// This file is part of Eigen, a lightweight C++ template library // for linear algebra. // // Copyright (C) 2009 Claire Maurice // Copyright (C) 2009 Gael Guennebaud <gael.guennebaud@inria.fr> // Copyright (C) 2010,2012 Jitse Niesen <jitse@maths.leeds.ac.uk> // // 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_COMPLEX_SCHUR_H #define EIGEN_COMPLEX_SCHUR_H #include "./HessenbergDecomposition.h" namespace Eigen { namespace internal { template<typename MatrixType, bool IsComplex> struct complex_schur_reduce_to_hessenberg; } /** \eigenvalues_module \ingroup Eigenvalues_Module * * * \class ComplexSchur * * \brief Performs a complex Schur decomposition of a real or complex square matrix * * \tparam _MatrixType the type of the matrix of which we are * computing the Schur decomposition; this is expected to be an * instantiation of the Matrix class template. * * Given a real or complex square matrix A, this class computes the * Schur decomposition: \f$ A = U T U^*\f$ where U is a unitary * complex matrix, and T is a complex upper triangular matrix. The * diagonal of the matrix T corresponds to the eigenvalues of the * matrix A. * * Call the function compute() to compute the Schur decomposition of * a given matrix. Alternatively, you can use the * ComplexSchur(const MatrixType&, bool) constructor which computes * the Schur decomposition at construction time. Once the * decomposition is computed, you can use the matrixU() and matrixT() * functions to retrieve the matrices U and V in the decomposition. * * \note This code is inspired from Jampack * * \sa class RealSchur, class EigenSolver, class ComplexEigenSolver */ template<typename _MatrixType> class ComplexSchur { public: 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 \p _MatrixType. */ typedef typename MatrixType::Scalar Scalar; typedef typename NumTraits<Scalar>::Real RealScalar; typedef typename MatrixType::Index Index; /** \brief Complex scalar type for \p _MatrixType. * * This is \c std::complex<Scalar> if #Scalar is real (e.g., * \c float or \c double) and just \c Scalar if #Scalar is * complex. */ typedef std::complex<RealScalar> ComplexScalar; /** \brief Type for the matrices in the Schur decomposition. * * This is a square matrix with entries of type #ComplexScalar. * The size is the same as the size of \p _MatrixType. */ typedef Matrix<ComplexScalar, RowsAtCompileTime, ColsAtCompileTime, Options, MaxRowsAtCompileTime, MaxColsAtCompileTime> ComplexMatrixType; /** \brief Default constructor. * * \param [in] size Positive integer, size of the matrix whose Schur 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. */ ComplexSchur(Index size = RowsAtCompileTime==Dynamic ? 1 : RowsAtCompileTime) : m_matT(size,size), m_matU(size,size), m_hess(size), m_isInitialized(false), m_matUisUptodate(false), m_maxIters(-1) {} /** \brief Constructor; computes Schur decomposition of given matrix. * * \param[in] matrix Square matrix whose Schur decomposition is to be computed. * \param[in] computeU If true, both T and U are computed; if false, only T is computed. * * This constructor calls compute() to compute the Schur decomposition. * * \sa matrixT() and matrixU() for examples. */ ComplexSchur(const MatrixType& matrix, bool computeU = true) : m_matT(matrix.rows(),matrix.cols()), m_matU(matrix.rows(),matrix.cols()), m_hess(matrix.rows()), m_isInitialized(false), m_matUisUptodate(false), m_maxIters(-1) { compute(matrix, computeU); } /** \brief Returns the unitary matrix in the Schur decomposition. * * \returns A const reference to the matrix U. * * It is assumed that either the constructor * ComplexSchur(const MatrixType& matrix, bool computeU) or the * member function compute(const MatrixType& matrix, bool computeU) * has been called before to compute the Schur decomposition of a * matrix, and that \p computeU was set to true (the default * value). * * Example: \include ComplexSchur_matrixU.cpp * Output: \verbinclude ComplexSchur_matrixU.out */ const ComplexMatrixType& matrixU() const { eigen_assert(m_isInitialized && "ComplexSchur is not initialized."); eigen_assert(m_matUisUptodate && "The matrix U has not been computed during the ComplexSchur decomposition."); return m_matU; } /** \brief Returns the triangular matrix in the Schur decomposition. * * \returns A const reference to the matrix T. * * It is assumed that either the constructor * ComplexSchur(const MatrixType& matrix, bool computeU) or the * member function compute(const MatrixType& matrix, bool computeU) * has been called before to compute the Schur decomposition of a * matrix. * * Note that this function returns a plain square matrix. If you want to reference * only the upper triangular part, use: * \code schur.matrixT().triangularView<Upper>() \endcode * * Example: \include ComplexSchur_matrixT.cpp * Output: \verbinclude ComplexSchur_matrixT.out */ const ComplexMatrixType& matrixT() const { eigen_assert(m_isInitialized && "ComplexSchur is not initialized."); return m_matT; } /** \brief Computes Schur decomposition of given matrix. * * \param[in] matrix Square matrix whose Schur decomposition is to be computed. * \param[in] computeU If true, both T and U are computed; if false, only T is computed. * \returns Reference to \c *this * * The Schur decomposition is computed by first reducing the * matrix to Hessenberg form using the class * HessenbergDecomposition. The Hessenberg matrix is then reduced * to triangular form by performing QR iterations with a single * shift. The cost of computing the Schur decomposition depends * on the number of iterations; as a rough guide, it may be taken * on the number of iterations; as a rough guide, it may be taken * to be \f$25n^3\f$ complex flops, or \f$10n^3\f$ complex flops * if \a computeU is false. * * Example: \include ComplexSchur_compute.cpp * Output: \verbinclude ComplexSchur_compute.out * * \sa compute(const MatrixType&, bool, Index) */ ComplexSchur& compute(const MatrixType& matrix, bool computeU = true); /** \brief Compute Schur decomposition from a given Hessenberg matrix * \param[in] matrixH Matrix in Hessenberg form H * \param[in] matrixQ orthogonal matrix Q that transform a matrix A to H : A = Q H Q^T * \param computeU Computes the matriX U of the Schur vectors * \return Reference to \c *this * * This routine assumes that the matrix is already reduced in Hessenberg form matrixH * using either the class HessenbergDecomposition or another mean. * It computes the upper quasi-triangular matrix T of the Schur decomposition of H * When computeU is true, this routine computes the matrix U such that * A = U T U^T = (QZ) T (QZ)^T = Q H Q^T where A is the initial matrix * * NOTE Q is referenced if computeU is true; so, if the initial orthogonal matrix * is not available, the user should give an identity matrix (Q.setIdentity()) * * \sa compute(const MatrixType&, bool) */ template<typename HessMatrixType, typename OrthMatrixType> ComplexSchur& computeFromHessenberg(const HessMatrixType& matrixH, const OrthMatrixType& matrixQ, bool computeU=true); /** \brief Reports whether previous computation was successful. * * \returns \c Success if computation was succesful, \c NoConvergence otherwise. */ ComputationInfo info() const { eigen_assert(m_isInitialized && "ComplexSchur is not initialized."); return m_info; } /** \brief Sets the maximum number of iterations allowed. * * If not specified by the user, the maximum number of iterations is m_maxIterationsPerRow times the size * of the matrix. */ ComplexSchur& setMaxIterations(Index maxIters) { m_maxIters = maxIters; return *this; } /** \brief Returns the maximum number of iterations. */ Index getMaxIterations() { return m_maxIters; } /** \brief Maximum number of iterations per row. * * If not otherwise specified, the maximum number of iterations is this number times the size of the * matrix. It is currently set to 30. */ static const int m_maxIterationsPerRow = 30; protected: ComplexMatrixType m_matT, m_matU; HessenbergDecomposition<MatrixType> m_hess; ComputationInfo m_info; bool m_isInitialized; bool m_matUisUptodate; Index m_maxIters; private: bool subdiagonalEntryIsNeglegible(Index i); ComplexScalar computeShift(Index iu, Index iter); void reduceToTriangularForm(bool computeU); friend struct internal::complex_schur_reduce_to_hessenberg<MatrixType, NumTraits<Scalar>::IsComplex>; }; /** If m_matT(i+1,i) is neglegible in floating point arithmetic * compared to m_matT(i,i) and m_matT(j,j), then set it to zero and * return true, else return false. */ template<typename MatrixType> inline bool ComplexSchur<MatrixType>::subdiagonalEntryIsNeglegible(Index i) { RealScalar d = numext::norm1(m_matT.coeff(i,i)) + numext::norm1(m_matT.coeff(i+1,i+1)); RealScalar sd = numext::norm1(m_matT.coeff(i+1,i)); if (internal::isMuchSmallerThan(sd, d, NumTraits<RealScalar>::epsilon())) { m_matT.coeffRef(i+1,i) = ComplexScalar(0); return true; } return false; } /** Compute the shift in the current QR iteration. */ template<typename MatrixType> typename ComplexSchur<MatrixType>::ComplexScalar ComplexSchur<MatrixType>::computeShift(Index iu, Index iter) { using std::abs; if (iter == 10 || iter == 20) { // exceptional shift, taken from http://www.netlib.org/eispack/comqr.f return abs(numext::real(m_matT.coeff(iu,iu-1))) + abs(numext::real(m_matT.coeff(iu-1,iu-2))); } // compute the shift as one of the eigenvalues of t, the 2x2 // diagonal block on the bottom of the active submatrix Matrix<ComplexScalar,2,2> t = m_matT.template block<2,2>(iu-1,iu-1); RealScalar normt = t.cwiseAbs().sum(); t /= normt; // the normalization by sf is to avoid under/overflow ComplexScalar b = t.coeff(0,1) * t.coeff(1,0); ComplexScalar c = t.coeff(0,0) - t.coeff(1,1); ComplexScalar disc = sqrt(c*c + RealScalar(4)*b); ComplexScalar det = t.coeff(0,0) * t.coeff(1,1) - b; ComplexScalar trace = t.coeff(0,0) + t.coeff(1,1); ComplexScalar eival1 = (trace + disc) / RealScalar(2); ComplexScalar eival2 = (trace - disc) / RealScalar(2); if(numext::norm1(eival1) > numext::norm1(eival2)) eival2 = det / eival1; else eival1 = det / eival2; // choose the eigenvalue closest to the bottom entry of the diagonal if(numext::norm1(eival1-t.coeff(1,1)) < numext::norm1(eival2-t.coeff(1,1))) return normt * eival1; else return normt * eival2; } template<typename MatrixType> ComplexSchur<MatrixType>& ComplexSchur<MatrixType>::compute(const MatrixType& matrix, bool computeU) { m_matUisUptodate = false; eigen_assert(matrix.cols() == matrix.rows()); if(matrix.cols() == 1) { m_matT = matrix.template cast<ComplexScalar>(); if(computeU) m_matU = ComplexMatrixType::Identity(1,1); m_info = Success; m_isInitialized = true; m_matUisUptodate = computeU; return *this; } internal::complex_schur_reduce_to_hessenberg<MatrixType, NumTraits<Scalar>::IsComplex>::run(*this, matrix, computeU); computeFromHessenberg(m_matT, m_matU, computeU); return *this; } template<typename MatrixType> template<typename HessMatrixType, typename OrthMatrixType> ComplexSchur<MatrixType>& ComplexSchur<MatrixType>::computeFromHessenberg(const HessMatrixType& matrixH, const OrthMatrixType& matrixQ, bool computeU) { m_matT = matrixH; if(computeU) m_matU = matrixQ; reduceToTriangularForm(computeU); return *this; } namespace internal { /* Reduce given matrix to Hessenberg form */ template<typename MatrixType, bool IsComplex> struct complex_schur_reduce_to_hessenberg { // this is the implementation for the case IsComplex = true static void run(ComplexSchur<MatrixType>& _this, const MatrixType& matrix, bool computeU) { _this.m_hess.compute(matrix); _this.m_matT = _this.m_hess.matrixH(); if(computeU) _this.m_matU = _this.m_hess.matrixQ(); } }; template<typename MatrixType> struct complex_schur_reduce_to_hessenberg<MatrixType, false> { static void run(ComplexSchur<MatrixType>& _this, const MatrixType& matrix, bool computeU) { typedef typename ComplexSchur<MatrixType>::ComplexScalar ComplexScalar; // Note: m_hess is over RealScalar; m_matT and m_matU is over ComplexScalar _this.m_hess.compute(matrix); _this.m_matT = _this.m_hess.matrixH().template cast<ComplexScalar>(); if(computeU) { // This may cause an allocation which seems to be avoidable MatrixType Q = _this.m_hess.matrixQ(); _this.m_matU = Q.template cast<ComplexScalar>(); } } }; } // end namespace internal // Reduce the Hessenberg matrix m_matT to triangular form by QR iteration. template<typename MatrixType> void ComplexSchur<MatrixType>::reduceToTriangularForm(bool computeU) { Index maxIters = m_maxIters; if (maxIters == -1) maxIters = m_maxIterationsPerRow * m_matT.rows(); // The matrix m_matT is divided in three parts. // Rows 0,...,il-1 are decoupled from the rest because m_matT(il,il-1) is zero. // Rows il,...,iu is the part we are working on (the active submatrix). // Rows iu+1,...,end are already brought in triangular form. Index iu = m_matT.cols() - 1; Index il; Index iter = 0; // number of iterations we are working on the (iu,iu) element Index totalIter = 0; // number of iterations for whole matrix while(true) { // find iu, the bottom row of the active submatrix while(iu > 0) { if(!subdiagonalEntryIsNeglegible(iu-1)) break; iter = 0; --iu; } // if iu is zero then we are done; the whole matrix is triangularized if(iu==0) break; // if we spent too many iterations, we give up iter++; totalIter++; if(totalIter > maxIters) break; // find il, the top row of the active submatrix il = iu-1; while(il > 0 && !subdiagonalEntryIsNeglegible(il-1)) { --il; } /* perform the QR step using Givens rotations. The first rotation creates a bulge; the (il+2,il) element becomes nonzero. This bulge is chased down to the bottom of the active submatrix. */ ComplexScalar shift = computeShift(iu, iter); JacobiRotation<ComplexScalar> rot; rot.makeGivens(m_matT.coeff(il,il) - shift, m_matT.coeff(il+1,il)); m_matT.rightCols(m_matT.cols()-il).applyOnTheLeft(il, il+1, rot.adjoint()); m_matT.topRows((std::min)(il+2,iu)+1).applyOnTheRight(il, il+1, rot); if(computeU) m_matU.applyOnTheRight(il, il+1, rot); for(Index i=il+1 ; i<iu ; i++) { rot.makeGivens(m_matT.coeffRef(i,i-1), m_matT.coeffRef(i+1,i-1), &m_matT.coeffRef(i,i-1)); m_matT.coeffRef(i+1,i-1) = ComplexScalar(0); m_matT.rightCols(m_matT.cols()-i).applyOnTheLeft(i, i+1, rot.adjoint()); m_matT.topRows((std::min)(i+2,iu)+1).applyOnTheRight(i, i+1, rot); if(computeU) m_matU.applyOnTheRight(i, i+1, rot); } } if(totalIter <= maxIters) m_info = Success; else m_info = NoConvergence; m_isInitialized = true; m_matUisUptodate = computeU; } } // end namespace Eigen #endif // EIGEN_COMPLEX_SCHUR_H