blob: d177617ae471937b8013c76b219defe1d2e9a595 [file]
// This file is part of Eigen, a lightweight C++ template library
// for linear algebra.
//
// Copyright (C) 2012 Alexey Korepanov
// Copyright (C) 2025 Ludwig Striet <ludwig.striet@mathematik.uni-freiburg.de>
//
// 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
// https://mozilla.org/MPL/2.0/.
//
// Derived from: Eigen/src/Eigenvalues/RealQZ.h
// SPDX-License-Identifier: MPL-2.0
#ifndef EIGEN_COMPLEX_QZ_H_
#define EIGEN_COMPLEX_QZ_H_
// IWYU pragma: private
#include "./InternalHeaderCheck.h"
/** \eigenvalues_module \ingroup Eigenvalues_Module
*
*
* \class ComplexQZ
*
* \brief Performs a QZ decomposition of a pair of matrices A, B
*
* \tparam MatrixType_ the input type of the matrix.
*
* Given two complex square matrices A and B, this class computes the QZ decomposition
* \f$ A = Q S Z \f$, \f$ B = Q T Z\f$ where Q and Z are unitary matrices and
* S and T are upper-triangular matrices. More precisely, Q and Z fulfill
* \f$ Q Q* = Id\f$ and \f$ Z Z* = Id\f$. The generalized Eigenvalues are then
* obtained as ratios of corresponding diagonal entries, lambda(i) = S(i,i) / T(i, i).
*
* The QZ algorithm was introduced in the seminal work "An Algorithm for
* Generalized Matrix Eigenvalue Problems" by Moler & Stewart in 1973. The matrix
* pair S = A, T = B is first transformed to Hessenberg-Triangular form where S is an
* upper Hessenberg matrix and T is an upper Triangular matrix.
*
* This pair is subsequently reduced to the desired form using implicit QZ shifts as
* described in the original paper. The algorithms to find small entries on the
* diagonals and subdiagonals are based on the variants in the implementation
* for Real matrices in the RealQZ class.
*
* \sa class RealQZ
*/
namespace Eigen {
template <typename MatrixType_>
class ComplexQZ {
public:
using MatrixType = MatrixType_;
using Scalar = typename MatrixType_::Scalar;
using RealScalar = typename MatrixType_::RealScalar;
enum {
RowsAtCompileTime = MatrixType::RowsAtCompileTime,
ColsAtCompileTime = MatrixType::ColsAtCompileTime,
Options = internal::plain_object_options<MatrixType>::value,
MaxRowsAtCompileTime = MatrixType::MaxRowsAtCompileTime,
MaxColsAtCompileTime = MatrixType::MaxColsAtCompileTime
};
/** \brief Type of the matrices returned by matrixQ() and matrixZ(): a plain matrix with the shape and storage
* options of \p MatrixType_, and \p MatrixType_ itself unless that is a Ref<>. */
using PlainMatrixType =
Matrix<Scalar, RowsAtCompileTime, ColsAtCompileTime, Options, MaxRowsAtCompileTime, MaxColsAtCompileTime>;
using Vec = Matrix<Scalar, Dynamic, 1>;
using Vec2 = Matrix<Scalar, 2, 1>;
using Vec3 = Matrix<Scalar, 3, 1>;
using Row2 = Matrix<Scalar, 1, 2>;
using Mat2 = Matrix<Scalar, 2, 2>;
/** \brief Returns matrix Q in the QZ decomposition.
*
* \returns A const reference to the matrix Q.
*/
const PlainMatrixType& matrixQ() const {
eigen_assert(m_isInitialized && "ComplexQZ is not initialized.");
eigen_assert(m_computeQZ && "The matrices Q and Z have not been computed during the QZ decomposition.");
return m_Q;
}
/** \brief Returns matrix Z in the QZ decomposition.
*
* \returns A const reference to the matrix Z.
*/
const PlainMatrixType& matrixZ() const {
eigen_assert(m_isInitialized && "ComplexQZ is not initialized.");
eigen_assert(m_computeQZ && "The matrices Q and Z have not been computed during the QZ decomposition.");
return m_Z;
}
/** \brief Returns matrix S in the QZ decomposition.
*
* \returns A const reference to the matrix S.
*/
const MatrixType& matrixS() const {
eigen_assert(m_isInitialized && "ComplexQZ is not initialized.");
return m_S;
}
/** \brief Returns matrix T in the QZ decomposition.
*
* \returns A const reference to the matrix T.
*/
const MatrixType& matrixT() const {
eigen_assert(m_isInitialized && "ComplexQZ is not initialized.");
return m_T;
}
/** \brief Constructor
*
* \param[in] n size of the matrices whose QZ decomposition we compute
*
* This constructor is used when we use the compute(...) method later,
* especially when we aim to compute the decomposition of two sparse
* matrices.
*/
ComplexQZ(Index n, bool computeQZ = true, unsigned int maxIters = 400)
: m_n(n),
m_maxIters(maxIters),
m_computeQZ(computeQZ),
m_S(n, n),
m_T(n, n),
m_Q(computeQZ ? n : (MatrixType::RowsAtCompileTime == Eigen::Dynamic ? 0 : MatrixType::RowsAtCompileTime),
computeQZ ? n : (MatrixType::ColsAtCompileTime == Eigen::Dynamic ? 0 : MatrixType::ColsAtCompileTime)),
m_Z(computeQZ ? n : (MatrixType::RowsAtCompileTime == Eigen::Dynamic ? 0 : MatrixType::RowsAtCompileTime),
computeQZ ? n : (MatrixType::ColsAtCompileTime == Eigen::Dynamic ? 0 : MatrixType::ColsAtCompileTime)),
m_ws(2 * n),
m_hCoeffs(n) {}
/** \brief Constructor. computes the QZ decomposition of given matrices
* upon creation
*
* \param[in] A input matrix A
* \param[in] B input matrix B
* \param[in] computeQZ If false, the matrices Q and Z are not computed
*
* This constructor computes the QZ decomposition as the compute() method does.
* If input matrices are sparse, call the constructor that uses only the
* size as input the computeSparse(...) method.
*/
template <typename InputTypeA, typename InputTypeB>
ComplexQZ(const EigenBase<InputTypeA>& A, const EigenBase<InputTypeB>& B, bool computeQZ = true,
unsigned int maxIters = 400)
: m_n(A.rows()),
m_maxIters(maxIters),
m_computeQZ(computeQZ),
m_S(A.derived()),
m_T(B.derived()),
m_Q(computeQZ ? m_n : (MatrixType::RowsAtCompileTime == Eigen::Dynamic ? 0 : MatrixType::RowsAtCompileTime),
computeQZ ? m_n : (MatrixType::ColsAtCompileTime == Eigen::Dynamic ? 0 : MatrixType::ColsAtCompileTime)),
m_Z(computeQZ ? m_n : (MatrixType::RowsAtCompileTime == Eigen::Dynamic ? 0 : MatrixType::RowsAtCompileTime),
computeQZ ? m_n : (MatrixType::ColsAtCompileTime == Eigen::Dynamic ? 0 : MatrixType::ColsAtCompileTime)),
m_ws(2 * m_n),
m_hCoeffs(m_n) {
computeInPlace(computeQZ);
}
/** \brief Constructor for \link InplaceDecomposition inplace decomposition \endlink
*
* \param[in,out] A input matrix A
* \param[in,out] B input matrix B
* \param[in] computeQZ If false, the matrices Q and Z are not computed
* \param[in] maxIters Maximum number of iterations
*
* When \p MatrixType is a Ref<>, the decomposition is computed within the memory of \p A and \p B, which then
* hold S and T; Q and Z are stored in the decomposition object. Otherwise this constructor behaves like
* ComplexQZ(const EigenBase<InputTypeA>&, const EigenBase<InputTypeB>&, bool, unsigned int).
*/
template <typename InputTypeA, typename InputTypeB>
ComplexQZ(EigenBase<InputTypeA>& A, EigenBase<InputTypeB>& B, bool computeQZ = true, unsigned int maxIters = 400)
: m_n(A.rows()),
m_maxIters(maxIters),
m_computeQZ(computeQZ),
m_S(A.derived()),
m_T(B.derived()),
m_Q(computeQZ ? m_n : (MatrixType::RowsAtCompileTime == Eigen::Dynamic ? 0 : MatrixType::RowsAtCompileTime),
computeQZ ? m_n : (MatrixType::ColsAtCompileTime == Eigen::Dynamic ? 0 : MatrixType::ColsAtCompileTime)),
m_Z(computeQZ ? m_n : (MatrixType::RowsAtCompileTime == Eigen::Dynamic ? 0 : MatrixType::RowsAtCompileTime),
computeQZ ? m_n : (MatrixType::ColsAtCompileTime == Eigen::Dynamic ? 0 : MatrixType::ColsAtCompileTime)),
m_ws(2 * m_n),
m_hCoeffs(m_n) {
computeInPlace(computeQZ);
}
/** \brief Compute the QZ decomposition of complex input matrices
*
* \param[in] A Matrix A.
* \param[in] B Matrix B.
* \param[in] computeQZ If false, the matrices Q and Z are not computed.
*/
template <typename InputTypeA, typename InputTypeB>
void compute(const EigenBase<InputTypeA>& A, const EigenBase<InputTypeB>& B, bool computeQZ = true);
/** \brief Compute the decomposition of sparse complex input matrices.
* Main difference to the compute(...) method is that it computes a
* SparseQR decomposition of B
*
* \param[in] A Matrix A.
* \param[in] B Matrix B.
* \param[in] computeQZ If false, the matrices Q and Z are not computed.
*/
template <typename SparseMatrixType_>
void computeSparse(const SparseMatrixType_& A, const SparseMatrixType_& B, bool computeQZ = true);
/** \brief Reports whether the last computation was successful.
*
* \returns \c Success if computation was successful, \c NoConvergence otherwise.
*/
ComputationInfo info() const {
eigen_assert(m_isInitialized && "ComplexQZ is not initialized.");
return m_info;
}
/** \brief number of performed QZ steps
*/
unsigned int iterations() const {
eigen_assert(m_isInitialized && "ComplexQZ is not initialized.");
return m_global_iter;
}
private:
Index m_n;
const unsigned int m_maxIters;
unsigned int m_global_iter = 0;
bool m_isInitialized = false;
bool m_computeQZ;
ComputationInfo m_info = InvalidInput;
MatrixType m_S, m_T;
PlainMatrixType m_Q, m_Z;
RealScalar m_normOfT, m_normOfS;
Vec m_ws;
Vec m_hCoeffs;
// Test if a Scalar is 0 up to a certain tolerance
static bool is_negligible(const Scalar x, const RealScalar tol = NumTraits<RealScalar>::epsilon()) {
return numext::abs(x) <= tol;
}
void do_QZ_step(Index f, Index l, unsigned int iter);
Vec3 shiftColumn(Index p, Index l, unsigned int iter) const;
JacobiRotation<Scalar> computeZk2(const Row2& b);
void computeInPlace(bool computeQZ);
// This is basically taken from Eigen3::RealQZ
void hessenbergTriangular();
// This function can be called when m_Q and m_Z are initialized and m_S, m_T
// are in hessenberg-triangular form
void reduceHessenbergTriangular();
// Sparse variant of the above method.
template <typename SparseMatrixType_>
void hessenbergTriangularSparse(const SparseMatrixType_& A, const SparseMatrixType_& B);
void computeNorms();
Index findSmallSubdiagEntry(Index l);
Index findSmallDiagEntry(Index f, Index l);
void push_down_zero_ST(Index k, Index l);
void reduceDiagonal2x2block(Index i);
};
template <typename MatrixType_>
template <typename InputTypeA, typename InputTypeB>
void ComplexQZ<MatrixType_>::compute(const EigenBase<InputTypeA>& A, const EigenBase<InputTypeB>& B, bool computeQZ) {
EIGEN_INTERNAL_ASSERT_SQUARE_MSG(A, "A is not a square matrix");
EIGEN_INTERNAL_ASSERT_SAME_SHAPE_MSG(A, B, "B is not a square matrix or B is not of the same size as A");
// Copy A and B, these will be the matrices on which we operate later
m_S = A.derived();
m_T = B.derived();
computeInPlace(computeQZ);
}
/** \internal Computes the QZ decomposition of the pencil held in (m_S, m_T), which are overwritten by S and T. */
template <typename MatrixType_>
void ComplexQZ<MatrixType_>::computeInPlace(bool computeQZ) {
m_computeQZ = computeQZ;
m_n = m_S.rows();
EIGEN_INTERNAL_ASSERT_SQUARE_MSG(m_S, "A is not a square matrix");
EIGEN_INTERNAL_ASSERT_SAME_SHAPE_MSG(m_S, m_T, "B is not a square matrix or B is not of the same size as A");
m_isInitialized = true;
m_global_iter = 0;
m_info = Success;
// This will initialize m_Q and m_Z and bring m_S, m_T to hessenberg-triangular form
hessenbergTriangular();
// We assume that we already have that S is upper-Hessenberg and T is
// upper-triangular. This is what the hessenbergTriangular(...) method does
reduceHessenbergTriangular();
}
// This is basically taken from Eigen3::RealQZ
template <typename MatrixType_>
void ComplexQZ<MatrixType_>::hessenbergTriangular() {
// Perform the QR decomposition of T in place: T holds R above the Householder vectors Q is formed from
m_ws.resize(2 * m_n);
m_hCoeffs.resize(m_n);
internal::householder_qr_inplace_blocked<MatrixType, Vec>::run(m_T, m_hCoeffs, 48, m_ws.data());
Map<Vec> workspace(m_ws.data(), m_n);
const auto householderQ = householderSequence(m_T, m_hCoeffs.conjugate());
if (m_computeQZ) householderQ.evalTo(m_Q, workspace);
// overwrite S with Q* x S
householderQ.adjoint().applyThisOnTheLeft(m_S, workspace);
m_T.template triangularView<StrictlyLower>().setZero();
if (m_computeQZ) m_Z = PlainMatrixType::Identity(m_n, m_n);
// reduce S to upper Hessenberg with Givens rotations
for (Index j = 0; j <= m_n - 3; j++) {
for (Index i = m_n - 1; i >= j + 2; i--) {
JacobiRotation<Scalar> G;
// delete S(i,j)
if (!numext::is_exactly_zero(m_S.coeff(i, j))) {
G.makeGivens(m_S.coeff(i - 1, j), m_S.coeff(i, j), &m_S.coeffRef(i - 1, j));
m_S.coeffRef(i, j) = Scalar(0);
m_T.rightCols(m_n - i + 1).applyOnTheLeft(i - 1, i, G.adjoint());
m_S.rightCols(m_n - j - 1).applyOnTheLeft(i - 1, i, G.adjoint());
// This is what we want to achieve
if (!is_negligible(m_S(i, j)))
m_info = ComputationInfo::NumericalIssue;
else
m_S(i, j) = Scalar(0);
// update Q
if (m_computeQZ) m_Q.applyOnTheRight(i - 1, i, G);
}
if (!numext::is_exactly_zero(m_T.coeff(i, i - 1))) {
// Compute rotation and update matrix T
G.makeGivens(m_T.coeff(i, i), m_T.coeff(i, i - 1), &m_T.coeffRef(i, i));
m_T.topRows(i).applyOnTheRight(i - 1, i, G.adjoint());
m_T.coeffRef(i, i - 1) = Scalar(0);
// Update matrix S
m_S.applyOnTheRight(i - 1, i, G.adjoint());
// update Z
if (m_computeQZ) m_Z.applyOnTheLeft(i - 1, i, G);
}
}
}
}
template <typename MatrixType>
template <typename SparseMatrixType_>
void ComplexQZ<MatrixType>::hessenbergTriangularSparse(const SparseMatrixType_& A, const SparseMatrixType_& B) {
m_S = A.toDense();
SparseQR<SparseMatrix<Scalar, ColMajor>, NaturalOrdering<Index>> sparseQR;
eigen_assert(B.isCompressed() &&
"SparseQR requires a sparse matrix in compressed mode."
"Call .makeCompressed() before passing it to SparseQR");
// Computing QR decomposition of T...
sparseQR.setPivotThreshold(RealScalar(0)); // This prevents the algorithm from doing pivoting
sparseQR.compute(B);
// perform QR decomposition of T, overwrite T with R, save Q
m_T = sparseQR.matrixR();
m_T.template triangularView<StrictlyLower>().setZero();
if (m_computeQZ) m_Q = sparseQR.matrixQ();
// overwrite S with Q* S
m_S = sparseQR.matrixQ().adjoint() * m_S;
if (m_computeQZ) m_Z = MatrixType::Identity(m_n, m_n);
// reduce S to upper Hessenberg with Givens rotations
for (Index j = 0; j <= m_n - 3; j++) {
for (Index i = m_n - 1; i >= j + 2; i--) {
JacobiRotation<Scalar> G;
// kill S(i,j)
if (m_S.coeff(i, j) != Scalar(0)) {
// This is the adapted code
G.makeGivens(m_S.coeff(i - 1, j), m_S.coeff(i, j), &m_S.coeffRef(i - 1, j));
m_S.coeffRef(i, j) = Scalar(0);
m_T.rightCols(m_n - i + 1).applyOnTheLeft(i - 1, i, G.adjoint());
m_S.rightCols(m_n - j - 1).applyOnTheLeft(i - 1, i, G.adjoint());
// This is what we want to achieve
if (!is_negligible(m_S(i, j))) {
m_info = ComputationInfo::NumericalIssue;
}
m_S(i, j) = Scalar(0);
// update Q
if (m_computeQZ) m_Q.applyOnTheRight(i - 1, i, G);
}
if (!numext::is_exactly_zero(m_T.coeff(i, i - 1))) {
// Compute rotation and update matrix T
G.makeGivens(m_T.coeff(i, i), m_T.coeff(i, i - 1), &m_T.coeffRef(i, i));
m_T.topRows(i).applyOnTheRight(i - 1, i, G.adjoint());
m_T.coeffRef(i, i - 1) = Scalar(0);
// Update matrix S
m_S.applyOnTheRight(i - 1, i, G.adjoint());
// update Z
if (m_computeQZ) m_Z.applyOnTheLeft(i - 1, i, G);
}
}
}
}
template <typename MatrixType>
template <typename SparseMatrixType_>
void ComplexQZ<MatrixType>::computeSparse(const SparseMatrixType_& A, const SparseMatrixType_& B, bool computeQZ) {
m_computeQZ = computeQZ;
m_n = A.rows();
EIGEN_INTERNAL_ASSERT_SQUARE_MSG(A, "A is not a square matrix");
EIGEN_INTERNAL_ASSERT_SAME_SHAPE_MSG(A, B, "B is not a square matrix or B is not of the same size as A");
m_isInitialized = true;
m_global_iter = 0;
m_info = Success;
hessenbergTriangularSparse(A, B);
// We assume that we already have that A is upper-Hessenberg and B is
// upper-triangular. This is what the hessenbergTriangular(...) method does
reduceHessenbergTriangular();
}
template <typename MatrixType_>
void ComplexQZ<MatrixType_>::reduceHessenbergTriangular() {
m_ws.resize(2 * m_n);
Index l = m_n - 1, f;
unsigned int local_iter = 0;
computeNorms();
while (l > 0 && local_iter < m_maxIters) {
f = findSmallSubdiagEntry(l);
// Subdiag entry is small -> can be safely set to 0
if (f > 0) {
m_S.coeffRef(f, f - 1) = Scalar(0);
}
if (f == l) { // One root found
l--;
local_iter = 0;
} else if (f == l - 1) { // Two roots found
// We found an undesired non-zero at (f+1,f) in S and eliminate it immediately
reduceDiagonal2x2block(f);
l -= 2;
local_iter = 0;
} else {
Index z = findSmallDiagEntry(f, l);
if (z >= f) {
push_down_zero_ST(z, l);
} else {
do_QZ_step(f, l, local_iter);
local_iter++;
m_global_iter++;
}
}
}
// Preserve NumericalIssue if set
if (m_info != NumericalIssue) {
m_info = (local_iter < m_maxIters) ? Success : NoConvergence;
}
}
template <typename MatrixType_>
JacobiRotation<typename ComplexQZ<MatrixType_>::Scalar> ComplexQZ<MatrixType_>::computeZk2(const Row2& b) {
JacobiRotation<Scalar> J;
J.makeGivens(numext::conj(b(1)), numext::conj(b(0)));
// S J S = J.transpose() for the exchange matrix S and a real Givens cosine.
return J.transpose();
}
/** \internal First column of the shift polynomial of the block (S, T)(p:l, p:l), up to a nonzero factor. */
template <typename MatrixType_>
typename ComplexQZ<MatrixType_>::Vec3 ComplexQZ<MatrixType_>::shiftColumn(Index p, Index l, unsigned int iter) const {
const auto a = [p, this](Index i, Index j) { return m_S(p + i - 1, p + j - 1); };
const auto b = [p, this](Index i, Index j) { return m_T(p + i - 1, p + j - 1); };
const Index m = l - p + 1; // Size of the inner block
if (iter > 0 && iter % 10 == 0) {
// Break stalled double-shift iterations with a single shift displaced by the trailing subdiagonals.
const RealScalar displacement =
numext::abs(a(m, m - 1) / b(m - 1, m - 1)) + numext::abs(a(m - 1, m - 2) / b(m - 2, m - 2));
const Scalar shift = a(m, m) / b(m, m) + displacement;
// (S*T^-1 - shift*I)*e1 has only two nonzero entries.
return Vec3(a(1, 1) / b(1, 1) - shift, a(2, 1) / b(1, 1), Scalar(0));
}
const Scalar W1 = a(m - 1, m - 1) / b(m - 1, m - 1) - a(1, 1) / b(1, 1), W2 = a(m, m) / b(m, m) - a(1, 1) / b(1, 1),
W3 = a(m, m - 1) / b(m - 1, m - 1);
return Vec3(
(W1 * W2 - a(m - 1, m) / b(m, m) * W3 + W3 * b(m - 1, m) / b(m, m) * a(1, 1) / b(1, 1)) * b(1, 1) / a(2, 1) +
a(1, 2) / b(2, 2) - a(1, 1) / b(1, 1) * b(1, 2) / b(2, 2),
(a(2, 2) / b(2, 2) - a(1, 1) / b(1, 1)) - a(2, 1) / b(1, 1) * b(1, 2) / b(2, 2) - W1 - W2 +
W3 * (b(m - 1, m) / b(m, m)),
a(3, 2) / b(2, 2));
}
/** \internal Performs one QZ sweep on the unreduced block (S, T)(f:l, f:l). */
template <typename MatrixType_>
void ComplexQZ<MatrixType_>::do_QZ_step(Index f, Index l, unsigned int iter) {
// Start at the lowest row p > f where the bulge v spreads S(p, p-1) only into negligible entries (the test of
// EISPACK's hqr and LAPACK's xLAHQR, applied to S, with v scaled to |v(0)| + |v(1)| + |v(2)| = 1; rows where that
// sum is 0 or not finite are skipped):
// |S(p, p-1)| (|v(1)| + |v(2)|) <= eps |v(0)| (|S(p-1, p-1)| + |S(p, p)| + |S(p+1, p+1)|).
// From row f the bulge is proportional to S(f+1, f), and a tiny but not negligible entry, e.g. next to zero
// eigenvalues, can stall the iteration. A block of three rows has no such p, as in xLAHQR.
Index p = f;
Vec3 X;
for (Index j = l - 2; j > f; --j) {
X = shiftColumn(j, l, iter);
const RealScalar scale = numext::abs(X(0)) + numext::abs(X(1)) + numext::abs(X(2));
if (!(numext::isfinite)(scale) || scale == RealScalar(0)) continue;
X /= scale;
const RealScalar diagonal =
numext::abs(m_S(j - 1, j - 1)) + numext::abs(m_S(j, j)) + numext::abs(m_S(j + 1, j + 1));
if (numext::abs(m_S(j, j - 1)) * (numext::abs(X(1)) + numext::abs(X(2))) <=
NumTraits<RealScalar>::epsilon() * numext::abs(X(0)) * diagonal) {
p = j;
break;
}
}
if (p == f) X = shiftColumn(f, l, iter);
const Index m = l - p + 1; // Size of the inner block
Scalar x = X(0), y = X(1), z = X(2);
const PermutationMatrix<3, 3, int> S3(Vector3i(2, 0, 1));
for (Index k = p; k < p + m - 2; k++) {
X << x, y, z;
Vec2 ess;
Scalar tau;
RealScalar beta;
X.makeHouseholder(ess, tau, beta);
// The permutations are needed because the makeHouseHolder-method computes
// the householder transformation in a way that the vector is reflected to
// (1 0 ... 0) instead of (0 ... 0 1)
m_S.template middleRows<3>(k)
.rightCols((std::min)(m_n, m_n - k + 1))
.applyHouseholderOnTheLeft(ess, tau, m_ws.data());
if (k > f && k == p) {
// The reflector spread the negligible S(p, p-1) into the entries below it, which are dropped.
m_S.coeffRef(k + 1, k - 1) = Scalar(0);
m_S.coeffRef(k + 2, k - 1) = Scalar(0);
}
m_T.template middleRows<3>(k).rightCols(m_n - k).applyHouseholderOnTheLeft(ess, tau, m_ws.data());
if (m_computeQZ) m_Q.template middleCols<3>(k).applyHouseholderOnTheRight(ess, numext::conj(tau), m_ws.data());
// Compute Matrix Zk1 s.t. (b(k+2,k) ... b(k+2, k+2)) Zk1 = (0,0,*)
Vec3 bprime = (m_T.template block<1, 3>(k + 2, k) * S3).adjoint();
bprime.makeHouseholder(ess, tau, beta);
auto Sk = m_S.template middleCols<3>(k).topRows((std::min)(k + 4, m_n));
auto Tk = m_T.template middleCols<3>(k).topRows((std::min)(k + 3, m_n));
// Right multiplication by S3 permutes columns as (2, 0, 1); reverse the swaps for S3^T.
Sk.col(0).swap(Sk.col(2));
Sk.col(1).swap(Sk.col(2));
Sk.applyHouseholderOnTheRight(ess, numext::conj(tau), m_ws.data());
Sk.col(1).swap(Sk.col(2));
Sk.col(0).swap(Sk.col(2));
Tk.col(0).swap(Tk.col(2));
Tk.col(1).swap(Tk.col(2));
Tk.applyHouseholderOnTheRight(ess, numext::conj(tau), m_ws.data());
Tk.col(1).swap(Tk.col(2));
Tk.col(0).swap(Tk.col(2));
if (m_computeQZ) {
auto Zk = m_Z.template middleRows<3>(k);
Zk.row(0).swap(Zk.row(2));
Zk.row(1).swap(Zk.row(2));
Zk.applyHouseholderOnTheLeft(ess, tau, m_ws.data());
Zk.row(1).swap(Zk.row(2));
Zk.row(0).swap(Zk.row(2));
}
const JacobiRotation<Scalar> Zk2 = computeZk2(m_T.template block<1, 2>(k + 1, k));
m_S.template middleCols<2>(k).topRows((std::min)(k + 4, m_n)).applyOnTheRight(0, 1, Zk2);
m_T.template middleCols<2>(k).topRows((std::min)(k + 3, m_n)).applyOnTheRight(0, 1, Zk2);
if (m_computeQZ) m_Z.template middleRows<2>(k).applyOnTheLeft(0, 1, Zk2.adjoint());
x = m_S(k + 1, k);
y = m_S(k + 2, k);
if (k < p + m - 3) {
z = m_S(k + 3, k);
}
}
// Find a Householder matrix Qn1 s.t. Qn1 (x y)^T = (* 0)
JacobiRotation<Scalar> J;
J.makeGivens(x, y);
m_S.template middleRows<2>(p + m - 2).applyOnTheLeft(0, 1, J.adjoint());
m_T.template middleRows<2>(p + m - 2).applyOnTheLeft(0, 1, J.adjoint());
if (m_computeQZ) m_Q.template middleCols<2>(p + m - 2).applyOnTheRight(0, 1, J);
// Find a rotation Zn1 s.t. (b(n,n-1) b(n,n)) * Zn1 = (0 *)
const JacobiRotation<Scalar> Zn1 = computeZk2(m_T.template block<1, 2>(p + m - 1, p + m - 2));
m_S.template middleCols<2>(p + m - 2).applyOnTheRight(0, 1, Zn1);
m_T.template middleCols<2>(p + m - 2).applyOnTheRight(0, 1, Zn1);
if (m_computeQZ) m_Z.template middleRows<2>(p + m - 2).applyOnTheLeft(0, 1, Zn1.adjoint());
}
/** \internal we found an undesired non-zero at (i+1,i) on the subdiagonal of S and reduce the block */
template <typename MatrixType_>
void ComplexQZ<MatrixType_>::reduceDiagonal2x2block(Index i) {
// We have found a non-zero on the subdiagonal and want to eliminate it
Mat2 Si = m_S.template block<2, 2>(i, i), Ti = m_T.template block<2, 2>(i, i);
const RealScalar tolT = m_normOfT * NumTraits<RealScalar>::epsilon();
if (is_negligible(Ti(0, 0), tolT)) {
Eigen::JacobiRotation<Scalar> G;
G.makeGivens(m_S(i, i), m_S(i + 1, i));
m_S.applyOnTheLeft(i, i + 1, G.adjoint());
m_T.applyOnTheLeft(i, i + 1, G.adjoint());
if (m_computeQZ) m_Q.applyOnTheRight(i, i + 1, G);
} else if (is_negligible(Ti(1, 1), tolT)) {
Eigen::JacobiRotation<Scalar> G;
G.makeGivens(m_S(i + 1, i + 1), m_S(i + 1, i));
m_S.applyOnTheRight(i, i + 1, G.adjoint());
m_T.applyOnTheRight(i, i + 1, G.adjoint());
if (m_computeQZ) m_Z.applyOnTheLeft(i, i + 1, G);
} else {
Scalar mu = Si(0, 0) / Ti(0, 0);
Scalar a12_bar = Si(0, 1) - mu * Ti(0, 1);
Scalar a22_bar = Si(1, 1) - mu * Ti(1, 1);
Scalar p = Scalar(0.5) * (a22_bar / Ti(1, 1) - Ti(0, 1) * Si(1, 0) / (Ti(0, 0) * Ti(1, 1)));
RealScalar sgn_p = p.real() >= RealScalar(0) ? RealScalar(1) : RealScalar(-1);
Scalar q = Si(1, 0) * a12_bar / (Ti(0, 0) * Ti(1, 1));
Scalar r = p * p + q;
Scalar lambda = mu + p + sgn_p * numext::sqrt(r);
Mat2 E = Si - lambda * Ti;
Index l;
E.rowwise().norm().maxCoeff(&l);
JacobiRotation<Scalar> G;
G.makeGivens(E(l, 1), E(l, 0));
m_S.applyOnTheRight(i, i + 1, G.adjoint());
m_T.applyOnTheRight(i, i + 1, G.adjoint());
if (m_computeQZ) m_Z.applyOnTheLeft(i, i + 1, G);
// The left rotation from T's first column keeps T triangular; the residual ~eps (|S| + |lambda| |T|) of the null
// vector lands in S(i+1, i), where the refinement below removes it.
if (numext::abs(m_T(i, i)) + numext::abs(m_T(i + 1, i)) > tolT)
G.makeGivens(m_T(i, i), m_T(i + 1, i));
else
G.makeGivens(m_S(i, i), m_S(i + 1, i));
m_S.applyOnTheLeft(i, i + 1, G.adjoint());
m_T.applyOnTheLeft(i, i + 1, G.adjoint());
if (m_computeQZ) m_Q.applyOnTheRight(i, i + 1, G);
}
// Rotations formed from lambda can leave S(i+1, i) well above eps (|S(i, i)| + |S(i+1, i+1)|), e.g. for graded T.
// Refine with single-shift QZ steps. With K = T^-1 S = [a b; c d], the Rayleigh quotient shift d = S(i+1, i+1) /
// T(i+1, i+1) maps |c| to |c|^2 |b| / (|a - d|^2 + |c|^2): quadratic for separated eigenvalues, but not monotone. Up
// to four steps run on a copy of the block. Of the prefixes that pass the final test |S(i+1, i)| <= eps m_normOfS, or
// of all if none does, the one with the smallest |S(i+1, i)| / (|S(i, i)| + |S(i+1, i+1)|) is applied.
const auto relativeSubdiagonal = [](const Mat2& s) {
const RealScalar subdiagonal = numext::abs(s(1, 0));
const RealScalar diagonal = numext::abs(s(0, 0)) + numext::abs(s(1, 1));
return subdiagonal <= NumTraits<RealScalar>::epsilon() * diagonal ? RealScalar(0) : subdiagonal / diagonal;
};
JacobiRotation<Scalar> left[4], right[4];
Mat2 Sstep = m_S.template block<2, 2>(i, i), Tstep = m_T.template block<2, 2>(i, i);
const RealScalar tolS = m_normOfS * NumTraits<RealScalar>::epsilon();
RealScalar current = relativeSubdiagonal(Sstep), best = current;
bool bestPasses = is_negligible(Sstep(1, 0), tolS);
int bestSteps = 0;
for (int k = 0; k < 4 && current > RealScalar(0); ++k) {
if (is_negligible(Tstep(1, 1), tolT)) {
// An infinite eigenvalue: deflate it with a rotation of the columns, as in the branch above.
left[k] = JacobiRotation<Scalar>(Scalar(1), Scalar(0));
right[k].makeGivens(Sstep(1, 1), Sstep(1, 0));
right[k] = right[k].adjoint();
} else {
const Scalar shift = Sstep(1, 1) / Tstep(1, 1);
left[k].makeGivens(Sstep(0, 0) - shift * Tstep(0, 0), Sstep(1, 0));
Sstep.applyOnTheLeft(0, 1, left[k].adjoint());
Tstep.applyOnTheLeft(0, 1, left[k].adjoint());
right[k] = computeZk2(Tstep.row(1));
}
Sstep.applyOnTheRight(0, 1, right[k]);
Tstep.applyOnTheRight(0, 1, right[k]);
Tstep(1, 0) = Scalar(0);
current = relativeSubdiagonal(Sstep);
const bool passes = is_negligible(Sstep(1, 0), tolS);
if ((passes && !bestPasses) || (passes == bestPasses && current < best)) {
best = current;
bestPasses = passes;
bestSteps = k + 1;
}
}
for (int k = 0; k < bestSteps; ++k) {
m_S.rightCols(m_n - i).applyOnTheLeft(i, i + 1, left[k].adjoint());
m_T.rightCols(m_n - i).applyOnTheLeft(i, i + 1, left[k].adjoint());
if (m_computeQZ) m_Q.applyOnTheRight(i, i + 1, left[k]);
m_S.topRows(i + 2).applyOnTheRight(i, i + 1, right[k]);
m_T.topRows(i + 2).applyOnTheRight(i, i + 1, right[k]);
m_T(i + 1, i) = Scalar(0);
if (m_computeQZ) m_Z.applyOnTheLeft(i, i + 1, right[k].adjoint());
}
if (!is_negligible(m_S(i + 1, i), tolS)) {
m_info = ComputationInfo::NumericalIssue;
} else {
m_S(i + 1, i) = Scalar(0);
m_T(i + 1, i) = Scalar(0);
}
}
/** \internal We found a zero at T(k,k) and want to "push it down" to T(l,l) */
template <typename MatrixType_>
void ComplexQZ<MatrixType_>::push_down_zero_ST(Index k, Index l) {
JacobiRotation<Scalar> J;
for (Index j = k + 1; j <= l; j++) {
// Create a 0 at _T(j, j)
J.makeGivens(m_T(j - 1, j), m_T(j, j), &m_T.coeffRef(j - 1, j));
if (m_n - j - 1 > 0) {
m_T.rightCols(m_n - j - 1).applyOnTheLeft(j - 1, j, J.adjoint());
}
m_T.coeffRef(j, j) = Scalar(0);
m_S.applyOnTheLeft(j - 1, j, J.adjoint());
if (m_computeQZ) m_Q.applyOnTheRight(j - 1, j, J);
// Delete the non-desired non-zero at _S(j, j-2)
if (j > 1) {
J.makeGivens(numext::conj(m_S(j, j - 1)), numext::conj(m_S(j, j - 2)));
m_S.applyOnTheRight(j - 1, j - 2, J);
m_S(j, j - 2) = Scalar(0);
m_T.applyOnTheRight(j - 1, j - 2, J);
if (m_computeQZ) m_Z.applyOnTheLeft(j - 1, j - 2, J.adjoint());
}
}
// Assume we have the desired structure now, up to the non-zero entry at
// _S(l, l-1) which we will delete through a last right-jacobi-rotation
J.makeGivens(numext::conj(m_S(l, l)), numext::conj(m_S(l, l - 1)));
m_S.topRows(l + 1).applyOnTheRight(l, l - 1, J);
if (!is_negligible(m_S(l, l - 1), m_normOfS * NumTraits<Scalar>::epsilon())) {
m_info = ComputationInfo::NumericalIssue;
} else {
m_S(l, l - 1) = Scalar(0);
}
m_T.topRows(l + 1).applyOnTheRight(l, l - 1, J);
if (m_computeQZ) m_Z.applyOnTheLeft(l, l - 1, J.adjoint());
// Ensure postconditions
if (!is_negligible(m_T(l, l)) || !is_negligible(m_S(l, l - 1))) {
m_info = ComputationInfo::NumericalIssue;
} else {
m_T(l, l) = Scalar(0);
m_S(l, l - 1) = Scalar(0);
}
}
/** \internal Computes vector L1 norms of S and T when in Hessenberg-Triangular form already */
template <typename MatrixType_>
void ComplexQZ<MatrixType_>::computeNorms() {
m_normOfS = internal::hessenberg_abs_sum<Upper>(m_S);
m_normOfT = internal::triangular_abs_sum<Upper>(m_T);
}
/** \internal Look for single small sub-diagonal element S(res, res-1) and return res (or 0). Copied from Eigen3 RealQZ
* implementation */
template <typename MatrixType_>
inline Index ComplexQZ<MatrixType_>::findSmallSubdiagEntry(Index iu) {
Index res = iu;
while (res > 0) {
RealScalar s = numext::abs(m_S.coeff(res - 1, res - 1)) + numext::abs(m_S.coeff(res, res));
if (s == Scalar(0)) s = m_normOfS;
if (numext::abs(m_S.coeff(res, res - 1)) < NumTraits<RealScalar>::epsilon() * s) break;
res--;
}
return res;
}
/** \internal Look for single small diagonal element T(res, res) for res between f and l, and return res (or f-1).
* Copied from Eigen3 RealQZ implementation. */
template <typename MatrixType_>
inline Index ComplexQZ<MatrixType_>::findSmallDiagEntry(Index f, Index l) {
Index res = l;
while (res >= f) {
if (numext::abs(m_T.coeff(res, res)) <= NumTraits<RealScalar>::epsilon() * m_normOfT) break;
res--;
}
return res;
}
} // namespace Eigen
#endif // EIGEN_COMPLEX_QZ_H_