// This file is part of Eigen, a lightweight C++ template library // for linear algebra. // // Copyright (C) 2008-2009 Gael Guennebaud // Copyright (C) 2009 Benoit Jacob // // 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_COLPIVOTINGHOUSEHOLDERQR_H #define EIGEN_COLPIVOTINGHOUSEHOLDERQR_H namespace Eigen { namespace internal { template struct traits > : traits<_MatrixType> { enum { Flags = 0 }; }; } // end namespace internal /** \ingroup QR_Module * * \class ColPivHouseholderQR * * \brief Householder rank-revealing QR decomposition of a matrix with column-pivoting * * \tparam _MatrixType the type of the matrix of which we are computing the QR decomposition * * This class performs a rank-revealing QR decomposition of a matrix \b A into matrices \b P, \b Q and \b R * such that * \f[ * \mathbf{A} \, \mathbf{P} = \mathbf{Q} \, \mathbf{R} * \f] * by using Householder transformations. Here, \b P is a permutation matrix, \b Q a unitary matrix and \b R an * upper triangular matrix. * * This decomposition performs column pivoting in order to be rank-revealing and improve * numerical stability. It is slower than HouseholderQR, and faster than FullPivHouseholderQR. * * This class supports the \link InplaceDecomposition inplace decomposition \endlink mechanism. * * \sa MatrixBase::colPivHouseholderQr() */ template class ColPivHouseholderQR { public: typedef _MatrixType MatrixType; enum { RowsAtCompileTime = MatrixType::RowsAtCompileTime, ColsAtCompileTime = MatrixType::ColsAtCompileTime, MaxRowsAtCompileTime = MatrixType::MaxRowsAtCompileTime, MaxColsAtCompileTime = MatrixType::MaxColsAtCompileTime }; typedef typename MatrixType::Scalar Scalar; typedef typename MatrixType::RealScalar RealScalar; // FIXME should be int typedef typename MatrixType::StorageIndex StorageIndex; typedef typename internal::plain_diag_type::type HCoeffsType; typedef PermutationMatrix PermutationType; typedef typename internal::plain_row_type::type IntRowVectorType; typedef typename internal::plain_row_type::type RowVectorType; typedef typename internal::plain_row_type::type RealRowVectorType; typedef HouseholderSequence::type> HouseholderSequenceType; typedef typename MatrixType::PlainObject PlainObject; private: typedef typename PermutationType::StorageIndex PermIndexType; public: /** * \brief Default Constructor. * * The default constructor is useful in cases in which the user intends to * perform decompositions via ColPivHouseholderQR::compute(const MatrixType&). */ ColPivHouseholderQR() : m_qr(), m_hCoeffs(), m_colsPermutation(), m_colsTranspositions(), m_temp(), m_colNormsUpdated(), m_colNormsDirect(), m_isInitialized(false), m_usePrescribedThreshold(false) {} /** \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 ColPivHouseholderQR() */ ColPivHouseholderQR(Index rows, Index cols) : m_qr(rows, cols), m_hCoeffs((std::min)(rows,cols)), m_colsPermutation(PermIndexType(cols)), m_colsTranspositions(cols), m_temp(cols), m_colNormsUpdated(cols), m_colNormsDirect(cols), m_isInitialized(false), m_usePrescribedThreshold(false) {} /** \brief Constructs a QR factorization from a given matrix * * This constructor computes the QR factorization of the matrix \a matrix by calling * the method compute(). It is a short cut for: * * \code * ColPivHouseholderQR qr(matrix.rows(), matrix.cols()); * qr.compute(matrix); * \endcode * * \sa compute() */ template explicit ColPivHouseholderQR(const EigenBase& matrix) : m_qr(matrix.rows(), matrix.cols()), m_hCoeffs((std::min)(matrix.rows(),matrix.cols())), m_colsPermutation(PermIndexType(matrix.cols())), m_colsTranspositions(matrix.cols()), m_temp(matrix.cols()), m_colNormsUpdated(matrix.cols()), m_colNormsDirect(matrix.cols()), m_isInitialized(false), m_usePrescribedThreshold(false) { compute(matrix.derived()); } /** \brief Constructs a QR factorization from a given matrix * * This overloaded constructor is provided for \link InplaceDecomposition inplace decomposition \endlink when \c MatrixType is a Eigen::Ref. * * \sa ColPivHouseholderQR(const EigenBase&) */ template explicit ColPivHouseholderQR(EigenBase& matrix) : m_qr(matrix.derived()), m_hCoeffs((std::min)(matrix.rows(),matrix.cols())), m_colsPermutation(PermIndexType(matrix.cols())), m_colsTranspositions(matrix.cols()), m_temp(matrix.cols()), m_colNormsUpdated(matrix.cols()), m_colNormsDirect(matrix.cols()), m_isInitialized(false), m_usePrescribedThreshold(false) { computeInPlace(); } /** This method finds a solution x to the equation Ax=b, where A is the matrix of which * *this is the QR decomposition, if any exists. * * \param b the right-hand-side of the equation to solve. * * \returns a solution. * * \note_about_checking_solutions * * \note_about_arbitrary_choice_of_solution * * Example: \include ColPivHouseholderQR_solve.cpp * Output: \verbinclude ColPivHouseholderQR_solve.out */ template inline const Solve solve(const MatrixBase& b) const { eigen_assert(m_isInitialized && "ColPivHouseholderQR is not initialized."); return Solve(*this, b.derived()); } HouseholderSequenceType householderQ() const; HouseholderSequenceType matrixQ() const { return householderQ(); } /** \returns a reference to the matrix where the Householder QR decomposition is stored */ const MatrixType& matrixQR() const { eigen_assert(m_isInitialized && "ColPivHouseholderQR is not initialized."); return m_qr; } /** \returns a reference to the matrix where the result Householder QR is stored * \warning The strict lower part of this matrix contains internal values. * Only the upper triangular part should be referenced. To get it, use * \code matrixR().template triangularView() \endcode * For rank-deficient matrices, use * \code * matrixR().topLeftCorner(rank(), rank()).template triangularView() * \endcode */ const MatrixType& matrixR() const { eigen_assert(m_isInitialized && "ColPivHouseholderQR is not initialized."); return m_qr; } template ColPivHouseholderQR& compute(const EigenBase& matrix); /** \returns a const reference to the column permutation matrix */ const PermutationType& colsPermutation() const { eigen_assert(m_isInitialized && "ColPivHouseholderQR is not initialized."); return m_colsPermutation; } /** \returns the absolute value of the determinant of the matrix of which * *this is the QR decomposition. It has only linear complexity * (that is, O(n) where n is the dimension of the square matrix) * as the QR decomposition has already been computed. * * \note This is only for square matrices. * * \warning a determinant can be very big or small, so for matrices * of large enough dimension, there is a risk of overflow/underflow. * One way to work around that is to use logAbsDeterminant() instead. * * \sa logAbsDeterminant(), MatrixBase::determinant() */ typename MatrixType::RealScalar absDeterminant() const; /** \returns the natural log of the absolute value of the determinant of the matrix of which * *this is the QR decomposition. It has only linear complexity * (that is, O(n) where n is the dimension of the square matrix) * as the QR decomposition has already been computed. * * \note This is only for square matrices. * * \note This method is useful to work around the risk of overflow/underflow that's inherent * to determinant computation. * * \sa absDeterminant(), MatrixBase::determinant() */ typename MatrixType::RealScalar logAbsDeterminant() const; /** \returns the rank of the matrix of which *this is the QR decomposition. * * \note This method has to determine which pivots should be considered nonzero. * For that, it uses the threshold value that you can control by calling * setThreshold(const RealScalar&). */ inline Index rank() const { using std::abs; eigen_assert(m_isInitialized && "ColPivHouseholderQR is not initialized."); RealScalar premultiplied_threshold = abs(m_maxpivot) * threshold(); Index result = 0; for(Index i = 0; i < m_nonzero_pivots; ++i) result += (abs(m_qr.coeff(i,i)) > premultiplied_threshold); return result; } /** \returns the dimension of the kernel of the matrix of which *this is the QR decomposition. * * \note This method has to determine which pivots should be considered nonzero. * For that, it uses the threshold value that you can control by calling * setThreshold(const RealScalar&). */ inline Index dimensionOfKernel() const { eigen_assert(m_isInitialized && "ColPivHouseholderQR is not initialized."); return cols() - rank(); } /** \returns true if the matrix of which *this is the QR decomposition represents an injective * linear map, i.e. has trivial kernel; false otherwise. * * \note This method has to determine which pivots should be considered nonzero. * For that, it uses the threshold value that you can control by calling * setThreshold(const RealScalar&). */ inline bool isInjective() const { eigen_assert(m_isInitialized && "ColPivHouseholderQR is not initialized."); return rank() == cols(); } /** \returns true if the matrix of which *this is the QR decomposition represents a surjective * linear map; false otherwise. * * \note This method has to determine which pivots should be considered nonzero. * For that, it uses the threshold value that you can control by calling * setThreshold(const RealScalar&). */ inline bool isSurjective() const { eigen_assert(m_isInitialized && "ColPivHouseholderQR is not initialized."); return rank() == rows(); } /** \returns true if the matrix of which *this is the QR decomposition is invertible. * * \note This method has to determine which pivots should be considered nonzero. * For that, it uses the threshold value that you can control by calling * setThreshold(const RealScalar&). */ inline bool isInvertible() const { eigen_assert(m_isInitialized && "ColPivHouseholderQR is not initialized."); return isInjective() && isSurjective(); } /** \returns the inverse of the matrix of which *this is the QR decomposition. * * \note If this matrix is not invertible, the returned matrix has undefined coefficients. * Use isInvertible() to first determine whether this matrix is invertible. */ inline const Inverse inverse() const { eigen_assert(m_isInitialized && "ColPivHouseholderQR is not initialized."); return Inverse(*this); } inline Index rows() const { return m_qr.rows(); } inline Index cols() const { return m_qr.cols(); } /** \returns a const reference to the vector of Householder coefficients used to represent the factor \c Q. * * For advanced uses only. */ const HCoeffsType& hCoeffs() const { return m_hCoeffs; } /** Allows to prescribe a threshold to be used by certain methods, such as rank(), * who need to determine when pivots are to be considered nonzero. This is not used for the * QR decomposition itself. * * When it needs to get the threshold value, Eigen calls threshold(). By default, this * uses a formula to automatically determine a reasonable threshold. * Once you have called the present method setThreshold(const RealScalar&), * your value is used instead. * * \param threshold The new value to use as the threshold. * * A pivot will be considered nonzero if its absolute value is strictly greater than * \f$ \vert pivot \vert \leqslant threshold \times \vert maxpivot \vert \f$ * where maxpivot is the biggest pivot. * * If you want to come back to the default behavior, call setThreshold(Default_t) */ ColPivHouseholderQR& setThreshold(const RealScalar& threshold) { m_usePrescribedThreshold = true; m_prescribedThreshold = threshold; return *this; } /** Allows to come back to the default behavior, letting Eigen use its default formula for * determining the threshold. * * You should pass the special object Eigen::Default as parameter here. * \code qr.setThreshold(Eigen::Default); \endcode * * See the documentation of setThreshold(const RealScalar&). */ ColPivHouseholderQR& setThreshold(Default_t) { m_usePrescribedThreshold = false; return *this; } /** Returns the threshold that will be used by certain methods such as rank(). * * See the documentation of setThreshold(const RealScalar&). */ RealScalar threshold() const { eigen_assert(m_isInitialized || m_usePrescribedThreshold); return m_usePrescribedThreshold ? m_prescribedThreshold // this formula comes from experimenting (see "LU precision tuning" thread on the list) // and turns out to be identical to Higham's formula used already in LDLt. : NumTraits::epsilon() * RealScalar(m_qr.diagonalSize()); } /** \returns the number of nonzero pivots in the QR decomposition. * Here nonzero is meant in the exact sense, not in a fuzzy sense. * So that notion isn't really intrinsically interesting, but it is * still useful when implementing algorithms. * * \sa rank() */ inline Index nonzeroPivots() const { eigen_assert(m_isInitialized && "ColPivHouseholderQR is not initialized."); return m_nonzero_pivots; } /** \returns the absolute value of the biggest pivot, i.e. the biggest * diagonal coefficient of R. */ RealScalar maxPivot() const { return m_maxpivot; } /** \brief Reports whether the QR factorization was successful. * * \note This function always returns \c Success. It is provided for compatibility * with other factorization routines. * \returns \c Success */ ComputationInfo info() const { eigen_assert(m_isInitialized && "Decomposition is not initialized."); return Success; } #ifndef EIGEN_PARSED_BY_DOXYGEN template void _solve_impl(const RhsType &rhs, DstType &dst) const; #endif protected: friend class CompleteOrthogonalDecomposition; static void check_template_parameters() { EIGEN_STATIC_ASSERT_NON_INTEGER(Scalar); } void computeInPlace(); MatrixType m_qr; HCoeffsType m_hCoeffs; PermutationType m_colsPermutation; IntRowVectorType m_colsTranspositions; RowVectorType m_temp; RealRowVectorType m_colNormsUpdated; RealRowVectorType m_colNormsDirect; bool m_isInitialized, m_usePrescribedThreshold; RealScalar m_prescribedThreshold, m_maxpivot; Index m_nonzero_pivots; Index m_det_pq; }; template typename MatrixType::RealScalar ColPivHouseholderQR::absDeterminant() const { using std::abs; eigen_assert(m_isInitialized && "ColPivHouseholderQR is not initialized."); eigen_assert(m_qr.rows() == m_qr.cols() && "You can't take the determinant of a non-square matrix!"); return abs(m_qr.diagonal().prod()); } template typename MatrixType::RealScalar ColPivHouseholderQR::logAbsDeterminant() const { eigen_assert(m_isInitialized && "ColPivHouseholderQR is not initialized."); eigen_assert(m_qr.rows() == m_qr.cols() && "You can't take the determinant of a non-square matrix!"); return m_qr.diagonal().cwiseAbs().array().log().sum(); } /** Performs the QR factorization of the given matrix \a matrix. The result of * the factorization is stored into \c *this, and a reference to \c *this * is returned. * * \sa class ColPivHouseholderQR, ColPivHouseholderQR(const MatrixType&) */ template template ColPivHouseholderQR& ColPivHouseholderQR::compute(const EigenBase& matrix) { m_qr = matrix.derived(); computeInPlace(); return *this; } template void ColPivHouseholderQR::computeInPlace() { check_template_parameters(); // the column permutation is stored as int indices, so just to be sure: eigen_assert(m_qr.cols()<=NumTraits::highest()); using std::abs; Index rows = m_qr.rows(); Index cols = m_qr.cols(); Index size = m_qr.diagonalSize(); m_hCoeffs.resize(size); m_temp.resize(cols); m_colsTranspositions.resize(m_qr.cols()); Index number_of_transpositions = 0; m_colNormsUpdated.resize(cols); m_colNormsDirect.resize(cols); for (Index k = 0; k < cols; ++k) { // colNormsDirect(k) caches the most recent directly computed norm of // column k. m_colNormsDirect.coeffRef(k) = m_qr.col(k).norm(); m_colNormsUpdated.coeffRef(k) = m_colNormsDirect.coeffRef(k); } RealScalar threshold_helper = numext::abs2(m_colNormsUpdated.maxCoeff() * NumTraits::epsilon()) / RealScalar(rows); RealScalar norm_downdate_threshold = numext::sqrt(NumTraits::epsilon()); m_nonzero_pivots = size; // the generic case is that in which all pivots are nonzero (invertible case) m_maxpivot = RealScalar(0); for(Index k = 0; k < size; ++k) { // first, we look up in our table m_colNormsUpdated which column has the biggest norm Index biggest_col_index; RealScalar biggest_col_sq_norm = numext::abs2(m_colNormsUpdated.tail(cols-k).maxCoeff(&biggest_col_index)); biggest_col_index += k; // Track the number of meaningful pivots but do not stop the decomposition to make // sure that the initial matrix is properly reproduced. See bug 941. if(m_nonzero_pivots==size && biggest_col_sq_norm < threshold_helper * RealScalar(rows-k)) m_nonzero_pivots = k; // apply the transposition to the columns m_colsTranspositions.coeffRef(k) = biggest_col_index; if(k != biggest_col_index) { m_qr.col(k).swap(m_qr.col(biggest_col_index)); std::swap(m_colNormsUpdated.coeffRef(k), m_colNormsUpdated.coeffRef(biggest_col_index)); std::swap(m_colNormsDirect.coeffRef(k), m_colNormsDirect.coeffRef(biggest_col_index)); ++number_of_transpositions; } // generate the householder vector, store it below the diagonal RealScalar beta; m_qr.col(k).tail(rows-k).makeHouseholderInPlace(m_hCoeffs.coeffRef(k), beta); // apply the householder transformation to the diagonal coefficient m_qr.coeffRef(k,k) = beta; // remember the maximum absolute value of diagonal coefficients if(abs(beta) > m_maxpivot) m_maxpivot = abs(beta); // apply the householder transformation m_qr.bottomRightCorner(rows-k, cols-k-1) .applyHouseholderOnTheLeft(m_qr.col(k).tail(rows-k-1), m_hCoeffs.coeffRef(k), &m_temp.coeffRef(k+1)); // update our table of norms of the columns for (Index j = k + 1; j < cols; ++j) { // The following implements the stable norm downgrade step discussed in // http://www.netlib.org/lapack/lawnspdf/lawn176.pdf // and used in LAPACK routines xGEQPF and xGEQP3. // See lines 278-297 in http://www.netlib.org/lapack/explore-html/dc/df4/sgeqpf_8f_source.html if (m_colNormsUpdated.coeffRef(j) != RealScalar(0)) { RealScalar temp = abs(m_qr.coeffRef(k, j)) / m_colNormsUpdated.coeffRef(j); temp = (RealScalar(1) + temp) * (RealScalar(1) - temp); temp = temp < RealScalar(0) ? RealScalar(0) : temp; RealScalar temp2 = temp * numext::abs2(m_colNormsUpdated.coeffRef(j) / m_colNormsDirect.coeffRef(j)); if (temp2 <= norm_downdate_threshold) { // The updated norm has become too inaccurate so re-compute the column // norm directly. m_colNormsDirect.coeffRef(j) = m_qr.col(j).tail(rows - k - 1).norm(); m_colNormsUpdated.coeffRef(j) = m_colNormsDirect.coeffRef(j); } else { m_colNormsUpdated.coeffRef(j) *= numext::sqrt(temp); } } } } m_colsPermutation.setIdentity(PermIndexType(cols)); for(PermIndexType k = 0; k < size/*m_nonzero_pivots*/; ++k) m_colsPermutation.applyTranspositionOnTheRight(k, PermIndexType(m_colsTranspositions.coeff(k))); m_det_pq = (number_of_transpositions%2) ? -1 : 1; m_isInitialized = true; } #ifndef EIGEN_PARSED_BY_DOXYGEN template template void ColPivHouseholderQR<_MatrixType>::_solve_impl(const RhsType &rhs, DstType &dst) const { eigen_assert(rhs.rows() == rows()); const Index nonzero_pivots = nonzeroPivots(); if(nonzero_pivots == 0) { dst.setZero(); return; } typename RhsType::PlainObject c(rhs); c.applyOnTheLeft(householderQ().setLength(nonzero_pivots).adjoint() ); m_qr.topLeftCorner(nonzero_pivots, nonzero_pivots) .template triangularView() .solveInPlace(c.topRows(nonzero_pivots)); for(Index i = 0; i < nonzero_pivots; ++i) dst.row(m_colsPermutation.indices().coeff(i)) = c.row(i); for(Index i = nonzero_pivots; i < cols(); ++i) dst.row(m_colsPermutation.indices().coeff(i)).setZero(); } #endif namespace internal { template struct Assignment >, internal::assign_op::Scalar>, Dense2Dense> { typedef ColPivHouseholderQR QrType; typedef Inverse SrcXprType; static void run(DstXprType &dst, const SrcXprType &src, const internal::assign_op &) { dst = src.nestedExpression().solve(MatrixType::Identity(src.rows(), src.cols())); } }; } // end namespace internal /** \returns the matrix Q as a sequence of householder transformations. * You can extract the meaningful part only by using: * \code qr.householderQ().setLength(qr.nonzeroPivots()) \endcode*/ template typename ColPivHouseholderQR::HouseholderSequenceType ColPivHouseholderQR ::householderQ() const { eigen_assert(m_isInitialized && "ColPivHouseholderQR is not initialized."); return HouseholderSequenceType(m_qr, m_hCoeffs.conjugate()); } /** \return the column-pivoting Householder QR decomposition of \c *this. * * \sa class ColPivHouseholderQR */ template const ColPivHouseholderQR::PlainObject> MatrixBase::colPivHouseholderQr() const { return ColPivHouseholderQR(eval()); } } // end namespace Eigen #endif // EIGEN_COLPIVOTINGHOUSEHOLDERQR_H