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Diffstat (limited to 'third_party/eigen3/Eigen/src/QR/ColPivHouseholderQR.h')
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diff --git a/third_party/eigen3/Eigen/src/QR/ColPivHouseholderQR.h b/third_party/eigen3/Eigen/src/QR/ColPivHouseholderQR.h deleted file mode 100644 index 4824880f51..0000000000 --- a/third_party/eigen3/Eigen/src/QR/ColPivHouseholderQR.h +++ /dev/null @@ -1,582 +0,0 @@ -// 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) 2009 Benoit Jacob <jacob.benoit.1@gmail.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_COLPIVOTINGHOUSEHOLDERQR_H -#define EIGEN_COLPIVOTINGHOUSEHOLDERQR_H - -namespace Eigen { - -/** \ingroup QR_Module - * - * \class ColPivHouseholderQR - * - * \brief Householder rank-revealing QR decomposition of a matrix with column-pivoting - * - * \param MatrixType the type of the matrix of which we are computing the QR decomposition - * - * This class performs a rank-revealing QR decomposition of a matrix \b A into matrices \b P, \b Q and \b R - * such that - * \f[ - * \mathbf{A} \, \mathbf{P} = \mathbf{Q} \, \mathbf{R} - * \f] - * by using Householder transformations. Here, \b P is a permutation matrix, \b Q a unitary matrix and \b R an - * upper triangular matrix. - * - * This decomposition performs column pivoting in order to be rank-revealing and improve - * numerical stability. It is slower than HouseholderQR, and faster than FullPivHouseholderQR. - * - * \sa MatrixBase::colPivHouseholderQr() - */ -template<typename _MatrixType> class ColPivHouseholderQR -{ - public: - - typedef _MatrixType MatrixType; - enum { - RowsAtCompileTime = MatrixType::RowsAtCompileTime, - ColsAtCompileTime = MatrixType::ColsAtCompileTime, - Options = MatrixType::Options, - MaxRowsAtCompileTime = MatrixType::MaxRowsAtCompileTime, - MaxColsAtCompileTime = MatrixType::MaxColsAtCompileTime - }; - typedef typename MatrixType::Scalar Scalar; - typedef typename MatrixType::RealScalar RealScalar; - typedef typename MatrixType::Index Index; - typedef Matrix<Scalar, RowsAtCompileTime, RowsAtCompileTime, Options, MaxRowsAtCompileTime, MaxRowsAtCompileTime> MatrixQType; - typedef typename internal::plain_diag_type<MatrixType>::type HCoeffsType; - typedef PermutationMatrix<ColsAtCompileTime, MaxColsAtCompileTime> PermutationType; - typedef typename internal::plain_row_type<MatrixType, Index>::type IntRowVectorType; - typedef typename internal::plain_row_type<MatrixType>::type RowVectorType; - typedef typename internal::plain_row_type<MatrixType, RealScalar>::type RealRowVectorType; - typedef HouseholderSequence<MatrixType,typename internal::remove_all<typename HCoeffsType::ConjugateReturnType>::type> HouseholderSequenceType; - - private: - - typedef typename PermutationType::Index PermIndexType; - - public: - - /** - * \brief Default Constructor. - * - * The default constructor is useful in cases in which the user intends to - * perform decompositions via ColPivHouseholderQR::compute(const MatrixType&). - */ - ColPivHouseholderQR() - : m_qr(), - m_hCoeffs(), - m_colsPermutation(), - m_colsTranspositions(), - m_temp(), - m_colSqNorms(), - m_isInitialized(false), - m_usePrescribedThreshold(false) {} - - /** \brief Default Constructor with memory preallocation - * - * Like the default constructor but with preallocation of the internal data - * according to the specified problem \a size. - * \sa ColPivHouseholderQR() - */ - ColPivHouseholderQR(Index rows, Index cols) - : m_qr(rows, cols), - m_hCoeffs((std::min)(rows,cols)), - m_colsPermutation(PermIndexType(cols)), - m_colsTranspositions(cols), - m_temp(cols), - m_colSqNorms(cols), - m_isInitialized(false), - m_usePrescribedThreshold(false) {} - - /** \brief Constructs a QR factorization from a given matrix - * - * This constructor computes the QR factorization of the matrix \a matrix by calling - * the method compute(). It is a short cut for: - * - * \code - * ColPivHouseholderQR<MatrixType> qr(matrix.rows(), matrix.cols()); - * qr.compute(matrix); - * \endcode - * - * \sa compute() - */ - ColPivHouseholderQR(const MatrixType& matrix) - : m_qr(matrix.rows(), matrix.cols()), - m_hCoeffs((std::min)(matrix.rows(),matrix.cols())), - m_colsPermutation(PermIndexType(matrix.cols())), - m_colsTranspositions(matrix.cols()), - m_temp(matrix.cols()), - m_colSqNorms(matrix.cols()), - m_isInitialized(false), - m_usePrescribedThreshold(false) - { - compute(matrix); - } - - /** This method finds a solution x to the equation Ax=b, where A is the matrix of which - * *this is the QR decomposition, if any exists. - * - * \param b the right-hand-side of the equation to solve. - * - * \returns a solution. - * - * \note The case where b is a matrix is not yet implemented. Also, this - * code is space inefficient. - * - * \note_about_checking_solutions - * - * \note_about_arbitrary_choice_of_solution - * - * Example: \include ColPivHouseholderQR_solve.cpp - * Output: \verbinclude ColPivHouseholderQR_solve.out - */ - template<typename Rhs> - inline const internal::solve_retval<ColPivHouseholderQR, Rhs> - solve(const MatrixBase<Rhs>& b) const - { - eigen_assert(m_isInitialized && "ColPivHouseholderQR is not initialized."); - return internal::solve_retval<ColPivHouseholderQR, Rhs>(*this, b.derived()); - } - - HouseholderSequenceType householderQ(void) const; - HouseholderSequenceType matrixQ(void) const - { - return householderQ(); - } - - /** \returns a reference to the matrix where the Householder QR decomposition is stored - */ - const MatrixType& matrixQR() const - { - eigen_assert(m_isInitialized && "ColPivHouseholderQR is not initialized."); - return m_qr; - } - - /** \returns a reference to the matrix where the result Householder QR is stored - * \warning The strict lower part of this matrix contains internal values. - * Only the upper triangular part should be referenced. To get it, use - * \code matrixR().template triangularView<Upper>() \endcode - * For rank-deficient matrices, use - * \code - * matrixR().topLeftCorner(rank(), rank()).template triangularView<Upper>() - * \endcode - */ - const MatrixType& matrixR() const - { - eigen_assert(m_isInitialized && "ColPivHouseholderQR is not initialized."); - return m_qr; - } - - ColPivHouseholderQR& compute(const MatrixType& matrix); - - /** \returns a const reference to the column permutation matrix */ - const PermutationType& colsPermutation() const - { - eigen_assert(m_isInitialized && "ColPivHouseholderQR is not initialized."); - return m_colsPermutation; - } - - /** \returns the absolute value of the determinant of the matrix of which - * *this is the QR decomposition. It has only linear complexity - * (that is, O(n) where n is the dimension of the square matrix) - * as the QR decomposition has already been computed. - * - * \note This is only for square matrices. - * - * \warning a determinant can be very big or small, so for matrices - * of large enough dimension, there is a risk of overflow/underflow. - * One way to work around that is to use logAbsDeterminant() instead. - * - * \sa logAbsDeterminant(), MatrixBase::determinant() - */ - typename MatrixType::RealScalar absDeterminant() const; - - /** \returns the natural log of the absolute value of the determinant of the matrix of which - * *this is the QR decomposition. It has only linear complexity - * (that is, O(n) where n is the dimension of the square matrix) - * as the QR decomposition has already been computed. - * - * \note This is only for square matrices. - * - * \note This method is useful to work around the risk of overflow/underflow that's inherent - * to determinant computation. - * - * \sa absDeterminant(), MatrixBase::determinant() - */ - typename MatrixType::RealScalar logAbsDeterminant() const; - - /** \returns the rank of the matrix of which *this is the QR 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 Index rank() const - { - using std::abs; - eigen_assert(m_isInitialized && "ColPivHouseholderQR is not initialized."); - RealScalar premultiplied_threshold = abs(m_maxpivot) * threshold(); - Index result = 0; - for(Index i = 0; i < m_nonzero_pivots; ++i) - result += (abs(m_qr.coeff(i,i)) > premultiplied_threshold); - return result; - } - - /** \returns the dimension of the kernel of the matrix of which *this is the QR 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 Index dimensionOfKernel() const - { - eigen_assert(m_isInitialized && "ColPivHouseholderQR is not initialized."); - return cols() - rank(); - } - - /** \returns true if the matrix of which *this is the QR 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 - { - eigen_assert(m_isInitialized && "ColPivHouseholderQR is not initialized."); - return rank() == cols(); - } - - /** \returns true if the matrix of which *this is the QR 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 - { - eigen_assert(m_isInitialized && "ColPivHouseholderQR is not initialized."); - return rank() == rows(); - } - - /** \returns true if the matrix of which *this is the QR 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 - { - eigen_assert(m_isInitialized && "ColPivHouseholderQR is not initialized."); - return isInjective() && isSurjective(); - } - - /** \returns the inverse of the matrix of which *this is the QR decomposition. - * - * \note If this matrix is not invertible, the returned matrix has undefined coefficients. - * Use isInvertible() to first determine whether this matrix is invertible. - */ - inline const - internal::solve_retval<ColPivHouseholderQR, typename MatrixType::IdentityReturnType> - inverse() const - { - eigen_assert(m_isInitialized && "ColPivHouseholderQR is not initialized."); - return internal::solve_retval<ColPivHouseholderQR,typename MatrixType::IdentityReturnType> - (*this, MatrixType::Identity(m_qr.rows(), m_qr.cols())); - } - - inline Index rows() const { return m_qr.rows(); } - inline Index cols() const { return m_qr.cols(); } - - /** \returns a const reference to the vector of Householder coefficients used to represent the factor \c Q. - * - * For advanced uses only. - */ - const HCoeffsType& hCoeffs() const { return m_hCoeffs; } - - /** 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 - * QR decomposition itself. - * - * When it needs to get the threshold value, Eigen calls threshold(). By default, this - * uses a formula to automatically determine a reasonable threshold. - * 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) - */ - ColPivHouseholderQR& setThreshold(const RealScalar& threshold) - { - m_usePrescribedThreshold = true; - m_prescribedThreshold = threshold; - return *this; - } - - /** 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 qr.setThreshold(Eigen::Default); \endcode - * - * See the documentation of setThreshold(const RealScalar&). - */ - ColPivHouseholderQR& setThreshold(Default_t) - { - m_usePrescribedThreshold = false; - return *this; - } - - /** Returns the threshold that will be used by certain methods such as rank(). - * - * See the documentation of setThreshold(const RealScalar&). - */ - RealScalar threshold() const - { - eigen_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. - : NumTraits<Scalar>::epsilon() * RealScalar(m_qr.diagonalSize()); - } - - /** \returns the number of nonzero pivots in the QR 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 Index nonzeroPivots() const - { - eigen_assert(m_isInitialized && "ColPivHouseholderQR is not initialized."); - return m_nonzero_pivots; - } - - /** \returns the absolute value of the biggest pivot, i.e. the biggest - * diagonal coefficient of R. - */ - RealScalar maxPivot() const { return m_maxpivot; } - - /** \brief Reports whether the QR factorization was succesful. - * - * \note This function always returns \c Success. It is provided for compatibility - * with other factorization routines. - * \returns \c Success - */ - ComputationInfo info() const - { - eigen_assert(m_isInitialized && "Decomposition is not initialized."); - return Success; - } - - protected: - MatrixType m_qr; - HCoeffsType m_hCoeffs; - PermutationType m_colsPermutation; - IntRowVectorType m_colsTranspositions; - RowVectorType m_temp; - RealRowVectorType m_colSqNorms; - bool m_isInitialized, m_usePrescribedThreshold; - RealScalar m_prescribedThreshold, m_maxpivot; - Index m_nonzero_pivots; - Index m_det_pq; -}; - -template<typename MatrixType> -typename MatrixType::RealScalar ColPivHouseholderQR<MatrixType>::absDeterminant() const -{ - using std::abs; - eigen_assert(m_isInitialized && "ColPivHouseholderQR is not initialized."); - eigen_assert(m_qr.rows() == m_qr.cols() && "You can't take the determinant of a non-square matrix!"); - return abs(m_qr.diagonal().prod()); -} - -template<typename MatrixType> -typename MatrixType::RealScalar ColPivHouseholderQR<MatrixType>::logAbsDeterminant() const -{ - eigen_assert(m_isInitialized && "ColPivHouseholderQR is not initialized."); - eigen_assert(m_qr.rows() == m_qr.cols() && "You can't take the determinant of a non-square matrix!"); - return m_qr.diagonal().cwiseAbs().array().log().sum(); -} - -/** Performs the QR factorization of the given matrix \a matrix. The result of - * the factorization is stored into \c *this, and a reference to \c *this - * is returned. - * - * \sa class ColPivHouseholderQR, ColPivHouseholderQR(const MatrixType&) - */ -template<typename MatrixType> -ColPivHouseholderQR<MatrixType>& ColPivHouseholderQR<MatrixType>::compute(const MatrixType& matrix) -{ - using std::abs; - Index rows = matrix.rows(); - Index cols = matrix.cols(); - Index size = matrix.diagonalSize(); - - // the column permutation is stored as int indices, so just to be sure: - eigen_assert(cols<=NumTraits<int>::highest()); - - m_qr = matrix; - m_hCoeffs.resize(size); - - m_temp.resize(cols); - - m_colsTranspositions.resize(matrix.cols()); - Index number_of_transpositions = 0; - - m_colSqNorms.resize(cols); - for(Index k = 0; k < cols; ++k) - m_colSqNorms.coeffRef(k) = m_qr.col(k).squaredNorm(); - - RealScalar threshold_helper = m_colSqNorms.maxCoeff() * numext::abs2(NumTraits<Scalar>::epsilon()) / RealScalar(rows); - - m_nonzero_pivots = size; // the generic case is that in which all pivots are nonzero (invertible case) - m_maxpivot = RealScalar(0); - - for(Index k = 0; k < size; ++k) - { - // first, we look up in our table m_colSqNorms which column has the biggest squared norm - Index biggest_col_index; - RealScalar biggest_col_sq_norm = m_colSqNorms.tail(cols-k).maxCoeff(&biggest_col_index); - biggest_col_index += k; - - // since our table m_colSqNorms accumulates imprecision at every step, we must now recompute - // the actual squared norm of the selected column. - // Note that not doing so does result in solve() sometimes returning inf/nan values - // when running the unit test with 1000 repetitions. - biggest_col_sq_norm = m_qr.col(biggest_col_index).tail(rows-k).squaredNorm(); - - // we store that back into our table: it can't hurt to correct our table. - m_colSqNorms.coeffRef(biggest_col_index) = biggest_col_sq_norm; - - // if the current biggest column is smaller than epsilon times the initial biggest column, - // terminate to avoid generating nan/inf values. - // Note that here, if we test instead for "biggest == 0", we get a failure every 1000 (or so) - // repetitions of the unit test, with the result of solve() filled with large values of the order - // of 1/(size*epsilon). - if(biggest_col_sq_norm < threshold_helper * RealScalar(rows-k)) - { - m_nonzero_pivots = k; - m_hCoeffs.tail(size-k).setZero(); - m_qr.bottomRightCorner(rows-k,cols-k) - .template triangularView<StrictlyLower>() - .setZero(); - break; - } - - // apply the transposition to the columns - m_colsTranspositions.coeffRef(k) = biggest_col_index; - if(k != biggest_col_index) { - m_qr.col(k).swap(m_qr.col(biggest_col_index)); - std::swap(m_colSqNorms.coeffRef(k), m_colSqNorms.coeffRef(biggest_col_index)); - ++number_of_transpositions; - } - - // generate the householder vector, store it below the diagonal - RealScalar beta; - m_qr.col(k).tail(rows-k).makeHouseholderInPlace(m_hCoeffs.coeffRef(k), beta); - - // apply the householder transformation to the diagonal coefficient - m_qr.coeffRef(k,k) = beta; - - // remember the maximum absolute value of diagonal coefficients - if(abs(beta) > m_maxpivot) m_maxpivot = abs(beta); - - // apply the householder transformation - m_qr.bottomRightCorner(rows-k, cols-k-1) - .applyHouseholderOnTheLeft(m_qr.col(k).tail(rows-k-1), m_hCoeffs.coeffRef(k), &m_temp.coeffRef(k+1)); - - // update our table of squared norms of the columns - m_colSqNorms.tail(cols-k-1) -= m_qr.row(k).tail(cols-k-1).cwiseAbs2(); - } - - m_colsPermutation.setIdentity(PermIndexType(cols)); - for(PermIndexType k = 0; k < m_nonzero_pivots; ++k) - m_colsPermutation.applyTranspositionOnTheRight(k, PermIndexType(m_colsTranspositions.coeff(k))); - - m_det_pq = (number_of_transpositions%2) ? -1 : 1; - m_isInitialized = true; - - return *this; -} - -namespace internal { - -template<typename _MatrixType, typename Rhs> -struct solve_retval<ColPivHouseholderQR<_MatrixType>, Rhs> - : solve_retval_base<ColPivHouseholderQR<_MatrixType>, Rhs> -{ - EIGEN_MAKE_SOLVE_HELPERS(ColPivHouseholderQR<_MatrixType>,Rhs) - - template<typename Dest> void evalTo(Dest& dst) const - { - eigen_assert(rhs().rows() == dec().rows()); - - const Index cols = dec().cols(), - nonzero_pivots = dec().nonzeroPivots(); - - if(nonzero_pivots == 0) - { - dst.setZero(); - return; - } - - typename Rhs::PlainObject c(rhs()); - - // Note that the matrix Q = H_0^* H_1^*... so its inverse is Q^* = (H_0 H_1 ...)^T - c.applyOnTheLeft(householderSequence(dec().matrixQR(), dec().hCoeffs()) - .setLength(dec().nonzeroPivots()) - .transpose() - ); - - dec().matrixR() - .topLeftCorner(nonzero_pivots, nonzero_pivots) - .template triangularView<Upper>() - .solveInPlace(c.topRows(nonzero_pivots)); - - for(Index i = 0; i < nonzero_pivots; ++i) dst.row(dec().colsPermutation().indices().coeff(i)) = c.row(i); - for(Index i = nonzero_pivots; i < cols; ++i) dst.row(dec().colsPermutation().indices().coeff(i)).setZero(); - } -}; - -} // end namespace internal - -/** \returns the matrix Q as a sequence of householder transformations */ -template<typename MatrixType> -typename ColPivHouseholderQR<MatrixType>::HouseholderSequenceType ColPivHouseholderQR<MatrixType> - ::householderQ() const -{ - eigen_assert(m_isInitialized && "ColPivHouseholderQR is not initialized."); - return HouseholderSequenceType(m_qr, m_hCoeffs.conjugate()).setLength(m_nonzero_pivots); -} - -#ifndef __CUDACC__ -/** \return the column-pivoting Householder QR decomposition of \c *this. - * - * \sa class ColPivHouseholderQR - */ -template<typename Derived> -const ColPivHouseholderQR<typename MatrixBase<Derived>::PlainObject> -MatrixBase<Derived>::colPivHouseholderQr() const -{ - return ColPivHouseholderQR<PlainObject>(eval()); -} -#endif // __CUDACC__ - -} // end namespace Eigen - -#endif // EIGEN_COLPIVOTINGHOUSEHOLDERQR_H |