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Diffstat (limited to 'third_party/eigen3/Eigen/src/Core/StableNorm.h')
| -rw-r--r-- | third_party/eigen3/Eigen/src/Core/StableNorm.h | 200 |
1 files changed, 200 insertions, 0 deletions
diff --git a/third_party/eigen3/Eigen/src/Core/StableNorm.h b/third_party/eigen3/Eigen/src/Core/StableNorm.h new file mode 100644 index 0000000000..c862c0b63e --- /dev/null +++ b/third_party/eigen3/Eigen/src/Core/StableNorm.h @@ -0,0 +1,200 @@ +// This file is part of Eigen, a lightweight C++ template library +// for linear algebra. +// +// Copyright (C) 2009 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_STABLENORM_H +#define EIGEN_STABLENORM_H + +namespace Eigen { + +namespace internal { + +template<typename ExpressionType, typename Scalar> +inline void stable_norm_kernel(const ExpressionType& bl, Scalar& ssq, Scalar& scale, Scalar& invScale) +{ + using std::max; + Scalar maxCoeff = bl.cwiseAbs().maxCoeff(); + + if (maxCoeff>scale) + { + ssq = ssq * numext::abs2(scale/maxCoeff); + Scalar tmp = Scalar(1)/maxCoeff; + if(tmp > NumTraits<Scalar>::highest()) + { + invScale = NumTraits<Scalar>::highest(); + scale = Scalar(1)/invScale; + } + else + { + scale = maxCoeff; + invScale = tmp; + } + } + + // TODO if the maxCoeff is much much smaller than the current scale, + // then we can neglect this sub vector + if(scale>Scalar(0)) // if scale==0, then bl is 0 + ssq += (bl*invScale).squaredNorm(); +} + +template<typename Derived> +inline typename NumTraits<typename traits<Derived>::Scalar>::Real +blueNorm_impl(const EigenBase<Derived>& _vec) +{ + typedef typename Derived::RealScalar RealScalar; + typedef typename Derived::Index Index; + using std::pow; + using std::sqrt; + using std::abs; + const Derived& vec(_vec.derived()); + static bool initialized = false; + static RealScalar b1, b2, s1m, s2m, overfl, rbig, relerr; + if(!initialized) + { + int ibeta, it, iemin, iemax, iexp; + RealScalar eps; + // This program calculates the machine-dependent constants + // bl, b2, slm, s2m, relerr overfl + // from the "basic" machine-dependent numbers + // nbig, ibeta, it, iemin, iemax, rbig. + // The following define the basic machine-dependent constants. + // For portability, the PORT subprograms "ilmaeh" and "rlmach" + // are used. For any specific computer, each of the assignment + // statements can be replaced + ibeta = std::numeric_limits<RealScalar>::radix; // base for floating-point numbers + it = std::numeric_limits<RealScalar>::digits; // number of base-beta digits in mantissa + iemin = std::numeric_limits<RealScalar>::min_exponent; // minimum exponent + iemax = std::numeric_limits<RealScalar>::max_exponent; // maximum exponent + rbig = (std::numeric_limits<RealScalar>::max)(); // largest floating-point number + + iexp = -((1-iemin)/2); + b1 = RealScalar(pow(RealScalar(ibeta),RealScalar(iexp))); // lower boundary of midrange + iexp = (iemax + 1 - it)/2; + b2 = RealScalar(pow(RealScalar(ibeta),RealScalar(iexp))); // upper boundary of midrange + + iexp = (2-iemin)/2; + s1m = RealScalar(pow(RealScalar(ibeta),RealScalar(iexp))); // scaling factor for lower range + iexp = - ((iemax+it)/2); + s2m = RealScalar(pow(RealScalar(ibeta),RealScalar(iexp))); // scaling factor for upper range + + overfl = rbig*s2m; // overflow boundary for abig + eps = RealScalar(pow(double(ibeta), 1-it)); + relerr = sqrt(eps); // tolerance for neglecting asml + initialized = true; + } + Index n = vec.size(); + RealScalar ab2 = b2 / RealScalar(n); + RealScalar asml = RealScalar(0); + RealScalar amed = RealScalar(0); + RealScalar abig = RealScalar(0); + for(typename Derived::InnerIterator it(vec, 0); it; ++it) + { + RealScalar ax = abs(it.value()); + if(ax > ab2) abig += numext::abs2(ax*s2m); + else if(ax < b1) asml += numext::abs2(ax*s1m); + else amed += numext::abs2(ax); + } + if(abig > RealScalar(0)) + { + abig = sqrt(abig); + if(abig > overfl) + { + return rbig; + } + if(amed > RealScalar(0)) + { + abig = abig/s2m; + amed = sqrt(amed); + } + else + return abig/s2m; + } + else if(asml > RealScalar(0)) + { + if (amed > RealScalar(0)) + { + abig = sqrt(amed); + amed = sqrt(asml) / s1m; + } + else + return sqrt(asml)/s1m; + } + else + return sqrt(amed); + asml = numext::mini(abig, amed); + abig = numext::maxi(abig, amed); + if(asml <= abig*relerr) + return abig; + else + return abig * sqrt(RealScalar(1) + numext::abs2(asml/abig)); +} + +} // end namespace internal + +/** \returns the \em l2 norm of \c *this avoiding underflow and overflow. + * This version use a blockwise two passes algorithm: + * 1 - find the absolute largest coefficient \c s + * 2 - compute \f$ s \Vert \frac{*this}{s} \Vert \f$ in a standard way + * + * For architecture/scalar types supporting vectorization, this version + * is faster than blueNorm(). Otherwise the blueNorm() is much faster. + * + * \sa norm(), blueNorm(), hypotNorm() + */ +template<typename Derived> +inline typename NumTraits<typename internal::traits<Derived>::Scalar>::Real +MatrixBase<Derived>::stableNorm() const +{ + using std::sqrt; + const Index blockSize = 4096; + RealScalar scale(0); + RealScalar invScale(1); + RealScalar ssq(0); // sum of square + enum { + Alignment = (int(Flags)&DirectAccessBit) || (int(Flags)&AlignedBit) ? 1 : 0 + }; + Index n = size(); + Index bi = internal::first_aligned(derived()); + if (bi>0) + internal::stable_norm_kernel(this->head(bi), ssq, scale, invScale); + for (; bi<n; bi+=blockSize) + internal::stable_norm_kernel(this->segment(bi,numext::mini(blockSize, n - bi)).template forceAlignedAccessIf<Alignment>(), ssq, scale, invScale); + return scale * sqrt(ssq); +} + +/** \returns the \em l2 norm of \c *this using the Blue's algorithm. + * A Portable Fortran Program to Find the Euclidean Norm of a Vector, + * ACM TOMS, Vol 4, Issue 1, 1978. + * + * For architecture/scalar types without vectorization, this version + * is much faster than stableNorm(). Otherwise the stableNorm() is faster. + * + * \sa norm(), stableNorm(), hypotNorm() + */ +template<typename Derived> +inline typename NumTraits<typename internal::traits<Derived>::Scalar>::Real +MatrixBase<Derived>::blueNorm() const +{ + return internal::blueNorm_impl(*this); +} + +/** \returns the \em l2 norm of \c *this avoiding undeflow and overflow. + * This version use a concatenation of hypot() calls, and it is very slow. + * + * \sa norm(), stableNorm() + */ +template<typename Derived> +inline typename NumTraits<typename internal::traits<Derived>::Scalar>::Real +MatrixBase<Derived>::hypotNorm() const +{ + return this->cwiseAbs().redux(internal::scalar_hypot_op<RealScalar>()); +} + +} // end namespace Eigen + +#endif // EIGEN_STABLENORM_H |