// This file is part of Eigen, a lightweight C++ template library // for linear algebra. // // Copyright (C) 2006-2009 Benoit Jacob // // Eigen is free software; you can redistribute it and/or // modify it under the terms of the GNU Lesser General Public // License as published by the Free Software Foundation; either // version 3 of the License, or (at your option) any later version. // // Alternatively, you can redistribute it and/or // modify it under the terms of the GNU General Public License as // published by the Free Software Foundation; either version 2 of // the License, or (at your option) any later version. // // Eigen is distributed in the hope that it will be useful, but WITHOUT ANY // WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS // FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License or the // GNU General Public License for more details. // // You should have received a copy of the GNU Lesser General Public // License and a copy of the GNU General Public License along with // Eigen. If not, see . #ifndef EIGEN_LU_H #define EIGEN_LU_H template struct ei_lu_solve_impl; template struct ei_lu_kernel_impl; template struct ei_lu_image_impl; /** \ingroup LU_Module * * \class LU * * \brief LU decomposition of a matrix with complete pivoting, and related features * * \param MatrixType the type of the matrix of which we are computing the LU decomposition * * This class represents a LU decomposition of any matrix, with complete pivoting: the matrix A * is decomposed as A = PLUQ where L is unit-lower-triangular, U is upper-triangular, and P and Q * are permutation matrices. This is a rank-revealing LU decomposition. The eigenvalues (diagonal * coefficients) of U are sorted in such a way that any zeros are at the end. * * This decomposition provides the generic approach to solving systems of linear equations, computing * the rank, invertibility, inverse, kernel, and determinant. * * This LU decomposition is very stable and well tested with large matrices. However there are use cases where the SVD * decomposition is inherently more stable and/or flexible. For example, when computing the kernel of a matrix, * working with the SVD allows to select the smallest singular values of the matrix, something that * the LU decomposition doesn't see. * * The data of the LU decomposition can be directly accessed through the methods matrixLU(), * permutationP(), permutationQ(). * * As an exemple, here is how the original matrix can be retrieved: * \include class_LU.cpp * Output: \verbinclude class_LU.out * * \sa MatrixBase::lu(), MatrixBase::determinant(), MatrixBase::inverse() */ template class LU { public: typedef typename MatrixType::Scalar Scalar; typedef typename NumTraits::Real RealScalar; typedef Matrix IntRowVectorType; typedef Matrix IntColVectorType; typedef Matrix RowVectorType; typedef Matrix ColVectorType; enum { MaxSmallDimAtCompileTime = EIGEN_ENUM_MIN( MatrixType::MaxColsAtCompileTime, MatrixType::MaxRowsAtCompileTime) }; /** * \brief Default Constructor. * * The default constructor is useful in cases in which the user intends to * perform decompositions via LU::compute(const MatrixType&). */ LU(); /** Constructor. * * \param matrix the matrix of which to compute the LU decomposition. * It is required to be nonzero. */ LU(const MatrixType& matrix); /** Computes the LU decomposition of the given matrix. * * \param matrix the matrix of which to compute the LU decomposition. * It is required to be nonzero. * * \returns a reference to *this */ LU& compute(const MatrixType& matrix); /** \returns the LU decomposition matrix: the upper-triangular part is U, the * unit-lower-triangular part is L (at least for square matrices; in the non-square * case, special care is needed, see the documentation of class LU). * * \sa matrixL(), matrixU() */ inline const MatrixType& matrixLU() const { ei_assert(m_isInitialized && "LU is not initialized."); return m_lu; } /** \returns the number of nonzero pivots in the LU decomposition. * Here nonzero is meant in the exact sense, not in a fuzzy sense. * So that notion isn't really intrinsically interesting, but it is * still useful when implementing algorithms. * * \sa rank() */ inline int nonzeroPivots() const { ei_assert(m_isInitialized && "LU is not initialized."); return m_nonzero_pivots; } /** \returns the absolute value of the biggest pivot, i.e. the biggest * diagonal coefficient of U. */ RealScalar maxPivot() const { return m_maxpivot; } /** \returns a vector of integers, whose size is the number of rows of the matrix being decomposed, * representing the P permutation i.e. the permutation of the rows. For its precise meaning, * see the examples given in the documentation of class LU. * * \sa permutationQ() */ inline const IntColVectorType& permutationP() const { ei_assert(m_isInitialized && "LU is not initialized."); return m_p; } /** \returns a vector of integers, whose size is the number of columns of the matrix being * decomposed, representing the Q permutation i.e. the permutation of the columns. * For its precise meaning, see the examples given in the documentation of class LU. * * \sa permutationP() */ inline const IntRowVectorType& permutationQ() const { ei_assert(m_isInitialized && "LU is not initialized."); return m_q; } /** \returns the kernel of the matrix, also called its null-space. The columns of the returned matrix * will form a basis of the kernel. * * \note If the kernel has dimension zero, then the returned matrix is a column-vector filled with zeros. * * \note This method has to determine which pivots should be considered nonzero. * For that, it uses the threshold value that you can control by calling * setThreshold(const RealScalar&). * * Example: \include LU_kernel.cpp * Output: \verbinclude LU_kernel.out * * \sa image() */ inline const ei_lu_kernel_impl kernel() const { ei_assert(m_isInitialized && "LU is not initialized."); return ei_lu_kernel_impl(*this); } /** \returns the image of the matrix, also called its column-space. The columns of the returned matrix * will form a basis of the kernel. * * \param originalMatrix the original matrix, of which *this is the LU decomposition. * The reason why it is needed to pass it here, is that this allows * a large optimization, as otherwise this method would need to reconstruct it * from the LU decomposition. * * \note If the image has dimension zero, then the returned matrix is a column-vector filled with zeros. * * \note This method has to determine which pivots should be considered nonzero. * For that, it uses the threshold value that you can control by calling * setThreshold(const RealScalar&). * * Example: \include LU_image.cpp * Output: \verbinclude LU_image.out * * \sa kernel() */ template inline const ei_lu_image_impl image(const MatrixBase& originalMatrix) const { ei_assert(m_isInitialized && "LU is not initialized."); return ei_lu_image_impl(*this, originalMatrix.derived()); } /** This method returns a solution x to the equation Ax=b, where A is the matrix of which * *this is the LU decomposition. * * \param b the right-hand-side of the equation to solve. Can be a vector or a matrix, * the only requirement in order for the equation to make sense is that * b.rows()==A.rows(), where A is the matrix of which *this is the LU decomposition. * * \returns a solution. * * \note_about_checking_solutions * * \note_about_arbitrary_choice_of_solution * \note_about_using_kernel_to_study_multiple_solutions * * Example: \include LU_solve.cpp * Output: \verbinclude LU_solve.out * * \sa TriangularView::solve(), kernel(), inverse() */ template inline const ei_lu_solve_impl solve(const MatrixBase& b) const { ei_assert(m_isInitialized && "LU is not initialized."); return ei_lu_solve_impl(*this, b.derived()); } /** \returns the determinant of the matrix of which * *this is the LU decomposition. It has only linear complexity * (that is, O(n) where n is the dimension of the square matrix) * as the LU decomposition has already been computed. * * \note This is only for square matrices. * * \note For fixed-size matrices of size up to 4, MatrixBase::determinant() offers * optimized paths. * * \warning a determinant can be very big or small, so for matrices * of large enough dimension, there is a risk of overflow/underflow. * * \sa MatrixBase::determinant() */ typename ei_traits::Scalar determinant() const; /** Allows to prescribe a threshold to be used by certain methods, such as rank(), * who need to determine when pivots are to be considered nonzero. This is not used for the * LU decomposition itself. * * When it needs to get the threshold value, Eigen calls threshold(). By default, this calls * defaultThreshold(). Once you have called the present method setThreshold(const RealScalar&), * your value is used instead. * * \param threshold The new value to use as the threshold. * * A pivot will be considered nonzero if its absolute value is strictly greater than * \f$ \vert pivot \vert \leqslant threshold \times \vert maxpivot \vert \f$ * where maxpivot is the biggest pivot. * * If you want to come back to the default behavior, call setThreshold(Default_t) */ LU& setThreshold(const RealScalar& threshold) { m_usePrescribedThreshold = true; m_prescribedThreshold = threshold; } /** 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 lu.setThreshold(Eigen::Default); \endcode * * See the documentation of setThreshold(const RealScalar&). */ LU& setThreshold(Default_t) { m_usePrescribedThreshold = false; } /** Returns the threshold that will be used by certain methods such as rank(). * * See the documentation of setThreshold(const RealScalar&). */ RealScalar threshold() const { ei_assert(m_isInitialized || m_usePrescribedThreshold); return m_usePrescribedThreshold ? m_prescribedThreshold // this formula comes from experimenting (see "LU precision tuning" thread on the list) // and turns out to be identical to Higham's formula used already in LDLt. : epsilon() * m_lu.diagonalSize(); } /** \returns the rank of the matrix of which *this is the LU decomposition. * * \note This method has to determine which pivots should be considered nonzero. * For that, it uses the threshold value that you can control by calling * setThreshold(const RealScalar&). */ inline int rank() const { ei_assert(m_isInitialized && "LU is not initialized."); RealScalar premultiplied_threshold = ei_abs(m_maxpivot) * threshold(); int result = 0; for(int i = 0; i < m_nonzero_pivots; ++i) result += (ei_abs(m_lu.coeff(i,i)) > premultiplied_threshold); return result; } /** \returns the dimension of the kernel of the matrix of which *this is the LU decomposition. * * \note This method has to determine which pivots should be considered nonzero. * For that, it uses the threshold value that you can control by calling * setThreshold(const RealScalar&). */ inline int dimensionOfKernel() const { ei_assert(m_isInitialized && "LU is not initialized."); return m_lu.cols() - rank(); } /** \returns true if the matrix of which *this is the LU decomposition represents an injective * linear map, i.e. has trivial kernel; false otherwise. * * \note This method has to determine which pivots should be considered nonzero. * For that, it uses the threshold value that you can control by calling * setThreshold(const RealScalar&). */ inline bool isInjective() const { ei_assert(m_isInitialized && "LU is not initialized."); return rank() == m_lu.cols(); } /** \returns true if the matrix of which *this is the LU decomposition represents a surjective * linear map; false otherwise. * * \note This method has to determine which pivots should be considered nonzero. * For that, it uses the threshold value that you can control by calling * setThreshold(const RealScalar&). */ inline bool isSurjective() const { ei_assert(m_isInitialized && "LU is not initialized."); return rank() == m_lu.rows(); } /** \returns true if the matrix of which *this is the LU decomposition is invertible. * * \note This method has to determine which pivots should be considered nonzero. * For that, it uses the threshold value that you can control by calling * setThreshold(const RealScalar&). */ inline bool isInvertible() const { ei_assert(m_isInitialized && "LU is not initialized."); return isInjective() && (m_lu.rows() == m_lu.cols()); } /** \returns the inverse of the matrix of which *this is the LU decomposition. * * \note If this matrix is not invertible, the returned matrix has undefined coefficients. * Use isInvertible() to first determine whether this matrix is invertible. * * \sa MatrixBase::inverse() */ inline const ei_lu_solve_impl > inverse() const { ei_assert(m_isInitialized && "LU is not initialized."); ei_assert(m_lu.rows() == m_lu.cols() && "You can't take the inverse of a non-square matrix!"); return ei_lu_solve_impl > (*this, MatrixType::Identity(m_lu.rows(), m_lu.cols()).nestByValue()); } protected: MatrixType m_lu; IntColVectorType m_p; IntRowVectorType m_q; int m_det_pq, m_nonzero_pivots; RealScalar m_maxpivot, m_prescribedThreshold; bool m_isInitialized, m_usePrescribedThreshold; }; template LU::LU() : m_isInitialized(false), m_usePrescribedThreshold(false) { } template LU::LU(const MatrixType& matrix) : m_isInitialized(false), m_usePrescribedThreshold(false) { compute(matrix); } template LU& LU::compute(const MatrixType& matrix) { m_isInitialized = true; m_lu = matrix; m_p.resize(matrix.rows()); m_q.resize(matrix.cols()); const int size = matrix.diagonalSize(); const int rows = matrix.rows(); const int cols = matrix.cols(); // will store the transpositions, before we accumulate them at the end. // can't accumulate on-the-fly because that will be done in reverse order for the rows. IntColVectorType rows_transpositions(matrix.rows()); IntRowVectorType cols_transpositions(matrix.cols()); int number_of_transpositions = 0; // number of NONTRIVIAL transpositions, i.e. rows_transpositions[i]!=i m_nonzero_pivots = size; // the generic case is that in which all pivots are nonzero (invertible case) m_maxpivot = RealScalar(0); for(int k = 0; k < size; ++k) { // First, we need to find the pivot. // biggest coefficient in the remaining bottom-right corner (starting at row k, col k) int row_of_biggest_in_corner, col_of_biggest_in_corner; RealScalar biggest_in_corner; biggest_in_corner = m_lu.corner(Eigen::BottomRight, rows-k, cols-k) .cwise().abs() .maxCoeff(&row_of_biggest_in_corner, &col_of_biggest_in_corner); row_of_biggest_in_corner += k; // correct the values! since they were computed in the corner, col_of_biggest_in_corner += k; // need to add k to them. // if the pivot (hence the corner) is exactly zero, terminate to avoid generating nan/inf values if(biggest_in_corner == RealScalar(0)) { // before exiting, make sure to initialize the still uninitialized row_transpositions // in a sane state without destroying what we already have. m_nonzero_pivots = k; for(int i = k; i < size; i++) { rows_transpositions.coeffRef(i) = i; cols_transpositions.coeffRef(i) = i; } break; } if(biggest_in_corner > m_maxpivot) m_maxpivot = biggest_in_corner; // Now that we've found the pivot, we need to apply the row/col swaps to // bring it to the location (k,k). rows_transpositions.coeffRef(k) = row_of_biggest_in_corner; cols_transpositions.coeffRef(k) = col_of_biggest_in_corner; if(k != row_of_biggest_in_corner) { m_lu.row(k).swap(m_lu.row(row_of_biggest_in_corner)); ++number_of_transpositions; } if(k != col_of_biggest_in_corner) { m_lu.col(k).swap(m_lu.col(col_of_biggest_in_corner)); ++number_of_transpositions; } // Now that the pivot is at the right location, we update the remaining // bottom-right corner by Gaussian elimination. if(k= 0; --k) std::swap(m_p.coeffRef(k), m_p.coeffRef(rows_transpositions.coeff(k))); for(int k = 0; k < matrix.cols(); ++k) m_q.coeffRef(k) = k; for(int k = 0; k < size; ++k) std::swap(m_q.coeffRef(k), m_q.coeffRef(cols_transpositions.coeff(k))); m_det_pq = (number_of_transpositions%2) ? -1 : 1; return *this; } template typename ei_traits::Scalar LU::determinant() const { ei_assert(m_isInitialized && "LU is not initialized."); ei_assert(m_lu.rows() == m_lu.cols() && "You can't take the determinant of a non-square matrix!"); return Scalar(m_det_pq) * m_lu.diagonal().prod(); } /********* Implementation of kernel() **************************************************/ template struct ei_traits > { typedef Matrix< typename MatrixType::Scalar, MatrixType::ColsAtCompileTime, // the number of rows in the "kernel matrix" // is the number of cols of the original matrix // so that the product "matrix * kernel = zero" makes sense Dynamic, // we don't know at compile-time the dimension of the kernel MatrixType::Options, MatrixType::MaxColsAtCompileTime, // see explanation for 2nd template parameter MatrixType::MaxColsAtCompileTime // the kernel is a subspace of the domain space, // whose dimension is the number of columns of the original matrix > ReturnMatrixType; }; template struct ei_lu_kernel_impl : public ReturnByValue > { typedef LU LUType; typedef typename MatrixType::Scalar Scalar; typedef typename MatrixType::RealScalar RealScalar; const LUType& m_lu; int m_rank, m_cols; ei_lu_kernel_impl(const LUType& lu) : m_lu(lu), m_rank(lu.rank()), m_cols(m_rank==lu.matrixLU().cols() ? 1 : lu.matrixLU().cols() - m_rank){} inline int rows() const { return m_lu.matrixLU().cols(); } inline int cols() const { return m_cols; } template void evalTo(Dest& dst) const { const int cols = m_lu.matrixLU().cols(), dimker = cols - m_rank; if(dimker == 0) { // The Kernel is just {0}, so it doesn't have a basis properly speaking, but let's // avoid crashing/asserting as that depends on floating point calculations. Let's // just return a single column vector filled with zeros. dst.setZero(); return; } /* Let us use the following lemma: * * Lemma: If the matrix A has the LU decomposition PAQ = LU, * then Ker A = Q(Ker U). * * Proof: trivial: just keep in mind that P, Q, L are invertible. */ /* Thus, all we need to do is to compute Ker U, and then apply Q. * * U is upper triangular, with eigenvalues sorted so that any zeros appear at the end. * Thus, the diagonal of U ends with exactly * m_dimKer zero's. Let us use that to construct dimKer linearly * independent vectors in Ker U. */ Matrix pivots(m_rank); RealScalar premultiplied_threshold = m_lu.maxPivot() * m_lu.threshold(); int p = 0; for(int i = 0; i < m_lu.nonzeroPivots(); ++i) if(ei_abs(m_lu.matrixLU().coeff(i,i)) > premultiplied_threshold) pivots.coeffRef(p++) = i; ei_assert(p == m_rank && "You hit a bug in Eigen! Please report (backtrace and matrix)!"); // we construct a temporaty trapezoid matrix m, by taking the U matrix and // permuting the rows and cols to bring the nonnegligible pivots to the top of // the main diagonal. We need that to be able to apply our triangular solvers. // FIXME when we get triangularView-for-rectangular-matrices, this can be simplified Matrix m(m_lu.matrixLU().block(0, 0, m_rank, cols)); for(int i = 0; i < m_rank; ++i) { if(i) m.row(i).start(i).setZero(); m.row(i).end(cols-i) = m_lu.matrixLU().row(pivots.coeff(i)).end(cols-i); } m.block(0, 0, m_rank, m_rank).template triangularView().setZero(); for(int i = 0; i < m_rank; ++i) m.col(i).swap(m.col(pivots.coeff(i))); // ok, we have our trapezoid matrix, we can apply the triangular solver. // notice that the math behind this suggests that we should apply this to the // negative of the RHS, but for performance we just put the negative sign elsewhere, see below. m.corner(TopLeft, m_rank, m_rank) .template triangularView().solveInPlace( m.corner(TopRight, m_rank, dimker) ); // now we must undo the column permutation that we had applied! for(int i = m_rank-1; i >= 0; --i) m.col(i).swap(m.col(pivots.coeff(i))); // see the negative sign in the next line, that's what we were talking about above. for(int i = 0; i < m_rank; ++i) dst.row(m_lu.permutationQ().coeff(i)) = -m.row(i).end(dimker); for(int i = m_rank; i < cols; ++i) dst.row(m_lu.permutationQ().coeff(i)).setZero(); for(int k = 0; k < dimker; ++k) dst.coeffRef(m_lu.permutationQ().coeff(m_rank+k), k) = Scalar(1); } }; /***** Implementation of image() *****************************************************/ template struct ei_traits > { typedef Matrix< typename MatrixType::Scalar, MatrixType::RowsAtCompileTime, // the image is a subspace of the destination space, whose // dimension is the number of rows of the original matrix Dynamic, // we don't know at compile time the dimension of the image (the rank) MatrixType::Options, MatrixType::MaxRowsAtCompileTime, // the image matrix will consist of columns from the original matrix, MatrixType::MaxColsAtCompileTime // so it has the same number of rows and at most as many columns. > ReturnMatrixType; }; template struct ei_lu_image_impl : public ReturnByValue > { typedef LU LUType; typedef typename MatrixType::RealScalar RealScalar; const LUType& m_lu; int m_rank, m_cols; const MatrixType& m_originalMatrix; ei_lu_image_impl(const LUType& lu, const MatrixType& originalMatrix) : m_lu(lu), m_rank(lu.rank()), m_cols(m_rank == 0 ? 1 : m_rank), m_originalMatrix(originalMatrix) {} inline int rows() const { return m_lu.matrixLU().rows(); } inline int cols() const { return m_cols; } template void evalTo(Dest& dst) const { if(m_rank == 0) { // The Image is just {0}, so it doesn't have a basis properly speaking, but let's // avoid crashing/asserting as that depends on floating point calculations. Let's // just return a single column vector filled with zeros. dst.setZero(); return; } Matrix pivots(m_rank); RealScalar premultiplied_threshold = m_lu.maxPivot() * m_lu.threshold(); int p = 0; for(int i = 0; i < m_lu.nonzeroPivots(); ++i) if(ei_abs(m_lu.matrixLU().coeff(i,i)) > premultiplied_threshold) pivots.coeffRef(p++) = i; ei_assert(p == m_rank && "You hit a bug in Eigen! Please report (backtrace and matrix)!"); for(int i = 0; i < m_rank; ++i) dst.col(i) = m_originalMatrix.col(m_lu.permutationQ().coeff(pivots.coeff(i))); } }; /***** Implementation of solve() *****************************************************/ template struct ei_traits > { typedef Matrix ReturnMatrixType; }; template struct ei_lu_solve_impl : public ReturnByValue > { typedef typename ei_cleantype::type RhsNested; typedef LU LUType; const LUType& m_lu; const typename Rhs::Nested m_rhs; ei_lu_solve_impl(const LUType& lu, const Rhs& rhs) : m_lu(lu), m_rhs(rhs) {} inline int rows() const { return m_lu.matrixLU().cols(); } inline int cols() const { return m_rhs.cols(); } template void evalTo(Dest& dst) const { /* The decomposition PAQ = LU can be rewritten as A = P^{-1} L U Q^{-1}. * So we proceed as follows: * Step 1: compute c = P * rhs. * Step 2: replace c by the solution x to Lx = c. Exists because L is invertible. * Step 3: replace c by the solution x to Ux = c. May or may not exist. * Step 4: result = Q * c; */ const int rows = m_lu.matrixLU().rows(), cols = m_lu.matrixLU().cols(), nonzero_pivots = m_lu.nonzeroPivots(); ei_assert(m_rhs.rows() == rows); const int smalldim = std::min(rows, cols); if(nonzero_pivots == 0) { dst.setZero(); return; } typename Rhs::PlainMatrixType c(m_rhs.rows(), m_rhs.cols()); // Step 1 for(int i = 0; i < rows; ++i) c.row(m_lu.permutationP().coeff(i)) = m_rhs.row(i); // Step 2 m_lu.matrixLU() .corner(Eigen::TopLeft,smalldim,smalldim) .template triangularView() .solveInPlace(c.corner(Eigen::TopLeft, smalldim, c.cols())); if(rows>cols) { c.corner(Eigen::BottomLeft, rows-cols, c.cols()) -= m_lu.matrixLU().corner(Eigen::BottomLeft, rows-cols, cols) * c.corner(Eigen::TopLeft, cols, c.cols()); } // Step 3 m_lu.matrixLU() .corner(TopLeft, nonzero_pivots, nonzero_pivots) .template triangularView() .solveInPlace(c.corner(TopLeft, nonzero_pivots, c.cols())); // Step 4 for(int i = 0; i < nonzero_pivots; ++i) dst.row(m_lu.permutationQ().coeff(i)) = c.row(i); for(int i = nonzero_pivots; i < m_lu.matrixLU().cols(); ++i) dst.row(m_lu.permutationQ().coeff(i)).setZero(); } }; /******* MatrixBase methods *****************************************************************/ /** \lu_module * * \return the LU decomposition of \c *this. * * \sa class LU */ template inline const LU::PlainMatrixType> MatrixBase::lu() const { return LU(eval()); } #endif // EIGEN_LU_H