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// This file is part of Eigen, a lightweight C++ template library
// for linear algebra.
//
// Copyright (C) 2012, 2013 Chen-Pang He <jdh8@ms63.hinet.net>
//
// 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_MATRIX_POWER
#define EIGEN_MATRIX_POWER
namespace Eigen {
template<typename MatrixType> class MatrixPower;
/**
* \ingroup MatrixFunctions_Module
*
* \brief Proxy for the matrix power of some matrix.
*
* \tparam MatrixType type of the base, a matrix.
*
* This class holds the arguments to the matrix power until it is
* assigned or evaluated for some other reason (so the argument
* should not be changed in the meantime). It is the return type of
* MatrixPower::operator() and related functions and most of the
* time this is the only way it is used.
*/
/* TODO This class is only used by MatrixPower, so it should be nested
* into MatrixPower, like MatrixPower::ReturnValue. However, my
* compiler complained about unused template parameter in the
* following declaration in namespace internal.
*
* template<typename MatrixType>
* struct traits<MatrixPower<MatrixType>::ReturnValue>;
*/
class MatrixPowerParenthesesReturnValue : public ReturnByValue< MatrixPowerParenthesesReturnValue<MatrixType> >
{
public:
typedef typename MatrixType::RealScalar RealScalar;
typedef typename MatrixType::Index Index;
/**
* \brief Constructor.
*
* \param[in] pow %MatrixPower storing the base.
* \param[in] p scalar, the exponent of the matrix power.
*/
MatrixPowerParenthesesReturnValue(MatrixPower<MatrixType>& pow, RealScalar p) : m_pow(pow), m_p(p)
/**
* \brief Compute the matrix power.
*
* \param[out] result
*/
template<typename ResultType>
inline void evalTo(ResultType& res) const
{ m_pow.compute(res, m_p); }
Index rows() const { return m_pow.rows(); }
Index cols() const { return m_pow.cols(); }
private:
MatrixPower<MatrixType>& m_pow;
const RealScalar m_p;
};
/**
* \ingroup MatrixFunctions_Module
*
* \brief Class for computing matrix powers.
*
* \tparam MatrixType type of the base, expected to be an instantiation
* of the Matrix class template.
*
* This class is capable of computing triangular real/complex matrices
* raised to a power in the interval \f$ (-1, 1) \f$.
*
* \note Currently this class is only used by MatrixPower. One may
* insist that this be nested into MatrixPower. This class is here to
* faciliate future development of triangular matrix functions.
*/
{
private:
enum {
RowsAtCompileTime = MatrixType::RowsAtCompileTime,
MaxRowsAtCompileTime = MatrixType::MaxRowsAtCompileTime
};
typedef typename MatrixType::Scalar Scalar;
typedef typename MatrixType::RealScalar RealScalar;
typedef std::complex<RealScalar> ComplexScalar;
typedef typename MatrixType::Index Index;
void computePade(int degree, const MatrixType& IminusT, ResultType& res) const;
void compute2x2(ResultType& res, RealScalar p) const;
void computeBig(ResultType& res) const;
static int getPadeDegree(float normIminusT);
static int getPadeDegree(double normIminusT);
static int getPadeDegree(long double normIminusT);
static ComplexScalar computeSuperDiag(const ComplexScalar&, const ComplexScalar&, RealScalar p);
static RealScalar computeSuperDiag(RealScalar, RealScalar, RealScalar p);
public:
/**
* \brief Constructor.
*
* \param[in] T the base of the matrix power.
* \param[in] p the exponent of the matrix power, should be in
* \f$ (-1, 1) \f$.
*
* The class stores a reference to T, so it should not be changed
* (or destroyed) before evaluation. Only the upper triangular
* part of T is read.
*/
/**
* \brief Compute the matrix power.
*
* \param[out] res \f$ A^p \f$ where A and p are specified in the
* constructor.
*/
void compute(ResultType& res) const;
};
template<typename MatrixType>
MatrixPowerAtomic<MatrixType>::MatrixPowerAtomic(const MatrixType& T, RealScalar p) :
m_A(T), m_p(p)
{
eigen_assert(T.rows() == T.cols());
eigen_assert(p > -1 && p < 1);
}
void MatrixPowerAtomic<MatrixType>::compute(ResultType& res) const
break;
case 2:
compute2x2(res, m_p);
break;
default:
computeBig(res);
}
}
template<typename MatrixType>
void MatrixPowerAtomic<MatrixType>::computePade(int degree, const MatrixType& IminusT, ResultType& res) const
int i = 2*degree;
res = (m_p-degree) / (2*i-2) * IminusT;
for (--i; i; --i) {
res = (MatrixType::Identity(IminusT.rows(), IminusT.cols()) + res).template triangularView<Upper>()
.solve((i==1 ? -m_p : i&1 ? (-m_p-i/2)/(2*i) : (m_p-i/2)/(2*i-2)) * IminusT).eval();
}
res += MatrixType::Identity(IminusT.rows(), IminusT.cols());
}
// This function assumes that res has the correct size (see bug 614)
template<typename MatrixType>
void MatrixPowerAtomic<MatrixType>::compute2x2(ResultType& res, RealScalar p) const
{
using std::abs;
using std::pow;
res.coeffRef(0,0) = pow(m_A.coeff(0,0), p);
for (Index i=1; i < m_A.cols(); ++i) {
res.coeffRef(i,i) = pow(m_A.coeff(i,i), p);
if (m_A.coeff(i-1,i-1) == m_A.coeff(i,i))
res.coeffRef(i-1,i) = p * pow(m_A.coeff(i,i), p-1);
else if (2*abs(m_A.coeff(i-1,i-1)) < abs(m_A.coeff(i,i)) || 2*abs(m_A.coeff(i,i)) < abs(m_A.coeff(i-1,i-1)))
res.coeffRef(i-1,i) = (res.coeff(i,i)-res.coeff(i-1,i-1)) / (m_A.coeff(i,i)-m_A.coeff(i-1,i-1));
else
res.coeffRef(i-1,i) = computeSuperDiag(m_A.coeff(i,i), m_A.coeff(i-1,i-1), p);
res.coeffRef(i-1,i) *= m_A.coeff(i-1,i);
}
}
template<typename MatrixType>
void MatrixPowerAtomic<MatrixType>::computeBig(ResultType& res) const
const RealScalar maxNormForPade = digits <= 24? 4.3386528e-1L // single precision
: digits <= 53? 2.789358995219730e-1L // double precision
: digits <= 64? 2.4471944416607995472e-1L // extended precision
: digits <= 106? 1.1016843812851143391275867258512e-1L // double-double
: 9.134603732914548552537150753385375e-2L; // quadruple precision
MatrixType IminusT, sqrtT, T = m_A.template triangularView<Upper>();
RealScalar normIminusT;
int degree, degree2, numberOfSquareRoots = 0;
bool hasExtraSquareRoot = false;
for (Index i=0; i < m_A.cols(); ++i)
eigen_assert(m_A(i,i) != RealScalar(0));
while (true) {
IminusT = MatrixType::Identity(m_A.rows(), m_A.cols()) - T;
normIminusT = IminusT.cwiseAbs().colwise().sum().maxCoeff();
if (normIminusT < maxNormForPade) {
degree = getPadeDegree(normIminusT);
degree2 = getPadeDegree(normIminusT/2);
if (degree - degree2 <= 1 || hasExtraSquareRoot)
break;
hasExtraSquareRoot = true;
}
T = sqrtT.template triangularView<Upper>();
++numberOfSquareRoots;
}
computePade(degree, IminusT, res);
for (; numberOfSquareRoots; --numberOfSquareRoots) {
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res = res.template triangularView<Upper>() * res;
}
compute2x2(res, m_p);
}
template<typename MatrixType>
inline int MatrixPowerAtomic<MatrixType>::getPadeDegree(float normIminusT)
{
const float maxNormForPade[] = { 2.8064004e-1f /* degree = 3 */ , 4.3386528e-1f };
int degree = 3;
for (; degree <= 4; ++degree)
if (normIminusT <= maxNormForPade[degree - 3])
break;
return degree;
}
template<typename MatrixType>
inline int MatrixPowerAtomic<MatrixType>::getPadeDegree(double normIminusT)
{
const double maxNormForPade[] = { 1.884160592658218e-2 /* degree = 3 */ , 6.038881904059573e-2, 1.239917516308172e-1,
1.999045567181744e-1, 2.789358995219730e-1 };
int degree = 3;
for (; degree <= 7; ++degree)
if (normIminusT <= maxNormForPade[degree - 3])
break;
return degree;
}
template<typename MatrixType>
inline int MatrixPowerAtomic<MatrixType>::getPadeDegree(long double normIminusT)
{
#if LDBL_MANT_DIG == 53
const int maxPadeDegree = 7;
const double maxNormForPade[] = { 1.884160592658218e-2L /* degree = 3 */ , 6.038881904059573e-2L, 1.239917516308172e-1L,
1.999045567181744e-1L, 2.789358995219730e-1L };
#elif LDBL_MANT_DIG <= 64
const int maxPadeDegree = 8;
const long double maxNormForPade[] = { 6.3854693117491799460e-3L /* degree = 3 */ , 2.6394893435456973676e-2L,
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6.4216043030404063729e-2L, 1.1701165502926694307e-1L, 1.7904284231268670284e-1L, 2.4471944416607995472e-1L };
#elif LDBL_MANT_DIG <= 106
const int maxPadeDegree = 10;
const double maxNormForPade[] = { 1.0007161601787493236741409687186e-4L /* degree = 3 */ ,
1.0007161601787493236741409687186e-3L, 4.7069769360887572939882574746264e-3L, 1.3220386624169159689406653101695e-2L,
2.8063482381631737920612944054906e-2L, 4.9625993951953473052385361085058e-2L, 7.7367040706027886224557538328171e-2L,
1.1016843812851143391275867258512e-1L };
#else
const int maxPadeDegree = 10;
const double maxNormForPade[] = { 5.524506147036624377378713555116378e-5L /* degree = 3 */ ,
6.640600568157479679823602193345995e-4L, 3.227716520106894279249709728084626e-3L,
9.619593944683432960546978734646284e-3L, 2.134595382433742403911124458161147e-2L,
3.908166513900489428442993794761185e-2L, 6.266780814639442865832535460550138e-2L,
9.134603732914548552537150753385375e-2L };
#endif
int degree = 3;
for (; degree <= maxPadeDegree; ++degree)
if (normIminusT <= maxNormForPade[degree - 3])
break;
return degree;
}
template<typename MatrixType>
inline typename MatrixPowerAtomic<MatrixType>::ComplexScalar
MatrixPowerAtomic<MatrixType>::computeSuperDiag(const ComplexScalar& curr, const ComplexScalar& prev, RealScalar p)
{
using std::ceil;
using std::exp;
using std::log;
using std::sinh;
ComplexScalar logCurr = log(curr);
ComplexScalar logPrev = log(prev);
int unwindingNumber = ceil((numext::imag(logCurr - logPrev) - RealScalar(EIGEN_PI)) / RealScalar(2*EIGEN_PI));
ComplexScalar w = numext::log1p((curr-prev)/prev)/RealScalar(2) + ComplexScalar(0, EIGEN_PI*unwindingNumber);
return RealScalar(2) * exp(RealScalar(0.5) * p * (logCurr + logPrev)) * sinh(p * w) / (curr - prev);
}
template<typename MatrixType>
inline typename MatrixPowerAtomic<MatrixType>::RealScalar
MatrixPowerAtomic<MatrixType>::computeSuperDiag(RealScalar curr, RealScalar prev, RealScalar p)
{
using std::exp;
using std::log;
using std::sinh;
RealScalar w = numext::log1p((curr-prev)/prev)/RealScalar(2);
return 2 * exp(p * (log(curr) + log(prev)) / 2) * sinh(p * w) / (curr - prev);
}
/**
* \ingroup MatrixFunctions_Module
*
* \brief Class for computing matrix powers.
*
* \tparam MatrixType type of the base, expected to be an instantiation
* of the Matrix class template.
*
* This class is capable of computing real/complex matrices raised to
* an arbitrary real power. Meanwhile, it saves the result of Schur
* decomposition if an non-integral power has even been calculated.
* Therefore, if you want to compute multiple (>= 2) matrix powers
* for the same matrix, using the class directly is more efficient than
* calling MatrixBase::pow().
*
* Example:
* \include MatrixPower_optimal.cpp
* Output: \verbinclude MatrixPower_optimal.out
*/
template<typename MatrixType>
{
private:
typedef typename MatrixType::Scalar Scalar;
typedef typename MatrixType::RealScalar RealScalar;
typedef typename MatrixType::Index Index;
public:
/**
* \brief Constructor.
*
* \param[in] A the base of the matrix power.
*
* The class stores a reference to A, so it should not be changed
* (or destroyed) before evaluation.
*/
explicit MatrixPower(const MatrixType& A) :
m_A(A),
m_conditionNumber(0),
m_rank(A.cols()),
m_nulls(0)
{ eigen_assert(A.rows() == A.cols()); }
/**
* \brief Returns the matrix power.
*
* \param[in] p exponent, a real scalar.
* \return The expression \f$ A^p \f$, where A is specified in the
* constructor.
*/
const MatrixPowerParenthesesReturnValue<MatrixType> operator()(RealScalar p)
{ return MatrixPowerParenthesesReturnValue<MatrixType>(*this, p); }
/**
* \brief Compute the matrix power.
*
* \param[in] p exponent, a real scalar.
* \param[out] res \f$ A^p \f$ where A is specified in the
* constructor.
*/
template<typename ResultType>
void compute(ResultType& res, RealScalar p);
Index rows() const { return m_A.rows(); }
Index cols() const { return m_A.cols(); }
private:
typedef std::complex<RealScalar> ComplexScalar;
typedef Matrix<ComplexScalar, Dynamic, Dynamic, 0,
MatrixType::RowsAtCompileTime, MatrixType::ColsAtCompileTime> ComplexMatrix;
/** \brief Store the result of Schur decomposition. */
ComplexMatrix m_T, m_U;
/** \brief Store fractional power of m_T. */
ComplexMatrix m_fT;
/**
* \brief Condition number of m_A.
*
* It is initialized as 0 to avoid performing unnecessary Schur
* decomposition, which is the bottleneck.
*/
/** \brief Rank of m_A. */
Index m_rank;
/** \brief Rank deficiency of m_A. */
Index m_nulls;
/**
* \brief Split p into integral part and fractional part.
*
* \param[in] p The exponent.
* \param[out] p The fractional part ranging in \f$ (-1, 1) \f$.
* \param[out] intpart The integral part.
*
* Only if the fractional part is nonzero, it calls initialize().
*/
void split(RealScalar& p, RealScalar& intpart);
/** \brief Perform Schur decomposition for fractional power. */
void initialize();
template<int Rows, int Cols, int Options, int MaxRows, int MaxCols>
static void revertSchur(
Matrix<ComplexScalar, Rows, Cols, Options, MaxRows, MaxCols>& res,
const ComplexMatrix& T,
const ComplexMatrix& U);
template<int Rows, int Cols, int Options, int MaxRows, int MaxCols>
static void revertSchur(
Matrix<RealScalar, Rows, Cols, Options, MaxRows, MaxCols>& res,
const ComplexMatrix& T,
const ComplexMatrix& U);
};
template<typename MatrixType>
template<typename ResultType>
void MatrixPower<MatrixType>::compute(ResultType& res, RealScalar p)
{
RealScalar intpart;
split(p, intpart);
res = MatrixType::Identity(rows(), cols());
void MatrixPower<MatrixType>::split(RealScalar& p, RealScalar& intpart)
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// Perform Schur decomposition if it is not yet performed and the power is
// not an integer.
if (!m_conditionNumber && p)
initialize();
// Choose the more stable of intpart = floor(p) and intpart = ceil(p).
if (p > RealScalar(0.5) && p > (1-p) * pow(m_conditionNumber, p)) {
--p;
++intpart;
}
}
template<typename MatrixType>
void MatrixPower<MatrixType>::initialize()
{
const ComplexSchur<MatrixType> schurOfA(m_A);
JacobiRotation<ComplexScalar> rot;
ComplexScalar eigenvalue;
m_fT.resizeLike(m_A);
m_T = schurOfA.matrixT();
m_U = schurOfA.matrixU();
m_conditionNumber = m_T.diagonal().array().abs().maxCoeff() / m_T.diagonal().array().abs().minCoeff();
// Move zero eigenvalues to the bottom right corner.
for (Index i = cols()-1; i>=0; --i) {
if (m_rank <= 2)
return;
if (m_T.coeff(i,i) == RealScalar(0)) {
for (Index j=i+1; j < m_rank; ++j) {
eigenvalue = m_T.coeff(j,j);
rot.makeGivens(m_T.coeff(j-1,j), eigenvalue);
m_T.applyOnTheRight(j-1, j, rot);
m_T.applyOnTheLeft(j-1, j, rot.adjoint());
m_T.coeffRef(j-1,j-1) = eigenvalue;
m_T.coeffRef(j,j) = RealScalar(0);
m_U.applyOnTheRight(j-1, j, rot);
}
--m_rank;
}
m_nulls = rows() - m_rank;
if (m_nulls) {
eigen_assert(m_T.bottomRightCorner(m_nulls, m_nulls).isZero()
&& "Base of matrix power should be invertible or with a semisimple zero eigenvalue.");
m_fT.bottomRows(m_nulls).fill(RealScalar(0));
}
}
template<typename MatrixType>
template<typename ResultType>
void MatrixPower<MatrixType>::computeIntPower(ResultType& res, RealScalar p)
{
using std::abs;
using std::fmod;
RealScalar pp = abs(p);
if (p<0)
m_tmp = m_A.inverse();
else
m_tmp = m_A;
}
}
template<typename MatrixType>
template<typename ResultType>
void MatrixPower<MatrixType>::computeFracPower(ResultType& res, RealScalar p)
{
Block<ComplexMatrix,Dynamic,Dynamic> blockTp(m_fT, 0, 0, m_rank, m_rank);
eigen_assert(m_conditionNumber);
eigen_assert(m_rank + m_nulls == rows());
MatrixPowerAtomic<ComplexMatrix>(m_T.topLeftCorner(m_rank, m_rank), p).compute(blockTp);
if (m_nulls) {
m_fT.topRightCorner(m_rank, m_nulls) = m_T.topLeftCorner(m_rank, m_rank).template triangularView<Upper>()
.solve(blockTp * m_T.topRightCorner(m_rank, m_nulls));
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}
template<typename MatrixType>
template<int Rows, int Cols, int Options, int MaxRows, int MaxCols>
inline void MatrixPower<MatrixType>::revertSchur(
Matrix<ComplexScalar, Rows, Cols, Options, MaxRows, MaxCols>& res,
const ComplexMatrix& T,
const ComplexMatrix& U)
{ res.noalias() = U * (T.template triangularView<Upper>() * U.adjoint()); }
template<typename MatrixType>
template<int Rows, int Cols, int Options, int MaxRows, int MaxCols>
inline void MatrixPower<MatrixType>::revertSchur(
Matrix<RealScalar, Rows, Cols, Options, MaxRows, MaxCols>& res,
const ComplexMatrix& T,
const ComplexMatrix& U)
{ res.noalias() = (U * (T.template triangularView<Upper>() * U.adjoint())).real(); }
/**
* \ingroup MatrixFunctions_Module
*
* \brief Proxy for the matrix power of some matrix (expression).
*
* \tparam Derived type of the base, a matrix (expression).
*
* This class holds the arguments to the matrix power until it is
* assigned or evaluated for some other reason (so the argument
* should not be changed in the meantime). It is the return type of
* MatrixBase::pow() and related functions and most of the
* time this is the only way it is used.
*/
template<typename Derived>
class MatrixPowerReturnValue : public ReturnByValue< MatrixPowerReturnValue<Derived> >
{
public:
typedef typename Derived::PlainObject PlainObject;
typedef typename Derived::RealScalar RealScalar;
typedef typename Derived::Index Index;
/**
* \brief Constructor.
*
* \param[in] A %Matrix (expression), the base of the matrix power.
* \param[in] p real scalar, the exponent of the matrix power.
*/
MatrixPowerReturnValue(const Derived& A, RealScalar p) : m_A(A), m_p(p)
{ }
/**
* \brief Compute the matrix power.
*
* \param[out] result \f$ A^p \f$ where \p A and \p p are as in the
* constructor.
*/
template<typename ResultType>
inline void evalTo(ResultType& res) const
{ MatrixPower<PlainObject>(m_A.eval()).compute(res, m_p); }
Index rows() const { return m_A.rows(); }
Index cols() const { return m_A.cols(); }
private:
const Derived& m_A;
const RealScalar m_p;
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};
/**
* \ingroup MatrixFunctions_Module
*
* \brief Proxy for the matrix power of some matrix (expression).
*
* \tparam Derived type of the base, a matrix (expression).
*
* This class holds the arguments to the matrix power until it is
* assigned or evaluated for some other reason (so the argument
* should not be changed in the meantime). It is the return type of
* MatrixBase::pow() and related functions and most of the
* time this is the only way it is used.
*/
template<typename Derived>
class MatrixComplexPowerReturnValue : public ReturnByValue< MatrixComplexPowerReturnValue<Derived> >
{
public:
typedef typename Derived::PlainObject PlainObject;
typedef typename std::complex<typename Derived::RealScalar> ComplexScalar;
typedef typename Derived::Index Index;
/**
* \brief Constructor.
*
* \param[in] A %Matrix (expression), the base of the matrix power.
* \param[in] p complex scalar, the exponent of the matrix power.
*/
MatrixComplexPowerReturnValue(const Derived& A, const ComplexScalar& p) : m_A(A), m_p(p)
{ }
/**
* \brief Compute the matrix power.
*
* Because \p p is complex, \f$ A^p \f$ is simply evaluated as \f$
* \exp(p \log(A)) \f$.
*
* \param[out] result \f$ A^p \f$ where \p A and \p p are as in the
* constructor.
*/
template<typename ResultType>
inline void evalTo(ResultType& res) const
{ res = (m_p * m_A.log()).exp(); }
Index rows() const { return m_A.rows(); }
Index cols() const { return m_A.cols(); }
private:
const Derived& m_A;
const ComplexScalar m_p;
};
namespace internal {
template<typename MatrixPowerType>
struct traits< MatrixPowerParenthesesReturnValue<MatrixPowerType> >
{ typedef typename MatrixPowerType::PlainObject ReturnType; };
template<typename Derived>
struct traits< MatrixPowerReturnValue<Derived> >
{ typedef typename Derived::PlainObject ReturnType; };
template<typename Derived>
struct traits< MatrixComplexPowerReturnValue<Derived> >
{ typedef typename Derived::PlainObject ReturnType; };
}
template<typename Derived>
const MatrixPowerReturnValue<Derived> MatrixBase<Derived>::pow(const RealScalar& p) const
{ return MatrixPowerReturnValue<Derived>(derived(), p); }
template<typename Derived>
const MatrixComplexPowerReturnValue<Derived> MatrixBase<Derived>::pow(const std::complex<RealScalar>& p) const
{ return MatrixComplexPowerReturnValue<Derived>(derived(), p); }