casadi 3.6.0__cp39-none-manylinux2014_x86_64.whl

casadi/include/eigen3/Eigen/src/Eigenvalues/GeneralizedEigenSolver.h

@@ -0,0 +1,418 @@
+// This file is part of Eigen, a lightweight C++ template library
+// for linear algebra.
+//
+// Copyright (C) 2012-2016 Gael Guennebaud <gael.guennebaud@inria.fr>
+// Copyright (C) 2010,2012 Jitse Niesen <jitse@maths.leeds.ac.uk>
+// Copyright (C) 2016 Tobias Wood <tobias@spinicist.org.uk>
+//
+// This Source Code Form is subject to the terms of the Mozilla
+// Public License v. 2.0. If a copy of the MPL was not distributed
+// with this file, You can obtain one at http://mozilla.org/MPL/2.0/.
+
+#ifndef EIGEN_GENERALIZEDEIGENSOLVER_H
+#define EIGEN_GENERALIZEDEIGENSOLVER_H
+
+#include "./RealQZ.h"
+
+namespace Eigen { 
+
+/** \eigenvalues_module \ingroup Eigenvalues_Module
+  *
+  *
+  * \class GeneralizedEigenSolver
+  *
+  * \brief Computes the generalized eigenvalues and eigenvectors of a pair of general matrices
+  *
+  * \tparam _MatrixType the type of the matrices of which we are computing the
+  * eigen-decomposition; this is expected to be an instantiation of the Matrix
+  * class template. Currently, only real matrices are supported.
+  *
+  * The generalized eigenvalues and eigenvectors of a matrix pair \f$ A \f$ and \f$ B \f$ are scalars
+  * \f$ \lambda \f$ and vectors \f$ v \f$ such that \f$ Av = \lambda Bv \f$.  If
+  * \f$ D \f$ is a diagonal matrix with the eigenvalues on the diagonal, and
+  * \f$ V \f$ is a matrix with the eigenvectors as its columns, then \f$ A V =
+  * B V D \f$. The matrix \f$ V \f$ is almost always invertible, in which case we
+  * have \f$ A = B V D V^{-1} \f$. This is called the generalized eigen-decomposition.
+  *
+  * The generalized eigenvalues and eigenvectors of a matrix pair may be complex, even when the
+  * matrices are real. Moreover, the generalized eigenvalue might be infinite if the matrix B is
+  * singular. To workaround this difficulty, the eigenvalues are provided as a pair of complex \f$ \alpha \f$
+  * and real \f$ \beta \f$ such that: \f$ \lambda_i = \alpha_i / \beta_i \f$. If \f$ \beta_i \f$ is (nearly) zero,
+  * then one can consider the well defined left eigenvalue \f$ \mu = \beta_i / \alpha_i\f$ such that:
+  * \f$ \mu_i A v_i = B v_i \f$, or even \f$ \mu_i u_i^T A  = u_i^T B \f$ where \f$ u_i \f$ is
+  * called the left eigenvector.
+  *
+  * Call the function compute() to compute the generalized eigenvalues and eigenvectors of
+  * a given matrix pair. Alternatively, you can use the
+  * GeneralizedEigenSolver(const MatrixType&, const MatrixType&, bool) constructor which computes the
+  * eigenvalues and eigenvectors at construction time. Once the eigenvalue and
+  * eigenvectors are computed, they can be retrieved with the eigenvalues() and
+  * eigenvectors() functions.
+  *
+  * Here is an usage example of this class:
+  * Example: \include GeneralizedEigenSolver.cpp
+  * Output: \verbinclude GeneralizedEigenSolver.out
+  *
+  * \sa MatrixBase::eigenvalues(), class ComplexEigenSolver, class SelfAdjointEigenSolver
+  */
+template<typename _MatrixType> class GeneralizedEigenSolver
+{
+  public:
+
+    /** \brief Synonym for the template parameter \p _MatrixType. */
+    typedef _MatrixType MatrixType;
+
+    enum {
+      RowsAtCompileTime = MatrixType::RowsAtCompileTime,
+      ColsAtCompileTime = MatrixType::ColsAtCompileTime,
+      Options = MatrixType::Options,
+      MaxRowsAtCompileTime = MatrixType::MaxRowsAtCompileTime,
+      MaxColsAtCompileTime = MatrixType::MaxColsAtCompileTime
+    };
+
+    /** \brief Scalar type for matrices of type #MatrixType. */
+    typedef typename MatrixType::Scalar Scalar;
+    typedef typename NumTraits<Scalar>::Real RealScalar;
+    typedef Eigen::Index Index; ///< \deprecated since Eigen 3.3
+
+    /** \brief Complex scalar type for #MatrixType. 
+      *
+      * This is \c std::complex<Scalar> if #Scalar is real (e.g.,
+      * \c float or \c double) and just \c Scalar if #Scalar is
+      * complex.
+      */
+    typedef std::complex<RealScalar> ComplexScalar;
+
+    /** \brief Type for vector of real scalar values eigenvalues as returned by betas().
+      *
+      * This is a column vector with entries of type #Scalar.
+      * The length of the vector is the size of #MatrixType.
+      */
+    typedef Matrix<Scalar, ColsAtCompileTime, 1, Options & ~RowMajor, MaxColsAtCompileTime, 1> VectorType;
+
+    /** \brief Type for vector of complex scalar values eigenvalues as returned by alphas().
+      *
+      * This is a column vector with entries of type #ComplexScalar.
+      * The length of the vector is the size of #MatrixType.
+      */
+    typedef Matrix<ComplexScalar, ColsAtCompileTime, 1, Options & ~RowMajor, MaxColsAtCompileTime, 1> ComplexVectorType;
+
+    /** \brief Expression type for the eigenvalues as returned by eigenvalues().
+      */
+    typedef CwiseBinaryOp<internal::scalar_quotient_op<ComplexScalar,Scalar>,ComplexVectorType,VectorType> EigenvalueType;
+
+    /** \brief Type for matrix of eigenvectors as returned by eigenvectors(). 
+      *
+      * This is a square matrix with entries of type #ComplexScalar. 
+      * The size is the same as the size of #MatrixType.
+      */
+    typedef Matrix<ComplexScalar, RowsAtCompileTime, ColsAtCompileTime, Options, MaxRowsAtCompileTime, MaxColsAtCompileTime> EigenvectorsType;
+
+    /** \brief Default constructor.
+      *
+      * The default constructor is useful in cases in which the user intends to
+      * perform decompositions via EigenSolver::compute(const MatrixType&, bool).
+      *
+      * \sa compute() for an example.
+      */
+    GeneralizedEigenSolver()
+      : m_eivec(),
+        m_alphas(),
+        m_betas(),
+        m_valuesOkay(false),
+        m_vectorsOkay(false),
+        m_realQZ()
+    {}
+
+    /** \brief Default constructor with memory preallocation
+      *
+      * Like the default constructor but with preallocation of the internal data
+      * according to the specified problem \a size.
+      * \sa GeneralizedEigenSolver()
+      */
+    explicit GeneralizedEigenSolver(Index size)
+      : m_eivec(size, size),
+        m_alphas(size),
+        m_betas(size),
+        m_valuesOkay(false),
+        m_vectorsOkay(false),
+        m_realQZ(size),
+        m_tmp(size)
+    {}
+
+    /** \brief Constructor; computes the generalized eigendecomposition of given matrix pair.
+      * 
+      * \param[in]  A  Square matrix whose eigendecomposition is to be computed.
+      * \param[in]  B  Square matrix whose eigendecomposition is to be computed.
+      * \param[in]  computeEigenvectors  If true, both the eigenvectors and the
+      *    eigenvalues are computed; if false, only the eigenvalues are computed.
+      *
+      * This constructor calls compute() to compute the generalized eigenvalues
+      * and eigenvectors.
+      *
+      * \sa compute()
+      */
+    GeneralizedEigenSolver(const MatrixType& A, const MatrixType& B, bool computeEigenvectors = true)
+      : m_eivec(A.rows(), A.cols()),
+        m_alphas(A.cols()),
+        m_betas(A.cols()),
+        m_valuesOkay(false),
+        m_vectorsOkay(false),
+        m_realQZ(A.cols()),
+        m_tmp(A.cols())
+    {
+      compute(A, B, computeEigenvectors);
+    }
+
+    /* \brief Returns the computed generalized eigenvectors.
+      *
+      * \returns  %Matrix whose columns are the (possibly complex) right eigenvectors.
+      * i.e. the eigenvectors that solve (A - l*B)x = 0. The ordering matches the eigenvalues.
+      *
+      * \pre Either the constructor 
+      * GeneralizedEigenSolver(const MatrixType&,const MatrixType&, bool) or the member function
+      * compute(const MatrixType&, const MatrixType& bool) has been called before, and
+      * \p computeEigenvectors was set to true (the default).
+      *
+      * \sa eigenvalues()
+      */
+    EigenvectorsType eigenvectors() const {
+      eigen_assert(m_vectorsOkay && "Eigenvectors for GeneralizedEigenSolver were not calculated.");
+      return m_eivec;
+    }
+
+    /** \brief Returns an expression of the computed generalized eigenvalues.
+      *
+      * \returns An expression of the column vector containing the eigenvalues.
+      *
+      * It is a shortcut for \code this->alphas().cwiseQuotient(this->betas()); \endcode
+      * Not that betas might contain zeros. It is therefore not recommended to use this function,
+      * but rather directly deal with the alphas and betas vectors.
+      *
+      * \pre Either the constructor 
+      * GeneralizedEigenSolver(const MatrixType&,const MatrixType&,bool) or the member function
+      * compute(const MatrixType&,const MatrixType&,bool) has been called before.
+      *
+      * The eigenvalues are repeated according to their algebraic multiplicity,
+      * so there are as many eigenvalues as rows in the matrix. The eigenvalues 
+      * are not sorted in any particular order.
+      *
+      * \sa alphas(), betas(), eigenvectors()
+      */
+    EigenvalueType eigenvalues() const
+    {
+      eigen_assert(m_valuesOkay && "GeneralizedEigenSolver is not initialized.");
+      return EigenvalueType(m_alphas,m_betas);
+    }
+
+    /** \returns A const reference to the vectors containing the alpha values
+      *
+      * This vector permits to reconstruct the j-th eigenvalues as alphas(i)/betas(j).
+      *
+      * \sa betas(), eigenvalues() */
+    ComplexVectorType alphas() const
+    {
+      eigen_assert(m_valuesOkay && "GeneralizedEigenSolver is not initialized.");
+      return m_alphas;
+    }
+
+    /** \returns A const reference to the vectors containing the beta values
+      *
+      * This vector permits to reconstruct the j-th eigenvalues as alphas(i)/betas(j).
+      *
+      * \sa alphas(), eigenvalues() */
+    VectorType betas() const
+    {
+      eigen_assert(m_valuesOkay && "GeneralizedEigenSolver is not initialized.");
+      return m_betas;
+    }
+
+    /** \brief Computes generalized eigendecomposition of given matrix.
+      * 
+      * \param[in]  A  Square matrix whose eigendecomposition is to be computed.
+      * \param[in]  B  Square matrix whose eigendecomposition is to be computed.
+      * \param[in]  computeEigenvectors  If true, both the eigenvectors and the
+      *    eigenvalues are computed; if false, only the eigenvalues are
+      *    computed. 
+      * \returns    Reference to \c *this
+      *
+      * This function computes the eigenvalues of the real matrix \p matrix.
+      * The eigenvalues() function can be used to retrieve them.  If 
+      * \p computeEigenvectors is true, then the eigenvectors are also computed
+      * and can be retrieved by calling eigenvectors().
+      *
+      * The matrix is first reduced to real generalized Schur form using the RealQZ
+      * class. The generalized Schur decomposition is then used to compute the eigenvalues
+      * and eigenvectors.
+      *
+      * The cost of the computation is dominated by the cost of the
+      * generalized Schur decomposition.
+      *
+      * This method reuses of the allocated data in the GeneralizedEigenSolver object.
+      */
+    GeneralizedEigenSolver& compute(const MatrixType& A, const MatrixType& B, bool computeEigenvectors = true);
+
+    ComputationInfo info() const
+    {
+      eigen_assert(m_valuesOkay && "EigenSolver is not initialized.");
+      return m_realQZ.info();
+    }
+
+    /** Sets the maximal number of iterations allowed.
+    */
+    GeneralizedEigenSolver& setMaxIterations(Index maxIters)
+    {
+      m_realQZ.setMaxIterations(maxIters);
+      return *this;
+    }
+
+  protected:
+    
+    static void check_template_parameters()
+    {
+      EIGEN_STATIC_ASSERT_NON_INTEGER(Scalar);
+      EIGEN_STATIC_ASSERT(!NumTraits<Scalar>::IsComplex, NUMERIC_TYPE_MUST_BE_REAL);
+    }
+    
+    EigenvectorsType m_eivec;
+    ComplexVectorType m_alphas;
+    VectorType m_betas;
+    bool m_valuesOkay, m_vectorsOkay;
+    RealQZ<MatrixType> m_realQZ;
+    ComplexVectorType m_tmp;
+};
+
+template<typename MatrixType>
+GeneralizedEigenSolver<MatrixType>&
+GeneralizedEigenSolver<MatrixType>::compute(const MatrixType& A, const MatrixType& B, bool computeEigenvectors)
+{
+  check_template_parameters();
+  
+  using std::sqrt;
+  using std::abs;
+  eigen_assert(A.cols() == A.rows() && B.cols() == A.rows() && B.cols() == B.rows());
+  Index size = A.cols();
+  m_valuesOkay = false;
+  m_vectorsOkay = false;
+  // Reduce to generalized real Schur form:
+  // A = Q S Z and B = Q T Z
+  m_realQZ.compute(A, B, computeEigenvectors);
+  if (m_realQZ.info() == Success)
+  {
+    // Resize storage
+    m_alphas.resize(size);
+    m_betas.resize(size);
+    if (computeEigenvectors)
+    {
+      m_eivec.resize(size,size);
+      m_tmp.resize(size);
+    }
+
+    // Aliases:
+    Map<VectorType> v(reinterpret_cast<Scalar*>(m_tmp.data()), size);
+    ComplexVectorType &cv = m_tmp;
+    const MatrixType &mS = m_realQZ.matrixS();
+    const MatrixType &mT = m_realQZ.matrixT();
+
+    Index i = 0;
+    while (i < size)
+    {
+      if (i == size - 1 || mS.coeff(i+1, i) == Scalar(0))
+      {
+        // Real eigenvalue
+        m_alphas.coeffRef(i) = mS.diagonal().coeff(i);
+        m_betas.coeffRef(i)  = mT.diagonal().coeff(i);
+        if (computeEigenvectors)
+        {
+          v.setConstant(Scalar(0.0));
+          v.coeffRef(i) = Scalar(1.0);
+          // For singular eigenvalues do nothing more
+          if(abs(m_betas.coeffRef(i)) >= (std::numeric_limits<RealScalar>::min)())
+          {
+            // Non-singular eigenvalue
+            const Scalar alpha = real(m_alphas.coeffRef(i));
+            const Scalar beta = m_betas.coeffRef(i);
+            for (Index j = i-1; j >= 0; j--)
+            {
+              const Index st = j+1;
+              const Index sz = i-j;
+              if (j > 0 && mS.coeff(j, j-1) != Scalar(0))
+              {
+                // 2x2 block
+                Matrix<Scalar, 2, 1> rhs = (alpha*mT.template block<2,Dynamic>(j-1,st,2,sz) - beta*mS.template block<2,Dynamic>(j-1,st,2,sz)) .lazyProduct( v.segment(st,sz) );
+                Matrix<Scalar, 2, 2> lhs = beta * mS.template block<2,2>(j-1,j-1) - alpha * mT.template block<2,2>(j-1,j-1);
+                v.template segment<2>(j-1) = lhs.partialPivLu().solve(rhs);
+                j--;
+              }
+              else
+              {
+                v.coeffRef(j) = -v.segment(st,sz).transpose().cwiseProduct(beta*mS.block(j,st,1,sz) - alpha*mT.block(j,st,1,sz)).sum() / (beta*mS.coeffRef(j,j) - alpha*mT.coeffRef(j,j));
+              }
+            }
+          }
+          m_eivec.col(i).real().noalias() = m_realQZ.matrixZ().transpose() * v;
+          m_eivec.col(i).real().normalize();
+          m_eivec.col(i).imag().setConstant(0);
+        }
+        ++i;
+      }
+      else
+      {
+        // We need to extract the generalized eigenvalues of the pair of a general 2x2 block S and a positive diagonal 2x2 block T
+        // Then taking beta=T_00*T_11, we can avoid any division, and alpha is the eigenvalues of A = (U^-1 * S * U) * diag(T_11,T_00):
+
+        // T =  [a 0]
+        //      [0 b]
+        RealScalar a = mT.diagonal().coeff(i),
+                   b = mT.diagonal().coeff(i+1);
+        const RealScalar beta = m_betas.coeffRef(i) = m_betas.coeffRef(i+1) = a*b;
+
+        // ^^ NOTE: using diagonal()(i) instead of coeff(i,i) workarounds a MSVC bug.
+        Matrix<RealScalar,2,2> S2 = mS.template block<2,2>(i,i) * Matrix<Scalar,2,1>(b,a).asDiagonal();
+
+        Scalar p = Scalar(0.5) * (S2.coeff(0,0) - S2.coeff(1,1));
+        Scalar z = sqrt(abs(p * p + S2.coeff(1,0) * S2.coeff(0,1)));
+        const ComplexScalar alpha = ComplexScalar(S2.coeff(1,1) + p, (beta > 0) ? z : -z);
+        m_alphas.coeffRef(i)   = conj(alpha);
+        m_alphas.coeffRef(i+1) = alpha;
+
+        if (computeEigenvectors) {
+          // Compute eigenvector in position (i+1) and then position (i) is just the conjugate
+          cv.setZero();
+          cv.coeffRef(i+1) = Scalar(1.0);
+          // here, the "static_cast" workaound expression template issues.
+          cv.coeffRef(i) = -(static_cast<Scalar>(beta*mS.coeffRef(i,i+1)) - alpha*mT.coeffRef(i,i+1))
+                          / (static_cast<Scalar>(beta*mS.coeffRef(i,i))   - alpha*mT.coeffRef(i,i));
+          for (Index j = i-1; j >= 0; j--)
+          {
+            const Index st = j+1;
+            const Index sz = i+1-j;
+            if (j > 0 && mS.coeff(j, j-1) != Scalar(0))
+            {
+              // 2x2 block
+              Matrix<ComplexScalar, 2, 1> rhs = (alpha*mT.template block<2,Dynamic>(j-1,st,2,sz) - beta*mS.template block<2,Dynamic>(j-1,st,2,sz)) .lazyProduct( cv.segment(st,sz) );
+              Matrix<ComplexScalar, 2, 2> lhs = beta * mS.template block<2,2>(j-1,j-1) - alpha * mT.template block<2,2>(j-1,j-1);
+              cv.template segment<2>(j-1) = lhs.partialPivLu().solve(rhs);
+              j--;
+            } else {
+              cv.coeffRef(j) =  cv.segment(st,sz).transpose().cwiseProduct(beta*mS.block(j,st,1,sz) - alpha*mT.block(j,st,1,sz)).sum()
+                              / (alpha*mT.coeffRef(j,j) - static_cast<Scalar>(beta*mS.coeffRef(j,j)));
+            }
+          }
+          m_eivec.col(i+1).noalias() = (m_realQZ.matrixZ().transpose() * cv);
+          m_eivec.col(i+1).normalize();
+          m_eivec.col(i) = m_eivec.col(i+1).conjugate();
+        }
+        i += 2;
+      }
+    }
+
+    m_valuesOkay = true;
+    m_vectorsOkay = computeEigenvectors;
+  }
+  return *this;
+}
+
+} // end namespace Eigen
+
+#endif // EIGEN_GENERALIZEDEIGENSOLVER_H

casadi/include/eigen3/Eigen/src/Eigenvalues/GeneralizedSelfAdjointEigenSolver.h

@@ -0,0 +1,226 @@
+// This file is part of Eigen, a lightweight C++ template library
+// for linear algebra.
+//
+// Copyright (C) 2008-2010 Gael Guennebaud <gael.guennebaud@inria.fr>
+// Copyright (C) 2010 Jitse Niesen <jitse@maths.leeds.ac.uk>
+//
+// This Source Code Form is subject to the terms of the Mozilla
+// Public License v. 2.0. If a copy of the MPL was not distributed
+// with this file, You can obtain one at http://mozilla.org/MPL/2.0/.
+
+#ifndef EIGEN_GENERALIZEDSELFADJOINTEIGENSOLVER_H
+#define EIGEN_GENERALIZEDSELFADJOINTEIGENSOLVER_H
+
+#include "./Tridiagonalization.h"
+
+namespace Eigen { 
+
+/** \eigenvalues_module \ingroup Eigenvalues_Module
+  *
+  *
+  * \class GeneralizedSelfAdjointEigenSolver
+  *
+  * \brief Computes eigenvalues and eigenvectors of the generalized selfadjoint eigen problem
+  *
+  * \tparam _MatrixType the type of the matrix of which we are computing the
+  * eigendecomposition; this is expected to be an instantiation of the Matrix
+  * class template.
+  *
+  * This class solves the generalized eigenvalue problem
+  * \f$ Av = \lambda Bv \f$. In this case, the matrix \f$ A \f$ should be
+  * selfadjoint and the matrix \f$ B \f$ should be positive definite.
+  *
+  * Only the \b lower \b triangular \b part of the input matrix is referenced.
+  *
+  * Call the function compute() to compute the eigenvalues and eigenvectors of
+  * a given matrix. Alternatively, you can use the
+  * GeneralizedSelfAdjointEigenSolver(const MatrixType&, const MatrixType&, int)
+  * constructor which computes the eigenvalues and eigenvectors at construction time.
+  * Once the eigenvalue and eigenvectors are computed, they can be retrieved with the eigenvalues()
+  * and eigenvectors() functions.
+  *
+  * The documentation for GeneralizedSelfAdjointEigenSolver(const MatrixType&, const MatrixType&, int)
+  * contains an example of the typical use of this class.
+  *
+  * \sa class SelfAdjointEigenSolver, class EigenSolver, class ComplexEigenSolver
+  */
+template<typename _MatrixType>
+class GeneralizedSelfAdjointEigenSolver : public SelfAdjointEigenSolver<_MatrixType>
+{
+    typedef SelfAdjointEigenSolver<_MatrixType> Base;
+  public:
+
+    typedef _MatrixType MatrixType;
+
+    /** \brief Default constructor for fixed-size matrices.
+      *
+      * The default constructor is useful in cases in which the user intends to
+      * perform decompositions via compute(). This constructor
+      * can only be used if \p _MatrixType is a fixed-size matrix; use
+      * GeneralizedSelfAdjointEigenSolver(Index) for dynamic-size matrices.
+      */
+    GeneralizedSelfAdjointEigenSolver() : Base() {}
+
+    /** \brief Constructor, pre-allocates memory for dynamic-size matrices.
+      *
+      * \param [in]  size  Positive integer, size of the matrix whose
+      * eigenvalues and eigenvectors will be computed.
+      *
+      * This constructor is useful for dynamic-size matrices, when the user
+      * intends to perform decompositions via compute(). The \p size
+      * parameter is only used as a hint. It is not an error to give a wrong
+      * \p size, but it may impair performance.
+      *
+      * \sa compute() for an example
+      */
+    explicit GeneralizedSelfAdjointEigenSolver(Index size)
+        : Base(size)
+    {}
+
+    /** \brief Constructor; computes generalized eigendecomposition of given matrix pencil.
+      *
+      * \param[in]  matA  Selfadjoint matrix in matrix pencil.
+      *                   Only the lower triangular part of the matrix is referenced.
+      * \param[in]  matB  Positive-definite matrix in matrix pencil.
+      *                   Only the lower triangular part of the matrix is referenced.
+      * \param[in]  options A or-ed set of flags {#ComputeEigenvectors,#EigenvaluesOnly} | {#Ax_lBx,#ABx_lx,#BAx_lx}.
+      *                     Default is #ComputeEigenvectors|#Ax_lBx.
+      *
+      * This constructor calls compute(const MatrixType&, const MatrixType&, int)
+      * to compute the eigenvalues and (if requested) the eigenvectors of the
+      * generalized eigenproblem \f$ Ax = \lambda B x \f$ with \a matA the
+      * selfadjoint matrix \f$ A \f$ and \a matB the positive definite matrix
+      * \f$ B \f$. Each eigenvector \f$ x \f$ satisfies the property
+      * \f$ x^* B x = 1 \f$. The eigenvectors are computed if
+      * \a options contains ComputeEigenvectors.
+      *
+      * In addition, the two following variants can be solved via \p options:
+      * - \c ABx_lx: \f$ ABx = \lambda x \f$
+      * - \c BAx_lx: \f$ BAx = \lambda x \f$
+      *
+      * Example: \include SelfAdjointEigenSolver_SelfAdjointEigenSolver_MatrixType2.cpp
+      * Output: \verbinclude SelfAdjointEigenSolver_SelfAdjointEigenSolver_MatrixType2.out
+      *
+      * \sa compute(const MatrixType&, const MatrixType&, int)
+      */
+    GeneralizedSelfAdjointEigenSolver(const MatrixType& matA, const MatrixType& matB,
+                                      int options = ComputeEigenvectors|Ax_lBx)
+      : Base(matA.cols())
+    {
+      compute(matA, matB, options);
+    }
+
+    /** \brief Computes generalized eigendecomposition of given matrix pencil.
+      *
+      * \param[in]  matA  Selfadjoint matrix in matrix pencil.
+      *                   Only the lower triangular part of the matrix is referenced.
+      * \param[in]  matB  Positive-definite matrix in matrix pencil.
+      *                   Only the lower triangular part of the matrix is referenced.
+      * \param[in]  options A or-ed set of flags {#ComputeEigenvectors,#EigenvaluesOnly} | {#Ax_lBx,#ABx_lx,#BAx_lx}.
+      *                     Default is #ComputeEigenvectors|#Ax_lBx.
+      *
+      * \returns    Reference to \c *this
+      *
+      * According to \p options, this function computes eigenvalues and (if requested)
+      * the eigenvectors of one of the following three generalized eigenproblems:
+      * - \c Ax_lBx: \f$ Ax = \lambda B x \f$
+      * - \c ABx_lx: \f$ ABx = \lambda x \f$
+      * - \c BAx_lx: \f$ BAx = \lambda x \f$
+      * with \a matA the selfadjoint matrix \f$ A \f$ and \a matB the positive definite
+      * matrix \f$ B \f$.
+      * In addition, each eigenvector \f$ x \f$ satisfies the property \f$ x^* B x = 1 \f$.
+      *
+      * The eigenvalues() function can be used to retrieve
+      * the eigenvalues. If \p options contains ComputeEigenvectors, then the
+      * eigenvectors are also computed and can be retrieved by calling
+      * eigenvectors().
+      *
+      * The implementation uses LLT to compute the Cholesky decomposition
+      * \f$ B = LL^* \f$ and computes the classical eigendecomposition
+      * of the selfadjoint matrix \f$ L^{-1} A (L^*)^{-1} \f$ if \p options contains Ax_lBx
+      * and of \f$ L^{*} A L \f$ otherwise. This solves the
+      * generalized eigenproblem, because any solution of the generalized
+      * eigenproblem \f$ Ax = \lambda B x \f$ corresponds to a solution
+      * \f$ L^{-1} A (L^*)^{-1} (L^* x) = \lambda (L^* x) \f$ of the
+      * eigenproblem for \f$ L^{-1} A (L^*)^{-1} \f$. Similar statements
+      * can be made for the two other variants.
+      *
+      * Example: \include SelfAdjointEigenSolver_compute_MatrixType2.cpp
+      * Output: \verbinclude SelfAdjointEigenSolver_compute_MatrixType2.out
+      *
+      * \sa GeneralizedSelfAdjointEigenSolver(const MatrixType&, const MatrixType&, int)
+      */
+    GeneralizedSelfAdjointEigenSolver& compute(const MatrixType& matA, const MatrixType& matB,
+                                               int options = ComputeEigenvectors|Ax_lBx);
+
+  protected:
+
+};
+
+
+template<typename MatrixType>
+GeneralizedSelfAdjointEigenSolver<MatrixType>& GeneralizedSelfAdjointEigenSolver<MatrixType>::
+compute(const MatrixType& matA, const MatrixType& matB, int options)
+{
+  eigen_assert(matA.cols()==matA.rows() && matB.rows()==matA.rows() && matB.cols()==matB.rows());
+  eigen_assert((options&~(EigVecMask|GenEigMask))==0
+          && (options&EigVecMask)!=EigVecMask
+          && ((options&GenEigMask)==0 || (options&GenEigMask)==Ax_lBx
+           || (options&GenEigMask)==ABx_lx || (options&GenEigMask)==BAx_lx)
+          && "invalid option parameter");
+
+  bool computeEigVecs = ((options&EigVecMask)==0) || ((options&EigVecMask)==ComputeEigenvectors);
+
+  // Compute the cholesky decomposition of matB = L L' = U'U
+  LLT<MatrixType> cholB(matB);
+
+  int type = (options&GenEigMask);
+  if(type==0)
+    type = Ax_lBx;
+
+  if(type==Ax_lBx)
+  {
+    // compute C = inv(L) A inv(L')
+    MatrixType matC = matA.template selfadjointView<Lower>();
+    cholB.matrixL().template solveInPlace<OnTheLeft>(matC);
+    cholB.matrixU().template solveInPlace<OnTheRight>(matC);
+
+    Base::compute(matC, computeEigVecs ? ComputeEigenvectors : EigenvaluesOnly );
+
+    // transform back the eigen vectors: evecs = inv(U) * evecs
+    if(computeEigVecs)
+      cholB.matrixU().solveInPlace(Base::m_eivec);
+  }
+  else if(type==ABx_lx)
+  {
+    // compute C = L' A L
+    MatrixType matC = matA.template selfadjointView<Lower>();
+    matC = matC * cholB.matrixL();
+    matC = cholB.matrixU() * matC;
+
+    Base::compute(matC, computeEigVecs ? ComputeEigenvectors : EigenvaluesOnly);
+
+    // transform back the eigen vectors: evecs = inv(U) * evecs
+    if(computeEigVecs)
+      cholB.matrixU().solveInPlace(Base::m_eivec);
+  }
+  else if(type==BAx_lx)
+  {
+    // compute C = L' A L
+    MatrixType matC = matA.template selfadjointView<Lower>();
+    matC = matC * cholB.matrixL();
+    matC = cholB.matrixU() * matC;
+
+    Base::compute(matC, computeEigVecs ? ComputeEigenvectors : EigenvaluesOnly);
+
+    // transform back the eigen vectors: evecs = L * evecs
+    if(computeEigVecs)
+      Base::m_eivec = cholB.matrixL() * Base::m_eivec;
+  }
+
+  return *this;
+}
+
+} // end namespace Eigen
+
+#endif // EIGEN_GENERALIZEDSELFADJOINTEIGENSOLVER_H