diff options
author | Gael Guennebaud <g.gael@free.fr> | 2014-09-01 18:21:01 +0200 |
---|---|---|
committer | Gael Guennebaud <g.gael@free.fr> | 2014-09-01 18:21:01 +0200 |
commit | b3a0365429345d37196a39a501ed071038031223 (patch) | |
tree | 17b01f0f705a65ba30af3467257abd619dd452a3 | |
parent | 72c4f8ca8fc64a812801295babfb6d56ca96f427 (diff) | |
parent | eb392960285c2645d45118d424786a73768ff50a (diff) |
merge with default branch
-rw-r--r-- | Eigen/SVD | 1 | ||||
-rw-r--r-- | Eigen/src/Core/arch/NEON/PacketMath.h | 2 | ||||
-rw-r--r-- | Eigen/src/Core/util/Macros.h | 7 | ||||
-rw-r--r-- | Eigen/src/SVD/JacobiSVD.h | 185 | ||||
-rw-r--r-- | Eigen/src/SVD/SVDBase.h (renamed from unsupported/Eigen/src/SVD/SVDBase.h) | 139 | ||||
-rw-r--r-- | Eigen/src/SVD/UpperBidiagonalization.h | 1 | ||||
-rw-r--r-- | test/main.h | 25 | ||||
-rw-r--r-- | unsupported/Eigen/BDCSVD | 26 | ||||
-rw-r--r-- | unsupported/Eigen/SVD | 35 | ||||
-rw-r--r-- | unsupported/Eigen/src/BDCSVD/BDCSVD.h (renamed from unsupported/Eigen/src/SVD/BDCSVD.h) | 48 | ||||
-rw-r--r-- | unsupported/Eigen/src/BDCSVD/CMakeLists.txt | 6 | ||||
-rw-r--r-- | unsupported/Eigen/src/BDCSVD/TODOBdcsvd.txt (renamed from unsupported/Eigen/src/SVD/TODOBdcsvd.txt) | 0 | ||||
-rw-r--r-- | unsupported/Eigen/src/BDCSVD/doneInBDCSVD.txt (renamed from unsupported/Eigen/src/SVD/doneInBDCSVD.txt) | 0 | ||||
-rw-r--r-- | unsupported/Eigen/src/CMakeLists.txt | 1 | ||||
-rw-r--r-- | unsupported/Eigen/src/SVD/CMakeLists.txt | 6 | ||||
-rw-r--r-- | unsupported/Eigen/src/SVD/JacobiSVD.h | 782 | ||||
-rw-r--r-- | unsupported/test/svd_common.h | 2 |
17 files changed, 215 insertions, 1051 deletions
@@ -21,6 +21,7 @@ */ #include "src/misc/Solve.h" +#include "src/SVD/SVDBase.h" #include "src/SVD/JacobiSVD.h" #if defined(EIGEN_USE_LAPACKE) && !defined(EIGEN_USE_LAPACKE_STRICT) #include "src/SVD/JacobiSVD_MKL.h" diff --git a/Eigen/src/Core/arch/NEON/PacketMath.h b/Eigen/src/Core/arch/NEON/PacketMath.h index 380b76ae9..7c4509585 100644 --- a/Eigen/src/Core/arch/NEON/PacketMath.h +++ b/Eigen/src/Core/arch/NEON/PacketMath.h @@ -52,7 +52,7 @@ typedef uint32x4_t Packet4ui; // arm64 does have the pld instruction. If available, let's trust the __builtin_prefetch built-in function // which available on LLVM and GCC (at least) -#if (defined(__has_builtin) && __has_builtin(__builtin_prefetch)) || defined(__GNUC__) +#if EIGEN_HAS_BUILTIN(__builtin_prefetch) || defined(__GNUC__) #define EIGEN_ARM_PREFETCH(ADDR) __builtin_prefetch(ADDR); #elif defined __pld #define EIGEN_ARM_PREFETCH(ADDR) __pld(ADDR) diff --git a/Eigen/src/Core/util/Macros.h b/Eigen/src/Core/util/Macros.h index d029e0c6c..2eac86376 100644 --- a/Eigen/src/Core/util/Macros.h +++ b/Eigen/src/Core/util/Macros.h @@ -107,6 +107,13 @@ #define EIGEN_DEFAULT_DENSE_INDEX_TYPE std::ptrdiff_t #endif +// Cross compiler wrapper around LLVM's __has_builtin +#ifdef __has_builtin +# define EIGEN_HAS_BUILTIN(x) __has_builtin(x) +#else +# define EIGEN_HAS_BUILTIN(x) 0 +#endif + // A Clang feature extension to determine compiler features. // We use it to determine 'cxx_rvalue_references' #ifndef __has_feature diff --git a/Eigen/src/SVD/JacobiSVD.h b/Eigen/src/SVD/JacobiSVD.h index d1b63b607..3d778516a 100644 --- a/Eigen/src/SVD/JacobiSVD.h +++ b/Eigen/src/SVD/JacobiSVD.h @@ -2,6 +2,7 @@ // for linear algebra. // // Copyright (C) 2009-2010 Benoit Jacob <jacob.benoit.1@gmail.com> +// Copyright (C) 2013-2014 Gael Guennebaud <gael.guennebaud@inria.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 @@ -442,6 +443,12 @@ void real_2x2_jacobi_svd(const MatrixType& matrix, Index p, Index q, *j_left = rot1 * j_right->transpose(); } +template<typename _MatrixType, int QRPreconditioner> +struct traits<JacobiSVD<_MatrixType,QRPreconditioner> > +{ + typedef _MatrixType MatrixType; +}; + } // end namespace internal /** \ingroup SVD_Module @@ -498,7 +505,9 @@ void real_2x2_jacobi_svd(const MatrixType& matrix, Index p, Index q, * \sa MatrixBase::jacobiSvd() */ template<typename _MatrixType, int QRPreconditioner> class JacobiSVD + : public SVDBase<JacobiSVD<_MatrixType,QRPreconditioner> > { + typedef SVDBase<JacobiSVD> Base; public: typedef _MatrixType MatrixType; @@ -515,13 +524,10 @@ template<typename _MatrixType, int QRPreconditioner> class JacobiSVD 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; + typedef typename Base::MatrixUType MatrixUType; + typedef typename Base::MatrixVType MatrixVType; + typedef typename Base::SingularValuesType SingularValuesType; + typedef typename internal::plain_row_type<MatrixType>::type RowType; typedef typename internal::plain_col_type<MatrixType>::type ColType; typedef Matrix<Scalar, DiagSizeAtCompileTime, DiagSizeAtCompileTime, @@ -534,11 +540,6 @@ template<typename _MatrixType, int QRPreconditioner> class JacobiSVD * perform decompositions via JacobiSVD::compute(const MatrixType&). */ JacobiSVD() - : m_isInitialized(false), - m_isAllocated(false), - m_usePrescribedThreshold(false), - m_computationOptions(0), - m_rows(-1), m_cols(-1), m_diagSize(0) {} @@ -549,11 +550,6 @@ template<typename _MatrixType, int QRPreconditioner> class JacobiSVD * \sa JacobiSVD() */ JacobiSVD(Index rows, Index cols, unsigned int computationOptions = 0) - : m_isInitialized(false), - m_isAllocated(false), - m_usePrescribedThreshold(false), - m_computationOptions(0), - m_rows(-1), m_cols(-1) { allocate(rows, cols, computationOptions); } @@ -569,11 +565,6 @@ template<typename _MatrixType, int QRPreconditioner> class JacobiSVD * available with the (non-default) FullPivHouseholderQR preconditioner. */ JacobiSVD(const MatrixType& matrix, unsigned int computationOptions = 0) - : m_isInitialized(false), - m_isAllocated(false), - m_usePrescribedThreshold(false), - m_computationOptions(0), - m_rows(-1), m_cols(-1) { compute(matrix, computationOptions); } @@ -601,54 +592,6 @@ template<typename _MatrixType, int QRPreconditioner> class JacobiSVD return compute(matrix, m_computationOptions); } - /** \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 #ComputeFullU, and is n-by-m if you asked for #ComputeThinU. - * - * 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 - { - eigen_assert(m_isInitialized && "JacobiSVD is not initialized."); - eigen_assert(computeU() && "This JacobiSVD 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 #ComputeFullV, and is p-by-m if you asked for ComputeThinV. - * - * 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 - { - eigen_assert(m_isInitialized && "JacobiSVD is not initialized."); - eigen_assert(computeV() && "This JacobiSVD 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 - { - eigen_assert(m_isInitialized && "JacobiSVD is not initialized."); - return m_singularValues; - } - - /** \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; } - /** \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. @@ -677,80 +620,13 @@ template<typename _MatrixType, int QRPreconditioner> class JacobiSVD return internal::solve_retval<JacobiSVD, Rhs>(*this, b.derived()); } #endif - - /** \returns the number of singular values that are not exactly 0 */ - Index nonzeroSingularValues() const - { - eigen_assert(m_isInitialized && "JacobiSVD is not initialized."); - 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; - eigen_assert(m_isInitialized && "JacobiSVD is not initialized."); - if(m_singularValues.size()==0) return 0; - RealScalar premultiplied_threshold = m_singularValues.coeff(0) * threshold(); - 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) - */ - JacobiSVD& setThreshold(const RealScalar& threshold) - { - m_usePrescribedThreshold = true; - m_prescribedThreshold = threshold; - return *this; - } - - /** 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&). - */ - JacobiSVD& setThreshold(Default_t) - { - m_usePrescribedThreshold = false; - return *this; - } + using Base::computeU; + using Base::computeV; + using Base::rows; + using Base::cols; + using Base::rank; - /** 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); - return m_usePrescribedThreshold ? m_prescribedThreshold - : (std::max<Index>)(1,m_diagSize)*NumTraits<Scalar>::epsilon(); - } - - inline Index rows() const { return m_rows; } - inline Index cols() const { return m_cols; } - #ifndef EIGEN_PARSED_BY_DOXYGEN template<typename RhsType, typename DstType> EIGEN_DEVICE_FUNC @@ -761,16 +637,23 @@ template<typename _MatrixType, int QRPreconditioner> class JacobiSVD void allocate(Index rows, Index cols, unsigned int computationOptions); protected: - MatrixUType m_matrixU; - MatrixVType m_matrixV; - SingularValuesType m_singularValues; + using Base::m_matrixU; + using Base::m_matrixV; + using Base::m_singularValues; + using Base::m_isInitialized; + using Base::m_isAllocated; + using Base::m_usePrescribedThreshold; + using Base::m_computeFullU; + using Base::m_computeThinU; + using Base::m_computeFullV; + using Base::m_computeThinV; + using Base::m_computationOptions; + using Base::m_nonzeroSingularValues; + using Base::m_rows; + using Base::m_cols; + using Base::m_diagSize; + using Base::m_prescribedThreshold; WorkMatrixType m_workMatrix; - 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; template<typename __MatrixType, int _QRPreconditioner, bool _IsComplex> friend struct internal::svd_precondition_2x2_block_to_be_real; diff --git a/unsupported/Eigen/src/SVD/SVDBase.h b/Eigen/src/SVD/SVDBase.h index fd8af3b8c..61b01fb8a 100644 --- a/unsupported/Eigen/src/SVD/SVDBase.h +++ b/Eigen/src/SVD/SVDBase.h @@ -2,6 +2,7 @@ // 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> @@ -12,8 +13,8 @@ // 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_SVD_H -#define EIGEN_SVD_H +#ifndef EIGEN_SVDBASE_H +#define EIGEN_SVDBASE_H namespace Eigen { /** \ingroup SVD_Module @@ -21,9 +22,10 @@ namespace Eigen { * * \class SVDBase * - * \brief Mother class of SVD classes algorithms + * \brief Base class of SVD algorithms + * + * \tparam Derived the type of the actual SVD decomposition * - * \param MatrixType the type of the matrix of which we are computing the 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; @@ -42,12 +44,12 @@ namespace Eigen { * terminate in finite (and reasonable) time. * \sa MatrixBase::genericSvd() */ -template<typename _MatrixType> +template<typename Derived> class SVDBase { public: - typedef _MatrixType MatrixType; + typedef typename internal::traits<Derived>::MatrixType MatrixType; typedef typename MatrixType::Scalar Scalar; typedef typename NumTraits<typename MatrixType::Scalar>::Real RealScalar; typedef typename MatrixType::Index Index; @@ -61,46 +63,16 @@ public: MatrixOptions = MatrixType::Options }; - typedef Matrix<Scalar, RowsAtCompileTime, RowsAtCompileTime, - MatrixOptions, MaxRowsAtCompileTime, MaxRowsAtCompileTime> - MatrixUType; - typedef Matrix<Scalar, ColsAtCompileTime, ColsAtCompileTime, - MatrixOptions, MaxColsAtCompileTime, MaxColsAtCompileTime> - MatrixVType; + 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; - typedef typename internal::plain_row_type<MatrixType>::type RowType; - typedef typename internal::plain_col_type<MatrixType>::type ColType; - typedef Matrix<Scalar, DiagSizeAtCompileTime, DiagSizeAtCompileTime, - MatrixOptions, MaxDiagSizeAtCompileTime, MaxDiagSizeAtCompileTime> - WorkMatrixType; - - - - - /** \brief Method performing the decomposition of given matrix using custom options. - * - * \param matrix the matrix to decompose - * \param computationOptions optional parameter allowing to specify if you want full or thin U or V unitaries to be computed. - * By default, none is computed. This is a bit-field, the possible bits are #ComputeFullU, #ComputeThinU, - * #ComputeFullV, #ComputeThinV. - * - * Thin unitaries are only available if your matrix type has a Dynamic number of columns (for example MatrixXf). They also are not - * available with the (non-default) FullPivHouseholderQR preconditioner. - */ - SVDBase& compute(const MatrixType& matrix, unsigned int computationOptions); - - /** \brief Method performing the decomposition of given matrix using current options. - * - * \param matrix the matrix to decompose - * - * This method uses the current \a computationOptions, as already passed to the constructor or to compute(const MatrixType&, unsigned int). - */ - //virtual SVDBase& compute(const MatrixType& matrix) = 0; - SVDBase& compute(const MatrixType& matrix); + + Derived& derived() { return *static_cast<Derived*>(this); } + const Derived& derived() const { return *static_cast<const Derived*>(this); } /** \returns the \a U matrix. * - * For the SVDBase decomposition of a n-by-p matrix, letting \a m be the minimum of \a n and \a p, + * 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 #ComputeFullU, and is n-by-m if you asked for #ComputeThinU. * * The \a m first columns of \a U are the left singular vectors of the matrix being decomposed. @@ -141,26 +113,84 @@ public: return m_singularValues; } - - /** \returns the number of singular values that are not exactly 0 */ Index nonzeroSingularValues() const { eigen_assert(m_isInitialized && "SVD is not initialized."); 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; + eigen_assert(m_isInitialized && "JacobiSVD is not initialized."); + if(m_singularValues.size()==0) return 0; + RealScalar premultiplied_threshold = m_singularValues.coeff(0) * threshold(); + 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); + return m_usePrescribedThreshold ? m_prescribedThreshold + : (std::max<Index>)(1,m_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; } - protected: // return true if already allocated bool allocate(Index rows, Index cols, unsigned int computationOptions) ; @@ -168,12 +198,12 @@ protected: MatrixUType m_matrixU; MatrixVType m_matrixV; SingularValuesType m_singularValues; - bool m_isInitialized, m_isAllocated; + 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. * @@ -182,8 +212,9 @@ protected: SVDBase() : m_isInitialized(false), m_isAllocated(false), + m_usePrescribedThreshold(false), m_computationOptions(0), - m_rows(-1), m_cols(-1) + m_rows(-1), m_cols(-1), m_diagSize(0) {} @@ -220,17 +251,13 @@ bool SVDBase<MatrixType>::allocate(Index rows, Index cols, unsigned int computat 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); + 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); + m_matrixV.resize(m_cols, m_computeFullV ? m_cols : m_computeThinV ? m_diagSize : 0); return false; } }// end namespace -#endif // EIGEN_SVD_H +#endif // EIGEN_SVDBASE_H diff --git a/Eigen/src/SVD/UpperBidiagonalization.h b/Eigen/src/SVD/UpperBidiagonalization.h index 40067682c..225b19e3c 100644 --- a/Eigen/src/SVD/UpperBidiagonalization.h +++ b/Eigen/src/SVD/UpperBidiagonalization.h @@ -2,6 +2,7 @@ // for linear algebra. // // Copyright (C) 2010 Benoit Jacob <jacob.benoit.1@gmail.com> +// Copyright (C) 2013-2014 Gael Guennebaud <gael.guennebaud@inria.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 diff --git a/test/main.h b/test/main.h index b8854a1c3..85f951db4 100644 --- a/test/main.h +++ b/test/main.h @@ -17,13 +17,36 @@ #include <sstream> #include <vector> #include <typeinfo> + +// The following includes of STL headers have to be done _before_ the +// definition of macros min() and max(). The reason is that many STL +// implementations will not work properly as the min and max symbols collide +// with the STL functions std:min() and std::max(). The STL headers may check +// for the macro definition of min/max and issue a warning or undefine the +// macros. +// +// Still, Windows defines min() and max() in windef.h as part of the regular +// Windows system interfaces and many other Windows APIs depend on these +// macros being available. To prevent the macro expansion of min/max and to +// make Eigen compatible with the Windows environment all function calls of +// std::min() and std::max() have to be written with parenthesis around the +// function name. +// +// All STL headers used by Eigen should be included here. Because main.h is +// included before any Eigen header and because the STL headers are guarded +// against multiple inclusions, no STL header will see our own min/max macro +// definitions. #include <limits> #include <algorithm> -#include <sstream> #include <complex> #include <deque> #include <queue> +#include <list> +// To test that all calls from Eigen code to std::min() and std::max() are +// protected by parenthesis against macro expansion, the min()/max() macros +// are defined here and any not-parenthesized min/max call will cause a +// compiler error. #define min(A,B) please_protect_your_min_with_parentheses #define max(A,B) please_protect_your_max_with_parentheses diff --git a/unsupported/Eigen/BDCSVD b/unsupported/Eigen/BDCSVD new file mode 100644 index 000000000..44649dbd0 --- /dev/null +++ b/unsupported/Eigen/BDCSVD @@ -0,0 +1,26 @@ +#ifndef EIGEN_BDCSVD_MODULE_H +#define EIGEN_BDCSVD_MODULE_H + +#include <Eigen/SVD> + +#include "../../Eigen/src/Core/util/DisableStupidWarnings.h" + +/** \defgroup BDCSVD_Module BDCSVD module + * + * + * + * This module provides Divide & Conquer SVD decomposition for matrices (both real and complex). + * This decomposition is accessible via the following MatrixBase method: + * - MatrixBase::bdcSvd() + * + * \code + * #include <Eigen/BDCSVD> + * \endcode + */ + +#include "src/BDCSVD/BDCSVD.h" + +#include "../../Eigen/src/Core/util/ReenableStupidWarnings.h" + +#endif // EIGEN_BDCSVD_MODULE_H +/* vim: set filetype=cpp et sw=2 ts=2 ai: */ diff --git a/unsupported/Eigen/SVD b/unsupported/Eigen/SVD deleted file mode 100644 index 900a8aa60..000000000 --- a/unsupported/Eigen/SVD +++ /dev/null @@ -1,35 +0,0 @@ -#ifndef EIGEN_SVD_MODULE_H -#define EIGEN_SVD_MODULE_H - -#include <Eigen/QR> -#include <Eigen/Householder> -#include <Eigen/Jacobi> - -#include "../../Eigen/src/Core/util/DisableStupidWarnings.h" - -/** \defgroup SVD_Module SVD module - * - * - * - * This module provides SVD decomposition for matrices (both real and complex). - * This decomposition is accessible via the following MatrixBase method: - * - MatrixBase::jacobiSvd() - * - * \code - * #include <Eigen/SVD> - * \endcode - */ - -#include "../../Eigen/src/misc/Solve.h" -#include "../../Eigen/src/SVD/UpperBidiagonalization.h" -#include "src/SVD/SVDBase.h" -#include "src/SVD/JacobiSVD.h" -#include "src/SVD/BDCSVD.h" -#if defined(EIGEN_USE_LAPACKE) && !defined(EIGEN_USE_LAPACKE_STRICT) -#include "../../Eigen/src/SVD/JacobiSVD_MKL.h" -#endif - -#include "../../Eigen/src/Core/util/ReenableStupidWarnings.h" - -#endif // EIGEN_SVD_MODULE_H -/* vim: set filetype=cpp et sw=2 ts=2 ai: */ diff --git a/unsupported/Eigen/src/SVD/BDCSVD.h b/unsupported/Eigen/src/BDCSVD/BDCSVD.h index 80006fd60..a7c369633 100644 --- a/unsupported/Eigen/src/SVD/BDCSVD.h +++ b/unsupported/Eigen/src/BDCSVD/BDCSVD.h @@ -24,6 +24,20 @@ #define ALGOSWAP 16 namespace Eigen { + +template<typename _MatrixType> class BDCSVD; + +namespace internal { + +template<typename _MatrixType> +struct traits<BDCSVD<_MatrixType> > +{ + typedef _MatrixType MatrixType; +}; + +} // end namespace internal + + /** \ingroup SVD_Module * * @@ -36,9 +50,9 @@ namespace Eigen { * It should be used to speed up the calcul of SVD for big matrices. */ template<typename _MatrixType> -class BDCSVD : public SVDBase<_MatrixType> +class BDCSVD : public SVDBase<BDCSVD<_MatrixType> > { - typedef SVDBase<_MatrixType> Base; + typedef SVDBase<BDCSVD> Base; public: using Base::rows; @@ -77,9 +91,7 @@ public: * The default constructor is useful in cases in which the user intends to * perform decompositions via BDCSVD::compute(const MatrixType&). */ - BDCSVD() - : SVDBase<_MatrixType>::SVDBase(), - algoswap(ALGOSWAP), m_numIters(0) + BDCSVD() : algoswap(ALGOSWAP), m_numIters(0) {} @@ -90,8 +102,7 @@ public: * \sa BDCSVD() */ BDCSVD(Index rows, Index cols, unsigned int computationOptions = 0) - : SVDBase<_MatrixType>::SVDBase(), - algoswap(ALGOSWAP), m_numIters(0) + : algoswap(ALGOSWAP), m_numIters(0) { allocate(rows, cols, computationOptions); } @@ -107,8 +118,7 @@ public: * available with the (non - default) FullPivHouseholderQR preconditioner. */ BDCSVD(const MatrixType& matrix, unsigned int computationOptions = 0) - : SVDBase<_MatrixType>::SVDBase(), - algoswap(ALGOSWAP), m_numIters(0) + : algoswap(ALGOSWAP), m_numIters(0) { compute(matrix, computationOptions); } @@ -116,6 +126,7 @@ public: ~BDCSVD() { } + /** \brief Method performing the decomposition of given matrix using custom options. * * \param matrix the matrix to decompose @@ -126,7 +137,7 @@ public: * Thin unitaries are only available if your matrix type has a Dynamic number of columns (for example MatrixXf). They also are not * available with the (non - default) FullPivHouseholderQR preconditioner. */ - SVDBase<MatrixType>& compute(const MatrixType& matrix, unsigned int computationOptions); + BDCSVD& compute(const MatrixType& matrix, unsigned int computationOptions); /** \brief Method performing the decomposition of given matrix using current options. * @@ -134,7 +145,7 @@ public: * * This method uses the current \a computationOptions, as already passed to the constructor or to compute(const MatrixType&, unsigned int). */ - SVDBase<MatrixType>& compute(const MatrixType& matrix) + BDCSVD& compute(const MatrixType& matrix) { return compute(matrix, this->m_computationOptions); } @@ -160,8 +171,8 @@ public: solve(const MatrixBase<Rhs>& b) const { eigen_assert(this->m_isInitialized && "BDCSVD is not initialized."); - eigen_assert(SVDBase<_MatrixType>::computeU() && SVDBase<_MatrixType>::computeV() && - "BDCSVD::solve() requires both unitaries U and V to be computed (thin unitaries suffice)."); + eigen_assert(computeU() && computeV() && + "BDCSVD::solve() requires both unitaries U and V to be computed (thin unitaries suffice)."); return internal::solve_retval<BDCSVD, Rhs>(*this, b.derived()); } @@ -195,6 +206,9 @@ public: return this->m_matrixV; } } + + using Base::computeU; + using Base::computeV; private: void allocate(Index rows, Index cols, unsigned int computationOptions); @@ -229,7 +243,7 @@ template<typename MatrixType> void BDCSVD<MatrixType>::allocate(Index rows, Index cols, unsigned int computationOptions) { isTranspose = (cols > rows); - if (SVDBase<MatrixType>::allocate(rows, cols, computationOptions)) return; + if (Base::allocate(rows, cols, computationOptions)) return; m_computed = MatrixXr::Zero(this->m_diagSize + 1, this->m_diagSize ); if (isTranspose){ compU = this->computeU(); @@ -262,8 +276,7 @@ void BDCSVD<MatrixType>::allocate(Index rows, Index cols, unsigned int computati // Methode which compute the BDCSVD for the int template<> -SVDBase<Matrix<int, Dynamic, Dynamic> >& -BDCSVD<Matrix<int, Dynamic, Dynamic> >::compute(const MatrixType& matrix, unsigned int computationOptions) { +BDCSVD<Matrix<int, Dynamic, Dynamic> >& BDCSVD<Matrix<int, Dynamic, Dynamic> >::compute(const MatrixType& matrix, unsigned int computationOptions) { allocate(matrix.rows(), matrix.cols(), computationOptions); this->m_nonzeroSingularValues = 0; m_computed = Matrix<int, Dynamic, Dynamic>::Zero(rows(), cols()); @@ -279,8 +292,7 @@ BDCSVD<Matrix<int, Dynamic, Dynamic> >::compute(const MatrixType& matrix, unsign // Methode which compute the BDCSVD template<typename MatrixType> -SVDBase<MatrixType>& -BDCSVD<MatrixType>::compute(const MatrixType& matrix, unsigned int computationOptions) +BDCSVD<MatrixType>& BDCSVD<MatrixType>::compute(const MatrixType& matrix, unsigned int computationOptions) { allocate(matrix.rows(), matrix.cols(), computationOptions); using std::abs; diff --git a/unsupported/Eigen/src/BDCSVD/CMakeLists.txt b/unsupported/Eigen/src/BDCSVD/CMakeLists.txt new file mode 100644 index 000000000..73b89ea18 --- /dev/null +++ b/unsupported/Eigen/src/BDCSVD/CMakeLists.txt @@ -0,0 +1,6 @@ +FILE(GLOB Eigen_BDCSVD_SRCS "*.h") + +INSTALL(FILES + ${Eigen_BDCSVD_SRCS} + DESTINATION ${INCLUDE_INSTALL_DIR}unsupported/Eigen/src/BDCSVD COMPONENT Devel + ) diff --git a/unsupported/Eigen/src/SVD/TODOBdcsvd.txt b/unsupported/Eigen/src/BDCSVD/TODOBdcsvd.txt index 0bc9a46e6..0bc9a46e6 100644 --- a/unsupported/Eigen/src/SVD/TODOBdcsvd.txt +++ b/unsupported/Eigen/src/BDCSVD/TODOBdcsvd.txt diff --git a/unsupported/Eigen/src/SVD/doneInBDCSVD.txt b/unsupported/Eigen/src/BDCSVD/doneInBDCSVD.txt index 8563ddab8..8563ddab8 100644 --- a/unsupported/Eigen/src/SVD/doneInBDCSVD.txt +++ b/unsupported/Eigen/src/BDCSVD/doneInBDCSVD.txt diff --git a/unsupported/Eigen/src/CMakeLists.txt b/unsupported/Eigen/src/CMakeLists.txt index 8eb2808e3..654a2327f 100644 --- a/unsupported/Eigen/src/CMakeLists.txt +++ b/unsupported/Eigen/src/CMakeLists.txt @@ -12,3 +12,4 @@ ADD_SUBDIRECTORY(Skyline) ADD_SUBDIRECTORY(SparseExtra) ADD_SUBDIRECTORY(KroneckerProduct) ADD_SUBDIRECTORY(Splines) +ADD_SUBDIRECTORY(BDCSVD) diff --git a/unsupported/Eigen/src/SVD/CMakeLists.txt b/unsupported/Eigen/src/SVD/CMakeLists.txt deleted file mode 100644 index b40baf092..000000000 --- a/unsupported/Eigen/src/SVD/CMakeLists.txt +++ /dev/null @@ -1,6 +0,0 @@ -FILE(GLOB Eigen_SVD_SRCS "*.h") - -INSTALL(FILES - ${Eigen_SVD_SRCS} - DESTINATION ${INCLUDE_INSTALL_DIR}unsupported/Eigen/src/SVD COMPONENT Devel - ) diff --git a/unsupported/Eigen/src/SVD/JacobiSVD.h b/unsupported/Eigen/src/SVD/JacobiSVD.h deleted file mode 100644 index 02fac409e..000000000 --- a/unsupported/Eigen/src/SVD/JacobiSVD.h +++ /dev/null @@ -1,782 +0,0 @@ -// 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> -// -// 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_JACOBISVD_H -#define EIGEN_JACOBISVD_H - -namespace Eigen { - -namespace internal { -// forward declaration (needed by ICC) -// the empty body is required by MSVC -template<typename MatrixType, int QRPreconditioner, - bool IsComplex = NumTraits<typename MatrixType::Scalar>::IsComplex> -struct svd_precondition_2x2_block_to_be_real {}; - -/*** QR preconditioners (R-SVD) - *** - *** Their role is to reduce the problem of computing the SVD to the case of a square matrix. - *** This approach, known as R-SVD, is an optimization for rectangular-enough matrices, and is a requirement for - *** JacobiSVD which by itself is only able to work on square matrices. - ***/ - -enum { PreconditionIfMoreColsThanRows, PreconditionIfMoreRowsThanCols }; - -template<typename MatrixType, int QRPreconditioner, int Case> -struct qr_preconditioner_should_do_anything -{ - enum { a = MatrixType::RowsAtCompileTime != Dynamic && - MatrixType::ColsAtCompileTime != Dynamic && - MatrixType::ColsAtCompileTime <= MatrixType::RowsAtCompileTime, - b = MatrixType::RowsAtCompileTime != Dynamic && - MatrixType::ColsAtCompileTime != Dynamic && - MatrixType::RowsAtCompileTime <= MatrixType::ColsAtCompileTime, - ret = !( (QRPreconditioner == NoQRPreconditioner) || - (Case == PreconditionIfMoreColsThanRows && bool(a)) || - (Case == PreconditionIfMoreRowsThanCols && bool(b)) ) - }; -}; - -template<typename MatrixType, int QRPreconditioner, int Case, - bool DoAnything = qr_preconditioner_should_do_anything<MatrixType, QRPreconditioner, Case>::ret -> struct qr_preconditioner_impl {}; - -template<typename MatrixType, int QRPreconditioner, int Case> -class qr_preconditioner_impl<MatrixType, QRPreconditioner, Case, false> -{ -public: - typedef typename MatrixType::Index Index; - void allocate(const JacobiSVD<MatrixType, QRPreconditioner>&) {} - bool run(JacobiSVD<MatrixType, QRPreconditioner>&, const MatrixType&) - { - return false; - } -}; - -/*** preconditioner using FullPivHouseholderQR ***/ - -template<typename MatrixType> -class qr_preconditioner_impl<MatrixType, FullPivHouseholderQRPreconditioner, PreconditionIfMoreRowsThanCols, true> -{ -public: - typedef typename MatrixType::Index Index; - typedef typename MatrixType::Scalar Scalar; - enum - { - RowsAtCompileTime = MatrixType::RowsAtCompileTime, - MaxRowsAtCompileTime = MatrixType::MaxRowsAtCompileTime - }; - typedef Matrix<Scalar, 1, RowsAtCompileTime, RowMajor, 1, MaxRowsAtCompileTime> WorkspaceType; - - void allocate(const JacobiSVD<MatrixType, FullPivHouseholderQRPreconditioner>& svd) - { - if (svd.rows() != m_qr.rows() || svd.cols() != m_qr.cols()) - { - m_qr.~QRType(); - ::new (&m_qr) QRType(svd.rows(), svd.cols()); - } - if (svd.m_computeFullU) m_workspace.resize(svd.rows()); - } - - bool run(JacobiSVD<MatrixType, FullPivHouseholderQRPreconditioner>& svd, const MatrixType& matrix) - { - if(matrix.rows() > matrix.cols()) - { - m_qr.compute(matrix); - svd.m_workMatrix = m_qr.matrixQR().block(0,0,matrix.cols(),matrix.cols()).template triangularView<Upper>(); - if(svd.m_computeFullU) m_qr.matrixQ().evalTo(svd.m_matrixU, m_workspace); - if(svd.computeV()) svd.m_matrixV = m_qr.colsPermutation(); - return true; - } - return false; - } -private: - typedef FullPivHouseholderQR<MatrixType> QRType; - QRType m_qr; - WorkspaceType m_workspace; -}; - -template<typename MatrixType> -class qr_preconditioner_impl<MatrixType, FullPivHouseholderQRPreconditioner, PreconditionIfMoreColsThanRows, true> -{ -public: - typedef typename MatrixType::Index Index; - typedef typename MatrixType::Scalar Scalar; - enum - { - RowsAtCompileTime = MatrixType::RowsAtCompileTime, - ColsAtCompileTime = MatrixType::ColsAtCompileTime, - MaxRowsAtCompileTime = MatrixType::MaxRowsAtCompileTime, - MaxColsAtCompileTime = MatrixType::MaxColsAtCompileTime, - Options = MatrixType::Options - }; - typedef Matrix<Scalar, ColsAtCompileTime, RowsAtCompileTime, Options, MaxColsAtCompileTime, MaxRowsAtCompileTime> - TransposeTypeWithSameStorageOrder; - - void allocate(const JacobiSVD<MatrixType, FullPivHouseholderQRPreconditioner>& svd) - { - if (svd.cols() != m_qr.rows() || svd.rows() != m_qr.cols()) - { - m_qr.~QRType(); - ::new (&m_qr) QRType(svd.cols(), svd.rows()); - } - m_adjoint.resize(svd.cols(), svd.rows()); - if (svd.m_computeFullV) m_workspace.resize(svd.cols()); - } - - bool run(JacobiSVD<MatrixType, FullPivHouseholderQRPreconditioner>& svd, const MatrixType& matrix) - { - if(matrix.cols() > matrix.rows()) - { - m_adjoint = matrix.adjoint(); - m_qr.compute(m_adjoint); - svd.m_workMatrix = m_qr.matrixQR().block(0,0,matrix.rows(),matrix.rows()).template triangularView<Upper>().adjoint(); - if(svd.m_computeFullV) m_qr.matrixQ().evalTo(svd.m_matrixV, m_workspace); - if(svd.computeU()) svd.m_matrixU = m_qr.colsPermutation(); - return true; - } - else return false; - } -private: - typedef FullPivHouseholderQR<TransposeTypeWithSameStorageOrder> QRType; - QRType m_qr; - TransposeTypeWithSameStorageOrder m_adjoint; - typename internal::plain_row_type<MatrixType>::type m_workspace; -}; - -/*** preconditioner using ColPivHouseholderQR ***/ - -template<typename MatrixType> -class qr_preconditioner_impl<MatrixType, ColPivHouseholderQRPreconditioner, PreconditionIfMoreRowsThanCols, true> -{ -public: - typedef typename MatrixType::Index Index; - - void allocate(const JacobiSVD<MatrixType, ColPivHouseholderQRPreconditioner>& svd) - { - if (svd.rows() != m_qr.rows() || svd.cols() != m_qr.cols()) - { - m_qr.~QRType(); - ::new (&m_qr) QRType(svd.rows(), svd.cols()); - } - if (svd.m_computeFullU) m_workspace.resize(svd.rows()); - else if (svd.m_computeThinU) m_workspace.resize(svd.cols()); - } - - bool run(JacobiSVD<MatrixType, ColPivHouseholderQRPreconditioner>& svd, const MatrixType& matrix) - { - if(matrix.rows() > matrix.cols()) - { - m_qr.compute(matrix); - svd.m_workMatrix = m_qr.matrixQR().block(0,0,matrix.cols(),matrix.cols()).template triangularView<Upper>(); - if(svd.m_computeFullU) m_qr.householderQ().evalTo(svd.m_matrixU, m_workspace); - else if(svd.m_computeThinU) - { - svd.m_matrixU.setIdentity(matrix.rows(), matrix.cols()); - m_qr.householderQ().applyThisOnTheLeft(svd.m_matrixU, m_workspace); - } - if(svd.computeV()) svd.m_matrixV = m_qr.colsPermutation(); - return true; - } - return false; - } - -private: - typedef ColPivHouseholderQR<MatrixType> QRType; - QRType m_qr; - typename internal::plain_col_type<MatrixType>::type m_workspace; -}; - -template<typename MatrixType> -class qr_preconditioner_impl<MatrixType, ColPivHouseholderQRPreconditioner, PreconditionIfMoreColsThanRows, true> -{ -public: - typedef typename MatrixType::Index Index; - typedef typename MatrixType::Scalar Scalar; - enum - { - RowsAtCompileTime = MatrixType::RowsAtCompileTime, - ColsAtCompileTime = MatrixType::ColsAtCompileTime, - MaxRowsAtCompileTime = MatrixType::MaxRowsAtCompileTime, - MaxColsAtCompileTime = MatrixType::MaxColsAtCompileTime, - Options = MatrixType::Options - }; - - typedef Matrix<Scalar, ColsAtCompileTime, RowsAtCompileTime, Options, MaxColsAtCompileTime, MaxRowsAtCompileTime> - TransposeTypeWithSameStorageOrder; - - void allocate(const JacobiSVD<MatrixType, ColPivHouseholderQRPreconditioner>& svd) - { - if (svd.cols() != m_qr.rows() || svd.rows() != m_qr.cols()) - { - m_qr.~QRType(); - ::new (&m_qr) QRType(svd.cols(), svd.rows()); - } - if (svd.m_computeFullV) m_workspace.resize(svd.cols()); - else if (svd.m_computeThinV) m_workspace.resize(svd.rows()); - m_adjoint.resize(svd.cols(), svd.rows()); - } - - bool run(JacobiSVD<MatrixType, ColPivHouseholderQRPreconditioner>& svd, const MatrixType& matrix) - { - if(matrix.cols() > matrix.rows()) - { - m_adjoint = matrix.adjoint(); - m_qr.compute(m_adjoint); - - svd.m_workMatrix = m_qr.matrixQR().block(0,0,matrix.rows(),matrix.rows()).template triangularView<Upper>().adjoint(); - if(svd.m_computeFullV) m_qr.householderQ().evalTo(svd.m_matrixV, m_workspace); - else if(svd.m_computeThinV) - { - svd.m_matrixV.setIdentity(matrix.cols(), matrix.rows()); - m_qr.householderQ().applyThisOnTheLeft(svd.m_matrixV, m_workspace); - } - if(svd.computeU()) svd.m_matrixU = m_qr.colsPermutation(); - return true; - } - else return false; - } - -private: - typedef ColPivHouseholderQR<TransposeTypeWithSameStorageOrder> QRType; - QRType m_qr; - TransposeTypeWithSameStorageOrder m_adjoint; - typename internal::plain_row_type<MatrixType>::type m_workspace; -}; - -/*** preconditioner using HouseholderQR ***/ - -template<typename MatrixType> -class qr_preconditioner_impl<MatrixType, HouseholderQRPreconditioner, PreconditionIfMoreRowsThanCols, true> -{ -public: - typedef typename MatrixType::Index Index; - - void allocate(const JacobiSVD<MatrixType, HouseholderQRPreconditioner>& svd) - { - if (svd.rows() != m_qr.rows() || svd.cols() != m_qr.cols()) - { - m_qr.~QRType(); - ::new (&m_qr) QRType(svd.rows(), svd.cols()); - } - if (svd.m_computeFullU) m_workspace.resize(svd.rows()); - else if (svd.m_computeThinU) m_workspace.resize(svd.cols()); - } - - bool run(JacobiSVD<MatrixType, HouseholderQRPreconditioner>& svd, const MatrixType& matrix) - { - if(matrix.rows() > matrix.cols()) - { - m_qr.compute(matrix); - svd.m_workMatrix = m_qr.matrixQR().block(0,0,matrix.cols(),matrix.cols()).template triangularView<Upper>(); - if(svd.m_computeFullU) m_qr.householderQ().evalTo(svd.m_matrixU, m_workspace); - else if(svd.m_computeThinU) - { - svd.m_matrixU.setIdentity(matrix.rows(), matrix.cols()); - m_qr.householderQ().applyThisOnTheLeft(svd.m_matrixU, m_workspace); - } - if(svd.computeV()) svd.m_matrixV.setIdentity(matrix.cols(), matrix.cols()); - return true; - } - return false; - } -private: - typedef HouseholderQR<MatrixType> QRType; - QRType m_qr; - typename internal::plain_col_type<MatrixType>::type m_workspace; -}; - -template<typename MatrixType> -class qr_preconditioner_impl<MatrixType, HouseholderQRPreconditioner, PreconditionIfMoreColsThanRows, true> -{ -public: - typedef typename MatrixType::Index Index; - typedef typename MatrixType::Scalar Scalar; - enum - { - RowsAtCompileTime = MatrixType::RowsAtCompileTime, - ColsAtCompileTime = MatrixType::ColsAtCompileTime, - MaxRowsAtCompileTime = MatrixType::MaxRowsAtCompileTime, - MaxColsAtCompileTime = MatrixType::MaxColsAtCompileTime, - Options = MatrixType::Options - }; - - typedef Matrix<Scalar, ColsAtCompileTime, RowsAtCompileTime, Options, MaxColsAtCompileTime, MaxRowsAtCompileTime> - TransposeTypeWithSameStorageOrder; - - void allocate(const JacobiSVD<MatrixType, HouseholderQRPreconditioner>& svd) - { - if (svd.cols() != m_qr.rows() || svd.rows() != m_qr.cols()) - { - m_qr.~QRType(); - ::new (&m_qr) QRType(svd.cols(), svd.rows()); - } - if (svd.m_computeFullV) m_workspace.resize(svd.cols()); - else if (svd.m_computeThinV) m_workspace.resize(svd.rows()); - m_adjoint.resize(svd.cols(), svd.rows()); - } - - bool run(JacobiSVD<MatrixType, HouseholderQRPreconditioner>& svd, const MatrixType& matrix) - { - if(matrix.cols() > matrix.rows()) - { - m_adjoint = matrix.adjoint(); - m_qr.compute(m_adjoint); - - svd.m_workMatrix = m_qr.matrixQR().block(0,0,matrix.rows(),matrix.rows()).template triangularView<Upper>().adjoint(); - if(svd.m_computeFullV) m_qr.householderQ().evalTo(svd.m_matrixV, m_workspace); - else if(svd.m_computeThinV) - { - svd.m_matrixV.setIdentity(matrix.cols(), matrix.rows()); - m_qr.householderQ().applyThisOnTheLeft(svd.m_matrixV, m_workspace); - } - if(svd.computeU()) svd.m_matrixU.setIdentity(matrix.rows(), matrix.rows()); - return true; - } - else return false; - } - -private: - typedef HouseholderQR<TransposeTypeWithSameStorageOrder> QRType; - QRType m_qr; - TransposeTypeWithSameStorageOrder m_adjoint; - typename internal::plain_row_type<MatrixType>::type m_workspace; -}; - -/*** 2x2 SVD implementation - *** - *** JacobiSVD consists in performing a series of 2x2 SVD subproblems - ***/ - -template<typename MatrixType, int QRPreconditioner> -struct svd_precondition_2x2_block_to_be_real<MatrixType, QRPreconditioner, false> -{ - typedef JacobiSVD<MatrixType, QRPreconditioner> SVD; - typedef typename SVD::Index Index; - static void run(typename SVD::WorkMatrixType&, SVD&, Index, Index) {} -}; - -template<typename MatrixType, int QRPreconditioner> -struct svd_precondition_2x2_block_to_be_real<MatrixType, QRPreconditioner, true> -{ - typedef JacobiSVD<MatrixType, QRPreconditioner> SVD; - typedef typename MatrixType::Scalar Scalar; - typedef typename MatrixType::RealScalar RealScalar; - typedef typename SVD::Index Index; - static void run(typename SVD::WorkMatrixType& work_matrix, SVD& svd, Index p, Index q) - { - using std::sqrt; - Scalar z; - JacobiRotation<Scalar> rot; - RealScalar n = sqrt(numext::abs2(work_matrix.coeff(p,p)) + numext::abs2(work_matrix.coeff(q,p))); - if(n==0) - { - z = abs(work_matrix.coeff(p,q)) / work_matrix.coeff(p,q); - work_matrix.row(p) *= z; - if(svd.computeU()) svd.m_matrixU.col(p) *= conj(z); - z = abs(work_matrix.coeff(q,q)) / work_matrix.coeff(q,q); - work_matrix.row(q) *= z; - if(svd.computeU()) svd.m_matrixU.col(q) *= conj(z); - } - else - { - rot.c() = conj(work_matrix.coeff(p,p)) / n; - rot.s() = work_matrix.coeff(q,p) / n; - work_matrix.applyOnTheLeft(p,q,rot); - if(svd.computeU()) svd.m_matrixU.applyOnTheRight(p,q,rot.adjoint()); - if(work_matrix.coeff(p,q) != Scalar(0)) - { - Scalar z = abs(work_matrix.coeff(p,q)) / work_matrix.coeff(p,q); - work_matrix.col(q) *= z; - if(svd.computeV()) svd.m_matrixV.col(q) *= z; - } - if(work_matrix.coeff(q,q) != Scalar(0)) - { - z = abs(work_matrix.coeff(q,q)) / work_matrix.coeff(q,q); - work_matrix.row(q) *= z; - if(svd.computeU()) svd.m_matrixU.col(q) *= conj(z); - } - } - } -}; - -template<typename MatrixType, typename RealScalar, typename Index> -void real_2x2_jacobi_svd(const MatrixType& matrix, Index p, Index q, - JacobiRotation<RealScalar> *j_left, - JacobiRotation<RealScalar> *j_right) -{ - using std::sqrt; - Matrix<RealScalar,2,2> m; - m << numext::real(matrix.coeff(p,p)), numext::real(matrix.coeff(p,q)), - numext::real(matrix.coeff(q,p)), numext::real(matrix.coeff(q,q)); - JacobiRotation<RealScalar> rot1; - RealScalar t = m.coeff(0,0) + m.coeff(1,1); - RealScalar d = m.coeff(1,0) - m.coeff(0,1); - if(t == RealScalar(0)) - { - rot1.c() = RealScalar(0); - rot1.s() = d > RealScalar(0) ? RealScalar(1) : RealScalar(-1); - } - else - { - RealScalar u = d / t; - rot1.c() = RealScalar(1) / sqrt(RealScalar(1) + numext::abs2(u)); - rot1.s() = rot1.c() * u; - } - m.applyOnTheLeft(0,1,rot1); - j_right->makeJacobi(m,0,1); - *j_left = rot1 * j_right->transpose(); -} - -} // end namespace internal - -/** \ingroup SVD_Module - * - * - * \class JacobiSVD - * - * \brief Two-sided Jacobi SVD decomposition of a rectangular matrix - * - * \param MatrixType the type of the matrix of which we are computing the SVD decomposition - * \param QRPreconditioner this optional parameter allows to specify the type of QR decomposition that will be used internally - * for the R-SVD step for non-square matrices. See discussion of possible values below. - * - * 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. - * - * This JacobiSVD decomposition computes only the singular values by default. If you want \a U or \a V, you need to ask for them explicitly. - * - * 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. - * - * Here's an example demonstrating basic usage: - * \include JacobiSVD_basic.cpp - * Output: \verbinclude JacobiSVD_basic.out - * - * This JacobiSVD class is a two-sided Jacobi R-SVD decomposition, ensuring optimal reliability and accuracy. The downside is that it's slower than - * bidiagonalizing SVD algorithms for large square matrices; however its complexity is still \f$ O(n^2p) \f$ where \a n is the smaller dimension and - * \a p is the greater dimension, meaning that it is still of the same order of complexity as the faster bidiagonalizing R-SVD algorithms. - * In particular, like any R-SVD, it takes advantage of non-squareness in that its complexity is only linear in the greater dimension. - * - * If the input matrix has inf or nan coefficients, the result of the computation is undefined, but the computation is guaranteed to - * terminate in finite (and reasonable) time. - * - * The possible values for QRPreconditioner are: - * \li ColPivHouseholderQRPreconditioner is the default. In practice it's very safe. It uses column-pivoting QR. - * \li FullPivHouseholderQRPreconditioner, is the safest and slowest. It uses full-pivoting QR. - * Contrary to other QRs, it doesn't allow computing thin unitaries. - * \li HouseholderQRPreconditioner is the fastest, and less safe and accurate than the pivoting variants. It uses non-pivoting QR. - * This is very similar in safety and accuracy to the bidiagonalization process used by bidiagonalizing SVD algorithms (since bidiagonalization - * is inherently non-pivoting). However the resulting SVD is still more reliable than bidiagonalizing SVDs because the Jacobi-based iterarive - * process is more reliable than the optimized bidiagonal SVD iterations. - * \li NoQRPreconditioner allows not to use a QR preconditioner at all. This is useful if you know that you will only be computing - * JacobiSVD decompositions of square matrices. Non-square matrices require a QR preconditioner. Using this option will result in - * faster compilation and smaller executable code. It won't significantly speed up computation, since JacobiSVD is always checking - * if QR preconditioning is needed before applying it anyway. - * - * \sa MatrixBase::jacobiSvd() - */ -template<typename _MatrixType, int QRPreconditioner> -class JacobiSVD : public SVDBase<_MatrixType> -{ - public: - - typedef _MatrixType MatrixType; - typedef typename MatrixType::Scalar Scalar; - typedef typename NumTraits<typename MatrixType::Scalar>::Real RealScalar; - typedef typename MatrixType::Index Index; - 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; - typedef typename internal::plain_row_type<MatrixType>::type RowType; - typedef typename internal::plain_col_type<MatrixType>::type ColType; - typedef Matrix<Scalar, DiagSizeAtCompileTime, DiagSizeAtCompileTime, - MatrixOptions, MaxDiagSizeAtCompileTime, MaxDiagSizeAtCompileTime> - WorkMatrixType; - - /** \brief Default Constructor. - * - * The default constructor is useful in cases in which the user intends to - * perform decompositions via JacobiSVD::compute(const MatrixType&). - */ - JacobiSVD() - : SVDBase<_MatrixType>::SVDBase() - {} - - - /** \brief Default Constructor with memory preallocation - * - * Like the default constructor but with preallocation of the internal data - * according to the specified problem size. - * \sa JacobiSVD() - */ - JacobiSVD(Index rows, Index cols, unsigned int computationOptions = 0) - : SVDBase<_MatrixType>::SVDBase() - { - allocate(rows, cols, computationOptions); - } - - /** \brief Constructor performing the decomposition of given matrix. - * - * \param matrix the matrix to decompose - * \param computationOptions optional parameter allowing to specify if you want full or thin U or V unitaries to be computed. - * By default, none is computed. This is a bit-field, the possible bits are #ComputeFullU, #ComputeThinU, - * #ComputeFullV, #ComputeThinV. - * - * Thin unitaries are only available if your matrix type has a Dynamic number of columns (for example MatrixXf). They also are not - * available with the (non-default) FullPivHouseholderQR preconditioner. - */ - JacobiSVD(const MatrixType& matrix, unsigned int computationOptions = 0) - : SVDBase<_MatrixType>::SVDBase() - { - compute(matrix, computationOptions); - } - - /** \brief Method performing the decomposition of given matrix using custom options. - * - * \param matrix the matrix to decompose - * \param computationOptions optional parameter allowing to specify if you want full or thin U or V unitaries to be computed. - * By default, none is computed. This is a bit-field, the possible bits are #ComputeFullU, #ComputeThinU, - * #ComputeFullV, #ComputeThinV. - * - * Thin unitaries are only available if your matrix type has a Dynamic number of columns (for example MatrixXf). They also are not - * available with the (non-default) FullPivHouseholderQR preconditioner. - */ - SVDBase<MatrixType>& compute(const MatrixType& matrix, unsigned int computationOptions); - - /** \brief Method performing the decomposition of given matrix using current options. - * - * \param matrix the matrix to decompose - * - * This method uses the current \a computationOptions, as already passed to the constructor or to compute(const MatrixType&, unsigned int). - */ - SVDBase<MatrixType>& compute(const MatrixType& matrix) - { - return compute(matrix, this->m_computationOptions); - } - - /** \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 internal::solve_retval<JacobiSVD, Rhs> - solve(const MatrixBase<Rhs>& b) const - { - eigen_assert(this->m_isInitialized && "JacobiSVD is not initialized."); - eigen_assert(SVDBase<MatrixType>::computeU() && SVDBase<MatrixType>::computeV() && "JacobiSVD::solve() requires both unitaries U and V to be computed (thin unitaries suffice)."); - return internal::solve_retval<JacobiSVD, Rhs>(*this, b.derived()); - } - - - - private: - void allocate(Index rows, Index cols, unsigned int computationOptions); - - protected: - WorkMatrixType m_workMatrix; - - template<typename __MatrixType, int _QRPreconditioner, bool _IsComplex> - friend struct internal::svd_precondition_2x2_block_to_be_real; - template<typename __MatrixType, int _QRPreconditioner, int _Case, bool _DoAnything> - friend struct internal::qr_preconditioner_impl; - - internal::qr_preconditioner_impl<MatrixType, QRPreconditioner, internal::PreconditionIfMoreColsThanRows> m_qr_precond_morecols; - internal::qr_preconditioner_impl<MatrixType, QRPreconditioner, internal::PreconditionIfMoreRowsThanCols> m_qr_precond_morerows; -}; - -template<typename MatrixType, int QRPreconditioner> -void JacobiSVD<MatrixType, QRPreconditioner>::allocate(Index rows, Index cols, unsigned int computationOptions) -{ - if (SVDBase<MatrixType>::allocate(rows, cols, computationOptions)) return; - - if (QRPreconditioner == FullPivHouseholderQRPreconditioner) - { - eigen_assert(!(this->m_computeThinU || this->m_computeThinV) && - "JacobiSVD: can't compute thin U or thin V with the FullPivHouseholderQR preconditioner. " - "Use the ColPivHouseholderQR preconditioner instead."); - } - - m_workMatrix.resize(this->m_diagSize, this->m_diagSize); - - if(this->m_cols>this->m_rows) m_qr_precond_morecols.allocate(*this); - if(this->m_rows>this->m_cols) m_qr_precond_morerows.allocate(*this); -} - -template<typename MatrixType, int QRPreconditioner> -SVDBase<MatrixType>& -JacobiSVD<MatrixType, QRPreconditioner>::compute(const MatrixType& matrix, unsigned int computationOptions) -{ - using std::abs; - allocate(matrix.rows(), matrix.cols(), computationOptions); - - // currently we stop when we reach precision 2*epsilon as the last bit of precision can require an unreasonable number of iterations, - // only worsening the precision of U and V as we accumulate more rotations - const RealScalar precision = RealScalar(2) * NumTraits<Scalar>::epsilon(); - - // limit for very small denormal numbers to be considered zero in order to avoid infinite loops (see bug 286) - const RealScalar considerAsZero = RealScalar(2) * std::numeric_limits<RealScalar>::denorm_min(); - - /*** step 1. The R-SVD step: we use a QR decomposition to reduce to the case of a square matrix */ - - if(!m_qr_precond_morecols.run(*this, matrix) && !m_qr_precond_morerows.run(*this, matrix)) - { - m_workMatrix = matrix.block(0,0,this->m_diagSize,this->m_diagSize); - if(this->m_computeFullU) this->m_matrixU.setIdentity(this->m_rows,this->m_rows); - if(this->m_computeThinU) this->m_matrixU.setIdentity(this->m_rows,this->m_diagSize); - if(this->m_computeFullV) this->m_matrixV.setIdentity(this->m_cols,this->m_cols); - if(this->m_computeThinV) this->m_matrixV.setIdentity(this->m_cols, this->m_diagSize); - } - - /*** step 2. The main Jacobi SVD iteration. ***/ - - bool finished = false; - while(!finished) - { - finished = true; - - // do a sweep: for all index pairs (p,q), perform SVD of the corresponding 2x2 sub-matrix - - for(Index p = 1; p < this->m_diagSize; ++p) - { - for(Index q = 0; q < p; ++q) - { - // if this 2x2 sub-matrix is not diagonal already... - // notice that this comparison will evaluate to false if any NaN is involved, ensuring that NaN's don't - // keep us iterating forever. Similarly, small denormal numbers are considered zero. - using std::max; - RealScalar threshold = (max)(considerAsZero, precision * (max)(abs(m_workMatrix.coeff(p,p)), - abs(m_workMatrix.coeff(q,q)))); - if((max)(abs(m_workMatrix.coeff(p,q)),abs(m_workMatrix.coeff(q,p))) > threshold) - { - finished = false; - - // perform SVD decomposition of 2x2 sub-matrix corresponding to indices p,q to make it diagonal - internal::svd_precondition_2x2_block_to_be_real<MatrixType, QRPreconditioner>::run(m_workMatrix, *this, p, q); - JacobiRotation<RealScalar> j_left, j_right; - internal::real_2x2_jacobi_svd(m_workMatrix, p, q, &j_left, &j_right); - - // accumulate resulting Jacobi rotations - m_workMatrix.applyOnTheLeft(p,q,j_left); - if(SVDBase<MatrixType>::computeU()) this->m_matrixU.applyOnTheRight(p,q,j_left.transpose()); - - m_workMatrix.applyOnTheRight(p,q,j_right); - if(SVDBase<MatrixType>::computeV()) this->m_matrixV.applyOnTheRight(p,q,j_right); - } - } - } - } - - /*** step 3. The work matrix is now diagonal, so ensure it's positive so its diagonal entries are the singular values ***/ - - for(Index i = 0; i < this->m_diagSize; ++i) - { - RealScalar a = abs(m_workMatrix.coeff(i,i)); - this->m_singularValues.coeffRef(i) = a; - if(SVDBase<MatrixType>::computeU() && (a!=RealScalar(0))) this->m_matrixU.col(i) *= this->m_workMatrix.coeff(i,i)/a; - } - - /*** step 4. Sort singular values in descending order and compute the number of nonzero singular values ***/ - - this->m_nonzeroSingularValues = this->m_diagSize; - for(Index i = 0; i < this->m_diagSize; i++) - { - Index pos; - RealScalar maxRemainingSingularValue = this->m_singularValues.tail(this->m_diagSize-i).maxCoeff(&pos); - if(maxRemainingSingularValue == RealScalar(0)) - { - this->m_nonzeroSingularValues = i; - break; - } - if(pos) - { - pos += i; - std::swap(this->m_singularValues.coeffRef(i), this->m_singularValues.coeffRef(pos)); - if(SVDBase<MatrixType>::computeU()) this->m_matrixU.col(pos).swap(this->m_matrixU.col(i)); - if(SVDBase<MatrixType>::computeV()) this->m_matrixV.col(pos).swap(this->m_matrixV.col(i)); - } - } - - this->m_isInitialized = true; - return *this; -} - -namespace internal { -template<typename _MatrixType, int QRPreconditioner, typename Rhs> -struct solve_retval<JacobiSVD<_MatrixType, QRPreconditioner>, Rhs> - : solve_retval_base<JacobiSVD<_MatrixType, QRPreconditioner>, Rhs> -{ - typedef JacobiSVD<_MatrixType, QRPreconditioner> JacobiSVDType; - EIGEN_MAKE_SOLVE_HELPERS(JacobiSVDType,Rhs) - - template<typename Dest> void evalTo(Dest& dst) const - { - eigen_assert(rhs().rows() == dec().rows()); - - // A = U S V^* - // So A^{-1} = V S^{-1} U^* - - Index diagSize = (std::min)(dec().rows(), dec().cols()); - typename JacobiSVDType::SingularValuesType invertedSingVals(diagSize); - - Index nonzeroSingVals = dec().nonzeroSingularValues(); - invertedSingVals.head(nonzeroSingVals) = dec().singularValues().head(nonzeroSingVals).array().inverse(); - invertedSingVals.tail(diagSize - nonzeroSingVals).setZero(); - - dst = dec().matrixV().leftCols(diagSize) - * invertedSingVals.asDiagonal() - * dec().matrixU().leftCols(diagSize).adjoint() - * rhs(); - } -}; -} // end namespace internal - -/** \svd_module - * - * \return the singular value decomposition of \c *this computed by two-sided - * Jacobi transformations. - * - * \sa class JacobiSVD - */ -template<typename Derived> -JacobiSVD<typename MatrixBase<Derived>::PlainObject> -MatrixBase<Derived>::jacobiSvd(unsigned int computationOptions) const -{ - return JacobiSVD<PlainObject>(*this, computationOptions); -} - -} // end namespace Eigen - -#endif // EIGEN_JACOBISVD_H diff --git a/unsupported/test/svd_common.h b/unsupported/test/svd_common.h index b40c23a2b..6a96e7c74 100644 --- a/unsupported/test/svd_common.h +++ b/unsupported/test/svd_common.h @@ -18,7 +18,7 @@ #define EIGEN_RUNTIME_NO_MALLOC #include "main.h" -#include <unsupported/Eigen/SVD> +#include <unsupported/Eigen/BDCSVD> #include <Eigen/LU> |