// This file is part of Eigen, a lightweight C++ template library // for linear algebra. // // Copyright (C) 2008-2009 Gael Guennebaud <gael.guennebaud@inria.fr> // Copyright (C) 2009 Benoit Jacob <jacob.benoit.1@gmail.com> // // 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/.
/** \ingroup QR_Module * * \class ColPivHouseholderQR * * \brief Householder rank-revealing QR decomposition of a matrix with column-pivoting * * \tparam _MatrixType the type of the matrix of which we are computing the QR decomposition * * This class performs a rank-revealing QR decomposition of a matrix \b A into matrices \b P, \b Q and \b R * such that * \f[ * \mathbf{A} \, \mathbf{P} = \mathbf{Q} \, \mathbf{R} * \f] * by using Householder transformations. Here, \b P is a permutation matrix, \b Q a unitary matrix and \b R an * upper triangular matrix. * * This decomposition performs column pivoting in order to be rank-revealing and improve * numerical stability. It is slower than HouseholderQR, and faster than FullPivHouseholderQR. * * This class supports the \link InplaceDecomposition inplace decomposition \endlink mechanism. * * \sa MatrixBase::colPivHouseholderQr()
*/ template<typename _MatrixType> class ColPivHouseholderQR
: public SolverBase<ColPivHouseholderQR<_MatrixType> >
{ public:
/** * \brief Default Constructor. * * The default constructor is useful in cases in which the user intends to * perform decompositions via ColPivHouseholderQR::compute(const MatrixType&).
*/
ColPivHouseholderQR()
: m_qr(),
m_hCoeffs(),
m_colsPermutation(),
m_colsTranspositions(),
m_temp(),
m_colNormsUpdated(),
m_colNormsDirect(),
m_isInitialized(false),
m_usePrescribedThreshold(false) {}
/** \brief Default Constructor with memory preallocation * * Like the default constructor but with preallocation of the internal data * according to the specified problem \a size. * \sa ColPivHouseholderQR()
*/
ColPivHouseholderQR(Index rows, Index cols)
: m_qr(rows, cols),
m_hCoeffs((std::min)(rows,cols)),
m_colsPermutation(PermIndexType(cols)),
m_colsTranspositions(cols),
m_temp(cols),
m_colNormsUpdated(cols),
m_colNormsDirect(cols),
m_isInitialized(false),
m_usePrescribedThreshold(false) {}
/** \brief Constructs a QR factorization from a given matrix * * This constructor computes the QR factorization of the matrix \a matrix by calling * the method compute(). It is a short cut for: * * \code * ColPivHouseholderQR<MatrixType> qr(matrix.rows(), matrix.cols()); * qr.compute(matrix); * \endcode * * \sa compute()
*/ template<typename InputType> explicit ColPivHouseholderQR(const EigenBase<InputType>& matrix)
: m_qr(matrix.rows(), matrix.cols()),
m_hCoeffs((std::min)(matrix.rows(),matrix.cols())),
m_colsPermutation(PermIndexType(matrix.cols())),
m_colsTranspositions(matrix.cols()),
m_temp(matrix.cols()),
m_colNormsUpdated(matrix.cols()),
m_colNormsDirect(matrix.cols()),
m_isInitialized(false),
m_usePrescribedThreshold(false)
{
compute(matrix.derived());
}
/** \brief Constructs a QR factorization from a given matrix * * This overloaded constructor is provided for \link InplaceDecomposition inplace decomposition \endlink when \c MatrixType is a Eigen::Ref. * * \sa ColPivHouseholderQR(const EigenBase&)
*/ template<typename InputType> explicit ColPivHouseholderQR(EigenBase<InputType>& matrix)
: m_qr(matrix.derived()),
m_hCoeffs((std::min)(matrix.rows(),matrix.cols())),
m_colsPermutation(PermIndexType(matrix.cols())),
m_colsTranspositions(matrix.cols()),
m_temp(matrix.cols()),
m_colNormsUpdated(matrix.cols()),
m_colNormsDirect(matrix.cols()),
m_isInitialized(false),
m_usePrescribedThreshold(false)
{
computeInPlace();
}
#ifdef EIGEN_PARSED_BY_DOXYGEN /** This method finds a solution x to the equation Ax=b, where A is the matrix of which * *this is the QR decomposition, if any exists. * * \param b the right-hand-side of the equation to solve. * * \returns a solution. * * \note_about_checking_solutions * * \note_about_arbitrary_choice_of_solution * * Example: \include ColPivHouseholderQR_solve.cpp * Output: \verbinclude ColPivHouseholderQR_solve.out
*/ template<typename Rhs> inlineconst Solve<ColPivHouseholderQR, Rhs>
solve(const MatrixBase<Rhs>& b) const; #endif
/** \returns a reference to the matrix where the Householder QR decomposition is stored
*/ const MatrixType& matrixQR() const
{
eigen_assert(m_isInitialized && "ColPivHouseholderQR is not initialized."); return m_qr;
}
/** \returns a reference to the matrix where the result Householder QR is stored * \warning The strict lower part of this matrix contains internal values. * Only the upper triangular part should be referenced. To get it, use * \code matrixR().template triangularView<Upper>() \endcode * For rank-deficient matrices, use * \code * matrixR().topLeftCorner(rank(), rank()).template triangularView<Upper>() * \endcode
*/ const MatrixType& matrixR() const
{
eigen_assert(m_isInitialized && "ColPivHouseholderQR is not initialized."); return m_qr;
}
/** \returns a const reference to the column permutation matrix */ const PermutationType& colsPermutation() const
{
eigen_assert(m_isInitialized && "ColPivHouseholderQR is not initialized."); return m_colsPermutation;
}
/** \returns the absolute value of the determinant of the matrix of which * *this is the QR decomposition. It has only linear complexity * (that is, O(n) where n is the dimension of the square matrix) * as the QR decomposition has already been computed. * * \note This is only for square matrices. * * \warning a determinant can be very big or small, so for matrices * of large enough dimension, there is a risk of overflow/underflow. * One way to work around that is to use logAbsDeterminant() instead. * * \sa logAbsDeterminant(), MatrixBase::determinant()
*/ typename MatrixType::RealScalar absDeterminant() const;
/** \returns the natural log of the absolute value of the determinant of the matrix of which * *this is the QR decomposition. It has only linear complexity * (that is, O(n) where n is the dimension of the square matrix) * as the QR decomposition has already been computed. * * \note This is only for square matrices. * * \note This method is useful to work around the risk of overflow/underflow that's inherent * to determinant computation. * * \sa absDeterminant(), MatrixBase::determinant()
*/ typename MatrixType::RealScalar logAbsDeterminant() const;
/** \returns the rank of the matrix of which *this is the QR decomposition. * * \note This method has to determine which pivots should be considered nonzero. * For that, it uses the threshold value that you can control by calling * setThreshold(const RealScalar&).
*/ inline Index rank() const
{ using std::abs;
eigen_assert(m_isInitialized && "ColPivHouseholderQR is not initialized.");
RealScalar premultiplied_threshold = abs(m_maxpivot) * threshold();
Index result = 0; for(Index i = 0; i < m_nonzero_pivots; ++i)
result += (abs(m_qr.coeff(i,i)) > premultiplied_threshold); return result;
}
/** \returns the dimension of the kernel of the matrix of which *this is the QR decomposition. * * \note This method has to determine which pivots should be considered nonzero. * For that, it uses the threshold value that you can control by calling * setThreshold(const RealScalar&).
*/ inline Index dimensionOfKernel() const
{
eigen_assert(m_isInitialized && "ColPivHouseholderQR is not initialized."); return cols() - rank();
}
/** \returns true if the matrix of which *this is the QR decomposition represents an injective * linear map, i.e. has trivial kernel; false otherwise. * * \note This method has to determine which pivots should be considered nonzero. * For that, it uses the threshold value that you can control by calling * setThreshold(const RealScalar&).
*/ inlinebool isInjective() const
{
eigen_assert(m_isInitialized && "ColPivHouseholderQR is not initialized."); return rank() == cols();
}
/** \returns true if the matrix of which *this is the QR decomposition represents a surjective * linear map; false otherwise. * * \note This method has to determine which pivots should be considered nonzero. * For that, it uses the threshold value that you can control by calling * setThreshold(const RealScalar&).
*/ inlinebool isSurjective() const
{
eigen_assert(m_isInitialized && "ColPivHouseholderQR is not initialized."); return rank() == rows();
}
/** \returns true if the matrix of which *this is the QR decomposition is invertible. * * \note This method has to determine which pivots should be considered nonzero. * For that, it uses the threshold value that you can control by calling * setThreshold(const RealScalar&).
*/ inlinebool isInvertible() const
{
eigen_assert(m_isInitialized && "ColPivHouseholderQR is not initialized."); return isInjective() && isSurjective();
}
/** \returns the inverse of the matrix of which *this is the QR decomposition. * * \note If this matrix is not invertible, the returned matrix has undefined coefficients. * Use isInvertible() to first determine whether this matrix is invertible.
*/ inlineconst Inverse<ColPivHouseholderQR> inverse() const
{
eigen_assert(m_isInitialized && "ColPivHouseholderQR is not initialized."); return Inverse<ColPivHouseholderQR>(*this);
}
inline Index rows() const { return m_qr.rows(); } inline Index cols() const { return m_qr.cols(); }
/** \returns a const reference to the vector of Householder coefficients used to represent the factor \c Q. * * For advanced uses only.
*/ const HCoeffsType& hCoeffs() const { return m_hCoeffs; }
/** Allows to prescribe a threshold to be used by certain methods, such as rank(), * who need to determine when pivots are to be considered nonzero. This is not used for the * QR decomposition itself. * * When it needs to get the threshold value, Eigen calls threshold(). By default, this * uses a formula to automatically determine a reasonable threshold. * Once you have called the present method setThreshold(const RealScalar&), * your value is used instead. * * \param threshold The new value to use as the threshold. * * A pivot will be considered nonzero if its absolute value is strictly greater than * \f$ \vert pivot \vert \leqslant threshold \times \vert maxpivot \vert \f$ * where maxpivot is the biggest pivot. * * If you want to come back to the default behavior, call setThreshold(Default_t)
*/
ColPivHouseholderQR& setThreshold(const RealScalar& threshold)
{
m_usePrescribedThreshold = true;
m_prescribedThreshold = threshold; return *this;
}
/** Allows to come back to the default behavior, letting Eigen use its default formula for * determining the threshold. * * You should pass the special object Eigen::Default as parameter here. * \code qr.setThreshold(Eigen::Default); \endcode * * See the documentation of setThreshold(const RealScalar&).
*/
ColPivHouseholderQR& setThreshold(Default_t)
{
m_usePrescribedThreshold = false; return *this;
}
/** Returns the threshold that will be used by certain methods such as rank(). * * See the documentation of setThreshold(const RealScalar&).
*/
RealScalar threshold() const
{
eigen_assert(m_isInitialized || m_usePrescribedThreshold); return m_usePrescribedThreshold ? m_prescribedThreshold // this formula comes from experimenting (see "LU precision tuning" thread on the list) // and turns out to be identical to Higham's formula used already in LDLt.
: NumTraits<Scalar>::epsilon() * RealScalar(m_qr.diagonalSize());
}
/** \returns the number of nonzero pivots in the QR decomposition. * Here nonzero is meant in the exact sense, not in a fuzzy sense. * So that notion isn't really intrinsically interesting, but it is * still useful when implementing algorithms. * * \sa rank()
*/ inline Index nonzeroPivots() const
{
eigen_assert(m_isInitialized && "ColPivHouseholderQR is not initialized."); return m_nonzero_pivots;
}
/** \returns the absolute value of the biggest pivot, i.e. the biggest * diagonal coefficient of R.
*/
RealScalar maxPivot() const { return m_maxpivot; }
/** \brief Reports whether the QR factorization was successful. * * \note This function always returns \c Success. It is provided for compatibility * with other factorization routines. * \returns \c Success
*/
ComputationInfo info() const
{
eigen_assert(m_isInitialized && "Decomposition is not initialized."); return Success;
}
template<typename MatrixType> typename MatrixType::RealScalar ColPivHouseholderQR<MatrixType>::absDeterminant() const
{ using std::abs;
eigen_assert(m_isInitialized && "ColPivHouseholderQR is not initialized.");
eigen_assert(m_qr.rows() == m_qr.cols() && "You can't take the determinant of a non-square matrix!"); return abs(m_qr.diagonal().prod());
}
template<typename MatrixType> typename MatrixType::RealScalar ColPivHouseholderQR<MatrixType>::logAbsDeterminant() const
{
eigen_assert(m_isInitialized && "ColPivHouseholderQR is not initialized.");
eigen_assert(m_qr.rows() == m_qr.cols() && "You can't take the determinant of a non-square matrix!"); return m_qr.diagonal().cwiseAbs().array().log().sum();
}
/** Performs the QR factorization of the given matrix \a matrix. The result of * the factorization is stored into \c *this, and a reference to \c *this * is returned. * * \sa class ColPivHouseholderQR, ColPivHouseholderQR(const MatrixType&)
*/ template<typename MatrixType> template<typename InputType>
ColPivHouseholderQR<MatrixType>& ColPivHouseholderQR<MatrixType>::compute(const EigenBase<InputType>& matrix)
{
m_qr = matrix.derived();
computeInPlace(); return *this;
}
// the column permutation is stored as int indices, so just to be sure:
eigen_assert(m_qr.cols()<=NumTraits<int>::highest());
using std::abs;
Index rows = m_qr.rows();
Index cols = m_qr.cols();
Index size = m_qr.diagonalSize();
m_hCoeffs.resize(size);
m_temp.resize(cols);
m_colsTranspositions.resize(m_qr.cols());
Index number_of_transpositions = 0;
m_colNormsUpdated.resize(cols);
m_colNormsDirect.resize(cols); for (Index k = 0; k < cols; ++k) { // colNormsDirect(k) caches the most recent directly computed norm of // column k.
m_colNormsDirect.coeffRef(k) = m_qr.col(k).norm();
m_colNormsUpdated.coeffRef(k) = m_colNormsDirect.coeffRef(k);
}
m_nonzero_pivots = size; // the generic case is that in which all pivots are nonzero (invertible case)
m_maxpivot = RealScalar(0);
for(Index k = 0; k < size; ++k)
{ // first, we look up in our table m_colNormsUpdated which column has the biggest norm
Index biggest_col_index;
RealScalar biggest_col_sq_norm = numext::abs2(m_colNormsUpdated.tail(cols-k).maxCoeff(&biggest_col_index));
biggest_col_index += k;
// Track the number of meaningful pivots but do not stop the decomposition to make // sure that the initial matrix is properly reproduced. See bug 941. if(m_nonzero_pivots==size && biggest_col_sq_norm < threshold_helper * RealScalar(rows-k))
m_nonzero_pivots = k;
// apply the transposition to the columns
m_colsTranspositions.coeffRef(k) = biggest_col_index; if(k != biggest_col_index) {
m_qr.col(k).swap(m_qr.col(biggest_col_index));
std::swap(m_colNormsUpdated.coeffRef(k), m_colNormsUpdated.coeffRef(biggest_col_index));
std::swap(m_colNormsDirect.coeffRef(k), m_colNormsDirect.coeffRef(biggest_col_index));
++number_of_transpositions;
}
// generate the householder vector, store it below the diagonal
RealScalar beta;
m_qr.col(k).tail(rows-k).makeHouseholderInPlace(m_hCoeffs.coeffRef(k), beta);
// apply the householder transformation to the diagonal coefficient
m_qr.coeffRef(k,k) = beta;
// remember the maximum absolute value of diagonal coefficients if(abs(beta) > m_maxpivot) m_maxpivot = abs(beta);
// apply the householder transformation
m_qr.bottomRightCorner(rows-k, cols-k-1)
.applyHouseholderOnTheLeft(m_qr.col(k).tail(rows-k-1), m_hCoeffs.coeffRef(k), &m_temp.coeffRef(k+1));
// update our table of norms of the columns for (Index j = k + 1; j < cols; ++j) { // The following implements the stable norm downgrade step discussed in // http://www.netlib.org/lapack/lawnspdf/lawn176.pdf // and used in LAPACK routines xGEQPF and xGEQP3. // See lines 278-297 in http://www.netlib.org/lapack/explore-html/dc/df4/sgeqpf_8f_source.html if (m_colNormsUpdated.coeffRef(j) != RealScalar(0)) {
RealScalar temp = abs(m_qr.coeffRef(k, j)) / m_colNormsUpdated.coeffRef(j);
temp = (RealScalar(1) + temp) * (RealScalar(1) - temp);
temp = temp < RealScalar(0) ? RealScalar(0) : temp;
RealScalar temp2 = temp * numext::abs2<RealScalar>(m_colNormsUpdated.coeffRef(j) /
m_colNormsDirect.coeffRef(j)); if (temp2 <= norm_downdate_threshold) { // The updated norm has become too inaccurate so re-compute the column // norm directly.
m_colNormsDirect.coeffRef(j) = m_qr.col(j).tail(rows - k - 1).norm();
m_colNormsUpdated.coeffRef(j) = m_colNormsDirect.coeffRef(j);
} else {
m_colNormsUpdated.coeffRef(j) *= numext::sqrt(temp);
}
}
}
}
m_colsPermutation.setIdentity(PermIndexType(cols)); for(PermIndexType k = 0; k < size/*m_nonzero_pivots*/; ++k)
m_colsPermutation.applyTranspositionOnTheRight(k, PermIndexType(m_colsTranspositions.coeff(k)));
/** \returns the matrix Q as a sequence of householder transformations. * You can extract the meaningful part only by using:
* \code qr.householderQ().setLength(qr.nonzeroPivots()) \endcode*/ template<typename MatrixType> typename ColPivHouseholderQR<MatrixType>::HouseholderSequenceType ColPivHouseholderQR<MatrixType>
::householderQ() const
{
eigen_assert(m_isInitialized && "ColPivHouseholderQR is not initialized."); return HouseholderSequenceType(m_qr, m_hCoeffs.conjugate());
}
/** \return the column-pivoting Householder QR decomposition of \c *this. * * \sa class ColPivHouseholderQR
*/ template<typename Derived> const ColPivHouseholderQR<typename MatrixBase<Derived>::PlainObject>
MatrixBase<Derived>::colPivHouseholderQr() const
{ return ColPivHouseholderQR<PlainObject>(eval());
}
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