nalgebra-lapack: merge both Eigen decomposition function into a single one.

This commit is contained in:
Sébastien Crozet 2022-10-09 16:26:26 +02:00
parent a0412c39f2
commit 3d52327f82
1 changed files with 45 additions and 291 deletions

View File

@ -13,7 +13,7 @@ use na::{DefaultAllocator, Matrix, OMatrix, OVector, Scalar};
use lapack;
/// Eigendecomposition of a real square matrix with real eigenvalues.
/// Eigendecomposition of a real square matrix with real or complex eigenvalues.
#[cfg_attr(feature = "serde-serialize", derive(Serialize, Deserialize))]
#[cfg_attr(
feature = "serde-serialize",
@ -36,8 +36,10 @@ pub struct Eigen<T: Scalar, D: Dim>
where
DefaultAllocator: Allocator<T, D> + Allocator<T, D, D>,
{
/// The eigenvalues of the decomposed matrix.
pub eigenvalues: OVector<T, D>,
/// The real parts of eigenvalues of the decomposed matrix.
pub eigenvalues_re: OVector<T, D>,
/// The imaginary parts of the eigenvalues of the decomposed matrix.
pub eigenvalues_im: OVector<T, D>,
/// The (right) eigenvectors of the decomposed matrix.
pub eigenvectors: Option<OMatrix<T, D, D>>,
/// The left eigenvectors of the decomposed matrix.
@ -104,192 +106,25 @@ where
lapack_check!(info);
let mut work = vec![T::zero(); lwork as usize];
match (left_eigenvectors, eigenvectors) {
(true, true) => {
// TODO: avoid the initializations?
let mut vl = Matrix::zeros_generic(nrows, ncols);
let mut vr = Matrix::zeros_generic(nrows, ncols);
T::xgeev(
ljob,
rjob,
n as i32,
m.as_mut_slice(),
lda,
wr.as_mut_slice(),
wi.as_mut_slice(),
&mut vl.as_mut_slice(),
n as i32,
&mut vr.as_mut_slice(),
n as i32,
&mut work,
lwork,
&mut info,
);
lapack_check!(info);
if wi.iter().all(|e| e.is_zero()) {
return Some(Self {
eigenvalues: wr,
left_eigenvectors: Some(vl),
eigenvectors: Some(vr),
});
}
}
(true, false) => {
// TODO: avoid the initialization?
let mut vl = Matrix::zeros_generic(nrows, ncols);
T::xgeev(
ljob,
rjob,
n as i32,
m.as_mut_slice(),
lda,
wr.as_mut_slice(),
wi.as_mut_slice(),
&mut vl.as_mut_slice(),
n as i32,
&mut placeholder2,
1 as i32,
&mut work,
lwork,
&mut info,
);
lapack_check!(info);
if wi.iter().all(|e| e.is_zero()) {
return Some(Self {
eigenvalues: wr,
left_eigenvectors: Some(vl),
eigenvectors: None,
});
}
}
(false, true) => {
// TODO: avoid the initialization?
let mut vr = Matrix::zeros_generic(nrows, ncols);
T::xgeev(
ljob,
rjob,
n as i32,
m.as_mut_slice(),
lda,
wr.as_mut_slice(),
wi.as_mut_slice(),
&mut placeholder1,
1 as i32,
&mut vr.as_mut_slice(),
n as i32,
&mut work,
lwork,
&mut info,
);
lapack_check!(info);
if wi.iter().all(|e| e.is_zero()) {
return Some(Self {
eigenvalues: wr,
left_eigenvectors: None,
eigenvectors: Some(vr),
});
}
}
(false, false) => {
T::xgeev(
ljob,
rjob,
n as i32,
m.as_mut_slice(),
lda,
wr.as_mut_slice(),
wi.as_mut_slice(),
&mut placeholder1,
1 as i32,
&mut placeholder2,
1 as i32,
&mut work,
lwork,
&mut info,
);
lapack_check!(info);
if wi.iter().all(|e| e.is_zero()) {
return Some(Self {
eigenvalues: wr,
left_eigenvectors: None,
eigenvectors: None,
});
}
}
}
let mut vl = if left_eigenvectors {
Some(Matrix::zeros_generic(nrows, ncols))
} else {
None
}
};
let mut vr = if eigenvectors {
Some(Matrix::zeros_generic(nrows, ncols))
} else {
None
};
/// The complex eigen decomposition of the given matrix.
///
/// Panics if the eigenvalue computation does not converge.
pub fn complex_eigen_decomposition(
mut m: OMatrix<T, D, D>,
left_eigenvectors: bool,
eigenvectors: bool,
) -> (
OVector<Complex<T>, D>,
Option<OMatrix<T, D, D>>,
Option<OMatrix<T, D, D>>,
)
where
DefaultAllocator: Allocator<Complex<T>, D> + Allocator<Complex<T>, D, D>,
{
assert!(
m.is_square(),
"Unable to compute the eigenvalue decomposition of a non-square matrix."
);
let ljob = if left_eigenvectors { b'V' } else { b'N' };
let rjob = if eigenvectors { b'V' } else { b'N' };
let (nrows, ncols) = m.shape_generic();
let n = nrows.value();
let lda = n as i32;
// TODO: avoid the initialization?
let mut wr = Matrix::zeros_generic(nrows, Const::<1>);
// TODO: Tap into the workspace.
let mut wi = Matrix::zeros_generic(nrows, Const::<1>);
let mut info = 0;
let mut placeholder1 = [T::zero()];
let mut placeholder2 = [T::zero()];
let lwork = T::xgeev_work_size(
ljob,
rjob,
n as i32,
m.as_mut_slice(),
lda,
wr.as_mut_slice(),
wi.as_mut_slice(),
&mut placeholder1,
n as i32,
&mut placeholder2,
n as i32,
&mut info,
);
lapack_panic!(info);
let mut work = vec![T::zero(); lwork as usize];
match (left_eigenvectors, eigenvectors) {
(true, true) => {
// TODO: avoid the initializations?
let mut vl = Matrix::zeros_generic(nrows, ncols);
let mut vr = Matrix::zeros_generic(nrows, ncols);
let vl_ref = vl
.as_mut()
.map(|m| m.as_mut_slice())
.unwrap_or(&mut placeholder1);
let vr_ref = vr
.as_mut()
.map(|m| m.as_mut_slice())
.unwrap_or(&mut placeholder2);
T::xgeev(
ljob,
@ -299,117 +134,36 @@ where
lda,
wr.as_mut_slice(),
wi.as_mut_slice(),
&mut vl.as_mut_slice(),
n as i32,
&mut vr.as_mut_slice(),
n as i32,
vl_ref,
if left_eigenvectors { n as i32 } else { 1 },
vr_ref,
if eigenvectors { n as i32 } else { 1 },
&mut work,
lwork,
&mut info,
);
lapack_panic!(info);
lapack_check!(info);
let mut res = Matrix::zeros_generic(nrows, Const::<1>);
for i in 0..res.len() {
res[i] = Complex::new(wr[i].clone(), wi[i].clone());
Some(Self {
eigenvalues_re: wr,
eigenvalues_im: wi,
left_eigenvectors: vl,
eigenvectors: vr,
})
}
(res, Some(vl), Some(vr))
}
(true, false) => {
// TODO: avoid the initialization?
let mut vl = Matrix::zeros_generic(nrows, ncols);
T::xgeev(
ljob,
rjob,
n as i32,
m.as_mut_slice(),
lda,
wr.as_mut_slice(),
wi.as_mut_slice(),
&mut vl.as_mut_slice(),
n as i32,
&mut placeholder2,
1 as i32,
&mut work,
lwork,
&mut info,
);
lapack_panic!(info);
let mut res = Matrix::zeros_generic(nrows, Const::<1>);
for i in 0..res.len() {
res[i] = Complex::new(wr[i].clone(), wi[i].clone());
}
(res, Some(vl), None)
}
(false, true) => {
// TODO: avoid the initialization?
let mut vr = Matrix::zeros_generic(nrows, ncols);
T::xgeev(
ljob,
rjob,
n as i32,
m.as_mut_slice(),
lda,
wr.as_mut_slice(),
wi.as_mut_slice(),
&mut placeholder1,
1 as i32,
&mut vr.as_mut_slice(),
n as i32,
&mut work,
lwork,
&mut info,
);
lapack_panic!(info);
let mut res = Matrix::zeros_generic(nrows, Const::<1>);
for i in 0..res.len() {
res[i] = Complex::new(wr[i].clone(), wi[i].clone());
}
(res, None, Some(vr))
}
(false, false) => {
T::xgeev(
ljob,
rjob,
n as i32,
m.as_mut_slice(),
lda,
wr.as_mut_slice(),
wi.as_mut_slice(),
&mut placeholder1,
1 as i32,
&mut placeholder2,
1 as i32,
&mut work,
lwork,
&mut info,
);
lapack_panic!(info);
let mut res = Matrix::zeros_generic(nrows, Const::<1>);
for i in 0..res.len() {
res[i] = Complex::new(wr[i].clone(), wi[i].clone());
}
(res, None, None)
}
}
/// Returns `true` if all the eigenvalues are real.
pub fn eigenvalues_are_real(&self) -> bool {
self.eigenvalues_im.iter().all(|e| e.is_zero())
}
/// The determinant of the decomposed matrix.
#[inline]
#[must_use]
pub fn determinant(&self) -> T {
let mut det = T::one();
for e in self.eigenvalues.iter() {
det *= e.clone();
pub fn determinant(&self) -> Complex<T> {
let mut det: Complex<T> = na::one();
for (re, im) in self.eigenvalues_re.iter().zip(self.eigenvalues_im.iter()) {
det *= Complex::new(re.clone(), im.clone());
}
det