blob: 6d0390e97d7c3b72b047cae1e7099e8267f2877b [file]
// This file is part of Eigen, a lightweight C++ template library
// for linear algebra.
//
// Copyright (C) 2010,2012 Jitse Niesen <jitse@maths.leeds.ac.uk>
//
// 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/.
// SPDX-License-Identifier: MPL-2.0
#include "main.h"
#include "fp_control.h"
#include <limits>
#include <Eigen/Eigenvalues>
template <typename MatrixType>
void verifyIsQuasiTriangular(const MatrixType& T) {
const Index size = T.cols();
typedef typename MatrixType::Scalar Scalar;
// Check T is lower Hessenberg
for (int row = 2; row < size; ++row) {
for (int col = 0; col < row - 1; ++col) {
VERIFY_IS_EQUAL(T(row, col), Scalar(0));
}
}
// Check that any non-zero on the subdiagonal is followed by a zero and is
// part of a 2x2 diagonal block with imaginary eigenvalues.
for (int row = 1; row < size; ++row) {
if (!numext::is_exactly_zero(T(row, row - 1))) {
VERIFY(row == size - 1 || numext::is_exactly_zero(T(row + 1, row)));
Scalar tr = T(row - 1, row - 1) + T(row, row);
Scalar det = T(row - 1, row - 1) * T(row, row) - T(row - 1, row) * T(row, row - 1);
VERIFY(4 * det > tr * tr);
}
}
}
template <typename MatrixType>
void schur(int size = MatrixType::ColsAtCompileTime) {
// Test basic functionality: T is quasi-triangular and A = U T U*
for (int counter = 0; counter < g_repeat; ++counter) {
MatrixType A = MatrixType::Random(size, size);
RealSchur<MatrixType> schurOfA(A);
VERIFY_IS_EQUAL(schurOfA.info(), Success);
MatrixType U = schurOfA.matrixU();
MatrixType T = schurOfA.matrixT();
verifyIsQuasiTriangular(T);
VERIFY_IS_APPROX(A, U * T * U.transpose());
}
// Test asserts when not initialized
RealSchur<MatrixType> rsUninitialized;
VERIFY_RAISES_ASSERT(rsUninitialized.matrixT());
VERIFY_RAISES_ASSERT(rsUninitialized.matrixU());
VERIFY_RAISES_ASSERT(rsUninitialized.info());
// Test whether compute() and constructor returns same result
MatrixType A = MatrixType::Random(size, size);
RealSchur<MatrixType> rs1;
rs1.compute(A);
RealSchur<MatrixType> rs2(A);
VERIFY_IS_EQUAL(rs1.info(), Success);
VERIFY_IS_EQUAL(rs2.info(), Success);
VERIFY_IS_EQUAL(rs1.matrixT(), rs2.matrixT());
VERIFY_IS_EQUAL(rs1.matrixU(), rs2.matrixU());
// Test maximum number of iterations
RealSchur<MatrixType> rs3;
rs3.setMaxIterations(RealSchur<MatrixType>::m_maxIterationsPerRow * size).compute(A);
VERIFY_IS_EQUAL(rs3.info(), Success);
VERIFY_IS_EQUAL(rs3.matrixT(), rs1.matrixT());
VERIFY_IS_EQUAL(rs3.matrixU(), rs1.matrixU());
if (size > 2) {
rs3.setMaxIterations(1).compute(A);
VERIFY_IS_EQUAL(rs3.info(), NoConvergence);
VERIFY_IS_EQUAL(rs3.getMaxIterations(), 1);
}
MatrixType Atriangular = A;
Atriangular.template triangularView<StrictlyLower>().setZero();
rs3.setMaxIterations(1).compute(Atriangular); // triangular matrices do not need any iterations
VERIFY_IS_EQUAL(rs3.info(), Success);
VERIFY_IS_APPROX(rs3.matrixT(), Atriangular); // approx because of scaling...
VERIFY_IS_EQUAL(rs3.matrixU(), MatrixType::Identity(size, size));
// Test computation of only T, not U
RealSchur<MatrixType> rsOnlyT(A, false);
VERIFY_IS_EQUAL(rsOnlyT.info(), Success);
VERIFY_IS_EQUAL(rs1.matrixT(), rsOnlyT.matrixT());
VERIFY_RAISES_ASSERT(rsOnlyT.matrixU());
if (size > 2 && size < 20) {
// Test matrix with NaN
A(0, 0) = std::numeric_limits<typename MatrixType::Scalar>::quiet_NaN();
RealSchur<MatrixType> rsNaN(A);
VERIFY_IS_EQUAL(rsNaN.info(), NoConvergence);
}
}
// Structured inputs larger than one window of the Francis step's deferred left updates (32 reflectors). The
// permutation, companion and Jordan matrices give reflectors with exactly zero bulges (tau == 0), which the deferred
// path must skip as the immediate one does.
template <typename Scalar>
void real_schur_structured_windows() {
using MatrixType = Matrix<Scalar, Dynamic, Dynamic>;
for (Index n : {Index(40), Index(70)}) {
const MatrixType identity = MatrixType::Identity(n, n);
// Backward stable: ||A - U T U^T|| and ||U^T U - I|| are O(n eps) relative to ||A|| and 1.
const Scalar bound = Scalar(10 * n) * NumTraits<Scalar>::epsilon();
MatrixType cyclic = MatrixType::Zero(n, n);
for (Index i = 0; i < n; ++i) cyclic(i, (i + 1) % n) = Scalar(1);
MatrixType companion = MatrixType::Zero(n, n);
companion.diagonal(-1).setOnes();
companion.col(n - 1).setRandom();
MatrixType jordan = MatrixType::Identity(n, n) * Scalar(2);
jordan.diagonal(1).setOnes();
MatrixType decoupled = MatrixType::Random(n, n).template triangularView<Upper>();
decoupled.diagonal(-1).setRandom();
decoupled(n / 2, n / 2 - 1) = Scalar(0);
for (const MatrixType* a : {&cyclic, &companion, &jordan, &decoupled}) {
RealSchur<MatrixType> rs(*a);
VERIFY_IS_EQUAL(rs.info(), Success);
const MatrixType& T = rs.matrixT();
const MatrixType& U = rs.matrixU();
verifyIsQuasiTriangular(T);
VERIFY((*a - U * T * U.transpose()).norm() <= bound * a->norm());
VERIFY((U.transpose() * U - identity).norm() <= bound);
}
}
}
template <typename = void>
void test_bug2633() {
Eigen::MatrixXd A(4, 4);
A << 0, 0, 0, -2, 1, 0, 0, -0, 0, 1, 0, 2, 0, 0, 2, -0;
RealSchur<Eigen::MatrixXd> schur(A);
VERIFY(schur.info() == Eigen::Success);
}
template <typename = void>
void real_schur_power_of_two_scaling() {
// Reciprocal scaling rounds the smaller diagonal entry up by one ULP.
Matrix2f matrix = Matrix2f::Zero();
matrix(0, 0) = numext::bit_cast<float>(numext::uint32_t(0x58f6aaed));
matrix(0, 1) = numext::bit_cast<float>(numext::uint32_t(0x52123456));
matrix(1, 1) = numext::bit_cast<float>(numext::uint32_t(0x537dcf0e));
const RealSchur<Matrix2f> schur(matrix);
VERIFY_IS_EQUAL(schur.info(), Success);
VERIFY_IS_EQUAL(schur.matrixT(), matrix);
// Probe arithmetic, not just loads: FTZ can preserve an input yet flush a subnormal result.
volatile float normalMinInput = (std::numeric_limits<float>::min)();
volatile float epsilonInput = std::numeric_limits<float>::epsilon();
const float denormMin = normalMinInput * epsilonInput;
if (!(denormMin > 0.0f)) return;
matrix.setZero();
matrix.diagonal() << 1.5f, denormMin;
const RealSchur<Matrix2f> tailSchur(matrix);
VERIFY_IS_EQUAL(tailSchur.matrixT()(1, 1), denormMin);
}
template <typename MatrixType>
void real_schur_subnormal_restoration(Index n = MatrixType::RowsAtCompileTime) {
using Scalar = typename MatrixType::Scalar;
using Bits = typename numext::get_integer_by_size<sizeof(Scalar)>::unsigned_type;
const Scalar normal_min = (std::numeric_limits<Scalar>::min)();
const Bits half_min_bits = numext::bit_cast<Bits>(normal_min) >> 1;
MatrixType matrix = MatrixType::Zero(n, n);
matrix(0, 0) = normal_min;
matrix(1, 1) = numext::bit_cast<Scalar>(half_min_bits);
const ScopedFlushToZero flush;
for (bool compute_u : {false, true}) {
const RealSchur<MatrixType> schur(matrix, compute_u);
VERIFY_IS_EQUAL(schur.info(), Success);
// Compare representations: DAZ can make an erroneous zero compare equal to a subnormal.
VERIFY_IS_EQUAL(numext::bit_cast<Bits>(schur.matrixT()(1, 1)), half_min_bits);
VERIFY_IS_EQUAL(numext::bit_cast<Bits>(schur.matrixT()(0, 0)), numext::bit_cast<Bits>(normal_min));
}
}
template <typename Scalar, int StorageOrder>
void schur_workspace_stride() {
using Mat = Matrix<Scalar, Dynamic, Dynamic, StorageOrder>;
// The middle size selects the padded workspace for both float and double; its neighbours do not.
const Index strideSize = 1024 / sizeof(Scalar);
for (Index n : {strideSize - 1, strideSize, strideSize + 1}) {
const Mat identity = Mat::Identity(n, n);
Mat a = Mat::Random(n, n);
const Scalar bound = Scalar(64 * n) * NumTraits<Scalar>::epsilon();
RealSchur<Mat> solver(n);
solver.compute(a);
VERIFY_IS_EQUAL(solver.info(), Success);
const Mat u = solver.matrixU(), t = solver.matrixT();
verifyIsQuasiTriangular(t);
VERIFY((a - u * t * u.transpose()).norm() <= bound * a.norm());
VERIFY((u.transpose() * u - identity).norm() <= bound);
solver.compute(a, false);
VERIFY_IS_EQUAL(solver.info(), Success);
VERIFY_IS_EQUAL(solver.matrixT(), t);
HessenbergDecomposition<Mat> hess(a);
const Mat h = hess.matrixH(), q = hess.matrixQ();
solver.computeFromHessenberg(h, q, true);
VERIFY_IS_EQUAL(solver.info(), Success);
VERIFY((a - solver.matrixU() * solver.matrixT() * solver.matrixU().transpose()).norm() <= bound * a.norm());
solver.setMaxIterations(1).computeFromHessenberg(h, q, true);
VERIFY_IS_EQUAL(solver.info(), NoConvergence);
// Partial results must be copied out of the workspace too.
VERIFY((a - solver.matrixU() * solver.matrixT() * solver.matrixU().transpose()).norm() <= bound * a.norm());
solver.setMaxIterations(-1);
// A decoupled trailing block exercises active windows smaller than the padded matrix.
a.bottomLeftCorner(n / 2, n - n / 2).setZero();
EigenSolver<Mat> eig(a);
VERIFY_IS_EQUAL(eig.info(), Success);
VERIFY((a * eig.pseudoEigenvectors() - eig.pseudoEigenvectors() * eig.pseudoEigenvalueMatrix()).norm() <=
bound * a.norm() * eig.pseudoEigenvectors().norm());
solver.compute(identity);
VERIFY_IS_EQUAL(solver.info(), Success);
VERIFY_IS_EQUAL(solver.matrixT(), identity);
VERIFY_IS_EQUAL(solver.matrixU(), identity);
// Exercise subnormal restoration across the padded-workspace boundary too.
real_schur_subnormal_restoration<Mat>(n);
a.setZero();
for (Scalar nonfinite : {NumTraits<Scalar>::quiet_NaN(), NumTraits<Scalar>::infinity()}) {
a(n - 1, n - 1) = nonfinite;
solver.compute(a);
VERIFY_IS_EQUAL(solver.info(), NoConvergence);
VERIFY(!(numext::isfinite)(solver.matrixT()(n - 1, n - 1)));
VERIFY_RAISES_ASSERT(solver.matrixU());
eig.compute(a, false);
VERIFY_IS_EQUAL(eig.info(), NumericalIssue);
}
}
}
template <typename Scalar, int StorageOrder>
void schur_workspace_ref() {
using Mat = Matrix<Scalar, Dynamic, Dynamic, StorageOrder>;
using StridedRef = Ref<Mat, 0, Stride<Dynamic, Dynamic>>;
const Index strideSize = 1024 / sizeof(Scalar);
for (Index n : {strideSize - 1, strideSize}) {
const Mat a = Mat::Random(n, n);
const Mat identity = Mat::Identity(n, n);
const Scalar bound = Scalar(64 * n) * NumTraits<Scalar>::epsilon();
HessenbergDecomposition<Mat> hess(a);
const Mat h = hess.matrixH(), q = hess.matrixQ();
for (Index inner : {Index(1), Index(2)}) {
for (Index extra : {Index(0), Index(1)}) {
const Index outer = n * inner + extra;
Matrix<Scalar, Dynamic, 1> storage = Matrix<Scalar, Dynamic, 1>::Constant(n * outer + 2, Scalar(17));
Map<Mat, 0, Stride<Dynamic, Dynamic>> matrix(storage.data() + 1, n, n, Stride<Dynamic, Dynamic>(outer, inner));
matrix = a;
RealSchur<StridedRef> solver(matrix);
VERIFY_IS_EQUAL(solver.info(), Success);
VERIFY(internal::is_same_dense(matrix, solver.matrixT()));
VERIFY((a - solver.matrixU() * matrix * solver.matrixU().transpose()).norm() <= bound * a.norm());
VERIFY((solver.matrixU().transpose() * solver.matrixU() - identity).norm() <= bound);
const Mat input = a * Scalar(8);
solver.compute(input, false);
VERIFY_IS_EQUAL(solver.info(), Success);
VERIFY_IS_EQUAL(input, a * Scalar(8));
VERIFY_RAISES_ASSERT(solver.matrixU());
for (Index maxIters : {Index(1), Index(-1)}) {
solver.setMaxIterations(maxIters).compute(input);
VERIFY_IS_EQUAL(solver.info(), maxIters == -1 ? Success : NoConvergence);
VERIFY((input - solver.matrixU() * matrix * solver.matrixU().transpose()).norm() <= bound * input.norm());
solver.computeFromHessenberg(h, q, true);
VERIFY_IS_EQUAL(solver.info(), maxIters == -1 ? Success : NoConvergence);
VERIFY((a - solver.matrixU() * matrix * solver.matrixU().transpose()).norm() <= bound * a.norm());
}
// Exercise aliased input with an already suitable stride as well as a cache-conflicting one.
matrix = h;
solver.computeFromHessenberg(matrix, q, true);
VERIFY_IS_EQUAL(solver.info(), Success);
VERIFY((a - solver.matrixU() * matrix * solver.matrixU().transpose()).norm() <= bound * a.norm());
solver.compute(Mat::Zero(n, n));
VERIFY_IS_EQUAL(solver.info(), Success);
VERIFY_IS_EQUAL(matrix, Mat::Zero(n, n));
VERIFY_IS_EQUAL(solver.matrixU(), identity);
VERIFY(internal::is_same_dense(matrix, solver.matrixT()));
for (Index i = 0; i < storage.size(); ++i) {
const Index offset = i - 1;
const bool inMatrix =
offset >= 0 && offset / outer < n && offset % outer < n * inner && offset % outer % inner == 0;
if (!inMatrix) VERIFY_IS_EQUAL(storage(i), Scalar(17));
}
}
}
}
}
EIGEN_DECLARE_TEST(schur_real) {
CALL_SUBTEST_1((schur<Matrix4f>()));
CALL_SUBTEST_2((schur<MatrixXd>(internal::random<int>(1, EIGEN_TEST_MAX_SIZE / 4))));
CALL_SUBTEST_3((schur<Matrix<float, 1, 1> >()));
CALL_SUBTEST_4((schur<Matrix<double, 3, 3, Eigen::RowMajor> >()));
CALL_SUBTEST_1((schur<Matrix<float, Dynamic, Dynamic, RowMajor>>(17)));
CALL_SUBTEST_2((schur<Matrix<double, Dynamic, Dynamic, RowMajor>>(17)));
// Test problem size constructors
CALL_SUBTEST_5(RealSchur<MatrixXf>(10));
CALL_SUBTEST_6((test_bug2633<>()));
CALL_SUBTEST_6((real_schur_power_of_two_scaling<>()));
CALL_SUBTEST_6(real_schur_subnormal_restoration<Matrix2f>());
CALL_SUBTEST_6(real_schur_subnormal_restoration<Matrix2d>());
CALL_SUBTEST_7((schur_workspace_stride<float, ColMajor>()));
CALL_SUBTEST_8((schur_workspace_stride<double, ColMajor>()));
CALL_SUBTEST_9((schur_workspace_stride<float, RowMajor>()));
CALL_SUBTEST_10((schur_workspace_stride<double, RowMajor>()));
CALL_SUBTEST_11((schur_workspace_ref<float, ColMajor>()));
CALL_SUBTEST_12((schur_workspace_ref<double, ColMajor>()));
CALL_SUBTEST_13((schur_workspace_ref<float, RowMajor>()));
CALL_SUBTEST_14((schur_workspace_ref<double, RowMajor>()));
CALL_SUBTEST_15((real_schur_structured_windows<float>()));
CALL_SUBTEST_15((real_schur_structured_windows<double>()));
}