File: power_method.cc

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sopt 2.0.0-2
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#include <iostream>
#include <random>
#include <Eigen/Eigenvalues>
#include "catch.hpp"

#include "sopt/power_method.h"

TEST_CASE("Power Method") {
  using namespace sopt;

  typedef t_real Scalar;
  auto const N = 10;
  Eigen::EigenSolver<Matrix<Scalar>> es;
  Matrix<Scalar> A = Matrix<Scalar>::Random(N, N);
  es.compute(A.adjoint() * A, true);

  auto const eigenvalues = es.eigenvalues();
  auto const eigenvectors = es.eigenvectors();
  Eigen::DenseIndex index;
  (eigenvalues.transpose() * eigenvalues).real().maxCoeff(&index);
  auto const eigenvalue = eigenvalues(index);
  Vector<t_complex> const eigenvector = eigenvectors.col(index);
  // Create input vector close to solution
  Vector<t_complex> const input = eigenvector * 1e-4 + Vector<t_complex>::Random(N);
  auto const pm = algorithm::PowerMethod<t_complex>().tolerance(1e-12);

  SECTION("AtA") {
    auto const lt = linear_transform(A.cast<t_complex>());
    auto const result = pm.AtA(lt, input);
    CHECK(result.good);
    CAPTURE(eigenvalue);
    CAPTURE(result.magnitude);
    CAPTURE(result.eigenvector.transpose() * eigenvector);
    CHECK(std::abs(result.magnitude - std::abs(eigenvalue)) < 1e-8);
  }

  SECTION("A") {
    auto const result = pm((A.adjoint() * A).cast<t_complex>(), input);
    CHECK(result.good);
    CAPTURE(eigenvalue);
    CAPTURE(result.magnitude);
    CAPTURE(result.eigenvector.transpose() * eigenvector);
    CHECK(std::abs(result.magnitude - std::abs(eigenvalue)) < 1e-8);
  }
}