// The code was adapted from Eigen/src/Eigenvaleus/SelfAdjointEigenSolver.h // // Copyright (C) 2008-2010 Gael Guennebaud // Copyright (C) 2010 Jitse Niesen // Copyright (C) 2016-2019 Yixuan Qiu // // 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 https://mozilla.org/MPL/2.0/. #ifndef TRIDIAG_EIGEN_H #define TRIDIAG_EIGEN_H #include #include #include #include "../Util/TypeTraits.h" namespace Spectra { template class TridiagEigen { private: typedef Eigen::Index Index; // For convenience in adapting the tridiagonal_qr_step() function typedef Scalar RealScalar; typedef Eigen::Matrix Matrix; typedef Eigen::Matrix Vector; typedef Eigen::Ref GenericMatrix; typedef const Eigen::Ref ConstGenericMatrix; Index m_n; Vector m_main_diag; // Main diagonal elements of the matrix Vector m_sub_diag; // Sub-diagonal elements of the matrix Matrix m_evecs; // To store eigenvectors bool m_computed; const Scalar m_near_0; // a very small value, ~= 1e-307 for the "double" type // Adapted from Eigen/src/Eigenvaleus/SelfAdjointEigenSolver.h static void tridiagonal_qr_step(RealScalar* diag, RealScalar* subdiag, Index start, Index end, Scalar* matrixQ, Index n) { using std::abs; RealScalar td = (diag[end-1] - diag[end]) * RealScalar(0.5); RealScalar e = subdiag[end-1]; // Note that thanks to scaling, e^2 or td^2 cannot overflow, however they can still // underflow thus leading to inf/NaN values when using the following commented code: // RealScalar e2 = numext::abs2(subdiag[end-1]); // RealScalar mu = diag[end] - e2 / (td + (td>0 ? 1 : -1) * sqrt(td*td + e2)); // This explain the following, somewhat more complicated, version: RealScalar mu = diag[end]; if(td == Scalar(0)) mu -= abs(e); else { RealScalar e2 = Eigen::numext::abs2(subdiag[end-1]); RealScalar h = Eigen::numext::hypot(td, e); if(e2==RealScalar(0)) mu -= (e / (td + (td>RealScalar(0) ? RealScalar(1) : RealScalar(-1)))) * (e / h); else mu -= e2 / (td + (td>RealScalar(0) ? h : -h)); } RealScalar x = diag[start] - mu; RealScalar z = subdiag[start]; Eigen::Map q(matrixQ, n, n); for(Index k = start; k < end; ++k) { Eigen::JacobiRotation rot; rot.makeGivens(x, z); const RealScalar s = rot.s(); const RealScalar c = rot.c(); // do T = G' T G RealScalar sdk = s * diag[k] + c * subdiag[k]; RealScalar dkp1 = s * subdiag[k] + c * diag[k + 1]; diag[k] = c * (c * diag[k] - s * subdiag[k]) - s * (c * subdiag[k] - s * diag[k + 1]); diag[k + 1] = s * sdk + c * dkp1; subdiag[k] = c * sdk - s * dkp1; if(k > start) subdiag[k - 1] = c * subdiag[k - 1] - s * z; x = subdiag[k]; if(k < end - 1) { z = -s * subdiag[k+1]; subdiag[k + 1] = c * subdiag[k + 1]; } // apply the givens rotation to the unit matrix Q = Q * G if(matrixQ) q.applyOnTheRight(k, k + 1, rot); } } public: TridiagEigen() : m_n(0), m_computed(false), m_near_0(TypeTraits::min() * Scalar(10)) {} TridiagEigen(ConstGenericMatrix& mat) : m_n(mat.rows()), m_computed(false), m_near_0(TypeTraits::min() * Scalar(10)) { compute(mat); } void compute(ConstGenericMatrix& mat) { using std::abs; m_n = mat.rows(); if(m_n != mat.cols()) throw std::invalid_argument("TridiagEigen: matrix must be square"); m_main_diag.resize(m_n); m_sub_diag.resize(m_n - 1); m_evecs.resize(m_n, m_n); m_evecs.setIdentity(); // Scale matrix to improve stability const Scalar scale = std::max(mat.diagonal().cwiseAbs().maxCoeff(), mat.diagonal(-1).cwiseAbs().maxCoeff()); // If scale=0, mat is a zero matrix, so we can early stop if(scale < m_near_0) { // m_main_diag contains eigenvalues m_main_diag.setZero(); // m_evecs has been set identity // m_evecs.setIdentity(); m_computed = true; return; } m_main_diag.noalias() = mat.diagonal() / scale; m_sub_diag.noalias() = mat.diagonal(-1) / scale; Scalar* diag = m_main_diag.data(); Scalar* subdiag = m_sub_diag.data(); Index end = m_n - 1; Index start = 0; Index iter = 0; // total number of iterations int info = 0; // 0 for success, 1 for failure const Scalar considerAsZero = TypeTraits::min(); const Scalar precision = Scalar(2) * Eigen::NumTraits::epsilon(); while(end > 0) { for(Index i = start; i < end; i++) if(abs(subdiag[i]) <= considerAsZero || abs(subdiag[i]) <= (abs(diag[i]) + abs(diag[i + 1])) * precision) subdiag[i] = 0; // find the largest unreduced block while(end > 0 && subdiag[end - 1] == Scalar(0)) end--; if(end <= 0) break; // if we spent too many iterations, we give up iter++; if(iter > 30 * m_n) { info = 1; break; } start = end - 1; while(start > 0 && subdiag[start - 1] != Scalar(0)) start--; tridiagonal_qr_step(diag, subdiag, start, end, m_evecs.data(), m_n); } if(info > 0) throw std::runtime_error("TridiagEigen: eigen decomposition failed"); // Scale eigenvalues back m_main_diag *= scale; m_computed = true; } const Vector& eigenvalues() const { if(!m_computed) throw std::logic_error("TridiagEigen: need to call compute() first"); // After calling compute(), main_diag will contain the eigenvalues. return m_main_diag; } const Matrix& eigenvectors() const { if(!m_computed) throw std::logic_error("TridiagEigen: need to call compute() first"); return m_evecs; } }; } // namespace Spectra #endif // TRIDIAG_EIGEN_H