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// This file is part of Eigen, a lightweight C++ template library
// for linear algebra.
//
// Copyright (C) 2016 Rasmus Munk Larsen (rmlarsen@google.com)
//
// 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_CONDITIONESTIMATOR_H
#define EIGEN_CONDITIONESTIMATOR_H
namespace Eigen {
namespace internal {
template <typename Vector, typename RealVector, bool IsComplex>
struct rcond_compute_sign {
static inline Vector run(const Vector& v) {
const RealVector v_abs = v.cwiseAbs();
return (v_abs.array() == static_cast<typename Vector::RealScalar>(0))
.select(Vector::Ones(v.size()), v.cwiseQuotient(v_abs));
}
};
// Partial specialization to avoid elementwise division for real vectors.
template <typename Vector>
struct rcond_compute_sign<Vector, Vector, false> {
static inline Vector run(const Vector& v) {
return (v.array() < static_cast<typename Vector::RealScalar>(0))
.select(-Vector::Ones(v.size()), Vector::Ones(v.size()));
}
};
/**
* \returns an estimate of ||inv(matrix)||_1 given a decomposition of
* \a matrix that implements .solve() and .adjoint().solve() methods.
*
* This function implements Algorithms 4.1 and 5.1 from
* http://www.maths.manchester.ac.uk/~higham/narep/narep135.pdf
* which also forms the basis for the condition number estimators in
* LAPACK. Since at most 10 calls to the solve method of dec are
* performed, the total cost is O(dims^2), as opposed to O(dims^3)
* needed to compute the inverse matrix explicitly.
*
* The most common usage is in estimating the condition number
* ||matrix||_1 * ||inv(matrix)||_1. The first term ||matrix||_1 can be
* computed directly in O(n^2) operations.
*
* Supports the following decompositions: FullPivLU, PartialPivLU, LDLT, and
* LLT.
*
* \sa FullPivLU, PartialPivLU, LDLT, LLT.
*/
template <typename Decomposition>
typename Decomposition::RealScalar rcond_invmatrix_L1_norm_estimate(const Decomposition& dec)
{
typedef typename Decomposition::MatrixType MatrixType;
typedef typename Decomposition::Scalar Scalar;
typedef typename Decomposition::RealScalar RealScalar;
typedef typename internal::plain_col_type<MatrixType>::type Vector;
typedef typename internal::plain_col_type<MatrixType, RealScalar>::type RealVector;
const bool is_complex = (NumTraits<Scalar>::IsComplex != 0);
eigen_assert(dec.rows() == dec.cols());
const Index n = dec.rows();
if (n == 0)
return 0;
// Disable Index to float conversion warning
#ifdef __INTEL_COMPILER
#pragma warning push
#pragma warning ( disable : 2259 )
#endif
Vector v = dec.solve(Vector::Ones(n) / Scalar(n));
#ifdef __INTEL_COMPILER
#pragma warning pop
#endif
// lower_bound is a lower bound on
// ||inv(matrix)||_1 = sup_v ||inv(matrix) v||_1 / ||v||_1
// and is the objective maximized by the ("super-") gradient ascent
// algorithm below.
RealScalar lower_bound = v.template lpNorm<1>();
if (n == 1)
return lower_bound;
// Gradient ascent algorithm follows: We know that the optimum is achieved at
// one of the simplices v = e_i, so in each iteration we follow a
// super-gradient to move towards the optimal one.
RealScalar old_lower_bound = lower_bound;
Vector sign_vector(n);
Vector old_sign_vector;
Index v_max_abs_index = -1;
Index old_v_max_abs_index = v_max_abs_index;
for (int k = 0; k < 4; ++k)
{
sign_vector = internal::rcond_compute_sign<Vector, RealVector, is_complex>::run(v);
if (k > 0 && !is_complex && sign_vector == old_sign_vector) {
// Break if the solution stagnated.
break;
}
// v_max_abs_index = argmax |real( inv(matrix)^T * sign_vector )|
v = dec.adjoint().solve(sign_vector);
v.real().cwiseAbs().maxCoeff(&v_max_abs_index);
if (v_max_abs_index == old_v_max_abs_index) {
// Break if the solution stagnated.
break;
}
// Move to the new simplex e_j, where j = v_max_abs_index.
v = dec.solve(Vector::Unit(n, v_max_abs_index)); // v = inv(matrix) * e_j.
lower_bound = v.template lpNorm<1>();
if (lower_bound <= old_lower_bound) {
// Break if the gradient step did not increase the lower_bound.
break;
}
if (!is_complex) {
old_sign_vector = sign_vector;
}
old_v_max_abs_index = v_max_abs_index;
old_lower_bound = lower_bound;
}
// The following calculates an independent estimate of ||matrix||_1 by
// multiplying matrix by a vector with entries of slowly increasing
// magnitude and alternating sign:
// v_i = (-1)^{i} (1 + (i / (dim-1))), i = 0,...,dim-1.
// This improvement to Hager's algorithm above is due to Higham. It was
// added to make the algorithm more robust in certain corner cases where
// large elements in the matrix might otherwise escape detection due to
// exact cancellation (especially when op and op_adjoint correspond to a
// sequence of backsubstitutions and permutations), which could cause
// Hager's algorithm to vastly underestimate ||matrix||_1.
Scalar alternating_sign(RealScalar(1));
for (Index i = 0; i < n; ++i) {
// The static_cast is needed when Scalar is a complex and RealScalar implements expression templates
v[i] = alternating_sign * static_cast<RealScalar>(RealScalar(1) + (RealScalar(i) / (RealScalar(n - 1))));
alternating_sign = -alternating_sign;
}
v = dec.solve(v);
const RealScalar alternate_lower_bound = (2 * v.template lpNorm<1>()) / (3 * RealScalar(n));
return numext::maxi(lower_bound, alternate_lower_bound);
}
/** \brief Reciprocal condition number estimator.
*
* Computing a decomposition of a dense matrix takes O(n^3) operations, while
* this method estimates the condition number quickly and reliably in O(n^2)
* operations.
*
* \returns an estimate of the reciprocal condition number
* (1 / (||matrix||_1 * ||inv(matrix)||_1)) of matrix, given ||matrix||_1 and
* its decomposition. Supports the following decompositions: FullPivLU,
* PartialPivLU, LDLT, and LLT.
*
* \sa FullPivLU, PartialPivLU, LDLT, LLT.
*/
template <typename Decomposition>
typename Decomposition::RealScalar
rcond_estimate_helper(typename Decomposition::RealScalar matrix_norm, const Decomposition& dec)
{
typedef typename Decomposition::RealScalar RealScalar;
eigen_assert(dec.rows() == dec.cols());
if (dec.rows() == 0) return NumTraits<RealScalar>::infinity();
if (matrix_norm == RealScalar(0)) return RealScalar(0);
if (dec.rows() == 1) return RealScalar(1);
const RealScalar inverse_matrix_norm = rcond_invmatrix_L1_norm_estimate(dec);
return (inverse_matrix_norm == RealScalar(0) ? RealScalar(0)
: (RealScalar(1) / inverse_matrix_norm) / matrix_norm);
}
} // namespace internal
} // namespace Eigen
#endif
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