#ifndef EIGEN_REAL_QZ_H
#define EIGEN_REAL_QZ_H
#include "./InternalHeaderCheck.h"
namespace Eigen {
template <typename MatrixType_>
class RealQZ {
public:
typedef MatrixType_ MatrixType;
enum {
RowsAtCompileTime = MatrixType::RowsAtCompileTime,
ColsAtCompileTime = MatrixType::ColsAtCompileTime,
Options = internal::traits<MatrixType>::Options,
MaxRowsAtCompileTime = MatrixType::MaxRowsAtCompileTime,
MaxColsAtCompileTime = MatrixType::MaxColsAtCompileTime
};
typedef typename MatrixType::Scalar Scalar;
typedef internal::make_complex_t<Scalar> ComplexScalar;
typedef Eigen::Index Index;
typedef Matrix<ComplexScalar, ColsAtCompileTime, 1, Options & ~RowMajor, MaxColsAtCompileTime, 1> EigenvalueType;
typedef Matrix<Scalar, ColsAtCompileTime, 1, Options & ~RowMajor, MaxColsAtCompileTime, 1> ColumnVectorType;
explicit RealQZ(Index size = RowsAtCompileTime == Dynamic ? 1 : RowsAtCompileTime)
: m_S(size, size),
m_T(size, size),
m_Q(size, size),
m_Z(size, size),
m_workspace(size * 2),
m_maxIters(400),
m_isInitialized(false),
m_computeQZ(true) {}
RealQZ(const MatrixType& A, const MatrixType& B, bool computeQZ = true)
: m_S(A.rows(), A.cols()),
m_T(A.rows(), A.cols()),
m_Q(A.rows(), A.cols()),
m_Z(A.rows(), A.cols()),
m_workspace(A.rows() * 2),
m_maxIters(400),
m_isInitialized(false),
m_computeQZ(true) {
compute(A, B, computeQZ);
}
const MatrixType& matrixQ() const {
eigen_assert(m_isInitialized && "RealQZ is not initialized.");
eigen_assert(m_computeQZ && "The matrices Q and Z have not been computed during the QZ decomposition.");
return m_Q;
}
const MatrixType& matrixZ() const {
eigen_assert(m_isInitialized && "RealQZ is not initialized.");
eigen_assert(m_computeQZ && "The matrices Q and Z have not been computed during the QZ decomposition.");
return m_Z;
}
const MatrixType& matrixS() const {
eigen_assert(m_isInitialized && "RealQZ is not initialized.");
return m_S;
}
const MatrixType& matrixT() const {
eigen_assert(m_isInitialized && "RealQZ is not initialized.");
return m_T;
}
RealQZ& compute(const MatrixType& A, const MatrixType& B, bool computeQZ = true);
ComputationInfo info() const {
eigen_assert(m_isInitialized && "RealQZ is not initialized.");
return m_info;
}
Index iterations() const {
eigen_assert(m_isInitialized && "RealQZ is not initialized.");
return m_global_iter;
}
RealQZ& setMaxIterations(Index maxIters) {
m_maxIters = maxIters;
return *this;
}
private:
MatrixType m_S, m_T, m_Q, m_Z;
Matrix<Scalar, Dynamic, 1> m_workspace;
ComputationInfo m_info;
Index m_maxIters;
bool m_isInitialized;
bool m_computeQZ;
Scalar m_normOfT, m_normOfS;
Index m_global_iter;
typedef Matrix<Scalar, 3, 1> Vector3s;
typedef Matrix<Scalar, 2, 1> Vector2s;
typedef Matrix<Scalar, 2, 2> Matrix2s;
typedef JacobiRotation<Scalar> JRs;
void hessenbergTriangular();
void computeNorms();
Index findSmallSubdiagEntry(Index iu);
Index findSmallDiagEntry(Index f, Index l);
void splitOffTwoRows(Index i);
void pushDownZero(Index z, Index f, Index l);
void step(Index f, Index l, Index iter);
};
template <typename MatrixType>
void RealQZ<MatrixType>::hessenbergTriangular() {
const Index dim = m_S.cols();
HouseholderQR<MatrixType> qrT(m_T);
m_T = qrT.matrixQR();
m_T.template triangularView<StrictlyLower>().setZero();
m_Q = qrT.householderQ();
m_S.applyOnTheLeft(m_Q.adjoint());
if (m_computeQZ) m_Z = MatrixType::Identity(dim, dim);
for (Index j = 0; j <= dim - 3; j++) {
for (Index i = dim - 1; i >= j + 2; i--) {
JRs G;
if (!numext::is_exactly_zero(m_S.coeff(i, j))) {
G.makeGivens(m_S.coeff(i - 1, j), m_S.coeff(i, j), &m_S.coeffRef(i - 1, j));
m_S.coeffRef(i, j) = Scalar(0.0);
m_S.rightCols(dim - j - 1).applyOnTheLeft(i - 1, i, G.adjoint());
m_T.rightCols(dim - i + 1).applyOnTheLeft(i - 1, i, G.adjoint());
if (m_computeQZ) m_Q.applyOnTheRight(i - 1, i, G);
}
if (!numext::is_exactly_zero(m_T.coeff(i, i - 1))) {
G.makeGivens(m_T.coeff(i, i), m_T.coeff(i, i - 1), &m_T.coeffRef(i, i));
m_T.coeffRef(i, i - 1) = Scalar(0.0);
m_S.applyOnTheRight(i, i - 1, G);
m_T.topRows(i).applyOnTheRight(i, i - 1, G);
if (m_computeQZ) m_Z.applyOnTheLeft(i, i - 1, G.adjoint());
}
}
}
}
template <typename MatrixType>
inline void RealQZ<MatrixType>::computeNorms() {
const Index size = m_S.cols();
m_normOfS = Scalar(0.0);
m_normOfT = Scalar(0.0);
for (Index j = 0; j < size; ++j) {
m_normOfS += m_S.col(j).segment(0, (std::min)(size, j + 2)).cwiseAbs().sum();
m_normOfT += m_T.row(j).segment(j, size - j).cwiseAbs().sum();
}
}
template <typename MatrixType>
inline Index RealQZ<MatrixType>::findSmallSubdiagEntry(Index iu) {
using std::abs;
Index res = iu;
while (res > 0) {
Scalar s = abs(m_S.coeff(res - 1, res - 1)) + abs(m_S.coeff(res, res));
if (numext::is_exactly_zero(s)) s = m_normOfS;
if (abs(m_S.coeff(res, res - 1)) < NumTraits<Scalar>::epsilon() * s) break;
res--;
}
return res;
}
template <typename MatrixType>
inline Index RealQZ<MatrixType>::findSmallDiagEntry(Index f, Index l) {
using std::abs;
Index res = l;
while (res >= f) {
if (abs(m_T.coeff(res, res)) <= NumTraits<Scalar>::epsilon() * m_normOfT) break;
res--;
}
return res;
}
template <typename MatrixType>
inline void RealQZ<MatrixType>::splitOffTwoRows(Index i) {
using std::abs;
using std::sqrt;
const Index dim = m_S.cols();
if (numext::is_exactly_zero(abs(m_S.coeff(i + 1, i)))) return;
Index j = findSmallDiagEntry(i, i + 1);
if (j == i - 1) {
Matrix2s STi = m_T.template block<2, 2>(i, i).template triangularView<Upper>().template solve<OnTheRight>(
m_S.template block<2, 2>(i, i));
Scalar p = Scalar(0.5) * (STi(0, 0) - STi(1, 1));
Scalar q = p * p + STi(1, 0) * STi(0, 1);
if (q >= 0) {
Scalar z = sqrt(q);
JRs G;
if (p >= 0)
G.makeGivens(p + z, STi(1, 0));
else
G.makeGivens(p - z, STi(1, 0));
m_S.rightCols(dim - i).applyOnTheLeft(i, i + 1, G.adjoint());
m_T.rightCols(dim - i).applyOnTheLeft(i, i + 1, G.adjoint());
if (m_computeQZ) m_Q.applyOnTheRight(i, i + 1, G);
G.makeGivens(m_T.coeff(i + 1, i + 1), m_T.coeff(i + 1, i));
m_S.topRows(i + 2).applyOnTheRight(i + 1, i, G);
m_T.topRows(i + 2).applyOnTheRight(i + 1, i, G);
if (m_computeQZ) m_Z.applyOnTheLeft(i + 1, i, G.adjoint());
m_S.coeffRef(i + 1, i) = Scalar(0.0);
m_T.coeffRef(i + 1, i) = Scalar(0.0);
}
} else {
pushDownZero(j, i, i + 1);
}
}
template <typename MatrixType>
inline void RealQZ<MatrixType>::pushDownZero(Index z, Index f, Index l) {
JRs G;
const Index dim = m_S.cols();
for (Index zz = z; zz < l; zz++) {
Index firstColS = zz > f ? (zz - 1) : zz;
G.makeGivens(m_T.coeff(zz, zz + 1), m_T.coeff(zz + 1, zz + 1));
m_S.rightCols(dim - firstColS).applyOnTheLeft(zz, zz + 1, G.adjoint());
m_T.rightCols(dim - zz).applyOnTheLeft(zz, zz + 1, G.adjoint());
m_T.coeffRef(zz + 1, zz + 1) = Scalar(0.0);
if (m_computeQZ) m_Q.applyOnTheRight(zz, zz + 1, G);
if (zz > f) {
G.makeGivens(m_S.coeff(zz + 1, zz), m_S.coeff(zz + 1, zz - 1));
m_S.topRows(zz + 2).applyOnTheRight(zz, zz - 1, G);
m_T.topRows(zz + 1).applyOnTheRight(zz, zz - 1, G);
m_S.coeffRef(zz + 1, zz - 1) = Scalar(0.0);
if (m_computeQZ) m_Z.applyOnTheLeft(zz, zz - 1, G.adjoint());
}
}
G.makeGivens(m_S.coeff(l, l), m_S.coeff(l, l - 1));
m_S.applyOnTheRight(l, l - 1, G);
m_T.applyOnTheRight(l, l - 1, G);
m_S.coeffRef(l, l - 1) = Scalar(0.0);
if (m_computeQZ) m_Z.applyOnTheLeft(l, l - 1, G.adjoint());
}
template <typename MatrixType>
inline void RealQZ<MatrixType>::step(Index f, Index l, Index iter) {
using std::abs;
const Index dim = m_S.cols();
Scalar x, y, z;
if (iter == 10) {
const Scalar a11 = m_S.coeff(f + 0, f + 0), a12 = m_S.coeff(f + 0, f + 1), a21 = m_S.coeff(f + 1, f + 0),
a22 = m_S.coeff(f + 1, f + 1), a32 = m_S.coeff(f + 2, f + 1), b12 = m_T.coeff(f + 0, f + 1),
b11i = Scalar(1.0) / m_T.coeff(f + 0, f + 0), b22i = Scalar(1.0) / m_T.coeff(f + 1, f + 1),
a87 = m_S.coeff(l - 1, l - 2), a98 = m_S.coeff(l - 0, l - 1),
b77i = Scalar(1.0) / m_T.coeff(l - 2, l - 2), b88i = Scalar(1.0) / m_T.coeff(l - 1, l - 1);
Scalar ss = abs(a87 * b77i) + abs(a98 * b88i), lpl = Scalar(1.5) * ss, ll = ss * ss;
x = ll + a11 * a11 * b11i * b11i - lpl * a11 * b11i + a12 * a21 * b11i * b22i -
a11 * a21 * b12 * b11i * b11i * b22i;
y = a11 * a21 * b11i * b11i - lpl * a21 * b11i + a21 * a22 * b11i * b22i - a21 * a21 * b12 * b11i * b11i * b22i;
z = a21 * a32 * b11i * b22i;
} else if (iter == 16) {
x = m_S.coeff(f, f) / m_T.coeff(f, f) - m_S.coeff(l, l) / m_T.coeff(l, l) +
m_S.coeff(l, l - 1) * m_T.coeff(l - 1, l) / (m_T.coeff(l - 1, l - 1) * m_T.coeff(l, l));
y = m_S.coeff(f + 1, f) / m_T.coeff(f, f);
z = 0;
} else if (iter > 23 && !(iter % 8)) {
x = internal::random<Scalar>(-1.0, 1.0);
y = internal::random<Scalar>(-1.0, 1.0);
z = internal::random<Scalar>(-1.0, 1.0);
} else {
const Scalar a11 = m_S.coeff(f, f), a12 = m_S.coeff(f, f + 1), a21 = m_S.coeff(f + 1, f),
a22 = m_S.coeff(f + 1, f + 1), a32 = m_S.coeff(f + 2, f + 1),
a88 = m_S.coeff(l - 1, l - 1), a89 = m_S.coeff(l - 1, l), a98 = m_S.coeff(l, l - 1),
a99 = m_S.coeff(l, l),
b11 = m_T.coeff(f, f), b12 = m_T.coeff(f, f + 1), b22 = m_T.coeff(f + 1, f + 1),
b88 = m_T.coeff(l - 1, l - 1), b89 = m_T.coeff(l - 1, l), b99 = m_T.coeff(l, l);
x = ((a88 / b88 - a11 / b11) * (a99 / b99 - a11 / b11) - (a89 / b99) * (a98 / b88) +
(a98 / b88) * (b89 / b99) * (a11 / b11)) *
(b11 / a21) +
a12 / b22 - (a11 / b11) * (b12 / b22);
y = (a22 / b22 - a11 / b11) - (a21 / b11) * (b12 / b22) - (a88 / b88 - a11 / b11) - (a99 / b99 - a11 / b11) +
(a98 / b88) * (b89 / b99);
z = a32 / b22;
}
JRs G;
for (Index k = f; k <= l - 2; k++) {
Vector2s essential2;
Scalar tau, beta;
Vector3s hr(x, y, z);
hr.makeHouseholderInPlace(tau, beta);
essential2 = hr.template bottomRows<2>();
Index fc = (std::max)(k - 1, Index(0)); m_S.template middleRows<3>(k).rightCols(dim - fc).applyHouseholderOnTheLeft(essential2, tau, m_workspace.data());
m_T.template middleRows<3>(k).rightCols(dim - fc).applyHouseholderOnTheLeft(essential2, tau, m_workspace.data());
if (m_computeQZ) m_Q.template middleCols<3>(k).applyHouseholderOnTheRight(essential2, tau, m_workspace.data());
if (k > f) m_S.coeffRef(k + 2, k - 1) = m_S.coeffRef(k + 1, k - 1) = Scalar(0.0);
hr << m_T.coeff(k + 2, k + 2), m_T.coeff(k + 2, k), m_T.coeff(k + 2, k + 1);
hr.makeHouseholderInPlace(tau, beta);
essential2 = hr.template bottomRows<2>();
{
Index lr = (std::min)(k + 4, dim); Map<Matrix<Scalar, Dynamic, 1> > tmp(m_workspace.data(), lr);
tmp.noalias() = m_S.template middleCols<2>(k).topRows(lr) * essential2;
tmp += m_S.col(k + 2).head(lr);
m_S.col(k + 2).head(lr) -= tau * tmp;
m_S.template middleCols<2>(k).topRows(lr).noalias() -= (tau * tmp) * essential2.adjoint();
tmp = m_T.template middleCols<2>(k).topRows(lr) * essential2;
tmp += m_T.col(k + 2).head(lr);
m_T.col(k + 2).head(lr) -= tau * tmp;
m_T.template middleCols<2>(k).topRows(lr).noalias() -= (tau * tmp) * essential2.adjoint();
}
if (m_computeQZ) {
Map<Matrix<Scalar, 1, Dynamic> > tmp(m_workspace.data(), dim);
tmp.noalias() = essential2.adjoint() * (m_Z.template middleRows<2>(k));
tmp += m_Z.row(k + 2);
m_Z.row(k + 2) -= tau * tmp;
m_Z.template middleRows<2>(k).noalias() -= essential2 * (tau * tmp);
}
m_T.coeffRef(k + 2, k) = m_T.coeffRef(k + 2, k + 1) = Scalar(0.0);
G.makeGivens(m_T.coeff(k + 1, k + 1), m_T.coeff(k + 1, k));
m_S.applyOnTheRight(k + 1, k, G);
m_T.applyOnTheRight(k + 1, k, G);
if (m_computeQZ) m_Z.applyOnTheLeft(k + 1, k, G.adjoint());
m_T.coeffRef(k + 1, k) = Scalar(0.0);
x = m_S.coeff(k + 1, k);
y = m_S.coeff(k + 2, k);
if (k < l - 2) z = m_S.coeff(k + 3, k);
}
G.makeGivens(x, y);
m_S.applyOnTheLeft(l - 1, l, G.adjoint());
m_T.applyOnTheLeft(l - 1, l, G.adjoint());
if (m_computeQZ) m_Q.applyOnTheRight(l - 1, l, G);
m_S.coeffRef(l, l - 2) = Scalar(0.0);
G.makeGivens(m_T.coeff(l, l), m_T.coeff(l, l - 1));
m_S.applyOnTheRight(l, l - 1, G);
m_T.applyOnTheRight(l, l - 1, G);
if (m_computeQZ) m_Z.applyOnTheLeft(l, l - 1, G.adjoint());
m_T.coeffRef(l, l - 1) = Scalar(0.0);
}
template <typename MatrixType>
RealQZ<MatrixType>& RealQZ<MatrixType>::compute(const MatrixType& A_in, const MatrixType& B_in, bool computeQZ) {
const Index dim = A_in.cols();
eigen_assert(A_in.rows() == dim && A_in.cols() == dim && B_in.rows() == dim && B_in.cols() == dim &&
"Need square matrices of the same dimension");
m_isInitialized = true;
m_computeQZ = computeQZ;
m_S = A_in;
m_T = B_in;
m_workspace.resize(dim * 2);
m_global_iter = 0;
hessenbergTriangular();
computeNorms();
Index l = dim - 1, f, local_iter = 0;
while (l > 0 && local_iter < m_maxIters) {
f = findSmallSubdiagEntry(l);
if (f > 0) m_S.coeffRef(f, f - 1) = Scalar(0.0);
if (f == l) {
l--;
local_iter = 0;
} else if (f == l - 1) {
splitOffTwoRows(f);
l -= 2;
local_iter = 0;
} else {
Index z = findSmallDiagEntry(f, l);
if (z >= f) {
pushDownZero(z, f, l);
} else {
step(f, l, local_iter);
local_iter++;
m_global_iter++;
}
}
}
m_info = (local_iter < m_maxIters) ? Success : NoConvergence;
if (m_info == Success) {
for (Index i = 0; i < dim - 1; ++i) {
if (!numext::is_exactly_zero(m_S.coeff(i + 1, i))) {
JacobiRotation<Scalar> j_left, j_right;
internal::real_2x2_jacobi_svd(m_T, i, i + 1, &j_left, &j_right);
m_S.applyOnTheLeft(i, i + 1, j_left);
m_S.applyOnTheRight(i, i + 1, j_right);
m_T.applyOnTheLeft(i, i + 1, j_left);
m_T.applyOnTheRight(i, i + 1, j_right);
m_T(i + 1, i) = m_T(i, i + 1) = Scalar(0);
if (m_computeQZ) {
m_Q.applyOnTheRight(i, i + 1, j_left.transpose());
m_Z.applyOnTheLeft(i, i + 1, j_right.transpose());
}
i++;
}
}
}
return *this;
}
}
#endif