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Improve further the accuracy of JacobiSVD wrt under/overflow while improving speed for small matrices (hypot is very slow).

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Gael Guennebaud
2014-09-10 23:11:58 +02:00
parent 2d90484450
commit 5e890d3ad7
2 changed files with 35 additions and 11 deletions
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17
Eigen/src/SVD/JacobiSVD.h
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@@ -425,18 +425,19 @@ void real_2x2_jacobi_svd(const MatrixType& matrix, Index p, Index q,
JacobiRotation<RealScalar> rot1;
RealScalar t = m.coeff(0,0) + m.coeff(1,1);
RealScalar d = m.coeff(1,0) - m.coeff(0,1);
if(t == RealScalar(0))
if(d == RealScalar(0))
{
rot1.c() = RealScalar(0);
rot1.s() = d > RealScalar(0) ? RealScalar(1) : RealScalar(-1);
rot1.s() = RealScalar(0);
rot1.c() = RealScalar(1);
}
else
{
RealScalar t2d2 = numext::hypot(t,d);
rot1.c() = abs(t)/t2d2;
rot1.s() = d/t2d2;
if(t<RealScalar(0))
rot1.s() = -rot1.s();
// If d!=0, then t/d cannot overflow because the magnitude of the
// entries forming d are not too small compared to the ones forming t.
RealScalar u = t / d;
rot1.s() = RealScalar(1) / sqrt(RealScalar(1) + numext::abs2(u));
rot1.c() = rot1.s() * u;
}
m.applyOnTheLeft(0,1,rot1);
j_right->makeJacobi(m,0,1);