eigen { + +/** \eigenvalues_module \ingroup Eigenvalues_Module + * + * + * \class GeneralizedEigenSolver + * + * \brief Computes the generalized eigenvalues and eigenvectors of a pair of general matrices + * + * \tparam _MatrixType the type of the matrices of which we are computing the + * eigen-decomposition; this is expected to be an instantiation of the Matrix + * class template. Currently, only real matrices are supported. + * + * The generalized eigenvalues and eigenvectors of a matrix pair \f$ A \f$ and \f$ B \f$ are scalars + * \f$ \lambda \f$ and vectors \f$ v \f$ such that \f$ Av = \lambda Bv \f$. If + * \f$ D \f$ is a diagonal matrix with the eigenvalues on the diagonal, and + * \f$ V \f$ is a matrix with the eigenvectors as its columns, then \f$ A V = + * B V D \f$. The matrix \f$ V \f$ is almost always invertible, in which case we + * have \f$ A = B V D V^{-1} \f$. This is called the generalized eigen-decomposition. + * + * The generalized eigenvalues and eigenvectors of a matrix pair may be complex, even when the + * matrices are real. Moreover, the generalized eigenvalue might be infinite if the matrix B is + * singular. To workaround this difficulty, the eigenvalues are provided as a pair of complex \f$ \alpha \f$ + * and real \f$ \beta \f$ such that: \f$ \lambda_i = \alpha_i / \beta_i \f$. If \f$ \beta_i \f$ is (nearly) zero, + * then one can consider the well defined left eigenvalue \f$ \mu = \beta_i / \alpha_i\f$ such that: + * \f$ \mu_i A v_i = B v_i \f$, or even \f$ \mu_i u_i^T A = u_i^T B \f$ where \f$ u_i \f$ is + * called the left eigenvector. + * + * Call the function compute() to compute the generalized eigenvalues and eigenvectors of + * a given matrix pair. Alternatively, you can use the + * GeneralizedEigenSolver(const MatrixType&, const MatrixType&, bool) constructor which computes the + * eigenvalues and eigenvectors at construction time. Once the eigenvalue and + * eigenvectors are computed, they can be retrieved with the eigenvalues() and + * eigenvectors() functions. + * + * Here is an usage example of this class: + * Example: \include GeneralizedEigenSolver.cpp + * Output: \verbinclude GeneralizedEigenSolver.out + * + * \sa MatrixBase::eigenvalues(), class ComplexEigenSolver, class SelfAdjointEigenSolver + */ +template<typename _MatrixType> class GeneralizedEigenSolver +{ + public: + + /** \brief Synonym for the template parameter \p _MatrixType. */ + typedef _MatrixType MatrixType; + + enum { + RowsAtCompileTime = MatrixType::RowsAtCompileTime, + ColsAtCompileTime = MatrixType::ColsAtCompileTime, + Options = MatrixType::Options, + MaxRowsAtCompileTime = MatrixType::MaxRowsAtCompileTime, + MaxColsAtCompileTime = MatrixType::MaxColsAtCompileTime + }; + + /** \brief Scalar type for matrices of type #MatrixType. */ + typedef typename MatrixType::Scalar Scalar; + typedef typename NumTraits<Scalar>::Real RealScalar; + typedef Eigen::Index Index; ///< \deprecated since Eigen 3.3 + + /** \brief Complex scalar type for #MatrixType. + * + * This is \c std::complex<Scalar> if #Scalar is real (e.g., + * \c float or \c double) and just \c Scalar if #Scalar is + * complex. + */ + typedef std::complex<RealScalar> ComplexScalar; + + /** \brief Type for vector of real scalar values eigenvalues as returned by betas(). + * + * This is a column vector with entries of type #Scalar. + * The length of the vector is the size of #MatrixType. + */ + typedef Matrix<Scalar, ColsAtCompileTime, 1, Options & ~RowMajor, MaxColsAtCompileTime, 1> VectorType; + + /** \brief Type for vector of complex scalar values eigenvalues as returned by alphas(). + * + * This is a column vector with entries of type #ComplexScalar. + * The length of the vector is the size of #MatrixType. + */ + typedef Matrix<ComplexScalar, ColsAtCompileTime, 1, Options & ~RowMajor, MaxColsAtCompileTime, 1> ComplexVectorType; + + /** \brief Expression type for the eigenvalues as returned by eigenvalues(). + */ + typedef CwiseBinaryOp<internal::scalar_quotient_op<ComplexScalar,Scalar>,ComplexVectorType,VectorType> EigenvalueType; + + /** \brief Type for matrix of eigenvectors as returned by eigenvectors(). + * + * This is a square matrix with entries of type #ComplexScalar. + * The size is the same as the size of #MatrixType. + */ + typedef Matrix<ComplexScalar, RowsAtCompileTime, ColsAtCompileTime, Options, MaxRowsAtCompileTime, MaxColsAtCompileTime> EigenvectorsType; + + /** \brief Default constructor. + * + * The default constructor is useful in cases in which the user intends to + * perform decompositions via EigenSolver::compute(const MatrixType&, bool). + * + * \sa compute() for an example. + */ + GeneralizedEigenSolver() + : m_eivec(), + m_alphas(), + m_betas(), + m_valuesOkay(false), + m_vectorsOkay(false), + m_realQZ() + {} + + /** \brief Default constructor with memory preallocation + * + * Like the default constructor but with preallocation of the internal data + * according to the specified problem \a size. + * \sa GeneralizedEigenSolver() + */ + explicit GeneralizedEigenSolver(Index size) + : m_eivec(size, size), + m_alphas(size), + m_betas(size), + m_valuesOkay(false), + m_vectorsOkay(false), + m_realQZ(size), + m_tmp(size) + {} + + /** \brief Constructor; computes the generalized eigendecomposition of given matrix pair. + * + * \param[in] A Square matrix whose eigendecomposition is to be computed. + * \param[in] B Square matrix whose eigendecomposition is to be computed. + * \param[in] computeEigenvectors If true, both the eigenvectors and the + * eigenvalues are computed; if false, only the eigenvalues are computed. + * + * This constructor calls compute() to compute the generalized eigenvalues + * and eigenvectors. + * + * \sa compute() + */ + GeneralizedEigenSolver(const MatrixType& A, const MatrixType& B, bool computeEigenvectors = true) + : m_eivec(A.rows(), A.cols()), + m_alphas(A.cols()), + m_betas(A.cols()), + m_valuesOkay(false), + m_vectorsOkay(false), + m_realQZ(A.cols()), + m_tmp(A.cols()) + { + compute(A, B, computeEigenvectors); + } + + /* \brief Returns the computed generalized eigenvectors. + * + * \returns %Matrix whose columns are the (possibly complex) right eigenvectors. + * i.e. the eigenvectors that solve (A - l*B)x = 0. The ordering matches the eigenvalues. + * + * \pre Either the constructor + * GeneralizedEigenSolver(const MatrixType&,const MatrixType&, bool) or the member function + * compute(const MatrixType&, const MatrixType& bool) has been called before, and + * \p computeEigenvectors was set to true (the default). + * + * \sa eigenvalues() + */ + EigenvectorsType eigenvectors() const { + eigen_assert(m_vectorsOkay && "Eigenvectors for GeneralizedEigenSolver were not calculated."); + return m_eivec; + } + + /** \brief Returns an expression of the computed generalized eigenvalues. + * + * \returns An expression of the column vector containing the eigenvalues. + * + * It is a shortcut for \code this->alphas().cwiseQuotient(this->betas()); \endcode + * Not that betas might contain zeros. It is therefore not recommended to use this function, + * but rather directly deal with the alphas and betas vectors. + * + * \pre Either the constructor + * GeneralizedEigenSolver(const MatrixType&,const MatrixType&,bool) or the member function + * compute(const MatrixType&,const MatrixType&,bool) has been called before. + * + * The eigenvalues are repeated according to their algebraic multiplicity, + * so there are as many eigenvalues as rows in the matrix. The eigenvalues + * are not sorted in any particular order. + * + * \sa alphas(), betas(), eigenvectors() + */ + EigenvalueType eigenvalues() const + { + eigen_assert(m_valuesOkay && "GeneralizedEigenSolver is not initialized."); + return EigenvalueType(m_alphas,m_betas); + } + + /** \returns A const reference to the vectors containing the alpha values + * + * This vector permits to reconstruct the j-th eigenvalues as alphas(i)/betas(j). + * + * \sa betas(), eigenvalues() */ + ComplexVectorType alphas() const + { + eigen_assert(m_valuesOkay && "GeneralizedEigenSolver is not initialized."); + return m_alphas; + } + + /** \returns A const reference to the vectors containing the beta values + * + * This vector permits to reconstruct the j-th eigenvalues as alphas(i)/betas(j). + * + * \sa alphas(), eigenvalues() */ + VectorType betas() const + { + eigen_assert(m_valuesOkay && "GeneralizedEigenSolver is not initialized."); + return m_betas; + } + + /** \brief Computes generalized eigendecomposition of given matrix. + * + * \param[in] A Square matrix whose eigendecomposition is to be computed. + * \param[in] B Square matrix whose eigendecomposition is to be computed. + * \param[in] computeEigenvectors If true, both the eigenvectors and the + * eigenvalues are computed; if false, only the eigenvalues are + * computed. + * \returns Reference to \c *this + * + * This function computes the eigenvalues of the real matrix \p matrix. + * The eigenvalues() function can be used to retrieve them. If + * \p computeEigenvectors is true, then the eigenvectors are also computed + * and can be retrieved by calling eigenvectors(). + * + * The matrix is first reduced to real generalized Schur form using the RealQZ + * class. The generalized Schur decomposition is then used to compute the eigenvalues + * and eigenvectors. + * + * The cost of the computation is dominated by the cost of the + * generalized Schur decomposition. + * + * This method reuses of the allocated data in the GeneralizedEigenSolver object. + */ + GeneralizedEigenSolver& compute(const MatrixType& A, const MatrixType& B, bool computeEigenvectors = true); + + ComputationInfo info() const + { + eigen_assert(m_valuesOkay && "EigenSolver is not initialized."); + return m_realQZ.info(); + } + + /** Sets the maximal number of iterations allowed. + */ + GeneralizedEigenSolver& setMaxIterations(Index maxIters) + { + m_realQZ.setMaxIterations(maxIters); + return *this; + } + + protected: + + static void check_template_parameters() + { + EIGEN_STATIC_ASSERT_NON_INTEGER(Scalar); + EIGEN_STATIC_ASSERT(!NumTraits<Scalar>::IsComplex, NUMERIC_TYPE_MUST_BE_REAL); + } + + EigenvectorsType m_eivec; + ComplexVectorType m_alphas; + VectorType m_betas; + bool m_valuesOkay, m_vectorsOkay; + RealQZ<MatrixType> m_realQZ; + ComplexVectorType m_tmp; +}; + +template<typename MatrixType> +GeneralizedEigenSolver<MatrixType>& +GeneralizedEigenSolver<MatrixType>::compute(const MatrixType& A, const MatrixType& B, bool computeEigenvectors) +{ + check_template_parameters(); + + using std::sqrt; + using std::abs; + eigen_assert(A.cols() == A.rows() && B.cols() == A.rows() && B.cols() == B.rows()); + Index size = A.cols(); + m_valuesOkay = false; + m_vectorsOkay = false; + // Reduce to generalized real Schur form: + // A = Q S Z and B = Q T Z + m_realQZ.compute(A, B, computeEigenvectors); + if (m_realQZ.info() == Success) + { + // Resize storage + m_alphas.resize(size); + m_betas.resize(size); + if (computeEigenvectors) + { + m_eivec.resize(size,size); + m_tmp.resize(size); + } + + // Aliases: + Map<VectorType> v(reinterpret_cast<Scalar*>(m_tmp.data()), size); + ComplexVectorType &cv = m_tmp; + const MatrixType &mS = m_realQZ.matrixS(); + const MatrixType &mT = m_realQZ.matrixT(); + + Index i = 0; + while (i < size) + { + if (i == size - 1 || mS.coeff(i+1, i) == Scalar(0)) + { + // Real eigenvalue + m_alphas.coeffRef(i) = mS.diagonal().coeff(i); + m_betas.coeffRef(i) = mT.diagonal().coeff(i); + if (computeEigenvectors) + { + v.setConstant(Scalar(0.0)); + v.coeffRef(i) = Scalar(1.0); + // For singular eigenvalues do nothing more + if(abs(m_betas.coeffRef(i)) >= (std::numeric_limits<RealScalar>::min)()) + { + // Non-singular eigenvalue + const Scalar alpha = real(m_alphas.coeffRef(i)); + const Scalar beta = m_betas.coeffRef(i); + for (Index j = i-1; j >= 0; j--) + { + const Index st = j+1; + const Index sz = i-j; + if (j > 0 && mS.coeff(j, j-1) != Scalar(0)) + { + // 2x2 block + Matrix<Scalar, 2, 1> rhs = (alpha*mT.template block<2,Dynamic>(j-1,st,2,sz) - beta*mS.template block<2,Dynamic>(j-1,st,2,sz)) .lazyProduct( v.segment(st,sz) ); + Matrix<Scalar, 2, 2> lhs = beta * mS.template block<2,2>(j-1,j-1) - alpha * mT.template block<2,2>(j-1,j-1); + v.template segment<2>(j-1) = lhs.partialPivLu().solve(rhs); + j--; + } + else + { + v.coeffRef(j) = -v.segment(st,sz).transpose().cwiseProduct(beta*mS.block(j,st,1,sz) - alpha*mT.block(j,st,1,sz)).sum() / (beta*mS.coeffRef(j,j) - alpha*mT.coeffRef(j,j)); + } + } + } + m_eivec.col(i).real().noalias() = m_realQZ.matrixZ().transpose() * v; + m_eivec.col(i).real().normalize(); + m_eivec.col(i).imag().setConstant(0); + } + ++i; + } + else + { + // We need to extract the generalized eigenvalues of the pair of a general 2x2 block S and a positive diagonal 2x2 block T + // Then taking beta=T_00*T_11, we can avoid any division, and alpha is the eigenvalues of A = (U^-1 * S * U) * diag(T_11,T_00): + + // T = [a 0] + // [0 b] + RealScalar a = mT.diagonal().coeff(i), + b = mT.diagonal().coeff(i+1); + const RealScalar beta = m_betas.coeffRef(i) = m_betas.coeffRef(i+1) = a*b; + + // ^^ NOTE: using diagonal()(i) instead of coeff(i,i) workarounds a MSVC bug. + Matrix<RealScalar,2,2> S2 = mS.template block<2,2>(i,i) * Matrix<Scalar,2,1>(b,a).asDiagonal(); + + Scalar p = Scalar(0.5) * (S2.coeff(0,0) - S2.coeff(1,1)); + Scalar z = sqrt(abs(p * p + S2.coeff(1,0) * S2.coeff(0,1))); + const ComplexScalar alpha = ComplexScalar(S2.coeff(1,1) + p, (beta > 0) ? z : -z); + m_alphas.coeffRef(i) = conj(alpha); + m_alphas.coeffRef(i+1) = alpha; + + if (computeEigenvectors) { + // Compute eigenvector in position (i+1) and then position (i) is just the conjugate + cv.setZero(); + cv.coeffRef(i+1) = Scalar(1.0); + // here, the "static_cast" workaound expression template issues. + cv.coeffRef(i) = -(static_cast<Scalar>(beta*mS.coeffRef(i,i+1)) - alpha*mT.coeffRef(i,i+1)) + / (static_cast<Scalar>(beta*mS.coeffRef(i,i)) - alpha*mT.coeffRef(i,i)); + for (Index j = i-1; j >= 0; j--) + { + const Index st = j+1; + const Index sz = i+1-j; + if (j > 0 && mS.coeff(j, j-1) != Scalar(0)) + { + // 2x2 block + Matrix<ComplexScalar, 2, 1> rhs = (alpha*mT.template block<2,Dynamic>(j-1,st,2,sz) - beta*mS.template block<2,Dynamic>(j-1,st,2,sz)) .lazyProduct( cv.segment(st,sz) ); + Matrix<ComplexScalar, 2, 2> lhs = beta * mS.template block<2,2>(j-1,j-1) - alpha * mT.template block<2,2>(j-1,j-1); + cv.template segment<2>(j-1) = lhs.partialPivLu().solve(rhs); + j--; + } else { + cv.coeffRef(j) = cv.segment(st,sz).transpose().cwiseProduct(beta*mS.block(j,st,1,sz) - alpha*mT.block(j,st,1,sz)).sum() + / (alpha*mT.coeffRef(j,j) - static_cast<Scalar>(beta*mS.coeffRef(j,j))); + } + } + m_eivec.col(i+1).noalias() = (m_realQZ.matrixZ().transpose() * cv); + m_eivec.col(i+1).normalize(); + m_eivec.col(i) = m_eivec.col(i+1).conjugate(); + } + i += 2; + } + } + + m_valuesOkay = true; + m_vectorsOkay = computeEigenvectors; + } + return *this; +} + +} // end namespace Eigen + +#endif // EIGEN_GENERALIZEDEIGENSOLVER_H |