From 8472e697ca606e2ea1a67cc2dfa175757666cc02 Mon Sep 17 00:00:00 2001 From: Gael Guennebaud Date: Fri, 17 Oct 2014 15:31:11 +0200 Subject: Add lapack interface to JacobiSVD and BDCSVD --- lapack/complex_double.cpp | 3 +- lapack/complex_single.cpp | 3 +- lapack/double.cpp | 3 +- lapack/eigenvalues.cpp | 23 +------- lapack/lapack_common.h | 7 ++- lapack/single.cpp | 3 +- lapack/svd.cpp | 138 ++++++++++++++++++++++++++++++++++++++++++++++ 7 files changed, 155 insertions(+), 25 deletions(-) create mode 100644 lapack/svd.cpp (limited to 'lapack') diff --git a/lapack/complex_double.cpp b/lapack/complex_double.cpp index 424d2b8ca..c9c575273 100644 --- a/lapack/complex_double.cpp +++ b/lapack/complex_double.cpp @@ -1,7 +1,7 @@ // This file is part of Eigen, a lightweight C++ template library // for linear algebra. // -// Copyright (C) 2009-2011 Gael Guennebaud +// Copyright (C) 2009-2014 Gael Guennebaud // // 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 @@ -15,3 +15,4 @@ #include "cholesky.cpp" #include "lu.cpp" +#include "svd.cpp" diff --git a/lapack/complex_single.cpp b/lapack/complex_single.cpp index c0b2d29ae..6d11b26cd 100644 --- a/lapack/complex_single.cpp +++ b/lapack/complex_single.cpp @@ -1,7 +1,7 @@ // This file is part of Eigen, a lightweight C++ template library // for linear algebra. // -// Copyright (C) 2009-2011 Gael Guennebaud +// Copyright (C) 2009-2014 Gael Guennebaud // // 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 @@ -15,3 +15,4 @@ #include "cholesky.cpp" #include "lu.cpp" +#include "svd.cpp" diff --git a/lapack/double.cpp b/lapack/double.cpp index d86549e19..ea78bb662 100644 --- a/lapack/double.cpp +++ b/lapack/double.cpp @@ -1,7 +1,7 @@ // This file is part of Eigen, a lightweight C++ template library // for linear algebra. // -// Copyright (C) 2009-2011 Gael Guennebaud +// Copyright (C) 2009-2014 Gael Guennebaud // // 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 @@ -15,3 +15,4 @@ #include "cholesky.cpp" #include "lu.cpp" #include "eigenvalues.cpp" +#include "svd.cpp" diff --git a/lapack/eigenvalues.cpp b/lapack/eigenvalues.cpp index 6141032ab..921c51569 100644 --- a/lapack/eigenvalues.cpp +++ b/lapack/eigenvalues.cpp @@ -7,10 +7,10 @@ // 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/. -#include "common.h" +#include "lapack_common.h" #include -// computes an LU factorization of a general M-by-N matrix A using partial pivoting with row interchanges +// computes eigen values and vectors of a general N-by-N matrix A EIGEN_LAPACK_FUNC(syev,(char *jobz, char *uplo, int* n, Scalar* a, int *lda, Scalar* w, Scalar* /*work*/, int* lwork, int *info)) { // TODO exploit the work buffer @@ -22,24 +22,7 @@ EIGEN_LAPACK_FUNC(syev,(char *jobz, char *uplo, int* n, Scalar* a, int *lda, Sca else if(*n<0) *info = -3; else if(*lda +// Copyright (C) 2010-2014 Gael Guennebaud // // 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 @@ -18,6 +18,11 @@ typedef Eigen::Map > PivotsType; +#if ISCOMPLEX +#define EIGEN_LAPACK_ARG_IF_COMPLEX(X) X, +#else +#define EIGEN_LAPACK_ARG_IF_COMPLEX(X) +#endif #endif // EIGEN_LAPACK_COMMON_H diff --git a/lapack/single.cpp b/lapack/single.cpp index a64ed44e1..c7da3effa 100644 --- a/lapack/single.cpp +++ b/lapack/single.cpp @@ -1,7 +1,7 @@ // This file is part of Eigen, a lightweight C++ template library // for linear algebra. // -// Copyright (C) 2009-2011 Gael Guennebaud +// Copyright (C) 2009-2014 Gael Guennebaud // // 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 @@ -15,3 +15,4 @@ #include "cholesky.cpp" #include "lu.cpp" #include "eigenvalues.cpp" +#include "svd.cpp" diff --git a/lapack/svd.cpp b/lapack/svd.cpp new file mode 100644 index 000000000..ecac3bab1 --- /dev/null +++ b/lapack/svd.cpp @@ -0,0 +1,138 @@ +// This file is part of Eigen, a lightweight C++ template library +// for linear algebra. +// +// Copyright (C) 2014 Gael Guennebaud +// +// 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/. + +#include "lapack_common.h" +#include +#include + +// computes the singular values/vectors a general M-by-N matrix A using divide-and-conquer +EIGEN_LAPACK_FUNC(gesdd,(char *jobz, int *m, int* n, Scalar* a, int *lda, RealScalar *s, Scalar *u, int *ldu, Scalar *vt, int *ldvt, Scalar* /*work*/, int* lwork, + EIGEN_LAPACK_ARG_IF_COMPLEX(RealScalar */*rwork*/) int * /*iwork*/, int *info)) +{ + // TODO exploit the work buffer + bool query_size = *lwork==-1; + int diag_size = (std::min)(*m,*n); + + *info = 0; + if(*jobz!='A' && *jobz!='S' && *jobz!='O' && *jobz!='N') *info = -1; + else if(*m<0) *info = -2; + else if(*n<0) *info = -3; + else if(*lda=*n && *ldvt<*n)) *info = -10; + + if(*info!=0) + { + int e = -*info; + return xerbla_(SCALAR_SUFFIX_UP"GESDD ", &e, 6); + } + + if(query_size) + { + *lwork = 0; + return 0; + } + + if(*n==0 || *m==0) + return 0; + + PlainMatrixType mat(*m,*n); + mat = matrix(a,*m,*n,*lda); + + int option = *jobz=='A' ? ComputeFullU|ComputeFullV + : *jobz=='S' ? ComputeThinU|ComputeThinV + : *jobz=='O' ? ComputeThinU|ComputeThinV + : 0; + + BDCSVD svd(mat,option); + + make_vector(s,diag_size) = svd.singularValues().head(diag_size); + + if(*jobz=='A') + { + matrix(u,*m,*m,*ldu) = svd.matrixU(); + matrix(vt,*n,*n,*ldvt) = svd.matrixV().adjoint(); + } + else if(*jobz=='S') + { + matrix(u,*m,diag_size,*ldu) = svd.matrixU(); + matrix(vt,diag_size,*n,*ldvt) = svd.matrixV().adjoint(); + } + else if(*jobz=='O' && *m>=*n) + { + matrix(a,*m,*n,*lda) = svd.matrixU(); + matrix(vt,*n,*n,*ldvt) = svd.matrixV().adjoint(); + } + else if(*jobz=='O') + { + matrix(u,*m,*m,*ldu) = svd.matrixU(); + matrix(a,diag_size,*n,*lda) = svd.matrixV().adjoint(); + } + + return 0; +} + +// computes the singular values/vectors a general M-by-N matrix A using two sided jacobi algorithm +EIGEN_LAPACK_FUNC(gesvd,(char *jobu, char *jobv, int *m, int* n, Scalar* a, int *lda, RealScalar *s, Scalar *u, int *ldu, Scalar *vt, int *ldvt, Scalar* /*work*/, int* lwork, + EIGEN_LAPACK_ARG_IF_COMPLEX(RealScalar */*rwork*/) int *info)) +{ + // TODO exploit the work buffer + bool query_size = *lwork==-1; + int diag_size = (std::min)(*m,*n); + + *info = 0; + if( *jobu!='A' && *jobu!='S' && *jobu!='O' && *jobu!='N') *info = -1; + else if((*jobv!='A' && *jobv!='S' && *jobv!='O' && *jobv!='N') + || (*jobu=='O' && *jobv=='O')) *info = -2; + else if(*m<0) *info = -3; + else if(*n<0) *info = -4; + else if(*lda svd(mat,option); + + make_vector(s,diag_size) = svd.singularValues().head(diag_size); + + if(*jobu=='A') matrix(u,*m,*m,*ldu) = svd.matrixU(); + else if(*jobu=='S') matrix(u,*m,diag_size,*ldu) = svd.matrixU(); + else if(*jobu=='O') matrix(a,*m,diag_size,*lda) = svd.matrixU(); + + if(*jobv=='A') matrix(vt,*n,*n,*ldvt) = svd.matrixV().adjoint(); + else if(*jobv=='S') matrix(vt,diag_size,*n,*ldvt) = svd.matrixV().adjoint(); + else if(*jobv=='O') matrix(a,diag_size,*n,*lda) = svd.matrixV().adjoint(); + + return 0; +} -- cgit v1.2.3