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-// This file is part of Eigen, a lightweight C++ template library
-// for linear algebra.
-//
-// Copyright (C) 2008-2009 Gael Guennebaud <gael.guennebaud@inria.fr>
-// Copyright (C) 2010 Jitse Niesen <jitse@maths.leeds.ac.uk>
-//
-// 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_HESSENBERGDECOMPOSITION_H
-#define EIGEN_HESSENBERGDECOMPOSITION_H
-
-namespace Eigen {
-
-namespace internal {
-
-template<typename MatrixType> struct HessenbergDecompositionMatrixHReturnType;
-template<typename MatrixType>
-struct traits<HessenbergDecompositionMatrixHReturnType<MatrixType> >
-{
- typedef MatrixType ReturnType;
-};
-
-}
-
-/** \eigenvalues_module \ingroup Eigenvalues_Module
- *
- *
- * \class HessenbergDecomposition
- *
- * \brief Reduces a square matrix to Hessenberg form by an orthogonal similarity transformation
- *
- * \tparam _MatrixType the type of the matrix of which we are computing the Hessenberg decomposition
- *
- * This class performs an Hessenberg decomposition of a matrix \f$ A \f$. In
- * the real case, the Hessenberg decomposition consists of an orthogonal
- * matrix \f$ Q \f$ and a Hessenberg matrix \f$ H \f$ such that \f$ A = Q H
- * Q^T \f$. An orthogonal matrix is a matrix whose inverse equals its
- * transpose (\f$ Q^{-1} = Q^T \f$). A Hessenberg matrix has zeros below the
- * subdiagonal, so it is almost upper triangular. The Hessenberg decomposition
- * of a complex matrix is \f$ A = Q H Q^* \f$ with \f$ Q \f$ unitary (that is,
- * \f$ Q^{-1} = Q^* \f$).
- *
- * Call the function compute() to compute the Hessenberg decomposition of a
- * given matrix. Alternatively, you can use the
- * HessenbergDecomposition(const MatrixType&) constructor which computes the
- * Hessenberg decomposition at construction time. Once the decomposition is
- * computed, you can use the matrixH() and matrixQ() functions to construct
- * the matrices H and Q in the decomposition.
- *
- * The documentation for matrixH() contains an example of the typical use of
- * this class.
- *
- * \sa class ComplexSchur, class Tridiagonalization, \ref QR_Module "QR Module"
- */
-template<typename _MatrixType> class HessenbergDecomposition
-{
- public:
-
- /** \brief Synonym for the template parameter \p _MatrixType. */
- typedef _MatrixType MatrixType;
-
- enum {
- Size = MatrixType::RowsAtCompileTime,
- SizeMinusOne = Size == Dynamic ? Dynamic : Size - 1,
- Options = MatrixType::Options,
- MaxSize = MatrixType::MaxRowsAtCompileTime,
- MaxSizeMinusOne = MaxSize == Dynamic ? Dynamic : MaxSize - 1
- };
-
- /** \brief Scalar type for matrices of type #MatrixType. */
- typedef typename MatrixType::Scalar Scalar;
- typedef typename MatrixType::Index Index;
-
- /** \brief Type for vector of Householder coefficients.
- *
- * This is column vector with entries of type #Scalar. The length of the
- * vector is one less than the size of #MatrixType, if it is a fixed-side
- * type.
- */
- typedef Matrix<Scalar, SizeMinusOne, 1, Options & ~RowMajor, MaxSizeMinusOne, 1> CoeffVectorType;
-
- /** \brief Return type of matrixQ() */
- typedef HouseholderSequence<MatrixType,typename internal::remove_all<typename CoeffVectorType::ConjugateReturnType>::type> HouseholderSequenceType;
-
- typedef internal::HessenbergDecompositionMatrixHReturnType<MatrixType> MatrixHReturnType;
-
- /** \brief Default constructor; the decomposition will be computed later.
- *
- * \param [in] size The size of the matrix whose Hessenberg decomposition will be computed.
- *
- * The default constructor is useful in cases in which the user intends to
- * perform decompositions via compute(). The \p size parameter is only
- * used as a hint. It is not an error to give a wrong \p size, but it may
- * impair performance.
- *
- * \sa compute() for an example.
- */
- HessenbergDecomposition(Index size = Size==Dynamic ? 2 : Size)
- : m_matrix(size,size),
- m_temp(size),
- m_isInitialized(false)
- {
- if(size>1)
- m_hCoeffs.resize(size-1);
- }
-
- /** \brief Constructor; computes Hessenberg decomposition of given matrix.
- *
- * \param[in] matrix Square matrix whose Hessenberg decomposition is to be computed.
- *
- * This constructor calls compute() to compute the Hessenberg
- * decomposition.
- *
- * \sa matrixH() for an example.
- */
- HessenbergDecomposition(const MatrixType& matrix)
- : m_matrix(matrix),
- m_temp(matrix.rows()),
- m_isInitialized(false)
- {
- if(matrix.rows()<2)
- {
- m_isInitialized = true;
- return;
- }
- m_hCoeffs.resize(matrix.rows()-1,1);
- _compute(m_matrix, m_hCoeffs, m_temp);
- m_isInitialized = true;
- }
-
- /** \brief Computes Hessenberg decomposition of given matrix.
- *
- * \param[in] matrix Square matrix whose Hessenberg decomposition is to be computed.
- * \returns Reference to \c *this
- *
- * The Hessenberg decomposition is computed by bringing the columns of the
- * matrix successively in the required form using Householder reflections
- * (see, e.g., Algorithm 7.4.2 in Golub \& Van Loan, <i>%Matrix
- * Computations</i>). The cost is \f$ 10n^3/3 \f$ flops, where \f$ n \f$
- * denotes the size of the given matrix.
- *
- * This method reuses of the allocated data in the HessenbergDecomposition
- * object.
- *
- * Example: \include HessenbergDecomposition_compute.cpp
- * Output: \verbinclude HessenbergDecomposition_compute.out
- */
- HessenbergDecomposition& compute(const MatrixType& matrix)
- {
- m_matrix = matrix;
- if(matrix.rows()<2)
- {
- m_isInitialized = true;
- return *this;
- }
- m_hCoeffs.resize(matrix.rows()-1,1);
- _compute(m_matrix, m_hCoeffs, m_temp);
- m_isInitialized = true;
- return *this;
- }
-
- /** \brief Returns the Householder coefficients.
- *
- * \returns a const reference to the vector of Householder coefficients
- *
- * \pre Either the constructor HessenbergDecomposition(const MatrixType&)
- * or the member function compute(const MatrixType&) has been called
- * before to compute the Hessenberg decomposition of a matrix.
- *
- * The Householder coefficients allow the reconstruction of the matrix
- * \f$ Q \f$ in the Hessenberg decomposition from the packed data.
- *
- * \sa packedMatrix(), \ref Householder_Module "Householder module"
- */
- const CoeffVectorType& householderCoefficients() const
- {
- eigen_assert(m_isInitialized && "HessenbergDecomposition is not initialized.");
- return m_hCoeffs;
- }
-
- /** \brief Returns the internal representation of the decomposition
- *
- * \returns a const reference to a matrix with the internal representation
- * of the decomposition.
- *
- * \pre Either the constructor HessenbergDecomposition(const MatrixType&)
- * or the member function compute(const MatrixType&) has been called
- * before to compute the Hessenberg decomposition of a matrix.
- *
- * The returned matrix contains the following information:
- * - the upper part and lower sub-diagonal represent the Hessenberg matrix H
- * - the rest of the lower part contains the Householder vectors that, combined with
- * Householder coefficients returned by householderCoefficients(),
- * allows to reconstruct the matrix Q as
- * \f$ Q = H_{N-1} \ldots H_1 H_0 \f$.
- * Here, the matrices \f$ H_i \f$ are the Householder transformations
- * \f$ H_i = (I - h_i v_i v_i^T) \f$
- * where \f$ h_i \f$ is the \f$ i \f$th Householder coefficient and
- * \f$ v_i \f$ is the Householder vector defined by
- * \f$ v_i = [ 0, \ldots, 0, 1, M(i+2,i), \ldots, M(N-1,i) ]^T \f$
- * with M the matrix returned by this function.
- *
- * See LAPACK for further details on this packed storage.
- *
- * Example: \include HessenbergDecomposition_packedMatrix.cpp
- * Output: \verbinclude HessenbergDecomposition_packedMatrix.out
- *
- * \sa householderCoefficients()
- */
- const MatrixType& packedMatrix() const
- {
- eigen_assert(m_isInitialized && "HessenbergDecomposition is not initialized.");
- return m_matrix;
- }
-
- /** \brief Reconstructs the orthogonal matrix Q in the decomposition
- *
- * \returns object representing the matrix Q
- *
- * \pre Either the constructor HessenbergDecomposition(const MatrixType&)
- * or the member function compute(const MatrixType&) has been called
- * before to compute the Hessenberg decomposition of a matrix.
- *
- * This function returns a light-weight object of template class
- * HouseholderSequence. You can either apply it directly to a matrix or
- * you can convert it to a matrix of type #MatrixType.
- *
- * \sa matrixH() for an example, class HouseholderSequence
- */
- HouseholderSequenceType matrixQ() const
- {
- eigen_assert(m_isInitialized && "HessenbergDecomposition is not initialized.");
- return HouseholderSequenceType(m_matrix, m_hCoeffs.conjugate())
- .setLength(m_matrix.rows() - 1)
- .setShift(1);
- }
-
- /** \brief Constructs the Hessenberg matrix H in the decomposition
- *
- * \returns expression object representing the matrix H
- *
- * \pre Either the constructor HessenbergDecomposition(const MatrixType&)
- * or the member function compute(const MatrixType&) has been called
- * before to compute the Hessenberg decomposition of a matrix.
- *
- * The object returned by this function constructs the Hessenberg matrix H
- * when it is assigned to a matrix or otherwise evaluated. The matrix H is
- * constructed from the packed matrix as returned by packedMatrix(): The
- * upper part (including the subdiagonal) of the packed matrix contains
- * the matrix H. It may sometimes be better to directly use the packed
- * matrix instead of constructing the matrix H.
- *
- * Example: \include HessenbergDecomposition_matrixH.cpp
- * Output: \verbinclude HessenbergDecomposition_matrixH.out
- *
- * \sa matrixQ(), packedMatrix()
- */
- MatrixHReturnType matrixH() const
- {
- eigen_assert(m_isInitialized && "HessenbergDecomposition is not initialized.");
- return MatrixHReturnType(*this);
- }
-
- private:
-
- typedef Matrix<Scalar, 1, Size, Options | RowMajor, 1, MaxSize> VectorType;
- typedef typename NumTraits<Scalar>::Real RealScalar;
- static void _compute(MatrixType& matA, CoeffVectorType& hCoeffs, VectorType& temp);
-
- protected:
- MatrixType m_matrix;
- CoeffVectorType m_hCoeffs;
- VectorType m_temp;
- bool m_isInitialized;
-};
-
-/** \internal
- * Performs a tridiagonal decomposition of \a matA in place.
- *
- * \param matA the input selfadjoint matrix
- * \param hCoeffs returned Householder coefficients
- *
- * The result is written in the lower triangular part of \a matA.
- *
- * Implemented from Golub's "%Matrix Computations", algorithm 8.3.1.
- *
- * \sa packedMatrix()
- */
-template<typename MatrixType>
-void HessenbergDecomposition<MatrixType>::_compute(MatrixType& matA, CoeffVectorType& hCoeffs, VectorType& temp)
-{
- eigen_assert(matA.rows()==matA.cols());
- Index n = matA.rows();
- temp.resize(n);
- for (Index i = 0; i<n-1; ++i)
- {
- // let's consider the vector v = i-th column starting at position i+1
- Index remainingSize = n-i-1;
- RealScalar beta;
- Scalar h;
- matA.col(i).tail(remainingSize).makeHouseholderInPlace(h, beta);
- matA.col(i).coeffRef(i+1) = beta;
- hCoeffs.coeffRef(i) = h;
-
- // Apply similarity transformation to remaining columns,
- // i.e., compute A = H A H'
-
- // A = H A
- matA.bottomRightCorner(remainingSize, remainingSize)
- .applyHouseholderOnTheLeft(matA.col(i).tail(remainingSize-1), h, &temp.coeffRef(0));
-
- // A = A H'
- matA.rightCols(remainingSize)
- .applyHouseholderOnTheRight(matA.col(i).tail(remainingSize-1).conjugate(), numext::conj(h), &temp.coeffRef(0));
- }
-}
-
-namespace internal {
-
-/** \eigenvalues_module \ingroup Eigenvalues_Module
- *
- *
- * \brief Expression type for return value of HessenbergDecomposition::matrixH()
- *
- * \tparam MatrixType type of matrix in the Hessenberg decomposition
- *
- * Objects of this type represent the Hessenberg matrix in the Hessenberg
- * decomposition of some matrix. The object holds a reference to the
- * HessenbergDecomposition class until the it is assigned or evaluated for
- * some other reason (the reference should remain valid during the life time
- * of this object). This class is the return type of
- * HessenbergDecomposition::matrixH(); there is probably no other use for this
- * class.
- */
-template<typename MatrixType> struct HessenbergDecompositionMatrixHReturnType
-: public ReturnByValue<HessenbergDecompositionMatrixHReturnType<MatrixType> >
-{
- typedef typename MatrixType::Index Index;
- public:
- /** \brief Constructor.
- *
- * \param[in] hess Hessenberg decomposition
- */
- HessenbergDecompositionMatrixHReturnType(const HessenbergDecomposition<MatrixType>& hess) : m_hess(hess) { }
-
- /** \brief Hessenberg matrix in decomposition.
- *
- * \param[out] result Hessenberg matrix in decomposition \p hess which
- * was passed to the constructor
- */
- template <typename ResultType>
- inline void evalTo(ResultType& result) const
- {
- result = m_hess.packedMatrix();
- Index n = result.rows();
- if (n>2)
- result.bottomLeftCorner(n-2, n-2).template triangularView<Lower>().setZero();
- }
-
- Index rows() const { return m_hess.packedMatrix().rows(); }
- Index cols() const { return m_hess.packedMatrix().cols(); }
-
- protected:
- const HessenbergDecomposition<MatrixType>& m_hess;
-};
-
-} // end namespace internal
-
-} // end namespace Eigen
-
-#endif // EIGEN_HESSENBERGDECOMPOSITION_H