// This file is part of Eigen, a lightweight C++ template library // for linear algebra. // // Copyright (C) 2012, 2013 Chen-Pang He // // 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/. #ifndef EIGEN_MATRIX_POWER #define EIGEN_MATRIX_POWER // IWYU pragma: private #include "./InternalHeaderCheck.h" namespace Eigen { template class MatrixPower; /** * \ingroup MatrixFunctions_Module * * \brief Proxy for the matrix power of some matrix. * * \tparam MatrixType type of the base, a matrix. * * This class holds the arguments to the matrix power until it is * assigned or evaluated for some other reason (so the argument * should not be changed in the meantime). It is the return type of * MatrixPower::operator() and related functions and most of the * time this is the only way it is used. */ /* TODO: This class is only used by MatrixPower, so it should be nested * into MatrixPower, like MatrixPower::ReturnValue. However, my * compiler complained about unused template parameter in the * following declaration in namespace internal. * * template * struct traits::ReturnValue>; */ template class MatrixPowerParenthesesReturnValue : public ReturnByValue > { public: typedef typename MatrixType::RealScalar RealScalar; /** * \brief Constructor. * * \param[in] pow %MatrixPower storing the base. * \param[in] p scalar, the exponent of the matrix power. */ MatrixPowerParenthesesReturnValue(MatrixPower& pow, RealScalar p) : m_pow(pow), m_p(p) {} /** * \brief Compute the matrix power. * * \param[out] result */ template inline void evalTo(ResultType& result) const { m_pow.compute(result, m_p); } Index rows() const { return m_pow.rows(); } Index cols() const { return m_pow.cols(); } private: MatrixPower& m_pow; const RealScalar m_p; }; /** * \ingroup MatrixFunctions_Module * * \brief Class for computing matrix powers. * * \tparam MatrixType type of the base, expected to be an instantiation * of the Matrix class template. * * This class is capable of computing triangular real/complex matrices * raised to a power in the interval \f$ (-1, 1) \f$. * * \note Currently this class is only used by MatrixPower. One may * insist that this be nested into MatrixPower. This class is here to * facilitate future development of triangular matrix functions. */ template class MatrixPowerAtomic : internal::noncopyable { private: enum { RowsAtCompileTime = MatrixType::RowsAtCompileTime, MaxRowsAtCompileTime = MatrixType::MaxRowsAtCompileTime }; typedef typename MatrixType::Scalar Scalar; typedef typename MatrixType::RealScalar RealScalar; typedef internal::make_complex_t ComplexScalar; typedef Block ResultType; const MatrixType& m_A; RealScalar m_p; void computePade(int degree, const MatrixType& IminusT, ResultType& res) const; void compute2x2(ResultType& res, RealScalar p) const; void computeBig(ResultType& res) const; static int getPadeDegree(float normIminusT); static int getPadeDegree(double normIminusT); static int getPadeDegree(long double normIminusT); static ComplexScalar computeSuperDiag(const ComplexScalar&, const ComplexScalar&, RealScalar p); static RealScalar computeSuperDiag(RealScalar, RealScalar, RealScalar p); public: /** * \brief Constructor. * * \param[in] T the base of the matrix power. * \param[in] p the exponent of the matrix power, should be in * \f$ (-1, 1) \f$. * * The class stores a reference to T, so it should not be changed * (or destroyed) before evaluation. Only the upper triangular * part of T is read. */ MatrixPowerAtomic(const MatrixType& T, RealScalar p); /** * \brief Compute the matrix power. * * \param[out] res \f$ A^p \f$ where A and p are specified in the * constructor. */ void compute(ResultType& res) const; }; template MatrixPowerAtomic::MatrixPowerAtomic(const MatrixType& T, RealScalar p) : m_A(T), m_p(p) { eigen_assert(T.rows() == T.cols()); eigen_assert(p > -1 && p < 1); } template void MatrixPowerAtomic::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); } } template void MatrixPowerAtomic::computePade(int degree, const MatrixType& IminusT, ResultType& res) const { int i = 2 * degree; res = (m_p - RealScalar(degree)) / RealScalar(2 * i - 2) * IminusT; for (--i; i; --i) { res = (MatrixType::Identity(IminusT.rows(), IminusT.cols()) + res) .template triangularView() .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()); } // This function assumes that res has the correct size (see bug 614) template void MatrixPowerAtomic::compute2x2(ResultType& res, RealScalar p) const { using std::abs; using std::pow; res.coeffRef(0, 0) = pow(m_A.coeff(0, 0), p); 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); } } template void MatrixPowerAtomic::computeBig(ResultType& res) const { using std::ldexp; const int digits = std::numeric_limits::digits; const RealScalar maxNormForPade = RealScalar(digits <= 24 ? 4.3386528e-1L // single precision : digits <= 53 ? 2.789358995219730e-1L // double precision : digits <= 64 ? 2.4471944416607995472e-1L // extended precision : digits <= 106 ? 1.1016843812851143391275867258512e-1L // double-double : 9.134603732914548552537150753385375e-2L); // quadruple precision MatrixType IminusT, sqrtT, T = m_A.template triangularView(); RealScalar normIminusT; int degree, degree2, numberOfSquareRoots = 0; bool hasExtraSquareRoot = false; for (Index i = 0; i < m_A.cols(); ++i) eigen_assert(m_A(i, i) != RealScalar(0)); 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(); ++numberOfSquareRoots; } computePade(degree, IminusT, res); for (; numberOfSquareRoots; --numberOfSquareRoots) { compute2x2(res, ldexp(m_p, -numberOfSquareRoots)); res = res.template triangularView() * res; } compute2x2(res, m_p); } template inline int MatrixPowerAtomic::getPadeDegree(float normIminusT) { const float maxNormForPade[] = {2.8064004e-1f /* degree = 3 */, 4.3386528e-1f}; int degree = 3; for (; degree <= 4; ++degree) if (normIminusT <= maxNormForPade[degree - 3]) break; return degree; } template inline int MatrixPowerAtomic::getPadeDegree(double normIminusT) { const double maxNormForPade[] = {1.884160592658218e-2 /* degree = 3 */, 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; } template inline int MatrixPowerAtomic::getPadeDegree(long double normIminusT) { #if LDBL_MANT_DIG == 53 const int maxPadeDegree = 7; const double maxNormForPade[] = {1.884160592658218e-2L /* degree = 3 */, 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 /* degree = 3 */, 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 /* degree = 3 */, 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 /* degree = 3 */, 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 <= static_cast(maxNormForPade[degree - 3])) break; return degree; } template inline typename MatrixPowerAtomic::ComplexScalar MatrixPowerAtomic::computeSuperDiag( const ComplexScalar& curr, const ComplexScalar& prev, RealScalar p) { using std::ceil; using std::exp; using std::log; using std::sinh; 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); } template inline typename MatrixPowerAtomic::RealScalar MatrixPowerAtomic::computeSuperDiag( RealScalar curr, RealScalar prev, RealScalar p) { using std::exp; using std::log; using std::sinh; RealScalar w = numext::log1p((curr - prev) / prev) / RealScalar(2); return 2 * exp(p * (log(curr) + log(prev)) / 2) * sinh(p * w) / (curr - prev); } /** * \ingroup MatrixFunctions_Module * * \brief Class for computing matrix powers. * * \tparam MatrixType type of the base, expected to be an instantiation * of the Matrix class template. * * This class is capable of computing real/complex matrices raised to * an arbitrary real power. Meanwhile, it saves the result of Schur * decomposition if an non-integral power has even been calculated. * Therefore, if you want to compute multiple (>= 2) matrix powers * for the same matrix, using the class directly is more efficient than * calling MatrixBase::pow(). * * Example: * \include MatrixPower_optimal.cpp * Output: \verbinclude MatrixPower_optimal.out */ template class MatrixPower : internal::noncopyable { private: typedef typename MatrixType::Scalar Scalar; typedef typename MatrixType::RealScalar RealScalar; public: /** * \brief Constructor. * * \param[in] A the base of the matrix power. * * The class stores a reference to A, so it should not be changed * (or destroyed) before evaluation. */ explicit MatrixPower(const MatrixType& A) : m_A(A), m_conditionNumber(0), m_rank(A.cols()), m_nulls(0) { eigen_assert(A.rows() == A.cols()); } /** * \brief Returns the matrix power. * * \param[in] p exponent, a real scalar. * \return The expression \f$ A^p \f$, where A is specified in the * constructor. */ const MatrixPowerParenthesesReturnValue operator()(RealScalar p) { return MatrixPowerParenthesesReturnValue(*this, p); } /** * \brief Compute the matrix power. * * \param[in] p exponent, a real scalar. * \param[out] res \f$ A^p \f$ where A is specified in the * constructor. */ template void compute(ResultType& res, RealScalar p); Index rows() const { return m_A.rows(); } Index cols() const { return m_A.cols(); } private: typedef internal::make_complex_t ComplexScalar; typedef Matrix ComplexMatrix; /** \brief Reference to the base of matrix power. */ typename MatrixType::Nested m_A; /** \brief Temporary storage. */ MatrixType m_tmp; /** \brief Store the result of Schur decomposition. */ ComplexMatrix m_T, m_U; /** \brief Store fractional power of m_T. */ ComplexMatrix m_fT; /** * \brief Condition number of m_A. * * It is initialized as 0 to avoid performing unnecessary Schur * decomposition, which is the bottleneck. */ RealScalar m_conditionNumber; /** \brief Rank of m_A. */ Index m_rank; /** \brief Rank deficiency of m_A. */ Index m_nulls; /** * \brief Split p into integral part and fractional part. * * \param[in] p The exponent. * \param[out] p The fractional part ranging in \f$ (-1, 1) \f$. * \param[out] intpart The integral part. * * Only if the fractional part is nonzero, it calls initialize(). */ void split(RealScalar& p, RealScalar& intpart); /** \brief Perform Schur decomposition for fractional power. */ void initialize(); template void computeIntPower(ResultType& res, RealScalar p); template void computeFracPower(ResultType& res, RealScalar p); template static void revertSchur(Matrix& res, const ComplexMatrix& T, const ComplexMatrix& U); template static void revertSchur(Matrix& res, const ComplexMatrix& T, const ComplexMatrix& U); }; template template void MatrixPower::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); res = MatrixType::Identity(rows(), cols()); computeIntPower(res, intpart); if (p) computeFracPower(res, p); } } template void MatrixPower::split(RealScalar& p, RealScalar& intpart) { using std::floor; using std::pow; intpart = floor(p); p -= intpart; // Perform Schur decomposition if it is not yet performed and the power is // not an integer. if (!m_conditionNumber && p) initialize(); // Choose the more stable of intpart = floor(p) and intpart = ceil(p). if (p > RealScalar(0.5) && p > (1 - p) * pow(m_conditionNumber, p)) { --p; ++intpart; } } template void MatrixPower::initialize() { const ComplexSchur schurOfA(m_A); JacobiRotation rot; ComplexScalar eigenvalue; 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(); // Move zero eigenvalues to the bottom right corner. 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; } } 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)); } } template template void MatrixPower::computeIntPower(ResultType& res, RealScalar p) { using std::abs; using std::fmod; RealScalar pp = abs(p); if (p < 0) m_tmp = m_A.inverse(); else m_tmp = m_A; while (true) { if (fmod(pp, 2) >= 1) res = m_tmp * res; pp /= 2; if (pp < 1) break; m_tmp *= m_tmp; } } template template void MatrixPower::computeFracPower(ResultType& res, RealScalar p) { Block blockTp(m_fT, 0, 0, m_rank, m_rank); eigen_assert(m_conditionNumber); eigen_assert(m_rank + m_nulls == rows()); MatrixPowerAtomic(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() .solve(blockTp * m_T.topRightCorner(m_rank, m_nulls)); } revertSchur(m_tmp, m_fT, m_U); res = m_tmp * res; } template template inline void MatrixPower::revertSchur(Matrix& res, const ComplexMatrix& T, const ComplexMatrix& U) { res.noalias() = U * (T.template triangularView() * U.adjoint()); } template template inline void MatrixPower::revertSchur(Matrix& res, const ComplexMatrix& T, const ComplexMatrix& U) { res.noalias() = (U * (T.template triangularView() * U.adjoint())).real(); } /** * \ingroup MatrixFunctions_Module * * \brief Proxy for the matrix power of some matrix (expression). * * \tparam Derived type of the base, a matrix (expression). * * This class holds the arguments to the matrix power until it is * assigned or evaluated for some other reason (so the argument * should not be changed in the meantime). It is the return type of * MatrixBase::pow() and related functions and most of the * time this is the only way it is used. */ template class MatrixPowerReturnValue : public ReturnByValue > { public: typedef typename Derived::PlainObject PlainObject; typedef typename Derived::RealScalar RealScalar; /** * \brief Constructor. * * \param[in] A %Matrix (expression), the base of the matrix power. * \param[in] p real scalar, the exponent of the matrix power. */ MatrixPowerReturnValue(const Derived& A, RealScalar p) : m_A(A), m_p(p) {} /** * \brief Compute the matrix power. * * \param[out] result \f$ A^p \f$ where \p A and \p p are as in the * constructor. */ template inline void evalTo(ResultType& result) const { MatrixPower(m_A.eval()).compute(result, m_p); } Index rows() const { return m_A.rows(); } Index cols() const { return m_A.cols(); } private: const Derived& m_A; const RealScalar m_p; }; /** * \ingroup MatrixFunctions_Module * * \brief Proxy for the matrix power of some matrix (expression). * * \tparam Derived type of the base, a matrix (expression). * * This class holds the arguments to the matrix power until it is * assigned or evaluated for some other reason (so the argument * should not be changed in the meantime). It is the return type of * MatrixBase::pow() and related functions and most of the * time this is the only way it is used. */ template class MatrixComplexPowerReturnValue : public ReturnByValue > { public: typedef typename Derived::PlainObject PlainObject; typedef internal::make_complex_t ComplexScalar; /** * \brief Constructor. * * \param[in] A %Matrix (expression), the base of the matrix power. * \param[in] p complex scalar, the exponent of the matrix power. */ MatrixComplexPowerReturnValue(const Derived& A, const ComplexScalar& p) : m_A(A), m_p(p) {} /** * \brief Compute the matrix power. * * Because \p p is complex, \f$ A^p \f$ is simply evaluated as \f$ * \exp(p \log(A)) \f$. * * \param[out] result \f$ A^p \f$ where \p A and \p p are as in the * constructor. */ template inline void evalTo(ResultType& result) const { result = (m_p * m_A.log()).exp(); } Index rows() const { return m_A.rows(); } Index cols() const { return m_A.cols(); } private: const Derived& m_A; const ComplexScalar m_p; }; namespace internal { template struct traits > { typedef typename MatrixPowerType::PlainObject ReturnType; }; template struct traits > { typedef typename Derived::PlainObject ReturnType; }; template struct traits > { typedef typename Derived::PlainObject ReturnType; }; } // namespace internal template const MatrixPowerReturnValue MatrixBase::pow(const RealScalar& p) const { return MatrixPowerReturnValue(derived(), p); } template const MatrixComplexPowerReturnValue MatrixBase::pow(const internal::make_complex_t& p) const { return MatrixComplexPowerReturnValue(derived(), p); } } // namespace Eigen #endif // EIGEN_MATRIX_POWER