ruby-eigen 0.0.9 → 0.0.10.pre1

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

@@ -0,0 +1,525 @@
+// 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) 2010,2012 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_REAL_SCHUR_H
+#define EIGEN_REAL_SCHUR_H
+
+#include "./HessenbergDecomposition.h"
+
+namespace Eigen { 
+
+/** \eigenvalues_module \ingroup Eigenvalues_Module
+  *
+  *
+  * \class RealSchur
+  *
+  * \brief Performs a real Schur decomposition of a square matrix
+  *
+  * \tparam _MatrixType the type of the matrix of which we are computing the
+  * real Schur decomposition; this is expected to be an instantiation of the
+  * Matrix class template.
+  *
+  * Given a real square matrix A, this class computes the real Schur
+  * decomposition: \f$ A = U T U^T \f$ where U is a real orthogonal matrix and
+  * T is a real quasi-triangular matrix. An orthogonal matrix is a matrix whose
+  * inverse is equal to its transpose, \f$ U^{-1} = U^T \f$. A quasi-triangular
+  * matrix is a block-triangular matrix whose diagonal consists of 1-by-1
+  * blocks and 2-by-2 blocks with complex eigenvalues. The eigenvalues of the
+  * blocks on the diagonal of T are the same as the eigenvalues of the matrix
+  * A, and thus the real Schur decomposition is used in EigenSolver to compute
+  * the eigendecomposition of a matrix.
+  *
+  * Call the function compute() to compute the real Schur decomposition of a
+  * given matrix. Alternatively, you can use the RealSchur(const MatrixType&, bool)
+  * constructor which computes the real Schur decomposition at construction
+  * time. Once the decomposition is computed, you can use the matrixU() and
+  * matrixT() functions to retrieve the matrices U and T in the decomposition.
+  *
+  * The documentation of RealSchur(const MatrixType&, bool) contains an example
+  * of the typical use of this class.
+  *
+  * \note The implementation is adapted from
+  * <a href="http://math.nist.gov/javanumerics/jama/">JAMA</a> (public domain).
+  * Their code is based on EISPACK.
+  *
+  * \sa class ComplexSchur, class EigenSolver, class ComplexEigenSolver
+  */
+template<typename _MatrixType> class RealSchur
+{
+  public:
+    typedef _MatrixType MatrixType;
+    enum {
+      RowsAtCompileTime = MatrixType::RowsAtCompileTime,
+      ColsAtCompileTime = MatrixType::ColsAtCompileTime,
+      Options = MatrixType::Options,
+      MaxRowsAtCompileTime = MatrixType::MaxRowsAtCompileTime,
+      MaxColsAtCompileTime = MatrixType::MaxColsAtCompileTime
+    };
+    typedef typename MatrixType::Scalar Scalar;
+    typedef std::complex<typename NumTraits<Scalar>::Real> ComplexScalar;
+    typedef typename MatrixType::Index Index;
+
+    typedef Matrix<ComplexScalar, ColsAtCompileTime, 1, Options & ~RowMajor, MaxColsAtCompileTime, 1> EigenvalueType;
+    typedef Matrix<Scalar, ColsAtCompileTime, 1, Options & ~RowMajor, MaxColsAtCompileTime, 1> ColumnVectorType;
+
+    /** \brief Default constructor.
+      *
+      * \param [in] size  Positive integer, size of the matrix whose Schur 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.
+      */
+    RealSchur(Index size = RowsAtCompileTime==Dynamic ? 1 : RowsAtCompileTime)
+            : m_matT(size, size),
+              m_matU(size, size),
+              m_workspaceVector(size),
+              m_hess(size),
+              m_isInitialized(false),
+              m_matUisUptodate(false),
+              m_maxIters(-1)
+    { }
+
+    /** \brief Constructor; computes real Schur decomposition of given matrix. 
+      * 
+      * \param[in]  matrix    Square matrix whose Schur decomposition is to be computed.
+      * \param[in]  computeU  If true, both T and U are computed; if false, only T is computed.
+      *
+      * This constructor calls compute() to compute the Schur decomposition.
+      *
+      * Example: \include RealSchur_RealSchur_MatrixType.cpp
+      * Output: \verbinclude RealSchur_RealSchur_MatrixType.out
+      */
+    RealSchur(const MatrixType& matrix, bool computeU = true)
+            : m_matT(matrix.rows(),matrix.cols()),
+              m_matU(matrix.rows(),matrix.cols()),
+              m_workspaceVector(matrix.rows()),
+              m_hess(matrix.rows()),
+              m_isInitialized(false),
+              m_matUisUptodate(false),
+              m_maxIters(-1)
+    {
+      compute(matrix, computeU);
+    }
+
+    /** \brief Returns the orthogonal matrix in the Schur decomposition. 
+      *
+      * \returns A const reference to the matrix U.
+      *
+      * \pre Either the constructor RealSchur(const MatrixType&, bool) or the
+      * member function compute(const MatrixType&, bool) has been called before
+      * to compute the Schur decomposition of a matrix, and \p computeU was set
+      * to true (the default value).
+      *
+      * \sa RealSchur(const MatrixType&, bool) for an example
+      */
+    const MatrixType& matrixU() const
+    {
+      eigen_assert(m_isInitialized && "RealSchur is not initialized.");
+      eigen_assert(m_matUisUptodate && "The matrix U has not been computed during the RealSchur decomposition.");
+      return m_matU;
+    }
+
+    /** \brief Returns the quasi-triangular matrix in the Schur decomposition. 
+      *
+      * \returns A const reference to the matrix T.
+      *
+      * \pre Either the constructor RealSchur(const MatrixType&, bool) or the
+      * member function compute(const MatrixType&, bool) has been called before
+      * to compute the Schur decomposition of a matrix.
+      *
+      * \sa RealSchur(const MatrixType&, bool) for an example
+      */
+    const MatrixType& matrixT() const
+    {
+      eigen_assert(m_isInitialized && "RealSchur is not initialized.");
+      return m_matT;
+    }
+  
+    /** \brief Computes Schur decomposition of given matrix. 
+      * 
+      * \param[in]  matrix    Square matrix whose Schur decomposition is to be computed.
+      * \param[in]  computeU  If true, both T and U are computed; if false, only T is computed.
+      * \returns    Reference to \c *this
+      *
+      * The Schur decomposition is computed by first reducing the matrix to
+      * Hessenberg form using the class HessenbergDecomposition. The Hessenberg
+      * matrix is then reduced to triangular form by performing Francis QR
+      * iterations with implicit double shift. The cost of computing the Schur
+      * decomposition depends on the number of iterations; as a rough guide, it
+      * may be taken to be \f$25n^3\f$ flops if \a computeU is true and
+      * \f$10n^3\f$ flops if \a computeU is false.
+      *
+      * Example: \include RealSchur_compute.cpp
+      * Output: \verbinclude RealSchur_compute.out
+      *
+      * \sa compute(const MatrixType&, bool, Index)
+      */
+    RealSchur& compute(const MatrixType& matrix, bool computeU = true);
+
+    /** \brief Computes Schur decomposition of a Hessenberg matrix H = Z T Z^T
+     *  \param[in] matrixH Matrix in Hessenberg form H
+     *  \param[in] matrixQ orthogonal matrix Q that transform a matrix A to H : A = Q H Q^T
+     *  \param computeU Computes the matriX U of the Schur vectors
+     * \return Reference to \c *this
+     * 
+     *  This routine assumes that the matrix is already reduced in Hessenberg form matrixH
+     *  using either the class HessenbergDecomposition or another mean. 
+     *  It computes the upper quasi-triangular matrix T of the Schur decomposition of H
+     *  When computeU is true, this routine computes the matrix U such that 
+     *  A = U T U^T =  (QZ) T (QZ)^T = Q H Q^T where A is the initial matrix
+     * 
+     * NOTE Q is referenced if computeU is true; so, if the initial orthogonal matrix
+     * is not available, the user should give an identity matrix (Q.setIdentity())
+     * 
+     * \sa compute(const MatrixType&, bool)
+     */
+    template<typename HessMatrixType, typename OrthMatrixType>
+    RealSchur& computeFromHessenberg(const HessMatrixType& matrixH, const OrthMatrixType& matrixQ,  bool computeU);
+    /** \brief Reports whether previous computation was successful.
+      *
+      * \returns \c Success if computation was succesful, \c NoConvergence otherwise.
+      */
+    ComputationInfo info() const
+    {
+      eigen_assert(m_isInitialized && "RealSchur is not initialized.");
+      return m_info;
+    }
+
+    /** \brief Sets the maximum number of iterations allowed. 
+      *
+      * If not specified by the user, the maximum number of iterations is m_maxIterationsPerRow times the size
+      * of the matrix.
+      */
+    RealSchur& setMaxIterations(Index maxIters)
+    {
+      m_maxIters = maxIters;
+      return *this;
+    }
+
+    /** \brief Returns the maximum number of iterations. */
+    Index getMaxIterations()
+    {
+      return m_maxIters;
+    }
+
+    /** \brief Maximum number of iterations per row.
+      *
+      * If not otherwise specified, the maximum number of iterations is this number times the size of the
+      * matrix. It is currently set to 40.
+      */
+    static const int m_maxIterationsPerRow = 40;
+
+  private:
+    
+    MatrixType m_matT;
+    MatrixType m_matU;
+    ColumnVectorType m_workspaceVector;
+    HessenbergDecomposition<MatrixType> m_hess;
+    ComputationInfo m_info;
+    bool m_isInitialized;
+    bool m_matUisUptodate;
+    Index m_maxIters;
+
+    typedef Matrix<Scalar,3,1> Vector3s;
+
+    Scalar computeNormOfT();
+    Index findSmallSubdiagEntry(Index iu);
+    void splitOffTwoRows(Index iu, bool computeU, const Scalar& exshift);
+    void computeShift(Index iu, Index iter, Scalar& exshift, Vector3s& shiftInfo);
+    void initFrancisQRStep(Index il, Index iu, const Vector3s& shiftInfo, Index& im, Vector3s& firstHouseholderVector);
+    void performFrancisQRStep(Index il, Index im, Index iu, bool computeU, const Vector3s& firstHouseholderVector, Scalar* workspace);
+};
+
+
+template<typename MatrixType>
+RealSchur<MatrixType>& RealSchur<MatrixType>::compute(const MatrixType& matrix, bool computeU)
+{
+  eigen_assert(matrix.cols() == matrix.rows());
+  Index maxIters = m_maxIters;
+  if (maxIters == -1)
+    maxIters = m_maxIterationsPerRow * matrix.rows();
+
+  // Step 1. Reduce to Hessenberg form
+  m_hess.compute(matrix);
+
+  // Step 2. Reduce to real Schur form  
+  computeFromHessenberg(m_hess.matrixH(), m_hess.matrixQ(), computeU);
+  
+  return *this;
+}
+template<typename MatrixType>
+template<typename HessMatrixType, typename OrthMatrixType>
+RealSchur<MatrixType>& RealSchur<MatrixType>::computeFromHessenberg(const HessMatrixType& matrixH, const OrthMatrixType& matrixQ,  bool computeU)
+{  
+  m_matT = matrixH; 
+  if(computeU)
+    m_matU = matrixQ;
+  
+  Index maxIters = m_maxIters;
+  if (maxIters == -1)
+    maxIters = m_maxIterationsPerRow * matrixH.rows();
+  m_workspaceVector.resize(m_matT.cols());
+  Scalar* workspace = &m_workspaceVector.coeffRef(0);
+
+  // The matrix m_matT is divided in three parts. 
+  // Rows 0,...,il-1 are decoupled from the rest because m_matT(il,il-1) is zero. 
+  // Rows il,...,iu is the part we are working on (the active window).
+  // Rows iu+1,...,end are already brought in triangular form.
+  Index iu = m_matT.cols() - 1;
+  Index iter = 0;      // iteration count for current eigenvalue
+  Index totalIter = 0; // iteration count for whole matrix
+  Scalar exshift(0);   // sum of exceptional shifts
+  Scalar norm = computeNormOfT();
+
+  if(norm!=0)
+  {
+    while (iu >= 0)
+    {
+      Index il = findSmallSubdiagEntry(iu);
+
+      // Check for convergence
+      if (il == iu) // One root found
+      {
+        m_matT.coeffRef(iu,iu) = m_matT.coeff(iu,iu) + exshift;
+        if (iu > 0)
+          m_matT.coeffRef(iu, iu-1) = Scalar(0);
+        iu--;
+        iter = 0;
+      }
+      else if (il == iu-1) // Two roots found
+      {
+        splitOffTwoRows(iu, computeU, exshift);
+        iu -= 2;
+        iter = 0;
+      }
+      else // No convergence yet
+      {
+        // The firstHouseholderVector vector has to be initialized to something to get rid of a silly GCC warning (-O1 -Wall -DNDEBUG )
+        Vector3s firstHouseholderVector(0,0,0), shiftInfo;
+        computeShift(iu, iter, exshift, shiftInfo);
+        iter = iter + 1;
+        totalIter = totalIter + 1;
+        if (totalIter > maxIters) break;
+        Index im;
+        initFrancisQRStep(il, iu, shiftInfo, im, firstHouseholderVector);
+        performFrancisQRStep(il, im, iu, computeU, firstHouseholderVector, workspace);
+      }
+    }
+  }
+  if(totalIter <= maxIters)
+    m_info = Success;
+  else
+    m_info = NoConvergence;
+
+  m_isInitialized = true;
+  m_matUisUptodate = computeU;
+  return *this;
+}
+
+/** \internal Computes and returns vector L1 norm of T */
+template<typename MatrixType>
+inline typename MatrixType::Scalar RealSchur<MatrixType>::computeNormOfT()
+{
+  const Index size = m_matT.cols();
+  // FIXME to be efficient the following would requires a triangular reduxion code
+  // Scalar norm = m_matT.upper().cwiseAbs().sum() 
+  //               + m_matT.bottomLeftCorner(size-1,size-1).diagonal().cwiseAbs().sum();
+  Scalar norm(0);
+  for (Index j = 0; j < size; ++j)
+    norm += m_matT.col(j).segment(0, (std::min)(size,j+2)).cwiseAbs().sum();
+  return norm;
+}
+
+/** \internal Look for single small sub-diagonal element and returns its index */
+template<typename MatrixType>
+inline typename MatrixType::Index RealSchur<MatrixType>::findSmallSubdiagEntry(Index iu)
+{
+  using std::abs;
+  Index res = iu;
+  while (res > 0)
+  {
+    Scalar s = abs(m_matT.coeff(res-1,res-1)) + abs(m_matT.coeff(res,res));
+    if (abs(m_matT.coeff(res,res-1)) <= NumTraits<Scalar>::epsilon() * s)
+      break;
+    res--;
+  }
+  return res;
+}
+
+/** \internal Update T given that rows iu-1 and iu decouple from the rest. */
+template<typename MatrixType>
+inline void RealSchur<MatrixType>::splitOffTwoRows(Index iu, bool computeU, const Scalar& exshift)
+{
+  using std::sqrt;
+  using std::abs;
+  const Index size = m_matT.cols();
+
+  // The eigenvalues of the 2x2 matrix [a b; c d] are 
+  // trace +/- sqrt(discr/4) where discr = tr^2 - 4*det, tr = a + d, det = ad - bc
+  Scalar p = Scalar(0.5) * (m_matT.coeff(iu-1,iu-1) - m_matT.coeff(iu,iu));
+  Scalar q = p * p + m_matT.coeff(iu,iu-1) * m_matT.coeff(iu-1,iu);   // q = tr^2 / 4 - det = discr/4
+  m_matT.coeffRef(iu,iu) += exshift;
+  m_matT.coeffRef(iu-1,iu-1) += exshift;
+
+  if (q >= Scalar(0)) // Two real eigenvalues
+  {
+    Scalar z = sqrt(abs(q));
+    JacobiRotation<Scalar> rot;
+    if (p >= Scalar(0))
+      rot.makeGivens(p + z, m_matT.coeff(iu, iu-1));
+    else
+      rot.makeGivens(p - z, m_matT.coeff(iu, iu-1));
+
+    m_matT.rightCols(size-iu+1).applyOnTheLeft(iu-1, iu, rot.adjoint());
+    m_matT.topRows(iu+1).applyOnTheRight(iu-1, iu, rot);
+    m_matT.coeffRef(iu, iu-1) = Scalar(0); 
+    if (computeU)
+      m_matU.applyOnTheRight(iu-1, iu, rot);
+  }
+
+  if (iu > 1) 
+    m_matT.coeffRef(iu-1, iu-2) = Scalar(0);
+}
+
+/** \internal Form shift in shiftInfo, and update exshift if an exceptional shift is performed. */
+template<typename MatrixType>
+inline void RealSchur<MatrixType>::computeShift(Index iu, Index iter, Scalar& exshift, Vector3s& shiftInfo)
+{
+  using std::sqrt;
+  using std::abs;
+  shiftInfo.coeffRef(0) = m_matT.coeff(iu,iu);
+  shiftInfo.coeffRef(1) = m_matT.coeff(iu-1,iu-1);
+  shiftInfo.coeffRef(2) = m_matT.coeff(iu,iu-1) * m_matT.coeff(iu-1,iu);
+
+  // Wilkinson's original ad hoc shift
+  if (iter == 10)
+  {
+    exshift += shiftInfo.coeff(0);
+    for (Index i = 0; i <= iu; ++i)
+      m_matT.coeffRef(i,i) -= shiftInfo.coeff(0);
+    Scalar s = abs(m_matT.coeff(iu,iu-1)) + abs(m_matT.coeff(iu-1,iu-2));
+    shiftInfo.coeffRef(0) = Scalar(0.75) * s;
+    shiftInfo.coeffRef(1) = Scalar(0.75) * s;
+    shiftInfo.coeffRef(2) = Scalar(-0.4375) * s * s;
+  }
+
+  // MATLAB's new ad hoc shift
+  if (iter == 30)
+  {
+    Scalar s = (shiftInfo.coeff(1) - shiftInfo.coeff(0)) / Scalar(2.0);
+    s = s * s + shiftInfo.coeff(2);
+    if (s > Scalar(0))
+    {
+      s = sqrt(s);
+      if (shiftInfo.coeff(1) < shiftInfo.coeff(0))
+        s = -s;
+      s = s + (shiftInfo.coeff(1) - shiftInfo.coeff(0)) / Scalar(2.0);
+      s = shiftInfo.coeff(0) - shiftInfo.coeff(2) / s;
+      exshift += s;
+      for (Index i = 0; i <= iu; ++i)
+        m_matT.coeffRef(i,i) -= s;
+      shiftInfo.setConstant(Scalar(0.964));
+    }
+  }
+}
+
+/** \internal Compute index im at which Francis QR step starts and the first Householder vector. */
+template<typename MatrixType>
+inline void RealSchur<MatrixType>::initFrancisQRStep(Index il, Index iu, const Vector3s& shiftInfo, Index& im, Vector3s& firstHouseholderVector)
+{
+  using std::abs;
+  Vector3s& v = firstHouseholderVector; // alias to save typing
+
+  for (im = iu-2; im >= il; --im)
+  {
+    const Scalar Tmm = m_matT.coeff(im,im);
+    const Scalar r = shiftInfo.coeff(0) - Tmm;
+    const Scalar s = shiftInfo.coeff(1) - Tmm;
+    v.coeffRef(0) = (r * s - shiftInfo.coeff(2)) / m_matT.coeff(im+1,im) + m_matT.coeff(im,im+1);
+    v.coeffRef(1) = m_matT.coeff(im+1,im+1) - Tmm - r - s;
+    v.coeffRef(2) = m_matT.coeff(im+2,im+1);
+    if (im == il) {
+      break;
+    }
+    const Scalar lhs = m_matT.coeff(im,im-1) * (abs(v.coeff(1)) + abs(v.coeff(2)));
+    const Scalar rhs = v.coeff(0) * (abs(m_matT.coeff(im-1,im-1)) + abs(Tmm) + abs(m_matT.coeff(im+1,im+1)));
+    if (abs(lhs) < NumTraits<Scalar>::epsilon() * rhs)
+      break;
+  }
+}
+
+/** \internal Perform a Francis QR step involving rows il:iu and columns im:iu. */
+template<typename MatrixType>
+inline void RealSchur<MatrixType>::performFrancisQRStep(Index il, Index im, Index iu, bool computeU, const Vector3s& firstHouseholderVector, Scalar* workspace)
+{
+  eigen_assert(im >= il);
+  eigen_assert(im <= iu-2);
+
+  const Index size = m_matT.cols();
+
+  for (Index k = im; k <= iu-2; ++k)
+  {
+    bool firstIteration = (k == im);
+
+    Vector3s v;
+    if (firstIteration)
+      v = firstHouseholderVector;
+    else
+      v = m_matT.template block<3,1>(k,k-1);
+
+    Scalar tau, beta;
+    Matrix<Scalar, 2, 1> ess;
+    v.makeHouseholder(ess, tau, beta);
+    
+    if (beta != Scalar(0)) // if v is not zero
+    {
+      if (firstIteration && k > il)
+        m_matT.coeffRef(k,k-1) = -m_matT.coeff(k,k-1);
+      else if (!firstIteration)
+        m_matT.coeffRef(k,k-1) = beta;
+
+      // These Householder transformations form the O(n^3) part of the algorithm
+      m_matT.block(k, k, 3, size-k).applyHouseholderOnTheLeft(ess, tau, workspace);
+      m_matT.block(0, k, (std::min)(iu,k+3) + 1, 3).applyHouseholderOnTheRight(ess, tau, workspace);
+      if (computeU)
+        m_matU.block(0, k, size, 3).applyHouseholderOnTheRight(ess, tau, workspace);
+    }
+  }
+
+  Matrix<Scalar, 2, 1> v = m_matT.template block<2,1>(iu-1, iu-2);
+  Scalar tau, beta;
+  Matrix<Scalar, 1, 1> ess;
+  v.makeHouseholder(ess, tau, beta);
+
+  if (beta != Scalar(0)) // if v is not zero
+  {
+    m_matT.coeffRef(iu-1, iu-2) = beta;
+    m_matT.block(iu-1, iu-1, 2, size-iu+1).applyHouseholderOnTheLeft(ess, tau, workspace);
+    m_matT.block(0, iu-1, iu+1, 2).applyHouseholderOnTheRight(ess, tau, workspace);
+    if (computeU)
+      m_matU.block(0, iu-1, size, 2).applyHouseholderOnTheRight(ess, tau, workspace);
+  }
+
+  // clean up pollution due to round-off errors
+  for (Index i = im+2; i <= iu; ++i)
+  {
+    m_matT.coeffRef(i,i-2) = Scalar(0);
+    if (i > im+2)
+      m_matT.coeffRef(i,i-3) = Scalar(0);
+  }
+}
+
+} // end namespace Eigen
+
+#endif // EIGEN_REAL_SCHUR_H