// This file is part of Eigen, a lightweight C++ template library // for linear algebra. // // Copyright (C) 2009-2010 Benoit Jacob // Copyright (C) 2013-2014 Gael Guennebaud // // 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_JACOBISVD_H #define EIGEN_JACOBISVD_H // IWYU pragma: private #include "./InternalHeaderCheck.h" namespace Eigen { namespace internal { // forward declaration (needed by ICC) // the empty body is required by MSVC template ::IsComplex> struct svd_precondition_2x2_block_to_be_real {}; /*** QR preconditioners (R-SVD) *** *** Their role is to reduce the problem of computing the SVD to the case of a square matrix. *** This approach, known as R-SVD, is an optimization for rectangular-enough matrices, and is a requirement for *** JacobiSVD which by itself is only able to work on square matrices. ***/ enum { PreconditionIfMoreColsThanRows, PreconditionIfMoreRowsThanCols }; template struct qr_preconditioner_should_do_anything { enum { a = MatrixType::RowsAtCompileTime != Dynamic && MatrixType::ColsAtCompileTime != Dynamic && MatrixType::ColsAtCompileTime <= MatrixType::RowsAtCompileTime, b = MatrixType::RowsAtCompileTime != Dynamic && MatrixType::ColsAtCompileTime != Dynamic && MatrixType::RowsAtCompileTime <= MatrixType::ColsAtCompileTime, ret = !((QRPreconditioner == NoQRPreconditioner) || (Case == PreconditionIfMoreColsThanRows && bool(a)) || (Case == PreconditionIfMoreRowsThanCols && bool(b))) }; }; template ::ret> struct qr_preconditioner_impl {}; template class qr_preconditioner_impl { public: void allocate(const JacobiSVD&) {} template bool run(JacobiSVD&, const Xpr&) { return false; } }; /*** preconditioner using FullPivHouseholderQR ***/ template class qr_preconditioner_impl { public: typedef typename MatrixType::Scalar Scalar; typedef JacobiSVD SVDType; enum { WorkspaceSize = MatrixType::RowsAtCompileTime, MaxWorkspaceSize = MatrixType::MaxRowsAtCompileTime }; typedef Matrix WorkspaceType; void allocate(const SVDType& svd) { if (svd.rows() != m_qr.rows() || svd.cols() != m_qr.cols()) { internal::destroy_at(&m_qr); internal::construct_at(&m_qr, svd.rows(), svd.cols()); } if (svd.m_computeFullU) m_workspace.resize(svd.rows()); } template bool run(SVDType& svd, const Xpr& matrix) { if (matrix.rows() > matrix.cols()) { m_qr.compute(matrix); svd.m_workMatrix = m_qr.matrixQR().block(0, 0, matrix.cols(), matrix.cols()).template triangularView(); if (svd.m_computeFullU) m_qr.matrixQ().evalTo(svd.m_matrixU, m_workspace); if (svd.computeV()) svd.m_matrixV = m_qr.colsPermutation(); return true; } return false; } private: typedef FullPivHouseholderQR QRType; QRType m_qr; WorkspaceType m_workspace; }; template class qr_preconditioner_impl { public: typedef typename MatrixType::Scalar Scalar; typedef JacobiSVD SVDType; enum { RowsAtCompileTime = MatrixType::RowsAtCompileTime, ColsAtCompileTime = MatrixType::ColsAtCompileTime, MaxRowsAtCompileTime = MatrixType::MaxRowsAtCompileTime, MaxColsAtCompileTime = MatrixType::MaxColsAtCompileTime, MatrixOptions = traits::Options }; typedef typename internal::make_proper_matrix_type::type TransposeTypeWithSameStorageOrder; void allocate(const SVDType& svd) { if (svd.cols() != m_qr.rows() || svd.rows() != m_qr.cols()) { internal::destroy_at(&m_qr); internal::construct_at(&m_qr, svd.cols(), svd.rows()); } if (svd.m_computeFullV) m_workspace.resize(svd.cols()); } template bool run(SVDType& svd, const Xpr& matrix) { if (matrix.cols() > matrix.rows()) { m_qr.compute(matrix.adjoint()); svd.m_workMatrix = m_qr.matrixQR().block(0, 0, matrix.rows(), matrix.rows()).template triangularView().adjoint(); if (svd.m_computeFullV) m_qr.matrixQ().evalTo(svd.m_matrixV, m_workspace); if (svd.computeU()) svd.m_matrixU = m_qr.colsPermutation(); return true; } else return false; } private: typedef FullPivHouseholderQR QRType; QRType m_qr; typename plain_row_type::type m_workspace; }; /*** preconditioner using ColPivHouseholderQR ***/ template class qr_preconditioner_impl { public: typedef typename MatrixType::Scalar Scalar; typedef JacobiSVD SVDType; enum { WorkspaceSize = internal::traits::MatrixUColsAtCompileTime, MaxWorkspaceSize = internal::traits::MatrixUMaxColsAtCompileTime }; typedef Matrix WorkspaceType; void allocate(const SVDType& svd) { if (svd.rows() != m_qr.rows() || svd.cols() != m_qr.cols()) { internal::destroy_at(&m_qr); internal::construct_at(&m_qr, svd.rows(), svd.cols()); } if (svd.m_computeFullU) m_workspace.resize(svd.rows()); else if (svd.m_computeThinU) m_workspace.resize(svd.cols()); } template bool run(SVDType& svd, const Xpr& matrix) { if (matrix.rows() > matrix.cols()) { m_qr.compute(matrix); svd.m_workMatrix = m_qr.matrixQR().block(0, 0, matrix.cols(), matrix.cols()).template triangularView(); if (svd.m_computeFullU) m_qr.householderQ().evalTo(svd.m_matrixU, m_workspace); else if (svd.m_computeThinU) { svd.m_matrixU.setIdentity(matrix.rows(), matrix.cols()); m_qr.householderQ().applyThisOnTheLeft(svd.m_matrixU, m_workspace); } if (svd.computeV()) svd.m_matrixV = m_qr.colsPermutation(); return true; } return false; } private: typedef ColPivHouseholderQR QRType; QRType m_qr; WorkspaceType m_workspace; }; template class qr_preconditioner_impl { public: typedef typename MatrixType::Scalar Scalar; typedef JacobiSVD SVDType; enum { RowsAtCompileTime = MatrixType::RowsAtCompileTime, ColsAtCompileTime = MatrixType::ColsAtCompileTime, MaxRowsAtCompileTime = MatrixType::MaxRowsAtCompileTime, MaxColsAtCompileTime = MatrixType::MaxColsAtCompileTime, MatrixOptions = internal::traits::Options, WorkspaceSize = internal::traits::MatrixVColsAtCompileTime, MaxWorkspaceSize = internal::traits::MatrixVMaxColsAtCompileTime }; typedef Matrix WorkspaceType; typedef typename internal::make_proper_matrix_type::type TransposeTypeWithSameStorageOrder; void allocate(const SVDType& svd) { if (svd.cols() != m_qr.rows() || svd.rows() != m_qr.cols()) { internal::destroy_at(&m_qr); internal::construct_at(&m_qr, svd.cols(), svd.rows()); } if (svd.m_computeFullV) m_workspace.resize(svd.cols()); else if (svd.m_computeThinV) m_workspace.resize(svd.rows()); } template bool run(SVDType& svd, const Xpr& matrix) { if (matrix.cols() > matrix.rows()) { m_qr.compute(matrix.adjoint()); svd.m_workMatrix = m_qr.matrixQR().block(0, 0, matrix.rows(), matrix.rows()).template triangularView().adjoint(); if (svd.m_computeFullV) m_qr.householderQ().evalTo(svd.m_matrixV, m_workspace); else if (svd.m_computeThinV) { svd.m_matrixV.setIdentity(matrix.cols(), matrix.rows()); m_qr.householderQ().applyThisOnTheLeft(svd.m_matrixV, m_workspace); } if (svd.computeU()) svd.m_matrixU = m_qr.colsPermutation(); return true; } else return false; } private: typedef ColPivHouseholderQR QRType; QRType m_qr; WorkspaceType m_workspace; }; /*** preconditioner using HouseholderQR ***/ template class qr_preconditioner_impl { public: typedef typename MatrixType::Scalar Scalar; typedef JacobiSVD SVDType; enum { WorkspaceSize = internal::traits::MatrixUColsAtCompileTime, MaxWorkspaceSize = internal::traits::MatrixUMaxColsAtCompileTime }; typedef Matrix WorkspaceType; void allocate(const SVDType& svd) { if (svd.rows() != m_qr.rows() || svd.cols() != m_qr.cols()) { internal::destroy_at(&m_qr); internal::construct_at(&m_qr, svd.rows(), svd.cols()); } if (svd.m_computeFullU) m_workspace.resize(svd.rows()); else if (svd.m_computeThinU) m_workspace.resize(svd.cols()); } template bool run(SVDType& svd, const Xpr& matrix) { if (matrix.rows() > matrix.cols()) { m_qr.compute(matrix); svd.m_workMatrix = m_qr.matrixQR().block(0, 0, matrix.cols(), matrix.cols()).template triangularView(); if (svd.m_computeFullU) m_qr.householderQ().evalTo(svd.m_matrixU, m_workspace); else if (svd.m_computeThinU) { svd.m_matrixU.setIdentity(matrix.rows(), matrix.cols()); m_qr.householderQ().applyThisOnTheLeft(svd.m_matrixU, m_workspace); } if (svd.computeV()) svd.m_matrixV.setIdentity(matrix.cols(), matrix.cols()); return true; } return false; } private: typedef HouseholderQR QRType; QRType m_qr; WorkspaceType m_workspace; }; template class qr_preconditioner_impl { public: typedef typename MatrixType::Scalar Scalar; typedef JacobiSVD SVDType; enum { RowsAtCompileTime = MatrixType::RowsAtCompileTime, ColsAtCompileTime = MatrixType::ColsAtCompileTime, MaxRowsAtCompileTime = MatrixType::MaxRowsAtCompileTime, MaxColsAtCompileTime = MatrixType::MaxColsAtCompileTime, MatrixOptions = internal::traits::Options, WorkspaceSize = internal::traits::MatrixVColsAtCompileTime, MaxWorkspaceSize = internal::traits::MatrixVMaxColsAtCompileTime }; typedef Matrix WorkspaceType; typedef typename internal::make_proper_matrix_type::type TransposeTypeWithSameStorageOrder; void allocate(const SVDType& svd) { if (svd.cols() != m_qr.rows() || svd.rows() != m_qr.cols()) { internal::destroy_at(&m_qr); internal::construct_at(&m_qr, svd.cols(), svd.rows()); } if (svd.m_computeFullV) m_workspace.resize(svd.cols()); else if (svd.m_computeThinV) m_workspace.resize(svd.rows()); } template bool run(SVDType& svd, const Xpr& matrix) { if (matrix.cols() > matrix.rows()) { m_qr.compute(matrix.adjoint()); svd.m_workMatrix = m_qr.matrixQR().block(0, 0, matrix.rows(), matrix.rows()).template triangularView().adjoint(); if (svd.m_computeFullV) m_qr.householderQ().evalTo(svd.m_matrixV, m_workspace); else if (svd.m_computeThinV) { svd.m_matrixV.setIdentity(matrix.cols(), matrix.rows()); m_qr.householderQ().applyThisOnTheLeft(svd.m_matrixV, m_workspace); } if (svd.computeU()) svd.m_matrixU.setIdentity(matrix.rows(), matrix.rows()); return true; } else return false; } private: typedef HouseholderQR QRType; QRType m_qr; WorkspaceType m_workspace; }; /*** 2x2 SVD implementation *** *** JacobiSVD consists in performing a series of 2x2 SVD subproblems ***/ template struct svd_precondition_2x2_block_to_be_real { typedef JacobiSVD SVD; typedef typename MatrixType::RealScalar RealScalar; static bool run(typename SVD::WorkMatrixType&, SVD&, Index, Index, RealScalar&) { return true; } }; template struct svd_precondition_2x2_block_to_be_real { typedef JacobiSVD SVD; typedef typename MatrixType::Scalar Scalar; typedef typename MatrixType::RealScalar RealScalar; static bool run(typename SVD::WorkMatrixType& work_matrix, SVD& svd, Index p, Index q, RealScalar& maxDiagEntry) { using std::abs; using std::sqrt; Scalar z; JacobiRotation rot; RealScalar n = sqrt(numext::abs2(work_matrix.coeff(p, p)) + numext::abs2(work_matrix.coeff(q, p))); const RealScalar considerAsZero = (std::numeric_limits::min)(); const RealScalar precision = NumTraits::epsilon(); if (numext::is_exactly_zero(n)) { // make sure first column is zero work_matrix.coeffRef(p, p) = work_matrix.coeffRef(q, p) = Scalar(0); if (abs(numext::imag(work_matrix.coeff(p, q))) > considerAsZero) { // work_matrix.coeff(p,q) can be zero if work_matrix.coeff(q,p) is not zero but small enough to underflow when // computing n z = abs(work_matrix.coeff(p, q)) / work_matrix.coeff(p, q); work_matrix.row(p) *= z; if (svd.computeU()) svd.m_matrixU.col(p) *= conj(z); } if (abs(numext::imag(work_matrix.coeff(q, q))) > considerAsZero) { z = abs(work_matrix.coeff(q, q)) / work_matrix.coeff(q, q); work_matrix.row(q) *= z; if (svd.computeU()) svd.m_matrixU.col(q) *= conj(z); } // otherwise the second row is already zero, so we have nothing to do. } else { rot.c() = conj(work_matrix.coeff(p, p)) / n; rot.s() = work_matrix.coeff(q, p) / n; work_matrix.applyOnTheLeft(p, q, rot); if (svd.computeU()) svd.m_matrixU.applyOnTheRight(p, q, rot.adjoint()); if (abs(numext::imag(work_matrix.coeff(p, q))) > considerAsZero) { z = abs(work_matrix.coeff(p, q)) / work_matrix.coeff(p, q); work_matrix.col(q) *= z; if (svd.computeV()) svd.m_matrixV.col(q) *= z; } if (abs(numext::imag(work_matrix.coeff(q, q))) > considerAsZero) { z = abs(work_matrix.coeff(q, q)) / work_matrix.coeff(q, q); work_matrix.row(q) *= z; if (svd.computeU()) svd.m_matrixU.col(q) *= conj(z); } } // update largest diagonal entry maxDiagEntry = numext::maxi( maxDiagEntry, numext::maxi(abs(work_matrix.coeff(p, p)), abs(work_matrix.coeff(q, q)))); // and check whether the 2x2 block is already diagonal RealScalar threshold = numext::maxi(considerAsZero, precision * maxDiagEntry); return abs(work_matrix.coeff(p, q)) > threshold || abs(work_matrix.coeff(q, p)) > threshold; } }; template struct traits > : svd_traits { typedef MatrixType_ MatrixType; }; } // end namespace internal /** \ingroup SVD_Module * * * \class JacobiSVD * * \brief Two-sided Jacobi SVD decomposition of a rectangular matrix * * \tparam MatrixType_ the type of the matrix of which we are computing the SVD decomposition * \tparam Options this optional parameter allows one to specify the type of QR decomposition that will be used * internally for the R-SVD step for non-square matrices. Additionally, it allows one to specify whether to compute thin * or full unitaries \a U and \a V. See discussion of possible values below. * * SVD decomposition consists in decomposing any n-by-p matrix \a A as a product * \f[ A = U S V^* \f] * where \a U is a n-by-n unitary, \a V is a p-by-p unitary, and \a S is a n-by-p real positive matrix which is zero * outside of its main diagonal; the diagonal entries of S are known as the \em singular \em values of \a A and the * columns of \a U and \a V are known as the left and right \em singular \em vectors of \a A respectively. * * Singular values are always sorted in decreasing order. * * This JacobiSVD decomposition computes only the singular values by default. If you want \a U or \a V, you need to ask * for them explicitly. * * You can ask for only \em thin \a U or \a V to be computed, meaning the following. In case of a rectangular n-by-p * matrix, letting \a m be the smaller value among \a n and \a p, there are only \a m singular vectors; the remaining * columns of \a U and \a V do not correspond to actual singular vectors. Asking for \em thin \a U or \a V means asking * for only their \a m first columns to be formed. So \a U is then a n-by-m matrix, and \a V is then a p-by-m matrix. * Notice that thin \a U and \a V are all you need for (least squares) solving. * * Here's an example demonstrating basic usage: * \include JacobiSVD_basic.cpp * Output: \verbinclude JacobiSVD_basic.out * * This JacobiSVD class is a two-sided Jacobi R-SVD decomposition, ensuring optimal reliability and accuracy. The * downside is that it's slower than bidiagonalizing SVD algorithms for large square matrices; however its complexity is * still \f$ O(n^2p) \f$ where \a n is the smaller dimension and \a p is the greater dimension, meaning that it is still * of the same order of complexity as the faster bidiagonalizing R-SVD algorithms. In particular, like any R-SVD, it * takes advantage of non-squareness in that its complexity is only linear in the greater dimension. * * If the input matrix has inf or nan coefficients, the result of the computation is undefined, but the computation is * guaranteed to terminate in finite (and reasonable) time. * * The possible QR preconditioners that can be set with Options template parameter are: * \li ColPivHouseholderQRPreconditioner is the default. In practice it's very safe. It uses column-pivoting QR. * \li FullPivHouseholderQRPreconditioner, is the safest and slowest. It uses full-pivoting QR. * Contrary to other QRs, it doesn't allow computing thin unitaries. * \li HouseholderQRPreconditioner is the fastest, and less safe and accurate than the pivoting variants. It uses * non-pivoting QR. This is very similar in safety and accuracy to the bidiagonalization process used by bidiagonalizing * SVD algorithms (since bidiagonalization is inherently non-pivoting). However the resulting SVD is still more reliable * than bidiagonalizing SVDs because the Jacobi-based iterarive process is more reliable than the optimized bidiagonal * SVD iterations. \li NoQRPreconditioner allows not to use a QR preconditioner at all. This is useful if you know that * you will only be computing JacobiSVD decompositions of square matrices. Non-square matrices require a QR * preconditioner. Using this option will result in faster compilation and smaller executable code. It won't * significantly speed up computation, since JacobiSVD is always checking if QR preconditioning is needed before * applying it anyway. * * One may also use the Options template parameter to specify how the unitaries should be computed. The options are * #ComputeThinU, #ComputeThinV, #ComputeFullU, #ComputeFullV. It is not possible to request both the thin and full * versions of a unitary. By default, unitaries will not be computed. * * You can set the QRPreconditioner and unitary options together: JacobiSVD * * \sa MatrixBase::jacobiSvd() */ template class JacobiSVD : public SVDBase > { typedef SVDBase Base; public: typedef MatrixType_ MatrixType; typedef typename Base::Scalar Scalar; typedef typename Base::RealScalar RealScalar; enum : int { Options = Options_, QRPreconditioner = internal::get_qr_preconditioner(Options), 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 WorkMatrixType; /** \brief Default Constructor. * * The default constructor is useful in cases in which the user intends to * perform decompositions via JacobiSVD::compute(const MatrixType&). */ JacobiSVD() {} /** \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 JacobiSVD() */ JacobiSVD(Index rows, Index cols) { 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. * * 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 specify whether to compute Thin/Full unitaries U/V * \sa JacobiSVD() * * \deprecated Will be removed in the next major Eigen version. Options should * be specified in the \a Options template parameter. */ EIGEN_DEPRECATED JacobiSVD(Index rows, Index cols, unsigned int computationOptions) { 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 explicit JacobiSVD(const MatrixBase& matrix) { 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 unitiaries 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 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. */ // EIGEN_DEPRECATED // TODO(cantonios): re-enable after fixing a few 3p libraries that error on deprecation warnings. template JacobiSVD(const MatrixBase& matrix, unsigned int computationOptions) { internal::check_svd_options_assertions, Options>(computationOptions, matrix.rows(), matrix.cols()); compute_impl(matrix, computationOptions); } /** \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 JacobiSVD& 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 JacobiSVD& compute(const MatrixBase& matrix, unsigned int computationOptions) { internal::check_svd_options_assertions, Options>(m_computationOptions, matrix.rows(), matrix.cols()); return compute_impl(matrix, computationOptions); } using Base::cols; using Base::computeU; using Base::computeV; using Base::diagSize; using Base::rank; using Base::rows; void allocate(Index rows_, Index cols_, unsigned int computationOptions) { if (Base::allocate(rows_, cols_, computationOptions)) return; eigen_assert(!(ShouldComputeThinU && int(QRPreconditioner) == int(FullPivHouseholderQRPreconditioner)) && !(ShouldComputeThinU && int(QRPreconditioner) == int(FullPivHouseholderQRPreconditioner)) && "JacobiSVD: can't compute thin U or thin V with the FullPivHouseholderQR preconditioner. " "Use the ColPivHouseholderQR preconditioner instead."); m_workMatrix.resize(diagSize(), diagSize()); if (cols() > rows()) m_qr_precond_morecols.allocate(*this); if (rows() > cols()) m_qr_precond_morerows.allocate(*this); } private: template JacobiSVD& compute_impl(const MatrixBase& matrix, unsigned int computationOptions); protected: using Base::m_computationOptions; using Base::m_computeFullU; using Base::m_computeFullV; using Base::m_computeThinU; using Base::m_computeThinV; using Base::m_info; using Base::m_isAllocated; using Base::m_isInitialized; using Base::m_matrixU; using Base::m_matrixV; using Base::m_nonzeroSingularValues; using Base::m_prescribedThreshold; using Base::m_singularValues; using Base::m_usePrescribedThreshold; using Base::ShouldComputeThinU; using Base::ShouldComputeThinV; EIGEN_STATIC_ASSERT(!(ShouldComputeThinU && int(QRPreconditioner) == int(FullPivHouseholderQRPreconditioner)) && !(ShouldComputeThinU && int(QRPreconditioner) == int(FullPivHouseholderQRPreconditioner)), "JacobiSVD: can't compute thin U or thin V with the FullPivHouseholderQR preconditioner. " "Use the ColPivHouseholderQR preconditioner instead.") template friend struct internal::svd_precondition_2x2_block_to_be_real; template friend struct internal::qr_preconditioner_impl; internal::qr_preconditioner_impl m_qr_precond_morecols; internal::qr_preconditioner_impl m_qr_precond_morerows; WorkMatrixType m_workMatrix; }; template template JacobiSVD& JacobiSVD::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.); using std::abs; allocate(matrix.rows(), matrix.cols(), computationOptions); // currently we stop when we reach precision 2*epsilon as the last bit of precision can require an unreasonable number // of iterations, only worsening the precision of U and V as we accumulate more rotations const RealScalar precision = RealScalar(2) * NumTraits::epsilon(); // limit for denormal numbers to be considered zero in order to avoid infinite loops (see bug 286) const RealScalar considerAsZero = (std::numeric_limits::min)(); // Scaling factor to reduce over/under-flows RealScalar scale = matrix.cwiseAbs().template maxCoeff(); if (!(numext::isfinite)(scale)) { m_isInitialized = true; m_info = InvalidInput; m_nonzeroSingularValues = 0; return *this; } if (numext::is_exactly_zero(scale)) scale = RealScalar(1); /*** step 1. The R-SVD step: we use a QR decomposition to reduce to the case of a square matrix */ if (rows() != cols()) { m_qr_precond_morecols.run(*this, matrix / scale); m_qr_precond_morerows.run(*this, matrix / scale); } else { m_workMatrix = matrix.template topLeftCorner(diagSize(), diagSize()) / scale; if (m_computeFullU) m_matrixU.setIdentity(rows(), rows()); if (m_computeThinU) m_matrixU.setIdentity(rows(), diagSize()); if (m_computeFullV) m_matrixV.setIdentity(cols(), cols()); if (m_computeThinV) m_matrixV.setIdentity(cols(), diagSize()); } /*** step 2. The main Jacobi SVD iteration. ***/ RealScalar maxDiagEntry = m_workMatrix.cwiseAbs().diagonal().maxCoeff(); bool finished = false; while (!finished) { finished = true; // do a sweep: for all index pairs (p,q), perform SVD of the corresponding 2x2 sub-matrix for (Index p = 1; p < diagSize(); ++p) { for (Index q = 0; q < p; ++q) { // if this 2x2 sub-matrix is not diagonal already... // notice that this comparison will evaluate to false if any NaN is involved, ensuring that NaN's don't // keep us iterating forever. Similarly, small denormal numbers are considered zero. RealScalar threshold = numext::maxi(considerAsZero, precision * maxDiagEntry); if (abs(m_workMatrix.coeff(p, q)) > threshold || abs(m_workMatrix.coeff(q, p)) > threshold) { finished = false; // perform SVD decomposition of 2x2 sub-matrix corresponding to indices p,q to make it diagonal // the complex to real operation returns true if the updated 2x2 block is not already diagonal if (internal::svd_precondition_2x2_block_to_be_real::run(m_workMatrix, *this, p, q, maxDiagEntry)) { JacobiRotation j_left, j_right; internal::real_2x2_jacobi_svd(m_workMatrix, p, q, &j_left, &j_right); // accumulate resulting Jacobi rotations m_workMatrix.applyOnTheLeft(p, q, j_left); if (computeU()) m_matrixU.applyOnTheRight(p, q, j_left.transpose()); m_workMatrix.applyOnTheRight(p, q, j_right); if (computeV()) m_matrixV.applyOnTheRight(p, q, j_right); // keep track of the largest diagonal coefficient maxDiagEntry = numext::maxi( maxDiagEntry, numext::maxi(abs(m_workMatrix.coeff(p, p)), abs(m_workMatrix.coeff(q, q)))); } } } } } /*** step 3. The work matrix is now diagonal, so ensure it's positive so its diagonal entries are the singular values * ***/ for (Index i = 0; i < diagSize(); ++i) { // For a complex matrix, some diagonal coefficients might note have been // treated by svd_precondition_2x2_block_to_be_real, and the imaginary part // of some diagonal entry might not be null. if (NumTraits::IsComplex && abs(numext::imag(m_workMatrix.coeff(i, i))) > considerAsZero) { RealScalar a = abs(m_workMatrix.coeff(i, i)); m_singularValues.coeffRef(i) = abs(a); if (computeU()) m_matrixU.col(i) *= m_workMatrix.coeff(i, i) / a; } else { // m_workMatrix.coeff(i,i) is already real, no difficulty: RealScalar a = numext::real(m_workMatrix.coeff(i, i)); m_singularValues.coeffRef(i) = abs(a); if (computeU() && (a < RealScalar(0))) m_matrixU.col(i) = -m_matrixU.col(i); } } m_singularValues *= scale; /*** step 4. Sort singular values in descending order and compute the number of nonzero singular values ***/ m_nonzeroSingularValues = diagSize(); for (Index i = 0; i < diagSize(); i++) { Index pos; RealScalar maxRemainingSingularValue = m_singularValues.tail(diagSize() - i).maxCoeff(&pos); if (numext::is_exactly_zero(maxRemainingSingularValue)) { m_nonzeroSingularValues = i; break; } if (pos) { pos += i; std::swap(m_singularValues.coeffRef(i), m_singularValues.coeffRef(pos)); if (computeU()) m_matrixU.col(pos).swap(m_matrixU.col(i)); if (computeV()) m_matrixV.col(pos).swap(m_matrixV.col(i)); } } m_isInitialized = true; return *this; } /** \svd_module * * \return the singular value decomposition of \c *this computed by two-sided * Jacobi transformations. * * \sa class JacobiSVD */ template template JacobiSVD::PlainObject, Options> MatrixBase::jacobiSvd() const { return JacobiSVD(*this); } template template JacobiSVD::PlainObject, Options> MatrixBase::jacobiSvd( unsigned int computationOptions) const { return JacobiSVD(*this, computationOptions); } } // end namespace Eigen #endif // EIGEN_JACOBISVD_H