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, 54 insertions, 0 deletions

diff --git a/Eigen/src/misc/RealSvd2x2.h b/Eigen/src/misc/RealSvd2x2.h
new file mode 100644
index 000000000..cdd7777d2
--- /dev/null
+++ b/Eigen/src/misc/RealSvd2x2.h
@@ -0,0 +1,54 @@
+// This file is part of Eigen, a lightweight C++ template library
+// for linear algebra.
+//
+// Copyright (C) 2009-2010 Benoit Jacob <jacob.benoit.1@gmail.com>
+// Copyright (C) 2013-2016 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
+// with this file, You can obtain one at http://mozilla.org/MPL/2.0/.
+
+#ifndef EIGEN_REALSVD2X2_H
+#define EIGEN_REALSVD2X2_H
+
+namespace Eigen {
+
+namespace internal {
+
+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;
+  using std::abs;
+  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(d == RealScalar(0))
+  {
+    rot1.s() = RealScalar(0);
+    rot1.c() = RealScalar(1);
+  }
+  else
+  {
+    // If d!=0, then t/d cannot overflow because the magnitude of the
+    // entries forming d are not too small compared to the ones forming t.
+    RealScalar u = t / d;
+    RealScalar tmp = sqrt(RealScalar(1) + numext::abs2(u));
+    rot1.s() = RealScalar(1) / tmp;
+    rot1.c() = u / tmp;
+  }
+  m.applyOnTheLeft(0,1,rot1);
+  j_right->makeJacobi(m,0,1);
+  *j_left = rot1 * j_right->transpose();
+}
+
+} // end namespace internal
+
+} // end namespace Eigen
+
+#endif // EIGEN_REALSVD2X2_H
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