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// Copyright ©2013 The Gonum Authors. All rights reserved.
// Use of this source code is governed by a BSD-style
// license that can be found in the LICENSE file.
package mat
import (
"gonum.org/v1/gonum/lapack"
"gonum.org/v1/gonum/lapack/lapack64"
)
const (
badFact = "mat: use without successful factorization"
noVectors = "mat: eigenvectors not computed"
)
// EigenSym is a type for computing all eigenvalues and, optionally,
// eigenvectors of a symmetric matrix A.
//
// It is a Symmetric matrix represented by its spectral factorization. Once
// computed, this representation is useful for extracting eigenvalues and
// eigenvector, but At is slow.
type EigenSym struct {
vectorsComputed bool
values []float64
vectors *Dense
}
// Dims returns the dimensions of the matrix.
func (e *EigenSym) Dims() (r, c int) {
n := e.SymmetricDim()
return n, n
}
// SymmetricDim implements the Symmetric interface.
func (e *EigenSym) SymmetricDim() int {
return len(e.values)
}
// At returns the element at row i, column j of the matrix A.
//
// At will panic if the eigenvectors have not been computed.
func (e *EigenSym) At(i, j int) float64 {
if !e.vectorsComputed {
panic(noVectors)
}
n, _ := e.Dims()
if uint(i) >= uint(n) {
panic(ErrRowAccess)
}
if uint(j) >= uint(n) {
panic(ErrColAccess)
}
var val float64
for k := 0; k < n; k++ {
val += e.values[k] * e.vectors.at(i, k) * e.vectors.at(j, k)
}
return val
}
// T returns the receiver, the transpose of a symmetric matrix.
func (e *EigenSym) T() Matrix {
return e
}
// Factorize computes the spectral factorization (eigendecomposition) of the
// symmetric matrix A.
//
// The spectral factorization of A can be written as
//
// A = Q * Λ * Qᵀ
//
// where Λ is a diagonal matrix whose entries are the eigenvalues, and Q is an
// orthogonal matrix whose columns are the eigenvectors.
//
// If vectors is false, the eigenvectors are not computed and later calls to
// VectorsTo and At will panic.
//
// Factorize returns whether the factorization succeeded. If it returns false,
// methods that require a successful factorization will panic.
func (e *EigenSym) Factorize(a Symmetric, vectors bool) (ok bool) {
// kill previous decomposition
e.vectorsComputed = false
e.values = e.values[:]
n := a.SymmetricDim()
sd := NewSymDense(n, nil)
sd.CopySym(a)
jobz := lapack.EVNone
if vectors {
jobz = lapack.EVCompute
}
w := make([]float64, n)
work := []float64{0}
lapack64.Syev(jobz, sd.mat, w, work, -1)
work = getFloat64s(int(work[0]), false)
ok = lapack64.Syev(jobz, sd.mat, w, work, len(work))
putFloat64s(work)
if !ok {
e.vectorsComputed = false
e.values = nil
e.vectors = nil
return false
}
e.vectorsComputed = vectors
e.values = w
e.vectors = NewDense(n, n, sd.mat.Data)
return true
}
// succFact returns whether the receiver contains a successful factorization.
func (e *EigenSym) succFact() bool {
return len(e.values) != 0
}
// Values extracts the eigenvalues of the factorized n×n matrix A in ascending
// order.
//
// If dst is not nil, the values are stored in-place into dst and returned,
// otherwise a new slice is allocated first. If dst is not nil, it must have
// length equal to n.
//
// If the receiver does not contain a successful factorization, Values will
// panic.
func (e *EigenSym) Values(dst []float64) []float64 {
if !e.succFact() {
panic(badFact)
}
if dst == nil {
dst = make([]float64, len(e.values))
}
if len(dst) != len(e.values) {
panic(ErrSliceLengthMismatch)
}
copy(dst, e.values)
return dst
}
// RawValues returns the slice storing the eigenvalues of A in ascending order.
//
// If the returned slice is modified, the factorization is invalid and should
// not be used.
//
// If the receiver does not contain a successful factorization, RawValues will
// return nil.
func (e *EigenSym) RawValues() []float64 {
if !e.succFact() {
return nil
}
return e.values
}
// VectorsTo stores the orthonormal eigenvectors of the factorized n×n matrix A
// into the columns of dst.
//
// If dst is empty, VectorsTo will resize dst to be n×n. When dst is non-empty,
// VectorsTo will panic if dst is not n×n. VectorsTo will also panic if the
// eigenvectors were not computed during the factorization, or if the receiver
// does not contain a successful factorization.
func (e *EigenSym) VectorsTo(dst *Dense) {
if !e.succFact() {
panic(badFact)
}
if !e.vectorsComputed {
panic(noVectors)
}
r, c := e.vectors.Dims()
if dst.IsEmpty() {
dst.ReuseAs(r, c)
} else {
r2, c2 := dst.Dims()
if r != r2 || c != c2 {
panic(ErrShape)
}
}
dst.Copy(e.vectors)
}
// RawQ returns the orthogonal matrix Q from the spectral factorization of the
// original matrix A
//
// A = Q * Λ * Qᵀ
//
// The columns of Q contain the eigenvectors of A.
//
// If the returned matrix is modified, the factorization is invalid and should
// not be used.
//
// If the receiver does not contain a successful factorization or eigenvectors
// not computed, RawU will return nil.
func (e *EigenSym) RawQ() Matrix {
if !e.succFact() || !e.vectorsComputed {
return nil
}
return e.vectors
}
// EigenKind specifies the computation of eigenvectors during factorization.
type EigenKind int
const (
// EigenNone specifies to not compute any eigenvectors.
EigenNone EigenKind = 0
// EigenLeft specifies to compute the left eigenvectors.
EigenLeft EigenKind = 1 << iota
// EigenRight specifies to compute the right eigenvectors.
EigenRight
// EigenBoth is a convenience value for computing both eigenvectors.
EigenBoth EigenKind = EigenLeft | EigenRight
)
// Eigen is a type for creating and using the eigenvalue decomposition of a dense matrix.
type Eigen struct {
n int // The size of the factorized matrix.
kind EigenKind
values []complex128
rVectors *CDense
lVectors *CDense
}
// succFact returns whether the receiver contains a successful factorization.
func (e *Eigen) succFact() bool {
return e.n != 0
}
// Factorize computes the eigenvalues of the square matrix a, and optionally
// the eigenvectors.
//
// A right eigenvalue/eigenvector combination is defined by
//
// A * x_r = λ * x_r
//
// where x_r is the column vector called an eigenvector, and λ is the corresponding
// eigenvalue.
//
// Similarly, a left eigenvalue/eigenvector combination is defined by
//
// x_l * A = λ * x_l
//
// The eigenvalues, but not the eigenvectors, are the same for both decompositions.
//
// Typically eigenvectors refer to right eigenvectors.
//
// In all cases, Factorize computes the eigenvalues of the matrix. kind
// specifies which of the eigenvectors, if any, to compute. See the EigenKind
// documentation for more information.
// Eigen panics if the input matrix is not square.
//
// Factorize returns whether the decomposition succeeded. If the decomposition
// failed, methods that require a successful factorization will panic.
func (e *Eigen) Factorize(a Matrix, kind EigenKind) (ok bool) {
// kill previous factorization.
e.n = 0
e.kind = 0
// Copy a because it is modified during the Lapack call.
r, c := a.Dims()
if r != c {
panic(ErrShape)
}
var sd Dense
sd.CloneFrom(a)
left := kind&EigenLeft != 0
right := kind&EigenRight != 0
var vl, vr Dense
jobvl := lapack.LeftEVNone
jobvr := lapack.RightEVNone
if left {
vl = *NewDense(r, r, nil)
jobvl = lapack.LeftEVCompute
}
if right {
vr = *NewDense(c, c, nil)
jobvr = lapack.RightEVCompute
}
wr := getFloat64s(c, false)
defer putFloat64s(wr)
wi := getFloat64s(c, false)
defer putFloat64s(wi)
work := []float64{0}
lapack64.Geev(jobvl, jobvr, sd.mat, wr, wi, vl.mat, vr.mat, work, -1)
work = getFloat64s(int(work[0]), false)
first := lapack64.Geev(jobvl, jobvr, sd.mat, wr, wi, vl.mat, vr.mat, work, len(work))
putFloat64s(work)
if first != 0 {
e.values = nil
return false
}
e.n = r
e.kind = kind
// Construct complex eigenvalues from float64 data.
values := make([]complex128, r)
for i, v := range wr {
values[i] = complex(v, wi[i])
}
e.values = values
// Construct complex eigenvectors from float64 data.
var cvl, cvr CDense
if left {
cvl = *NewCDense(r, r, nil)
e.complexEigenTo(&cvl, &vl)
e.lVectors = &cvl
} else {
e.lVectors = nil
}
if right {
cvr = *NewCDense(c, c, nil)
e.complexEigenTo(&cvr, &vr)
e.rVectors = &cvr
} else {
e.rVectors = nil
}
return true
}
// Kind returns the EigenKind of the decomposition. If no decomposition has been
// computed, Kind returns -1.
func (e *Eigen) Kind() EigenKind {
if !e.succFact() {
return -1
}
return e.kind
}
// Values extracts the eigenvalues of the factorized matrix. If dst is
// non-nil, the values are stored in-place into dst. In this case
// dst must have length n, otherwise Values will panic. If dst is
// nil, then a new slice will be allocated of the proper length and
// filed with the eigenvalues.
//
// Values panics if the Eigen decomposition was not successful.
func (e *Eigen) Values(dst []complex128) []complex128 {
if !e.succFact() {
panic(badFact)
}
if dst == nil {
dst = make([]complex128, e.n)
}
if len(dst) != e.n {
panic(ErrSliceLengthMismatch)
}
copy(dst, e.values)
return dst
}
// complexEigenTo extracts the complex eigenvectors from the real matrix d
// and stores them into the complex matrix dst.
//
// The columns of the returned n×n dense matrix contain the eigenvectors of the
// decomposition in the same order as the eigenvalues.
// If the j-th eigenvalue is real, then
//
// dst[:,j] = d[:,j],
//
// and if it is not real, then the elements of the j-th and (j+1)-th columns of d
// form complex conjugate pairs and the eigenvectors are recovered as
//
// dst[:,j] = d[:,j] + i*d[:,j+1],
// dst[:,j+1] = d[:,j] - i*d[:,j+1],
//
// where i is the imaginary unit.
func (e *Eigen) complexEigenTo(dst *CDense, d *Dense) {
r, c := d.Dims()
cr, cc := dst.Dims()
if r != cr {
panic("size mismatch")
}
if c != cc {
panic("size mismatch")
}
for j := 0; j < c; j++ {
if imag(e.values[j]) == 0 {
for i := 0; i < r; i++ {
dst.set(i, j, complex(d.at(i, j), 0))
}
continue
}
for i := 0; i < r; i++ {
real := d.at(i, j)
imag := d.at(i, j+1)
dst.set(i, j, complex(real, imag))
dst.set(i, j+1, complex(real, -imag))
}
j++
}
}
// VectorsTo stores the right eigenvectors of the decomposition into the columns
// of dst. The computed eigenvectors are normalized to have Euclidean norm equal
// to 1 and largest component real.
//
// If dst is empty, VectorsTo will resize dst to be n×n. When dst is
// non-empty, VectorsTo will panic if dst is not n×n. VectorsTo will also
// panic if the eigenvectors were not computed during the factorization,
// or if the receiver does not contain a successful factorization.
func (e *Eigen) VectorsTo(dst *CDense) {
if !e.succFact() {
panic(badFact)
}
if e.kind&EigenRight == 0 {
panic(noVectors)
}
if dst.IsEmpty() {
dst.ReuseAs(e.n, e.n)
} else {
r, c := dst.Dims()
if r != e.n || c != e.n {
panic(ErrShape)
}
}
dst.Copy(e.rVectors)
}
// LeftVectorsTo stores the left eigenvectors of the decomposition into the
// columns of dst. The computed eigenvectors are normalized to have Euclidean
// norm equal to 1 and largest component real.
//
// If dst is empty, LeftVectorsTo will resize dst to be n×n. When dst is
// non-empty, LeftVectorsTo will panic if dst is not n×n. LeftVectorsTo will also
// panic if the left eigenvectors were not computed during the factorization,
// or if the receiver does not contain a successful factorization
func (e *Eigen) LeftVectorsTo(dst *CDense) {
if !e.succFact() {
panic(badFact)
}
if e.kind&EigenLeft == 0 {
panic(noVectors)
}
if dst.IsEmpty() {
dst.ReuseAs(e.n, e.n)
} else {
r, c := dst.Dims()
if r != e.n || c != e.n {
panic(ErrShape)
}
}
dst.Copy(e.lVectors)
}
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