umappp 0.1.2

data/vendor/Eigen/src/SVD/JacobiSVD_LAPACKE.h

@@ -0,0 +1,91 @@
+/*
+ Copyright (c) 2011, Intel Corporation. All rights reserved.
+
+ Redistribution and use in source and binary forms, with or without modification,
+ are permitted provided that the following conditions are met:
+
+ * Redistributions of source code must retain the above copyright notice, this
+   list of conditions and the following disclaimer.
+ * Redistributions in binary form must reproduce the above copyright notice,
+   this list of conditions and the following disclaimer in the documentation
+   and/or other materials provided with the distribution.
+ * Neither the name of Intel Corporation nor the names of its contributors may
+   be used to endorse or promote products derived from this software without
+   specific prior written permission.
+
+ THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS" AND
+ ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE IMPLIED
+ WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE ARE
+ DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT OWNER OR CONTRIBUTORS BE LIABLE FOR
+ ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES
+ (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES;
+ LOSS OF USE, DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON
+ ANY THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
+ (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS
+ SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
+
+ ********************************************************************************
+ *   Content : Eigen bindings to LAPACKe
+ *    Singular Value Decomposition - SVD.
+ ********************************************************************************
+*/
+
+#ifndef EIGEN_JACOBISVD_LAPACKE_H
+#define EIGEN_JACOBISVD_LAPACKE_H
+
+namespace Eigen { 
+
+/** \internal Specialization for the data types supported by LAPACKe */
+
+#define EIGEN_LAPACKE_SVD(EIGTYPE, LAPACKE_TYPE, LAPACKE_RTYPE, LAPACKE_PREFIX, EIGCOLROW, LAPACKE_COLROW) \
+template<> inline \
+JacobiSVD<Matrix<EIGTYPE, Dynamic, Dynamic, EIGCOLROW, Dynamic, Dynamic>, ColPivHouseholderQRPreconditioner>& \
+JacobiSVD<Matrix<EIGTYPE, Dynamic, Dynamic, EIGCOLROW, Dynamic, Dynamic>, ColPivHouseholderQRPreconditioner>::compute(const Matrix<EIGTYPE, Dynamic, Dynamic, EIGCOLROW, Dynamic, Dynamic>& matrix, unsigned int computationOptions) \
+{ \
+  typedef Matrix<EIGTYPE, Dynamic, Dynamic, EIGCOLROW, Dynamic, Dynamic> MatrixType; \
+  /*typedef MatrixType::Scalar Scalar;*/ \
+  /*typedef MatrixType::RealScalar RealScalar;*/ \
+  allocate(matrix.rows(), matrix.cols(), computationOptions); \
+\
+  /*const RealScalar precision = RealScalar(2) * NumTraits<Scalar>::epsilon();*/ \
+  m_nonzeroSingularValues = m_diagSize; \
+\
+  lapack_int lda = internal::convert_index<lapack_int>(matrix.outerStride()), ldu, ldvt; \
+  lapack_int matrix_order = LAPACKE_COLROW; \
+  char jobu, jobvt; \
+  LAPACKE_TYPE *u, *vt, dummy; \
+  jobu  = (m_computeFullU) ? 'A' : (m_computeThinU) ? 'S' : 'N'; \
+  jobvt = (m_computeFullV) ? 'A' : (m_computeThinV) ? 'S' : 'N'; \
+  if (computeU()) { \
+    ldu  = internal::convert_index<lapack_int>(m_matrixU.outerStride()); \
+    u    = (LAPACKE_TYPE*)m_matrixU.data(); \
+  } else { ldu=1; u=&dummy; }\
+  MatrixType localV; \
+  lapack_int vt_rows = (m_computeFullV) ? internal::convert_index<lapack_int>(m_cols) : (m_computeThinV) ? internal::convert_index<lapack_int>(m_diagSize) : 1; \
+  if (computeV()) { \
+    localV.resize(vt_rows, m_cols); \
+    ldvt  = internal::convert_index<lapack_int>(localV.outerStride()); \
+    vt   = (LAPACKE_TYPE*)localV.data(); \
+  } else { ldvt=1; vt=&dummy; }\
+  Matrix<LAPACKE_RTYPE, Dynamic, Dynamic> superb; superb.resize(m_diagSize, 1); \
+  MatrixType m_temp; m_temp = matrix; \
+  LAPACKE_##LAPACKE_PREFIX##gesvd( matrix_order, jobu, jobvt, internal::convert_index<lapack_int>(m_rows), internal::convert_index<lapack_int>(m_cols), (LAPACKE_TYPE*)m_temp.data(), lda, (LAPACKE_RTYPE*)m_singularValues.data(), u, ldu, vt, ldvt, superb.data()); \
+  if (computeV()) m_matrixV = localV.adjoint(); \
+ /* for(int i=0;i<m_diagSize;i++) if (m_singularValues.coeffRef(i) < precision) { m_nonzeroSingularValues--; m_singularValues.coeffRef(i)=RealScalar(0);}*/ \
+  m_isInitialized = true; \
+  return *this; \
+}
+
+EIGEN_LAPACKE_SVD(double,   double,                double, d, ColMajor, LAPACK_COL_MAJOR)
+EIGEN_LAPACKE_SVD(float,    float,                 float , s, ColMajor, LAPACK_COL_MAJOR)
+EIGEN_LAPACKE_SVD(dcomplex, lapack_complex_double, double, z, ColMajor, LAPACK_COL_MAJOR)
+EIGEN_LAPACKE_SVD(scomplex, lapack_complex_float,  float , c, ColMajor, LAPACK_COL_MAJOR)
+
+EIGEN_LAPACKE_SVD(double,   double,                double, d, RowMajor, LAPACK_ROW_MAJOR)
+EIGEN_LAPACKE_SVD(float,    float,                 float , s, RowMajor, LAPACK_ROW_MAJOR)
+EIGEN_LAPACKE_SVD(dcomplex, lapack_complex_double, double, z, RowMajor, LAPACK_ROW_MAJOR)
+EIGEN_LAPACKE_SVD(scomplex, lapack_complex_float,  float , c, RowMajor, LAPACK_ROW_MAJOR)
+
+} // end namespace Eigen
+
+#endif // EIGEN_JACOBISVD_LAPACKE_H

data/vendor/Eigen/src/SVD/SVDBase.h

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+// This file is part of Eigen, a lightweight C++ template library
+// for linear algebra.
+//
+// Copyright (C) 2009-2010 Benoit Jacob <jacob.benoit.1@gmail.com>
+// Copyright (C) 2014 Gael Guennebaud <gael.guennebaud@inria.fr>
+//
+// Copyright (C) 2013 Gauthier Brun <brun.gauthier@gmail.com>
+// Copyright (C) 2013 Nicolas Carre <nicolas.carre@ensimag.fr>
+// Copyright (C) 2013 Jean Ceccato <jean.ceccato@ensimag.fr>
+// Copyright (C) 2013 Pierre Zoppitelli <pierre.zoppitelli@ensimag.fr>
+//
+// This Source Code Form is subject to the terms of the Mozilla
+// Public License v. 2.0. If a copy of the MPL was not distributed
+// with this file, You can obtain one at http://mozilla.org/MPL/2.0/.
+
+#ifndef EIGEN_SVDBASE_H
+#define EIGEN_SVDBASE_H
+
+namespace Eigen {
+
+namespace internal {
+template<typename Derived> struct traits<SVDBase<Derived> >
+ : traits<Derived>
+{
+  typedef MatrixXpr XprKind;
+  typedef SolverStorage StorageKind;
+  typedef int StorageIndex;
+  enum { Flags = 0 };
+};
+}
+
+/** \ingroup SVD_Module
+ *
+ *
+ * \class SVDBase
+ *
+ * \brief Base class of SVD algorithms
+ *
+ * \tparam Derived the type of the actual SVD decomposition
+ *
+ * SVD decomposition consists in decomposing any n-by-p matrix \a A as a product
+ *   \f[ A = U S V^* \f]
+ * where \a U is a n-by-n unitary, \a V is a p-by-p unitary, and \a S is a n-by-p real positive matrix which is zero outside of its main diagonal;
+ * the diagonal entries of S are known as the \em singular \em values of \a A and the columns of \a U and \a V are known as the left
+ * and right \em singular \em vectors of \a A respectively.
+ *
+ * Singular values are always sorted in decreasing order.
+ *
+ * 
+ * You can ask for only \em thin \a U or \a V to be computed, meaning the following. In case of a rectangular n-by-p matrix, letting \a m be the
+ * smaller value among \a n and \a p, there are only \a m singular vectors; the remaining columns of \a U and \a V do not correspond to actual
+ * singular vectors. Asking for \em thin \a U or \a V means asking for only their \a m first columns to be formed. So \a U is then a n-by-m matrix,
+ * and \a V is then a p-by-m matrix. Notice that thin \a U and \a V are all you need for (least squares) solving.
+ * 
+ * The status of the computation can be retrived using the \a info() method. Unless \a info() returns \a Success, the results should be not
+ * considered well defined.
+ *  
+ * If the input matrix has inf or nan coefficients, the result of the computation is undefined, and \a info() will return \a InvalidInput, but the computation is guaranteed to
+ * terminate in finite (and reasonable) time.
+ * \sa class BDCSVD, class JacobiSVD
+ */
+template<typename Derived> class SVDBase
+ : public SolverBase<SVDBase<Derived> >
+{
+public: 
+   
+  template<typename Derived_>
+  friend struct internal::solve_assertion;
+
+  typedef typename internal::traits<Derived>::MatrixType MatrixType;
+  typedef typename MatrixType::Scalar Scalar;
+  typedef typename NumTraits<typename MatrixType::Scalar>::Real RealScalar;
+  typedef typename Eigen::internal::traits<SVDBase>::StorageIndex StorageIndex;
+  typedef Eigen::Index Index; ///< \deprecated since Eigen 3.3
+  enum {
+    RowsAtCompileTime = MatrixType::RowsAtCompileTime,
+    ColsAtCompileTime = MatrixType::ColsAtCompileTime,
+    DiagSizeAtCompileTime = EIGEN_SIZE_MIN_PREFER_DYNAMIC(RowsAtCompileTime,ColsAtCompileTime),
+    MaxRowsAtCompileTime = MatrixType::MaxRowsAtCompileTime,
+    MaxColsAtCompileTime = MatrixType::MaxColsAtCompileTime,
+    MaxDiagSizeAtCompileTime = EIGEN_SIZE_MIN_PREFER_FIXED(MaxRowsAtCompileTime,MaxColsAtCompileTime),
+    MatrixOptions = MatrixType::Options
+  };
+
+  typedef Matrix<Scalar, RowsAtCompileTime, RowsAtCompileTime, MatrixOptions, MaxRowsAtCompileTime, MaxRowsAtCompileTime> MatrixUType;
+  typedef Matrix<Scalar, ColsAtCompileTime, ColsAtCompileTime, MatrixOptions, MaxColsAtCompileTime, MaxColsAtCompileTime> MatrixVType;
+  typedef typename internal::plain_diag_type<MatrixType, RealScalar>::type SingularValuesType;
+  
+  Derived& derived() { return *static_cast<Derived*>(this); }
+  const Derived& derived() const { return *static_cast<const Derived*>(this); }
+
+  /** \returns the \a U matrix.
+   *
+   * For the SVD decomposition of a n-by-p matrix, letting \a m be the minimum of \a n and \a p,
+   * the U matrix is n-by-n if you asked for \link Eigen::ComputeFullU ComputeFullU \endlink, and is n-by-m if you asked for \link Eigen::ComputeThinU ComputeThinU \endlink.
+   *
+   * The \a m first columns of \a U are the left singular vectors of the matrix being decomposed.
+   *
+   * This method asserts that you asked for \a U to be computed.
+   */
+  const MatrixUType& matrixU() const
+  {
+    _check_compute_assertions();
+    eigen_assert(computeU() && "This SVD decomposition didn't compute U. Did you ask for it?");
+    return m_matrixU;
+  }
+
+  /** \returns the \a V matrix.
+   *
+   * For the SVD decomposition of a n-by-p matrix, letting \a m be the minimum of \a n and \a p,
+   * the V matrix is p-by-p if you asked for \link Eigen::ComputeFullV ComputeFullV \endlink, and is p-by-m if you asked for \link Eigen::ComputeThinV ComputeThinV \endlink.
+   *
+   * The \a m first columns of \a V are the right singular vectors of the matrix being decomposed.
+   *
+   * This method asserts that you asked for \a V to be computed.
+   */
+  const MatrixVType& matrixV() const
+  {
+    _check_compute_assertions();
+    eigen_assert(computeV() && "This SVD decomposition didn't compute V. Did you ask for it?");
+    return m_matrixV;
+  }
+
+  /** \returns the vector of singular values.
+   *
+   * For the SVD decomposition of a n-by-p matrix, letting \a m be the minimum of \a n and \a p, the
+   * returned vector has size \a m.  Singular values are always sorted in decreasing order.
+   */
+  const SingularValuesType& singularValues() const
+  {
+    _check_compute_assertions();
+    return m_singularValues;
+  }
+
+  /** \returns the number of singular values that are not exactly 0 */
+  Index nonzeroSingularValues() const
+  {
+    _check_compute_assertions();
+    return m_nonzeroSingularValues;
+  }
+  
+  /** \returns the rank of the matrix of which \c *this is the SVD.
+    *
+    * \note This method has to determine which singular values should be considered nonzero.
+    *       For that, it uses the threshold value that you can control by calling
+    *       setThreshold(const RealScalar&).
+    */
+  inline Index rank() const
+  {
+    using std::abs;
+    _check_compute_assertions();
+    if(m_singularValues.size()==0) return 0;
+    RealScalar premultiplied_threshold = numext::maxi<RealScalar>(m_singularValues.coeff(0) * threshold(), (std::numeric_limits<RealScalar>::min)());
+    Index i = m_nonzeroSingularValues-1;
+    while(i>=0 && m_singularValues.coeff(i) < premultiplied_threshold) --i;
+    return i+1;
+  }
+  
+  /** Allows to prescribe a threshold to be used by certain methods, such as rank() and solve(),
+    * which need to determine when singular values are to be considered nonzero.
+    * This is not used for the SVD decomposition itself.
+    *
+    * When it needs to get the threshold value, Eigen calls threshold().
+    * The default is \c NumTraits<Scalar>::epsilon()
+    *
+    * \param threshold The new value to use as the threshold.
+    *
+    * A singular value will be considered nonzero if its value is strictly greater than
+    *  \f$ \vert singular value \vert \leqslant threshold \times \vert max singular value \vert \f$.
+    *
+    * If you want to come back to the default behavior, call setThreshold(Default_t)
+    */
+  Derived& setThreshold(const RealScalar& threshold)
+  {
+    m_usePrescribedThreshold = true;
+    m_prescribedThreshold = threshold;
+    return derived();
+  }
+
+  /** Allows to come back to the default behavior, letting Eigen use its default formula for
+    * determining the threshold.
+    *
+    * You should pass the special object Eigen::Default as parameter here.
+    * \code svd.setThreshold(Eigen::Default); \endcode
+    *
+    * See the documentation of setThreshold(const RealScalar&).
+    */
+  Derived& setThreshold(Default_t)
+  {
+    m_usePrescribedThreshold = false;
+    return derived();
+  }
+
+  /** Returns the threshold that will be used by certain methods such as rank().
+    *
+    * See the documentation of setThreshold(const RealScalar&).
+    */
+  RealScalar threshold() const
+  {
+    eigen_assert(m_isInitialized || m_usePrescribedThreshold);
+    // this temporary is needed to workaround a MSVC issue
+    Index diagSize = (std::max<Index>)(1,m_diagSize);
+    return m_usePrescribedThreshold ? m_prescribedThreshold
+                                    : RealScalar(diagSize)*NumTraits<Scalar>::epsilon();
+  }
+
+  /** \returns true if \a U (full or thin) is asked for in this SVD decomposition */
+  inline bool computeU() const { return m_computeFullU || m_computeThinU; }
+  /** \returns true if \a V (full or thin) is asked for in this SVD decomposition */
+  inline bool computeV() const { return m_computeFullV || m_computeThinV; }
+
+  inline Index rows() const { return m_rows; }
+  inline Index cols() const { return m_cols; }
+  
+  #ifdef EIGEN_PARSED_BY_DOXYGEN
+  /** \returns a (least squares) solution of \f$ A x = b \f$ using the current SVD decomposition of A.
+    *
+    * \param b the right-hand-side of the equation to solve.
+    *
+    * \note Solving requires both U and V to be computed. Thin U and V are enough, there is no need for full U or V.
+    *
+    * \note SVD solving is implicitly least-squares. Thus, this method serves both purposes of exact solving and least-squares solving.
+    * In other words, the returned solution is guaranteed to minimize the Euclidean norm \f$ \Vert A x - b \Vert \f$.
+    */
+  template<typename Rhs>
+  inline const Solve<Derived, Rhs>
+  solve(const MatrixBase<Rhs>& b) const;
+  #endif
+
+
+  /** \brief Reports whether previous computation was successful.
+   *
+   * \returns \c Success if computation was successful.
+   */
+  EIGEN_DEVICE_FUNC
+  ComputationInfo info() const
+  {
+    eigen_assert(m_isInitialized && "SVD is not initialized.");
+    return m_info;
+  }
+
+  #ifndef EIGEN_PARSED_BY_DOXYGEN
+  template<typename RhsType, typename DstType>
+  void _solve_impl(const RhsType &rhs, DstType &dst) const;
+
+  template<bool Conjugate, typename RhsType, typename DstType>
+  void _solve_impl_transposed(const RhsType &rhs, DstType &dst) const;
+  #endif
+
+protected:
+
+  static void check_template_parameters()
+  {
+    EIGEN_STATIC_ASSERT_NON_INTEGER(Scalar);
+  }
+
+  void _check_compute_assertions() const {
+    eigen_assert(m_isInitialized && "SVD is not initialized.");
+  }
+
+  template<bool Transpose_, typename Rhs>
+  void _check_solve_assertion(const Rhs& b) const {
+      EIGEN_ONLY_USED_FOR_DEBUG(b);
+      _check_compute_assertions();
+      eigen_assert(computeU() && computeV() && "SVDBase::solve(): Both unitaries U and V are required to be computed (thin unitaries suffice).");
+      eigen_assert((Transpose_?cols():rows())==b.rows() && "SVDBase::solve(): invalid number of rows of the right hand side matrix b");
+  }
+
+  // return true if already allocated
+  bool allocate(Index rows, Index cols, unsigned int computationOptions) ;
+
+  MatrixUType m_matrixU;
+  MatrixVType m_matrixV;
+  SingularValuesType m_singularValues;
+  ComputationInfo m_info;
+  bool m_isInitialized, m_isAllocated, m_usePrescribedThreshold;
+  bool m_computeFullU, m_computeThinU;
+  bool m_computeFullV, m_computeThinV;
+  unsigned int m_computationOptions;
+  Index m_nonzeroSingularValues, m_rows, m_cols, m_diagSize;
+  RealScalar m_prescribedThreshold;
+
+  /** \brief Default Constructor.
+   *
+   * Default constructor of SVDBase
+   */
+  SVDBase()
+    : m_info(Success),
+      m_isInitialized(false),
+      m_isAllocated(false),
+      m_usePrescribedThreshold(false),
+      m_computeFullU(false),
+      m_computeThinU(false),
+      m_computeFullV(false),
+      m_computeThinV(false),
+      m_computationOptions(0),
+      m_rows(-1), m_cols(-1), m_diagSize(0)
+  {
+    check_template_parameters();
+  }
+
+
+};
+
+#ifndef EIGEN_PARSED_BY_DOXYGEN
+template<typename Derived>
+template<typename RhsType, typename DstType>
+void SVDBase<Derived>::_solve_impl(const RhsType &rhs, DstType &dst) const
+{
+  // A = U S V^*
+  // So A^{-1} = V S^{-1} U^*
+
+  Matrix<typename RhsType::Scalar, Dynamic, RhsType::ColsAtCompileTime, 0, MatrixType::MaxRowsAtCompileTime, RhsType::MaxColsAtCompileTime> tmp;
+  Index l_rank = rank();
+  tmp.noalias() =  m_matrixU.leftCols(l_rank).adjoint() * rhs;
+  tmp = m_singularValues.head(l_rank).asDiagonal().inverse() * tmp;
+  dst = m_matrixV.leftCols(l_rank) * tmp;
+}
+
+template<typename Derived>
+template<bool Conjugate, typename RhsType, typename DstType>
+void SVDBase<Derived>::_solve_impl_transposed(const RhsType &rhs, DstType &dst) const
+{
+  // A = U S V^*
+  // So  A^{-*} = U S^{-1} V^*
+  // And A^{-T} = U_conj S^{-1} V^T
+  Matrix<typename RhsType::Scalar, Dynamic, RhsType::ColsAtCompileTime, 0, MatrixType::MaxRowsAtCompileTime, RhsType::MaxColsAtCompileTime> tmp;
+  Index l_rank = rank();
+
+  tmp.noalias() =  m_matrixV.leftCols(l_rank).transpose().template conjugateIf<Conjugate>() * rhs;
+  tmp = m_singularValues.head(l_rank).asDiagonal().inverse() * tmp;
+  dst = m_matrixU.template conjugateIf<!Conjugate>().leftCols(l_rank) * tmp;
+}
+#endif
+
+template<typename MatrixType>
+bool SVDBase<MatrixType>::allocate(Index rows, Index cols, unsigned int computationOptions)
+{
+  eigen_assert(rows >= 0 && cols >= 0);
+
+  if (m_isAllocated &&
+      rows == m_rows &&
+      cols == m_cols &&
+      computationOptions == m_computationOptions)
+  {
+    return true;
+  }
+
+  m_rows = rows;
+  m_cols = cols;
+  m_info = Success;
+  m_isInitialized = false;
+  m_isAllocated = true;
+  m_computationOptions = computationOptions;
+  m_computeFullU = (computationOptions & ComputeFullU) != 0;
+  m_computeThinU = (computationOptions & ComputeThinU) != 0;
+  m_computeFullV = (computationOptions & ComputeFullV) != 0;
+  m_computeThinV = (computationOptions & ComputeThinV) != 0;
+  eigen_assert(!(m_computeFullU && m_computeThinU) && "SVDBase: you can't ask for both full and thin U");
+  eigen_assert(!(m_computeFullV && m_computeThinV) && "SVDBase: you can't ask for both full and thin V");
+  eigen_assert(EIGEN_IMPLIES(m_computeThinU || m_computeThinV, MatrixType::ColsAtCompileTime==Dynamic) &&
+	       "SVDBase: thin U and V are only available when your matrix has a dynamic number of columns.");
+
+  m_diagSize = (std::min)(m_rows, m_cols);
+  m_singularValues.resize(m_diagSize);
+  if(RowsAtCompileTime==Dynamic)
+    m_matrixU.resize(m_rows, m_computeFullU ? m_rows : m_computeThinU ? m_diagSize : 0);
+  if(ColsAtCompileTime==Dynamic)
+    m_matrixV.resize(m_cols, m_computeFullV ? m_cols : m_computeThinV ? m_diagSize : 0);
+
+  return false;
+}
+
+}// end namespace
+
+#endif // EIGEN_SVDBASE_H