// This file is part of Eigen, a lightweight C++ template library // for linear algebra. // // Copyright (C) 2008 Gael Guennebaud // Copyright (C) 2010,2012 Jitse Niesen // // 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_EIGENSOLVER_H #define EIGEN_EIGENSOLVER_H #include "./RealSchur.h" namespace Eigen { /** \eigenvalues_module \ingroup Eigenvalues_Module * * * \class EigenSolver * * \brief Computes eigenvalues and eigenvectors of general matrices * * \tparam _MatrixType the type of the matrix of which we are computing the * eigendecomposition; this is expected to be an instantiation of the Matrix * class template. Currently, only real matrices are supported. * * The eigenvalues and eigenvectors of a matrix \f$ A \f$ are scalars * \f$ \lambda \f$ and vectors \f$ v \f$ such that \f$ Av = \lambda v \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 = * V D \f$. The matrix \f$ V \f$ is almost always invertible, in which case we * have \f$ A = V D V^{-1} \f$. This is called the eigendecomposition. * * The eigenvalues and eigenvectors of a matrix may be complex, even when the * matrix is real. However, we can choose real matrices \f$ V \f$ and \f$ D * \f$ satisfying \f$ A V = V D \f$, just like the eigendecomposition, if the * matrix \f$ D \f$ is not required to be diagonal, but if it is allowed to * have blocks of the form * \f[ \begin{bmatrix} u & v \\ -v & u \end{bmatrix} \f] * (where \f$ u \f$ and \f$ v \f$ are real numbers) on the diagonal. These * blocks correspond to complex eigenvalue pairs \f$ u \pm iv \f$. We call * this variant of the eigendecomposition the pseudo-eigendecomposition. * * Call the function compute() to compute the eigenvalues and eigenvectors of * a given matrix. Alternatively, you can use the * EigenSolver(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. The pseudoEigenvalueMatrix() and * pseudoEigenvectors() methods allow the construction of the * pseudo-eigendecomposition. * * The documentation for EigenSolver(const MatrixType&, bool) contains an * example of the typical use of this class. * * \note The implementation is adapted from * JAMA (public domain). * Their code is based on EISPACK. * * \sa MatrixBase::eigenvalues(), class ComplexEigenSolver, class SelfAdjointEigenSolver */ template class EigenSolver { 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::Real RealScalar; typedef Eigen::Index Index; ///< \deprecated since Eigen 3.3 /** \brief Complex scalar type for #MatrixType. * * This is \c std::complex if #Scalar is real (e.g., * \c float or \c double) and just \c Scalar if #Scalar is * complex. */ typedef std::complex ComplexScalar; /** \brief Type for vector of eigenvalues as returned by eigenvalues(). * * This is a column vector with entries of type #ComplexScalar. * The length of the vector is the size of #MatrixType. */ typedef Matrix 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 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. */ EigenSolver() : m_eivec(), m_eivalues(), m_isInitialized(false), m_realSchur(), m_matT(), 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 EigenSolver() */ explicit EigenSolver(Index size) : m_eivec(size, size), m_eivalues(size), m_isInitialized(false), m_eigenvectorsOk(false), m_realSchur(size), m_matT(size, size), m_tmp(size) {} /** \brief Constructor; computes eigendecomposition of given matrix. * * \param[in] matrix 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 eigenvalues * and eigenvectors. * * Example: \include EigenSolver_EigenSolver_MatrixType.cpp * Output: \verbinclude EigenSolver_EigenSolver_MatrixType.out * * \sa compute() */ template explicit EigenSolver(const EigenBase& matrix, bool computeEigenvectors = true) : m_eivec(matrix.rows(), matrix.cols()), m_eivalues(matrix.cols()), m_isInitialized(false), m_eigenvectorsOk(false), m_realSchur(matrix.cols()), m_matT(matrix.rows(), matrix.cols()), m_tmp(matrix.cols()) { compute(matrix.derived(), computeEigenvectors); } /** \brief Returns the eigenvectors of given matrix. * * \returns %Matrix whose columns are the (possibly complex) eigenvectors. * * \pre Either the constructor * EigenSolver(const MatrixType&,bool) or the member function * compute(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 * eigendecomposition \f$ A = V D V^{-1} \f$, if it exists. * * Example: \include EigenSolver_eigenvectors.cpp * Output: \verbinclude EigenSolver_eigenvectors.out * * \sa eigenvalues(), pseudoEigenvectors() */ EigenvectorsType eigenvectors() const; /** \brief Returns the pseudo-eigenvectors of given matrix. * * \returns Const reference to matrix whose columns are the pseudo-eigenvectors. * * \pre Either the constructor * EigenSolver(const MatrixType&,bool) or the member function * compute(const MatrixType&, bool) has been called before, and * \p computeEigenvectors was set to true (the default). * * The real matrix \f$ V \f$ returned by this function and the * block-diagonal matrix \f$ D \f$ returned by pseudoEigenvalueMatrix() * satisfy \f$ AV = VD \f$. * * Example: \include EigenSolver_pseudoEigenvectors.cpp * Output: \verbinclude EigenSolver_pseudoEigenvectors.out * * \sa pseudoEigenvalueMatrix(), eigenvectors() */ const MatrixType& pseudoEigenvectors() const { eigen_assert(m_isInitialized && "EigenSolver is not initialized."); eigen_assert(m_eigenvectorsOk && "The eigenvectors have not been computed together with the eigenvalues."); return m_eivec; } /** \brief Returns the block-diagonal matrix in the pseudo-eigendecomposition. * * \returns A block-diagonal matrix. * * \pre Either the constructor * EigenSolver(const MatrixType&,bool) or the member function * compute(const MatrixType&, bool) has been called before. * * The matrix \f$ D \f$ returned by this function is real and * block-diagonal. The blocks on the diagonal are either 1-by-1 or 2-by-2 * blocks of the form * \f$ \begin{bmatrix} u & v \\ -v & u \end{bmatrix} \f$. * These blocks are not sorted in any particular order. * The matrix \f$ D \f$ and the matrix \f$ V \f$ returned by * pseudoEigenvectors() satisfy \f$ AV = VD \f$. * * \sa pseudoEigenvectors() for an example, eigenvalues() */ MatrixType pseudoEigenvalueMatrix() const; /** \brief Returns the eigenvalues of given matrix. * * \returns A const reference to the column vector containing the eigenvalues. * * \pre Either the constructor * EigenSolver(const MatrixType&,bool) or the member function * compute(const MatrixType&, bool) has been called before. * * The eigenvalues are repeated according to their algebraic multiplicity, * so there are as many eigenvalues as rows in the matrix. The eigenvalues * are not sorted in any particular order. * * Example: \include EigenSolver_eigenvalues.cpp * Output: \verbinclude EigenSolver_eigenvalues.out * * \sa eigenvectors(), pseudoEigenvalueMatrix(), * MatrixBase::eigenvalues() */ const EigenvalueType& eigenvalues() const { eigen_assert(m_isInitialized && "EigenSolver is not initialized."); return m_eivalues; } /** \brief Computes eigendecomposition of given matrix. * * \param[in] matrix Square matrix whose eigendecomposition is to be computed. * \param[in] computeEigenvectors If true, both the eigenvectors and the * eigenvalues are computed; if false, only the eigenvalues are * computed. * \returns Reference to \c *this * * This function computes the eigenvalues of the real matrix \p matrix. * The eigenvalues() function can be used to retrieve them. If * \p computeEigenvectors is true, then the eigenvectors are also computed * and can be retrieved by calling eigenvectors(). * * The matrix is first reduced to real Schur form using the RealSchur * class. The Schur decomposition is then used to compute the eigenvalues * and eigenvectors. * * The cost of the computation is dominated by the cost of the * Schur decomposition, which is very approximately \f$ 25n^3 \f$ * (where \f$ n \f$ is the size of the matrix) if \p computeEigenvectors * is true, and \f$ 10n^3 \f$ if \p computeEigenvectors is false. * * This method reuses of the allocated data in the EigenSolver object. * * Example: \include EigenSolver_compute.cpp * Output: \verbinclude EigenSolver_compute.out */ template EigenSolver& compute(const EigenBase& matrix, bool computeEigenvectors = true); /** \returns NumericalIssue if the input contains INF or NaN values or overflow occured. Returns Success otherwise. */ ComputationInfo info() const { eigen_assert(m_isInitialized && "EigenSolver is not initialized."); return m_info; } /** \brief Sets the maximum number of iterations allowed. */ EigenSolver& setMaxIterations(Index maxIters) { m_realSchur.setMaxIterations(maxIters); return *this; } /** \brief Returns the maximum number of iterations. */ Index getMaxIterations() { return m_realSchur.getMaxIterations(); } private: void doComputeEigenvectors(); protected: static void check_template_parameters() { EIGEN_STATIC_ASSERT_NON_INTEGER(Scalar); EIGEN_STATIC_ASSERT(!NumTraits::IsComplex, NUMERIC_TYPE_MUST_BE_REAL); } MatrixType m_eivec; EigenvalueType m_eivalues; bool m_isInitialized; bool m_eigenvectorsOk; ComputationInfo m_info; RealSchur m_realSchur; MatrixType m_matT; typedef Matrix ColumnVectorType; ColumnVectorType m_tmp; }; template MatrixType EigenSolver::pseudoEigenvalueMatrix() const { eigen_assert(m_isInitialized && "EigenSolver is not initialized."); const RealScalar precision = RealScalar(2)*NumTraits::epsilon(); Index n = m_eivalues.rows(); MatrixType matD = MatrixType::Zero(n,n); for (Index i=0; i(i,i) << numext::real(m_eivalues.coeff(i)), numext::imag(m_eivalues.coeff(i)), -numext::imag(m_eivalues.coeff(i)), numext::real(m_eivalues.coeff(i)); ++i; } } return matD; } template typename EigenSolver::EigenvectorsType EigenSolver::eigenvectors() const { eigen_assert(m_isInitialized && "EigenSolver is not initialized."); eigen_assert(m_eigenvectorsOk && "The eigenvectors have not been computed together with the eigenvalues."); const RealScalar precision = RealScalar(2)*NumTraits::epsilon(); Index n = m_eivec.cols(); EigenvectorsType matV(n,n); for (Index j=0; j(); matV.col(j).normalize(); } else { // we have a pair of complex eigen values for (Index i=0; i template EigenSolver& EigenSolver::compute(const EigenBase& matrix, bool computeEigenvectors) { check_template_parameters(); using std::sqrt; using std::abs; using numext::isfinite; eigen_assert(matrix.cols() == matrix.rows()); // Reduce to real Schur form. m_realSchur.compute(matrix.derived(), computeEigenvectors); m_info = m_realSchur.info(); if (m_info == Success) { m_matT = m_realSchur.matrixT(); if (computeEigenvectors) m_eivec = m_realSchur.matrixU(); // Compute eigenvalues from matT m_eivalues.resize(matrix.cols()); Index i = 0; while (i < matrix.cols()) { if (i == matrix.cols() - 1 || m_matT.coeff(i+1, i) == Scalar(0)) { m_eivalues.coeffRef(i) = m_matT.coeff(i, i); if(!(isfinite)(m_eivalues.coeffRef(i))) { m_isInitialized = true; m_eigenvectorsOk = false; m_info = NumericalIssue; return *this; } ++i; } else { Scalar p = Scalar(0.5) * (m_matT.coeff(i, i) - m_matT.coeff(i+1, i+1)); Scalar z; // Compute z = sqrt(abs(p * p + m_matT.coeff(i+1, i) * m_matT.coeff(i, i+1))); // without overflow { Scalar t0 = m_matT.coeff(i+1, i); Scalar t1 = m_matT.coeff(i, i+1); Scalar maxval = numext::maxi(abs(p),numext::maxi(abs(t0),abs(t1))); t0 /= maxval; t1 /= maxval; Scalar p0 = p/maxval; z = maxval * sqrt(abs(p0 * p0 + t0 * t1)); } m_eivalues.coeffRef(i) = ComplexScalar(m_matT.coeff(i+1, i+1) + p, z); m_eivalues.coeffRef(i+1) = ComplexScalar(m_matT.coeff(i+1, i+1) + p, -z); if(!((isfinite)(m_eivalues.coeffRef(i)) && (isfinite)(m_eivalues.coeffRef(i+1)))) { m_isInitialized = true; m_eigenvectorsOk = false; m_info = NumericalIssue; return *this; } i += 2; } } // Compute eigenvectors. if (computeEigenvectors) doComputeEigenvectors(); } m_isInitialized = true; m_eigenvectorsOk = computeEigenvectors; return *this; } template void EigenSolver::doComputeEigenvectors() { using std::abs; const Index size = m_eivec.cols(); const Scalar eps = NumTraits::epsilon(); // inefficient! this is already computed in RealSchur Scalar norm(0); for (Index j = 0; j < size; ++j) { norm += m_matT.row(j).segment((std::max)(j-1,Index(0)), size-(std::max)(j-1,Index(0))).cwiseAbs().sum(); } // Backsubstitute to find vectors of upper triangular form if (norm == Scalar(0)) { return; } for (Index n = size-1; n >= 0; n--) { Scalar p = m_eivalues.coeff(n).real(); Scalar q = m_eivalues.coeff(n).imag(); // Scalar vector if (q == Scalar(0)) { Scalar lastr(0), lastw(0); Index l = n; m_matT.coeffRef(n,n) = Scalar(1); for (Index i = n-1; i >= 0; i--) { Scalar w = m_matT.coeff(i,i) - p; Scalar r = m_matT.row(i).segment(l,n-l+1).dot(m_matT.col(n).segment(l, n-l+1)); if (m_eivalues.coeff(i).imag() < Scalar(0)) { lastw = w; lastr = r; } else { l = i; if (m_eivalues.coeff(i).imag() == Scalar(0)) { if (w != Scalar(0)) m_matT.coeffRef(i,n) = -r / w; else m_matT.coeffRef(i,n) = -r / (eps * norm); } else // Solve real equations { Scalar x = m_matT.coeff(i,i+1); Scalar y = m_matT.coeff(i+1,i); Scalar denom = (m_eivalues.coeff(i).real() - p) * (m_eivalues.coeff(i).real() - p) + m_eivalues.coeff(i).imag() * m_eivalues.coeff(i).imag(); Scalar t = (x * lastr - lastw * r) / denom; m_matT.coeffRef(i,n) = t; if (abs(x) > abs(lastw)) m_matT.coeffRef(i+1,n) = (-r - w * t) / x; else m_matT.coeffRef(i+1,n) = (-lastr - y * t) / lastw; } // Overflow control Scalar t = abs(m_matT.coeff(i,n)); if ((eps * t) * t > Scalar(1)) m_matT.col(n).tail(size-i) /= t; } } } else if (q < Scalar(0) && n > 0) // Complex vector { Scalar lastra(0), lastsa(0), lastw(0); Index l = n-1; // Last vector component imaginary so matrix is triangular if (abs(m_matT.coeff(n,n-1)) > abs(m_matT.coeff(n-1,n))) { m_matT.coeffRef(n-1,n-1) = q / m_matT.coeff(n,n-1); m_matT.coeffRef(n-1,n) = -(m_matT.coeff(n,n) - p) / m_matT.coeff(n,n-1); } else { ComplexScalar cc = ComplexScalar(Scalar(0),-m_matT.coeff(n-1,n)) / ComplexScalar(m_matT.coeff(n-1,n-1)-p,q); m_matT.coeffRef(n-1,n-1) = numext::real(cc); m_matT.coeffRef(n-1,n) = numext::imag(cc); } m_matT.coeffRef(n,n-1) = Scalar(0); m_matT.coeffRef(n,n) = Scalar(1); for (Index i = n-2; i >= 0; i--) { Scalar ra = m_matT.row(i).segment(l, n-l+1).dot(m_matT.col(n-1).segment(l, n-l+1)); Scalar sa = m_matT.row(i).segment(l, n-l+1).dot(m_matT.col(n).segment(l, n-l+1)); Scalar w = m_matT.coeff(i,i) - p; if (m_eivalues.coeff(i).imag() < Scalar(0)) { lastw = w; lastra = ra; lastsa = sa; } else { l = i; if (m_eivalues.coeff(i).imag() == RealScalar(0)) { ComplexScalar cc = ComplexScalar(-ra,-sa) / ComplexScalar(w,q); m_matT.coeffRef(i,n-1) = numext::real(cc); m_matT.coeffRef(i,n) = numext::imag(cc); } else { // Solve complex equations Scalar x = m_matT.coeff(i,i+1); Scalar y = m_matT.coeff(i+1,i); Scalar vr = (m_eivalues.coeff(i).real() - p) * (m_eivalues.coeff(i).real() - p) + m_eivalues.coeff(i).imag() * m_eivalues.coeff(i).imag() - q * q; Scalar vi = (m_eivalues.coeff(i).real() - p) * Scalar(2) * q; if ((vr == Scalar(0)) && (vi == Scalar(0))) vr = eps * norm * (abs(w) + abs(q) + abs(x) + abs(y) + abs(lastw)); ComplexScalar cc = ComplexScalar(x*lastra-lastw*ra+q*sa,x*lastsa-lastw*sa-q*ra) / ComplexScalar(vr,vi); m_matT.coeffRef(i,n-1) = numext::real(cc); m_matT.coeffRef(i,n) = numext::imag(cc); if (abs(x) > (abs(lastw) + abs(q))) { m_matT.coeffRef(i+1,n-1) = (-ra - w * m_matT.coeff(i,n-1) + q * m_matT.coeff(i,n)) / x; m_matT.coeffRef(i+1,n) = (-sa - w * m_matT.coeff(i,n) - q * m_matT.coeff(i,n-1)) / x; } else { cc = ComplexScalar(-lastra-y*m_matT.coeff(i,n-1),-lastsa-y*m_matT.coeff(i,n)) / ComplexScalar(lastw,q); m_matT.coeffRef(i+1,n-1) = numext::real(cc); m_matT.coeffRef(i+1,n) = numext::imag(cc); } } // Overflow control Scalar t = numext::maxi(abs(m_matT.coeff(i,n-1)),abs(m_matT.coeff(i,n))); if ((eps * t) * t > Scalar(1)) m_matT.block(i, n-1, size-i, 2) /= t; } } // We handled a pair of complex conjugate eigenvalues, so need to skip them both n--; } else { eigen_assert(0 && "Internal bug in EigenSolver (INF or NaN has not been detected)"); // this should not happen } } // Back transformation to get eigenvectors of original matrix for (Index j = size-1; j >= 0; j--) { m_tmp.noalias() = m_eivec.leftCols(j+1) * m_matT.col(j).segment(0, j+1); m_eivec.col(j) = m_tmp; } } } // end namespace Eigen #endif // EIGEN_EIGENSOLVER_H