umappp 0.1.2

data/vendor/Eigen/src/Eigenvalues/ComplexEigenSolver.h

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+// This file is part of Eigen, a lightweight C++ template library
+// for linear algebra.
+//
+// Copyright (C) 2009 Claire Maurice
+// Copyright (C) 2009 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_COMPLEX_EIGEN_SOLVER_H
+#define EIGEN_COMPLEX_EIGEN_SOLVER_H
+
+#include "./ComplexSchur.h"
+
+namespace Eigen { 
+
+/** \eigenvalues_module \ingroup Eigenvalues_Module
+  *
+  *
+  * \class ComplexEigenSolver
+  *
+  * \brief Computes eigenvalues and eigenvectors of general complex matrices
+  *
+  * \tparam _MatrixType the type of the matrix of which we are
+  * computing the eigendecomposition; this is expected to be an
+  * instantiation of the Matrix class template.
+  *
+  * The eigenvalues and eigenvectors of a matrix \f$ A \f$ are scalars
+  * \f$ \lambda \f$ and vectors \f$ v \f$ such that \f$ Av = \lambda v
+  * \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 = V D \f$. The matrix \f$ V \f$ is
+  * almost always invertible, in which case we have \f$ A = V D V^{-1}
+  * \f$. This is called the eigendecomposition.
+  *
+  * The main function in this class is compute(), which computes the
+  * eigenvalues and eigenvectors of a given function. The
+  * documentation for that function contains an example showing the
+  * main features of the class.
+  *
+  * \sa class EigenSolver, class SelfAdjointEigenSolver
+  */
+template<typename _MatrixType> class ComplexEigenSolver
+{
+  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 eigenvalues as returned by eigenvalues().
+      *
+      * 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> 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> EigenvectorType;
+
+    /** \brief Default constructor.
+      *
+      * The default constructor is useful in cases in which the user intends to
+      * perform decompositions via compute().
+      */
+    ComplexEigenSolver()
+            : m_eivec(),
+              m_eivalues(),
+              m_schur(),
+              m_isInitialized(false),
+              m_eigenvectorsOk(false),
+              m_matX()
+    {}
+
+    /** \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 ComplexEigenSolver()
+      */
+    explicit ComplexEigenSolver(Index size)
+            : m_eivec(size, size),
+              m_eivalues(size),
+              m_schur(size),
+              m_isInitialized(false),
+              m_eigenvectorsOk(false),
+              m_matX(size, size)
+    {}
+
+    /** \brief Constructor; computes eigendecomposition of given matrix.
+      *
+      * \param[in]  matrix  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 eigendecomposition.
+      */
+    template<typename InputType>
+    explicit ComplexEigenSolver(const EigenBase<InputType>& matrix, bool computeEigenvectors = true)
+            : m_eivec(matrix.rows(),matrix.cols()),
+              m_eivalues(matrix.cols()),
+              m_schur(matrix.rows()),
+              m_isInitialized(false),
+              m_eigenvectorsOk(false),
+              m_matX(matrix.rows(),matrix.cols())
+    {
+      compute(matrix.derived(), computeEigenvectors);
+    }
+
+    /** \brief Returns the eigenvectors of given matrix.
+      *
+      * \returns  A const reference to the matrix whose columns are the eigenvectors.
+      *
+      * \pre Either the constructor
+      * ComplexEigenSolver(const MatrixType& matrix, bool) or the member
+      * function compute(const MatrixType& matrix, bool) has been called before
+      * to compute the eigendecomposition of a matrix, and
+      * \p computeEigenvectors was set to true (the default).
+      *
+      * This function returns a matrix whose columns are the eigenvectors. Column
+      * \f$ k \f$ is an eigenvector corresponding to eigenvalue number \f$ k
+      * \f$ as returned by eigenvalues().  The eigenvectors are normalized to
+      * have (Euclidean) norm equal to one. The matrix returned by this
+      * function is the matrix \f$ V \f$ in the eigendecomposition \f$ A = V D
+      * V^{-1} \f$, if it exists.
+      *
+      * Example: \include ComplexEigenSolver_eigenvectors.cpp
+      * Output: \verbinclude ComplexEigenSolver_eigenvectors.out
+      */
+    const EigenvectorType& eigenvectors() const
+    {
+      eigen_assert(m_isInitialized && "ComplexEigenSolver is not initialized.");
+      eigen_assert(m_eigenvectorsOk && "The eigenvectors have not been computed together with the eigenvalues.");
+      return m_eivec;
+    }
+
+    /** \brief Returns the eigenvalues of given matrix.
+      *
+      * \returns A const reference to the column vector containing the eigenvalues.
+      *
+      * \pre Either the constructor
+      * ComplexEigenSolver(const MatrixType& matrix, bool) or the member
+      * function compute(const MatrixType& matrix, bool) has been called before
+      * to compute the eigendecomposition of a matrix.
+      *
+      * This function returns a column vector containing the
+      * eigenvalues. 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.
+      *
+      * Example: \include ComplexEigenSolver_eigenvalues.cpp
+      * Output: \verbinclude ComplexEigenSolver_eigenvalues.out
+      */
+    const EigenvalueType& eigenvalues() const
+    {
+      eigen_assert(m_isInitialized && "ComplexEigenSolver is not initialized.");
+      return m_eivalues;
+    }
+
+    /** \brief Computes eigendecomposition of given matrix.
+      *
+      * \param[in]  matrix  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 complex 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 Schur form using the
+      * ComplexSchur class. The Schur decomposition is then used to
+      * compute the eigenvalues and eigenvectors.
+      *
+      * The cost of the computation is dominated by the cost of the
+      * Schur decomposition, which is \f$ O(n^3) \f$ where \f$ n \f$
+      * is the size of the matrix.
+      *
+      * Example: \include ComplexEigenSolver_compute.cpp
+      * Output: \verbinclude ComplexEigenSolver_compute.out
+      */
+    template<typename InputType>
+    ComplexEigenSolver& compute(const EigenBase<InputType>& matrix, bool computeEigenvectors = true);
+
+    /** \brief Reports whether previous computation was successful.
+      *
+      * \returns \c Success if computation was successful, \c NoConvergence otherwise.
+      */
+    ComputationInfo info() const
+    {
+      eigen_assert(m_isInitialized && "ComplexEigenSolver is not initialized.");
+      return m_schur.info();
+    }
+
+    /** \brief Sets the maximum number of iterations allowed. */
+    ComplexEigenSolver& setMaxIterations(Index maxIters)
+    {
+      m_schur.setMaxIterations(maxIters);
+      return *this;
+    }
+
+    /** \brief Returns the maximum number of iterations. */
+    Index getMaxIterations()
+    {
+      return m_schur.getMaxIterations();
+    }
+
+  protected:
+    
+    static void check_template_parameters()
+    {
+      EIGEN_STATIC_ASSERT_NON_INTEGER(Scalar);
+    }
+    
+    EigenvectorType m_eivec;
+    EigenvalueType m_eivalues;
+    ComplexSchur<MatrixType> m_schur;
+    bool m_isInitialized;
+    bool m_eigenvectorsOk;
+    EigenvectorType m_matX;
+
+  private:
+    void doComputeEigenvectors(RealScalar matrixnorm);
+    void sortEigenvalues(bool computeEigenvectors);
+};
+
+
+template<typename MatrixType>
+template<typename InputType>
+ComplexEigenSolver<MatrixType>& 
+ComplexEigenSolver<MatrixType>::compute(const EigenBase<InputType>& matrix, bool computeEigenvectors)
+{
+  check_template_parameters();
+  
+  // this code is inspired from Jampack
+  eigen_assert(matrix.cols() == matrix.rows());
+
+  // Do a complex Schur decomposition, A = U T U^*
+  // The eigenvalues are on the diagonal of T.
+  m_schur.compute(matrix.derived(), computeEigenvectors);
+
+  if(m_schur.info() == Success)
+  {
+    m_eivalues = m_schur.matrixT().diagonal();
+    if(computeEigenvectors)
+      doComputeEigenvectors(m_schur.matrixT().norm());
+    sortEigenvalues(computeEigenvectors);
+  }
+
+  m_isInitialized = true;
+  m_eigenvectorsOk = computeEigenvectors;
+  return *this;
+}
+
+
+template<typename MatrixType>
+void ComplexEigenSolver<MatrixType>::doComputeEigenvectors(RealScalar matrixnorm)
+{
+  const Index n = m_eivalues.size();
+
+  matrixnorm = numext::maxi(matrixnorm,(std::numeric_limits<RealScalar>::min)());
+
+  // Compute X such that T = X D X^(-1), where D is the diagonal of T.
+  // The matrix X is unit triangular.
+  m_matX = EigenvectorType::Zero(n, n);
+  for(Index k=n-1 ; k>=0 ; k--)
+  {
+    m_matX.coeffRef(k,k) = ComplexScalar(1.0,0.0);
+    // Compute X(i,k) using the (i,k) entry of the equation X T = D X
+    for(Index i=k-1 ; i>=0 ; i--)
+    {
+      m_matX.coeffRef(i,k) = -m_schur.matrixT().coeff(i,k);
+      if(k-i-1>0)
+        m_matX.coeffRef(i,k) -= (m_schur.matrixT().row(i).segment(i+1,k-i-1) * m_matX.col(k).segment(i+1,k-i-1)).value();
+      ComplexScalar z = m_schur.matrixT().coeff(i,i) - m_schur.matrixT().coeff(k,k);
+      if(z==ComplexScalar(0))
+      {
+        // If the i-th and k-th eigenvalue are equal, then z equals 0.
+        // Use a small value instead, to prevent division by zero.
+        numext::real_ref(z) = NumTraits<RealScalar>::epsilon() * matrixnorm;
+      }
+      m_matX.coeffRef(i,k) = m_matX.coeff(i,k) / z;
+    }
+  }
+
+  // Compute V as V = U X; now A = U T U^* = U X D X^(-1) U^* = V D V^(-1)
+  m_eivec.noalias() = m_schur.matrixU() * m_matX;
+  // .. and normalize the eigenvectors
+  for(Index k=0 ; k<n ; k++)
+  {
+    m_eivec.col(k).normalize();
+  }
+}
+
+
+template<typename MatrixType>
+void ComplexEigenSolver<MatrixType>::sortEigenvalues(bool computeEigenvectors)
+{
+  const Index n =  m_eivalues.size();
+  for (Index i=0; i<n; i++)
+  {
+    Index k;
+    m_eivalues.cwiseAbs().tail(n-i).minCoeff(&k);
+    if (k != 0)
+    {
+      k += i;
+      std::swap(m_eivalues[k],m_eivalues[i]);
+      if(computeEigenvectors)
+	m_eivec.col(i).swap(m_eivec.col(k));
+    }
+  }
+}
+
+} // end namespace Eigen
+
+#endif // EIGEN_COMPLEX_EIGEN_SOLVER_H