umappp 0.1.2
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- checksums.yaml +7 -0
- data/LICENSE.txt +25 -0
- data/README.md +110 -0
- data/ext/umappp/extconf.rb +25 -0
- data/ext/umappp/numo.hpp +867 -0
- data/ext/umappp/umappp.cpp +225 -0
- data/lib/umappp/version.rb +5 -0
- data/lib/umappp.rb +41 -0
- data/vendor/Eigen/Cholesky +45 -0
- data/vendor/Eigen/CholmodSupport +48 -0
- data/vendor/Eigen/Core +384 -0
- data/vendor/Eigen/Dense +7 -0
- data/vendor/Eigen/Eigen +2 -0
- data/vendor/Eigen/Eigenvalues +60 -0
- data/vendor/Eigen/Geometry +59 -0
- data/vendor/Eigen/Householder +29 -0
- data/vendor/Eigen/IterativeLinearSolvers +48 -0
- data/vendor/Eigen/Jacobi +32 -0
- data/vendor/Eigen/KLUSupport +41 -0
- data/vendor/Eigen/LU +47 -0
- data/vendor/Eigen/MetisSupport +35 -0
- data/vendor/Eigen/OrderingMethods +70 -0
- data/vendor/Eigen/PaStiXSupport +49 -0
- data/vendor/Eigen/PardisoSupport +35 -0
- data/vendor/Eigen/QR +50 -0
- data/vendor/Eigen/QtAlignedMalloc +39 -0
- data/vendor/Eigen/SPQRSupport +34 -0
- data/vendor/Eigen/SVD +50 -0
- data/vendor/Eigen/Sparse +34 -0
- data/vendor/Eigen/SparseCholesky +37 -0
- data/vendor/Eigen/SparseCore +69 -0
- data/vendor/Eigen/SparseLU +50 -0
- data/vendor/Eigen/SparseQR +36 -0
- data/vendor/Eigen/StdDeque +27 -0
- data/vendor/Eigen/StdList +26 -0
- data/vendor/Eigen/StdVector +27 -0
- data/vendor/Eigen/SuperLUSupport +64 -0
- data/vendor/Eigen/UmfPackSupport +40 -0
- data/vendor/Eigen/src/Cholesky/LDLT.h +688 -0
- data/vendor/Eigen/src/Cholesky/LLT.h +558 -0
- data/vendor/Eigen/src/Cholesky/LLT_LAPACKE.h +99 -0
- data/vendor/Eigen/src/CholmodSupport/CholmodSupport.h +682 -0
- data/vendor/Eigen/src/Core/ArithmeticSequence.h +413 -0
- data/vendor/Eigen/src/Core/Array.h +417 -0
- data/vendor/Eigen/src/Core/ArrayBase.h +226 -0
- data/vendor/Eigen/src/Core/ArrayWrapper.h +209 -0
- data/vendor/Eigen/src/Core/Assign.h +90 -0
- data/vendor/Eigen/src/Core/AssignEvaluator.h +1010 -0
- data/vendor/Eigen/src/Core/Assign_MKL.h +178 -0
- data/vendor/Eigen/src/Core/BandMatrix.h +353 -0
- data/vendor/Eigen/src/Core/Block.h +448 -0
- data/vendor/Eigen/src/Core/BooleanRedux.h +162 -0
- data/vendor/Eigen/src/Core/CommaInitializer.h +164 -0
- data/vendor/Eigen/src/Core/ConditionEstimator.h +175 -0
- data/vendor/Eigen/src/Core/CoreEvaluators.h +1741 -0
- data/vendor/Eigen/src/Core/CoreIterators.h +132 -0
- data/vendor/Eigen/src/Core/CwiseBinaryOp.h +183 -0
- data/vendor/Eigen/src/Core/CwiseNullaryOp.h +1001 -0
- data/vendor/Eigen/src/Core/CwiseTernaryOp.h +197 -0
- data/vendor/Eigen/src/Core/CwiseUnaryOp.h +103 -0
- data/vendor/Eigen/src/Core/CwiseUnaryView.h +132 -0
- data/vendor/Eigen/src/Core/DenseBase.h +701 -0
- data/vendor/Eigen/src/Core/DenseCoeffsBase.h +685 -0
- data/vendor/Eigen/src/Core/DenseStorage.h +652 -0
- data/vendor/Eigen/src/Core/Diagonal.h +258 -0
- data/vendor/Eigen/src/Core/DiagonalMatrix.h +391 -0
- data/vendor/Eigen/src/Core/DiagonalProduct.h +28 -0
- data/vendor/Eigen/src/Core/Dot.h +318 -0
- data/vendor/Eigen/src/Core/EigenBase.h +160 -0
- data/vendor/Eigen/src/Core/ForceAlignedAccess.h +150 -0
- data/vendor/Eigen/src/Core/Fuzzy.h +155 -0
- data/vendor/Eigen/src/Core/GeneralProduct.h +465 -0
- data/vendor/Eigen/src/Core/GenericPacketMath.h +1040 -0
- data/vendor/Eigen/src/Core/GlobalFunctions.h +194 -0
- data/vendor/Eigen/src/Core/IO.h +258 -0
- data/vendor/Eigen/src/Core/IndexedView.h +237 -0
- data/vendor/Eigen/src/Core/Inverse.h +117 -0
- data/vendor/Eigen/src/Core/Map.h +171 -0
- data/vendor/Eigen/src/Core/MapBase.h +310 -0
- data/vendor/Eigen/src/Core/MathFunctions.h +2057 -0
- data/vendor/Eigen/src/Core/MathFunctionsImpl.h +200 -0
- data/vendor/Eigen/src/Core/Matrix.h +565 -0
- data/vendor/Eigen/src/Core/MatrixBase.h +547 -0
- data/vendor/Eigen/src/Core/NestByValue.h +85 -0
- data/vendor/Eigen/src/Core/NoAlias.h +109 -0
- data/vendor/Eigen/src/Core/NumTraits.h +335 -0
- data/vendor/Eigen/src/Core/PartialReduxEvaluator.h +232 -0
- data/vendor/Eigen/src/Core/PermutationMatrix.h +605 -0
- data/vendor/Eigen/src/Core/PlainObjectBase.h +1128 -0
- data/vendor/Eigen/src/Core/Product.h +191 -0
- data/vendor/Eigen/src/Core/ProductEvaluators.h +1179 -0
- data/vendor/Eigen/src/Core/Random.h +218 -0
- data/vendor/Eigen/src/Core/Redux.h +515 -0
- data/vendor/Eigen/src/Core/Ref.h +381 -0
- data/vendor/Eigen/src/Core/Replicate.h +142 -0
- data/vendor/Eigen/src/Core/Reshaped.h +454 -0
- data/vendor/Eigen/src/Core/ReturnByValue.h +119 -0
- data/vendor/Eigen/src/Core/Reverse.h +217 -0
- data/vendor/Eigen/src/Core/Select.h +164 -0
- data/vendor/Eigen/src/Core/SelfAdjointView.h +365 -0
- data/vendor/Eigen/src/Core/SelfCwiseBinaryOp.h +47 -0
- data/vendor/Eigen/src/Core/Solve.h +188 -0
- data/vendor/Eigen/src/Core/SolveTriangular.h +235 -0
- data/vendor/Eigen/src/Core/SolverBase.h +168 -0
- data/vendor/Eigen/src/Core/StableNorm.h +251 -0
- data/vendor/Eigen/src/Core/StlIterators.h +463 -0
- data/vendor/Eigen/src/Core/Stride.h +116 -0
- data/vendor/Eigen/src/Core/Swap.h +68 -0
- data/vendor/Eigen/src/Core/Transpose.h +464 -0
- data/vendor/Eigen/src/Core/Transpositions.h +386 -0
- data/vendor/Eigen/src/Core/TriangularMatrix.h +1001 -0
- data/vendor/Eigen/src/Core/VectorBlock.h +96 -0
- data/vendor/Eigen/src/Core/VectorwiseOp.h +784 -0
- data/vendor/Eigen/src/Core/Visitor.h +381 -0
- data/vendor/Eigen/src/Core/arch/AVX/Complex.h +372 -0
- data/vendor/Eigen/src/Core/arch/AVX/MathFunctions.h +228 -0
- data/vendor/Eigen/src/Core/arch/AVX/PacketMath.h +1574 -0
- data/vendor/Eigen/src/Core/arch/AVX/TypeCasting.h +115 -0
- data/vendor/Eigen/src/Core/arch/AVX512/Complex.h +422 -0
- data/vendor/Eigen/src/Core/arch/AVX512/MathFunctions.h +362 -0
- data/vendor/Eigen/src/Core/arch/AVX512/PacketMath.h +2303 -0
- data/vendor/Eigen/src/Core/arch/AVX512/TypeCasting.h +89 -0
- data/vendor/Eigen/src/Core/arch/AltiVec/Complex.h +417 -0
- data/vendor/Eigen/src/Core/arch/AltiVec/MathFunctions.h +90 -0
- data/vendor/Eigen/src/Core/arch/AltiVec/MatrixProduct.h +2937 -0
- data/vendor/Eigen/src/Core/arch/AltiVec/MatrixProductCommon.h +221 -0
- data/vendor/Eigen/src/Core/arch/AltiVec/MatrixProductMMA.h +629 -0
- data/vendor/Eigen/src/Core/arch/AltiVec/PacketMath.h +2711 -0
- data/vendor/Eigen/src/Core/arch/CUDA/Complex.h +258 -0
- data/vendor/Eigen/src/Core/arch/Default/BFloat16.h +700 -0
- data/vendor/Eigen/src/Core/arch/Default/ConjHelper.h +117 -0
- data/vendor/Eigen/src/Core/arch/Default/GenericPacketMathFunctions.h +1649 -0
- data/vendor/Eigen/src/Core/arch/Default/GenericPacketMathFunctionsFwd.h +110 -0
- data/vendor/Eigen/src/Core/arch/Default/Half.h +942 -0
- data/vendor/Eigen/src/Core/arch/Default/Settings.h +49 -0
- data/vendor/Eigen/src/Core/arch/Default/TypeCasting.h +120 -0
- data/vendor/Eigen/src/Core/arch/GPU/MathFunctions.h +103 -0
- data/vendor/Eigen/src/Core/arch/GPU/PacketMath.h +1685 -0
- data/vendor/Eigen/src/Core/arch/GPU/TypeCasting.h +80 -0
- data/vendor/Eigen/src/Core/arch/HIP/hcc/math_constants.h +23 -0
- data/vendor/Eigen/src/Core/arch/MSA/Complex.h +648 -0
- data/vendor/Eigen/src/Core/arch/MSA/MathFunctions.h +387 -0
- data/vendor/Eigen/src/Core/arch/MSA/PacketMath.h +1233 -0
- data/vendor/Eigen/src/Core/arch/NEON/Complex.h +584 -0
- data/vendor/Eigen/src/Core/arch/NEON/GeneralBlockPanelKernel.h +183 -0
- data/vendor/Eigen/src/Core/arch/NEON/MathFunctions.h +75 -0
- data/vendor/Eigen/src/Core/arch/NEON/PacketMath.h +4587 -0
- data/vendor/Eigen/src/Core/arch/NEON/TypeCasting.h +1419 -0
- data/vendor/Eigen/src/Core/arch/SSE/Complex.h +351 -0
- data/vendor/Eigen/src/Core/arch/SSE/MathFunctions.h +199 -0
- data/vendor/Eigen/src/Core/arch/SSE/PacketMath.h +1505 -0
- data/vendor/Eigen/src/Core/arch/SSE/TypeCasting.h +142 -0
- data/vendor/Eigen/src/Core/arch/SVE/MathFunctions.h +44 -0
- data/vendor/Eigen/src/Core/arch/SVE/PacketMath.h +752 -0
- data/vendor/Eigen/src/Core/arch/SVE/TypeCasting.h +49 -0
- data/vendor/Eigen/src/Core/arch/SYCL/InteropHeaders.h +232 -0
- data/vendor/Eigen/src/Core/arch/SYCL/MathFunctions.h +301 -0
- data/vendor/Eigen/src/Core/arch/SYCL/PacketMath.h +670 -0
- data/vendor/Eigen/src/Core/arch/SYCL/SyclMemoryModel.h +694 -0
- data/vendor/Eigen/src/Core/arch/SYCL/TypeCasting.h +85 -0
- data/vendor/Eigen/src/Core/arch/ZVector/Complex.h +426 -0
- data/vendor/Eigen/src/Core/arch/ZVector/MathFunctions.h +233 -0
- data/vendor/Eigen/src/Core/arch/ZVector/PacketMath.h +1060 -0
- data/vendor/Eigen/src/Core/functors/AssignmentFunctors.h +177 -0
- data/vendor/Eigen/src/Core/functors/BinaryFunctors.h +541 -0
- data/vendor/Eigen/src/Core/functors/NullaryFunctors.h +189 -0
- data/vendor/Eigen/src/Core/functors/StlFunctors.h +166 -0
- data/vendor/Eigen/src/Core/functors/TernaryFunctors.h +25 -0
- data/vendor/Eigen/src/Core/functors/UnaryFunctors.h +1131 -0
- data/vendor/Eigen/src/Core/products/GeneralBlockPanelKernel.h +2645 -0
- data/vendor/Eigen/src/Core/products/GeneralMatrixMatrix.h +517 -0
- data/vendor/Eigen/src/Core/products/GeneralMatrixMatrixTriangular.h +317 -0
- data/vendor/Eigen/src/Core/products/GeneralMatrixMatrixTriangular_BLAS.h +145 -0
- data/vendor/Eigen/src/Core/products/GeneralMatrixMatrix_BLAS.h +124 -0
- data/vendor/Eigen/src/Core/products/GeneralMatrixVector.h +518 -0
- data/vendor/Eigen/src/Core/products/GeneralMatrixVector_BLAS.h +136 -0
- data/vendor/Eigen/src/Core/products/Parallelizer.h +180 -0
- data/vendor/Eigen/src/Core/products/SelfadjointMatrixMatrix.h +544 -0
- data/vendor/Eigen/src/Core/products/SelfadjointMatrixMatrix_BLAS.h +295 -0
- data/vendor/Eigen/src/Core/products/SelfadjointMatrixVector.h +262 -0
- data/vendor/Eigen/src/Core/products/SelfadjointMatrixVector_BLAS.h +118 -0
- data/vendor/Eigen/src/Core/products/SelfadjointProduct.h +133 -0
- data/vendor/Eigen/src/Core/products/SelfadjointRank2Update.h +94 -0
- data/vendor/Eigen/src/Core/products/TriangularMatrixMatrix.h +472 -0
- data/vendor/Eigen/src/Core/products/TriangularMatrixMatrix_BLAS.h +317 -0
- data/vendor/Eigen/src/Core/products/TriangularMatrixVector.h +350 -0
- data/vendor/Eigen/src/Core/products/TriangularMatrixVector_BLAS.h +255 -0
- data/vendor/Eigen/src/Core/products/TriangularSolverMatrix.h +337 -0
- data/vendor/Eigen/src/Core/products/TriangularSolverMatrix_BLAS.h +167 -0
- data/vendor/Eigen/src/Core/products/TriangularSolverVector.h +148 -0
- data/vendor/Eigen/src/Core/util/BlasUtil.h +583 -0
- data/vendor/Eigen/src/Core/util/ConfigureVectorization.h +512 -0
- data/vendor/Eigen/src/Core/util/Constants.h +563 -0
- data/vendor/Eigen/src/Core/util/DisableStupidWarnings.h +106 -0
- data/vendor/Eigen/src/Core/util/ForwardDeclarations.h +322 -0
- data/vendor/Eigen/src/Core/util/IndexedViewHelper.h +186 -0
- data/vendor/Eigen/src/Core/util/IntegralConstant.h +272 -0
- data/vendor/Eigen/src/Core/util/MKL_support.h +137 -0
- data/vendor/Eigen/src/Core/util/Macros.h +1464 -0
- data/vendor/Eigen/src/Core/util/Memory.h +1163 -0
- data/vendor/Eigen/src/Core/util/Meta.h +812 -0
- data/vendor/Eigen/src/Core/util/NonMPL2.h +3 -0
- data/vendor/Eigen/src/Core/util/ReenableStupidWarnings.h +31 -0
- data/vendor/Eigen/src/Core/util/ReshapedHelper.h +51 -0
- data/vendor/Eigen/src/Core/util/StaticAssert.h +221 -0
- data/vendor/Eigen/src/Core/util/SymbolicIndex.h +293 -0
- data/vendor/Eigen/src/Core/util/XprHelper.h +856 -0
- data/vendor/Eigen/src/Eigenvalues/ComplexEigenSolver.h +346 -0
- data/vendor/Eigen/src/Eigenvalues/ComplexSchur.h +462 -0
- data/vendor/Eigen/src/Eigenvalues/ComplexSchur_LAPACKE.h +91 -0
- data/vendor/Eigen/src/Eigenvalues/EigenSolver.h +622 -0
- data/vendor/Eigen/src/Eigenvalues/GeneralizedEigenSolver.h +418 -0
- data/vendor/Eigen/src/Eigenvalues/GeneralizedSelfAdjointEigenSolver.h +226 -0
- data/vendor/Eigen/src/Eigenvalues/HessenbergDecomposition.h +374 -0
- data/vendor/Eigen/src/Eigenvalues/MatrixBaseEigenvalues.h +158 -0
- data/vendor/Eigen/src/Eigenvalues/RealQZ.h +657 -0
- data/vendor/Eigen/src/Eigenvalues/RealSchur.h +558 -0
- data/vendor/Eigen/src/Eigenvalues/RealSchur_LAPACKE.h +77 -0
- data/vendor/Eigen/src/Eigenvalues/SelfAdjointEigenSolver.h +904 -0
- data/vendor/Eigen/src/Eigenvalues/SelfAdjointEigenSolver_LAPACKE.h +87 -0
- data/vendor/Eigen/src/Eigenvalues/Tridiagonalization.h +561 -0
- data/vendor/Eigen/src/Geometry/AlignedBox.h +486 -0
- data/vendor/Eigen/src/Geometry/AngleAxis.h +247 -0
- data/vendor/Eigen/src/Geometry/EulerAngles.h +114 -0
- data/vendor/Eigen/src/Geometry/Homogeneous.h +501 -0
- data/vendor/Eigen/src/Geometry/Hyperplane.h +282 -0
- data/vendor/Eigen/src/Geometry/OrthoMethods.h +235 -0
- data/vendor/Eigen/src/Geometry/ParametrizedLine.h +232 -0
- data/vendor/Eigen/src/Geometry/Quaternion.h +870 -0
- data/vendor/Eigen/src/Geometry/Rotation2D.h +199 -0
- data/vendor/Eigen/src/Geometry/RotationBase.h +206 -0
- data/vendor/Eigen/src/Geometry/Scaling.h +188 -0
- data/vendor/Eigen/src/Geometry/Transform.h +1563 -0
- data/vendor/Eigen/src/Geometry/Translation.h +202 -0
- data/vendor/Eigen/src/Geometry/Umeyama.h +166 -0
- data/vendor/Eigen/src/Geometry/arch/Geometry_SIMD.h +168 -0
- data/vendor/Eigen/src/Householder/BlockHouseholder.h +110 -0
- data/vendor/Eigen/src/Householder/Householder.h +176 -0
- data/vendor/Eigen/src/Householder/HouseholderSequence.h +545 -0
- data/vendor/Eigen/src/IterativeLinearSolvers/BasicPreconditioners.h +226 -0
- data/vendor/Eigen/src/IterativeLinearSolvers/BiCGSTAB.h +212 -0
- data/vendor/Eigen/src/IterativeLinearSolvers/ConjugateGradient.h +229 -0
- data/vendor/Eigen/src/IterativeLinearSolvers/IncompleteCholesky.h +394 -0
- data/vendor/Eigen/src/IterativeLinearSolvers/IncompleteLUT.h +453 -0
- data/vendor/Eigen/src/IterativeLinearSolvers/IterativeSolverBase.h +444 -0
- data/vendor/Eigen/src/IterativeLinearSolvers/LeastSquareConjugateGradient.h +198 -0
- data/vendor/Eigen/src/IterativeLinearSolvers/SolveWithGuess.h +117 -0
- data/vendor/Eigen/src/Jacobi/Jacobi.h +483 -0
- data/vendor/Eigen/src/KLUSupport/KLUSupport.h +358 -0
- data/vendor/Eigen/src/LU/Determinant.h +117 -0
- data/vendor/Eigen/src/LU/FullPivLU.h +877 -0
- data/vendor/Eigen/src/LU/InverseImpl.h +432 -0
- data/vendor/Eigen/src/LU/PartialPivLU.h +624 -0
- data/vendor/Eigen/src/LU/PartialPivLU_LAPACKE.h +83 -0
- data/vendor/Eigen/src/LU/arch/InverseSize4.h +351 -0
- data/vendor/Eigen/src/MetisSupport/MetisSupport.h +137 -0
- data/vendor/Eigen/src/OrderingMethods/Amd.h +435 -0
- data/vendor/Eigen/src/OrderingMethods/Eigen_Colamd.h +1863 -0
- data/vendor/Eigen/src/OrderingMethods/Ordering.h +153 -0
- data/vendor/Eigen/src/PaStiXSupport/PaStiXSupport.h +678 -0
- data/vendor/Eigen/src/PardisoSupport/PardisoSupport.h +545 -0
- data/vendor/Eigen/src/QR/ColPivHouseholderQR.h +674 -0
- data/vendor/Eigen/src/QR/ColPivHouseholderQR_LAPACKE.h +97 -0
- data/vendor/Eigen/src/QR/CompleteOrthogonalDecomposition.h +635 -0
- data/vendor/Eigen/src/QR/FullPivHouseholderQR.h +713 -0
- data/vendor/Eigen/src/QR/HouseholderQR.h +434 -0
- data/vendor/Eigen/src/QR/HouseholderQR_LAPACKE.h +68 -0
- data/vendor/Eigen/src/SPQRSupport/SuiteSparseQRSupport.h +335 -0
- data/vendor/Eigen/src/SVD/BDCSVD.h +1366 -0
- data/vendor/Eigen/src/SVD/JacobiSVD.h +812 -0
- data/vendor/Eigen/src/SVD/JacobiSVD_LAPACKE.h +91 -0
- data/vendor/Eigen/src/SVD/SVDBase.h +376 -0
- data/vendor/Eigen/src/SVD/UpperBidiagonalization.h +414 -0
- data/vendor/Eigen/src/SparseCholesky/SimplicialCholesky.h +697 -0
- data/vendor/Eigen/src/SparseCholesky/SimplicialCholesky_impl.h +174 -0
- data/vendor/Eigen/src/SparseCore/AmbiVector.h +378 -0
- data/vendor/Eigen/src/SparseCore/CompressedStorage.h +274 -0
- data/vendor/Eigen/src/SparseCore/ConservativeSparseSparseProduct.h +352 -0
- data/vendor/Eigen/src/SparseCore/MappedSparseMatrix.h +67 -0
- data/vendor/Eigen/src/SparseCore/SparseAssign.h +270 -0
- data/vendor/Eigen/src/SparseCore/SparseBlock.h +571 -0
- data/vendor/Eigen/src/SparseCore/SparseColEtree.h +206 -0
- data/vendor/Eigen/src/SparseCore/SparseCompressedBase.h +370 -0
- data/vendor/Eigen/src/SparseCore/SparseCwiseBinaryOp.h +722 -0
- data/vendor/Eigen/src/SparseCore/SparseCwiseUnaryOp.h +150 -0
- data/vendor/Eigen/src/SparseCore/SparseDenseProduct.h +342 -0
- data/vendor/Eigen/src/SparseCore/SparseDiagonalProduct.h +138 -0
- data/vendor/Eigen/src/SparseCore/SparseDot.h +98 -0
- data/vendor/Eigen/src/SparseCore/SparseFuzzy.h +29 -0
- data/vendor/Eigen/src/SparseCore/SparseMap.h +305 -0
- data/vendor/Eigen/src/SparseCore/SparseMatrix.h +1518 -0
- data/vendor/Eigen/src/SparseCore/SparseMatrixBase.h +398 -0
- data/vendor/Eigen/src/SparseCore/SparsePermutation.h +178 -0
- data/vendor/Eigen/src/SparseCore/SparseProduct.h +181 -0
- data/vendor/Eigen/src/SparseCore/SparseRedux.h +49 -0
- data/vendor/Eigen/src/SparseCore/SparseRef.h +397 -0
- data/vendor/Eigen/src/SparseCore/SparseSelfAdjointView.h +659 -0
- data/vendor/Eigen/src/SparseCore/SparseSolverBase.h +124 -0
- data/vendor/Eigen/src/SparseCore/SparseSparseProductWithPruning.h +198 -0
- data/vendor/Eigen/src/SparseCore/SparseTranspose.h +92 -0
- data/vendor/Eigen/src/SparseCore/SparseTriangularView.h +189 -0
- data/vendor/Eigen/src/SparseCore/SparseUtil.h +186 -0
- data/vendor/Eigen/src/SparseCore/SparseVector.h +478 -0
- data/vendor/Eigen/src/SparseCore/SparseView.h +254 -0
- data/vendor/Eigen/src/SparseCore/TriangularSolver.h +315 -0
- data/vendor/Eigen/src/SparseLU/SparseLU.h +923 -0
- data/vendor/Eigen/src/SparseLU/SparseLUImpl.h +66 -0
- data/vendor/Eigen/src/SparseLU/SparseLU_Memory.h +226 -0
- data/vendor/Eigen/src/SparseLU/SparseLU_Structs.h +110 -0
- data/vendor/Eigen/src/SparseLU/SparseLU_SupernodalMatrix.h +375 -0
- data/vendor/Eigen/src/SparseLU/SparseLU_Utils.h +80 -0
- data/vendor/Eigen/src/SparseLU/SparseLU_column_bmod.h +181 -0
- data/vendor/Eigen/src/SparseLU/SparseLU_column_dfs.h +179 -0
- data/vendor/Eigen/src/SparseLU/SparseLU_copy_to_ucol.h +107 -0
- data/vendor/Eigen/src/SparseLU/SparseLU_gemm_kernel.h +280 -0
- data/vendor/Eigen/src/SparseLU/SparseLU_heap_relax_snode.h +126 -0
- data/vendor/Eigen/src/SparseLU/SparseLU_kernel_bmod.h +130 -0
- data/vendor/Eigen/src/SparseLU/SparseLU_panel_bmod.h +223 -0
- data/vendor/Eigen/src/SparseLU/SparseLU_panel_dfs.h +258 -0
- data/vendor/Eigen/src/SparseLU/SparseLU_pivotL.h +137 -0
- data/vendor/Eigen/src/SparseLU/SparseLU_pruneL.h +136 -0
- data/vendor/Eigen/src/SparseLU/SparseLU_relax_snode.h +83 -0
- data/vendor/Eigen/src/SparseQR/SparseQR.h +758 -0
- data/vendor/Eigen/src/StlSupport/StdDeque.h +116 -0
- data/vendor/Eigen/src/StlSupport/StdList.h +106 -0
- data/vendor/Eigen/src/StlSupport/StdVector.h +131 -0
- data/vendor/Eigen/src/StlSupport/details.h +84 -0
- data/vendor/Eigen/src/SuperLUSupport/SuperLUSupport.h +1025 -0
- data/vendor/Eigen/src/UmfPackSupport/UmfPackSupport.h +642 -0
- data/vendor/Eigen/src/misc/Image.h +82 -0
- data/vendor/Eigen/src/misc/Kernel.h +79 -0
- data/vendor/Eigen/src/misc/RealSvd2x2.h +55 -0
- data/vendor/Eigen/src/misc/blas.h +440 -0
- data/vendor/Eigen/src/misc/lapack.h +152 -0
- data/vendor/Eigen/src/misc/lapacke.h +16292 -0
- data/vendor/Eigen/src/misc/lapacke_mangling.h +17 -0
- data/vendor/Eigen/src/plugins/ArrayCwiseBinaryOps.h +358 -0
- data/vendor/Eigen/src/plugins/ArrayCwiseUnaryOps.h +696 -0
- data/vendor/Eigen/src/plugins/BlockMethods.h +1442 -0
- data/vendor/Eigen/src/plugins/CommonCwiseBinaryOps.h +115 -0
- data/vendor/Eigen/src/plugins/CommonCwiseUnaryOps.h +177 -0
- data/vendor/Eigen/src/plugins/IndexedViewMethods.h +262 -0
- data/vendor/Eigen/src/plugins/MatrixCwiseBinaryOps.h +152 -0
- data/vendor/Eigen/src/plugins/MatrixCwiseUnaryOps.h +95 -0
- data/vendor/Eigen/src/plugins/ReshapedMethods.h +149 -0
- data/vendor/aarand/aarand.hpp +114 -0
- data/vendor/annoy/annoylib.h +1495 -0
- data/vendor/annoy/kissrandom.h +120 -0
- data/vendor/annoy/mman.h +242 -0
- data/vendor/hnswlib/bruteforce.h +152 -0
- data/vendor/hnswlib/hnswalg.h +1192 -0
- data/vendor/hnswlib/hnswlib.h +108 -0
- data/vendor/hnswlib/space_ip.h +282 -0
- data/vendor/hnswlib/space_l2.h +281 -0
- data/vendor/hnswlib/visited_list_pool.h +79 -0
- data/vendor/irlba/irlba.hpp +575 -0
- data/vendor/irlba/lanczos.hpp +212 -0
- data/vendor/irlba/parallel.hpp +474 -0
- data/vendor/irlba/utils.hpp +224 -0
- data/vendor/irlba/wrappers.hpp +228 -0
- data/vendor/kmeans/Base.hpp +75 -0
- data/vendor/kmeans/Details.hpp +79 -0
- data/vendor/kmeans/HartiganWong.hpp +492 -0
- data/vendor/kmeans/InitializeKmeansPP.hpp +144 -0
- data/vendor/kmeans/InitializeNone.hpp +44 -0
- data/vendor/kmeans/InitializePCAPartition.hpp +309 -0
- data/vendor/kmeans/InitializeRandom.hpp +91 -0
- data/vendor/kmeans/Kmeans.hpp +161 -0
- data/vendor/kmeans/Lloyd.hpp +134 -0
- data/vendor/kmeans/MiniBatch.hpp +269 -0
- data/vendor/kmeans/QuickSearch.hpp +179 -0
- data/vendor/kmeans/compute_centroids.hpp +32 -0
- data/vendor/kmeans/compute_wcss.hpp +27 -0
- data/vendor/kmeans/is_edge_case.hpp +42 -0
- data/vendor/kmeans/random.hpp +55 -0
- data/vendor/knncolle/Annoy/Annoy.hpp +193 -0
- data/vendor/knncolle/BruteForce/BruteForce.hpp +120 -0
- data/vendor/knncolle/Hnsw/Hnsw.hpp +225 -0
- data/vendor/knncolle/Kmknn/Kmknn.hpp +286 -0
- data/vendor/knncolle/VpTree/VpTree.hpp +256 -0
- data/vendor/knncolle/knncolle.hpp +34 -0
- data/vendor/knncolle/utils/Base.hpp +100 -0
- data/vendor/knncolle/utils/NeighborQueue.hpp +94 -0
- data/vendor/knncolle/utils/distances.hpp +98 -0
- data/vendor/knncolle/utils/find_nearest_neighbors.hpp +112 -0
- data/vendor/powerit/PowerIterations.hpp +157 -0
- data/vendor/umappp/NeighborList.hpp +37 -0
- data/vendor/umappp/Umap.hpp +662 -0
- data/vendor/umappp/combine_neighbor_sets.hpp +95 -0
- data/vendor/umappp/find_ab.hpp +157 -0
- data/vendor/umappp/neighbor_similarities.hpp +136 -0
- data/vendor/umappp/optimize_layout.hpp +285 -0
- data/vendor/umappp/spectral_init.hpp +181 -0
- data/vendor/umappp/umappp.hpp +13 -0
- metadata +465 -0
@@ -0,0 +1,1366 @@
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// This file is part of Eigen, a lightweight C++ template library
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// for linear algebra.
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//
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// We used the "A Divide-And-Conquer Algorithm for the Bidiagonal SVD"
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// research report written by Ming Gu and Stanley C.Eisenstat
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// The code variable names correspond to the names they used in their
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// report
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//
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// Copyright (C) 2013 Gauthier Brun <brun.gauthier@gmail.com>
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// Copyright (C) 2013 Nicolas Carre <nicolas.carre@ensimag.fr>
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// Copyright (C) 2013 Jean Ceccato <jean.ceccato@ensimag.fr>
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// Copyright (C) 2013 Pierre Zoppitelli <pierre.zoppitelli@ensimag.fr>
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// Copyright (C) 2013 Jitse Niesen <jitse@maths.leeds.ac.uk>
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// Copyright (C) 2014-2017 Gael Guennebaud <gael.guennebaud@inria.fr>
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//
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// Source Code Form is subject to the terms of the Mozilla
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// Public License v. 2.0. If a copy of the MPL was not distributed
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// with this file, You can obtain one at http://mozilla.org/MPL/2.0/.
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#ifndef EIGEN_BDCSVD_H
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#define EIGEN_BDCSVD_H
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// #define EIGEN_BDCSVD_DEBUG_VERBOSE
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// #define EIGEN_BDCSVD_SANITY_CHECKS
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#ifdef EIGEN_BDCSVD_SANITY_CHECKS
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#undef eigen_internal_assert
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#define eigen_internal_assert(X) assert(X);
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#endif
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namespace Eigen {
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#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
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IOFormat bdcsvdfmt(8, 0, ", ", "\n", " [", "]");
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#endif
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template<typename _MatrixType> class BDCSVD;
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namespace internal {
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template<typename _MatrixType>
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struct traits<BDCSVD<_MatrixType> >
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: traits<_MatrixType>
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{
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typedef _MatrixType MatrixType;
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};
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} // end namespace internal
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/** \ingroup SVD_Module
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*
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*
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* \class BDCSVD
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*
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* \brief class Bidiagonal Divide and Conquer SVD
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*
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* \tparam _MatrixType the type of the matrix of which we are computing the SVD decomposition
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*
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* This class first reduces the input matrix to bi-diagonal form using class UpperBidiagonalization,
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* and then performs a divide-and-conquer diagonalization. Small blocks are diagonalized using class JacobiSVD.
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* You can control the switching size with the setSwitchSize() method, default is 16.
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* For small matrice (<16), it is thus preferable to directly use JacobiSVD. For larger ones, BDCSVD is highly
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* recommended and can several order of magnitude faster.
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*
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* \warning this algorithm is unlikely to provide accurate result when compiled with unsafe math optimizations.
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* For instance, this concerns Intel's compiler (ICC), which performs such optimization by default unless
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* you compile with the \c -fp-model \c precise option. Likewise, the \c -ffast-math option of GCC or clang will
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* significantly degrade the accuracy.
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*
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* \sa class JacobiSVD
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*/
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template<typename _MatrixType>
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class BDCSVD : public SVDBase<BDCSVD<_MatrixType> >
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{
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typedef SVDBase<BDCSVD> Base;
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public:
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using Base::rows;
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using Base::cols;
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using Base::computeU;
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using Base::computeV;
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typedef _MatrixType MatrixType;
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typedef typename MatrixType::Scalar Scalar;
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typedef typename NumTraits<typename MatrixType::Scalar>::Real RealScalar;
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typedef typename NumTraits<RealScalar>::Literal Literal;
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enum {
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RowsAtCompileTime = MatrixType::RowsAtCompileTime,
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ColsAtCompileTime = MatrixType::ColsAtCompileTime,
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DiagSizeAtCompileTime = EIGEN_SIZE_MIN_PREFER_DYNAMIC(RowsAtCompileTime, ColsAtCompileTime),
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MaxRowsAtCompileTime = MatrixType::MaxRowsAtCompileTime,
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MaxColsAtCompileTime = MatrixType::MaxColsAtCompileTime,
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MaxDiagSizeAtCompileTime = EIGEN_SIZE_MIN_PREFER_FIXED(MaxRowsAtCompileTime, MaxColsAtCompileTime),
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MatrixOptions = MatrixType::Options
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};
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typedef typename Base::MatrixUType MatrixUType;
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typedef typename Base::MatrixVType MatrixVType;
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typedef typename Base::SingularValuesType SingularValuesType;
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typedef Matrix<Scalar, Dynamic, Dynamic, ColMajor> MatrixX;
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typedef Matrix<RealScalar, Dynamic, Dynamic, ColMajor> MatrixXr;
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typedef Matrix<RealScalar, Dynamic, 1> VectorType;
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typedef Array<RealScalar, Dynamic, 1> ArrayXr;
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typedef Array<Index,1,Dynamic> ArrayXi;
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typedef Ref<ArrayXr> ArrayRef;
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typedef Ref<ArrayXi> IndicesRef;
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/** \brief Default Constructor.
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*
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* The default constructor is useful in cases in which the user intends to
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* perform decompositions via BDCSVD::compute(const MatrixType&).
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*/
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BDCSVD() : m_algoswap(16), m_isTranspose(false), m_compU(false), m_compV(false), m_numIters(0)
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{}
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/** \brief Default Constructor with memory preallocation
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*
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* Like the default constructor but with preallocation of the internal data
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* according to the specified problem size.
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* \sa BDCSVD()
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*/
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BDCSVD(Index rows, Index cols, unsigned int computationOptions = 0)
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: m_algoswap(16), m_numIters(0)
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{
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allocate(rows, cols, computationOptions);
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}
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/** \brief Constructor performing the decomposition of given matrix.
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*
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* \param matrix the matrix to decompose
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* \param computationOptions optional parameter allowing to specify if you want full or thin U or V unitaries to be computed.
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* By default, none is computed. This is a bit - field, the possible bits are #ComputeFullU, #ComputeThinU,
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* #ComputeFullV, #ComputeThinV.
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*
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* Thin unitaries are only available if your matrix type has a Dynamic number of columns (for example MatrixXf). They also are not
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* available with the (non - default) FullPivHouseholderQR preconditioner.
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*/
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BDCSVD(const MatrixType& matrix, unsigned int computationOptions = 0)
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: m_algoswap(16), m_numIters(0)
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{
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compute(matrix, computationOptions);
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}
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~BDCSVD()
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{
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}
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/** \brief Method performing the decomposition of given matrix using custom options.
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*
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* \param matrix the matrix to decompose
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* \param computationOptions optional parameter allowing to specify if you want full or thin U or V unitaries to be computed.
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* By default, none is computed. This is a bit - field, the possible bits are #ComputeFullU, #ComputeThinU,
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* #ComputeFullV, #ComputeThinV.
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*
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* Thin unitaries are only available if your matrix type has a Dynamic number of columns (for example MatrixXf). They also are not
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* available with the (non - default) FullPivHouseholderQR preconditioner.
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*/
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BDCSVD& compute(const MatrixType& matrix, unsigned int computationOptions);
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/** \brief Method performing the decomposition of given matrix using current options.
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*
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* \param matrix the matrix to decompose
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*
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* This method uses the current \a computationOptions, as already passed to the constructor or to compute(const MatrixType&, unsigned int).
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*/
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BDCSVD& compute(const MatrixType& matrix)
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{
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return compute(matrix, this->m_computationOptions);
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}
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void setSwitchSize(int s)
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{
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eigen_assert(s>3 && "BDCSVD the size of the algo switch has to be greater than 3");
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m_algoswap = s;
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}
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private:
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void allocate(Index rows, Index cols, unsigned int computationOptions);
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void divide(Index firstCol, Index lastCol, Index firstRowW, Index firstColW, Index shift);
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void computeSVDofM(Index firstCol, Index n, MatrixXr& U, VectorType& singVals, MatrixXr& V);
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void computeSingVals(const ArrayRef& col0, const ArrayRef& diag, const IndicesRef& perm, VectorType& singVals, ArrayRef shifts, ArrayRef mus);
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void perturbCol0(const ArrayRef& col0, const ArrayRef& diag, const IndicesRef& perm, const VectorType& singVals, const ArrayRef& shifts, const ArrayRef& mus, ArrayRef zhat);
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void computeSingVecs(const ArrayRef& zhat, const ArrayRef& diag, const IndicesRef& perm, const VectorType& singVals, const ArrayRef& shifts, const ArrayRef& mus, MatrixXr& U, MatrixXr& V);
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void deflation43(Index firstCol, Index shift, Index i, Index size);
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void deflation44(Index firstColu , Index firstColm, Index firstRowW, Index firstColW, Index i, Index j, Index size);
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void deflation(Index firstCol, Index lastCol, Index k, Index firstRowW, Index firstColW, Index shift);
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template<typename HouseholderU, typename HouseholderV, typename NaiveU, typename NaiveV>
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void copyUV(const HouseholderU &householderU, const HouseholderV &householderV, const NaiveU &naiveU, const NaiveV &naivev);
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void structured_update(Block<MatrixXr,Dynamic,Dynamic> A, const MatrixXr &B, Index n1);
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static RealScalar secularEq(RealScalar x, const ArrayRef& col0, const ArrayRef& diag, const IndicesRef &perm, const ArrayRef& diagShifted, RealScalar shift);
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protected:
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MatrixXr m_naiveU, m_naiveV;
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MatrixXr m_computed;
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Index m_nRec;
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ArrayXr m_workspace;
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ArrayXi m_workspaceI;
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int m_algoswap;
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bool m_isTranspose, m_compU, m_compV;
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using Base::m_singularValues;
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using Base::m_diagSize;
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using Base::m_computeFullU;
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using Base::m_computeFullV;
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using Base::m_computeThinU;
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using Base::m_computeThinV;
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using Base::m_matrixU;
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using Base::m_matrixV;
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using Base::m_info;
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using Base::m_isInitialized;
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using Base::m_nonzeroSingularValues;
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public:
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int m_numIters;
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}; //end class BDCSVD
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// Method to allocate and initialize matrix and attributes
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template<typename MatrixType>
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void BDCSVD<MatrixType>::allocate(Eigen::Index rows, Eigen::Index cols, unsigned int computationOptions)
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{
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m_isTranspose = (cols > rows);
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if (Base::allocate(rows, cols, computationOptions))
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return;
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m_computed = MatrixXr::Zero(m_diagSize + 1, m_diagSize );
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m_compU = computeV();
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m_compV = computeU();
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if (m_isTranspose)
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std::swap(m_compU, m_compV);
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if (m_compU) m_naiveU = MatrixXr::Zero(m_diagSize + 1, m_diagSize + 1 );
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else m_naiveU = MatrixXr::Zero(2, m_diagSize + 1 );
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if (m_compV) m_naiveV = MatrixXr::Zero(m_diagSize, m_diagSize);
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m_workspace.resize((m_diagSize+1)*(m_diagSize+1)*3);
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m_workspaceI.resize(3*m_diagSize);
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}// end allocate
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template<typename MatrixType>
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BDCSVD<MatrixType>& BDCSVD<MatrixType>::compute(const MatrixType& matrix, unsigned int computationOptions)
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{
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#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
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std::cout << "\n\n\n======================================================================================================================\n\n\n";
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#endif
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allocate(matrix.rows(), matrix.cols(), computationOptions);
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using std::abs;
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const RealScalar considerZero = (std::numeric_limits<RealScalar>::min)();
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//**** step -1 - If the problem is too small, directly falls back to JacobiSVD and return
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if(matrix.cols() < m_algoswap)
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{
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// FIXME this line involves temporaries
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JacobiSVD<MatrixType> jsvd(matrix,computationOptions);
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m_isInitialized = true;
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m_info = jsvd.info();
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if (m_info == Success || m_info == NoConvergence) {
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if(computeU()) m_matrixU = jsvd.matrixU();
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if(computeV()) m_matrixV = jsvd.matrixV();
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m_singularValues = jsvd.singularValues();
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m_nonzeroSingularValues = jsvd.nonzeroSingularValues();
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}
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return *this;
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}
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//**** step 0 - Copy the input matrix and apply scaling to reduce over/under-flows
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RealScalar scale = matrix.cwiseAbs().template maxCoeff<PropagateNaN>();
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if (!(numext::isfinite)(scale)) {
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m_isInitialized = true;
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+
m_info = InvalidInput;
|
276
|
+
return *this;
|
277
|
+
}
|
278
|
+
|
279
|
+
if(scale==Literal(0)) scale = Literal(1);
|
280
|
+
MatrixX copy;
|
281
|
+
if (m_isTranspose) copy = matrix.adjoint()/scale;
|
282
|
+
else copy = matrix/scale;
|
283
|
+
|
284
|
+
//**** step 1 - Bidiagonalization
|
285
|
+
// FIXME this line involves temporaries
|
286
|
+
internal::UpperBidiagonalization<MatrixX> bid(copy);
|
287
|
+
|
288
|
+
//**** step 2 - Divide & Conquer
|
289
|
+
m_naiveU.setZero();
|
290
|
+
m_naiveV.setZero();
|
291
|
+
// FIXME this line involves a temporary matrix
|
292
|
+
m_computed.topRows(m_diagSize) = bid.bidiagonal().toDenseMatrix().transpose();
|
293
|
+
m_computed.template bottomRows<1>().setZero();
|
294
|
+
divide(0, m_diagSize - 1, 0, 0, 0);
|
295
|
+
if (m_info != Success && m_info != NoConvergence) {
|
296
|
+
m_isInitialized = true;
|
297
|
+
return *this;
|
298
|
+
}
|
299
|
+
|
300
|
+
//**** step 3 - Copy singular values and vectors
|
301
|
+
for (int i=0; i<m_diagSize; i++)
|
302
|
+
{
|
303
|
+
RealScalar a = abs(m_computed.coeff(i, i));
|
304
|
+
m_singularValues.coeffRef(i) = a * scale;
|
305
|
+
if (a<considerZero)
|
306
|
+
{
|
307
|
+
m_nonzeroSingularValues = i;
|
308
|
+
m_singularValues.tail(m_diagSize - i - 1).setZero();
|
309
|
+
break;
|
310
|
+
}
|
311
|
+
else if (i == m_diagSize - 1)
|
312
|
+
{
|
313
|
+
m_nonzeroSingularValues = i + 1;
|
314
|
+
break;
|
315
|
+
}
|
316
|
+
}
|
317
|
+
|
318
|
+
#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
|
319
|
+
// std::cout << "m_naiveU\n" << m_naiveU << "\n\n";
|
320
|
+
// std::cout << "m_naiveV\n" << m_naiveV << "\n\n";
|
321
|
+
#endif
|
322
|
+
if(m_isTranspose) copyUV(bid.householderV(), bid.householderU(), m_naiveV, m_naiveU);
|
323
|
+
else copyUV(bid.householderU(), bid.householderV(), m_naiveU, m_naiveV);
|
324
|
+
|
325
|
+
m_isInitialized = true;
|
326
|
+
return *this;
|
327
|
+
}// end compute
|
328
|
+
|
329
|
+
|
330
|
+
template<typename MatrixType>
|
331
|
+
template<typename HouseholderU, typename HouseholderV, typename NaiveU, typename NaiveV>
|
332
|
+
void BDCSVD<MatrixType>::copyUV(const HouseholderU &householderU, const HouseholderV &householderV, const NaiveU &naiveU, const NaiveV &naiveV)
|
333
|
+
{
|
334
|
+
// Note exchange of U and V: m_matrixU is set from m_naiveV and vice versa
|
335
|
+
if (computeU())
|
336
|
+
{
|
337
|
+
Index Ucols = m_computeThinU ? m_diagSize : householderU.cols();
|
338
|
+
m_matrixU = MatrixX::Identity(householderU.cols(), Ucols);
|
339
|
+
m_matrixU.topLeftCorner(m_diagSize, m_diagSize) = naiveV.template cast<Scalar>().topLeftCorner(m_diagSize, m_diagSize);
|
340
|
+
householderU.applyThisOnTheLeft(m_matrixU); // FIXME this line involves a temporary buffer
|
341
|
+
}
|
342
|
+
if (computeV())
|
343
|
+
{
|
344
|
+
Index Vcols = m_computeThinV ? m_diagSize : householderV.cols();
|
345
|
+
m_matrixV = MatrixX::Identity(householderV.cols(), Vcols);
|
346
|
+
m_matrixV.topLeftCorner(m_diagSize, m_diagSize) = naiveU.template cast<Scalar>().topLeftCorner(m_diagSize, m_diagSize);
|
347
|
+
householderV.applyThisOnTheLeft(m_matrixV); // FIXME this line involves a temporary buffer
|
348
|
+
}
|
349
|
+
}
|
350
|
+
|
351
|
+
/** \internal
|
352
|
+
* Performs A = A * B exploiting the special structure of the matrix A. Splitting A as:
|
353
|
+
* A = [A1]
|
354
|
+
* [A2]
|
355
|
+
* such that A1.rows()==n1, then we assume that at least half of the columns of A1 and A2 are zeros.
|
356
|
+
* We can thus pack them prior to the the matrix product. However, this is only worth the effort if the matrix is large
|
357
|
+
* enough.
|
358
|
+
*/
|
359
|
+
template<typename MatrixType>
|
360
|
+
void BDCSVD<MatrixType>::structured_update(Block<MatrixXr,Dynamic,Dynamic> A, const MatrixXr &B, Index n1)
|
361
|
+
{
|
362
|
+
Index n = A.rows();
|
363
|
+
if(n>100)
|
364
|
+
{
|
365
|
+
// If the matrices are large enough, let's exploit the sparse structure of A by
|
366
|
+
// splitting it in half (wrt n1), and packing the non-zero columns.
|
367
|
+
Index n2 = n - n1;
|
368
|
+
Map<MatrixXr> A1(m_workspace.data() , n1, n);
|
369
|
+
Map<MatrixXr> A2(m_workspace.data()+ n1*n, n2, n);
|
370
|
+
Map<MatrixXr> B1(m_workspace.data()+ n*n, n, n);
|
371
|
+
Map<MatrixXr> B2(m_workspace.data()+2*n*n, n, n);
|
372
|
+
Index k1=0, k2=0;
|
373
|
+
for(Index j=0; j<n; ++j)
|
374
|
+
{
|
375
|
+
if( (A.col(j).head(n1).array()!=Literal(0)).any() )
|
376
|
+
{
|
377
|
+
A1.col(k1) = A.col(j).head(n1);
|
378
|
+
B1.row(k1) = B.row(j);
|
379
|
+
++k1;
|
380
|
+
}
|
381
|
+
if( (A.col(j).tail(n2).array()!=Literal(0)).any() )
|
382
|
+
{
|
383
|
+
A2.col(k2) = A.col(j).tail(n2);
|
384
|
+
B2.row(k2) = B.row(j);
|
385
|
+
++k2;
|
386
|
+
}
|
387
|
+
}
|
388
|
+
|
389
|
+
A.topRows(n1).noalias() = A1.leftCols(k1) * B1.topRows(k1);
|
390
|
+
A.bottomRows(n2).noalias() = A2.leftCols(k2) * B2.topRows(k2);
|
391
|
+
}
|
392
|
+
else
|
393
|
+
{
|
394
|
+
Map<MatrixXr,Aligned> tmp(m_workspace.data(),n,n);
|
395
|
+
tmp.noalias() = A*B;
|
396
|
+
A = tmp;
|
397
|
+
}
|
398
|
+
}
|
399
|
+
|
400
|
+
// The divide algorithm is done "in place", we are always working on subsets of the same matrix. The divide methods takes as argument the
|
401
|
+
// place of the submatrix we are currently working on.
|
402
|
+
|
403
|
+
//@param firstCol : The Index of the first column of the submatrix of m_computed and for m_naiveU;
|
404
|
+
//@param lastCol : The Index of the last column of the submatrix of m_computed and for m_naiveU;
|
405
|
+
// lastCol + 1 - firstCol is the size of the submatrix.
|
406
|
+
//@param firstRowW : The Index of the first row of the matrix W that we are to change. (see the reference paper section 1 for more information on W)
|
407
|
+
//@param firstRowW : Same as firstRowW with the column.
|
408
|
+
//@param shift : Each time one takes the left submatrix, one must add 1 to the shift. Why? Because! We actually want the last column of the U submatrix
|
409
|
+
// to become the first column (*coeff) and to shift all the other columns to the right. There are more details on the reference paper.
|
410
|
+
template<typename MatrixType>
|
411
|
+
void BDCSVD<MatrixType>::divide(Eigen::Index firstCol, Eigen::Index lastCol, Eigen::Index firstRowW, Eigen::Index firstColW, Eigen::Index shift)
|
412
|
+
{
|
413
|
+
// requires rows = cols + 1;
|
414
|
+
using std::pow;
|
415
|
+
using std::sqrt;
|
416
|
+
using std::abs;
|
417
|
+
const Index n = lastCol - firstCol + 1;
|
418
|
+
const Index k = n/2;
|
419
|
+
const RealScalar considerZero = (std::numeric_limits<RealScalar>::min)();
|
420
|
+
RealScalar alphaK;
|
421
|
+
RealScalar betaK;
|
422
|
+
RealScalar r0;
|
423
|
+
RealScalar lambda, phi, c0, s0;
|
424
|
+
VectorType l, f;
|
425
|
+
// We use the other algorithm which is more efficient for small
|
426
|
+
// matrices.
|
427
|
+
if (n < m_algoswap)
|
428
|
+
{
|
429
|
+
// FIXME this line involves temporaries
|
430
|
+
JacobiSVD<MatrixXr> b(m_computed.block(firstCol, firstCol, n + 1, n), ComputeFullU | (m_compV ? ComputeFullV : 0));
|
431
|
+
m_info = b.info();
|
432
|
+
if (m_info != Success && m_info != NoConvergence) return;
|
433
|
+
if (m_compU)
|
434
|
+
m_naiveU.block(firstCol, firstCol, n + 1, n + 1).real() = b.matrixU();
|
435
|
+
else
|
436
|
+
{
|
437
|
+
m_naiveU.row(0).segment(firstCol, n + 1).real() = b.matrixU().row(0);
|
438
|
+
m_naiveU.row(1).segment(firstCol, n + 1).real() = b.matrixU().row(n);
|
439
|
+
}
|
440
|
+
if (m_compV) m_naiveV.block(firstRowW, firstColW, n, n).real() = b.matrixV();
|
441
|
+
m_computed.block(firstCol + shift, firstCol + shift, n + 1, n).setZero();
|
442
|
+
m_computed.diagonal().segment(firstCol + shift, n) = b.singularValues().head(n);
|
443
|
+
return;
|
444
|
+
}
|
445
|
+
// We use the divide and conquer algorithm
|
446
|
+
alphaK = m_computed(firstCol + k, firstCol + k);
|
447
|
+
betaK = m_computed(firstCol + k + 1, firstCol + k);
|
448
|
+
// The divide must be done in that order in order to have good results. Divide change the data inside the submatrices
|
449
|
+
// and the divide of the right submatrice reads one column of the left submatrice. That's why we need to treat the
|
450
|
+
// right submatrix before the left one.
|
451
|
+
divide(k + 1 + firstCol, lastCol, k + 1 + firstRowW, k + 1 + firstColW, shift);
|
452
|
+
if (m_info != Success && m_info != NoConvergence) return;
|
453
|
+
divide(firstCol, k - 1 + firstCol, firstRowW, firstColW + 1, shift + 1);
|
454
|
+
if (m_info != Success && m_info != NoConvergence) return;
|
455
|
+
|
456
|
+
if (m_compU)
|
457
|
+
{
|
458
|
+
lambda = m_naiveU(firstCol + k, firstCol + k);
|
459
|
+
phi = m_naiveU(firstCol + k + 1, lastCol + 1);
|
460
|
+
}
|
461
|
+
else
|
462
|
+
{
|
463
|
+
lambda = m_naiveU(1, firstCol + k);
|
464
|
+
phi = m_naiveU(0, lastCol + 1);
|
465
|
+
}
|
466
|
+
r0 = sqrt((abs(alphaK * lambda) * abs(alphaK * lambda)) + abs(betaK * phi) * abs(betaK * phi));
|
467
|
+
if (m_compU)
|
468
|
+
{
|
469
|
+
l = m_naiveU.row(firstCol + k).segment(firstCol, k);
|
470
|
+
f = m_naiveU.row(firstCol + k + 1).segment(firstCol + k + 1, n - k - 1);
|
471
|
+
}
|
472
|
+
else
|
473
|
+
{
|
474
|
+
l = m_naiveU.row(1).segment(firstCol, k);
|
475
|
+
f = m_naiveU.row(0).segment(firstCol + k + 1, n - k - 1);
|
476
|
+
}
|
477
|
+
if (m_compV) m_naiveV(firstRowW+k, firstColW) = Literal(1);
|
478
|
+
if (r0<considerZero)
|
479
|
+
{
|
480
|
+
c0 = Literal(1);
|
481
|
+
s0 = Literal(0);
|
482
|
+
}
|
483
|
+
else
|
484
|
+
{
|
485
|
+
c0 = alphaK * lambda / r0;
|
486
|
+
s0 = betaK * phi / r0;
|
487
|
+
}
|
488
|
+
|
489
|
+
#ifdef EIGEN_BDCSVD_SANITY_CHECKS
|
490
|
+
assert(m_naiveU.allFinite());
|
491
|
+
assert(m_naiveV.allFinite());
|
492
|
+
assert(m_computed.allFinite());
|
493
|
+
#endif
|
494
|
+
|
495
|
+
if (m_compU)
|
496
|
+
{
|
497
|
+
MatrixXr q1 (m_naiveU.col(firstCol + k).segment(firstCol, k + 1));
|
498
|
+
// we shiftW Q1 to the right
|
499
|
+
for (Index i = firstCol + k - 1; i >= firstCol; i--)
|
500
|
+
m_naiveU.col(i + 1).segment(firstCol, k + 1) = m_naiveU.col(i).segment(firstCol, k + 1);
|
501
|
+
// we shift q1 at the left with a factor c0
|
502
|
+
m_naiveU.col(firstCol).segment( firstCol, k + 1) = (q1 * c0);
|
503
|
+
// last column = q1 * - s0
|
504
|
+
m_naiveU.col(lastCol + 1).segment(firstCol, k + 1) = (q1 * ( - s0));
|
505
|
+
// first column = q2 * s0
|
506
|
+
m_naiveU.col(firstCol).segment(firstCol + k + 1, n - k) = m_naiveU.col(lastCol + 1).segment(firstCol + k + 1, n - k) * s0;
|
507
|
+
// q2 *= c0
|
508
|
+
m_naiveU.col(lastCol + 1).segment(firstCol + k + 1, n - k) *= c0;
|
509
|
+
}
|
510
|
+
else
|
511
|
+
{
|
512
|
+
RealScalar q1 = m_naiveU(0, firstCol + k);
|
513
|
+
// we shift Q1 to the right
|
514
|
+
for (Index i = firstCol + k - 1; i >= firstCol; i--)
|
515
|
+
m_naiveU(0, i + 1) = m_naiveU(0, i);
|
516
|
+
// we shift q1 at the left with a factor c0
|
517
|
+
m_naiveU(0, firstCol) = (q1 * c0);
|
518
|
+
// last column = q1 * - s0
|
519
|
+
m_naiveU(0, lastCol + 1) = (q1 * ( - s0));
|
520
|
+
// first column = q2 * s0
|
521
|
+
m_naiveU(1, firstCol) = m_naiveU(1, lastCol + 1) *s0;
|
522
|
+
// q2 *= c0
|
523
|
+
m_naiveU(1, lastCol + 1) *= c0;
|
524
|
+
m_naiveU.row(1).segment(firstCol + 1, k).setZero();
|
525
|
+
m_naiveU.row(0).segment(firstCol + k + 1, n - k - 1).setZero();
|
526
|
+
}
|
527
|
+
|
528
|
+
#ifdef EIGEN_BDCSVD_SANITY_CHECKS
|
529
|
+
assert(m_naiveU.allFinite());
|
530
|
+
assert(m_naiveV.allFinite());
|
531
|
+
assert(m_computed.allFinite());
|
532
|
+
#endif
|
533
|
+
|
534
|
+
m_computed(firstCol + shift, firstCol + shift) = r0;
|
535
|
+
m_computed.col(firstCol + shift).segment(firstCol + shift + 1, k) = alphaK * l.transpose().real();
|
536
|
+
m_computed.col(firstCol + shift).segment(firstCol + shift + k + 1, n - k - 1) = betaK * f.transpose().real();
|
537
|
+
|
538
|
+
#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
|
539
|
+
ArrayXr tmp1 = (m_computed.block(firstCol+shift, firstCol+shift, n, n)).jacobiSvd().singularValues();
|
540
|
+
#endif
|
541
|
+
// Second part: try to deflate singular values in combined matrix
|
542
|
+
deflation(firstCol, lastCol, k, firstRowW, firstColW, shift);
|
543
|
+
#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
|
544
|
+
ArrayXr tmp2 = (m_computed.block(firstCol+shift, firstCol+shift, n, n)).jacobiSvd().singularValues();
|
545
|
+
std::cout << "\n\nj1 = " << tmp1.transpose().format(bdcsvdfmt) << "\n";
|
546
|
+
std::cout << "j2 = " << tmp2.transpose().format(bdcsvdfmt) << "\n\n";
|
547
|
+
std::cout << "err: " << ((tmp1-tmp2).abs()>1e-12*tmp2.abs()).transpose() << "\n";
|
548
|
+
static int count = 0;
|
549
|
+
std::cout << "# " << ++count << "\n\n";
|
550
|
+
assert((tmp1-tmp2).matrix().norm() < 1e-14*tmp2.matrix().norm());
|
551
|
+
// assert(count<681);
|
552
|
+
// assert(((tmp1-tmp2).abs()<1e-13*tmp2.abs()).all());
|
553
|
+
#endif
|
554
|
+
|
555
|
+
// Third part: compute SVD of combined matrix
|
556
|
+
MatrixXr UofSVD, VofSVD;
|
557
|
+
VectorType singVals;
|
558
|
+
computeSVDofM(firstCol + shift, n, UofSVD, singVals, VofSVD);
|
559
|
+
|
560
|
+
#ifdef EIGEN_BDCSVD_SANITY_CHECKS
|
561
|
+
assert(UofSVD.allFinite());
|
562
|
+
assert(VofSVD.allFinite());
|
563
|
+
#endif
|
564
|
+
|
565
|
+
if (m_compU)
|
566
|
+
structured_update(m_naiveU.block(firstCol, firstCol, n + 1, n + 1), UofSVD, (n+2)/2);
|
567
|
+
else
|
568
|
+
{
|
569
|
+
Map<Matrix<RealScalar,2,Dynamic>,Aligned> tmp(m_workspace.data(),2,n+1);
|
570
|
+
tmp.noalias() = m_naiveU.middleCols(firstCol, n+1) * UofSVD;
|
571
|
+
m_naiveU.middleCols(firstCol, n + 1) = tmp;
|
572
|
+
}
|
573
|
+
|
574
|
+
if (m_compV) structured_update(m_naiveV.block(firstRowW, firstColW, n, n), VofSVD, (n+1)/2);
|
575
|
+
|
576
|
+
#ifdef EIGEN_BDCSVD_SANITY_CHECKS
|
577
|
+
assert(m_naiveU.allFinite());
|
578
|
+
assert(m_naiveV.allFinite());
|
579
|
+
assert(m_computed.allFinite());
|
580
|
+
#endif
|
581
|
+
|
582
|
+
m_computed.block(firstCol + shift, firstCol + shift, n, n).setZero();
|
583
|
+
m_computed.block(firstCol + shift, firstCol + shift, n, n).diagonal() = singVals;
|
584
|
+
}// end divide
|
585
|
+
|
586
|
+
// Compute SVD of m_computed.block(firstCol, firstCol, n + 1, n); this block only has non-zeros in
|
587
|
+
// the first column and on the diagonal and has undergone deflation, so diagonal is in increasing
|
588
|
+
// order except for possibly the (0,0) entry. The computed SVD is stored U, singVals and V, except
|
589
|
+
// that if m_compV is false, then V is not computed. Singular values are sorted in decreasing order.
|
590
|
+
//
|
591
|
+
// TODO Opportunities for optimization: better root finding algo, better stopping criterion, better
|
592
|
+
// handling of round-off errors, be consistent in ordering
|
593
|
+
// For instance, to solve the secular equation using FMM, see http://www.stat.uchicago.edu/~lekheng/courses/302/classics/greengard-rokhlin.pdf
|
594
|
+
template <typename MatrixType>
|
595
|
+
void BDCSVD<MatrixType>::computeSVDofM(Eigen::Index firstCol, Eigen::Index n, MatrixXr& U, VectorType& singVals, MatrixXr& V)
|
596
|
+
{
|
597
|
+
const RealScalar considerZero = (std::numeric_limits<RealScalar>::min)();
|
598
|
+
using std::abs;
|
599
|
+
ArrayRef col0 = m_computed.col(firstCol).segment(firstCol, n);
|
600
|
+
m_workspace.head(n) = m_computed.block(firstCol, firstCol, n, n).diagonal();
|
601
|
+
ArrayRef diag = m_workspace.head(n);
|
602
|
+
diag(0) = Literal(0);
|
603
|
+
|
604
|
+
// Allocate space for singular values and vectors
|
605
|
+
singVals.resize(n);
|
606
|
+
U.resize(n+1, n+1);
|
607
|
+
if (m_compV) V.resize(n, n);
|
608
|
+
|
609
|
+
#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
|
610
|
+
if (col0.hasNaN() || diag.hasNaN())
|
611
|
+
std::cout << "\n\nHAS NAN\n\n";
|
612
|
+
#endif
|
613
|
+
|
614
|
+
// Many singular values might have been deflated, the zero ones have been moved to the end,
|
615
|
+
// but others are interleaved and we must ignore them at this stage.
|
616
|
+
// To this end, let's compute a permutation skipping them:
|
617
|
+
Index actual_n = n;
|
618
|
+
while(actual_n>1 && diag(actual_n-1)==Literal(0)) {--actual_n; eigen_internal_assert(col0(actual_n)==Literal(0)); }
|
619
|
+
Index m = 0; // size of the deflated problem
|
620
|
+
for(Index k=0;k<actual_n;++k)
|
621
|
+
if(abs(col0(k))>considerZero)
|
622
|
+
m_workspaceI(m++) = k;
|
623
|
+
Map<ArrayXi> perm(m_workspaceI.data(),m);
|
624
|
+
|
625
|
+
Map<ArrayXr> shifts(m_workspace.data()+1*n, n);
|
626
|
+
Map<ArrayXr> mus(m_workspace.data()+2*n, n);
|
627
|
+
Map<ArrayXr> zhat(m_workspace.data()+3*n, n);
|
628
|
+
|
629
|
+
#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
|
630
|
+
std::cout << "computeSVDofM using:\n";
|
631
|
+
std::cout << " z: " << col0.transpose() << "\n";
|
632
|
+
std::cout << " d: " << diag.transpose() << "\n";
|
633
|
+
#endif
|
634
|
+
|
635
|
+
// Compute singVals, shifts, and mus
|
636
|
+
computeSingVals(col0, diag, perm, singVals, shifts, mus);
|
637
|
+
|
638
|
+
#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
|
639
|
+
std::cout << " j: " << (m_computed.block(firstCol, firstCol, n, n)).jacobiSvd().singularValues().transpose().reverse() << "\n\n";
|
640
|
+
std::cout << " sing-val: " << singVals.transpose() << "\n";
|
641
|
+
std::cout << " mu: " << mus.transpose() << "\n";
|
642
|
+
std::cout << " shift: " << shifts.transpose() << "\n";
|
643
|
+
|
644
|
+
{
|
645
|
+
std::cout << "\n\n mus: " << mus.head(actual_n).transpose() << "\n\n";
|
646
|
+
std::cout << " check1 (expect0) : " << ((singVals.array()-(shifts+mus)) / singVals.array()).head(actual_n).transpose() << "\n\n";
|
647
|
+
assert((((singVals.array()-(shifts+mus)) / singVals.array()).head(actual_n) >= 0).all());
|
648
|
+
std::cout << " check2 (>0) : " << ((singVals.array()-diag) / singVals.array()).head(actual_n).transpose() << "\n\n";
|
649
|
+
assert((((singVals.array()-diag) / singVals.array()).head(actual_n) >= 0).all());
|
650
|
+
}
|
651
|
+
#endif
|
652
|
+
|
653
|
+
#ifdef EIGEN_BDCSVD_SANITY_CHECKS
|
654
|
+
assert(singVals.allFinite());
|
655
|
+
assert(mus.allFinite());
|
656
|
+
assert(shifts.allFinite());
|
657
|
+
#endif
|
658
|
+
|
659
|
+
// Compute zhat
|
660
|
+
perturbCol0(col0, diag, perm, singVals, shifts, mus, zhat);
|
661
|
+
#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
|
662
|
+
std::cout << " zhat: " << zhat.transpose() << "\n";
|
663
|
+
#endif
|
664
|
+
|
665
|
+
#ifdef EIGEN_BDCSVD_SANITY_CHECKS
|
666
|
+
assert(zhat.allFinite());
|
667
|
+
#endif
|
668
|
+
|
669
|
+
computeSingVecs(zhat, diag, perm, singVals, shifts, mus, U, V);
|
670
|
+
|
671
|
+
#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
|
672
|
+
std::cout << "U^T U: " << (U.transpose() * U - MatrixXr(MatrixXr::Identity(U.cols(),U.cols()))).norm() << "\n";
|
673
|
+
std::cout << "V^T V: " << (V.transpose() * V - MatrixXr(MatrixXr::Identity(V.cols(),V.cols()))).norm() << "\n";
|
674
|
+
#endif
|
675
|
+
|
676
|
+
#ifdef EIGEN_BDCSVD_SANITY_CHECKS
|
677
|
+
assert(m_naiveU.allFinite());
|
678
|
+
assert(m_naiveV.allFinite());
|
679
|
+
assert(m_computed.allFinite());
|
680
|
+
assert(U.allFinite());
|
681
|
+
assert(V.allFinite());
|
682
|
+
// assert((U.transpose() * U - MatrixXr(MatrixXr::Identity(U.cols(),U.cols()))).norm() < 100*NumTraits<RealScalar>::epsilon() * n);
|
683
|
+
// assert((V.transpose() * V - MatrixXr(MatrixXr::Identity(V.cols(),V.cols()))).norm() < 100*NumTraits<RealScalar>::epsilon() * n);
|
684
|
+
#endif
|
685
|
+
|
686
|
+
// Because of deflation, the singular values might not be completely sorted.
|
687
|
+
// Fortunately, reordering them is a O(n) problem
|
688
|
+
for(Index i=0; i<actual_n-1; ++i)
|
689
|
+
{
|
690
|
+
if(singVals(i)>singVals(i+1))
|
691
|
+
{
|
692
|
+
using std::swap;
|
693
|
+
swap(singVals(i),singVals(i+1));
|
694
|
+
U.col(i).swap(U.col(i+1));
|
695
|
+
if(m_compV) V.col(i).swap(V.col(i+1));
|
696
|
+
}
|
697
|
+
}
|
698
|
+
|
699
|
+
#ifdef EIGEN_BDCSVD_SANITY_CHECKS
|
700
|
+
{
|
701
|
+
bool singular_values_sorted = (((singVals.segment(1,actual_n-1)-singVals.head(actual_n-1))).array() >= 0).all();
|
702
|
+
if(!singular_values_sorted)
|
703
|
+
std::cout << "Singular values are not sorted: " << singVals.segment(1,actual_n).transpose() << "\n";
|
704
|
+
assert(singular_values_sorted);
|
705
|
+
}
|
706
|
+
#endif
|
707
|
+
|
708
|
+
// Reverse order so that singular values in increased order
|
709
|
+
// Because of deflation, the zeros singular-values are already at the end
|
710
|
+
singVals.head(actual_n).reverseInPlace();
|
711
|
+
U.leftCols(actual_n).rowwise().reverseInPlace();
|
712
|
+
if (m_compV) V.leftCols(actual_n).rowwise().reverseInPlace();
|
713
|
+
|
714
|
+
#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
|
715
|
+
JacobiSVD<MatrixXr> jsvd(m_computed.block(firstCol, firstCol, n, n) );
|
716
|
+
std::cout << " * j: " << jsvd.singularValues().transpose() << "\n\n";
|
717
|
+
std::cout << " * sing-val: " << singVals.transpose() << "\n";
|
718
|
+
// std::cout << " * err: " << ((jsvd.singularValues()-singVals)>1e-13*singVals.norm()).transpose() << "\n";
|
719
|
+
#endif
|
720
|
+
}
|
721
|
+
|
722
|
+
template <typename MatrixType>
|
723
|
+
typename BDCSVD<MatrixType>::RealScalar BDCSVD<MatrixType>::secularEq(RealScalar mu, const ArrayRef& col0, const ArrayRef& diag, const IndicesRef &perm, const ArrayRef& diagShifted, RealScalar shift)
|
724
|
+
{
|
725
|
+
Index m = perm.size();
|
726
|
+
RealScalar res = Literal(1);
|
727
|
+
for(Index i=0; i<m; ++i)
|
728
|
+
{
|
729
|
+
Index j = perm(i);
|
730
|
+
// The following expression could be rewritten to involve only a single division,
|
731
|
+
// but this would make the expression more sensitive to overflow.
|
732
|
+
res += (col0(j) / (diagShifted(j) - mu)) * (col0(j) / (diag(j) + shift + mu));
|
733
|
+
}
|
734
|
+
return res;
|
735
|
+
|
736
|
+
}
|
737
|
+
|
738
|
+
template <typename MatrixType>
|
739
|
+
void BDCSVD<MatrixType>::computeSingVals(const ArrayRef& col0, const ArrayRef& diag, const IndicesRef &perm,
|
740
|
+
VectorType& singVals, ArrayRef shifts, ArrayRef mus)
|
741
|
+
{
|
742
|
+
using std::abs;
|
743
|
+
using std::swap;
|
744
|
+
using std::sqrt;
|
745
|
+
|
746
|
+
Index n = col0.size();
|
747
|
+
Index actual_n = n;
|
748
|
+
// Note that here actual_n is computed based on col0(i)==0 instead of diag(i)==0 as above
|
749
|
+
// because 1) we have diag(i)==0 => col0(i)==0 and 2) if col0(i)==0, then diag(i) is already a singular value.
|
750
|
+
while(actual_n>1 && col0(actual_n-1)==Literal(0)) --actual_n;
|
751
|
+
|
752
|
+
for (Index k = 0; k < n; ++k)
|
753
|
+
{
|
754
|
+
if (col0(k) == Literal(0) || actual_n==1)
|
755
|
+
{
|
756
|
+
// if col0(k) == 0, then entry is deflated, so singular value is on diagonal
|
757
|
+
// if actual_n==1, then the deflated problem is already diagonalized
|
758
|
+
singVals(k) = k==0 ? col0(0) : diag(k);
|
759
|
+
mus(k) = Literal(0);
|
760
|
+
shifts(k) = k==0 ? col0(0) : diag(k);
|
761
|
+
continue;
|
762
|
+
}
|
763
|
+
|
764
|
+
// otherwise, use secular equation to find singular value
|
765
|
+
RealScalar left = diag(k);
|
766
|
+
RealScalar right; // was: = (k != actual_n-1) ? diag(k+1) : (diag(actual_n-1) + col0.matrix().norm());
|
767
|
+
if(k==actual_n-1)
|
768
|
+
right = (diag(actual_n-1) + col0.matrix().norm());
|
769
|
+
else
|
770
|
+
{
|
771
|
+
// Skip deflated singular values,
|
772
|
+
// recall that at this stage we assume that z[j]!=0 and all entries for which z[j]==0 have been put aside.
|
773
|
+
// This should be equivalent to using perm[]
|
774
|
+
Index l = k+1;
|
775
|
+
while(col0(l)==Literal(0)) { ++l; eigen_internal_assert(l<actual_n); }
|
776
|
+
right = diag(l);
|
777
|
+
}
|
778
|
+
|
779
|
+
// first decide whether it's closer to the left end or the right end
|
780
|
+
RealScalar mid = left + (right-left) / Literal(2);
|
781
|
+
RealScalar fMid = secularEq(mid, col0, diag, perm, diag, Literal(0));
|
782
|
+
#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
|
783
|
+
std::cout << "right-left = " << right-left << "\n";
|
784
|
+
// std::cout << "fMid = " << fMid << " " << secularEq(mid-left, col0, diag, perm, ArrayXr(diag-left), left)
|
785
|
+
// << " " << secularEq(mid-right, col0, diag, perm, ArrayXr(diag-right), right) << "\n";
|
786
|
+
std::cout << " = " << secularEq(left+RealScalar(0.000001)*(right-left), col0, diag, perm, diag, 0)
|
787
|
+
<< " " << secularEq(left+RealScalar(0.1) *(right-left), col0, diag, perm, diag, 0)
|
788
|
+
<< " " << secularEq(left+RealScalar(0.2) *(right-left), col0, diag, perm, diag, 0)
|
789
|
+
<< " " << secularEq(left+RealScalar(0.3) *(right-left), col0, diag, perm, diag, 0)
|
790
|
+
<< " " << secularEq(left+RealScalar(0.4) *(right-left), col0, diag, perm, diag, 0)
|
791
|
+
<< " " << secularEq(left+RealScalar(0.49) *(right-left), col0, diag, perm, diag, 0)
|
792
|
+
<< " " << secularEq(left+RealScalar(0.5) *(right-left), col0, diag, perm, diag, 0)
|
793
|
+
<< " " << secularEq(left+RealScalar(0.51) *(right-left), col0, diag, perm, diag, 0)
|
794
|
+
<< " " << secularEq(left+RealScalar(0.6) *(right-left), col0, diag, perm, diag, 0)
|
795
|
+
<< " " << secularEq(left+RealScalar(0.7) *(right-left), col0, diag, perm, diag, 0)
|
796
|
+
<< " " << secularEq(left+RealScalar(0.8) *(right-left), col0, diag, perm, diag, 0)
|
797
|
+
<< " " << secularEq(left+RealScalar(0.9) *(right-left), col0, diag, perm, diag, 0)
|
798
|
+
<< " " << secularEq(left+RealScalar(0.999999)*(right-left), col0, diag, perm, diag, 0) << "\n";
|
799
|
+
#endif
|
800
|
+
RealScalar shift = (k == actual_n-1 || fMid > Literal(0)) ? left : right;
|
801
|
+
|
802
|
+
// measure everything relative to shift
|
803
|
+
Map<ArrayXr> diagShifted(m_workspace.data()+4*n, n);
|
804
|
+
diagShifted = diag - shift;
|
805
|
+
|
806
|
+
if(k!=actual_n-1)
|
807
|
+
{
|
808
|
+
// check that after the shift, f(mid) is still negative:
|
809
|
+
RealScalar midShifted = (right - left) / RealScalar(2);
|
810
|
+
if(shift==right)
|
811
|
+
midShifted = -midShifted;
|
812
|
+
RealScalar fMidShifted = secularEq(midShifted, col0, diag, perm, diagShifted, shift);
|
813
|
+
if(fMidShifted>0)
|
814
|
+
{
|
815
|
+
// fMid was erroneous, fix it:
|
816
|
+
shift = fMidShifted > Literal(0) ? left : right;
|
817
|
+
diagShifted = diag - shift;
|
818
|
+
}
|
819
|
+
}
|
820
|
+
|
821
|
+
// initial guess
|
822
|
+
RealScalar muPrev, muCur;
|
823
|
+
if (shift == left)
|
824
|
+
{
|
825
|
+
muPrev = (right - left) * RealScalar(0.1);
|
826
|
+
if (k == actual_n-1) muCur = right - left;
|
827
|
+
else muCur = (right - left) * RealScalar(0.5);
|
828
|
+
}
|
829
|
+
else
|
830
|
+
{
|
831
|
+
muPrev = -(right - left) * RealScalar(0.1);
|
832
|
+
muCur = -(right - left) * RealScalar(0.5);
|
833
|
+
}
|
834
|
+
|
835
|
+
RealScalar fPrev = secularEq(muPrev, col0, diag, perm, diagShifted, shift);
|
836
|
+
RealScalar fCur = secularEq(muCur, col0, diag, perm, diagShifted, shift);
|
837
|
+
if (abs(fPrev) < abs(fCur))
|
838
|
+
{
|
839
|
+
swap(fPrev, fCur);
|
840
|
+
swap(muPrev, muCur);
|
841
|
+
}
|
842
|
+
|
843
|
+
// rational interpolation: fit a function of the form a / mu + b through the two previous
|
844
|
+
// iterates and use its zero to compute the next iterate
|
845
|
+
bool useBisection = fPrev*fCur>Literal(0);
|
846
|
+
while (fCur!=Literal(0) && abs(muCur - muPrev) > Literal(8) * NumTraits<RealScalar>::epsilon() * numext::maxi<RealScalar>(abs(muCur), abs(muPrev)) && abs(fCur - fPrev)>NumTraits<RealScalar>::epsilon() && !useBisection)
|
847
|
+
{
|
848
|
+
++m_numIters;
|
849
|
+
|
850
|
+
// Find a and b such that the function f(mu) = a / mu + b matches the current and previous samples.
|
851
|
+
RealScalar a = (fCur - fPrev) / (Literal(1)/muCur - Literal(1)/muPrev);
|
852
|
+
RealScalar b = fCur - a / muCur;
|
853
|
+
// And find mu such that f(mu)==0:
|
854
|
+
RealScalar muZero = -a/b;
|
855
|
+
RealScalar fZero = secularEq(muZero, col0, diag, perm, diagShifted, shift);
|
856
|
+
|
857
|
+
#ifdef EIGEN_BDCSVD_SANITY_CHECKS
|
858
|
+
assert((numext::isfinite)(fZero));
|
859
|
+
#endif
|
860
|
+
|
861
|
+
muPrev = muCur;
|
862
|
+
fPrev = fCur;
|
863
|
+
muCur = muZero;
|
864
|
+
fCur = fZero;
|
865
|
+
|
866
|
+
if (shift == left && (muCur < Literal(0) || muCur > right - left)) useBisection = true;
|
867
|
+
if (shift == right && (muCur < -(right - left) || muCur > Literal(0))) useBisection = true;
|
868
|
+
if (abs(fCur)>abs(fPrev)) useBisection = true;
|
869
|
+
}
|
870
|
+
|
871
|
+
// fall back on bisection method if rational interpolation did not work
|
872
|
+
if (useBisection)
|
873
|
+
{
|
874
|
+
#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
|
875
|
+
std::cout << "useBisection for k = " << k << ", actual_n = " << actual_n << "\n";
|
876
|
+
#endif
|
877
|
+
RealScalar leftShifted, rightShifted;
|
878
|
+
if (shift == left)
|
879
|
+
{
|
880
|
+
// to avoid overflow, we must have mu > max(real_min, |z(k)|/sqrt(real_max)),
|
881
|
+
// the factor 2 is to be more conservative
|
882
|
+
leftShifted = numext::maxi<RealScalar>( (std::numeric_limits<RealScalar>::min)(), Literal(2) * abs(col0(k)) / sqrt((std::numeric_limits<RealScalar>::max)()) );
|
883
|
+
|
884
|
+
// check that we did it right:
|
885
|
+
eigen_internal_assert( (numext::isfinite)( (col0(k)/leftShifted)*(col0(k)/(diag(k)+shift+leftShifted)) ) );
|
886
|
+
// I don't understand why the case k==0 would be special there:
|
887
|
+
// if (k == 0) rightShifted = right - left; else
|
888
|
+
rightShifted = (k==actual_n-1) ? right : ((right - left) * RealScalar(0.51)); // theoretically we can take 0.5, but let's be safe
|
889
|
+
}
|
890
|
+
else
|
891
|
+
{
|
892
|
+
leftShifted = -(right - left) * RealScalar(0.51);
|
893
|
+
if(k+1<n)
|
894
|
+
rightShifted = -numext::maxi<RealScalar>( (std::numeric_limits<RealScalar>::min)(), abs(col0(k+1)) / sqrt((std::numeric_limits<RealScalar>::max)()) );
|
895
|
+
else
|
896
|
+
rightShifted = -(std::numeric_limits<RealScalar>::min)();
|
897
|
+
}
|
898
|
+
|
899
|
+
RealScalar fLeft = secularEq(leftShifted, col0, diag, perm, diagShifted, shift);
|
900
|
+
eigen_internal_assert(fLeft<Literal(0));
|
901
|
+
|
902
|
+
#if defined EIGEN_INTERNAL_DEBUGGING || defined EIGEN_BDCSVD_SANITY_CHECKS
|
903
|
+
RealScalar fRight = secularEq(rightShifted, col0, diag, perm, diagShifted, shift);
|
904
|
+
#endif
|
905
|
+
|
906
|
+
#ifdef EIGEN_BDCSVD_SANITY_CHECKS
|
907
|
+
if(!(numext::isfinite)(fLeft))
|
908
|
+
std::cout << "f(" << leftShifted << ") =" << fLeft << " ; " << left << " " << shift << " " << right << "\n";
|
909
|
+
assert((numext::isfinite)(fLeft));
|
910
|
+
|
911
|
+
if(!(numext::isfinite)(fRight))
|
912
|
+
std::cout << "f(" << rightShifted << ") =" << fRight << " ; " << left << " " << shift << " " << right << "\n";
|
913
|
+
// assert((numext::isfinite)(fRight));
|
914
|
+
#endif
|
915
|
+
|
916
|
+
#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
|
917
|
+
if(!(fLeft * fRight<0))
|
918
|
+
{
|
919
|
+
std::cout << "f(leftShifted) using leftShifted=" << leftShifted << " ; diagShifted(1:10):" << diagShifted.head(10).transpose() << "\n ; "
|
920
|
+
<< "left==shift=" << bool(left==shift) << " ; left-shift = " << (left-shift) << "\n";
|
921
|
+
std::cout << "k=" << k << ", " << fLeft << " * " << fRight << " == " << fLeft * fRight << " ; "
|
922
|
+
<< "[" << left << " .. " << right << "] -> [" << leftShifted << " " << rightShifted << "], shift=" << shift
|
923
|
+
<< " , f(right)=" << secularEq(0, col0, diag, perm, diagShifted, shift)
|
924
|
+
<< " == " << secularEq(right, col0, diag, perm, diag, 0) << " == " << fRight << "\n";
|
925
|
+
}
|
926
|
+
#endif
|
927
|
+
eigen_internal_assert(fLeft * fRight < Literal(0));
|
928
|
+
|
929
|
+
if(fLeft<Literal(0))
|
930
|
+
{
|
931
|
+
while (rightShifted - leftShifted > Literal(2) * NumTraits<RealScalar>::epsilon() * numext::maxi<RealScalar>(abs(leftShifted), abs(rightShifted)))
|
932
|
+
{
|
933
|
+
RealScalar midShifted = (leftShifted + rightShifted) / Literal(2);
|
934
|
+
fMid = secularEq(midShifted, col0, diag, perm, diagShifted, shift);
|
935
|
+
eigen_internal_assert((numext::isfinite)(fMid));
|
936
|
+
|
937
|
+
if (fLeft * fMid < Literal(0))
|
938
|
+
{
|
939
|
+
rightShifted = midShifted;
|
940
|
+
}
|
941
|
+
else
|
942
|
+
{
|
943
|
+
leftShifted = midShifted;
|
944
|
+
fLeft = fMid;
|
945
|
+
}
|
946
|
+
}
|
947
|
+
muCur = (leftShifted + rightShifted) / Literal(2);
|
948
|
+
}
|
949
|
+
else
|
950
|
+
{
|
951
|
+
// We have a problem as shifting on the left or right give either a positive or negative value
|
952
|
+
// at the middle of [left,right]...
|
953
|
+
// Instead fo abbording or entering an infinite loop,
|
954
|
+
// let's just use the middle as the estimated zero-crossing:
|
955
|
+
muCur = (right - left) * RealScalar(0.5);
|
956
|
+
if(shift == right)
|
957
|
+
muCur = -muCur;
|
958
|
+
}
|
959
|
+
}
|
960
|
+
|
961
|
+
singVals[k] = shift + muCur;
|
962
|
+
shifts[k] = shift;
|
963
|
+
mus[k] = muCur;
|
964
|
+
|
965
|
+
#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
|
966
|
+
if(k+1<n)
|
967
|
+
std::cout << "found " << singVals[k] << " == " << shift << " + " << muCur << " from " << diag(k) << " .. " << diag(k+1) << "\n";
|
968
|
+
#endif
|
969
|
+
#ifdef EIGEN_BDCSVD_SANITY_CHECKS
|
970
|
+
assert(k==0 || singVals[k]>=singVals[k-1]);
|
971
|
+
assert(singVals[k]>=diag(k));
|
972
|
+
#endif
|
973
|
+
|
974
|
+
// perturb singular value slightly if it equals diagonal entry to avoid division by zero later
|
975
|
+
// (deflation is supposed to avoid this from happening)
|
976
|
+
// - this does no seem to be necessary anymore -
|
977
|
+
// if (singVals[k] == left) singVals[k] *= 1 + NumTraits<RealScalar>::epsilon();
|
978
|
+
// if (singVals[k] == right) singVals[k] *= 1 - NumTraits<RealScalar>::epsilon();
|
979
|
+
}
|
980
|
+
}
|
981
|
+
|
982
|
+
|
983
|
+
// zhat is perturbation of col0 for which singular vectors can be computed stably (see Section 3.1)
|
984
|
+
template <typename MatrixType>
|
985
|
+
void BDCSVD<MatrixType>::perturbCol0
|
986
|
+
(const ArrayRef& col0, const ArrayRef& diag, const IndicesRef &perm, const VectorType& singVals,
|
987
|
+
const ArrayRef& shifts, const ArrayRef& mus, ArrayRef zhat)
|
988
|
+
{
|
989
|
+
using std::sqrt;
|
990
|
+
Index n = col0.size();
|
991
|
+
Index m = perm.size();
|
992
|
+
if(m==0)
|
993
|
+
{
|
994
|
+
zhat.setZero();
|
995
|
+
return;
|
996
|
+
}
|
997
|
+
Index lastIdx = perm(m-1);
|
998
|
+
// The offset permits to skip deflated entries while computing zhat
|
999
|
+
for (Index k = 0; k < n; ++k)
|
1000
|
+
{
|
1001
|
+
if (col0(k) == Literal(0)) // deflated
|
1002
|
+
zhat(k) = Literal(0);
|
1003
|
+
else
|
1004
|
+
{
|
1005
|
+
// see equation (3.6)
|
1006
|
+
RealScalar dk = diag(k);
|
1007
|
+
RealScalar prod = (singVals(lastIdx) + dk) * (mus(lastIdx) + (shifts(lastIdx) - dk));
|
1008
|
+
#ifdef EIGEN_BDCSVD_SANITY_CHECKS
|
1009
|
+
if(prod<0) {
|
1010
|
+
std::cout << "k = " << k << " ; z(k)=" << col0(k) << ", diag(k)=" << dk << "\n";
|
1011
|
+
std::cout << "prod = " << "(" << singVals(lastIdx) << " + " << dk << ") * (" << mus(lastIdx) << " + (" << shifts(lastIdx) << " - " << dk << "))" << "\n";
|
1012
|
+
std::cout << " = " << singVals(lastIdx) + dk << " * " << mus(lastIdx) + (shifts(lastIdx) - dk) << "\n";
|
1013
|
+
}
|
1014
|
+
assert(prod>=0);
|
1015
|
+
#endif
|
1016
|
+
|
1017
|
+
for(Index l = 0; l<m; ++l)
|
1018
|
+
{
|
1019
|
+
Index i = perm(l);
|
1020
|
+
if(i!=k)
|
1021
|
+
{
|
1022
|
+
#ifdef EIGEN_BDCSVD_SANITY_CHECKS
|
1023
|
+
if(i>=k && (l==0 || l-1>=m))
|
1024
|
+
{
|
1025
|
+
std::cout << "Error in perturbCol0\n";
|
1026
|
+
std::cout << " " << k << "/" << n << " " << l << "/" << m << " " << i << "/" << n << " ; " << col0(k) << " " << diag(k) << " " << "\n";
|
1027
|
+
std::cout << " " <<diag(i) << "\n";
|
1028
|
+
Index j = (i<k /*|| l==0*/) ? i : perm(l-1);
|
1029
|
+
std::cout << " " << "j=" << j << "\n";
|
1030
|
+
}
|
1031
|
+
#endif
|
1032
|
+
Index j = i<k ? i : perm(l-1);
|
1033
|
+
#ifdef EIGEN_BDCSVD_SANITY_CHECKS
|
1034
|
+
if(!(dk!=Literal(0) || diag(i)!=Literal(0)))
|
1035
|
+
{
|
1036
|
+
std::cout << "k=" << k << ", i=" << i << ", l=" << l << ", perm.size()=" << perm.size() << "\n";
|
1037
|
+
}
|
1038
|
+
assert(dk!=Literal(0) || diag(i)!=Literal(0));
|
1039
|
+
#endif
|
1040
|
+
prod *= ((singVals(j)+dk) / ((diag(i)+dk))) * ((mus(j)+(shifts(j)-dk)) / ((diag(i)-dk)));
|
1041
|
+
#ifdef EIGEN_BDCSVD_SANITY_CHECKS
|
1042
|
+
assert(prod>=0);
|
1043
|
+
#endif
|
1044
|
+
#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
|
1045
|
+
if(i!=k && numext::abs(((singVals(j)+dk)*(mus(j)+(shifts(j)-dk)))/((diag(i)+dk)*(diag(i)-dk)) - 1) > 0.9 )
|
1046
|
+
std::cout << " " << ((singVals(j)+dk)*(mus(j)+(shifts(j)-dk)))/((diag(i)+dk)*(diag(i)-dk)) << " == (" << (singVals(j)+dk) << " * " << (mus(j)+(shifts(j)-dk))
|
1047
|
+
<< ") / (" << (diag(i)+dk) << " * " << (diag(i)-dk) << ")\n";
|
1048
|
+
#endif
|
1049
|
+
}
|
1050
|
+
}
|
1051
|
+
#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
|
1052
|
+
std::cout << "zhat(" << k << ") = sqrt( " << prod << ") ; " << (singVals(lastIdx) + dk) << " * " << mus(lastIdx) + shifts(lastIdx) << " - " << dk << "\n";
|
1053
|
+
#endif
|
1054
|
+
RealScalar tmp = sqrt(prod);
|
1055
|
+
#ifdef EIGEN_BDCSVD_SANITY_CHECKS
|
1056
|
+
assert((numext::isfinite)(tmp));
|
1057
|
+
#endif
|
1058
|
+
zhat(k) = col0(k) > Literal(0) ? RealScalar(tmp) : RealScalar(-tmp);
|
1059
|
+
}
|
1060
|
+
}
|
1061
|
+
}
|
1062
|
+
|
1063
|
+
// compute singular vectors
|
1064
|
+
template <typename MatrixType>
|
1065
|
+
void BDCSVD<MatrixType>::computeSingVecs
|
1066
|
+
(const ArrayRef& zhat, const ArrayRef& diag, const IndicesRef &perm, const VectorType& singVals,
|
1067
|
+
const ArrayRef& shifts, const ArrayRef& mus, MatrixXr& U, MatrixXr& V)
|
1068
|
+
{
|
1069
|
+
Index n = zhat.size();
|
1070
|
+
Index m = perm.size();
|
1071
|
+
|
1072
|
+
for (Index k = 0; k < n; ++k)
|
1073
|
+
{
|
1074
|
+
if (zhat(k) == Literal(0))
|
1075
|
+
{
|
1076
|
+
U.col(k) = VectorType::Unit(n+1, k);
|
1077
|
+
if (m_compV) V.col(k) = VectorType::Unit(n, k);
|
1078
|
+
}
|
1079
|
+
else
|
1080
|
+
{
|
1081
|
+
U.col(k).setZero();
|
1082
|
+
for(Index l=0;l<m;++l)
|
1083
|
+
{
|
1084
|
+
Index i = perm(l);
|
1085
|
+
U(i,k) = zhat(i)/(((diag(i) - shifts(k)) - mus(k)) )/( (diag(i) + singVals[k]));
|
1086
|
+
}
|
1087
|
+
U(n,k) = Literal(0);
|
1088
|
+
U.col(k).normalize();
|
1089
|
+
|
1090
|
+
if (m_compV)
|
1091
|
+
{
|
1092
|
+
V.col(k).setZero();
|
1093
|
+
for(Index l=1;l<m;++l)
|
1094
|
+
{
|
1095
|
+
Index i = perm(l);
|
1096
|
+
V(i,k) = diag(i) * zhat(i) / (((diag(i) - shifts(k)) - mus(k)) )/( (diag(i) + singVals[k]));
|
1097
|
+
}
|
1098
|
+
V(0,k) = Literal(-1);
|
1099
|
+
V.col(k).normalize();
|
1100
|
+
}
|
1101
|
+
}
|
1102
|
+
}
|
1103
|
+
U.col(n) = VectorType::Unit(n+1, n);
|
1104
|
+
}
|
1105
|
+
|
1106
|
+
|
1107
|
+
// page 12_13
|
1108
|
+
// i >= 1, di almost null and zi non null.
|
1109
|
+
// We use a rotation to zero out zi applied to the left of M
|
1110
|
+
template <typename MatrixType>
|
1111
|
+
void BDCSVD<MatrixType>::deflation43(Eigen::Index firstCol, Eigen::Index shift, Eigen::Index i, Eigen::Index size)
|
1112
|
+
{
|
1113
|
+
using std::abs;
|
1114
|
+
using std::sqrt;
|
1115
|
+
using std::pow;
|
1116
|
+
Index start = firstCol + shift;
|
1117
|
+
RealScalar c = m_computed(start, start);
|
1118
|
+
RealScalar s = m_computed(start+i, start);
|
1119
|
+
RealScalar r = numext::hypot(c,s);
|
1120
|
+
if (r == Literal(0))
|
1121
|
+
{
|
1122
|
+
m_computed(start+i, start+i) = Literal(0);
|
1123
|
+
return;
|
1124
|
+
}
|
1125
|
+
m_computed(start,start) = r;
|
1126
|
+
m_computed(start+i, start) = Literal(0);
|
1127
|
+
m_computed(start+i, start+i) = Literal(0);
|
1128
|
+
|
1129
|
+
JacobiRotation<RealScalar> J(c/r,-s/r);
|
1130
|
+
if (m_compU) m_naiveU.middleRows(firstCol, size+1).applyOnTheRight(firstCol, firstCol+i, J);
|
1131
|
+
else m_naiveU.applyOnTheRight(firstCol, firstCol+i, J);
|
1132
|
+
}// end deflation 43
|
1133
|
+
|
1134
|
+
|
1135
|
+
// page 13
|
1136
|
+
// i,j >= 1, i!=j and |di - dj| < epsilon * norm2(M)
|
1137
|
+
// We apply two rotations to have zj = 0;
|
1138
|
+
// TODO deflation44 is still broken and not properly tested
|
1139
|
+
template <typename MatrixType>
|
1140
|
+
void BDCSVD<MatrixType>::deflation44(Eigen::Index firstColu , Eigen::Index firstColm, Eigen::Index firstRowW, Eigen::Index firstColW, Eigen::Index i, Eigen::Index j, Eigen::Index size)
|
1141
|
+
{
|
1142
|
+
using std::abs;
|
1143
|
+
using std::sqrt;
|
1144
|
+
using std::conj;
|
1145
|
+
using std::pow;
|
1146
|
+
RealScalar c = m_computed(firstColm+i, firstColm);
|
1147
|
+
RealScalar s = m_computed(firstColm+j, firstColm);
|
1148
|
+
RealScalar r = sqrt(numext::abs2(c) + numext::abs2(s));
|
1149
|
+
#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
|
1150
|
+
std::cout << "deflation 4.4: " << i << "," << j << " -> " << c << " " << s << " " << r << " ; "
|
1151
|
+
<< m_computed(firstColm + i-1, firstColm) << " "
|
1152
|
+
<< m_computed(firstColm + i, firstColm) << " "
|
1153
|
+
<< m_computed(firstColm + i+1, firstColm) << " "
|
1154
|
+
<< m_computed(firstColm + i+2, firstColm) << "\n";
|
1155
|
+
std::cout << m_computed(firstColm + i-1, firstColm + i-1) << " "
|
1156
|
+
<< m_computed(firstColm + i, firstColm+i) << " "
|
1157
|
+
<< m_computed(firstColm + i+1, firstColm+i+1) << " "
|
1158
|
+
<< m_computed(firstColm + i+2, firstColm+i+2) << "\n";
|
1159
|
+
#endif
|
1160
|
+
if (r==Literal(0))
|
1161
|
+
{
|
1162
|
+
m_computed(firstColm + i, firstColm + i) = m_computed(firstColm + j, firstColm + j);
|
1163
|
+
return;
|
1164
|
+
}
|
1165
|
+
c/=r;
|
1166
|
+
s/=r;
|
1167
|
+
m_computed(firstColm + i, firstColm) = r;
|
1168
|
+
m_computed(firstColm + j, firstColm + j) = m_computed(firstColm + i, firstColm + i);
|
1169
|
+
m_computed(firstColm + j, firstColm) = Literal(0);
|
1170
|
+
|
1171
|
+
JacobiRotation<RealScalar> J(c,-s);
|
1172
|
+
if (m_compU) m_naiveU.middleRows(firstColu, size+1).applyOnTheRight(firstColu + i, firstColu + j, J);
|
1173
|
+
else m_naiveU.applyOnTheRight(firstColu+i, firstColu+j, J);
|
1174
|
+
if (m_compV) m_naiveV.middleRows(firstRowW, size).applyOnTheRight(firstColW + i, firstColW + j, J);
|
1175
|
+
}// end deflation 44
|
1176
|
+
|
1177
|
+
|
1178
|
+
// acts on block from (firstCol+shift, firstCol+shift) to (lastCol+shift, lastCol+shift) [inclusive]
|
1179
|
+
template <typename MatrixType>
|
1180
|
+
void BDCSVD<MatrixType>::deflation(Eigen::Index firstCol, Eigen::Index lastCol, Eigen::Index k, Eigen::Index firstRowW, Eigen::Index firstColW, Eigen::Index shift)
|
1181
|
+
{
|
1182
|
+
using std::sqrt;
|
1183
|
+
using std::abs;
|
1184
|
+
const Index length = lastCol + 1 - firstCol;
|
1185
|
+
|
1186
|
+
Block<MatrixXr,Dynamic,1> col0(m_computed, firstCol+shift, firstCol+shift, length, 1);
|
1187
|
+
Diagonal<MatrixXr> fulldiag(m_computed);
|
1188
|
+
VectorBlock<Diagonal<MatrixXr>,Dynamic> diag(fulldiag, firstCol+shift, length);
|
1189
|
+
|
1190
|
+
const RealScalar considerZero = (std::numeric_limits<RealScalar>::min)();
|
1191
|
+
RealScalar maxDiag = diag.tail((std::max)(Index(1),length-1)).cwiseAbs().maxCoeff();
|
1192
|
+
RealScalar epsilon_strict = numext::maxi<RealScalar>(considerZero,NumTraits<RealScalar>::epsilon() * maxDiag);
|
1193
|
+
RealScalar epsilon_coarse = Literal(8) * NumTraits<RealScalar>::epsilon() * numext::maxi<RealScalar>(col0.cwiseAbs().maxCoeff(), maxDiag);
|
1194
|
+
|
1195
|
+
#ifdef EIGEN_BDCSVD_SANITY_CHECKS
|
1196
|
+
assert(m_naiveU.allFinite());
|
1197
|
+
assert(m_naiveV.allFinite());
|
1198
|
+
assert(m_computed.allFinite());
|
1199
|
+
#endif
|
1200
|
+
|
1201
|
+
#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
|
1202
|
+
std::cout << "\ndeflate:" << diag.head(k+1).transpose() << " | " << diag.segment(k+1,length-k-1).transpose() << "\n";
|
1203
|
+
#endif
|
1204
|
+
|
1205
|
+
//condition 4.1
|
1206
|
+
if (diag(0) < epsilon_coarse)
|
1207
|
+
{
|
1208
|
+
#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
|
1209
|
+
std::cout << "deflation 4.1, because " << diag(0) << " < " << epsilon_coarse << "\n";
|
1210
|
+
#endif
|
1211
|
+
diag(0) = epsilon_coarse;
|
1212
|
+
}
|
1213
|
+
|
1214
|
+
//condition 4.2
|
1215
|
+
for (Index i=1;i<length;++i)
|
1216
|
+
if (abs(col0(i)) < epsilon_strict)
|
1217
|
+
{
|
1218
|
+
#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
|
1219
|
+
std::cout << "deflation 4.2, set z(" << i << ") to zero because " << abs(col0(i)) << " < " << epsilon_strict << " (diag(" << i << ")=" << diag(i) << ")\n";
|
1220
|
+
#endif
|
1221
|
+
col0(i) = Literal(0);
|
1222
|
+
}
|
1223
|
+
|
1224
|
+
//condition 4.3
|
1225
|
+
for (Index i=1;i<length; i++)
|
1226
|
+
if (diag(i) < epsilon_coarse)
|
1227
|
+
{
|
1228
|
+
#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
|
1229
|
+
std::cout << "deflation 4.3, cancel z(" << i << ")=" << col0(i) << " because diag(" << i << ")=" << diag(i) << " < " << epsilon_coarse << "\n";
|
1230
|
+
#endif
|
1231
|
+
deflation43(firstCol, shift, i, length);
|
1232
|
+
}
|
1233
|
+
|
1234
|
+
#ifdef EIGEN_BDCSVD_SANITY_CHECKS
|
1235
|
+
assert(m_naiveU.allFinite());
|
1236
|
+
assert(m_naiveV.allFinite());
|
1237
|
+
assert(m_computed.allFinite());
|
1238
|
+
#endif
|
1239
|
+
#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
|
1240
|
+
std::cout << "to be sorted: " << diag.transpose() << "\n\n";
|
1241
|
+
std::cout << " : " << col0.transpose() << "\n\n";
|
1242
|
+
#endif
|
1243
|
+
{
|
1244
|
+
// Check for total deflation
|
1245
|
+
// If we have a total deflation, then we have to consider col0(0)==diag(0) as a singular value during sorting
|
1246
|
+
bool total_deflation = (col0.tail(length-1).array()<considerZero).all();
|
1247
|
+
|
1248
|
+
// Sort the diagonal entries, since diag(1:k-1) and diag(k:length) are already sorted, let's do a sorted merge.
|
1249
|
+
// First, compute the respective permutation.
|
1250
|
+
Index *permutation = m_workspaceI.data();
|
1251
|
+
{
|
1252
|
+
permutation[0] = 0;
|
1253
|
+
Index p = 1;
|
1254
|
+
|
1255
|
+
// Move deflated diagonal entries at the end.
|
1256
|
+
for(Index i=1; i<length; ++i)
|
1257
|
+
if(abs(diag(i))<considerZero)
|
1258
|
+
permutation[p++] = i;
|
1259
|
+
|
1260
|
+
Index i=1, j=k+1;
|
1261
|
+
for( ; p < length; ++p)
|
1262
|
+
{
|
1263
|
+
if (i > k) permutation[p] = j++;
|
1264
|
+
else if (j >= length) permutation[p] = i++;
|
1265
|
+
else if (diag(i) < diag(j)) permutation[p] = j++;
|
1266
|
+
else permutation[p] = i++;
|
1267
|
+
}
|
1268
|
+
}
|
1269
|
+
|
1270
|
+
// If we have a total deflation, then we have to insert diag(0) at the right place
|
1271
|
+
if(total_deflation)
|
1272
|
+
{
|
1273
|
+
for(Index i=1; i<length; ++i)
|
1274
|
+
{
|
1275
|
+
Index pi = permutation[i];
|
1276
|
+
if(abs(diag(pi))<considerZero || diag(0)<diag(pi))
|
1277
|
+
permutation[i-1] = permutation[i];
|
1278
|
+
else
|
1279
|
+
{
|
1280
|
+
permutation[i-1] = 0;
|
1281
|
+
break;
|
1282
|
+
}
|
1283
|
+
}
|
1284
|
+
}
|
1285
|
+
|
1286
|
+
// Current index of each col, and current column of each index
|
1287
|
+
Index *realInd = m_workspaceI.data()+length;
|
1288
|
+
Index *realCol = m_workspaceI.data()+2*length;
|
1289
|
+
|
1290
|
+
for(int pos = 0; pos< length; pos++)
|
1291
|
+
{
|
1292
|
+
realCol[pos] = pos;
|
1293
|
+
realInd[pos] = pos;
|
1294
|
+
}
|
1295
|
+
|
1296
|
+
for(Index i = total_deflation?0:1; i < length; i++)
|
1297
|
+
{
|
1298
|
+
const Index pi = permutation[length - (total_deflation ? i+1 : i)];
|
1299
|
+
const Index J = realCol[pi];
|
1300
|
+
|
1301
|
+
using std::swap;
|
1302
|
+
// swap diagonal and first column entries:
|
1303
|
+
swap(diag(i), diag(J));
|
1304
|
+
if(i!=0 && J!=0) swap(col0(i), col0(J));
|
1305
|
+
|
1306
|
+
// change columns
|
1307
|
+
if (m_compU) m_naiveU.col(firstCol+i).segment(firstCol, length + 1).swap(m_naiveU.col(firstCol+J).segment(firstCol, length + 1));
|
1308
|
+
else m_naiveU.col(firstCol+i).segment(0, 2) .swap(m_naiveU.col(firstCol+J).segment(0, 2));
|
1309
|
+
if (m_compV) m_naiveV.col(firstColW + i).segment(firstRowW, length).swap(m_naiveV.col(firstColW + J).segment(firstRowW, length));
|
1310
|
+
|
1311
|
+
//update real pos
|
1312
|
+
const Index realI = realInd[i];
|
1313
|
+
realCol[realI] = J;
|
1314
|
+
realCol[pi] = i;
|
1315
|
+
realInd[J] = realI;
|
1316
|
+
realInd[i] = pi;
|
1317
|
+
}
|
1318
|
+
}
|
1319
|
+
#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
|
1320
|
+
std::cout << "sorted: " << diag.transpose().format(bdcsvdfmt) << "\n";
|
1321
|
+
std::cout << " : " << col0.transpose() << "\n\n";
|
1322
|
+
#endif
|
1323
|
+
|
1324
|
+
//condition 4.4
|
1325
|
+
{
|
1326
|
+
Index i = length-1;
|
1327
|
+
while(i>0 && (abs(diag(i))<considerZero || abs(col0(i))<considerZero)) --i;
|
1328
|
+
for(; i>1;--i)
|
1329
|
+
if( (diag(i) - diag(i-1)) < NumTraits<RealScalar>::epsilon()*maxDiag )
|
1330
|
+
{
|
1331
|
+
#ifdef EIGEN_BDCSVD_DEBUG_VERBOSE
|
1332
|
+
std::cout << "deflation 4.4 with i = " << i << " because " << diag(i) << " - " << diag(i-1) << " == " << (diag(i) - diag(i-1)) << " < " << NumTraits<RealScalar>::epsilon()*/*diag(i)*/maxDiag << "\n";
|
1333
|
+
#endif
|
1334
|
+
eigen_internal_assert(abs(diag(i) - diag(i-1))<epsilon_coarse && " diagonal entries are not properly sorted");
|
1335
|
+
deflation44(firstCol, firstCol + shift, firstRowW, firstColW, i-1, i, length);
|
1336
|
+
}
|
1337
|
+
}
|
1338
|
+
|
1339
|
+
#ifdef EIGEN_BDCSVD_SANITY_CHECKS
|
1340
|
+
for(Index j=2;j<length;++j)
|
1341
|
+
assert(diag(j-1)<=diag(j) || abs(diag(j))<considerZero);
|
1342
|
+
#endif
|
1343
|
+
|
1344
|
+
#ifdef EIGEN_BDCSVD_SANITY_CHECKS
|
1345
|
+
assert(m_naiveU.allFinite());
|
1346
|
+
assert(m_naiveV.allFinite());
|
1347
|
+
assert(m_computed.allFinite());
|
1348
|
+
#endif
|
1349
|
+
}//end deflation
|
1350
|
+
|
1351
|
+
/** \svd_module
|
1352
|
+
*
|
1353
|
+
* \return the singular value decomposition of \c *this computed by Divide & Conquer algorithm
|
1354
|
+
*
|
1355
|
+
* \sa class BDCSVD
|
1356
|
+
*/
|
1357
|
+
template<typename Derived>
|
1358
|
+
BDCSVD<typename MatrixBase<Derived>::PlainObject>
|
1359
|
+
MatrixBase<Derived>::bdcSvd(unsigned int computationOptions) const
|
1360
|
+
{
|
1361
|
+
return BDCSVD<PlainObject>(*this, computationOptions);
|
1362
|
+
}
|
1363
|
+
|
1364
|
+
} // end namespace Eigen
|
1365
|
+
|
1366
|
+
#endif
|