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diff --git a/src/Eigen/src/Eigenvalues/GeneralizedEigenSolver.h b/src/Eigen/src/Eigenvalues/GeneralizedEigenSolver.h new file mode 100644 index 0000000..dc240e1 --- /dev/null +++ b/src/Eigen/src/Eigenvalues/GeneralizedEigenSolver.h @@ -0,0 +1,341 @@ +// This file is part of Eigen, a lightweight C++ template library +// for linear algebra. +// +// Copyright (C) 2012 Gael Guennebaud <gael.guennebaud@inria.fr> +// Copyright (C) 2010,2012 Jitse Niesen <jitse@maths.leeds.ac.uk> +// +// This Source Code Form is subject to the terms of the Mozilla +// Public License v. 2.0. If a copy of the MPL was not distributed +// with this file, You can obtain one at http://mozilla.org/MPL/2.0/. + +#ifndef EIGEN_GENERALIZEDEIGENSOLVER_H +#define EIGEN_GENERALIZEDEIGENSOLVER_H + +#include "./RealQZ.h" + +namespace Eigen { + +/** \eigenvalues_module \ingroup Eigenvalues_Module + * + * + * \class GeneralizedEigenSolver + * + * \brief Computes the generalized eigenvalues and eigenvectors of a pair of general matrices + * + * \tparam _MatrixType the type of the matrices of which we are computing the + * eigen-decomposition; this is expected to be an instantiation of the Matrix + * class template. Currently, only real matrices are supported. + * + * The generalized eigenvalues and eigenvectors of a matrix pair \f$ A \f$ and \f$ B \f$ are scalars + * \f$ \lambda \f$ and vectors \f$ v \f$ such that \f$ Av = \lambda Bv \f$. If + * \f$ D \f$ is a diagonal matrix with the eigenvalues on the diagonal, and + * \f$ V \f$ is a matrix with the eigenvectors as its columns, then \f$ A V = + * B V D \f$. The matrix \f$ V \f$ is almost always invertible, in which case we + * have \f$ A = B V D V^{-1} \f$. This is called the generalized eigen-decomposition. + * + * The generalized eigenvalues and eigenvectors of a matrix pair may be complex, even when the + * matrices are real. Moreover, the generalized eigenvalue might be infinite if the matrix B is + * singular. To workaround this difficulty, the eigenvalues are provided as a pair of complex \f$ \alpha \f$ + * and real \f$ \beta \f$ such that: \f$ \lambda_i = \alpha_i / \beta_i \f$. If \f$ \beta_i \f$ is (nearly) zero, + * then one can consider the well defined left eigenvalue \f$ \mu = \beta_i / \alpha_i\f$ such that: + * \f$ \mu_i A v_i = B v_i \f$, or even \f$ \mu_i u_i^T A = u_i^T B \f$ where \f$ u_i \f$ is + * called the left eigenvector. + * + * Call the function compute() to compute the generalized eigenvalues and eigenvectors of + * a given matrix pair. Alternatively, you can use the + * GeneralizedEigenSolver(const MatrixType&, const MatrixType&, bool) constructor which computes the + * eigenvalues and eigenvectors at construction time. Once the eigenvalue and + * eigenvectors are computed, they can be retrieved with the eigenvalues() and + * eigenvectors() functions. + * + * Here is an usage example of this class: + * Example: \include GeneralizedEigenSolver.cpp + * Output: \verbinclude GeneralizedEigenSolver.out + * + * \sa MatrixBase::eigenvalues(), class ComplexEigenSolver, class SelfAdjointEigenSolver + */ +template<typename _MatrixType> class GeneralizedEigenSolver +{ + public: + + /** \brief Synonym for the template parameter \p _MatrixType. */ + typedef _MatrixType MatrixType; + + enum { + RowsAtCompileTime = MatrixType::RowsAtCompileTime, + ColsAtCompileTime = MatrixType::ColsAtCompileTime, + Options = MatrixType::Options, + MaxRowsAtCompileTime = MatrixType::MaxRowsAtCompileTime, + MaxColsAtCompileTime = MatrixType::MaxColsAtCompileTime + }; + + /** \brief Scalar type for matrices of type #MatrixType. */ + typedef typename MatrixType::Scalar Scalar; + typedef typename NumTraits<Scalar>::Real RealScalar; + typedef typename MatrixType::Index Index; + + /** \brief Complex scalar type for #MatrixType. + * + * This is \c std::complex<Scalar> if #Scalar is real (e.g., + * \c float or \c double) and just \c Scalar if #Scalar is + * complex. + */ + typedef std::complex<RealScalar> ComplexScalar; + + /** \brief Type for vector of real scalar values eigenvalues as returned by betas(). + * + * This is a column vector with entries of type #Scalar. + * The length of the vector is the size of #MatrixType. + */ + typedef Matrix<Scalar, ColsAtCompileTime, 1, Options & ~RowMajor, MaxColsAtCompileTime, 1> VectorType; + + /** \brief Type for vector of complex scalar values eigenvalues as returned by betas(). + * + * This is a column vector with entries of type #ComplexScalar. + * The length of the vector is the size of #MatrixType. + */ + typedef Matrix<ComplexScalar, ColsAtCompileTime, 1, Options & ~RowMajor, MaxColsAtCompileTime, 1> ComplexVectorType; + + /** \brief Expression type for the eigenvalues as returned by eigenvalues(). + */ + typedef CwiseBinaryOp<internal::scalar_quotient_op<ComplexScalar,Scalar>,ComplexVectorType,VectorType> EigenvalueType; + + /** \brief Type for matrix of eigenvectors as returned by eigenvectors(). + * + * This is a square matrix with entries of type #ComplexScalar. + * The size is the same as the size of #MatrixType. + */ + typedef Matrix<ComplexScalar, RowsAtCompileTime, ColsAtCompileTime, Options, MaxRowsAtCompileTime, MaxColsAtCompileTime> EigenvectorsType; + + /** \brief Default constructor. + * + * The default constructor is useful in cases in which the user intends to + * perform decompositions via EigenSolver::compute(const MatrixType&, bool). + * + * \sa compute() for an example. + */ + GeneralizedEigenSolver() : m_eivec(), m_alphas(), m_betas(), m_isInitialized(false), m_realQZ(), m_matS(), m_tmp() {} + + /** \brief Default constructor with memory preallocation + * + * Like the default constructor but with preallocation of the internal data + * according to the specified problem \a size. + * \sa GeneralizedEigenSolver() + */ + GeneralizedEigenSolver(Index size) + : m_eivec(size, size), + m_alphas(size), + m_betas(size), + m_isInitialized(false), + m_eigenvectorsOk(false), + m_realQZ(size), + m_matS(size, size), + m_tmp(size) + {} + + /** \brief Constructor; computes the generalized eigendecomposition of given matrix pair. + * + * \param[in] A Square matrix whose eigendecomposition is to be computed. + * \param[in] B Square matrix whose eigendecomposition is to be computed. + * \param[in] computeEigenvectors If true, both the eigenvectors and the + * eigenvalues are computed; if false, only the eigenvalues are computed. + * + * This constructor calls compute() to compute the generalized eigenvalues + * and eigenvectors. + * + * \sa compute() + */ + GeneralizedEigenSolver(const MatrixType& A, const MatrixType& B, bool computeEigenvectors = true) + : m_eivec(A.rows(), A.cols()), + m_alphas(A.cols()), + m_betas(A.cols()), + m_isInitialized(false), + m_eigenvectorsOk(false), + m_realQZ(A.cols()), + m_matS(A.rows(), A.cols()), + m_tmp(A.cols()) + { + compute(A, B, computeEigenvectors); + } + + /* \brief Returns the computed generalized eigenvectors. + * + * \returns %Matrix whose columns are the (possibly complex) eigenvectors. + * + * \pre Either the constructor + * GeneralizedEigenSolver(const MatrixType&,const MatrixType&, bool) or the member function + * compute(const MatrixType&, const MatrixType& bool) has been called before, and + * \p computeEigenvectors was set to true (the default). + * + * Column \f$ k \f$ of the returned matrix is an eigenvector corresponding + * to eigenvalue number \f$ k \f$ as returned by eigenvalues(). The + * eigenvectors are normalized to have (Euclidean) norm equal to one. The + * matrix returned by this function is the matrix \f$ V \f$ in the + * generalized eigendecomposition \f$ A = B V D V^{-1} \f$, if it exists. + * + * \sa eigenvalues() + */ +// EigenvectorsType eigenvectors() const; + + /** \brief Returns an expression of the computed generalized eigenvalues. + * + * \returns An expression of the column vector containing the eigenvalues. + * + * It is a shortcut for \code this->alphas().cwiseQuotient(this->betas()); \endcode + * Not that betas might contain zeros. It is therefore not recommended to use this function, + * but rather directly deal with the alphas and betas vectors. + * + * \pre Either the constructor + * GeneralizedEigenSolver(const MatrixType&,const MatrixType&,bool) or the member function + * compute(const MatrixType&,const MatrixType&,bool) has been called before. + * + * The eigenvalues are repeated according to their algebraic multiplicity, + * so there are as many eigenvalues as rows in the matrix. The eigenvalues + * are not sorted in any particular order. + * + * \sa alphas(), betas(), eigenvectors() + */ + EigenvalueType eigenvalues() const + { + eigen_assert(m_isInitialized && "GeneralizedEigenSolver is not initialized."); + return EigenvalueType(m_alphas,m_betas); + } + + /** \returns A const reference to the vectors containing the alpha values + * + * This vector permits to reconstruct the j-th eigenvalues as alphas(i)/betas(j). + * + * \sa betas(), eigenvalues() */ + ComplexVectorType alphas() const + { + eigen_assert(m_isInitialized && "GeneralizedEigenSolver is not initialized."); + return m_alphas; + } + + /** \returns A const reference to the vectors containing the beta values + * + * This vector permits to reconstruct the j-th eigenvalues as alphas(i)/betas(j). + * + * \sa alphas(), eigenvalues() */ + VectorType betas() const + { + eigen_assert(m_isInitialized && "GeneralizedEigenSolver is not initialized."); + return m_betas; + } + + /** \brief Computes generalized eigendecomposition of given matrix. + * + * \param[in] A Square matrix whose eigendecomposition is to be computed. + * \param[in] B Square matrix whose eigendecomposition is to be computed. + * \param[in] computeEigenvectors If true, both the eigenvectors and the + * eigenvalues are computed; if false, only the eigenvalues are + * computed. + * \returns Reference to \c *this + * + * This function computes the eigenvalues of the real matrix \p matrix. + * The eigenvalues() function can be used to retrieve them. If + * \p computeEigenvectors is true, then the eigenvectors are also computed + * and can be retrieved by calling eigenvectors(). + * + * The matrix is first reduced to real generalized Schur form using the RealQZ + * class. The generalized Schur decomposition is then used to compute the eigenvalues + * and eigenvectors. + * + * The cost of the computation is dominated by the cost of the + * generalized Schur decomposition. + * + * This method reuses of the allocated data in the GeneralizedEigenSolver object. + */ + GeneralizedEigenSolver& compute(const MatrixType& A, const MatrixType& B, bool computeEigenvectors = true); + + ComputationInfo info() const + { + eigen_assert(m_isInitialized && "EigenSolver is not initialized."); + return m_realQZ.info(); + } + + /** Sets the maximal number of iterations allowed. + */ + GeneralizedEigenSolver& setMaxIterations(Index maxIters) + { + m_realQZ.setMaxIterations(maxIters); + return *this; + } + + protected: + MatrixType m_eivec; + ComplexVectorType m_alphas; + VectorType m_betas; + bool m_isInitialized; + bool m_eigenvectorsOk; + RealQZ<MatrixType> m_realQZ; + MatrixType m_matS; + + typedef Matrix<Scalar, ColsAtCompileTime, 1, Options & ~RowMajor, MaxColsAtCompileTime, 1> ColumnVectorType; + ColumnVectorType m_tmp; +}; + +//template<typename MatrixType> +//typename GeneralizedEigenSolver<MatrixType>::EigenvectorsType GeneralizedEigenSolver<MatrixType>::eigenvectors() const +//{ +// eigen_assert(m_isInitialized && "EigenSolver is not initialized."); +// eigen_assert(m_eigenvectorsOk && "The eigenvectors have not been computed together with the eigenvalues."); +// Index n = m_eivec.cols(); +// EigenvectorsType matV(n,n); +// // TODO +// return matV; +//} + +template<typename MatrixType> +GeneralizedEigenSolver<MatrixType>& +GeneralizedEigenSolver<MatrixType>::compute(const MatrixType& A, const MatrixType& B, bool computeEigenvectors) +{ + using std::sqrt; + using std::abs; + eigen_assert(A.cols() == A.rows() && B.cols() == A.rows() && B.cols() == B.rows()); + + // Reduce to generalized real Schur form: + // A = Q S Z and B = Q T Z + m_realQZ.compute(A, B, computeEigenvectors); + + if (m_realQZ.info() == Success) + { + m_matS = m_realQZ.matrixS(); + if (computeEigenvectors) + m_eivec = m_realQZ.matrixZ().transpose(); + + // Compute eigenvalues from matS + m_alphas.resize(A.cols()); + m_betas.resize(A.cols()); + Index i = 0; + while (i < A.cols()) + { + if (i == A.cols() - 1 || m_matS.coeff(i+1, i) == Scalar(0)) + { + m_alphas.coeffRef(i) = m_matS.coeff(i, i); + m_betas.coeffRef(i) = m_realQZ.matrixT().coeff(i,i); + ++i; + } + else + { + Scalar p = Scalar(0.5) * (m_matS.coeff(i, i) - m_matS.coeff(i+1, i+1)); + Scalar z = sqrt(abs(p * p + m_matS.coeff(i+1, i) * m_matS.coeff(i, i+1))); + m_alphas.coeffRef(i) = ComplexScalar(m_matS.coeff(i+1, i+1) + p, z); + m_alphas.coeffRef(i+1) = ComplexScalar(m_matS.coeff(i+1, i+1) + p, -z); + + m_betas.coeffRef(i) = m_realQZ.matrixT().coeff(i,i); + m_betas.coeffRef(i+1) = m_realQZ.matrixT().coeff(i,i); + i += 2; + } + } + } + + m_isInitialized = true; + m_eigenvectorsOk = false;//computeEigenvectors; + + return *this; +} + +} // end namespace Eigen + +#endif // EIGEN_GENERALIZEDEIGENSOLVER_H |