1
  2
  3
  4
  5
  6
  7
  8
  9
 10
 11
 12
 13
 14
 15
 16
 17
 18
 19
 20
 21
 22
 23
 24
 25
 26
 27
 28
 29
 30
 31
 32
 33
 34
 35
 36
 37
 38
 39
 40
 41
 42
 43
 44
 45
 46
 47
 48
 49
 50
 51
 52
 53
 54
 55
 56
 57
 58
 59
 60
 61
 62
 63
 64
 65
 66
 67
 68
 69
 70
 71
 72
 73
 74
 75
 76
 77
 78
 79
 80
 81
 82
 83
 84
 85
 86
 87
 88
 89
 90
 91
 92
 93
 94
 95
 96
 97
 98
 99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
#[cfg(feature = "serde-serialize")]
use serde::{Deserialize, Serialize};

use num::Zero;
use std::ops::MulAssign;

use alga::general::RealField;

use na::allocator::Allocator;
use na::dimension::{Dim, U1};
use na::storage::Storage;
use na::{DefaultAllocator, Matrix, MatrixN, Scalar, VectorN};
use crate::ComplexHelper;

use lapack;

/// Eigendecomposition of a real square symmetric matrix with real eigenvalues.
#[cfg_attr(feature = "serde-serialize", derive(Serialize, Deserialize))]
#[cfg_attr(
    feature = "serde-serialize",
    serde(bound(
        serialize = "DefaultAllocator: Allocator<N, D, D> +
                           Allocator<N, D>,
         VectorN<N, D>: Serialize,
         MatrixN<N, D>: Serialize"
    ))
)]
#[cfg_attr(
    feature = "serde-serialize",
    serde(bound(
        deserialize = "DefaultAllocator: Allocator<N, D, D> +
                           Allocator<N, D>,
         VectorN<N, D>: Deserialize<'de>,
         MatrixN<N, D>: Deserialize<'de>"
    ))
)]
#[derive(Clone, Debug)]
pub struct SymmetricEigen<N: Scalar, D: Dim>
where DefaultAllocator: Allocator<N, D> + Allocator<N, D, D>
{
    /// The eigenvectors of the decomposed matrix.
    pub eigenvectors: MatrixN<N, D>,

    /// The unsorted eigenvalues of the decomposed matrix.
    pub eigenvalues: VectorN<N, D>,
}

impl<N: Scalar, D: Dim> Copy for SymmetricEigen<N, D>
where
    DefaultAllocator: Allocator<N, D, D> + Allocator<N, D>,
    MatrixN<N, D>: Copy,
    VectorN<N, D>: Copy,
{}

impl<N: SymmetricEigenScalar + RealField, D: Dim> SymmetricEigen<N, D>
where DefaultAllocator: Allocator<N, D, D> + Allocator<N, D>
{
    /// Computes the eigenvalues and eigenvectors of the symmetric matrix `m`.
    ///
    /// Only the lower-triangular part of `m` is read. If `eigenvectors` is `false` then, the
    /// eigenvectors are not computed explicitly. Panics if the method did not converge.
    pub fn new(m: MatrixN<N, D>) -> Self {
        let (vals, vecs) =
            Self::do_decompose(m, true).expect("SymmetricEigen: convergence failure.");
        Self {
            eigenvalues: vals,
            eigenvectors: vecs.unwrap(),
        }
    }

    /// Computes the eigenvalues and eigenvectors of the symmetric matrix `m`.
    ///
    /// Only the lower-triangular part of `m` is read. If `eigenvectors` is `false` then, the
    /// eigenvectors are not computed explicitly. Returns `None` if the method did not converge.
    pub fn try_new(m: MatrixN<N, D>) -> Option<Self> {
        Self::do_decompose(m, true).map(|(vals, vecs)| SymmetricEigen {
            eigenvalues: vals,
            eigenvectors: vecs.unwrap(),
        })
    }

    fn do_decompose(
        mut m: MatrixN<N, D>,
        eigenvectors: bool,
    ) -> Option<(VectorN<N, D>, Option<MatrixN<N, D>>)>
    {
        assert!(
            m.is_square(),
            "Unable to compute the eigenvalue decomposition of a non-square matrix."
        );

        let jobz = if eigenvectors { b'V' } else { b'N' };

        let nrows = m.data.shape().0;
        let n = nrows.value();

        let lda = n as i32;

        let mut values = unsafe { Matrix::new_uninitialized_generic(nrows, U1) };
        let mut info = 0;

        let lwork = N::xsyev_work_size(jobz, b'L', n as i32, m.as_mut_slice(), lda, &mut info);
        lapack_check!(info);

        let mut work = unsafe { crate::uninitialized_vec(lwork as usize) };

        N::xsyev(
            jobz,
            b'L',
            n as i32,
            m.as_mut_slice(),
            lda,
            values.as_mut_slice(),
            &mut work,
            lwork,
            &mut info,
        );
        lapack_check!(info);

        let vectors = if eigenvectors { Some(m) } else { None };
        Some((values, vectors))
    }

    /// Computes only the eigenvalues of the input matrix.
    ///
    /// Panics if the method does not converge.
    pub fn eigenvalues(m: MatrixN<N, D>) -> VectorN<N, D> {
        Self::do_decompose(m, false)
            .expect("SymmetricEigen eigenvalues: convergence failure.")
            .0
    }

    /// Computes only the eigenvalues of the input matrix.
    ///
    /// Returns `None` if the method does not converge.
    pub fn try_eigenvalues(m: MatrixN<N, D>) -> Option<VectorN<N, D>> {
        Self::do_decompose(m, false).map(|res| res.0)
    }

    /// The determinant of the decomposed matrix.
    #[inline]
    pub fn determinant(&self) -> N {
        let mut det = N::one();
        for e in self.eigenvalues.iter() {
            det *= *e;
        }

        det
    }

    /// Rebuild the original matrix.
    ///
    /// This is useful if some of the eigenvalues have been manually modified.
    pub fn recompose(&self) -> MatrixN<N, D> {
        let mut u_t = self.eigenvectors.clone();
        for i in 0..self.eigenvalues.len() {
            let val = self.eigenvalues[i];
            u_t.column_mut(i).mul_assign(val);
        }
        u_t.transpose_mut();
        &self.eigenvectors * u_t
    }
}

/*
 *
 * Lapack functions dispatch.
 *
 */
/// Trait implemented by scalars for which Lapack implements the eigendecomposition of symmetric
/// real matrices.
pub trait SymmetricEigenScalar: Scalar {
    #[allow(missing_docs)]
    fn xsyev(
        jobz: u8,
        uplo: u8,
        n: i32,
        a: &mut [Self],
        lda: i32,
        w: &mut [Self],
        work: &mut [Self],
        lwork: i32,
        info: &mut i32,
    );
    #[allow(missing_docs)]
    fn xsyev_work_size(jobz: u8, uplo: u8, n: i32, a: &mut [Self], lda: i32, info: &mut i32)
        -> i32;
}

macro_rules! real_eigensystem_scalar_impl (
    ($N: ty, $xsyev: path) => (
        impl SymmetricEigenScalar for $N {
            #[inline]
            fn xsyev(jobz: u8, uplo: u8, n: i32, a: &mut [Self], lda: i32, w: &mut [Self], work: &mut [Self],
                     lwork: i32, info: &mut i32) {
                unsafe { $xsyev(jobz, uplo, n, a, lda, w, work, lwork, info) }
            }


            #[inline]
            fn xsyev_work_size(jobz: u8, uplo: u8, n: i32, a: &mut [Self], lda: i32, info: &mut i32) -> i32 {
                let mut work = [ Zero::zero() ];
                let mut w    = [ Zero::zero() ];
                let lwork    = -1 as i32;

                unsafe { $xsyev(jobz, uplo, n, a, lda, &mut w, &mut work, lwork, info); }
                ComplexHelper::real_part(work[0]) as i32
            }
        }
    )
);

real_eigensystem_scalar_impl!(f32, lapack::ssyev);
real_eigensystem_scalar_impl!(f64, lapack::dsyev);