ruby-eigen 0.0.9 → 0.0.10.pre1

data/ext/eigen/eigen3/Eigen/src/Eigenvalues/HessenbergDecomposition.h

@@ -0,0 +1,373 @@
+// This file is part of Eigen, a lightweight C++ template library
+// for linear algebra.
+//
+// Copyright (C) 2008-2009 Gael Guennebaud <gael.guennebaud@inria.fr>
+// Copyright (C) 2010 Jitse Niesen <jitse@maths.leeds.ac.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_HESSENBERGDECOMPOSITION_H
+#define EIGEN_HESSENBERGDECOMPOSITION_H
+
+namespace Eigen { 
+
+namespace internal {
+  
+template<typename MatrixType> struct HessenbergDecompositionMatrixHReturnType;
+template<typename MatrixType>
+struct traits<HessenbergDecompositionMatrixHReturnType<MatrixType> >
+{
+  typedef MatrixType ReturnType;
+};
+
+}
+
+/** \eigenvalues_module \ingroup Eigenvalues_Module
+  *
+  *
+  * \class HessenbergDecomposition
+  *
+  * \brief Reduces a square matrix to Hessenberg form by an orthogonal similarity transformation
+  *
+  * \tparam _MatrixType the type of the matrix of which we are computing the Hessenberg decomposition
+  *
+  * This class performs an Hessenberg decomposition of a matrix \f$ A \f$. In
+  * the real case, the Hessenberg decomposition consists of an orthogonal
+  * matrix \f$ Q \f$ and a Hessenberg matrix \f$ H \f$ such that \f$ A = Q H
+  * Q^T \f$. An orthogonal matrix is a matrix whose inverse equals its
+  * transpose (\f$ Q^{-1} = Q^T \f$). A Hessenberg matrix has zeros below the
+  * subdiagonal, so it is almost upper triangular. The Hessenberg decomposition
+  * of a complex matrix is \f$ A = Q H Q^* \f$ with \f$ Q \f$ unitary (that is,
+  * \f$ Q^{-1} = Q^* \f$).
+  *
+  * Call the function compute() to compute the Hessenberg decomposition of a
+  * given matrix. Alternatively, you can use the
+  * HessenbergDecomposition(const MatrixType&) constructor which computes the
+  * Hessenberg decomposition at construction time. Once the decomposition is
+  * computed, you can use the matrixH() and matrixQ() functions to construct
+  * the matrices H and Q in the decomposition.
+  *
+  * The documentation for matrixH() contains an example of the typical use of
+  * this class.
+  *
+  * \sa class ComplexSchur, class Tridiagonalization, \ref QR_Module "QR Module"
+  */
+template<typename _MatrixType> class HessenbergDecomposition
+{
+  public:
+
+    /** \brief Synonym for the template parameter \p _MatrixType. */
+    typedef _MatrixType MatrixType;
+
+    enum {
+      Size = MatrixType::RowsAtCompileTime,
+      SizeMinusOne = Size == Dynamic ? Dynamic : Size - 1,
+      Options = MatrixType::Options,
+      MaxSize = MatrixType::MaxRowsAtCompileTime,
+      MaxSizeMinusOne = MaxSize == Dynamic ? Dynamic : MaxSize - 1
+    };
+
+    /** \brief Scalar type for matrices of type #MatrixType. */
+    typedef typename MatrixType::Scalar Scalar;
+    typedef typename MatrixType::Index Index;
+
+    /** \brief Type for vector of Householder coefficients.
+      *
+      * This is column vector with entries of type #Scalar. The length of the
+      * vector is one less than the size of #MatrixType, if it is a fixed-side
+      * type.
+      */
+    typedef Matrix<Scalar, SizeMinusOne, 1, Options & ~RowMajor, MaxSizeMinusOne, 1> CoeffVectorType;
+
+    /** \brief Return type of matrixQ() */
+    typedef HouseholderSequence<MatrixType,typename internal::remove_all<typename CoeffVectorType::ConjugateReturnType>::type> HouseholderSequenceType;
+    
+    typedef internal::HessenbergDecompositionMatrixHReturnType<MatrixType> MatrixHReturnType;
+
+    /** \brief Default constructor; the decomposition will be computed later.
+      *
+      * \param [in] size  The size of the matrix whose Hessenberg decomposition will be computed.
+      *
+      * The default constructor is useful in cases in which the user intends to
+      * perform decompositions via compute().  The \p size parameter is only
+      * used as a hint. It is not an error to give a wrong \p size, but it may
+      * impair performance.
+      *
+      * \sa compute() for an example.
+      */
+    HessenbergDecomposition(Index size = Size==Dynamic ? 2 : Size)
+      : m_matrix(size,size),
+        m_temp(size),
+        m_isInitialized(false)
+    {
+      if(size>1)
+        m_hCoeffs.resize(size-1);
+    }
+
+    /** \brief Constructor; computes Hessenberg decomposition of given matrix.
+      *
+      * \param[in]  matrix  Square matrix whose Hessenberg decomposition is to be computed.
+      *
+      * This constructor calls compute() to compute the Hessenberg
+      * decomposition.
+      *
+      * \sa matrixH() for an example.
+      */
+    HessenbergDecomposition(const MatrixType& matrix)
+      : m_matrix(matrix),
+        m_temp(matrix.rows()),
+        m_isInitialized(false)
+    {
+      if(matrix.rows()<2)
+      {
+        m_isInitialized = true;
+        return;
+      }
+      m_hCoeffs.resize(matrix.rows()-1,1);
+      _compute(m_matrix, m_hCoeffs, m_temp);
+      m_isInitialized = true;
+    }
+
+    /** \brief Computes Hessenberg decomposition of given matrix.
+      *
+      * \param[in]  matrix  Square matrix whose Hessenberg decomposition is to be computed.
+      * \returns    Reference to \c *this
+      *
+      * The Hessenberg decomposition is computed by bringing the columns of the
+      * matrix successively in the required form using Householder reflections
+      * (see, e.g., Algorithm 7.4.2 in Golub \& Van Loan, <i>%Matrix
+      * Computations</i>). The cost is \f$ 10n^3/3 \f$ flops, where \f$ n \f$
+      * denotes the size of the given matrix.
+      *
+      * This method reuses of the allocated data in the HessenbergDecomposition
+      * object.
+      *
+      * Example: \include HessenbergDecomposition_compute.cpp
+      * Output: \verbinclude HessenbergDecomposition_compute.out
+      */
+    HessenbergDecomposition& compute(const MatrixType& matrix)
+    {
+      m_matrix = matrix;
+      if(matrix.rows()<2)
+      {
+        m_isInitialized = true;
+        return *this;
+      }
+      m_hCoeffs.resize(matrix.rows()-1,1);
+      _compute(m_matrix, m_hCoeffs, m_temp);
+      m_isInitialized = true;
+      return *this;
+    }
+
+    /** \brief Returns the Householder coefficients.
+      *
+      * \returns a const reference to the vector of Householder coefficients
+      *
+      * \pre Either the constructor HessenbergDecomposition(const MatrixType&)
+      * or the member function compute(const MatrixType&) has been called
+      * before to compute the Hessenberg decomposition of a matrix.
+      *
+      * The Householder coefficients allow the reconstruction of the matrix
+      * \f$ Q \f$ in the Hessenberg decomposition from the packed data.
+      *
+      * \sa packedMatrix(), \ref Householder_Module "Householder module"
+      */
+    const CoeffVectorType& householderCoefficients() const
+    {
+      eigen_assert(m_isInitialized && "HessenbergDecomposition is not initialized.");
+      return m_hCoeffs;
+    }
+
+    /** \brief Returns the internal representation of the decomposition
+      *
+      *	\returns a const reference to a matrix with the internal representation
+      *	         of the decomposition.
+      *
+      * \pre Either the constructor HessenbergDecomposition(const MatrixType&)
+      * or the member function compute(const MatrixType&) has been called
+      * before to compute the Hessenberg decomposition of a matrix.
+      *
+      * The returned matrix contains the following information:
+      *  - the upper part and lower sub-diagonal represent the Hessenberg matrix H
+      *  - 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
+      *       \f$ Q = H_{N-1} \ldots H_1 H_0 \f$.
+      *    Here, the matrices \f$ H_i \f$ are the Householder transformations
+      *       \f$ H_i = (I - h_i v_i v_i^T) \f$
+      *    where \f$ h_i \f$ is the \f$ i \f$th Householder coefficient and
+      *    \f$ v_i \f$ is the Householder vector defined by
+      *       \f$ v_i = [ 0, \ldots, 0, 1, M(i+2,i), \ldots, M(N-1,i) ]^T \f$
+      *    with M the matrix returned by this function.
+      *
+      * See LAPACK for further details on this packed storage.
+      *
+      * Example: \include HessenbergDecomposition_packedMatrix.cpp
+      * Output: \verbinclude HessenbergDecomposition_packedMatrix.out
+      *
+      * \sa householderCoefficients()
+      */
+    const MatrixType& packedMatrix() const
+    {
+      eigen_assert(m_isInitialized && "HessenbergDecomposition is not initialized.");
+      return m_matrix;
+    }
+
+    /** \brief Reconstructs the orthogonal matrix Q in the decomposition
+      *
+      * \returns object representing the matrix Q
+      *
+      * \pre Either the constructor HessenbergDecomposition(const MatrixType&)
+      * or the member function compute(const MatrixType&) has been called
+      * before to compute the Hessenberg decomposition of a matrix.
+      *
+      * This function returns a light-weight object of template class
+      * HouseholderSequence. You can either apply it directly to a matrix or
+      * you can convert it to a matrix of type #MatrixType.
+      *
+      * \sa matrixH() for an example, class HouseholderSequence
+      */
+    HouseholderSequenceType matrixQ() const
+    {
+      eigen_assert(m_isInitialized && "HessenbergDecomposition is not initialized.");
+      return HouseholderSequenceType(m_matrix, m_hCoeffs.conjugate())
+             .setLength(m_matrix.rows() - 1)
+             .setShift(1);
+    }
+
+    /** \brief Constructs the Hessenberg matrix H in the decomposition
+      *
+      * \returns expression object representing the matrix H
+      *
+      * \pre Either the constructor HessenbergDecomposition(const MatrixType&)
+      * or the member function compute(const MatrixType&) has been called
+      * before to compute the Hessenberg decomposition of a matrix.
+      *
+      * The object returned by this function constructs the Hessenberg matrix H
+      * when it is assigned to a matrix or otherwise evaluated. The matrix H is
+      * constructed from the packed matrix as returned by packedMatrix(): The
+      * upper part (including the subdiagonal) of the packed matrix contains
+      * the matrix H. It may sometimes be better to directly use the packed
+      * matrix instead of constructing the matrix H.
+      *
+      * Example: \include HessenbergDecomposition_matrixH.cpp
+      * Output: \verbinclude HessenbergDecomposition_matrixH.out
+      *
+      * \sa matrixQ(), packedMatrix()
+      */
+    MatrixHReturnType matrixH() const
+    {
+      eigen_assert(m_isInitialized && "HessenbergDecomposition is not initialized.");
+      return MatrixHReturnType(*this);
+    }
+
+  private:
+
+    typedef Matrix<Scalar, 1, Size, Options | RowMajor, 1, MaxSize> VectorType;
+    typedef typename NumTraits<Scalar>::Real RealScalar;
+    static void _compute(MatrixType& matA, CoeffVectorType& hCoeffs, VectorType& temp);
+
+  protected:
+    MatrixType m_matrix;
+    CoeffVectorType m_hCoeffs;
+    VectorType m_temp;
+    bool m_isInitialized;
+};
+
+/** \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 HessenbergDecomposition<MatrixType>::_compute(MatrixType& matA, CoeffVectorType& hCoeffs, VectorType& temp)
+{
+  eigen_assert(matA.rows()==matA.cols());
+  Index n = matA.rows();
+  temp.resize(n);
+  for (Index i = 0; i<n-1; ++i)
+  {
+    // let's consider the vector v = i-th column starting at position i+1
+    Index remainingSize = n-i-1;
+    RealScalar beta;
+    Scalar h;
+    matA.col(i).tail(remainingSize).makeHouseholderInPlace(h, beta);
+    matA.col(i).coeffRef(i+1) = beta;
+    hCoeffs.coeffRef(i) = h;
+
+    // Apply similarity transformation to remaining columns,
+    // i.e., compute A = H A H'
+
+    // A = H A
+    matA.bottomRightCorner(remainingSize, remainingSize)
+        .applyHouseholderOnTheLeft(matA.col(i).tail(remainingSize-1), h, &temp.coeffRef(0));
+
+    // A = A H'
+    matA.rightCols(remainingSize)
+        .applyHouseholderOnTheRight(matA.col(i).tail(remainingSize-1).conjugate(), numext::conj(h), &temp.coeffRef(0));
+  }
+}
+
+namespace internal {
+
+/** \eigenvalues_module \ingroup Eigenvalues_Module
+  *
+  *
+  * \brief Expression type for return value of HessenbergDecomposition::matrixH()
+  *
+  * \tparam MatrixType type of matrix in the Hessenberg decomposition
+  *
+  * Objects of this type represent the Hessenberg matrix in the Hessenberg
+  * decomposition of some matrix. The object holds a reference to the
+  * HessenbergDecomposition class until the it is assigned or evaluated for
+  * some other reason (the reference should remain valid during the life time
+  * of this object). This class is the return type of
+  * HessenbergDecomposition::matrixH(); there is probably no other use for this
+  * class.
+  */
+template<typename MatrixType> struct HessenbergDecompositionMatrixHReturnType
+: public ReturnByValue<HessenbergDecompositionMatrixHReturnType<MatrixType> >
+{
+    typedef typename MatrixType::Index Index;
+  public:
+    /** \brief Constructor.
+      *
+      * \param[in] hess  Hessenberg decomposition
+      */
+    HessenbergDecompositionMatrixHReturnType(const HessenbergDecomposition<MatrixType>& hess) : m_hess(hess) { }
+
+    /** \brief Hessenberg matrix in decomposition.
+      *
+      * \param[out] result  Hessenberg matrix in decomposition \p hess which
+      *                     was passed to the constructor
+      */
+    template <typename ResultType>
+    inline void evalTo(ResultType& result) const
+    {
+      result = m_hess.packedMatrix();
+      Index n = result.rows();
+      if (n>2)
+        result.bottomLeftCorner(n-2, n-2).template triangularView<Lower>().setZero();
+    }
+
+    Index rows() const { return m_hess.packedMatrix().rows(); }
+    Index cols() const { return m_hess.packedMatrix().cols(); }
+
+  protected:
+    const HessenbergDecomposition<MatrixType>& m_hess;
+};
+
+} // end namespace internal
+
+} // end namespace Eigen
+
+#endif // EIGEN_HESSENBERGDECOMPOSITION_H

data/ext/eigen/eigen3/Eigen/src/Eigenvalues/MatrixBaseEigenvalues.h

@@ -0,0 +1,160 @@
+// This file is part of Eigen, a lightweight C++ template library
+// for linear algebra.
+//
+// Copyright (C) 2008 Gael Guennebaud <gael.guennebaud@inria.fr>
+// Copyright (C) 2010 Jitse Niesen <jitse@maths.leeds.ac.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_MATRIXBASEEIGENVALUES_H
+#define EIGEN_MATRIXBASEEIGENVALUES_H
+
+namespace Eigen { 
+
+namespace internal {
+
+template<typename Derived, bool IsComplex>
+struct eigenvalues_selector
+{
+  // this is the implementation for the case IsComplex = true
+  static inline typename MatrixBase<Derived>::EigenvaluesReturnType const
+  run(const MatrixBase<Derived>& m)
+  {
+    typedef typename Derived::PlainObject PlainObject;
+    PlainObject m_eval(m);
+    return ComplexEigenSolver<PlainObject>(m_eval, false).eigenvalues();
+  }
+};
+
+template<typename Derived>
+struct eigenvalues_selector<Derived, false>
+{
+  static inline typename MatrixBase<Derived>::EigenvaluesReturnType const
+  run(const MatrixBase<Derived>& m)
+  {
+    typedef typename Derived::PlainObject PlainObject;
+    PlainObject m_eval(m);
+    return EigenSolver<PlainObject>(m_eval, false).eigenvalues();
+  }
+};
+
+} // end namespace internal
+
+/** \brief Computes the eigenvalues of a matrix 
+  * \returns Column vector containing the eigenvalues.
+  *
+  * \eigenvalues_module
+  * This function computes the eigenvalues with the help of the EigenSolver
+  * class (for real matrices) or the ComplexEigenSolver class (for complex
+  * matrices). 
+  *
+  * The eigenvalues are repeated according to their algebraic multiplicity,
+  * so there are as many eigenvalues as rows in the matrix.
+  *
+  * The SelfAdjointView class provides a better algorithm for selfadjoint
+  * matrices.
+  *
+  * Example: \include MatrixBase_eigenvalues.cpp
+  * Output: \verbinclude MatrixBase_eigenvalues.out
+  *
+  * \sa EigenSolver::eigenvalues(), ComplexEigenSolver::eigenvalues(),
+  *     SelfAdjointView::eigenvalues()
+  */
+template<typename Derived>
+inline typename MatrixBase<Derived>::EigenvaluesReturnType
+MatrixBase<Derived>::eigenvalues() const
+{
+  typedef typename internal::traits<Derived>::Scalar Scalar;
+  return internal::eigenvalues_selector<Derived, NumTraits<Scalar>::IsComplex>::run(derived());
+}
+
+/** \brief Computes the eigenvalues of a matrix
+  * \returns Column vector containing the eigenvalues.
+  *
+  * \eigenvalues_module
+  * This function computes the eigenvalues with the help of the
+  * SelfAdjointEigenSolver class.  The eigenvalues are repeated according to
+  * their algebraic multiplicity, so there are as many eigenvalues as rows in
+  * the matrix.
+  *
+  * Example: \include SelfAdjointView_eigenvalues.cpp
+  * Output: \verbinclude SelfAdjointView_eigenvalues.out
+  *
+  * \sa SelfAdjointEigenSolver::eigenvalues(), MatrixBase::eigenvalues()
+  */
+template<typename MatrixType, unsigned int UpLo> 
+inline typename SelfAdjointView<MatrixType, UpLo>::EigenvaluesReturnType
+SelfAdjointView<MatrixType, UpLo>::eigenvalues() const
+{
+  typedef typename SelfAdjointView<MatrixType, UpLo>::PlainObject PlainObject;
+  PlainObject thisAsMatrix(*this);
+  return SelfAdjointEigenSolver<PlainObject>(thisAsMatrix, false).eigenvalues();
+}
+
+
+
+/** \brief Computes the L2 operator norm
+  * \returns Operator norm of the matrix.
+  *
+  * \eigenvalues_module
+  * This function computes the L2 operator norm of a matrix, which is also
+  * known as the spectral norm. The norm of a matrix \f$ A \f$ is defined to be
+  * \f[ \|A\|_2 = \max_x \frac{\|Ax\|_2}{\|x\|_2} \f]
+  * where the maximum is over all vectors and the norm on the right is the
+  * Euclidean vector norm. The norm equals the largest singular value, which is
+  * the square root of the largest eigenvalue of the positive semi-definite
+  * matrix \f$ A^*A \f$.
+  *
+  * The current implementation uses the eigenvalues of \f$ A^*A \f$, as computed
+  * by SelfAdjointView::eigenvalues(), to compute the operator norm of a
+  * matrix.  The SelfAdjointView class provides a better algorithm for
+  * selfadjoint matrices.
+  *
+  * Example: \include MatrixBase_operatorNorm.cpp
+  * Output: \verbinclude MatrixBase_operatorNorm.out
+  *
+  * \sa SelfAdjointView::eigenvalues(), SelfAdjointView::operatorNorm()
+  */
+template<typename Derived>
+inline typename MatrixBase<Derived>::RealScalar
+MatrixBase<Derived>::operatorNorm() const
+{
+  using std::sqrt;
+  typename Derived::PlainObject m_eval(derived());
+  // FIXME if it is really guaranteed that the eigenvalues are already sorted,
+  // then we don't need to compute a maxCoeff() here, comparing the 1st and last ones is enough.
+  return sqrt((m_eval*m_eval.adjoint())
+                 .eval()
+		 .template selfadjointView<Lower>()
+		 .eigenvalues()
+		 .maxCoeff()
+		 );
+}
+
+/** \brief Computes the L2 operator norm
+  * \returns Operator norm of the matrix.
+  *
+  * \eigenvalues_module
+  * This function computes the L2 operator norm of a self-adjoint matrix. For a
+  * self-adjoint matrix, the operator norm is the largest eigenvalue.
+  *
+  * The current implementation uses the eigenvalues of the matrix, as computed
+  * by eigenvalues(), to compute the operator norm of the matrix.
+  *
+  * Example: \include SelfAdjointView_operatorNorm.cpp
+  * Output: \verbinclude SelfAdjointView_operatorNorm.out
+  *
+  * \sa eigenvalues(), MatrixBase::operatorNorm()
+  */
+template<typename MatrixType, unsigned int UpLo>
+inline typename SelfAdjointView<MatrixType, UpLo>::RealScalar
+SelfAdjointView<MatrixType, UpLo>::operatorNorm() const
+{
+  return eigenvalues().cwiseAbs().maxCoeff();
+}
+
+} // end namespace Eigen
+
+#endif