// This file is part of Eigen, a lightweight C++ template library // for linear algebra. // // Copyright (C) 2012 Alexey Korepanov // // 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_REAL_QZ_H #define EIGEN_REAL_QZ_H namespace Eigen { /** \eigenvalues_module \ingroup Eigenvalues_Module * * * \class RealQZ * * \brief Performs a real QZ decomposition of a pair of square matrices * * \tparam _MatrixType the type of the matrix of which we are computing the * real QZ decomposition; this is expected to be an instantiation of the * Matrix class template. * * Given a real square matrices A and B, this class computes the real QZ * decomposition: \f$ A = Q S Z \f$, \f$ B = Q T Z \f$ where Q and Z are * real orthogonal matrixes, T is upper-triangular matrix, and S is upper * quasi-triangular matrix. An orthogonal matrix is a matrix whose * inverse is equal to its transpose, \f$ U^{-1} = U^T \f$. A quasi-triangular * matrix is a block-triangular matrix whose diagonal consists of 1-by-1 * blocks and 2-by-2 blocks where further reduction is impossible due to * complex eigenvalues. * * The eigenvalues of the pencil \f$ A - z B \f$ can be obtained from * 1x1 and 2x2 blocks on the diagonals of S and T. * * Call the function compute() to compute the real QZ decomposition of a * given pair of matrices. Alternatively, you can use the * RealQZ(const MatrixType& B, const MatrixType& B, bool computeQZ) * constructor which computes the real QZ decomposition at construction * time. Once the decomposition is computed, you can use the matrixS(), * matrixT(), matrixQ() and matrixZ() functions to retrieve the matrices * S, T, Q and Z in the decomposition. If computeQZ==false, some time * is saved by not computing matrices Q and Z. * * Example: \include RealQZ_compute.cpp * Output: \include RealQZ_compute.out * * \note The implementation is based on the algorithm in "Matrix Computations" * by Gene H. Golub and Charles F. Van Loan, and a paper "An algorithm for * generalized eigenvalue problems" by C.B.Moler and G.W.Stewart. * * \sa class RealSchur, class ComplexSchur, class EigenSolver, class ComplexEigenSolver */ template class RealQZ { public: typedef _MatrixType MatrixType; enum { RowsAtCompileTime = MatrixType::RowsAtCompileTime, ColsAtCompileTime = MatrixType::ColsAtCompileTime, Options = MatrixType::Options, MaxRowsAtCompileTime = MatrixType::MaxRowsAtCompileTime, MaxColsAtCompileTime = MatrixType::MaxColsAtCompileTime }; typedef typename MatrixType::Scalar Scalar; typedef std::complex::Real> ComplexScalar; typedef Eigen::Index Index; ///< \deprecated since Eigen 3.3 typedef Matrix EigenvalueType; typedef Matrix ColumnVectorType; /** \brief Default constructor. * * \param [in] size Positive integer, size of the matrix whose QZ decomposition will be computed. * * The default constructor is useful in cases in which the user intends to * perform decompositions via compute(). The \p size parameter is only * used as a hint. It is not an error to give a wrong \p size, but it may * impair performance. * * \sa compute() for an example. */ explicit RealQZ(Index size = RowsAtCompileTime==Dynamic ? 1 : RowsAtCompileTime) : m_S(size, size), m_T(size, size), m_Q(size, size), m_Z(size, size), m_workspace(size*2), m_maxIters(400), m_isInitialized(false) { } /** \brief Constructor; computes real QZ decomposition of given matrices * * \param[in] A Matrix A. * \param[in] B Matrix B. * \param[in] computeQZ If false, A and Z are not computed. * * This constructor calls compute() to compute the QZ decomposition. */ RealQZ(const MatrixType& A, const MatrixType& B, bool computeQZ = true) : m_S(A.rows(),A.cols()), m_T(A.rows(),A.cols()), m_Q(A.rows(),A.cols()), m_Z(A.rows(),A.cols()), m_workspace(A.rows()*2), m_maxIters(400), m_isInitialized(false) { compute(A, B, computeQZ); } /** \brief Returns matrix Q in the QZ decomposition. * * \returns A const reference to the matrix Q. */ const MatrixType& matrixQ() const { eigen_assert(m_isInitialized && "RealQZ is not initialized."); eigen_assert(m_computeQZ && "The matrices Q and Z have not been computed during the QZ decomposition."); return m_Q; } /** \brief Returns matrix Z in the QZ decomposition. * * \returns A const reference to the matrix Z. */ const MatrixType& matrixZ() const { eigen_assert(m_isInitialized && "RealQZ is not initialized."); eigen_assert(m_computeQZ && "The matrices Q and Z have not been computed during the QZ decomposition."); return m_Z; } /** \brief Returns matrix S in the QZ decomposition. * * \returns A const reference to the matrix S. */ const MatrixType& matrixS() const { eigen_assert(m_isInitialized && "RealQZ is not initialized."); return m_S; } /** \brief Returns matrix S in the QZ decomposition. * * \returns A const reference to the matrix S. */ const MatrixType& matrixT() const { eigen_assert(m_isInitialized && "RealQZ is not initialized."); return m_T; } /** \brief Computes QZ decomposition of given matrix. * * \param[in] A Matrix A. * \param[in] B Matrix B. * \param[in] computeQZ If false, A and Z are not computed. * \returns Reference to \c *this */ RealQZ& compute(const MatrixType& A, const MatrixType& B, bool computeQZ = true); /** \brief Reports whether previous computation was successful. * * \returns \c Success if computation was successful, \c NoConvergence otherwise. */ ComputationInfo info() const { eigen_assert(m_isInitialized && "RealQZ is not initialized."); return m_info; } /** \brief Returns number of performed QR-like iterations. */ Index iterations() const { eigen_assert(m_isInitialized && "RealQZ is not initialized."); return m_global_iter; } /** Sets the maximal number of iterations allowed to converge to one eigenvalue * or decouple the problem. */ RealQZ& setMaxIterations(Index maxIters) { m_maxIters = maxIters; return *this; } private: MatrixType m_S, m_T, m_Q, m_Z; Matrix m_workspace; ComputationInfo m_info; Index m_maxIters; bool m_isInitialized; bool m_computeQZ; Scalar m_normOfT, m_normOfS; Index m_global_iter; typedef Matrix Vector3s; typedef Matrix Vector2s; typedef Matrix Matrix2s; typedef JacobiRotation JRs; void hessenbergTriangular(); void computeNorms(); Index findSmallSubdiagEntry(Index iu); Index findSmallDiagEntry(Index f, Index l); void splitOffTwoRows(Index i); void pushDownZero(Index z, Index f, Index l); void step(Index f, Index l, Index iter); }; // RealQZ /** \internal Reduces S and T to upper Hessenberg - triangular form */ template void RealQZ::hessenbergTriangular() { const Index dim = m_S.cols(); // perform QR decomposition of T, overwrite T with R, save Q HouseholderQR qrT(m_T); m_T = qrT.matrixQR(); m_T.template triangularView().setZero(); m_Q = qrT.householderQ(); // overwrite S with Q* S m_S.applyOnTheLeft(m_Q.adjoint()); // init Z as Identity if (m_computeQZ) m_Z = MatrixType::Identity(dim,dim); // reduce S to upper Hessenberg with Givens rotations for (Index j=0; j<=dim-3; j++) { for (Index i=dim-1; i>=j+2; i--) { JRs G; // kill S(i,j) if(m_S.coeff(i,j) != 0) { G.makeGivens(m_S.coeff(i-1,j), m_S.coeff(i,j), &m_S.coeffRef(i-1, j)); m_S.coeffRef(i,j) = Scalar(0.0); m_S.rightCols(dim-j-1).applyOnTheLeft(i-1,i,G.adjoint()); m_T.rightCols(dim-i+1).applyOnTheLeft(i-1,i,G.adjoint()); // update Q if (m_computeQZ) m_Q.applyOnTheRight(i-1,i,G); } // kill T(i,i-1) if(m_T.coeff(i,i-1)!=Scalar(0)) { G.makeGivens(m_T.coeff(i,i), m_T.coeff(i,i-1), &m_T.coeffRef(i,i)); m_T.coeffRef(i,i-1) = Scalar(0.0); m_S.applyOnTheRight(i,i-1,G); m_T.topRows(i).applyOnTheRight(i,i-1,G); // update Z if (m_computeQZ) m_Z.applyOnTheLeft(i,i-1,G.adjoint()); } } } } /** \internal Computes vector L1 norms of S and T when in Hessenberg-Triangular form already */ template inline void RealQZ::computeNorms() { const Index size = m_S.cols(); m_normOfS = Scalar(0.0); m_normOfT = Scalar(0.0); for (Index j = 0; j < size; ++j) { m_normOfS += m_S.col(j).segment(0, (std::min)(size,j+2)).cwiseAbs().sum(); m_normOfT += m_T.row(j).segment(j, size - j).cwiseAbs().sum(); } } /** \internal Look for single small sub-diagonal element S(res, res-1) and return res (or 0) */ template inline Index RealQZ::findSmallSubdiagEntry(Index iu) { using std::abs; Index res = iu; while (res > 0) { Scalar s = abs(m_S.coeff(res-1,res-1)) + abs(m_S.coeff(res,res)); if (s == Scalar(0.0)) s = m_normOfS; if (abs(m_S.coeff(res,res-1)) < NumTraits::epsilon() * s) break; res--; } return res; } /** \internal Look for single small diagonal element T(res, res) for res between f and l, and return res (or f-1) */ template inline Index RealQZ::findSmallDiagEntry(Index f, Index l) { using std::abs; Index res = l; while (res >= f) { if (abs(m_T.coeff(res,res)) <= NumTraits::epsilon() * m_normOfT) break; res--; } return res; } /** \internal decouple 2x2 diagonal block in rows i, i+1 if eigenvalues are real */ template inline void RealQZ::splitOffTwoRows(Index i) { using std::abs; using std::sqrt; const Index dim=m_S.cols(); if (abs(m_S.coeff(i+1,i))==Scalar(0)) return; Index j = findSmallDiagEntry(i,i+1); if (j==i-1) { // block of (S T^{-1}) Matrix2s STi = m_T.template block<2,2>(i,i).template triangularView(). template solve(m_S.template block<2,2>(i,i)); Scalar p = Scalar(0.5)*(STi(0,0)-STi(1,1)); Scalar q = p*p + STi(1,0)*STi(0,1); if (q>=0) { Scalar z = sqrt(q); // one QR-like iteration for ABi - lambda I // is enough - when we know exact eigenvalue in advance, // convergence is immediate JRs G; if (p>=0) G.makeGivens(p + z, STi(1,0)); else G.makeGivens(p - z, STi(1,0)); m_S.rightCols(dim-i).applyOnTheLeft(i,i+1,G.adjoint()); m_T.rightCols(dim-i).applyOnTheLeft(i,i+1,G.adjoint()); // update Q if (m_computeQZ) m_Q.applyOnTheRight(i,i+1,G); G.makeGivens(m_T.coeff(i+1,i+1), m_T.coeff(i+1,i)); m_S.topRows(i+2).applyOnTheRight(i+1,i,G); m_T.topRows(i+2).applyOnTheRight(i+1,i,G); // update Z if (m_computeQZ) m_Z.applyOnTheLeft(i+1,i,G.adjoint()); m_S.coeffRef(i+1,i) = Scalar(0.0); m_T.coeffRef(i+1,i) = Scalar(0.0); } } else { pushDownZero(j,i,i+1); } } /** \internal use zero in T(z,z) to zero S(l,l-1), working in block f..l */ template inline void RealQZ::pushDownZero(Index z, Index f, Index l) { JRs G; const Index dim = m_S.cols(); for (Index zz=z; zzf ? (zz-1) : zz; G.makeGivens(m_T.coeff(zz, zz+1), m_T.coeff(zz+1, zz+1)); m_S.rightCols(dim-firstColS).applyOnTheLeft(zz,zz+1,G.adjoint()); m_T.rightCols(dim-zz).applyOnTheLeft(zz,zz+1,G.adjoint()); m_T.coeffRef(zz+1,zz+1) = Scalar(0.0); // update Q if (m_computeQZ) m_Q.applyOnTheRight(zz,zz+1,G); // kill S(zz+1, zz-1) if (zz>f) { G.makeGivens(m_S.coeff(zz+1, zz), m_S.coeff(zz+1,zz-1)); m_S.topRows(zz+2).applyOnTheRight(zz, zz-1,G); m_T.topRows(zz+1).applyOnTheRight(zz, zz-1,G); m_S.coeffRef(zz+1,zz-1) = Scalar(0.0); // update Z if (m_computeQZ) m_Z.applyOnTheLeft(zz,zz-1,G.adjoint()); } } // finally kill S(l,l-1) G.makeGivens(m_S.coeff(l,l), m_S.coeff(l,l-1)); m_S.applyOnTheRight(l,l-1,G); m_T.applyOnTheRight(l,l-1,G); m_S.coeffRef(l,l-1)=Scalar(0.0); // update Z if (m_computeQZ) m_Z.applyOnTheLeft(l,l-1,G.adjoint()); } /** \internal QR-like iterative step for block f..l */ template inline void RealQZ::step(Index f, Index l, Index iter) { using std::abs; const Index dim = m_S.cols(); // x, y, z Scalar x, y, z; if (iter==10) { // Wilkinson ad hoc shift const Scalar a11=m_S.coeff(f+0,f+0), a12=m_S.coeff(f+0,f+1), a21=m_S.coeff(f+1,f+0), a22=m_S.coeff(f+1,f+1), a32=m_S.coeff(f+2,f+1), b12=m_T.coeff(f+0,f+1), b11i=Scalar(1.0)/m_T.coeff(f+0,f+0), b22i=Scalar(1.0)/m_T.coeff(f+1,f+1), a87=m_S.coeff(l-1,l-2), a98=m_S.coeff(l-0,l-1), b77i=Scalar(1.0)/m_T.coeff(l-2,l-2), b88i=Scalar(1.0)/m_T.coeff(l-1,l-1); Scalar ss = abs(a87*b77i) + abs(a98*b88i), lpl = Scalar(1.5)*ss, ll = ss*ss; x = ll + a11*a11*b11i*b11i - lpl*a11*b11i + a12*a21*b11i*b22i - a11*a21*b12*b11i*b11i*b22i; y = a11*a21*b11i*b11i - lpl*a21*b11i + a21*a22*b11i*b22i - a21*a21*b12*b11i*b11i*b22i; z = a21*a32*b11i*b22i; } else if (iter==16) { // another exceptional shift x = m_S.coeff(f,f)/m_T.coeff(f,f)-m_S.coeff(l,l)/m_T.coeff(l,l) + m_S.coeff(l,l-1)*m_T.coeff(l-1,l) / (m_T.coeff(l-1,l-1)*m_T.coeff(l,l)); y = m_S.coeff(f+1,f)/m_T.coeff(f,f); z = 0; } else if (iter>23 && !(iter%8)) { // extremely exceptional shift x = internal::random(-1.0,1.0); y = internal::random(-1.0,1.0); z = internal::random(-1.0,1.0); } else { // Compute the shifts: (x,y,z,0...) = (AB^-1 - l1 I) (AB^-1 - l2 I) e1 // where l1 and l2 are the eigenvalues of the 2x2 matrix C = U V^-1 where // U and V are 2x2 bottom right sub matrices of A and B. Thus: // = AB^-1AB^-1 + l1 l2 I - (l1+l2)(AB^-1) // = AB^-1AB^-1 + det(M) - tr(M)(AB^-1) // Since we are only interested in having x, y, z with a correct ratio, we have: const Scalar a11 = m_S.coeff(f,f), a12 = m_S.coeff(f,f+1), a21 = m_S.coeff(f+1,f), a22 = m_S.coeff(f+1,f+1), a32 = m_S.coeff(f+2,f+1), a88 = m_S.coeff(l-1,l-1), a89 = m_S.coeff(l-1,l), a98 = m_S.coeff(l,l-1), a99 = m_S.coeff(l,l), b11 = m_T.coeff(f,f), b12 = m_T.coeff(f,f+1), b22 = m_T.coeff(f+1,f+1), b88 = m_T.coeff(l-1,l-1), b89 = m_T.coeff(l-1,l), b99 = m_T.coeff(l,l); x = ( (a88/b88 - a11/b11)*(a99/b99 - a11/b11) - (a89/b99)*(a98/b88) + (a98/b88)*(b89/b99)*(a11/b11) ) * (b11/a21) + a12/b22 - (a11/b11)*(b12/b22); y = (a22/b22-a11/b11) - (a21/b11)*(b12/b22) - (a88/b88-a11/b11) - (a99/b99-a11/b11) + (a98/b88)*(b89/b99); z = a32/b22; } JRs G; for (Index k=f; k<=l-2; k++) { // variables for Householder reflections Vector2s essential2; Scalar tau, beta; Vector3s hr(x,y,z); // Q_k to annihilate S(k+1,k-1) and S(k+2,k-1) hr.makeHouseholderInPlace(tau, beta); essential2 = hr.template bottomRows<2>(); Index fc=(std::max)(k-1,Index(0)); // first col to update m_S.template middleRows<3>(k).rightCols(dim-fc).applyHouseholderOnTheLeft(essential2, tau, m_workspace.data()); m_T.template middleRows<3>(k).rightCols(dim-fc).applyHouseholderOnTheLeft(essential2, tau, m_workspace.data()); if (m_computeQZ) m_Q.template middleCols<3>(k).applyHouseholderOnTheRight(essential2, tau, m_workspace.data()); if (k>f) m_S.coeffRef(k+2,k-1) = m_S.coeffRef(k+1,k-1) = Scalar(0.0); // Z_{k1} to annihilate T(k+2,k+1) and T(k+2,k) hr << m_T.coeff(k+2,k+2),m_T.coeff(k+2,k),m_T.coeff(k+2,k+1); hr.makeHouseholderInPlace(tau, beta); essential2 = hr.template bottomRows<2>(); { Index lr = (std::min)(k+4,dim); // last row to update Map > tmp(m_workspace.data(),lr); // S tmp = m_S.template middleCols<2>(k).topRows(lr) * essential2; tmp += m_S.col(k+2).head(lr); m_S.col(k+2).head(lr) -= tau*tmp; m_S.template middleCols<2>(k).topRows(lr) -= (tau*tmp) * essential2.adjoint(); // T tmp = m_T.template middleCols<2>(k).topRows(lr) * essential2; tmp += m_T.col(k+2).head(lr); m_T.col(k+2).head(lr) -= tau*tmp; m_T.template middleCols<2>(k).topRows(lr) -= (tau*tmp) * essential2.adjoint(); } if (m_computeQZ) { // Z Map > tmp(m_workspace.data(),dim); tmp = essential2.adjoint()*(m_Z.template middleRows<2>(k)); tmp += m_Z.row(k+2); m_Z.row(k+2) -= tau*tmp; m_Z.template middleRows<2>(k) -= essential2 * (tau*tmp); } m_T.coeffRef(k+2,k) = m_T.coeffRef(k+2,k+1) = Scalar(0.0); // Z_{k2} to annihilate T(k+1,k) G.makeGivens(m_T.coeff(k+1,k+1), m_T.coeff(k+1,k)); m_S.applyOnTheRight(k+1,k,G); m_T.applyOnTheRight(k+1,k,G); // update Z if (m_computeQZ) m_Z.applyOnTheLeft(k+1,k,G.adjoint()); m_T.coeffRef(k+1,k) = Scalar(0.0); // update x,y,z x = m_S.coeff(k+1,k); y = m_S.coeff(k+2,k); if (k < l-2) z = m_S.coeff(k+3,k); } // loop over k // Q_{n-1} to annihilate y = S(l,l-2) G.makeGivens(x,y); m_S.applyOnTheLeft(l-1,l,G.adjoint()); m_T.applyOnTheLeft(l-1,l,G.adjoint()); if (m_computeQZ) m_Q.applyOnTheRight(l-1,l,G); m_S.coeffRef(l,l-2) = Scalar(0.0); // Z_{n-1} to annihilate T(l,l-1) G.makeGivens(m_T.coeff(l,l),m_T.coeff(l,l-1)); m_S.applyOnTheRight(l,l-1,G); m_T.applyOnTheRight(l,l-1,G); if (m_computeQZ) m_Z.applyOnTheLeft(l,l-1,G.adjoint()); m_T.coeffRef(l,l-1) = Scalar(0.0); } template RealQZ& RealQZ::compute(const MatrixType& A_in, const MatrixType& B_in, bool computeQZ) { const Index dim = A_in.cols(); eigen_assert (A_in.rows()==dim && A_in.cols()==dim && B_in.rows()==dim && B_in.cols()==dim && "Need square matrices of the same dimension"); m_isInitialized = true; m_computeQZ = computeQZ; m_S = A_in; m_T = B_in; m_workspace.resize(dim*2); m_global_iter = 0; // entrance point: hessenberg triangular decomposition hessenbergTriangular(); // compute L1 vector norms of T, S into m_normOfS, m_normOfT computeNorms(); Index l = dim-1, f, local_iter = 0; while (l>0 && local_iter0) m_S.coeffRef(f,f-1) = Scalar(0.0); if (f == l) // One root found { l--; local_iter = 0; } else if (f == l-1) // Two roots found { splitOffTwoRows(f); l -= 2; local_iter = 0; } else // No convergence yet { // if there's zero on diagonal of T, we can isolate an eigenvalue with Givens rotations Index z = findSmallDiagEntry(f,l); if (z>=f) { // zero found pushDownZero(z,f,l); } else { // We are sure now that S.block(f,f, l-f+1,l-f+1) is underuced upper-Hessenberg // and T.block(f,f, l-f+1,l-f+1) is invertible uper-triangular, which allows to // apply a QR-like iteration to rows and columns f..l. step(f,l, local_iter); local_iter++; m_global_iter++; } } } // check if we converged before reaching iterations limit m_info = (local_iter j_left, j_right; internal::real_2x2_jacobi_svd(m_T, i, i+1, &j_left, &j_right); // Apply resulting Jacobi rotations m_S.applyOnTheLeft(i,i+1,j_left); m_S.applyOnTheRight(i,i+1,j_right); m_T.applyOnTheLeft(i,i+1,j_left); m_T.applyOnTheRight(i,i+1,j_right); m_T(i+1,i) = m_T(i,i+1) = Scalar(0); if(m_computeQZ) { m_Q.applyOnTheRight(i,i+1,j_left.transpose()); m_Z.applyOnTheLeft(i,i+1,j_right.transpose()); } i++; } } } return *this; } // end compute } // end namespace Eigen #endif //EIGEN_REAL_QZ