// This file is part of Eigen, a lightweight C++ template library // for linear algebra. // // Copyright (C) 2009 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_MATRIX_FUNCTION_ATOMIC #define EIGEN_MATRIX_FUNCTION_ATOMIC namespace Eigen { /** \ingroup MatrixFunctions_Module * \class MatrixFunctionAtomic * \brief Helper class for computing matrix functions of atomic matrices. * * \internal * Here, an atomic matrix is a triangular matrix whose diagonal * entries are close to each other. */ template <typename MatrixType> class MatrixFunctionAtomic { public: typedef typename MatrixType::Scalar Scalar; typedef typename MatrixType::Index Index; typedef typename NumTraits<Scalar>::Real RealScalar; typedef typename internal::stem_function<Scalar>::type StemFunction; typedef Matrix<Scalar, MatrixType::RowsAtCompileTime, 1> VectorType; /** \brief Constructor * \param[in] f matrix function to compute. */ MatrixFunctionAtomic(StemFunction f) : m_f(f) { } /** \brief Compute matrix function of atomic matrix * \param[in] A argument of matrix function, should be upper triangular and atomic * \returns f(A), the matrix function evaluated at the given matrix */ MatrixType compute(const MatrixType& A); private: // Prevent copying MatrixFunctionAtomic(const MatrixFunctionAtomic&); MatrixFunctionAtomic& operator=(const MatrixFunctionAtomic&); void computeMu(); bool taylorConverged(Index s, const MatrixType& F, const MatrixType& Fincr, const MatrixType& P); /** \brief Pointer to scalar function */ StemFunction* m_f; /** \brief Size of matrix function */ Index m_Arows; /** \brief Mean of eigenvalues */ Scalar m_avgEival; /** \brief Argument shifted by mean of eigenvalues */ MatrixType m_Ashifted; /** \brief Constant used to determine whether Taylor series has converged */ RealScalar m_mu; }; template <typename MatrixType> MatrixType MatrixFunctionAtomic<MatrixType>::compute(const MatrixType& A) { // TODO: Use that A is upper triangular m_Arows = A.rows(); m_avgEival = A.trace() / Scalar(RealScalar(m_Arows)); m_Ashifted = A - m_avgEival * MatrixType::Identity(m_Arows, m_Arows); computeMu(); MatrixType F = m_f(m_avgEival, 0) * MatrixType::Identity(m_Arows, m_Arows); MatrixType P = m_Ashifted; MatrixType Fincr; for (Index s = 1; s < 1.1 * m_Arows + 10; s++) { // upper limit is fairly arbitrary Fincr = m_f(m_avgEival, static_cast<int>(s)) * P; F += Fincr; P = Scalar(RealScalar(1.0/(s + 1))) * P * m_Ashifted; if (taylorConverged(s, F, Fincr, P)) { return F; } } eigen_assert("Taylor series does not converge" && 0); return F; } /** \brief Compute \c m_mu. */ template <typename MatrixType> void MatrixFunctionAtomic<MatrixType>::computeMu() { const MatrixType N = MatrixType::Identity(m_Arows, m_Arows) - m_Ashifted; VectorType e = VectorType::Ones(m_Arows); N.template triangularView<Upper>().solveInPlace(e); m_mu = e.cwiseAbs().maxCoeff(); } /** \brief Determine whether Taylor series has converged */ template <typename MatrixType> bool MatrixFunctionAtomic<MatrixType>::taylorConverged(Index s, const MatrixType& F, const MatrixType& Fincr, const MatrixType& P) { const Index n = F.rows(); const RealScalar F_norm = F.cwiseAbs().rowwise().sum().maxCoeff(); const RealScalar Fincr_norm = Fincr.cwiseAbs().rowwise().sum().maxCoeff(); if (Fincr_norm < NumTraits<Scalar>::epsilon() * F_norm) { RealScalar delta = 0; RealScalar rfactorial = 1; for (Index r = 0; r < n; r++) { RealScalar mx = 0; for (Index i = 0; i < n; i++) mx = (std::max)(mx, std::abs(m_f(m_Ashifted(i, i) + m_avgEival, static_cast<int>(s+r)))); if (r != 0) rfactorial *= RealScalar(r); delta = (std::max)(delta, mx / rfactorial); } const RealScalar P_norm = P.cwiseAbs().rowwise().sum().maxCoeff(); if (m_mu * delta * P_norm < NumTraits<Scalar>::epsilon() * F_norm) return true; } return false; } } // end namespace Eigen #endif // EIGEN_MATRIX_FUNCTION_ATOMIC