// This file is part of Eigen, a lightweight C++ template library // for linear algebra. // // We used the "A Divide-And-Conquer Algorithm for the Bidiagonal SVD" // research report written by Ming Gu and Stanley C.Eisenstat // The code variable names correspond to the names they used in their // report // // Copyright (C) 2013 Gauthier Brun // Copyright (C) 2013 Nicolas Carre // Copyright (C) 2013 Jean Ceccato // Copyright (C) 2013 Pierre Zoppitelli // Copyright (C) 2013 Jitse Niesen // Copyright (C) 2014-2017 Gael Guennebaud // // 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_BDCSVD_H #define EIGEN_BDCSVD_H // #define EIGEN_BDCSVD_DEBUG_VERBOSE // #define EIGEN_BDCSVD_SANITY_CHECKS #ifdef EIGEN_BDCSVD_SANITY_CHECKS #undef eigen_internal_assert #define eigen_internal_assert(X) assert(X); #endif // IWYU pragma: private #include "./InternalHeaderCheck.h" #ifdef EIGEN_BDCSVD_DEBUG_VERBOSE #include #endif namespace Eigen { #ifdef EIGEN_BDCSVD_DEBUG_VERBOSE IOFormat bdcsvdfmt(8, 0, ", ", "\n", " [", "]"); #endif template class BDCSVD; namespace internal { template struct traits > : svd_traits { typedef MatrixType_ MatrixType; }; } // end namespace internal /** \ingroup SVD_Module * * * \class BDCSVD * * \brief class Bidiagonal Divide and Conquer SVD * * \tparam MatrixType_ the type of the matrix of which we are computing the SVD decomposition * * \tparam Options_ this optional parameter allows one to specify options for computing unitaries \a U and \a V. * Possible values are #ComputeThinU, #ComputeThinV, #ComputeFullU, #ComputeFullV, and * #DisableQRDecomposition. It is not possible to request both the thin and full version of \a U or * \a V. By default, unitaries are not computed. BDCSVD uses R-Bidiagonalization to improve * performance on tall and wide matrices. For backwards compatility, the option * #DisableQRDecomposition can be used to disable this optimization. * * This class first reduces the input matrix to bi-diagonal form using class UpperBidiagonalization, * and then performs a divide-and-conquer diagonalization. Small blocks are diagonalized using class JacobiSVD. * You can control the switching size with the setSwitchSize() method, default is 16. * For small matrice (<16), it is thus preferable to directly use JacobiSVD. For larger ones, BDCSVD is highly * recommended and can several order of magnitude faster. * * \warning this algorithm is unlikely to provide accurate result when compiled with unsafe math optimizations. * For instance, this concerns Intel's compiler (ICC), which performs such optimization by default unless * you compile with the \c -fp-model \c precise option. Likewise, the \c -ffast-math option of GCC or clang will * significantly degrade the accuracy. * * \sa class JacobiSVD */ template class BDCSVD : public SVDBase > { typedef SVDBase Base; public: using Base::cols; using Base::computeU; using Base::computeV; using Base::diagSize; using Base::rows; typedef MatrixType_ MatrixType; typedef typename Base::Scalar Scalar; typedef typename Base::RealScalar RealScalar; typedef typename NumTraits::Literal Literal; typedef typename Base::Index Index; enum { Options = Options_, QRDecomposition = Options & internal::QRPreconditionerBits, ComputationOptions = Options & internal::ComputationOptionsBits, RowsAtCompileTime = Base::RowsAtCompileTime, ColsAtCompileTime = Base::ColsAtCompileTime, DiagSizeAtCompileTime = Base::DiagSizeAtCompileTime, MaxRowsAtCompileTime = Base::MaxRowsAtCompileTime, MaxColsAtCompileTime = Base::MaxColsAtCompileTime, MaxDiagSizeAtCompileTime = Base::MaxDiagSizeAtCompileTime, MatrixOptions = Base::MatrixOptions }; typedef typename Base::MatrixUType MatrixUType; typedef typename Base::MatrixVType MatrixVType; typedef typename Base::SingularValuesType SingularValuesType; typedef Matrix MatrixX; typedef Matrix MatrixXr; typedef Matrix VectorType; typedef Array ArrayXr; typedef Array ArrayXi; typedef Ref ArrayRef; typedef Ref IndicesRef; /** \brief Default Constructor. * * The default constructor is useful in cases in which the user intends to * perform decompositions via BDCSVD::compute(const MatrixType&). */ BDCSVD() : m_algoswap(16), m_isTranspose(false), m_compU(false), m_compV(false), m_numIters(0) {} /** \brief Default Constructor with memory preallocation * * Like the default constructor but with preallocation of the internal data * according to the specified problem size and \a Options template parameter. * \sa BDCSVD() */ BDCSVD(Index rows, Index cols) : m_algoswap(16), m_numIters(0) { allocate(rows, cols, internal::get_computation_options(Options)); } /** \brief Default Constructor with memory preallocation * * Like the default constructor but with preallocation of the internal data * according to the specified problem size and the \a computationOptions. * * One \b cannot request unitaries using both the \a Options template parameter * and the constructor. If possible, prefer using the \a Options template parameter. * * \param rows number of rows for the input matrix * \param cols number of columns for the input matrix * \param computationOptions specification for computing Thin/Full unitaries U/V * \sa BDCSVD() * * \deprecated Will be removed in the next major Eigen version. Options should * be specified in the \a Options template parameter. */ EIGEN_DEPRECATED BDCSVD(Index rows, Index cols, unsigned int computationOptions) : m_algoswap(16), m_numIters(0) { internal::check_svd_options_assertions(computationOptions, rows, cols); allocate(rows, cols, computationOptions); } /** \brief Constructor performing the decomposition of given matrix, using the custom options specified * with the \a Options template parameter. * * \param matrix the matrix to decompose */ template BDCSVD(const MatrixBase& matrix) : m_algoswap(16), m_numIters(0) { compute_impl(matrix, internal::get_computation_options(Options)); } /** \brief Constructor performing the decomposition of given matrix using specified options * for computing unitaries. * * One \b cannot request unitaries using both the \a Options template parameter * and the constructor. If possible, prefer using the \a Options template parameter. * * \param matrix the matrix to decompose * \param computationOptions specification for computing Thin/Full unitaries U/V * * \deprecated Will be removed in the next major Eigen version. Options should * be specified in the \a Options template parameter. */ template EIGEN_DEPRECATED BDCSVD(const MatrixBase& matrix, unsigned int computationOptions) : m_algoswap(16), m_numIters(0) { internal::check_svd_options_assertions(computationOptions, matrix.rows(), matrix.cols()); compute_impl(matrix, computationOptions); } ~BDCSVD() {} /** \brief Method performing the decomposition of given matrix. Computes Thin/Full unitaries U/V if specified * using the \a Options template parameter or the class constructor. * * \param matrix the matrix to decompose */ template BDCSVD& compute(const MatrixBase& matrix) { return compute_impl(matrix, m_computationOptions); } /** \brief Method performing the decomposition of given matrix, as specified by * the `computationOptions` parameter. * * \param matrix the matrix to decompose * \param computationOptions specify whether to compute Thin/Full unitaries U/V * * \deprecated Will be removed in the next major Eigen version. Options should * be specified in the \a Options template parameter. */ template EIGEN_DEPRECATED BDCSVD& compute(const MatrixBase& matrix, unsigned int computationOptions) { internal::check_svd_options_assertions(computationOptions, matrix.rows(), matrix.cols()); return compute_impl(matrix, computationOptions); } void setSwitchSize(int s) { eigen_assert(s >= 3 && "BDCSVD the size of the algo switch has to be at least 3."); m_algoswap = s; } private: template BDCSVD& compute_impl(const MatrixBase& matrix, unsigned int computationOptions); void divide(Index firstCol, Index lastCol, Index firstRowW, Index firstColW, Index shift); void computeSVDofM(Index firstCol, Index n, MatrixXr& U, VectorType& singVals, MatrixXr& V); void computeSingVals(const ArrayRef& col0, const ArrayRef& diag, const IndicesRef& perm, VectorType& singVals, ArrayRef shifts, ArrayRef mus); void perturbCol0(const ArrayRef& col0, const ArrayRef& diag, const IndicesRef& perm, const VectorType& singVals, const ArrayRef& shifts, const ArrayRef& mus, ArrayRef zhat); void computeSingVecs(const ArrayRef& zhat, const ArrayRef& diag, const IndicesRef& perm, const VectorType& singVals, const ArrayRef& shifts, const ArrayRef& mus, MatrixXr& U, MatrixXr& V); void deflation43(Index firstCol, Index shift, Index i, Index size); void deflation44(Index firstColu, Index firstColm, Index firstRowW, Index firstColW, Index i, Index j, Index size); void deflation(Index firstCol, Index lastCol, Index k, Index firstRowW, Index firstColW, Index shift); template void copyUV(const HouseholderU& householderU, const HouseholderV& householderV, const NaiveU& naiveU, const NaiveV& naivev); void structured_update(Block A, const MatrixXr& B, Index n1); static RealScalar secularEq(RealScalar x, const ArrayRef& col0, const ArrayRef& diag, const IndicesRef& perm, const ArrayRef& diagShifted, RealScalar shift); template void computeBaseCase(SVDType& svd, Index n, Index firstCol, Index firstRowW, Index firstColW, Index shift); protected: void allocate(Index rows, Index cols, unsigned int computationOptions); MatrixXr m_naiveU, m_naiveV; MatrixXr m_computed; Index m_nRec; ArrayXr m_workspace; ArrayXi m_workspaceI; int m_algoswap; bool m_isTranspose, m_compU, m_compV, m_useQrDecomp; JacobiSVD smallSvd; HouseholderQR qrDecomp; internal::UpperBidiagonalization bid; MatrixX copyWorkspace; MatrixX reducedTriangle; using Base::m_computationOptions; using Base::m_computeThinU; using Base::m_computeThinV; using Base::m_info; using Base::m_isInitialized; using Base::m_matrixU; using Base::m_matrixV; using Base::m_nonzeroSingularValues; using Base::m_singularValues; public: int m_numIters; }; // end class BDCSVD // Method to allocate and initialize matrix and attributes template void BDCSVD::allocate(Index rows, Index cols, unsigned int computationOptions) { if (Base::allocate(rows, cols, computationOptions)) return; if (cols < m_algoswap) smallSvd.allocate(rows, cols, Options == 0 ? computationOptions : internal::get_computation_options(Options)); m_computed = MatrixXr::Zero(diagSize() + 1, diagSize()); m_compU = computeV(); m_compV = computeU(); m_isTranspose = (cols > rows); if (m_isTranspose) std::swap(m_compU, m_compV); // kMinAspectRatio is the crossover point that determines if we perform R-Bidiagonalization // or bidiagonalize the input matrix directly. // It is based off of LAPACK's dgesdd routine, which uses 11.0/6.0 // we use a larger scalar to prevent a regression for relatively square matrices. constexpr Index kMinAspectRatio = 4; constexpr bool disableQrDecomp = static_cast(QRDecomposition) == static_cast(DisableQRDecomposition); m_useQrDecomp = !disableQrDecomp && ((rows / kMinAspectRatio > cols) || (cols / kMinAspectRatio > rows)); if (m_useQrDecomp) { qrDecomp = HouseholderQR((std::max)(rows, cols), (std::min)(rows, cols)); reducedTriangle = MatrixX(diagSize(), diagSize()); } copyWorkspace = MatrixX(m_isTranspose ? cols : rows, m_isTranspose ? rows : cols); bid = internal::UpperBidiagonalization(m_useQrDecomp ? diagSize() : copyWorkspace.rows(), m_useQrDecomp ? diagSize() : copyWorkspace.cols()); if (m_compU) m_naiveU = MatrixXr::Zero(diagSize() + 1, diagSize() + 1); else m_naiveU = MatrixXr::Zero(2, diagSize() + 1); if (m_compV) m_naiveV = MatrixXr::Zero(diagSize(), diagSize()); m_workspace.resize((diagSize() + 1) * (diagSize() + 1) * 3); m_workspaceI.resize(3 * diagSize()); } // end allocate template template BDCSVD& BDCSVD::compute_impl(const MatrixBase& matrix, unsigned int computationOptions) { EIGEN_STATIC_ASSERT_SAME_MATRIX_SIZE(Derived, MatrixType); EIGEN_STATIC_ASSERT((std::is_same::value), Input matrix must have the same Scalar type as the BDCSVD object.); #ifdef EIGEN_BDCSVD_DEBUG_VERBOSE std::cout << "\n\n\n=================================================================================================" "=====================\n\n\n"; #endif using std::abs; allocate(matrix.rows(), matrix.cols(), computationOptions); const RealScalar considerZero = (std::numeric_limits::min)(); //**** step -1 - If the problem is too small, directly falls back to JacobiSVD and return if (matrix.cols() < m_algoswap) { smallSvd.compute(matrix); m_isInitialized = true; m_info = smallSvd.info(); if (m_info == Success || m_info == NoConvergence) { if (computeU()) m_matrixU = smallSvd.matrixU(); if (computeV()) m_matrixV = smallSvd.matrixV(); m_singularValues = smallSvd.singularValues(); m_nonzeroSingularValues = smallSvd.nonzeroSingularValues(); } return *this; } //**** step 0 - Copy the input matrix and apply scaling to reduce over/under-flows RealScalar scale = matrix.cwiseAbs().template maxCoeff(); if (!(numext::isfinite)(scale)) { m_isInitialized = true; m_info = InvalidInput; return *this; } if (numext::is_exactly_zero(scale)) scale = Literal(1); if (m_isTranspose) copyWorkspace = matrix.adjoint() / scale; else copyWorkspace = matrix / scale; //**** step 1 - Bidiagonalization. // If the problem is sufficiently rectangular, we perform R-Bidiagonalization: compute A = Q(R/0) // and then bidiagonalize R. Otherwise, if the problem is relatively square, we // bidiagonalize the input matrix directly. if (m_useQrDecomp) { qrDecomp.compute(copyWorkspace); reducedTriangle = qrDecomp.matrixQR().topRows(diagSize()); reducedTriangle.template triangularView().setZero(); bid.compute(reducedTriangle); } else { bid.compute(copyWorkspace); } //**** step 2 - Divide & Conquer m_naiveU.setZero(); m_naiveV.setZero(); // FIXME this line involves a temporary matrix m_computed.topRows(diagSize()) = bid.bidiagonal().toDenseMatrix().transpose(); m_computed.template bottomRows<1>().setZero(); divide(0, diagSize() - 1, 0, 0, 0); if (m_info != Success && m_info != NoConvergence) { m_isInitialized = true; return *this; } //**** step 3 - Copy singular values and vectors for (int i = 0; i < diagSize(); i++) { RealScalar a = abs(m_computed.coeff(i, i)); m_singularValues.coeffRef(i) = a * scale; if (a < considerZero) { m_nonzeroSingularValues = i; m_singularValues.tail(diagSize() - i - 1).setZero(); break; } else if (i == diagSize() - 1) { m_nonzeroSingularValues = i + 1; break; } } //**** step 4 - Finalize unitaries U and V if (m_isTranspose) copyUV(bid.householderV(), bid.householderU(), m_naiveV, m_naiveU); else copyUV(bid.householderU(), bid.householderV(), m_naiveU, m_naiveV); if (m_useQrDecomp) { if (m_isTranspose && computeV()) m_matrixV.applyOnTheLeft(qrDecomp.householderQ()); else if (!m_isTranspose && computeU()) m_matrixU.applyOnTheLeft(qrDecomp.householderQ()); } m_isInitialized = true; return *this; } // end compute template template void BDCSVD::copyUV(const HouseholderU& householderU, const HouseholderV& householderV, const NaiveU& naiveU, const NaiveV& naiveV) { // Note exchange of U and V: m_matrixU is set from m_naiveV and vice versa if (computeU()) { Index Ucols = m_computeThinU ? diagSize() : rows(); m_matrixU = MatrixX::Identity(rows(), Ucols); m_matrixU.topLeftCorner(diagSize(), diagSize()) = naiveV.template cast().topLeftCorner(diagSize(), diagSize()); // FIXME the following conditionals involve temporary buffers if (m_useQrDecomp) m_matrixU.topLeftCorner(householderU.cols(), diagSize()).applyOnTheLeft(householderU); else m_matrixU.applyOnTheLeft(householderU); } if (computeV()) { Index Vcols = m_computeThinV ? diagSize() : cols(); m_matrixV = MatrixX::Identity(cols(), Vcols); m_matrixV.topLeftCorner(diagSize(), diagSize()) = naiveU.template cast().topLeftCorner(diagSize(), diagSize()); // FIXME the following conditionals involve temporary buffers if (m_useQrDecomp) m_matrixV.topLeftCorner(householderV.cols(), diagSize()).applyOnTheLeft(householderV); else m_matrixV.applyOnTheLeft(householderV); } } /** \internal * Performs A = A * B exploiting the special structure of the matrix A. Splitting A as: * A = [A1] * [A2] * such that A1.rows()==n1, then we assume that at least half of the columns of A1 and A2 are zeros. * We can thus pack them prior to the the matrix product. However, this is only worth the effort if the matrix is large * enough. */ template void BDCSVD::structured_update(Block A, const MatrixXr& B, Index n1) { Index n = A.rows(); if (n > 100) { // If the matrices are large enough, let's exploit the sparse structure of A by // splitting it in half (wrt n1), and packing the non-zero columns. Index n2 = n - n1; Map A1(m_workspace.data(), n1, n); Map A2(m_workspace.data() + n1 * n, n2, n); Map B1(m_workspace.data() + n * n, n, n); Map B2(m_workspace.data() + 2 * n * n, n, n); Index k1 = 0, k2 = 0; for (Index j = 0; j < n; ++j) { if ((A.col(j).head(n1).array() != Literal(0)).any()) { A1.col(k1) = A.col(j).head(n1); B1.row(k1) = B.row(j); ++k1; } if ((A.col(j).tail(n2).array() != Literal(0)).any()) { A2.col(k2) = A.col(j).tail(n2); B2.row(k2) = B.row(j); ++k2; } } A.topRows(n1).noalias() = A1.leftCols(k1) * B1.topRows(k1); A.bottomRows(n2).noalias() = A2.leftCols(k2) * B2.topRows(k2); } else { Map tmp(m_workspace.data(), n, n); tmp.noalias() = A * B; A = tmp; } } template template void BDCSVD::computeBaseCase(SVDType& svd, Index n, Index firstCol, Index firstRowW, Index firstColW, Index shift) { svd.compute(m_computed.block(firstCol, firstCol, n + 1, n)); m_info = svd.info(); if (m_info != Success && m_info != NoConvergence) return; if (m_compU) m_naiveU.block(firstCol, firstCol, n + 1, n + 1).real() = svd.matrixU(); else { m_naiveU.row(0).segment(firstCol, n + 1).real() = svd.matrixU().row(0); m_naiveU.row(1).segment(firstCol, n + 1).real() = svd.matrixU().row(n); } if (m_compV) m_naiveV.block(firstRowW, firstColW, n, n).real() = svd.matrixV(); m_computed.block(firstCol + shift, firstCol + shift, n + 1, n).setZero(); m_computed.diagonal().segment(firstCol + shift, n) = svd.singularValues().head(n); } // The divide algorithm is done "in place", we are always working on subsets of the same matrix. The divide methods // takes as argument the place of the submatrix we are currently working on. //@param firstCol : The Index of the first column of the submatrix of m_computed and for m_naiveU; //@param lastCol : The Index of the last column of the submatrix of m_computed and for m_naiveU; // lastCol + 1 - firstCol is the size of the submatrix. //@param firstRowW : The Index of the first row of the matrix W that we are to change. (see the reference paper section // 1 for more information on W) //@param firstColW : Same as firstRowW with the column. //@param shift : Each time one takes the left submatrix, one must add 1 to the shift. Why? Because! We actually want the // last column of the U submatrix // to become the first column (*coeff) and to shift all the other columns to the right. There are more details on the // reference paper. template void BDCSVD::divide(Index firstCol, Index lastCol, Index firstRowW, Index firstColW, Index shift) { // requires rows = cols + 1; using std::abs; using std::pow; using std::sqrt; const Index n = lastCol - firstCol + 1; const Index k = n / 2; const RealScalar considerZero = (std::numeric_limits::min)(); RealScalar alphaK; RealScalar betaK; RealScalar r0; RealScalar lambda, phi, c0, s0; VectorType l, f; // We use the other algorithm which is more efficient for small // matrices. if (n < m_algoswap) { // FIXME this block involves temporaries if (m_compV) { JacobiSVD baseSvd; computeBaseCase(baseSvd, n, firstCol, firstRowW, firstColW, shift); } else { JacobiSVD baseSvd; computeBaseCase(baseSvd, n, firstCol, firstRowW, firstColW, shift); } return; } // We use the divide and conquer algorithm alphaK = m_computed(firstCol + k, firstCol + k); betaK = m_computed(firstCol + k + 1, firstCol + k); // The divide must be done in that order in order to have good results. Divide change the data inside the submatrices // and the divide of the right submatrice reads one column of the left submatrice. That's why we need to treat the // right submatrix before the left one. divide(k + 1 + firstCol, lastCol, k + 1 + firstRowW, k + 1 + firstColW, shift); if (m_info != Success && m_info != NoConvergence) return; divide(firstCol, k - 1 + firstCol, firstRowW, firstColW + 1, shift + 1); if (m_info != Success && m_info != NoConvergence) return; if (m_compU) { lambda = m_naiveU(firstCol + k, firstCol + k); phi = m_naiveU(firstCol + k + 1, lastCol + 1); } else { lambda = m_naiveU(1, firstCol + k); phi = m_naiveU(0, lastCol + 1); } r0 = sqrt((abs(alphaK * lambda) * abs(alphaK * lambda)) + abs(betaK * phi) * abs(betaK * phi)); if (m_compU) { l = m_naiveU.row(firstCol + k).segment(firstCol, k); f = m_naiveU.row(firstCol + k + 1).segment(firstCol + k + 1, n - k - 1); } else { l = m_naiveU.row(1).segment(firstCol, k); f = m_naiveU.row(0).segment(firstCol + k + 1, n - k - 1); } if (m_compV) m_naiveV(firstRowW + k, firstColW) = Literal(1); if (r0 < considerZero) { c0 = Literal(1); s0 = Literal(0); } else { c0 = alphaK * lambda / r0; s0 = betaK * phi / r0; } #ifdef EIGEN_BDCSVD_SANITY_CHECKS eigen_internal_assert(m_naiveU.allFinite()); eigen_internal_assert(m_naiveV.allFinite()); eigen_internal_assert(m_computed.allFinite()); #endif if (m_compU) { MatrixXr q1(m_naiveU.col(firstCol + k).segment(firstCol, k + 1)); // we shiftW Q1 to the right for (Index i = firstCol + k - 1; i >= firstCol; i--) m_naiveU.col(i + 1).segment(firstCol, k + 1) = m_naiveU.col(i).segment(firstCol, k + 1); // we shift q1 at the left with a factor c0 m_naiveU.col(firstCol).segment(firstCol, k + 1) = (q1 * c0); // last column = q1 * - s0 m_naiveU.col(lastCol + 1).segment(firstCol, k + 1) = (q1 * (-s0)); // first column = q2 * s0 m_naiveU.col(firstCol).segment(firstCol + k + 1, n - k) = m_naiveU.col(lastCol + 1).segment(firstCol + k + 1, n - k) * s0; // q2 *= c0 m_naiveU.col(lastCol + 1).segment(firstCol + k + 1, n - k) *= c0; } else { RealScalar q1 = m_naiveU(0, firstCol + k); // we shift Q1 to the right for (Index i = firstCol + k - 1; i >= firstCol; i--) m_naiveU(0, i + 1) = m_naiveU(0, i); // we shift q1 at the left with a factor c0 m_naiveU(0, firstCol) = (q1 * c0); // last column = q1 * - s0 m_naiveU(0, lastCol + 1) = (q1 * (-s0)); // first column = q2 * s0 m_naiveU(1, firstCol) = m_naiveU(1, lastCol + 1) * s0; // q2 *= c0 m_naiveU(1, lastCol + 1) *= c0; m_naiveU.row(1).segment(firstCol + 1, k).setZero(); m_naiveU.row(0).segment(firstCol + k + 1, n - k - 1).setZero(); } #ifdef EIGEN_BDCSVD_SANITY_CHECKS eigen_internal_assert(m_naiveU.allFinite()); eigen_internal_assert(m_naiveV.allFinite()); eigen_internal_assert(m_computed.allFinite()); #endif m_computed(firstCol + shift, firstCol + shift) = r0; m_computed.col(firstCol + shift).segment(firstCol + shift + 1, k) = alphaK * l.transpose().real(); m_computed.col(firstCol + shift).segment(firstCol + shift + k + 1, n - k - 1) = betaK * f.transpose().real(); #ifdef EIGEN_BDCSVD_DEBUG_VERBOSE ArrayXr tmp1 = (m_computed.block(firstCol + shift, firstCol + shift, n, n)).jacobiSvd().singularValues(); #endif // Second part: try to deflate singular values in combined matrix deflation(firstCol, lastCol, k, firstRowW, firstColW, shift); #ifdef EIGEN_BDCSVD_DEBUG_VERBOSE ArrayXr tmp2 = (m_computed.block(firstCol + shift, firstCol + shift, n, n)).jacobiSvd().singularValues(); std::cout << "\n\nj1 = " << tmp1.transpose().format(bdcsvdfmt) << "\n"; std::cout << "j2 = " << tmp2.transpose().format(bdcsvdfmt) << "\n\n"; std::cout << "err: " << ((tmp1 - tmp2).abs() > 1e-12 * tmp2.abs()).transpose() << "\n"; static int count = 0; std::cout << "# " << ++count << "\n\n"; eigen_internal_assert((tmp1 - tmp2).matrix().norm() < 1e-14 * tmp2.matrix().norm()); // eigen_internal_assert(count<681); // eigen_internal_assert(((tmp1-tmp2).abs()<1e-13*tmp2.abs()).all()); #endif // Third part: compute SVD of combined matrix MatrixXr UofSVD, VofSVD; VectorType singVals; computeSVDofM(firstCol + shift, n, UofSVD, singVals, VofSVD); #ifdef EIGEN_BDCSVD_SANITY_CHECKS eigen_internal_assert(UofSVD.allFinite()); eigen_internal_assert(VofSVD.allFinite()); #endif if (m_compU) structured_update(m_naiveU.block(firstCol, firstCol, n + 1, n + 1), UofSVD, (n + 2) / 2); else { Map, Aligned> tmp(m_workspace.data(), 2, n + 1); tmp.noalias() = m_naiveU.middleCols(firstCol, n + 1) * UofSVD; m_naiveU.middleCols(firstCol, n + 1) = tmp; } if (m_compV) structured_update(m_naiveV.block(firstRowW, firstColW, n, n), VofSVD, (n + 1) / 2); #ifdef EIGEN_BDCSVD_SANITY_CHECKS eigen_internal_assert(m_naiveU.allFinite()); eigen_internal_assert(m_naiveV.allFinite()); eigen_internal_assert(m_computed.allFinite()); #endif m_computed.block(firstCol + shift, firstCol + shift, n, n).setZero(); m_computed.block(firstCol + shift, firstCol + shift, n, n).diagonal() = singVals; } // end divide // Compute SVD of m_computed.block(firstCol, firstCol, n + 1, n); this block only has non-zeros in // the first column and on the diagonal and has undergone deflation, so diagonal is in increasing // order except for possibly the (0,0) entry. The computed SVD is stored U, singVals and V, except // that if m_compV is false, then V is not computed. Singular values are sorted in decreasing order. // // TODO Opportunities for optimization: better root finding algo, better stopping criterion, better // handling of round-off errors, be consistent in ordering // For instance, to solve the secular equation using FMM, see // http://www.stat.uchicago.edu/~lekheng/courses/302/classics/greengard-rokhlin.pdf template void BDCSVD::computeSVDofM(Index firstCol, Index n, MatrixXr& U, VectorType& singVals, MatrixXr& V) { const RealScalar considerZero = (std::numeric_limits::min)(); using std::abs; ArrayRef col0 = m_computed.col(firstCol).segment(firstCol, n); m_workspace.head(n) = m_computed.block(firstCol, firstCol, n, n).diagonal(); ArrayRef diag = m_workspace.head(n); diag(0) = Literal(0); // Allocate space for singular values and vectors singVals.resize(n); U.resize(n + 1, n + 1); if (m_compV) V.resize(n, n); #ifdef EIGEN_BDCSVD_DEBUG_VERBOSE if (col0.hasNaN() || diag.hasNaN()) std::cout << "\n\nHAS NAN\n\n"; #endif // Many singular values might have been deflated, the zero ones have been moved to the end, // but others are interleaved and we must ignore them at this stage. // To this end, let's compute a permutation skipping them: Index actual_n = n; while (actual_n > 1 && numext::is_exactly_zero(diag(actual_n - 1))) { --actual_n; eigen_internal_assert(numext::is_exactly_zero(col0(actual_n))); } Index m = 0; // size of the deflated problem for (Index k = 0; k < actual_n; ++k) if (abs(col0(k)) > considerZero) m_workspaceI(m++) = k; Map perm(m_workspaceI.data(), m); Map shifts(m_workspace.data() + 1 * n, n); Map mus(m_workspace.data() + 2 * n, n); Map zhat(m_workspace.data() + 3 * n, n); #ifdef EIGEN_BDCSVD_DEBUG_VERBOSE std::cout << "computeSVDofM using:\n"; std::cout << " z: " << col0.transpose() << "\n"; std::cout << " d: " << diag.transpose() << "\n"; #endif // Compute singVals, shifts, and mus computeSingVals(col0, diag, perm, singVals, shifts, mus); #ifdef EIGEN_BDCSVD_DEBUG_VERBOSE std::cout << " j: " << (m_computed.block(firstCol, firstCol, n, n)).jacobiSvd().singularValues().transpose().reverse() << "\n\n"; std::cout << " sing-val: " << singVals.transpose() << "\n"; std::cout << " mu: " << mus.transpose() << "\n"; std::cout << " shift: " << shifts.transpose() << "\n"; { std::cout << "\n\n mus: " << mus.head(actual_n).transpose() << "\n\n"; std::cout << " check1 (expect0) : " << ((singVals.array() - (shifts + mus)) / singVals.array()).head(actual_n).transpose() << "\n\n"; eigen_internal_assert((((singVals.array() - (shifts + mus)) / singVals.array()).head(actual_n) >= 0).all()); std::cout << " check2 (>0) : " << ((singVals.array() - diag) / singVals.array()).head(actual_n).transpose() << "\n\n"; eigen_internal_assert((((singVals.array() - diag) / singVals.array()).head(actual_n) >= 0).all()); } #endif #ifdef EIGEN_BDCSVD_SANITY_CHECKS eigen_internal_assert(singVals.allFinite()); eigen_internal_assert(mus.allFinite()); eigen_internal_assert(shifts.allFinite()); #endif // Compute zhat perturbCol0(col0, diag, perm, singVals, shifts, mus, zhat); #ifdef EIGEN_BDCSVD_DEBUG_VERBOSE std::cout << " zhat: " << zhat.transpose() << "\n"; #endif #ifdef EIGEN_BDCSVD_SANITY_CHECKS eigen_internal_assert(zhat.allFinite()); #endif computeSingVecs(zhat, diag, perm, singVals, shifts, mus, U, V); #ifdef EIGEN_BDCSVD_DEBUG_VERBOSE std::cout << "U^T U: " << (U.transpose() * U - MatrixXr(MatrixXr::Identity(U.cols(), U.cols()))).norm() << "\n"; std::cout << "V^T V: " << (V.transpose() * V - MatrixXr(MatrixXr::Identity(V.cols(), V.cols()))).norm() << "\n"; #endif #ifdef EIGEN_BDCSVD_SANITY_CHECKS eigen_internal_assert(m_naiveU.allFinite()); eigen_internal_assert(m_naiveV.allFinite()); eigen_internal_assert(m_computed.allFinite()); eigen_internal_assert(U.allFinite()); eigen_internal_assert(V.allFinite()); // eigen_internal_assert((U.transpose() * U - MatrixXr(MatrixXr::Identity(U.cols(),U.cols()))).norm() < // 100*NumTraits::epsilon() * n); eigen_internal_assert((V.transpose() * V - // MatrixXr(MatrixXr::Identity(V.cols(),V.cols()))).norm() < 100*NumTraits::epsilon() * n); #endif // Because of deflation, the singular values might not be completely sorted. // Fortunately, reordering them is a O(n) problem for (Index i = 0; i < actual_n - 1; ++i) { if (singVals(i) > singVals(i + 1)) { using std::swap; swap(singVals(i), singVals(i + 1)); U.col(i).swap(U.col(i + 1)); if (m_compV) V.col(i).swap(V.col(i + 1)); } } #ifdef EIGEN_BDCSVD_SANITY_CHECKS { bool singular_values_sorted = (((singVals.segment(1, actual_n - 1) - singVals.head(actual_n - 1))).array() >= 0).all(); if (!singular_values_sorted) std::cout << "Singular values are not sorted: " << singVals.segment(1, actual_n).transpose() << "\n"; eigen_internal_assert(singular_values_sorted); } #endif // Reverse order so that singular values in increased order // Because of deflation, the zeros singular-values are already at the end singVals.head(actual_n).reverseInPlace(); U.leftCols(actual_n).rowwise().reverseInPlace(); if (m_compV) V.leftCols(actual_n).rowwise().reverseInPlace(); #ifdef EIGEN_BDCSVD_DEBUG_VERBOSE JacobiSVD jsvd(m_computed.block(firstCol, firstCol, n, n)); std::cout << " * j: " << jsvd.singularValues().transpose() << "\n\n"; std::cout << " * sing-val: " << singVals.transpose() << "\n"; // std::cout << " * err: " << ((jsvd.singularValues()-singVals)>1e-13*singVals.norm()).transpose() << "\n"; #endif } template typename BDCSVD::RealScalar BDCSVD::secularEq( RealScalar mu, const ArrayRef& col0, const ArrayRef& diag, const IndicesRef& perm, const ArrayRef& diagShifted, RealScalar shift) { Index m = perm.size(); RealScalar res = Literal(1); for (Index i = 0; i < m; ++i) { Index j = perm(i); // The following expression could be rewritten to involve only a single division, // but this would make the expression more sensitive to overflow. res += (col0(j) / (diagShifted(j) - mu)) * (col0(j) / (diag(j) + shift + mu)); } return res; } template void BDCSVD::computeSingVals(const ArrayRef& col0, const ArrayRef& diag, const IndicesRef& perm, VectorType& singVals, ArrayRef shifts, ArrayRef mus) { using std::abs; using std::sqrt; using std::swap; Index n = col0.size(); Index actual_n = n; // Note that here actual_n is computed based on col0(i)==0 instead of diag(i)==0 as above // because 1) we have diag(i)==0 => col0(i)==0 and 2) if col0(i)==0, then diag(i) is already a singular value. while (actual_n > 1 && numext::is_exactly_zero(col0(actual_n - 1))) --actual_n; for (Index k = 0; k < n; ++k) { if (numext::is_exactly_zero(col0(k)) || actual_n == 1) { // if col0(k) == 0, then entry is deflated, so singular value is on diagonal // if actual_n==1, then the deflated problem is already diagonalized singVals(k) = k == 0 ? col0(0) : diag(k); mus(k) = Literal(0); shifts(k) = k == 0 ? col0(0) : diag(k); continue; } // otherwise, use secular equation to find singular value RealScalar left = diag(k); RealScalar right; // was: = (k != actual_n-1) ? diag(k+1) : (diag(actual_n-1) + col0.matrix().norm()); if (k == actual_n - 1) right = (diag(actual_n - 1) + col0.matrix().norm()); else { // Skip deflated singular values, // recall that at this stage we assume that z[j]!=0 and all entries for which z[j]==0 have been put aside. // This should be equivalent to using perm[] Index l = k + 1; while (numext::is_exactly_zero(col0(l))) { ++l; eigen_internal_assert(l < actual_n); } right = diag(l); } // first decide whether it's closer to the left end or the right end RealScalar mid = left + (right - left) / Literal(2); RealScalar fMid = secularEq(mid, col0, diag, perm, diag, Literal(0)); #ifdef EIGEN_BDCSVD_DEBUG_VERBOSE std::cout << "right-left = " << right - left << "\n"; // std::cout << "fMid = " << fMid << " " << secularEq(mid-left, col0, diag, perm, ArrayXr(diag-left), left) // << " " << secularEq(mid-right, col0, diag, perm, ArrayXr(diag-right), right) << // "\n"; std::cout << " = " << secularEq(left + RealScalar(0.000001) * (right - left), col0, diag, perm, diag, 0) << " " << secularEq(left + RealScalar(0.1) * (right - left), col0, diag, perm, diag, 0) << " " << secularEq(left + RealScalar(0.2) * (right - left), col0, diag, perm, diag, 0) << " " << secularEq(left + RealScalar(0.3) * (right - left), col0, diag, perm, diag, 0) << " " << secularEq(left + RealScalar(0.4) * (right - left), col0, diag, perm, diag, 0) << " " << secularEq(left + RealScalar(0.49) * (right - left), col0, diag, perm, diag, 0) << " " << secularEq(left + RealScalar(0.5) * (right - left), col0, diag, perm, diag, 0) << " " << secularEq(left + RealScalar(0.51) * (right - left), col0, diag, perm, diag, 0) << " " << secularEq(left + RealScalar(0.6) * (right - left), col0, diag, perm, diag, 0) << " " << secularEq(left + RealScalar(0.7) * (right - left), col0, diag, perm, diag, 0) << " " << secularEq(left + RealScalar(0.8) * (right - left), col0, diag, perm, diag, 0) << " " << secularEq(left + RealScalar(0.9) * (right - left), col0, diag, perm, diag, 0) << " " << secularEq(left + RealScalar(0.999999) * (right - left), col0, diag, perm, diag, 0) << "\n"; #endif RealScalar shift = (k == actual_n - 1 || fMid > Literal(0)) ? left : right; // measure everything relative to shift Map diagShifted(m_workspace.data() + 4 * n, n); diagShifted = diag - shift; if (k != actual_n - 1) { // check that after the shift, f(mid) is still negative: RealScalar midShifted = (right - left) / RealScalar(2); // we can test exact equality here, because shift comes from `... ? left : right` if (numext::equal_strict(shift, right)) midShifted = -midShifted; RealScalar fMidShifted = secularEq(midShifted, col0, diag, perm, diagShifted, shift); if (fMidShifted > 0) { // fMid was erroneous, fix it: shift = fMidShifted > Literal(0) ? left : right; diagShifted = diag - shift; } } // initial guess RealScalar muPrev, muCur; // we can test exact equality here, because shift comes from `... ? left : right` if (numext::equal_strict(shift, left)) { muPrev = (right - left) * RealScalar(0.1); if (k == actual_n - 1) muCur = right - left; else muCur = (right - left) * RealScalar(0.5); } else { muPrev = -(right - left) * RealScalar(0.1); muCur = -(right - left) * RealScalar(0.5); } RealScalar fPrev = secularEq(muPrev, col0, diag, perm, diagShifted, shift); RealScalar fCur = secularEq(muCur, col0, diag, perm, diagShifted, shift); if (abs(fPrev) < abs(fCur)) { swap(fPrev, fCur); swap(muPrev, muCur); } // rational interpolation: fit a function of the form a / mu + b through the two previous // iterates and use its zero to compute the next iterate bool useBisection = fPrev * fCur > Literal(0); while (!numext::is_exactly_zero(fCur) && abs(muCur - muPrev) > Literal(8) * NumTraits::epsilon() * numext::maxi(abs(muCur), abs(muPrev)) && abs(fCur - fPrev) > NumTraits::epsilon() && !useBisection) { ++m_numIters; // Find a and b such that the function f(mu) = a / mu + b matches the current and previous samples. RealScalar a = (fCur - fPrev) / (Literal(1) / muCur - Literal(1) / muPrev); RealScalar b = fCur - a / muCur; // And find mu such that f(mu)==0: RealScalar muZero = -a / b; RealScalar fZero = secularEq(muZero, col0, diag, perm, diagShifted, shift); #ifdef EIGEN_BDCSVD_SANITY_CHECKS eigen_internal_assert((numext::isfinite)(fZero)); #endif muPrev = muCur; fPrev = fCur; muCur = muZero; fCur = fZero; // we can test exact equality here, because shift comes from `... ? left : right` if (numext::equal_strict(shift, left) && (muCur < Literal(0) || muCur > right - left)) useBisection = true; if (numext::equal_strict(shift, right) && (muCur < -(right - left) || muCur > Literal(0))) useBisection = true; if (abs(fCur) > abs(fPrev)) useBisection = true; } // fall back on bisection method if rational interpolation did not work if (useBisection) { #ifdef EIGEN_BDCSVD_DEBUG_VERBOSE std::cout << "useBisection for k = " << k << ", actual_n = " << actual_n << "\n"; #endif RealScalar leftShifted, rightShifted; // we can test exact equality here, because shift comes from `... ? left : right` if (numext::equal_strict(shift, left)) { // to avoid overflow, we must have mu > max(real_min, |z(k)|/sqrt(real_max)), // the factor 2 is to be more conservative leftShifted = numext::maxi((std::numeric_limits::min)(), Literal(2) * abs(col0(k)) / sqrt((std::numeric_limits::max)())); // check that we did it right: eigen_internal_assert( (numext::isfinite)((col0(k) / leftShifted) * (col0(k) / (diag(k) + shift + leftShifted)))); // I don't understand why the case k==0 would be special there: // if (k == 0) rightShifted = right - left; else rightShifted = (k == actual_n - 1) ? right : ((right - left) * RealScalar(0.51)); // theoretically we can take 0.5, but let's be safe } else { leftShifted = -(right - left) * RealScalar(0.51); if (k + 1 < n) rightShifted = -numext::maxi((std::numeric_limits::min)(), abs(col0(k + 1)) / sqrt((std::numeric_limits::max)())); else rightShifted = -(std::numeric_limits::min)(); } RealScalar fLeft = secularEq(leftShifted, col0, diag, perm, diagShifted, shift); eigen_internal_assert(fLeft < Literal(0)); #if defined EIGEN_BDCSVD_DEBUG_VERBOSE || defined EIGEN_BDCSVD_SANITY_CHECKS || defined EIGEN_INTERNAL_DEBUGGING RealScalar fRight = secularEq(rightShifted, col0, diag, perm, diagShifted, shift); #endif #ifdef EIGEN_BDCSVD_SANITY_CHECKS if (!(numext::isfinite)(fLeft)) std::cout << "f(" << leftShifted << ") =" << fLeft << " ; " << left << " " << shift << " " << right << "\n"; eigen_internal_assert((numext::isfinite)(fLeft)); if (!(numext::isfinite)(fRight)) std::cout << "f(" << rightShifted << ") =" << fRight << " ; " << left << " " << shift << " " << right << "\n"; // eigen_internal_assert((numext::isfinite)(fRight)); #endif #ifdef EIGEN_BDCSVD_DEBUG_VERBOSE if (!(fLeft * fRight < 0)) { std::cout << "f(leftShifted) using leftShifted=" << leftShifted << " ; diagShifted(1:10):" << diagShifted.head(10).transpose() << "\n ; " << "left==shift=" << bool(left == shift) << " ; left-shift = " << (left - shift) << "\n"; std::cout << "k=" << k << ", " << fLeft << " * " << fRight << " == " << fLeft * fRight << " ; " << "[" << left << " .. " << right << "] -> [" << leftShifted << " " << rightShifted << "], shift=" << shift << " , f(right)=" << secularEq(0, col0, diag, perm, diagShifted, shift) << " == " << secularEq(right, col0, diag, perm, diag, 0) << " == " << fRight << "\n"; } #endif eigen_internal_assert(fLeft * fRight < Literal(0)); if (fLeft < Literal(0)) { while (rightShifted - leftShifted > Literal(2) * NumTraits::epsilon() * numext::maxi(abs(leftShifted), abs(rightShifted))) { RealScalar midShifted = (leftShifted + rightShifted) / Literal(2); fMid = secularEq(midShifted, col0, diag, perm, diagShifted, shift); eigen_internal_assert((numext::isfinite)(fMid)); if (fLeft * fMid < Literal(0)) { rightShifted = midShifted; } else { leftShifted = midShifted; fLeft = fMid; } } muCur = (leftShifted + rightShifted) / Literal(2); } else { // We have a problem as shifting on the left or right give either a positive or negative value // at the middle of [left,right]... // Instead of abbording or entering an infinite loop, // let's just use the middle as the estimated zero-crossing: muCur = (right - left) * RealScalar(0.5); // we can test exact equality here, because shift comes from `... ? left : right` if (numext::equal_strict(shift, right)) muCur = -muCur; } } singVals[k] = shift + muCur; shifts[k] = shift; mus[k] = muCur; #ifdef EIGEN_BDCSVD_DEBUG_VERBOSE if (k + 1 < n) std::cout << "found " << singVals[k] << " == " << shift << " + " << muCur << " from " << diag(k) << " .. " << diag(k + 1) << "\n"; #endif #ifdef EIGEN_BDCSVD_SANITY_CHECKS eigen_internal_assert(k == 0 || singVals[k] >= singVals[k - 1]); eigen_internal_assert(singVals[k] >= diag(k)); #endif // perturb singular value slightly if it equals diagonal entry to avoid division by zero later // (deflation is supposed to avoid this from happening) // - this does no seem to be necessary anymore - // if (singVals[k] == left) singVals[k] *= 1 + NumTraits::epsilon(); // if (singVals[k] == right) singVals[k] *= 1 - NumTraits::epsilon(); } } // zhat is perturbation of col0 for which singular vectors can be computed stably (see Section 3.1) template void BDCSVD::perturbCol0(const ArrayRef& col0, const ArrayRef& diag, const IndicesRef& perm, const VectorType& singVals, const ArrayRef& shifts, const ArrayRef& mus, ArrayRef zhat) { using std::sqrt; Index n = col0.size(); Index m = perm.size(); if (m == 0) { zhat.setZero(); return; } Index lastIdx = perm(m - 1); // The offset permits to skip deflated entries while computing zhat for (Index k = 0; k < n; ++k) { if (numext::is_exactly_zero(col0(k))) // deflated zhat(k) = Literal(0); else { // see equation (3.6) RealScalar dk = diag(k); RealScalar prod = (singVals(lastIdx) + dk) * (mus(lastIdx) + (shifts(lastIdx) - dk)); #ifdef EIGEN_BDCSVD_SANITY_CHECKS if (prod < 0) { std::cout << "k = " << k << " ; z(k)=" << col0(k) << ", diag(k)=" << dk << "\n"; std::cout << "prod = " << "(" << singVals(lastIdx) << " + " << dk << ") * (" << mus(lastIdx) << " + (" << shifts(lastIdx) << " - " << dk << "))" << "\n"; std::cout << " = " << singVals(lastIdx) + dk << " * " << mus(lastIdx) + (shifts(lastIdx) - dk) << "\n"; } eigen_internal_assert(prod >= 0); #endif for (Index l = 0; l < m; ++l) { Index i = perm(l); if (i != k) { #ifdef EIGEN_BDCSVD_SANITY_CHECKS if (i >= k && (l == 0 || l - 1 >= m)) { std::cout << "Error in perturbCol0\n"; std::cout << " " << k << "/" << n << " " << l << "/" << m << " " << i << "/" << n << " ; " << col0(k) << " " << diag(k) << " " << "\n"; std::cout << " " << diag(i) << "\n"; Index j = (i < k /*|| l==0*/) ? i : perm(l - 1); std::cout << " " << "j=" << j << "\n"; } #endif Index j = i < k ? i : l > 0 ? perm(l - 1) : i; #ifdef EIGEN_BDCSVD_SANITY_CHECKS if (!(dk != Literal(0) || diag(i) != Literal(0))) { std::cout << "k=" << k << ", i=" << i << ", l=" << l << ", perm.size()=" << perm.size() << "\n"; } eigen_internal_assert(dk != Literal(0) || diag(i) != Literal(0)); #endif prod *= ((singVals(j) + dk) / ((diag(i) + dk))) * ((mus(j) + (shifts(j) - dk)) / ((diag(i) - dk))); #ifdef EIGEN_BDCSVD_SANITY_CHECKS eigen_internal_assert(prod >= 0); #endif #ifdef EIGEN_BDCSVD_DEBUG_VERBOSE if (i != k && numext::abs(((singVals(j) + dk) * (mus(j) + (shifts(j) - dk))) / ((diag(i) + dk) * (diag(i) - dk)) - 1) > 0.9) std::cout << " " << ((singVals(j) + dk) * (mus(j) + (shifts(j) - dk))) / ((diag(i) + dk) * (diag(i) - dk)) << " == (" << (singVals(j) + dk) << " * " << (mus(j) + (shifts(j) - dk)) << ") / (" << (diag(i) + dk) << " * " << (diag(i) - dk) << ")\n"; #endif } } #ifdef EIGEN_BDCSVD_DEBUG_VERBOSE std::cout << "zhat(" << k << ") = sqrt( " << prod << ") ; " << (singVals(lastIdx) + dk) << " * " << mus(lastIdx) + shifts(lastIdx) << " - " << dk << "\n"; #endif RealScalar tmp = sqrt(prod); #ifdef EIGEN_BDCSVD_SANITY_CHECKS eigen_internal_assert((numext::isfinite)(tmp)); #endif zhat(k) = col0(k) > Literal(0) ? RealScalar(tmp) : RealScalar(-tmp); } } } // compute singular vectors template void BDCSVD::computeSingVecs(const ArrayRef& zhat, const ArrayRef& diag, const IndicesRef& perm, const VectorType& singVals, const ArrayRef& shifts, const ArrayRef& mus, MatrixXr& U, MatrixXr& V) { Index n = zhat.size(); Index m = perm.size(); for (Index k = 0; k < n; ++k) { if (numext::is_exactly_zero(zhat(k))) { U.col(k) = VectorType::Unit(n + 1, k); if (m_compV) V.col(k) = VectorType::Unit(n, k); } else { U.col(k).setZero(); for (Index l = 0; l < m; ++l) { Index i = perm(l); U(i, k) = zhat(i) / (((diag(i) - shifts(k)) - mus(k))) / ((diag(i) + singVals[k])); } U(n, k) = Literal(0); U.col(k).normalize(); if (m_compV) { V.col(k).setZero(); for (Index l = 1; l < m; ++l) { Index i = perm(l); V(i, k) = diag(i) * zhat(i) / (((diag(i) - shifts(k)) - mus(k))) / ((diag(i) + singVals[k])); } V(0, k) = Literal(-1); V.col(k).normalize(); } } } U.col(n) = VectorType::Unit(n + 1, n); } // page 12_13 // i >= 1, di almost null and zi non null. // We use a rotation to zero out zi applied to the left of M, and set di = 0. template void BDCSVD::deflation43(Index firstCol, Index shift, Index i, Index size) { using std::abs; using std::pow; using std::sqrt; Index start = firstCol + shift; RealScalar c = m_computed(start, start); RealScalar s = m_computed(start + i, start); RealScalar r = numext::hypot(c, s); if (numext::is_exactly_zero(r)) { m_computed(start + i, start + i) = Literal(0); return; } m_computed(start, start) = r; m_computed(start + i, start) = Literal(0); m_computed(start + i, start + i) = Literal(0); JacobiRotation J(c / r, -s / r); if (m_compU) m_naiveU.middleRows(firstCol, size + 1).applyOnTheRight(firstCol, firstCol + i, J); else m_naiveU.applyOnTheRight(firstCol, firstCol + i, J); } // end deflation 43 // page 13 // i,j >= 1, i > j, and |di - dj| < epsilon * norm2(M) // We apply two rotations to have zi = 0, and dj = di. template void BDCSVD::deflation44(Index firstColu, Index firstColm, Index firstRowW, Index firstColW, Index i, Index j, Index size) { using std::abs; using std::conj; using std::pow; using std::sqrt; RealScalar s = m_computed(firstColm + i, firstColm); RealScalar c = m_computed(firstColm + j, firstColm); RealScalar r = numext::hypot(c, s); #ifdef EIGEN_BDCSVD_DEBUG_VERBOSE std::cout << "deflation 4.4: " << i << "," << j << " -> " << c << " " << s << " " << r << " ; " << m_computed(firstColm + i - 1, firstColm) << " " << m_computed(firstColm + i, firstColm) << " " << m_computed(firstColm + i + 1, firstColm) << " " << m_computed(firstColm + i + 2, firstColm) << "\n"; std::cout << m_computed(firstColm + i - 1, firstColm + i - 1) << " " << m_computed(firstColm + i, firstColm + i) << " " << m_computed(firstColm + i + 1, firstColm + i + 1) << " " << m_computed(firstColm + i + 2, firstColm + i + 2) << "\n"; #endif if (numext::is_exactly_zero(r)) { m_computed(firstColm + j, firstColm + j) = m_computed(firstColm + i, firstColm + i); return; } c /= r; s /= r; m_computed(firstColm + j, firstColm) = r; m_computed(firstColm + j, firstColm + j) = m_computed(firstColm + i, firstColm + i); m_computed(firstColm + i, firstColm) = Literal(0); JacobiRotation J(c, -s); if (m_compU) m_naiveU.middleRows(firstColu, size + 1).applyOnTheRight(firstColu + j, firstColu + i, J); else m_naiveU.applyOnTheRight(firstColu + j, firstColu + i, J); if (m_compV) m_naiveV.middleRows(firstRowW, size).applyOnTheRight(firstColW + j, firstColW + i, J); } // end deflation 44 // acts on block from (firstCol+shift, firstCol+shift) to (lastCol+shift, lastCol+shift) [inclusive] template void BDCSVD::deflation(Index firstCol, Index lastCol, Index k, Index firstRowW, Index firstColW, Index shift) { using std::abs; using std::sqrt; const Index length = lastCol + 1 - firstCol; Block col0(m_computed, firstCol + shift, firstCol + shift, length, 1); Diagonal fulldiag(m_computed); VectorBlock, Dynamic> diag(fulldiag, firstCol + shift, length); const RealScalar considerZero = (std::numeric_limits::min)(); RealScalar maxDiag = diag.tail((std::max)(Index(1), length - 1)).cwiseAbs().maxCoeff(); RealScalar epsilon_strict = numext::maxi(considerZero, NumTraits::epsilon() * maxDiag); RealScalar epsilon_coarse = Literal(8) * NumTraits::epsilon() * numext::maxi(col0.cwiseAbs().maxCoeff(), maxDiag); #ifdef EIGEN_BDCSVD_SANITY_CHECKS eigen_internal_assert(m_naiveU.allFinite()); eigen_internal_assert(m_naiveV.allFinite()); eigen_internal_assert(m_computed.allFinite()); #endif #ifdef EIGEN_BDCSVD_DEBUG_VERBOSE std::cout << "\ndeflate:" << diag.head(k + 1).transpose() << " | " << diag.segment(k + 1, length - k - 1).transpose() << "\n"; #endif // condition 4.1 if (diag(0) < epsilon_coarse) { #ifdef EIGEN_BDCSVD_DEBUG_VERBOSE std::cout << "deflation 4.1, because " << diag(0) << " < " << epsilon_coarse << "\n"; #endif diag(0) = epsilon_coarse; } // condition 4.2 for (Index i = 1; i < length; ++i) if (abs(col0(i)) < epsilon_strict) { #ifdef EIGEN_BDCSVD_DEBUG_VERBOSE std::cout << "deflation 4.2, set z(" << i << ") to zero because " << abs(col0(i)) << " < " << epsilon_strict << " (diag(" << i << ")=" << diag(i) << ")\n"; #endif col0(i) = Literal(0); } // condition 4.3 for (Index i = 1; i < length; i++) if (diag(i) < epsilon_coarse) { #ifdef EIGEN_BDCSVD_DEBUG_VERBOSE std::cout << "deflation 4.3, cancel z(" << i << ")=" << col0(i) << " because diag(" << i << ")=" << diag(i) << " < " << epsilon_coarse << "\n"; #endif deflation43(firstCol, shift, i, length); } #ifdef EIGEN_BDCSVD_SANITY_CHECKS eigen_internal_assert(m_naiveU.allFinite()); eigen_internal_assert(m_naiveV.allFinite()); eigen_internal_assert(m_computed.allFinite()); #endif #ifdef EIGEN_BDCSVD_DEBUG_VERBOSE std::cout << "to be sorted: " << diag.transpose() << "\n\n"; std::cout << " : " << col0.transpose() << "\n\n"; #endif { // Check for total deflation: // If we have a total deflation, then we have to consider col0(0)==diag(0) as a singular value during sorting. const bool total_deflation = (col0.tail(length - 1).array().abs() < considerZero).all(); // Sort the diagonal entries, since diag(1:k-1) and diag(k:length) are already sorted, let's do a sorted merge. // First, compute the respective permutation. Index* permutation = m_workspaceI.data(); { permutation[0] = 0; Index p = 1; // Move deflated diagonal entries at the end. for (Index i = 1; i < length; ++i) if (diag(i) < considerZero) permutation[p++] = i; Index i = 1, j = k + 1; for (; p < length; ++p) { if (i > k) permutation[p] = j++; else if (j >= length) permutation[p] = i++; else if (diag(i) < diag(j)) permutation[p] = j++; else permutation[p] = i++; } } // If we have a total deflation, then we have to insert diag(0) at the right place if (total_deflation) { for (Index i = 1; i < length; ++i) { Index pi = permutation[i]; if (diag(pi) < considerZero || diag(0) < diag(pi)) permutation[i - 1] = permutation[i]; else { permutation[i - 1] = 0; break; } } } // Current index of each col, and current column of each index Index* realInd = m_workspaceI.data() + length; Index* realCol = m_workspaceI.data() + 2 * length; for (int pos = 0; pos < length; pos++) { realCol[pos] = pos; realInd[pos] = pos; } for (Index i = total_deflation ? 0 : 1; i < length; i++) { const Index pi = permutation[length - (total_deflation ? i + 1 : i)]; const Index J = realCol[pi]; using std::swap; // swap diagonal and first column entries: swap(diag(i), diag(J)); if (i != 0 && J != 0) swap(col0(i), col0(J)); // change columns if (m_compU) m_naiveU.col(firstCol + i) .segment(firstCol, length + 1) .swap(m_naiveU.col(firstCol + J).segment(firstCol, length + 1)); else m_naiveU.col(firstCol + i).segment(0, 2).swap(m_naiveU.col(firstCol + J).segment(0, 2)); if (m_compV) m_naiveV.col(firstColW + i) .segment(firstRowW, length) .swap(m_naiveV.col(firstColW + J).segment(firstRowW, length)); // update real pos const Index realI = realInd[i]; realCol[realI] = J; realCol[pi] = i; realInd[J] = realI; realInd[i] = pi; } } #ifdef EIGEN_BDCSVD_DEBUG_VERBOSE std::cout << "sorted: " << diag.transpose().format(bdcsvdfmt) << "\n"; std::cout << " : " << col0.transpose() << "\n\n"; #endif // condition 4.4 { Index i = length - 1; // Find last non-deflated entry. while (i > 0 && (diag(i) < considerZero || abs(col0(i)) < considerZero)) --i; for (; i > 1; --i) if ((diag(i) - diag(i - 1)) < epsilon_strict) { #ifdef EIGEN_BDCSVD_DEBUG_VERBOSE std::cout << "deflation 4.4 with i = " << i << " because " << diag(i) << " - " << diag(i - 1) << " == " << (diag(i) - diag(i - 1)) << " < " << epsilon_strict << "\n"; #endif eigen_internal_assert(abs(diag(i) - diag(i - 1)) < epsilon_coarse && " diagonal entries are not properly sorted"); deflation44(firstCol, firstCol + shift, firstRowW, firstColW, i, i - 1, length); } } #ifdef EIGEN_BDCSVD_SANITY_CHECKS for (Index j = 2; j < length; ++j) eigen_internal_assert(diag(j - 1) <= diag(j) || abs(diag(j)) < considerZero); #endif #ifdef EIGEN_BDCSVD_SANITY_CHECKS eigen_internal_assert(m_naiveU.allFinite()); eigen_internal_assert(m_naiveV.allFinite()); eigen_internal_assert(m_computed.allFinite()); #endif } // end deflation /** \svd_module * * \return the singular value decomposition of \c *this computed by Divide & Conquer algorithm * * \sa class BDCSVD */ template template BDCSVD::PlainObject, Options> MatrixBase::bdcSvd() const { return BDCSVD(*this); } /** \svd_module * * \return the singular value decomposition of \c *this computed by Divide & Conquer algorithm * * \sa class BDCSVD */ template template BDCSVD::PlainObject, Options> MatrixBase::bdcSvd( unsigned int computationOptions) const { return BDCSVD(*this, computationOptions); } } // end namespace Eigen #endif