// This file is part of Eigen, a lightweight C++ template library // for linear algebra. // // Copyright (C) 2012 Alexey Korepanov // // 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_REAL_QZ_H #define EIGEN_REAL_QZ_H // IWYU pragma: private #include "./InternalHeaderCheck.h" namespace Eigen { /** \eigenvalues_module \ingroup Eigenvalues_Module * * * \class RealQZ * * \brief Performs a real QZ decomposition of a pair of square matrices * * \tparam MatrixType_ the type of the matrix of which we are computing the * real QZ decomposition; this is expected to be an instantiation of the * Matrix class template. * * Given a real square matrices A and B, this class computes the real QZ * decomposition: \f$ A = Q S Z \f$, \f$ B = Q T Z \f$ where Q and Z are * real orthogonal matrixes, T is upper-triangular matrix, and S is upper * quasi-triangular matrix. An orthogonal matrix is a matrix whose * inverse is equal to its transpose, \f$ U^{-1} = U^T \f$. A quasi-triangular * matrix is a block-triangular matrix whose diagonal consists of 1-by-1 * blocks and 2-by-2 blocks where further reduction is impossible due to * complex eigenvalues. * * The eigenvalues of the pencil \f$ A - z B \f$ can be obtained from * 1x1 and 2x2 blocks on the diagonals of S and T. * * Call the function compute() to compute the real QZ decomposition of a * given pair of matrices. Alternatively, you can use the * RealQZ(const MatrixType& B, const MatrixType& B, bool computeQZ) * constructor which computes the real QZ decomposition at construction * time. Once the decomposition is computed, you can use the matrixS(), * matrixT(), matrixQ() and matrixZ() functions to retrieve the matrices * S, T, Q and Z in the decomposition. If computeQZ==false, some time * is saved by not computing matrices Q and Z. * * Example: \include RealQZ_compute.cpp * Output: \include RealQZ_compute.out * * \note The implementation is based on the algorithm in "Matrix Computations" * by Gene H. Golub and Charles F. Van Loan, and a paper "An algorithm for * generalized eigenvalue problems" by C.B.Moler and G.W.Stewart. * * \sa class RealSchur, class ComplexSchur, class EigenSolver, class ComplexEigenSolver */ template class RealQZ { public: typedef MatrixType_ MatrixType; enum { RowsAtCompileTime = MatrixType::RowsAtCompileTime, ColsAtCompileTime = MatrixType::ColsAtCompileTime, Options = internal::traits::Options, MaxRowsAtCompileTime = MatrixType::MaxRowsAtCompileTime, MaxColsAtCompileTime = MatrixType::MaxColsAtCompileTime }; typedef typename MatrixType::Scalar Scalar; typedef internal::make_complex_t ComplexScalar; typedef Eigen::Index Index; ///< \deprecated since Eigen 3.3 typedef Matrix EigenvalueType; typedef Matrix ColumnVectorType; /** \brief Default constructor. * * \param [in] size Positive integer, size of the matrix whose QZ 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. */ explicit RealQZ(Index size = RowsAtCompileTime == Dynamic ? 1 : RowsAtCompileTime) : m_S(size, size), m_T(size, size), m_Q(size, size), m_Z(size, size), m_workspace(size * 2), m_maxIters(400), m_isInitialized(false), m_computeQZ(true) {} /** \brief Constructor; computes real QZ decomposition of given matrices * * \param[in] A Matrix A. * \param[in] B Matrix B. * \param[in] computeQZ If false, A and Z are not computed. * * This constructor calls compute() to compute the QZ decomposition. */ RealQZ(const MatrixType& A, const MatrixType& B, bool computeQZ = true) : m_S(A.rows(), A.cols()), m_T(A.rows(), A.cols()), m_Q(A.rows(), A.cols()), m_Z(A.rows(), A.cols()), m_workspace(A.rows() * 2), m_maxIters(400), m_isInitialized(false), m_computeQZ(true) { compute(A, B, computeQZ); } /** \brief Returns matrix Q in the QZ decomposition. * * \returns A const reference to the matrix Q. */ const MatrixType& matrixQ() const { eigen_assert(m_isInitialized && "RealQZ is not initialized."); eigen_assert(m_computeQZ && "The matrices Q and Z have not been computed during the QZ decomposition."); return m_Q; } /** \brief Returns matrix Z in the QZ decomposition. * * \returns A const reference to the matrix Z. */ const MatrixType& matrixZ() const { eigen_assert(m_isInitialized && "RealQZ is not initialized."); eigen_assert(m_computeQZ && "The matrices Q and Z have not been computed during the QZ decomposition."); return m_Z; } /** \brief Returns matrix S in the QZ decomposition. * * \returns A const reference to the matrix S. */ const MatrixType& matrixS() const { eigen_assert(m_isInitialized && "RealQZ is not initialized."); return m_S; } /** \brief Returns matrix S in the QZ decomposition. * * \returns A const reference to the matrix S. */ const MatrixType& matrixT() const { eigen_assert(m_isInitialized && "RealQZ is not initialized."); return m_T; } /** \brief Computes QZ decomposition of given matrix. * * \param[in] A Matrix A. * \param[in] B Matrix B. * \param[in] computeQZ If false, A and Z are not computed. * \returns Reference to \c *this */ RealQZ& compute(const MatrixType& A, const MatrixType& B, bool computeQZ = true); /** \brief Reports whether previous computation was successful. * * \returns \c Success if computation was successful, \c NoConvergence otherwise. */ ComputationInfo info() const { eigen_assert(m_isInitialized && "RealQZ is not initialized."); return m_info; } /** \brief Returns number of performed QR-like iterations. */ Index iterations() const { eigen_assert(m_isInitialized && "RealQZ is not initialized."); return m_global_iter; } /** Sets the maximal number of iterations allowed to converge to one eigenvalue * or decouple the problem. */ RealQZ& setMaxIterations(Index maxIters) { m_maxIters = maxIters; return *this; } private: MatrixType m_S, m_T, m_Q, m_Z; Matrix m_workspace; ComputationInfo m_info; Index m_maxIters; bool m_isInitialized; bool m_computeQZ; Scalar m_normOfT, m_normOfS; Index m_global_iter; typedef Matrix Vector3s; typedef Matrix Vector2s; typedef Matrix Matrix2s; typedef JacobiRotation JRs; void hessenbergTriangular(); void computeNorms(); Index findSmallSubdiagEntry(Index iu); Index findSmallDiagEntry(Index f, Index l); void splitOffTwoRows(Index i); void pushDownZero(Index z, Index f, Index l); void step(Index f, Index l, Index iter); }; // RealQZ /** \internal Reduces S and T to upper Hessenberg - triangular form */ template void RealQZ::hessenbergTriangular() { const Index dim = m_S.cols(); // perform QR decomposition of T, overwrite T with R, save Q HouseholderQR qrT(m_T); m_T = qrT.matrixQR(); m_T.template triangularView().setZero(); m_Q = qrT.householderQ(); // overwrite S with Q* S m_S.applyOnTheLeft(m_Q.adjoint()); // init Z as Identity if (m_computeQZ) m_Z = MatrixType::Identity(dim, dim); // reduce S to upper Hessenberg with Givens rotations for (Index j = 0; j <= dim - 3; j++) { for (Index i = dim - 1; i >= j + 2; i--) { JRs G; // kill S(i,j) if (!numext::is_exactly_zero(m_S.coeff(i, j))) { G.makeGivens(m_S.coeff(i - 1, j), m_S.coeff(i, j), &m_S.coeffRef(i - 1, j)); m_S.coeffRef(i, j) = Scalar(0.0); m_S.rightCols(dim - j - 1).applyOnTheLeft(i - 1, i, G.adjoint()); m_T.rightCols(dim - i + 1).applyOnTheLeft(i - 1, i, G.adjoint()); // update Q if (m_computeQZ) m_Q.applyOnTheRight(i - 1, i, G); } // kill T(i,i-1) if (!numext::is_exactly_zero(m_T.coeff(i, i - 1))) { G.makeGivens(m_T.coeff(i, i), m_T.coeff(i, i - 1), &m_T.coeffRef(i, i)); m_T.coeffRef(i, i - 1) = Scalar(0.0); m_S.applyOnTheRight(i, i - 1, G); m_T.topRows(i).applyOnTheRight(i, i - 1, G); // update Z if (m_computeQZ) m_Z.applyOnTheLeft(i, i - 1, G.adjoint()); } } } } /** \internal Computes vector L1 norms of S and T when in Hessenberg-Triangular form already */ template inline void RealQZ::computeNorms() { const Index size = m_S.cols(); m_normOfS = Scalar(0.0); m_normOfT = Scalar(0.0); for (Index j = 0; j < size; ++j) { m_normOfS += m_S.col(j).segment(0, (std::min)(size, j + 2)).cwiseAbs().sum(); m_normOfT += m_T.row(j).segment(j, size - j).cwiseAbs().sum(); } } /** \internal Look for single small sub-diagonal element S(res, res-1) and return res (or 0) */ template inline Index RealQZ::findSmallSubdiagEntry(Index iu) { using std::abs; Index res = iu; while (res > 0) { Scalar s = abs(m_S.coeff(res - 1, res - 1)) + abs(m_S.coeff(res, res)); if (numext::is_exactly_zero(s)) s = m_normOfS; if (abs(m_S.coeff(res, res - 1)) < NumTraits::epsilon() * s) break; res--; } return res; } /** \internal Look for single small diagonal element T(res, res) for res between f and l, and return res (or f-1) */ template inline Index RealQZ::findSmallDiagEntry(Index f, Index l) { using std::abs; Index res = l; while (res >= f) { if (abs(m_T.coeff(res, res)) <= NumTraits::epsilon() * m_normOfT) break; res--; } return res; } /** \internal decouple 2x2 diagonal block in rows i, i+1 if eigenvalues are real */ template inline void RealQZ::splitOffTwoRows(Index i) { using std::abs; using std::sqrt; const Index dim = m_S.cols(); if (numext::is_exactly_zero(abs(m_S.coeff(i + 1, i)))) return; Index j = findSmallDiagEntry(i, i + 1); if (j == i - 1) { // block of (S T^{-1}) Matrix2s STi = m_T.template block<2, 2>(i, i).template triangularView().template solve( m_S.template block<2, 2>(i, i)); Scalar p = Scalar(0.5) * (STi(0, 0) - STi(1, 1)); Scalar q = p * p + STi(1, 0) * STi(0, 1); if (q >= 0) { Scalar z = sqrt(q); // one QR-like iteration for ABi - lambda I // is enough - when we know exact eigenvalue in advance, // convergence is immediate JRs G; if (p >= 0) G.makeGivens(p + z, STi(1, 0)); else G.makeGivens(p - z, STi(1, 0)); m_S.rightCols(dim - i).applyOnTheLeft(i, i + 1, G.adjoint()); m_T.rightCols(dim - i).applyOnTheLeft(i, i + 1, G.adjoint()); // update Q if (m_computeQZ) m_Q.applyOnTheRight(i, i + 1, G); G.makeGivens(m_T.coeff(i + 1, i + 1), m_T.coeff(i + 1, i)); m_S.topRows(i + 2).applyOnTheRight(i + 1, i, G); m_T.topRows(i + 2).applyOnTheRight(i + 1, i, G); // update Z if (m_computeQZ) m_Z.applyOnTheLeft(i + 1, i, G.adjoint()); m_S.coeffRef(i + 1, i) = Scalar(0.0); m_T.coeffRef(i + 1, i) = Scalar(0.0); } } else { pushDownZero(j, i, i + 1); } } /** \internal use zero in T(z,z) to zero S(l,l-1), working in block f..l */ template inline void RealQZ::pushDownZero(Index z, Index f, Index l) { JRs G; const Index dim = m_S.cols(); for (Index zz = z; zz < l; zz++) { // push 0 down Index firstColS = zz > f ? (zz - 1) : zz; G.makeGivens(m_T.coeff(zz, zz + 1), m_T.coeff(zz + 1, zz + 1)); m_S.rightCols(dim - firstColS).applyOnTheLeft(zz, zz + 1, G.adjoint()); m_T.rightCols(dim - zz).applyOnTheLeft(zz, zz + 1, G.adjoint()); m_T.coeffRef(zz + 1, zz + 1) = Scalar(0.0); // update Q if (m_computeQZ) m_Q.applyOnTheRight(zz, zz + 1, G); // kill S(zz+1, zz-1) if (zz > f) { G.makeGivens(m_S.coeff(zz + 1, zz), m_S.coeff(zz + 1, zz - 1)); m_S.topRows(zz + 2).applyOnTheRight(zz, zz - 1, G); m_T.topRows(zz + 1).applyOnTheRight(zz, zz - 1, G); m_S.coeffRef(zz + 1, zz - 1) = Scalar(0.0); // update Z if (m_computeQZ) m_Z.applyOnTheLeft(zz, zz - 1, G.adjoint()); } } // finally kill S(l,l-1) G.makeGivens(m_S.coeff(l, l), m_S.coeff(l, l - 1)); m_S.applyOnTheRight(l, l - 1, G); m_T.applyOnTheRight(l, l - 1, G); m_S.coeffRef(l, l - 1) = Scalar(0.0); // update Z if (m_computeQZ) m_Z.applyOnTheLeft(l, l - 1, G.adjoint()); } /** \internal QR-like iterative step for block f..l */ template inline void RealQZ::step(Index f, Index l, Index iter) { using std::abs; const Index dim = m_S.cols(); // x, y, z Scalar x, y, z; if (iter == 10) { // Wilkinson ad hoc shift const Scalar a11 = m_S.coeff(f + 0, f + 0), a12 = m_S.coeff(f + 0, f + 1), a21 = m_S.coeff(f + 1, f + 0), a22 = m_S.coeff(f + 1, f + 1), a32 = m_S.coeff(f + 2, f + 1), b12 = m_T.coeff(f + 0, f + 1), b11i = Scalar(1.0) / m_T.coeff(f + 0, f + 0), b22i = Scalar(1.0) / m_T.coeff(f + 1, f + 1), a87 = m_S.coeff(l - 1, l - 2), a98 = m_S.coeff(l - 0, l - 1), b77i = Scalar(1.0) / m_T.coeff(l - 2, l - 2), b88i = Scalar(1.0) / m_T.coeff(l - 1, l - 1); Scalar ss = abs(a87 * b77i) + abs(a98 * b88i), lpl = Scalar(1.5) * ss, ll = ss * ss; x = ll + a11 * a11 * b11i * b11i - lpl * a11 * b11i + a12 * a21 * b11i * b22i - a11 * a21 * b12 * b11i * b11i * b22i; y = a11 * a21 * b11i * b11i - lpl * a21 * b11i + a21 * a22 * b11i * b22i - a21 * a21 * b12 * b11i * b11i * b22i; z = a21 * a32 * b11i * b22i; } else if (iter == 16) { // another exceptional shift x = m_S.coeff(f, f) / m_T.coeff(f, f) - m_S.coeff(l, l) / m_T.coeff(l, l) + m_S.coeff(l, l - 1) * m_T.coeff(l - 1, l) / (m_T.coeff(l - 1, l - 1) * m_T.coeff(l, l)); y = m_S.coeff(f + 1, f) / m_T.coeff(f, f); z = 0; } else if (iter > 23 && !(iter % 8)) { // extremely exceptional shift x = internal::random(-1.0, 1.0); y = internal::random(-1.0, 1.0); z = internal::random(-1.0, 1.0); } else { // Compute the shifts: (x,y,z,0...) = (AB^-1 - l1 I) (AB^-1 - l2 I) e1 // where l1 and l2 are the eigenvalues of the 2x2 matrix C = U V^-1 where // U and V are 2x2 bottom right sub matrices of A and B. Thus: // = AB^-1AB^-1 + l1 l2 I - (l1+l2)(AB^-1) // = AB^-1AB^-1 + det(M) - tr(M)(AB^-1) // Since we are only interested in having x, y, z with a correct ratio, we have: const Scalar a11 = m_S.coeff(f, f), a12 = m_S.coeff(f, f + 1), a21 = m_S.coeff(f + 1, f), a22 = m_S.coeff(f + 1, f + 1), a32 = m_S.coeff(f + 2, f + 1), a88 = m_S.coeff(l - 1, l - 1), a89 = m_S.coeff(l - 1, l), a98 = m_S.coeff(l, l - 1), a99 = m_S.coeff(l, l), b11 = m_T.coeff(f, f), b12 = m_T.coeff(f, f + 1), b22 = m_T.coeff(f + 1, f + 1), b88 = m_T.coeff(l - 1, l - 1), b89 = m_T.coeff(l - 1, l), b99 = m_T.coeff(l, l); x = ((a88 / b88 - a11 / b11) * (a99 / b99 - a11 / b11) - (a89 / b99) * (a98 / b88) + (a98 / b88) * (b89 / b99) * (a11 / b11)) * (b11 / a21) + a12 / b22 - (a11 / b11) * (b12 / b22); y = (a22 / b22 - a11 / b11) - (a21 / b11) * (b12 / b22) - (a88 / b88 - a11 / b11) - (a99 / b99 - a11 / b11) + (a98 / b88) * (b89 / b99); z = a32 / b22; } JRs G; for (Index k = f; k <= l - 2; k++) { // variables for Householder reflections Vector2s essential2; Scalar tau, beta; Vector3s hr(x, y, z); // Q_k to annihilate S(k+1,k-1) and S(k+2,k-1) hr.makeHouseholderInPlace(tau, beta); essential2 = hr.template bottomRows<2>(); Index fc = (std::max)(k - 1, Index(0)); // first col to update m_S.template middleRows<3>(k).rightCols(dim - fc).applyHouseholderOnTheLeft(essential2, tau, m_workspace.data()); m_T.template middleRows<3>(k).rightCols(dim - fc).applyHouseholderOnTheLeft(essential2, tau, m_workspace.data()); if (m_computeQZ) m_Q.template middleCols<3>(k).applyHouseholderOnTheRight(essential2, tau, m_workspace.data()); if (k > f) m_S.coeffRef(k + 2, k - 1) = m_S.coeffRef(k + 1, k - 1) = Scalar(0.0); // Z_{k1} to annihilate T(k+2,k+1) and T(k+2,k) hr << m_T.coeff(k + 2, k + 2), m_T.coeff(k + 2, k), m_T.coeff(k + 2, k + 1); hr.makeHouseholderInPlace(tau, beta); essential2 = hr.template bottomRows<2>(); { Index lr = (std::min)(k + 4, dim); // last row to update Map > tmp(m_workspace.data(), lr); // S tmp.noalias() = m_S.template middleCols<2>(k).topRows(lr) * essential2; tmp += m_S.col(k + 2).head(lr); m_S.col(k + 2).head(lr) -= tau * tmp; m_S.template middleCols<2>(k).topRows(lr).noalias() -= (tau * tmp) * essential2.adjoint(); // T tmp = m_T.template middleCols<2>(k).topRows(lr) * essential2; tmp += m_T.col(k + 2).head(lr); m_T.col(k + 2).head(lr) -= tau * tmp; m_T.template middleCols<2>(k).topRows(lr).noalias() -= (tau * tmp) * essential2.adjoint(); } if (m_computeQZ) { // Z Map > tmp(m_workspace.data(), dim); tmp.noalias() = essential2.adjoint() * (m_Z.template middleRows<2>(k)); tmp += m_Z.row(k + 2); m_Z.row(k + 2) -= tau * tmp; m_Z.template middleRows<2>(k).noalias() -= essential2 * (tau * tmp); } m_T.coeffRef(k + 2, k) = m_T.coeffRef(k + 2, k + 1) = Scalar(0.0); // Z_{k2} to annihilate T(k+1,k) G.makeGivens(m_T.coeff(k + 1, k + 1), m_T.coeff(k + 1, k)); m_S.applyOnTheRight(k + 1, k, G); m_T.applyOnTheRight(k + 1, k, G); // update Z if (m_computeQZ) m_Z.applyOnTheLeft(k + 1, k, G.adjoint()); m_T.coeffRef(k + 1, k) = Scalar(0.0); // update x,y,z x = m_S.coeff(k + 1, k); y = m_S.coeff(k + 2, k); if (k < l - 2) z = m_S.coeff(k + 3, k); } // loop over k // Q_{n-1} to annihilate y = S(l,l-2) G.makeGivens(x, y); m_S.applyOnTheLeft(l - 1, l, G.adjoint()); m_T.applyOnTheLeft(l - 1, l, G.adjoint()); if (m_computeQZ) m_Q.applyOnTheRight(l - 1, l, G); m_S.coeffRef(l, l - 2) = Scalar(0.0); // Z_{n-1} to annihilate T(l,l-1) G.makeGivens(m_T.coeff(l, l), m_T.coeff(l, l - 1)); m_S.applyOnTheRight(l, l - 1, G); m_T.applyOnTheRight(l, l - 1, G); if (m_computeQZ) m_Z.applyOnTheLeft(l, l - 1, G.adjoint()); m_T.coeffRef(l, l - 1) = Scalar(0.0); } template RealQZ& RealQZ::compute(const MatrixType& A_in, const MatrixType& B_in, bool computeQZ) { const Index dim = A_in.cols(); eigen_assert(A_in.rows() == dim && A_in.cols() == dim && B_in.rows() == dim && B_in.cols() == dim && "Need square matrices of the same dimension"); m_isInitialized = true; m_computeQZ = computeQZ; m_S = A_in; m_T = B_in; m_workspace.resize(dim * 2); m_global_iter = 0; // entrance point: hessenberg triangular decomposition hessenbergTriangular(); // compute L1 vector norms of T, S into m_normOfS, m_normOfT computeNorms(); Index l = dim - 1, f, local_iter = 0; while (l > 0 && local_iter < m_maxIters) { f = findSmallSubdiagEntry(l); // now rows and columns f..l (including) decouple from the rest of the problem if (f > 0) m_S.coeffRef(f, f - 1) = Scalar(0.0); if (f == l) // One root found { l--; local_iter = 0; } else if (f == l - 1) // Two roots found { splitOffTwoRows(f); l -= 2; local_iter = 0; } else // No convergence yet { // if there's zero on diagonal of T, we can isolate an eigenvalue with Givens rotations Index z = findSmallDiagEntry(f, l); if (z >= f) { // zero found pushDownZero(z, f, l); } else { // We are sure now that S.block(f,f, l-f+1,l-f+1) is underuced upper-Hessenberg // and T.block(f,f, l-f+1,l-f+1) is invertible uper-triangular, which allows to // apply a QR-like iteration to rows and columns f..l. step(f, l, local_iter); local_iter++; m_global_iter++; } } } // check if we converged before reaching iterations limit m_info = (local_iter < m_maxIters) ? Success : NoConvergence; // For each non triangular 2x2 diagonal block of S, // reduce the respective 2x2 diagonal block of T to positive diagonal form using 2x2 SVD. // This step is not mandatory for QZ, but it does help further extraction of eigenvalues/eigenvectors, // and is in par with Lapack/Matlab QZ. if (m_info == Success) { for (Index i = 0; i < dim - 1; ++i) { if (!numext::is_exactly_zero(m_S.coeff(i + 1, i))) { JacobiRotation j_left, j_right; internal::real_2x2_jacobi_svd(m_T, i, i + 1, &j_left, &j_right); // Apply resulting Jacobi rotations m_S.applyOnTheLeft(i, i + 1, j_left); m_S.applyOnTheRight(i, i + 1, j_right); m_T.applyOnTheLeft(i, i + 1, j_left); m_T.applyOnTheRight(i, i + 1, j_right); m_T(i + 1, i) = m_T(i, i + 1) = Scalar(0); if (m_computeQZ) { m_Q.applyOnTheRight(i, i + 1, j_left.transpose()); m_Z.applyOnTheLeft(i, i + 1, j_right.transpose()); } i++; } } } return *this; } // end compute } // end namespace Eigen #endif // EIGEN_REAL_QZ