Commit Graph

7 Commits

Author SHA1 Message Date
Gael Guennebaud
13e95f7f68 optimize "apply Jacobi" for small sizes, and move it to Jacobi.h 2009-08-14 00:17:14 +02:00
Benoit Jacob
f2536416da * remove EIGEN_DONT_INLINE that harm performance for small sizes
* normalize left Jacobi rotations to avoid having to swap rows
* set precision to 2*machine_epsilon instead of machine_epsilon, we lose 1 bit of precision
  but gain between 10% and 100% speed, plus reduce the risk that some day we hit a bad matrix
  where it's impossible to approach machine precision
2009-08-13 14:56:39 -04:00
Gael Guennebaud
1b257a7620 add an optimized "apply in place a rotation in the plane",
and make Jacobi and SelfAdjointEigenSolver use it
=> ~ x1.75 speedup for JacobiSVD and x2 for SelfAdjointEigenSolver
2009-08-13 11:42:02 +02:00
Benoit Jacob
99802094e4 do without an empirical homemade formula that i wasn't comfortable about...
turns out it's not needed anymore and removing it seems to only increase the precision
2009-08-12 18:30:37 -04:00
Benoit Jacob
2b618a2c16 make jacobi SVD more robust after experimenting with very nasty matrices...
it turns out to be better to repeat the jacobi steps on a given (p,q) pair until it
is diagonal to machine precision, before going to the next (p,q) pair. it's also
an optimization as experiments show that in a majority of cases this allows to find out
that the (p,q) pair is already diagonal to machine precision.
2009-08-12 18:23:39 -04:00
Benoit Jacob
22d65d47d0 finally, the good approach was two-sided Jacobi. Indeed, it allows
to guarantee the precision of the output, which is very valuable.
Here, we guarantee that the diagonal matrix returned by the SVD is
actually diagonal, to machine precision.

Performance isn't bad at all at 50% of the current householder SVD
performance for a 200x200 matrix (no vectorization) and we have
lots of room for improvement.
2009-08-12 02:35:07 -04:00
Benoit Jacob
3ed83fa681 * add Jacobi transformations
* add Jacobi (Hestenes) SVD decomposition for square matrices
* add function for trivial Householder
2009-08-09 16:58:13 +02:00