// This file is part of Eigen, a lightweight C++ template library // for linear algebra. // // Copyright (C) 2012 Chen-Pang He // // 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_MATRIX_POWER_BASE #define EIGEN_MATRIX_POWER_BASE namespace Eigen { namespace internal { template struct recompose_complex_schur { template static inline void run(ResultType& res, const MatrixType& T, const MatrixType& U) { res = U * (T.template triangularView() * U.adjoint()); } }; template<> struct recompose_complex_schur<0> { template static inline void run(ResultType& res, const MatrixType& T, const MatrixType& U) { res = (U * (T.template triangularView() * U.adjoint())).real(); } }; template struct traits > { typedef MatrixXpr XprKind; typedef typename remove_all<_Lhs>::type Lhs; typedef typename remove_all<_Rhs>::type Rhs; typedef typename remove_all::type PlainObject; typedef typename scalar_product_traits::ReturnType Scalar; typedef typename promote_storage_type::StorageKind, typename traits::StorageKind>::ret StorageKind; typedef typename promote_index_type::Index, typename traits::Index>::type Index; enum { RowsAtCompileTime = traits::RowsAtCompileTime, ColsAtCompileTime = traits::ColsAtCompileTime, MaxRowsAtCompileTime = traits::MaxRowsAtCompileTime, MaxColsAtCompileTime = traits::MaxColsAtCompileTime, Flags = (MaxRowsAtCompileTime==1 ? RowMajorBit : 0) | EvalBeforeNestingBit | EvalBeforeAssigningBit | NestByRefBit, CoeffReadCost = 0 }; }; template inline int binary_powering_cost(T p, int* squarings) { int applyings=0, tmp; frexp(p, squarings); --*squarings; while (std::frexp(p, &tmp), tmp > 0) { p -= std::ldexp(static_cast(0.5), tmp); ++applyings; } return applyings; } inline int matrix_power_get_pade_degree(float normIminusT) { const float maxNormForPade[] = { 2.8064004e-1f /* degree = 3 */ , 4.3386528e-1f }; int degree = 3; for (; degree <= 4; ++degree) if (normIminusT <= maxNormForPade[degree - 3]) break; return degree; } inline int matrix_power_get_pade_degree(double normIminusT) { const double maxNormForPade[] = { 1.884160592658218e-2 /* degree = 3 */ , 6.038881904059573e-2, 1.239917516308172e-1, 1.999045567181744e-1, 2.789358995219730e-1 }; int degree = 3; for (; degree <= 7; ++degree) if (normIminusT <= maxNormForPade[degree - 3]) break; return degree; } inline int matrix_power_get_pade_degree(long double normIminusT) { #if LDBL_MANT_DIG == 53 const int maxPadeDegree = 7; const double maxNormForPade[] = { 1.884160592658218e-2L /* degree = 3 */ , 6.038881904059573e-2L, 1.239917516308172e-1L, 1.999045567181744e-1L, 2.789358995219730e-1L }; #elif LDBL_MANT_DIG <= 64 const int maxPadeDegree = 8; const double maxNormForPade[] = { 6.3854693117491799460e-3L /* degree = 3 */ , 2.6394893435456973676e-2L, 6.4216043030404063729e-2L, 1.1701165502926694307e-1L, 1.7904284231268670284e-1L, 2.4471944416607995472e-1L }; #elif LDBL_MANT_DIG <= 106 const int maxPadeDegree = 10; const double maxNormForPade[] = { 1.0007161601787493236741409687186e-4L /* degree = 3 */ , 1.0007161601787493236741409687186e-3L, 4.7069769360887572939882574746264e-3L, 1.3220386624169159689406653101695e-2L, 2.8063482381631737920612944054906e-2L, 4.9625993951953473052385361085058e-2L, 7.7367040706027886224557538328171e-2L, 1.1016843812851143391275867258512e-1L }; #else const int maxPadeDegree = 10; const double maxNormForPade[] = { 5.524506147036624377378713555116378e-5L /* degree = 3 */ , 6.640600568157479679823602193345995e-4L, 3.227716520106894279249709728084626e-3L, 9.619593944683432960546978734646284e-3L, 2.134595382433742403911124458161147e-2L, 3.908166513900489428442993794761185e-2L, 6.266780814639442865832535460550138e-2L, 9.134603732914548552537150753385375e-2L }; #endif int degree = 3; for (; degree <= maxPadeDegree; ++degree) if (normIminusT <= maxNormForPade[degree - 3]) break; return degree; } } // namespace internal template class MatrixPowerTriangularAtomic { private: typedef typename MatrixType::Scalar Scalar; typedef typename MatrixType::RealScalar RealScalar; typedef Array ArrayType; const MatrixType& m_T; void computePade(int degree, const MatrixType& IminusT, MatrixType& res, RealScalar p) const; void compute2x2(MatrixType& res, RealScalar p) const; void computeBig(MatrixType& res, RealScalar p) const; public: explicit MatrixPowerTriangularAtomic(const MatrixType& T); void compute(MatrixType& res, RealScalar p) const; }; template MatrixPowerTriangularAtomic::MatrixPowerTriangularAtomic(const MatrixType& T) : m_T(T) { eigen_assert(T.rows() == T.cols()); } template void MatrixPowerTriangularAtomic::compute(MatrixType& res, RealScalar p) const { switch (m_T.rows()) { case 0: break; case 1: res(0,0) = std::pow(m_T(0,0), p); break; case 2: compute2x2(res, p); break; default: computeBig(res, p); } } template void MatrixPowerTriangularAtomic::computePade(int degree, const MatrixType& IminusT, MatrixType& res, RealScalar p) const { int i = degree<<1; res = (p-degree) / ((i-1)<<1) * IminusT; for (--i; i; --i) { res = (MatrixType::Identity(m_T.rows(), m_T.cols()) + res).template triangularView() .solve((i==1 ? -p : i&1 ? (-p-(i>>1))/(i<<1) : (p-(i>>1))/((i-1)<<1)) * IminusT).eval(); } res += MatrixType::Identity(m_T.rows(), m_T.cols()); } template void MatrixPowerTriangularAtomic::compute2x2(MatrixType& res, RealScalar p) const { using std::abs; using std::pow; ArrayType logTdiag = m_T.diagonal().array().log(); res(0,0) = pow(m_T(0,0), p); for (int i=1; i < m_T.cols(); ++i) { res(i,i) = pow(m_T(i,i), p); if (m_T(i-1,i-1) == m_T(i,i)) { res(i-1,i) = p * pow(m_T(i-1,i), p-1); } else if (2*abs(m_T(i-1,i-1)) < abs(m_T(i,i)) || 2*abs(m_T(i,i)) < abs(m_T(i-1,i-1))) { res(i-1,i) = m_T(i-1,i) * (res(i,i)-res(i-1,i-1)) / (m_T(i,i)-m_T(i-1,i-1)); } else { // computation in previous branch is inaccurate if abs(m_T(i,i)) \approx abs(m_T(i-1,i-1)) int unwindingNumber = std::ceil(((logTdiag[i]-logTdiag[i-1]).imag() - M_PI) / (2*M_PI)); Scalar w = internal::atanh2(m_T(i,i)-m_T(i-1,i-1), m_T(i,i)+m_T(i-1,i-1)) + Scalar(0, M_PI*unwindingNumber); res(i-1,i) = m_T(i-1,i) * RealScalar(2) * std::exp(RealScalar(0.5) * p * (logTdiag[i]+logTdiag[i-1])) * std::sinh(p * w) / (m_T(i,i) - m_T(i-1,i-1)); } } } template void MatrixPowerTriangularAtomic::computeBig(MatrixType& res, RealScalar p) const { const int digits = std::numeric_limits::digits; const RealScalar maxNormForPade = digits <= 24? 4.3386528e-1f: // sigle precision digits <= 53? 2.789358995219730e-1: // double precision digits <= 64? 2.4471944416607995472e-1L: // extended precision digits <= 106? 1.1016843812851143391275867258512e-01: // double-double 9.134603732914548552537150753385375e-02; // quadruple precision MatrixType IminusT, sqrtT, T=m_T; RealScalar normIminusT; int degree, degree2, numberOfSquareRoots=0, numberOfExtraSquareRoots=0; while (true) { IminusT = MatrixType::Identity(m_T.rows(), m_T.cols()) - T; normIminusT = IminusT.cwiseAbs().colwise().sum().maxCoeff(); if (normIminusT < maxNormForPade) { degree = internal::matrix_power_get_pade_degree(normIminusT); degree2 = internal::matrix_power_get_pade_degree(normIminusT/2); if (degree - degree2 <= 1 || numberOfExtraSquareRoots) break; ++numberOfExtraSquareRoots; } MatrixSquareRootTriangular(T).compute(sqrtT); T = sqrtT; ++numberOfSquareRoots; } computePade(degree, IminusT, res, p); for (; numberOfSquareRoots; --numberOfSquareRoots) { compute2x2(res, std::ldexp(p,-numberOfSquareRoots)); res *= res; } compute2x2(res, p); } #define EIGEN_MATRIX_POWER_PRODUCT_PUBLIC_INTERFACE(Derived) \ typedef MatrixPowerProductBase Base; \ EIGEN_DENSE_PUBLIC_INTERFACE(Derived) template class MatrixPowerProductBase : public MatrixBase { public: typedef MatrixBase Base; EIGEN_DENSE_PUBLIC_INTERFACE(MatrixPowerProductBase) typedef typename Base::PlainObject PlainObject; inline Index rows() const { return derived().rows(); } inline Index cols() const { return derived().cols(); } template inline void evalTo(ResultType& res) const { derived().evalTo(res); } const PlainObject& eval() const { m_result.resize(rows(), cols()); derived().evalTo(m_result); return m_result; } operator const PlainObject&() const { return eval(); } protected: mutable PlainObject m_result; }; template template Derived& MatrixBase::lazyAssign(const MatrixPowerProductBase& other) { other.derived().evalTo(derived()); return derived(); } } // namespace Eigen #endif // EIGEN_MATRIX_POWER