// 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 // // 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 EPSILON 0.0000000000000001 #define ALGOSWAP 32 namespace Eigen { /** \ingroup SVD_Module * * * \class BDCSVD * * \brief class Bidiagonal Divide and Conquer SVD * * \param MatrixType the type of the matrix of which we are computing the SVD decomposition * We plan to have a very similar interface to JacobiSVD on this class. * It should be used to speed up the calcul of SVD for big matrices. */ template class BDCSVD : public SVDBase<_MatrixType> { typedef SVDBase<_MatrixType> Base; public: using Base::rows; using Base::cols; typedef _MatrixType MatrixType; typedef typename MatrixType::Scalar Scalar; typedef typename NumTraits::Real RealScalar; typedef typename MatrixType::Index Index; enum { RowsAtCompileTime = MatrixType::RowsAtCompileTime, ColsAtCompileTime = MatrixType::ColsAtCompileTime, DiagSizeAtCompileTime = EIGEN_SIZE_MIN_PREFER_DYNAMIC(RowsAtCompileTime, ColsAtCompileTime), MaxRowsAtCompileTime = MatrixType::MaxRowsAtCompileTime, MaxColsAtCompileTime = MatrixType::MaxColsAtCompileTime, MaxDiagSizeAtCompileTime = EIGEN_SIZE_MIN_PREFER_FIXED(MaxRowsAtCompileTime, MaxColsAtCompileTime), MatrixOptions = MatrixType::Options }; typedef Matrix MatrixUType; typedef Matrix MatrixVType; typedef typename internal::plain_diag_type::type SingularValuesType; typedef typename internal::plain_row_type::type RowType; typedef typename internal::plain_col_type::type ColType; typedef Matrix MatrixX; typedef Matrix MatrixXr; typedef Matrix VectorType; /** \brief Default Constructor. * * The default constructor is useful in cases in which the user intends to * perform decompositions via BDCSVD::compute(const MatrixType&). */ BDCSVD() : SVDBase<_MatrixType>::SVDBase(), algoswap(ALGOSWAP) {} /** \brief Default Constructor with memory preallocation * * Like the default constructor but with preallocation of the internal data * according to the specified problem size. * \sa BDCSVD() */ BDCSVD(Index rows, Index cols, unsigned int computationOptions = 0) : SVDBase<_MatrixType>::SVDBase(), algoswap(ALGOSWAP) { allocate(rows, cols, computationOptions); } /** \brief Constructor performing the decomposition of given matrix. * * \param matrix the matrix to decompose * \param computationOptions optional parameter allowing to specify if you want full or thin U or V unitaries to be computed. * By default, none is computed. This is a bit - field, the possible bits are #ComputeFullU, #ComputeThinU, * #ComputeFullV, #ComputeThinV. * * Thin unitaries are only available if your matrix type has a Dynamic number of columns (for example MatrixXf). They also are not * available with the (non - default) FullPivHouseholderQR preconditioner. */ BDCSVD(const MatrixType& matrix, unsigned int computationOptions = 0) : SVDBase<_MatrixType>::SVDBase(), algoswap(ALGOSWAP) { compute(matrix, computationOptions); } ~BDCSVD() { } /** \brief Method performing the decomposition of given matrix using custom options. * * \param matrix the matrix to decompose * \param computationOptions optional parameter allowing to specify if you want full or thin U or V unitaries to be computed. * By default, none is computed. This is a bit - field, the possible bits are #ComputeFullU, #ComputeThinU, * #ComputeFullV, #ComputeThinV. * * Thin unitaries are only available if your matrix type has a Dynamic number of columns (for example MatrixXf). They also are not * available with the (non - default) FullPivHouseholderQR preconditioner. */ SVDBase& compute(const MatrixType& matrix, unsigned int computationOptions); /** \brief Method performing the decomposition of given matrix using current options. * * \param matrix the matrix to decompose * * This method uses the current \a computationOptions, as already passed to the constructor or to compute(const MatrixType&, unsigned int). */ SVDBase& compute(const MatrixType& matrix) { return compute(matrix, this->m_computationOptions); } void setSwitchSize(int s) { eigen_assert(s>3 && "BDCSVD the size of the algo switch has to be greater than 4"); algoswap = s; } /** \returns a (least squares) solution of \f$ A x = b \f$ using the current SVD decomposition of A. * * \param b the right - hand - side of the equation to solve. * * \note Solving requires both U and V to be computed. Thin U and V are enough, there is no need for full U or V. * * \note SVD solving is implicitly least - squares. Thus, this method serves both purposes of exact solving and least - squares solving. * In other words, the returned solution is guaranteed to minimize the Euclidean norm \f$ \Vert A x - b \Vert \f$. */ template inline const internal::solve_retval solve(const MatrixBase& b) const { eigen_assert(this->m_isInitialized && "BDCSVD is not initialized."); eigen_assert(SVDBase<_MatrixType>::computeU() && SVDBase<_MatrixType>::computeV() && "BDCSVD::solve() requires both unitaries U and V to be computed (thin unitaries suffice)."); return internal::solve_retval(*this, b.derived()); } const MatrixUType& matrixU() const { eigen_assert(this->m_isInitialized && "SVD is not initialized."); if (isTranspose){ eigen_assert(this->computeV() && "This SVD decomposition didn't compute U. Did you ask for it?"); return this->m_matrixV; } else { eigen_assert(this->computeU() && "This SVD decomposition didn't compute U. Did you ask for it?"); return this->m_matrixU; } } const MatrixVType& matrixV() const { eigen_assert(this->m_isInitialized && "SVD is not initialized."); if (isTranspose){ eigen_assert(this->computeU() && "This SVD decomposition didn't compute V. Did you ask for it?"); return this->m_matrixU; } else { eigen_assert(this->computeV() && "This SVD decomposition didn't compute V. Did you ask for it?"); return this->m_matrixV; } } private: void allocate(Index rows, Index cols, unsigned int computationOptions); void divide (Index firstCol, Index lastCol, Index firstRowW, Index firstColW, Index shift); 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); void copyUV(MatrixXr naiveU, MatrixXr naiveV, MatrixX householderU, MatrixX houseHolderV); protected: MatrixXr m_naiveU, m_naiveV; MatrixXr m_computed; Index nRec; int algoswap; bool isTranspose, compU, compV; }; //end class BDCSVD // Methode to allocate ans initialize matrix and attributs template void BDCSVD::allocate(Index rows, Index cols, unsigned int computationOptions) { isTranspose = (cols > rows); if (SVDBase::allocate(rows, cols, computationOptions)) return; m_computed = MatrixXr::Zero(this->m_diagSize + 1, this->m_diagSize ); if (isTranspose){ compU = this->computeU(); compV = this->computeV(); } else { compV = this->computeU(); compU = this->computeV(); } if (compU) m_naiveU = MatrixXr::Zero(this->m_diagSize + 1, this->m_diagSize + 1 ); else m_naiveU = MatrixXr::Zero(2, this->m_diagSize + 1 ); if (compV) m_naiveV = MatrixXr::Zero(this->m_diagSize, this->m_diagSize); //should be changed for a cleaner implementation if (isTranspose){ bool aux; if (this->computeU()||this->computeV()){ aux = this->m_computeFullU; this->m_computeFullU = this->m_computeFullV; this->m_computeFullV = aux; aux = this->m_computeThinU; this->m_computeThinU = this->m_computeThinV; this->m_computeThinV = aux; } } }// end allocate // Methode which compute the BDCSVD for the int template<> SVDBase >& BDCSVD >::compute(const MatrixType& matrix, unsigned int computationOptions) { allocate(matrix.rows(), matrix.cols(), computationOptions); this->m_nonzeroSingularValues = 0; m_computed = Matrix::Zero(rows(), cols()); for (int i=0; im_diagSize; i++) { this->m_singularValues.coeffRef(i) = 0; } if (this->m_computeFullU) this->m_matrixU = Matrix::Zero(rows(), rows()); if (this->m_computeFullV) this->m_matrixV = Matrix::Zero(cols(), cols()); this->m_isInitialized = true; return *this; } // Methode which compute the BDCSVD template SVDBase& BDCSVD::compute(const MatrixType& matrix, unsigned int computationOptions) { allocate(matrix.rows(), matrix.cols(), computationOptions); using std::abs; //**** step 1 Bidiagonalization isTranspose = (matrix.cols()>matrix.rows()) ; MatrixType copy; if (isTranspose) copy = matrix.adjoint(); else copy = matrix; internal::UpperBidiagonalization bid(copy); //**** step 2 Divide // this is ugly and has to be redone (care of complex cast) MatrixXr temp; temp = bid.bidiagonal().toDenseMatrix().transpose(); m_computed.setZero(); for (int i=0; im_diagSize - 1; i++) { m_computed(i, i) = temp(i, i); m_computed(i + 1, i) = temp(i + 1, i); } m_computed(this->m_diagSize - 1, this->m_diagSize - 1) = temp(this->m_diagSize - 1, this->m_diagSize - 1); divide(0, this->m_diagSize - 1, 0, 0, 0); //**** step 3 copy for (int i=0; im_diagSize; i++) { RealScalar a = abs(m_computed.coeff(i, i)); this->m_singularValues.coeffRef(i) = a; if (a == 0){ this->m_nonzeroSingularValues = i; break; } else if (i == this->m_diagSize - 1) { this->m_nonzeroSingularValues = i + 1; break; } } copyUV(m_naiveV, m_naiveU, bid.householderU(), bid.householderV()); this->m_isInitialized = true; return *this; }// end compute template void BDCSVD::copyUV(MatrixXr naiveU, MatrixXr naiveV, MatrixX householderU, MatrixX householderV){ if (this->computeU()){ MatrixX temp = MatrixX::Zero(naiveU.rows(), naiveU.cols()); temp.real() = naiveU; if (this->m_computeThinU){ this->m_matrixU = MatrixX::Identity(householderU.cols(), this->m_nonzeroSingularValues ); this->m_matrixU.block(0, 0, this->m_diagSize, this->m_nonzeroSingularValues) = temp.block(0, 0, this->m_diagSize, this->m_nonzeroSingularValues); this->m_matrixU = householderU * this->m_matrixU ; } else { this->m_matrixU = MatrixX::Identity(householderU.cols(), householderU.cols()); this->m_matrixU.block(0, 0, this->m_diagSize, this->m_diagSize) = temp.block(0, 0, this->m_diagSize, this->m_diagSize); this->m_matrixU = householderU * this->m_matrixU ; } } if (this->computeV()){ MatrixX temp = MatrixX::Zero(naiveV.rows(), naiveV.cols()); temp.real() = naiveV; if (this->m_computeThinV){ this->m_matrixV = MatrixX::Identity(householderV.cols(),this->m_nonzeroSingularValues ); this->m_matrixV.block(0, 0, this->m_nonzeroSingularValues, this->m_nonzeroSingularValues) = temp.block(0, 0, this->m_nonzeroSingularValues, this->m_nonzeroSingularValues); this->m_matrixV = householderV * this->m_matrixV ; } else { this->m_matrixV = MatrixX::Identity(householderV.cols(), householderV.cols()); this->m_matrixV.block(0, 0, this->m_diagSize, this->m_diagSize) = temp.block(0, 0, this->m_diagSize, this->m_diagSize); this->m_matrixV = householderV * this->m_matrixV; } } } // 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 firstRowW : 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 nbRows = nbCols + 1; using std::pow; using std::sqrt; using std::abs; const Index n = lastCol - firstCol + 1; const Index k = n/2; RealScalar alphaK; RealScalar betaK; RealScalar r0; RealScalar lambda, phi, c0, s0; MatrixXr l, f; // We use the other algorithm which is more efficient for small // matrices. if (n < algoswap){ JacobiSVD b(m_computed.block(firstCol, firstCol, n + 1, n), ComputeFullU | (ComputeFullV * compV)) ; if (compU) m_naiveU.block(firstCol, firstCol, n + 1, n + 1).real() << b.matrixU(); else { m_naiveU.row(0).segment(firstCol, n + 1).real() << b.matrixU().row(0); m_naiveU.row(1).segment(firstCol, n + 1).real() << b.matrixU().row(n); } if (compV) m_naiveV.block(firstRowW, firstColW, n, n).real() << b.matrixV(); m_computed.block(firstCol + shift, firstCol + shift, n + 1, n).setZero(); for (int i=0; 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(); } 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(); // the line below do the deflation of the matrix for the third part of the algorithm // Here the deflation is commented because the third part of the algorithm is not implemented // the third part of the algorithm is a fast SVD on the matrix m_computed which works thanks to the deflation deflation(firstCol, lastCol, k, firstRowW, firstColW, shift); // Third part of the algorithm, since the real third part of the algorithm is not implemeted we use a JacobiSVD JacobiSVD res= JacobiSVD(m_computed.block(firstCol + shift, firstCol +shift, n + 1, n), ComputeFullU | (ComputeFullV * compV)) ; if (compU) m_naiveU.block(firstCol, firstCol, n + 1, n + 1) *= res.matrixU(); else m_naiveU.block(0, firstCol, 2, n + 1) *= res.matrixU(); if (compV) m_naiveV.block(firstRowW, firstColW, n, n) *= res.matrixV(); m_computed.block(firstCol + shift, firstCol + shift, n, n) << MatrixXr::Zero(n, n); for (int i=0; i= 1, di almost null and zi non null. // We use a rotation to zero out zi applied to the left of M template void BDCSVD::deflation43(Index firstCol, Index shift, Index i, Index size){ using std::abs; using std::sqrt; using std::pow; RealScalar c = m_computed(firstCol + shift, firstCol + shift); RealScalar s = m_computed(i, firstCol + shift); RealScalar r = sqrt(pow(abs(c), 2) + pow(abs(s), 2)); if (r == 0){ m_computed(i, i)=0; return; } c/=r; s/=r; m_computed(firstCol + shift, firstCol + shift) = r; m_computed(i, firstCol + shift) = 0; m_computed(i, i) = 0; if (compU){ m_naiveU.col(firstCol).segment(firstCol,size) = c * m_naiveU.col(firstCol).segment(firstCol, size) - s * m_naiveU.col(i).segment(firstCol, size) ; m_naiveU.col(i).segment(firstCol, size) = (c + s*s/c) * m_naiveU.col(i).segment(firstCol, size) + (s/c) * m_naiveU.col(firstCol).segment(firstCol,size); } }// end deflation 43 // page 13 // i,j >= 1, i != j and |di - dj| < epsilon * norm2(M) // We apply two rotations to have zj = 0; template void BDCSVD::deflation44(Index firstColu , Index firstColm, Index firstRowW, Index firstColW, Index i, Index j, Index size){ using std::abs; using std::sqrt; using std::conj; using std::pow; RealScalar c = m_computed(firstColm, firstColm + j - 1); RealScalar s = m_computed(firstColm, firstColm + i - 1); RealScalar r = sqrt(pow(abs(c), 2) + pow(abs(s), 2)); if (r==0){ m_computed(firstColm + i, firstColm + i) = m_computed(firstColm + j, firstColm + j); return; } c/=r; s/=r; m_computed(firstColm + i, firstColm) = r; m_computed(firstColm + i, firstColm + i) = m_computed(firstColm + j, firstColm + j); m_computed(firstColm + j, firstColm) = 0; if (compU){ m_naiveU.col(firstColu + i).segment(firstColu, size) = c * m_naiveU.col(firstColu + i).segment(firstColu, size) - s * m_naiveU.col(firstColu + j).segment(firstColu, size) ; m_naiveU.col(firstColu + j).segment(firstColu, size) = (c + s*s/c) * m_naiveU.col(firstColu + j).segment(firstColu, size) + (s/c) * m_naiveU.col(firstColu + i).segment(firstColu, size); } if (compV){ m_naiveV.col(firstColW + i).segment(firstRowW, size - 1) = c * m_naiveV.col(firstColW + i).segment(firstRowW, size - 1) + s * m_naiveV.col(firstColW + j).segment(firstRowW, size - 1) ; m_naiveV.col(firstColW + j).segment(firstRowW, size - 1) = (c + s*s/c) * m_naiveV.col(firstColW + j).segment(firstRowW, size - 1) - (s/c) * m_naiveV.col(firstColW + i).segment(firstRowW, size - 1); } }// end deflation 44 template void BDCSVD::deflation(Index firstCol, Index lastCol, Index k, Index firstRowW, Index firstColW, Index shift){ //condition 4.1 RealScalar EPS = EPSILON * (std::max(m_computed(firstCol + shift + 1, firstCol + shift + 1), m_computed(firstCol + k, firstCol + k))); const Index length = lastCol + 1 - firstCol; if (m_computed(firstCol + shift, firstCol + shift) < EPS){ m_computed(firstCol + shift, firstCol + shift) = EPS; } //condition 4.2 for (Index i=firstCol + shift + 1;i<=lastCol + shift;i++){ if (std::abs(m_computed(i, firstCol + shift)) < EPS){ m_computed(i, firstCol + shift) = 0; } } //condition 4.3 for (Index i=firstCol + shift + 1;i<=lastCol + shift; i++){ if (m_computed(i, i) < EPS){ deflation43(firstCol, shift, i, length); } } //condition 4.4 Index i=firstCol + shift + 1, j=firstCol + shift + k + 1; //we stock the final place of each line Index *permutation = new Index[length]; for (Index p =1; p < length; p++) { if (i> firstCol + shift + k){ permutation[p] = j; j++; } else if (j> lastCol + shift) { permutation[p] = i; i++; } else { if (m_computed(i, i) < m_computed(j, j)){ permutation[p] = j; j++; } else { permutation[p] = i; i++; } } } //we do the permutation RealScalar aux; //we stock the current index of each col //and the column of each index Index *realInd = new Index[length]; Index *realCol = new Index[length]; for (int pos = 0; pos< length; pos++){ realCol[pos] = pos + firstCol + shift; realInd[pos] = pos; } const Index Zero = firstCol + shift; VectorType temp; for (int i = 1; i < length - 1; i++){ const Index I = i + Zero; const Index realI = realInd[i]; const Index j = permutation[length - i] - Zero; const Index J = realCol[j]; //diag displace aux = m_computed(I, I); m_computed(I, I) = m_computed(J, J); m_computed(J, J) = aux; //firstrow displace aux = m_computed(I, Zero); m_computed(I, Zero) = m_computed(J, Zero); m_computed(J, Zero) = aux; // change columns if (compU) { temp = m_naiveU.col(I - shift).segment(firstCol, length + 1); m_naiveU.col(I - shift).segment(firstCol, length + 1) << m_naiveU.col(J - shift).segment(firstCol, length + 1); m_naiveU.col(J - shift).segment(firstCol, length + 1) << temp; } else { temp = m_naiveU.col(I - shift).segment(0, 2); m_naiveU.col(I - shift).segment(0, 2) << m_naiveU.col(J - shift).segment(0, 2); m_naiveU.col(J - shift).segment(0, 2) << temp; } if (compV) { const Index CWI = I + firstColW - Zero; const Index CWJ = J + firstColW - Zero; temp = m_naiveV.col(CWI).segment(firstRowW, length); m_naiveV.col(CWI).segment(firstRowW, length) << m_naiveV.col(CWJ).segment(firstRowW, length); m_naiveV.col(CWJ).segment(firstRowW, length) << temp; } //update real pos realCol[realI] = J; realCol[j] = I; realInd[J - Zero] = realI; realInd[I - Zero] = j; } for (Index i = firstCol + shift + 1; i struct solve_retval, Rhs> : solve_retval_base, Rhs> { typedef BDCSVD<_MatrixType> BDCSVDType; EIGEN_MAKE_SOLVE_HELPERS(BDCSVDType, Rhs) template void evalTo(Dest& dst) const { eigen_assert(rhs().rows() == dec().rows()); // A = U S V^* // So A^{ - 1} = V S^{ - 1} U^* Index diagSize = (std::min)(dec().rows(), dec().cols()); typename BDCSVDType::SingularValuesType invertedSingVals(diagSize); Index nonzeroSingVals = dec().nonzeroSingularValues(); invertedSingVals.head(nonzeroSingVals) = dec().singularValues().head(nonzeroSingVals).array().inverse(); invertedSingVals.tail(diagSize - nonzeroSingVals).setZero(); dst = dec().matrixV().leftCols(diagSize) * invertedSingVals.asDiagonal() * dec().matrixU().leftCols(diagSize).adjoint() * rhs(); return; } }; } //end namespace internal /** \svd_module * * \return the singular value decomposition of \c *this computed by * BDC Algorithm * * \sa class BDCSVD */ /* template BDCSVD::PlainObject> MatrixBase::bdcSvd(unsigned int computationOptions) const { return BDCSVD(*this, computationOptions); } */ } // end namespace Eigen #endif