10#ifndef EIGEN_MATRIX_POWER
11#define EIGEN_MATRIX_POWER
13#include "./InternalHeaderCheck.h"
17template<
typename MatrixType>
class MatrixPower;
40template<
typename MatrixType>
44 typedef typename MatrixType::RealScalar RealScalar;
60 template<
typename ResultType>
61 inline void evalTo(ResultType& result)
const
62 { m_pow.compute(result, m_p); }
64 Index rows()
const {
return m_pow.rows(); }
65 Index cols()
const {
return m_pow.cols(); }
68 MatrixPower<MatrixType>& m_pow;
87template<
typename MatrixType>
92 RowsAtCompileTime = MatrixType::RowsAtCompileTime,
93 MaxRowsAtCompileTime = MatrixType::MaxRowsAtCompileTime
95 typedef typename MatrixType::Scalar Scalar;
96 typedef typename MatrixType::RealScalar RealScalar;
97 typedef std::complex<RealScalar> ComplexScalar;
100 const MatrixType& m_A;
103 void computePade(
int degree,
const MatrixType& IminusT,
ResultType& res)
const;
104 void compute2x2(
ResultType& res, RealScalar p)
const;
106 static int getPadeDegree(
float normIminusT);
107 static int getPadeDegree(
double normIminusT);
108 static int getPadeDegree(
long double normIminusT);
109 static ComplexScalar computeSuperDiag(
const ComplexScalar&,
const ComplexScalar&, RealScalar p);
110 static RealScalar computeSuperDiag(RealScalar, RealScalar, RealScalar p);
135template<
typename MatrixType>
139 eigen_assert(T.rows() == T.cols());
140 eigen_assert(p > -1 && p < 1);
143template<
typename MatrixType>
147 switch (m_A.rows()) {
151 res(0,0) = pow(m_A(0,0), m_p);
154 compute2x2(res, m_p);
161template<
typename MatrixType>
165 res = (m_p-RealScalar(degree)) / RealScalar(2*i-2) * IminusT;
168 res = (MatrixType::Identity(IminusT.rows(), IminusT.cols()) + res).
template triangularView<Upper>()
169 .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();
171 res += MatrixType::Identity(IminusT.rows(), IminusT.cols());
175template<
typename MatrixType>
176void MatrixPowerAtomic<MatrixType>::compute2x2(ResultType& res, RealScalar p)
const
180 res.coeffRef(0,0) = pow(m_A.coeff(0,0), p);
182 for (
Index i=1; i < m_A.cols(); ++i) {
183 res.coeffRef(i,i) = pow(m_A.coeff(i,i), p);
184 if (m_A.coeff(i-1,i-1) == m_A.coeff(i,i))
185 res.coeffRef(i-1,i) = p * pow(m_A.coeff(i,i), p-1);
186 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)))
187 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));
189 res.coeffRef(i-1,i) = computeSuperDiag(m_A.coeff(i,i), m_A.coeff(i-1,i-1), p);
190 res.coeffRef(i-1,i) *= m_A.coeff(i-1,i);
194template<
typename MatrixType>
195void MatrixPowerAtomic<MatrixType>::computeBig(ResultType& res)
const
198 const int digits = std::numeric_limits<RealScalar>::digits;
199 const RealScalar maxNormForPade = RealScalar(
200 digits <= 24? 4.3386528e-1L
201 : digits <= 53? 2.789358995219730e-1L
202 : digits <= 64? 2.4471944416607995472e-1L
203 : digits <= 106? 1.1016843812851143391275867258512e-1L
204 : 9.134603732914548552537150753385375e-2L);
205 MatrixType IminusT, sqrtT, T = m_A.template triangularView<Upper>();
206 RealScalar normIminusT;
207 int degree, degree2, numberOfSquareRoots = 0;
208 bool hasExtraSquareRoot =
false;
210 for (
Index i=0; i < m_A.cols(); ++i)
211 eigen_assert(m_A(i,i) != RealScalar(0));
214 IminusT = MatrixType::Identity(m_A.rows(), m_A.cols()) - T;
215 normIminusT = IminusT.cwiseAbs().colwise().sum().maxCoeff();
216 if (normIminusT < maxNormForPade) {
217 degree = getPadeDegree(normIminusT);
218 degree2 = getPadeDegree(normIminusT/2);
219 if (degree - degree2 <= 1 || hasExtraSquareRoot)
221 hasExtraSquareRoot =
true;
224 T = sqrtT.template triangularView<Upper>();
225 ++numberOfSquareRoots;
227 computePade(degree, IminusT, res);
229 for (; numberOfSquareRoots; --numberOfSquareRoots) {
230 compute2x2(res, ldexp(m_p, -numberOfSquareRoots));
231 res = res.template triangularView<Upper>() * res;
233 compute2x2(res, m_p);
236template<
typename MatrixType>
237inline int MatrixPowerAtomic<MatrixType>::getPadeDegree(
float normIminusT)
239 const float maxNormForPade[] = { 2.8064004e-1f , 4.3386528e-1f };
241 for (; degree <= 4; ++degree)
242 if (normIminusT <= maxNormForPade[degree - 3])
247template<
typename MatrixType>
248inline int MatrixPowerAtomic<MatrixType>::getPadeDegree(
double normIminusT)
250 const double maxNormForPade[] = { 1.884160592658218e-2 , 6.038881904059573e-2, 1.239917516308172e-1,
251 1.999045567181744e-1, 2.789358995219730e-1 };
253 for (; degree <= 7; ++degree)
254 if (normIminusT <= maxNormForPade[degree - 3])
259template<
typename MatrixType>
260inline int MatrixPowerAtomic<MatrixType>::getPadeDegree(
long double normIminusT)
262#if LDBL_MANT_DIG == 53
263 const int maxPadeDegree = 7;
264 const double maxNormForPade[] = { 1.884160592658218e-2L , 6.038881904059573e-2L, 1.239917516308172e-1L,
265 1.999045567181744e-1L, 2.789358995219730e-1L };
266#elif LDBL_MANT_DIG <= 64
267 const int maxPadeDegree = 8;
268 const long double maxNormForPade[] = { 6.3854693117491799460e-3L , 2.6394893435456973676e-2L,
269 6.4216043030404063729e-2L, 1.1701165502926694307e-1L, 1.7904284231268670284e-1L, 2.4471944416607995472e-1L };
270#elif LDBL_MANT_DIG <= 106
271 const int maxPadeDegree = 10;
272 const double maxNormForPade[] = { 1.0007161601787493236741409687186e-4L ,
273 1.0007161601787493236741409687186e-3L, 4.7069769360887572939882574746264e-3L, 1.3220386624169159689406653101695e-2L,
274 2.8063482381631737920612944054906e-2L, 4.9625993951953473052385361085058e-2L, 7.7367040706027886224557538328171e-2L,
275 1.1016843812851143391275867258512e-1L };
277 const int maxPadeDegree = 10;
278 const double maxNormForPade[] = { 5.524506147036624377378713555116378e-5L ,
279 6.640600568157479679823602193345995e-4L, 3.227716520106894279249709728084626e-3L,
280 9.619593944683432960546978734646284e-3L, 2.134595382433742403911124458161147e-2L,
281 3.908166513900489428442993794761185e-2L, 6.266780814639442865832535460550138e-2L,
282 9.134603732914548552537150753385375e-2L };
285 for (; degree <= maxPadeDegree; ++degree)
286 if (normIminusT <= maxNormForPade[degree - 3])
291template<
typename MatrixType>
292inline typename MatrixPowerAtomic<MatrixType>::ComplexScalar
293MatrixPowerAtomic<MatrixType>::computeSuperDiag(
const ComplexScalar& curr,
const ComplexScalar& prev, RealScalar p)
300 ComplexScalar logCurr =
log(curr);
301 ComplexScalar logPrev =
log(prev);
302 RealScalar unwindingNumber =
ceil((numext::imag(logCurr - logPrev) - RealScalar(EIGEN_PI)) / RealScalar(2*EIGEN_PI));
303 ComplexScalar w = numext::log1p((curr-prev)/prev)/RealScalar(2) + ComplexScalar(0, RealScalar(EIGEN_PI)*unwindingNumber);
304 return RealScalar(2) *
exp(RealScalar(0.5) * p * (logCurr + logPrev)) *
sinh(p * w) / (curr - prev);
307template<
typename MatrixType>
308inline typename MatrixPowerAtomic<MatrixType>::RealScalar
309MatrixPowerAtomic<MatrixType>::computeSuperDiag(RealScalar curr, RealScalar prev, RealScalar p)
315 RealScalar w = numext::log1p((curr-prev)/prev)/RealScalar(2);
316 return 2 *
exp(p * (
log(curr) +
log(prev)) / 2) *
sinh(p * w) / (curr - prev);
338template<
typename MatrixType>
342 typedef typename MatrixType::Scalar Scalar;
343 typedef typename MatrixType::RealScalar RealScalar;
356 m_conditionNumber(0),
359 { eigen_assert(A.rows() == A.cols()); }
378 template<
typename ResultType>
379 void compute(ResultType& res, RealScalar p);
381 Index rows()
const {
return m_A.rows(); }
382 Index cols()
const {
return m_A.cols(); }
385 typedef std::complex<RealScalar> ComplexScalar;
387 MatrixType::RowsAtCompileTime, MatrixType::ColsAtCompileTime> ComplexMatrix;
390 typename MatrixType::Nested m_A;
396 ComplexMatrix m_T, m_U;
407 RealScalar m_conditionNumber;
424 void split(RealScalar& p, RealScalar& intpart);
429 template<
typename ResultType>
430 void computeIntPower(ResultType& res, RealScalar p);
432 template<
typename ResultType>
433 void computeFracPower(ResultType& res, RealScalar p);
435 template<
int Rows,
int Cols,
int Options,
int MaxRows,
int MaxCols>
436 static void revertSchur(
437 Matrix<ComplexScalar, Rows, Cols, Options, MaxRows, MaxCols>& res,
438 const ComplexMatrix& T,
439 const ComplexMatrix& U);
441 template<
int Rows,
int Cols,
int Options,
int MaxRows,
int MaxCols>
442 static void revertSchur(
443 Matrix<RealScalar, Rows, Cols, Options, MaxRows, MaxCols>& res,
444 const ComplexMatrix& T,
445 const ComplexMatrix& U);
448template<
typename MatrixType>
449template<
typename ResultType>
457 res(0,0) = pow(m_A.coeff(0,0), p);
463 res = MatrixType::Identity(rows(), cols());
464 computeIntPower(res, intpart);
465 if (p) computeFracPower(res, p);
469template<
typename MatrixType>
480 if (!m_conditionNumber && p)
484 if (p > RealScalar(0.5) && p > (1-p) * pow(m_conditionNumber, p)) {
490template<
typename MatrixType>
491void MatrixPower<MatrixType>::initialize()
493 const ComplexSchur<MatrixType> schurOfA(m_A);
494 JacobiRotation<ComplexScalar> rot;
495 ComplexScalar eigenvalue;
497 m_fT.resizeLike(m_A);
498 m_T = schurOfA.matrixT();
499 m_U = schurOfA.matrixU();
500 m_conditionNumber = m_T.diagonal().array().abs().maxCoeff() / m_T.diagonal().array().abs().minCoeff();
503 for (
Index i = cols()-1; i>=0; --i) {
506 if (m_T.coeff(i,i) == RealScalar(0)) {
507 for (
Index j=i+1; j < m_rank; ++j) {
508 eigenvalue = m_T.coeff(j,j);
509 rot.makeGivens(m_T.coeff(j-1,j), eigenvalue);
510 m_T.applyOnTheRight(j-1, j, rot);
511 m_T.applyOnTheLeft(j-1, j, rot.adjoint());
512 m_T.coeffRef(j-1,j-1) = eigenvalue;
513 m_T.coeffRef(j,j) = RealScalar(0);
514 m_U.applyOnTheRight(j-1, j, rot);
520 m_nulls = rows() - m_rank;
522 eigen_assert(m_T.bottomRightCorner(m_nulls, m_nulls).isZero()
523 &&
"Base of matrix power should be invertible or with a semisimple zero eigenvalue.");
524 m_fT.bottomRows(m_nulls).fill(RealScalar(0));
528template<
typename MatrixType>
529template<
typename ResultType>
530void MatrixPower<MatrixType>::computeIntPower(ResultType& res, RealScalar p)
534 RealScalar pp =
abs(p);
537 m_tmp = m_A.inverse();
542 if (fmod(pp, 2) >= 1)
551template<
typename MatrixType>
552template<
typename ResultType>
553void MatrixPower<MatrixType>::computeFracPower(ResultType& res, RealScalar p)
555 Block<ComplexMatrix,Dynamic,Dynamic> blockTp(m_fT, 0, 0, m_rank, m_rank);
556 eigen_assert(m_conditionNumber);
557 eigen_assert(m_rank + m_nulls == rows());
559 MatrixPowerAtomic<ComplexMatrix>(m_T.topLeftCorner(m_rank, m_rank), p).compute(blockTp);
561 m_fT.topRightCorner(m_rank, m_nulls) = m_T.topLeftCorner(m_rank, m_rank).template triangularView<Upper>()
562 .solve(blockTp * m_T.topRightCorner(m_rank, m_nulls));
564 revertSchur(m_tmp, m_fT, m_U);
568template<
typename MatrixType>
569template<
int Rows,
int Cols,
int Options,
int MaxRows,
int MaxCols>
570inline void MatrixPower<MatrixType>::revertSchur(
571 Matrix<ComplexScalar, Rows, Cols, Options, MaxRows, MaxCols>& res,
572 const ComplexMatrix& T,
573 const ComplexMatrix& U)
574{ res.noalias() = U * (T.template triangularView<Upper>() * U.adjoint()); }
576template<
typename MatrixType>
577template<
int Rows,
int Cols,
int Options,
int MaxRows,
int MaxCols>
578inline void MatrixPower<MatrixType>::revertSchur(
579 Matrix<RealScalar, Rows, Cols, Options, MaxRows, MaxCols>& res,
580 const ComplexMatrix& T,
581 const ComplexMatrix& U)
582{ res.noalias() = (U * (T.template triangularView<Upper>() * U.adjoint())).real(); }
597template<
typename Derived>
601 typedef typename Derived::PlainObject PlainObject;
602 typedef typename Derived::RealScalar RealScalar;
619 template<
typename ResultType>
620 inline void evalTo(ResultType& result)
const
623 Index rows()
const {
return m_A.rows(); }
624 Index cols()
const {
return m_A.cols(); }
628 const RealScalar m_p;
644template<
typename Derived>
648 typedef typename Derived::PlainObject PlainObject;
649 typedef typename std::complex<typename Derived::RealScalar> ComplexScalar;
669 template<
typename ResultType>
670 inline void evalTo(ResultType& result)
const
671 { result = (m_p * m_A.log()).
exp(); }
673 Index rows()
const {
return m_A.rows(); }
674 Index cols()
const {
return m_A.cols(); }
678 const ComplexScalar m_p;
683template<
typename MatrixPowerType>
684struct traits< MatrixPowerParenthesesReturnValue<MatrixPowerType> >
685{
typedef typename MatrixPowerType::PlainObject ReturnType; };
687template<
typename Derived>
688struct traits< MatrixPowerReturnValue<Derived> >
689{
typedef typename Derived::PlainObject ReturnType; };
691template<
typename Derived>
692struct traits< MatrixComplexPowerReturnValue<Derived> >
693{
typedef typename Derived::PlainObject ReturnType; };
697template<
typename Derived>
699{
return MatrixPowerReturnValue<Derived>(derived(), p); }
701template<
typename Derived>
703{
return MatrixComplexPowerReturnValue<Derived>(derived(), p); }
const MatrixPowerReturnValue< Derived > pow(const RealScalar &p) const
Definition: MatrixPower.h:698
Proxy for the matrix power of some matrix (expression).
Definition: MatrixPower.h:646
MatrixComplexPowerReturnValue(const Derived &A, const ComplexScalar &p)
Constructor.
Definition: MatrixPower.h:657
void evalTo(ResultType &result) const
Compute the matrix power.
Definition: MatrixPower.h:670
Class for computing matrix powers.
Definition: MatrixPower.h:89
MatrixPowerAtomic(const MatrixType &T, RealScalar p)
Constructor.
Definition: MatrixPower.h:136
void compute(ResultType &res) const
Compute the matrix power.
Definition: MatrixPower.h:144
Proxy for the matrix power of some matrix.
Definition: MatrixPower.h:42
MatrixPowerParenthesesReturnValue(MatrixPower< MatrixType > &pow, RealScalar p)
Constructor.
Definition: MatrixPower.h:52
void evalTo(ResultType &result) const
Compute the matrix power.
Definition: MatrixPower.h:61
Proxy for the matrix power of some matrix (expression).
Definition: MatrixPower.h:599
MatrixPowerReturnValue(const Derived &A, RealScalar p)
Constructor.
Definition: MatrixPower.h:610
void evalTo(ResultType &result) const
Compute the matrix power.
Definition: MatrixPower.h:620
Class for computing matrix powers.
Definition: MatrixPower.h:340
MatrixPower(const MatrixType &A)
Constructor.
Definition: MatrixPower.h:354
const MatrixPowerParenthesesReturnValue< MatrixType > operator()(RealScalar p)
Returns the matrix power.
Definition: MatrixPower.h:368
void compute(ResultType &res, RealScalar p)
Compute the matrix power.
Definition: MatrixPower.h:450
void matrix_sqrt_triangular(const MatrixType &arg, ResultType &result)
Compute matrix square root of triangular matrix.
Definition: MatrixSquareRoot.h:206
Namespace containing all symbols from the Eigen library.
const Eigen::CwiseUnaryOp< Eigen::internal::scalar_exp_op< typename Derived::Scalar >, const Derived > exp(const Eigen::ArrayBase< Derived > &x)
const Eigen::CwiseUnaryOp< Eigen::internal::scalar_abs_op< typename Derived::Scalar >, const Derived > abs(const Eigen::ArrayBase< Derived > &x)
EIGEN_DEFAULT_DENSE_INDEX_TYPE Index
const Eigen::CwiseUnaryOp< Eigen::internal::scalar_log_op< typename Derived::Scalar >, const Derived > log(const Eigen::ArrayBase< Derived > &x)
const Eigen::CwiseUnaryOp< Eigen::internal::scalar_sinh_op< typename Derived::Scalar >, const Derived > sinh(const Eigen::ArrayBase< Derived > &x)
const Eigen::CwiseUnaryOp< Eigen::internal::scalar_floor_op< typename Derived::Scalar >, const Derived > floor(const Eigen::ArrayBase< Derived > &x)
const Eigen::CwiseUnaryOp< Eigen::internal::scalar_ceil_op< typename Derived::Scalar >, const Derived > ceil(const Eigen::ArrayBase< Derived > &x)