Update RealQZ to reduce 2x2 diagonal block of T corresponding to non reduced diagonal block of S to positive diagonal form.

This step involve a real 2x2 SVD problem. The respective routine is thus in src/misc/ to be shared by both EVD and AVD modules.

1 files changed, 31 insertions, 1 deletions

diff --git a/Eigen/src/Eigenvalues/RealQZ.h b/Eigen/src/Eigenvalues/RealQZ.h
index a62071d42..c4715b954 100644
--- a/Eigen/src/Eigenvalues/RealQZ.h
+++ b/Eigen/src/Eigenvalues/RealQZ.h
@@ -552,7 +552,6 @@ namespace Eigen {
       m_T.coeffRef(l,l-1) = Scalar(0.0);
     }
 
-
   template<typename MatrixType>
     RealQZ<MatrixType>& RealQZ<MatrixType>::compute(const MatrixType& A_in, const MatrixType& B_in, bool computeQZ)
     {
@@ -616,6 +615,37 @@ namespace Eigen {
       }
       // check if we converged before reaching iterations limit
       m_info = (local_iter<m_maxIters) ? Success : NoConvergence;
+
+      // For each non triangular 2x2 diagonal block of S,
+      //    reduce the respective 2x2 diagonal block of T to positive diagonal form using 2x2 SVD.
+      // This step is not mandatory for QZ, but it does help further extraction of eigenvalues/eigenvectors,
+      // and is in par with Lapack/Matlab QZ.
+      if(m_info==Success)
+      {
+        for(Index i=0; i<dim-1; ++i)
+        {
+          if(m_S.coeff(i+1, i) != Scalar(0))
+          {
+            JacobiRotation<Scalar> j_left, j_right;
+            internal::real_2x2_jacobi_svd(m_T, i, i+1, &j_left, &j_right);
+
+            // Apply resulting Jacobi rotations
+            m_T.applyOnTheLeft(i,i+1,j_left);
+            m_T.applyOnTheRight(i,i+1,j_right);
+            m_S.applyOnTheLeft(i,i+1,j_left);
+            m_S.applyOnTheRight(i,i+1,j_right);
+            m_T(i,i+1) = Scalar(0);
+
+            if(m_computeQZ) {
+              m_Q.applyOnTheRight(i,i+1,j_left.transpose());
+              m_Z.applyOnTheLeft(i,i+1,j_right.transpose());
+            }
+
+            i++;
+          }
+        }
+      }
+
       return *this;
     } // end compute