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| #ifndef EIGEN_MATRIX_POWER |
| #define EIGEN_MATRIX_POWER |
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| namespace Eigen { |
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| template<typename MatrixType> class MatrixPower; |
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| template<typename MatrixType> |
| class MatrixPowerParenthesesReturnValue : public ReturnByValue< MatrixPowerParenthesesReturnValue<MatrixType> > |
| { |
| public: |
| typedef typename MatrixType::RealScalar RealScalar; |
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| MatrixPowerParenthesesReturnValue(MatrixPower<MatrixType>& pow, RealScalar p) : m_pow(pow), m_p(p) |
| { } |
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| template<typename ResultType> |
| inline void evalTo(ResultType& result) const |
| { m_pow.compute(result, m_p); } |
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| Index rows() const { return m_pow.rows(); } |
| Index cols() const { return m_pow.cols(); } |
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| private: |
| MatrixPower<MatrixType>& m_pow; |
| const RealScalar m_p; |
| }; |
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| template<typename MatrixType> |
| class MatrixPowerAtomic : internal::noncopyable |
| { |
| private: |
| enum { |
| RowsAtCompileTime = MatrixType::RowsAtCompileTime, |
| MaxRowsAtCompileTime = MatrixType::MaxRowsAtCompileTime |
| }; |
| typedef typename MatrixType::Scalar Scalar; |
| typedef typename MatrixType::RealScalar RealScalar; |
| typedef std::complex<RealScalar> ComplexScalar; |
| typedef Block<MatrixType,Dynamic,Dynamic> ResultType; |
|
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| const MatrixType& m_A; |
| RealScalar m_p; |
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| void computePade(int degree, const MatrixType& IminusT, ResultType& res) const; |
| void compute2x2(ResultType& res, RealScalar p) const; |
| void computeBig(ResultType& res) const; |
| static int getPadeDegree(float normIminusT); |
| static int getPadeDegree(double normIminusT); |
| static int getPadeDegree(long double normIminusT); |
| static ComplexScalar computeSuperDiag(const ComplexScalar&, const ComplexScalar&, RealScalar p); |
| static RealScalar computeSuperDiag(RealScalar, RealScalar, RealScalar p); |
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| public: |
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| MatrixPowerAtomic(const MatrixType& T, RealScalar p); |
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| void compute(ResultType& res) const; |
| }; |
|
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| template<typename MatrixType> |
| MatrixPowerAtomic<MatrixType>::MatrixPowerAtomic(const MatrixType& T, RealScalar p) : |
| m_A(T), m_p(p) |
| { |
| eigen_assert(T.rows() == T.cols()); |
| eigen_assert(p > -1 && p < 1); |
| } |
|
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| template<typename MatrixType> |
| void MatrixPowerAtomic<MatrixType>::compute(ResultType& res) const |
| { |
| using std::pow; |
| switch (m_A.rows()) { |
| case 0: |
| break; |
| case 1: |
| res(0,0) = pow(m_A(0,0), m_p); |
| break; |
| case 2: |
| compute2x2(res, m_p); |
| break; |
| default: |
| computeBig(res); |
| } |
| } |
|
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| template<typename MatrixType> |
| void MatrixPowerAtomic<MatrixType>::computePade(int degree, const MatrixType& IminusT, ResultType& res) const |
| { |
| int i = 2*degree; |
| res = (m_p-RealScalar(degree)) / RealScalar(2*i-2) * IminusT; |
|
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| for (--i; i; --i) { |
| res = (MatrixType::Identity(IminusT.rows(), IminusT.cols()) + res).template triangularView<Upper>() |
| .solve((i==1 ? -m_p : i&1 ? (-m_p-RealScalar(i/2))/RealScalar(2*i) : (m_p-RealScalar(i/2))/RealScalar(2*i-2)) * IminusT).eval(); |
| } |
| res += MatrixType::Identity(IminusT.rows(), IminusT.cols()); |
| } |
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| |
| template<typename MatrixType> |
| void MatrixPowerAtomic<MatrixType>::compute2x2(ResultType& res, RealScalar p) const |
| { |
| using std::abs; |
| using std::pow; |
| res.coeffRef(0,0) = pow(m_A.coeff(0,0), p); |
|
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| for (Index i=1; i < m_A.cols(); ++i) { |
| res.coeffRef(i,i) = pow(m_A.coeff(i,i), p); |
| if (m_A.coeff(i-1,i-1) == m_A.coeff(i,i)) |
| res.coeffRef(i-1,i) = p * pow(m_A.coeff(i,i), p-1); |
| else if (2*abs(m_A.coeff(i-1,i-1)) < abs(m_A.coeff(i,i)) || 2*abs(m_A.coeff(i,i)) < abs(m_A.coeff(i-1,i-1))) |
| res.coeffRef(i-1,i) = (res.coeff(i,i)-res.coeff(i-1,i-1)) / (m_A.coeff(i,i)-m_A.coeff(i-1,i-1)); |
| else |
| res.coeffRef(i-1,i) = computeSuperDiag(m_A.coeff(i,i), m_A.coeff(i-1,i-1), p); |
| res.coeffRef(i-1,i) *= m_A.coeff(i-1,i); |
| } |
| } |
|
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| template<typename MatrixType> |
| void MatrixPowerAtomic<MatrixType>::computeBig(ResultType& res) const |
| { |
| using std::ldexp; |
| const int digits = std::numeric_limits<RealScalar>::digits; |
| const RealScalar maxNormForPade = RealScalar( |
| digits <= 24? 4.3386528e-1L |
| : digits <= 53? 2.789358995219730e-1L |
| : digits <= 64? 2.4471944416607995472e-1L |
| : digits <= 106? 1.1016843812851143391275867258512e-1L |
| : 9.134603732914548552537150753385375e-2L); |
| MatrixType IminusT, sqrtT, T = m_A.template triangularView<Upper>(); |
| RealScalar normIminusT; |
| int degree, degree2, numberOfSquareRoots = 0; |
| bool hasExtraSquareRoot = false; |
|
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| for (Index i=0; i < m_A.cols(); ++i) |
| eigen_assert(m_A(i,i) != RealScalar(0)); |
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| while (true) { |
| IminusT = MatrixType::Identity(m_A.rows(), m_A.cols()) - T; |
| normIminusT = IminusT.cwiseAbs().colwise().sum().maxCoeff(); |
| if (normIminusT < maxNormForPade) { |
| degree = getPadeDegree(normIminusT); |
| degree2 = getPadeDegree(normIminusT/2); |
| if (degree - degree2 <= 1 || hasExtraSquareRoot) |
| break; |
| hasExtraSquareRoot = true; |
| } |
| matrix_sqrt_triangular(T, sqrtT); |
| T = sqrtT.template triangularView<Upper>(); |
| ++numberOfSquareRoots; |
| } |
| computePade(degree, IminusT, res); |
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| for (; numberOfSquareRoots; --numberOfSquareRoots) { |
| compute2x2(res, ldexp(m_p, -numberOfSquareRoots)); |
| res = res.template triangularView<Upper>() * res; |
| } |
| compute2x2(res, m_p); |
| } |
| |
| template<typename MatrixType> |
| inline int MatrixPowerAtomic<MatrixType>::getPadeDegree(float normIminusT) |
| { |
| const float maxNormForPade[] = { 2.8064004e-1f , 4.3386528e-1f }; |
| int degree = 3; |
| for (; degree <= 4; ++degree) |
| if (normIminusT <= maxNormForPade[degree - 3]) |
| break; |
| return degree; |
| } |
|
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| template<typename MatrixType> |
| inline int MatrixPowerAtomic<MatrixType>::getPadeDegree(double normIminusT) |
| { |
| const double maxNormForPade[] = { 1.884160592658218e-2 , 6.038881904059573e-2, 1.239917516308172e-1, |
| 1.999045567181744e-1, 2.789358995219730e-1 }; |
| int degree = 3; |
| for (; degree <= 7; ++degree) |
| if (normIminusT <= maxNormForPade[degree - 3]) |
| break; |
| return degree; |
| } |
|
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| template<typename MatrixType> |
| inline int MatrixPowerAtomic<MatrixType>::getPadeDegree(long double normIminusT) |
| { |
| #if LDBL_MANT_DIG == 53 |
| const int maxPadeDegree = 7; |
| const double maxNormForPade[] = { 1.884160592658218e-2L , 6.038881904059573e-2L, 1.239917516308172e-1L, |
| 1.999045567181744e-1L, 2.789358995219730e-1L }; |
| #elif LDBL_MANT_DIG <= 64 |
| const int maxPadeDegree = 8; |
| const long double maxNormForPade[] = { 6.3854693117491799460e-3L , 2.6394893435456973676e-2L, |
| 6.4216043030404063729e-2L, 1.1701165502926694307e-1L, 1.7904284231268670284e-1L, 2.4471944416607995472e-1L }; |
| #elif LDBL_MANT_DIG <= 106 |
| const int maxPadeDegree = 10; |
| const double maxNormForPade[] = { 1.0007161601787493236741409687186e-4L , |
| 1.0007161601787493236741409687186e-3L, 4.7069769360887572939882574746264e-3L, 1.3220386624169159689406653101695e-2L, |
| 2.8063482381631737920612944054906e-2L, 4.9625993951953473052385361085058e-2L, 7.7367040706027886224557538328171e-2L, |
| 1.1016843812851143391275867258512e-1L }; |
| #else |
| const int maxPadeDegree = 10; |
| const double maxNormForPade[] = { 5.524506147036624377378713555116378e-5L , |
| 6.640600568157479679823602193345995e-4L, 3.227716520106894279249709728084626e-3L, |
| 9.619593944683432960546978734646284e-3L, 2.134595382433742403911124458161147e-2L, |
| 3.908166513900489428442993794761185e-2L, 6.266780814639442865832535460550138e-2L, |
| 9.134603732914548552537150753385375e-2L }; |
| #endif |
| int degree = 3; |
| for (; degree <= maxPadeDegree; ++degree) |
| if (normIminusT <= maxNormForPade[degree - 3]) |
| break; |
| return degree; |
| } |
|
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| template<typename MatrixType> |
| inline typename MatrixPowerAtomic<MatrixType>::ComplexScalar |
| MatrixPowerAtomic<MatrixType>::computeSuperDiag(const ComplexScalar& curr, const ComplexScalar& prev, RealScalar p) |
| { |
| using std::ceil; |
| using std::exp; |
| using std::log; |
| using std::sinh; |
|
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| ComplexScalar logCurr = log(curr); |
| ComplexScalar logPrev = log(prev); |
| RealScalar unwindingNumber = ceil((numext::imag(logCurr - logPrev) - RealScalar(EIGEN_PI)) / RealScalar(2*EIGEN_PI)); |
| ComplexScalar w = numext::log1p((curr-prev)/prev)/RealScalar(2) + ComplexScalar(0, RealScalar(EIGEN_PI)*unwindingNumber); |
| return RealScalar(2) * exp(RealScalar(0.5) * p * (logCurr + logPrev)) * sinh(p * w) / (curr - prev); |
| } |
|
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| template<typename MatrixType> |
| inline typename MatrixPowerAtomic<MatrixType>::RealScalar |
| MatrixPowerAtomic<MatrixType>::computeSuperDiag(RealScalar curr, RealScalar prev, RealScalar p) |
| { |
| using std::exp; |
| using std::log; |
| using std::sinh; |
|
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| RealScalar w = numext::log1p((curr-prev)/prev)/RealScalar(2); |
| return 2 * exp(p * (log(curr) + log(prev)) / 2) * sinh(p * w) / (curr - prev); |
| } |
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| template<typename MatrixType> |
| class MatrixPower : internal::noncopyable |
| { |
| private: |
| typedef typename MatrixType::Scalar Scalar; |
| typedef typename MatrixType::RealScalar RealScalar; |
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| public: |
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| explicit MatrixPower(const MatrixType& A) : |
| m_A(A), |
| m_conditionNumber(0), |
| m_rank(A.cols()), |
| m_nulls(0) |
| { eigen_assert(A.rows() == A.cols()); } |
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| const MatrixPowerParenthesesReturnValue<MatrixType> operator()(RealScalar p) |
| { return MatrixPowerParenthesesReturnValue<MatrixType>(*this, p); } |
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| template<typename ResultType> |
| void compute(ResultType& res, RealScalar p); |
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| Index rows() const { return m_A.rows(); } |
| Index cols() const { return m_A.cols(); } |
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| private: |
| typedef std::complex<RealScalar> ComplexScalar; |
| typedef Matrix<ComplexScalar, Dynamic, Dynamic, 0, |
| MatrixType::RowsAtCompileTime, MatrixType::ColsAtCompileTime> ComplexMatrix; |
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| typename MatrixType::Nested m_A; |
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| MatrixType m_tmp; |
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| ComplexMatrix m_T, m_U; |
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| ComplexMatrix m_fT; |
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| RealScalar m_conditionNumber; |
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| Index m_rank; |
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| Index m_nulls; |
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| void split(RealScalar& p, RealScalar& intpart); |
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| void initialize(); |
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| template<typename ResultType> |
| void computeIntPower(ResultType& res, RealScalar p); |
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| template<typename ResultType> |
| void computeFracPower(ResultType& res, RealScalar p); |
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| template<int Rows, int Cols, int Options, int MaxRows, int MaxCols> |
| static void revertSchur( |
| Matrix<ComplexScalar, Rows, Cols, Options, MaxRows, MaxCols>& res, |
| const ComplexMatrix& T, |
| const ComplexMatrix& U); |
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| template<int Rows, int Cols, int Options, int MaxRows, int MaxCols> |
| static void revertSchur( |
| Matrix<RealScalar, Rows, Cols, Options, MaxRows, MaxCols>& res, |
| const ComplexMatrix& T, |
| const ComplexMatrix& U); |
| }; |
|
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| template<typename MatrixType> |
| template<typename ResultType> |
| void MatrixPower<MatrixType>::compute(ResultType& res, RealScalar p) |
| { |
| using std::pow; |
| switch (cols()) { |
| case 0: |
| break; |
| case 1: |
| res(0,0) = pow(m_A.coeff(0,0), p); |
| break; |
| default: |
| RealScalar intpart; |
| split(p, intpart); |
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| res = MatrixType::Identity(rows(), cols()); |
| computeIntPower(res, intpart); |
| if (p) computeFracPower(res, p); |
| } |
| } |
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| template<typename MatrixType> |
| void MatrixPower<MatrixType>::split(RealScalar& p, RealScalar& intpart) |
| { |
| using std::floor; |
| using std::pow; |
|
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| intpart = floor(p); |
| p -= intpart; |
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| if (!m_conditionNumber && p) |
| initialize(); |
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| if (p > RealScalar(0.5) && p > (1-p) * pow(m_conditionNumber, p)) { |
| --p; |
| ++intpart; |
| } |
| } |
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| template<typename MatrixType> |
| void MatrixPower<MatrixType>::initialize() |
| { |
| const ComplexSchur<MatrixType> schurOfA(m_A); |
| JacobiRotation<ComplexScalar> rot; |
| ComplexScalar eigenvalue; |
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| m_fT.resizeLike(m_A); |
| m_T = schurOfA.matrixT(); |
| m_U = schurOfA.matrixU(); |
| m_conditionNumber = m_T.diagonal().array().abs().maxCoeff() / m_T.diagonal().array().abs().minCoeff(); |
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| for (Index i = cols()-1; i>=0; --i) { |
| if (m_rank <= 2) |
| return; |
| if (m_T.coeff(i,i) == RealScalar(0)) { |
| for (Index j=i+1; j < m_rank; ++j) { |
| eigenvalue = m_T.coeff(j,j); |
| rot.makeGivens(m_T.coeff(j-1,j), eigenvalue); |
| m_T.applyOnTheRight(j-1, j, rot); |
| m_T.applyOnTheLeft(j-1, j, rot.adjoint()); |
| m_T.coeffRef(j-1,j-1) = eigenvalue; |
| m_T.coeffRef(j,j) = RealScalar(0); |
| m_U.applyOnTheRight(j-1, j, rot); |
| } |
| --m_rank; |
| } |
| } |
|
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| m_nulls = rows() - m_rank; |
| if (m_nulls) { |
| eigen_assert(m_T.bottomRightCorner(m_nulls, m_nulls).isZero() |
| && "Base of matrix power should be invertible or with a semisimple zero eigenvalue."); |
| m_fT.bottomRows(m_nulls).fill(RealScalar(0)); |
| } |
| } |
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| template<typename MatrixType> |
| template<typename ResultType> |
| void MatrixPower<MatrixType>::computeIntPower(ResultType& res, RealScalar p) |
| { |
| using std::abs; |
| using std::fmod; |
| RealScalar pp = abs(p); |
|
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| if (p<0) |
| m_tmp = m_A.inverse(); |
| else |
| m_tmp = m_A; |
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| while (true) { |
| if (fmod(pp, 2) >= 1) |
| res = m_tmp * res; |
| pp /= 2; |
| if (pp < 1) |
| break; |
| m_tmp *= m_tmp; |
| } |
| } |
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| template<typename MatrixType> |
| template<typename ResultType> |
| void MatrixPower<MatrixType>::computeFracPower(ResultType& res, RealScalar p) |
| { |
| Block<ComplexMatrix,Dynamic,Dynamic> blockTp(m_fT, 0, 0, m_rank, m_rank); |
| eigen_assert(m_conditionNumber); |
| eigen_assert(m_rank + m_nulls == rows()); |
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| MatrixPowerAtomic<ComplexMatrix>(m_T.topLeftCorner(m_rank, m_rank), p).compute(blockTp); |
| if (m_nulls) { |
| m_fT.topRightCorner(m_rank, m_nulls) = m_T.topLeftCorner(m_rank, m_rank).template triangularView<Upper>() |
| .solve(blockTp * m_T.topRightCorner(m_rank, m_nulls)); |
| } |
| revertSchur(m_tmp, m_fT, m_U); |
| res = m_tmp * res; |
| } |
|
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| template<typename MatrixType> |
| template<int Rows, int Cols, int Options, int MaxRows, int MaxCols> |
| inline void MatrixPower<MatrixType>::revertSchur( |
| Matrix<ComplexScalar, Rows, Cols, Options, MaxRows, MaxCols>& res, |
| const ComplexMatrix& T, |
| const ComplexMatrix& U) |
| { res.noalias() = U * (T.template triangularView<Upper>() * U.adjoint()); } |
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| template<typename MatrixType> |
| template<int Rows, int Cols, int Options, int MaxRows, int MaxCols> |
| inline void MatrixPower<MatrixType>::revertSchur( |
| Matrix<RealScalar, Rows, Cols, Options, MaxRows, MaxCols>& res, |
| const ComplexMatrix& T, |
| const ComplexMatrix& U) |
| { res.noalias() = (U * (T.template triangularView<Upper>() * U.adjoint())).real(); } |
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| template<typename Derived> |
| class MatrixPowerReturnValue : public ReturnByValue< MatrixPowerReturnValue<Derived> > |
| { |
| public: |
| typedef typename Derived::PlainObject PlainObject; |
| typedef typename Derived::RealScalar RealScalar; |
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| MatrixPowerReturnValue(const Derived& A, RealScalar p) : m_A(A), m_p(p) |
| { } |
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| template<typename ResultType> |
| inline void evalTo(ResultType& result) const |
| { MatrixPower<PlainObject>(m_A.eval()).compute(result, m_p); } |
|
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| Index rows() const { return m_A.rows(); } |
| Index cols() const { return m_A.cols(); } |
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| private: |
| const Derived& m_A; |
| const RealScalar m_p; |
| }; |
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| template<typename Derived> |
| class MatrixComplexPowerReturnValue : public ReturnByValue< MatrixComplexPowerReturnValue<Derived> > |
| { |
| public: |
| typedef typename Derived::PlainObject PlainObject; |
| typedef typename std::complex<typename Derived::RealScalar> ComplexScalar; |
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| MatrixComplexPowerReturnValue(const Derived& A, const ComplexScalar& p) : m_A(A), m_p(p) |
| { } |
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| template<typename ResultType> |
| inline void evalTo(ResultType& result) const |
| { result = (m_p * m_A.log()).exp(); } |
|
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| Index rows() const { return m_A.rows(); } |
| Index cols() const { return m_A.cols(); } |
|
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| private: |
| const Derived& m_A; |
| const ComplexScalar m_p; |
| }; |
|
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| namespace internal { |
|
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| template<typename MatrixPowerType> |
| struct traits< MatrixPowerParenthesesReturnValue<MatrixPowerType> > |
| { typedef typename MatrixPowerType::PlainObject ReturnType; }; |
|
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| template<typename Derived> |
| struct traits< MatrixPowerReturnValue<Derived> > |
| { typedef typename Derived::PlainObject ReturnType; }; |
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| template<typename Derived> |
| struct traits< MatrixComplexPowerReturnValue<Derived> > |
| { typedef typename Derived::PlainObject ReturnType; }; |
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| } |
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| template<typename Derived> |
| const MatrixPowerReturnValue<Derived> MatrixBase<Derived>::pow(const RealScalar& p) const |
| { return MatrixPowerReturnValue<Derived>(derived(), p); } |
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| template<typename Derived> |
| const MatrixComplexPowerReturnValue<Derived> MatrixBase<Derived>::pow(const std::complex<RealScalar>& p) const |
| { return MatrixComplexPowerReturnValue<Derived>(derived(), p); } |
|
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| } |
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| #endif |
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