blob: 73d88a906986919347ce8f5b222e1c068e0aebcb [file]
// This file is part of Eigen, a lightweight C++ template library
// for linear algebra.
//
// 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-FileCopyrightText: The Eigen Authors
// SPDX-License-Identifier: MPL-2.0
// References:
// [1] C. F. Van Loan, "The ubiquitous Kronecker product", Journal of
// Computational and Applied Mathematics 123 (2000), 85-100. The vec
// identity driving every product and solve below -- stated there as
// Y = C X B^T <=> vec(Y) = (B (x) C) vec(X), i.e. with this file's
// operand naming (A (x) B) vec(X) = vec(B X A^T) -- together with the
// factor-wise identities for the inverse, pseudo-inverse,
// eigendecomposition, SVD and determinant of a Kronecker product.
// [2] N. J. Higham, "Accuracy and Stability of Numerical Algorithms", 2nd ed.,
// SIAM, 2002, chapter 27. Avoiding spurious overflow by rescaling with
// powers of two, the technique behind the scaled vec-trick products, the
// normalized-frame solves, the exponent-split pseudo-inversion and the
// exponent-balanced determinant.
// [3] P. H. Sterbenz, "Floating-Point Computation", Prentice-Hall, 1974.
// Scaling by a power of two is exact, the property every rescaling in this
// file relies on.
#ifndef EIGEN_STRUCTURED_KRONECKER_OPERATOR_H
#define EIGEN_STRUCTURED_KRONECKER_OPERATOR_H
// IWYU pragma: private
#include "./InternalHeaderCheck.h"
namespace Eigen {
template <typename LhsMatrix, typename RhsMatrix>
class KroneckerOperator;
namespace internal {
template <typename LhsMatrix, typename RhsMatrix>
struct traits<KroneckerOperator<LhsMatrix, RhsMatrix>> {
using Scalar = typename LhsMatrix::Scalar;
using StorageKind = Dense;
using XprKind = MatrixXpr;
using StorageIndex = int;
// size_at_compile_time is the compile-time dimension product, Dynamic when a
// factor is unknown or the product would overflow int.
static constexpr int RowsAtCompileTime =
size_at_compile_time(traits<LhsMatrix>::RowsAtCompileTime, traits<RhsMatrix>::RowsAtCompileTime);
static constexpr int ColsAtCompileTime =
size_at_compile_time(traits<LhsMatrix>::ColsAtCompileTime, traits<RhsMatrix>::ColsAtCompileTime);
static constexpr int MaxRowsAtCompileTime = RowsAtCompileTime;
static constexpr int MaxColsAtCompileTime = ColsAtCompileTime;
// Deliberately no NestByRefBit: transpose(), conjugate(), adjoint(), inverse(),
// eigenvectors(), matrixU() and matrixV() return owning temporaries (the
// operator stores its factors by value), so Product must nest the operator by
// value for a delayed-evaluated product expression to keep its left factor
// alive. The copy is O(m1 n1 + m2 n2), negligible against the product
// evaluation.
static constexpr int Flags = 0;
};
template <typename LhsMatrix, typename RhsMatrix>
struct evaluator_traits<KroneckerOperator<LhsMatrix, RhsMatrix>> {
using Kind = IndexBased;
using Shape = StructuredShape;
};
// KroneckerOperator accepts two kinds of factors: plain dense matrices and
// diagonal matrices. The kron_factor_* helpers below concentrate every
// operation whose implementation depends on the factor kind, so the operator
// itself keeps a single implementation. A diagonal factor is stored as its
// diagonal (O(n) instead of O(n^2)), its side of the vec-trick products is a
// diagonal scaling instead of a GEMM, its solve is an entrywise division
// instead of an LU substitution, and its transposition family, inverse and
// determinant never leave diagonal form.
template <typename Factor>
struct kron_factor_is_diagonal : std::false_type {};
template <typename Scalar, int Size, int MaxSize>
struct kron_factor_is_diagonal<DiagonalMatrix<Scalar, Size, MaxSize>> : std::true_type {};
template <typename Factor>
struct kron_factor_is_dense_matrix : std::false_type {};
template <typename Scalar, int Rows, int Cols, int Options, int MaxRows, int MaxCols>
struct kron_factor_is_dense_matrix<Matrix<Scalar, Rows, Cols, Options, MaxRows, MaxCols>> : std::true_type {};
/** \internal \returns the expression of \a M rescaled by \c 2^e entrywise
* (componentwise for complex scalars): exact where the result is representable,
* with correct saturation to 0/Inf and correctly rounded subnormals beyond --
* unlike a multiplication by \c 2^e, whose factor may itself be
* unrepresentable. Coefficient-wise, hence safe to assign onto \a M itself.
* The expression holds \a M by reference: consume it within the full
* expression that builds it. */
template <typename Xpr>
auto kron_ldexp_entries(const Xpr& M, int e) {
using Scalar = typename Xpr::Scalar;
return M.unaryExpr([e](const Scalar& z) { return structured_ldexp_clamped(z, Index(e)); });
}
template <typename Factor, bool IsDiagonal = kron_factor_is_diagonal<Factor>::value>
struct kron_factor_ops {
// Dense factor.
using Scalar = typename Factor::Scalar;
using RealScalar = typename NumTraits<Scalar>::Real;
using TransposedFactor = Matrix<Scalar, Factor::ColsAtCompileTime, Factor::RowsAtCompileTime>;
using InverseFactor = Matrix<Scalar, Dynamic, Dynamic, ColMajor>;
static auto transposed(const Factor& f) { return f.transpose(); }
static auto conjugated(const Factor& f) { return f.conjugate(); }
static auto adjointed(const Factor& f) { return f.adjoint(); }
static auto inversed(const Factor& f) { return f.inverse(); }
// The factor as a dense expression, for the decomposition family.
static const Factor& denseFactor(const Factor& f) { return f; }
// The right operand op(F) of the vec-trick product Y = B X op(A): the
// transpose for a dense factor, the factor itself for a diagonal one.
static auto transposedOperand(const Factor& f) { return f.transpose(); }
static bool allFinite(const Factor& f) { return f.allFinite(); }
static int exponentBound(const Factor& f) { return structured_exponent_bound(f); }
/** \internal \returns the dot-product growth bits of a product contracting
* over \a n entries of this factor. Cast to an unsigned type deliberately:
* the generic count_bits_impl fallback static_asserts on unsignedness, and
* only the GCC/Clang and MSVC specialisations accept a signed Index. */
static int growthBits(Index n) { return log2_floor(static_cast<numext::uint64_t>(n)) + 1; }
/** \internal \returns the mantissa of \c det(M) in the balanced form
* \c m * 2^e, adding \c e into \a exponent: the determinant is accumulated
* directly from the LU diagonal (times the permutation sign), each entry and
* the running product renormalized by \c structured_balance. */
static Scalar balancedDet(const Factor& M, Index& exponent) {
PartialPivLU<Factor> lu(M);
Scalar m = Scalar(RealScalar(lu.permutationP().determinant())); // +-1
for (Index i = 0; i < M.rows(); ++i)
m = structured_balance(m * structured_balance(lu.matrixLU().coeff(i, i), exponent), exponent);
return m;
}
};
template <typename Factor>
struct kron_factor_ops<Factor, true> {
// Diagonal factor: everything runs on the stored diagonal vector.
using Scalar = typename Factor::Scalar;
using TransposedFactor = typename Factor::PlainObject; // a diagonal matrix is its own transpose
using InverseFactor = typename Factor::PlainObject; // entrywise reciprocals stay diagonal
static const Factor& transposed(const Factor& f) { return f; }
static auto conjugated(const Factor& f) { return f.diagonal().conjugate().asDiagonal(); }
static auto adjointed(const Factor& f) { return f.diagonal().conjugate().asDiagonal(); }
static auto inversed(const Factor& f) { return f.inverse(); }
static typename Factor::DenseMatrixType denseFactor(const Factor& f) { return f.toDenseMatrix(); }
static const Factor& transposedOperand(const Factor& f) { return f; }
static bool allFinite(const Factor& f) { return f.diagonal().allFinite(); }
static int exponentBound(const Factor& f) { return structured_exponent_bound(f.diagonal()); }
// A diagonal product has no accumulation, hence no dot-product growth.
static int growthBits(Index) { return 0; }
static Scalar balancedDet(const Factor& D, Index& exponent) {
Scalar m(1);
for (Index i = 0; i < D.rows(); ++i)
m = structured_balance(m * structured_balance(D.diagonal().coeff(i), exponent), exponent);
return m;
}
};
/** \internal Per-factor solve adapter for KroneckerOperator::solve(). Both
* kinds normalize the factor by an exact power of two up front and then solve
* per right-hand-side column in the shared normalized frame; the caller folds
* the removed \c exponent() back together with the other factor's and the
* column's. A dense factor is LU-factorized once; a diagonal factor is solved
* by entrywise division, whose intermediates are bounded by the factor's
* conditioning exactly like the substitutions of the LU path (and each
* division saturates per entry, like every step of a substitution). */
template <typename Factor, bool IsDiagonal = kron_factor_is_diagonal<Factor>::value>
class kron_factor_solver {
public:
using Scalar = typename Factor::Scalar;
using DenseMatrix = Matrix<Scalar, Dynamic, Dynamic, ColMajor>;
explicit kron_factor_solver(const Factor& f)
: m_exponent(structured_exponent_bound(f)), m_lu(kron_ldexp_entries(f, -m_exponent)) {}
int exponent() const { return m_exponent; }
/** \internal \returns \f$ F_{norm}^{-1} M \f$. */
template <typename Xpr>
DenseMatrix solveLeft(const Xpr& M) const {
return m_lu.solve(M);
}
/** \internal \returns \f$ M F_{norm}^{-T} \f$. */
template <typename Xpr>
DenseMatrix solveTransposedRight(const Xpr& M) const {
return m_lu.solve(M.transpose()).transpose();
}
private:
int m_exponent;
PartialPivLU<DenseMatrix> m_lu;
};
template <typename Factor>
class kron_factor_solver<Factor, true> {
public:
using Scalar = typename Factor::Scalar;
using DenseMatrix = Matrix<Scalar, Dynamic, Dynamic, ColMajor>;
explicit kron_factor_solver(const Factor& f)
: m_exponent(structured_exponent_bound(f.diagonal())), m_d(kron_ldexp_entries(f.diagonal(), -m_exponent)) {}
int exponent() const { return m_exponent; }
template <typename Xpr>
DenseMatrix solveLeft(const Xpr& M) const {
return (M.array().colwise() / m_d.array()).matrix();
}
template <typename Xpr>
DenseMatrix solveTransposedRight(const Xpr& M) const {
return (M.array().rowwise() / m_d.transpose().array()).matrix();
}
private:
int m_exponent;
typename Factor::DiagonalVectorType m_d;
};
} // namespace internal
/** \ingroup StructuredMatrices_Module
* \class KroneckerOperator
* \brief The Kronecker product \f$ A \otimes B \f$ as an implicit operator that is
* never materialized.
*
* For \c A of size \c m1 x \c n1 and \c B of size \c m2 x \c n2, the Kronecker
* product is the \c m1*m2 x \c n1*n2 block matrix whose block \c (i,j) is
* \c A(i,j)*B. This class stores only the two factors and evaluates every
* operation through them:
*
* - the matrix-vector product uses the vec identity
* \f$ (A \otimes B)\,\mathrm{vec}(X) = \mathrm{vec}(B X A^T) \f$, costing
* O(m2 n2 n1 + m2 n1 m1) instead of the O(m1 m2 n1 n2) of a materialized
* product;
* - linear solves and \ref inverse factor through decompositions of \c A and
* \c B (\f$ (A \otimes B)^{-1} = A^{-1} \otimes B^{-1} \f$); \ref rank and
* minimum-norm least-squares solves (\f$ (A \otimes B)^+ = A^+ \otimes B^+ \f$)
* go through the factor SVDs, thresholding the pairwise singular-value
* products \f$ \sigma_i(A)\,\sigma_j(B) \f$ -- the singular values of the
* Kronecker product -- at the product level;
* - the eigendecomposition and the (thin) SVD are Kronecker products of the
* factor decompositions: the eigenvector and singular-vector matrices are
* returned as \c KroneckerOperator objects themselves, never materialized;
* - \ref determinant uses \f$ \det(A \otimes B) = \det(A)^{n_2}\det(B)^{n_1} \f$,
* accumulated in an exponent-balanced form so it neither overflows nor
* underflows when the result is representable.
*
* The class is closed under \ref transpose, \ref conjugate and \ref adjoint
* (\f$ (A \otimes B)^T = A^T \otimes B^T \f$). \c operator* returns an Eigen
* product expression, so the operator plugs into the matrix-free iterative
* solvers, and it can be assigned to a dense matrix when an explicit
* representation is needed. As with any matrix-free operator, the iterative
* solvers must be instantiated with \c IdentityPreconditioner (e.g.
* \c ConjugateGradient<KroneckerOperator<MatrixXd,MatrixXd>,Lower|Upper,IdentityPreconditioner>):
* the default preconditioners read individual coefficients through \c col() or
* \c InnerIterator, which the structured operators do not expose.
*
* In contrast to \c kroneckerProduct() (the KroneckerProduct module), which
* builds an expression meant to be evaluated into a dense matrix, this class is
* an operator meant to be applied and solved with, without ever forming the
* product.
*
* Either factor may be a \c DiagonalMatrix, with the identity as the
* unit-diagonal special case. A diagonal factor is stored as its diagonal --
* O(n) instead of O(n^2) -- its side of every product is a diagonal scaling
* instead of a GEMM, \ref solve divides entrywise instead of factorizing, and
* \ref transpose, \ref conjugate, \ref adjoint, \ref inverse and
* \ref determinant never leave diagonal form. This covers the
* identity-Kronecker operators \f$ I \otimes A \f$ and \f$ A \otimes I \f$
* ubiquitous in finite-difference and Sylvester/Lyapunov settings, e.g.
* \code
* auto K = makeKroneckerOperator(VectorXd::Ones(p).asDiagonal(), A); // I_p (x) A, applied in O(p m n)
* \endcode
* The decomposition family (\ref eigenvalues, \ref eigenvectors,
* \ref singularValues, \ref matrixU, \ref matrixV, \ref leastSquaresSolve,
* \ref rank) currently materializes a diagonal factor densely for the factor
* decomposition.
*
* \tparam LhsMatrix the plain type of the left factor \c A: a dense \c Matrix,
* or a \c DiagonalMatrix to exploit diagonal structure.
* \tparam RhsMatrix the plain type of the right factor \c B, under the same
* convention; its scalar type must match that of \c LhsMatrix.
*
* \sa makeKroneckerOperator(), class Circulant, class Toeplitz
*/
template <typename LhsMatrix, typename RhsMatrix>
class KroneckerOperator : public EigenBase<KroneckerOperator<LhsMatrix, RhsMatrix>> {
public:
using Scalar = typename LhsMatrix::Scalar;
using RealScalar = typename NumTraits<Scalar>::Real;
using StorageIndex = int;
using ComplexScalar = std::complex<RealScalar>;
// The vec-trick reshapes below identify a vector of length n1*n2 with an
// n2 x n1 matrix whose columns are stacked, so every workspace taking part
// in a reshape is pinned to ColMajor explicitly: the semantics must not
// change under EIGEN_DEFAULT_TO_ROW_MAJOR.
using DenseMatrix = Matrix<Scalar, Dynamic, Dynamic, ColMajor>;
using DenseVector = Matrix<Scalar, Dynamic, 1>;
using RealVector = Matrix<RealScalar, Dynamic, 1>;
using ComplexMatrix = Matrix<ComplexScalar, Dynamic, Dynamic, ColMajor>;
using ComplexVector = Matrix<ComplexScalar, Dynamic, 1>;
static_assert(std::is_same<Scalar, typename RhsMatrix::Scalar>::value,
"KroneckerOperator requires both factors to have the same scalar type");
static_assert((internal::kron_factor_is_dense_matrix<LhsMatrix>::value ||
internal::kron_factor_is_diagonal<LhsMatrix>::value) &&
(internal::kron_factor_is_dense_matrix<RhsMatrix>::value ||
internal::kron_factor_is_diagonal<RhsMatrix>::value),
"KroneckerOperator factors must be plain Matrix or DiagonalMatrix types (owning their storage: "
"views and expressions would dangle)");
private:
// Factor-kind dispatch (dense vs diagonal), see kron_factor_ops.
using LhsOps = internal::kron_factor_ops<LhsMatrix>;
using RhsOps = internal::kron_factor_ops<RhsMatrix>;
public:
static constexpr int RowsAtCompileTime =
internal::size_at_compile_time(LhsMatrix::RowsAtCompileTime, RhsMatrix::RowsAtCompileTime);
static constexpr int ColsAtCompileTime =
internal::size_at_compile_time(LhsMatrix::ColsAtCompileTime, RhsMatrix::ColsAtCompileTime);
static constexpr int MaxRowsAtCompileTime = RowsAtCompileTime;
static constexpr int MaxColsAtCompileTime = ColsAtCompileTime;
static constexpr int SizeAtCompileTime = internal::size_at_compile_time(RowsAtCompileTime, ColsAtCompileTime);
static constexpr int MaxSizeAtCompileTime = SizeAtCompileTime;
static constexpr bool IsRowMajor = false;
// Deliberately no IsVectorAtCompileTime: Ref<const KroneckerOperator>'s default
// StrideType argument reads it, so its absence makes internal::is_ref_compatible
// SFINAE to false and keeps the iterative solvers on their matrix-free path.
/** Builds the operator \c A (x) \c B from the two factors, which are copied. */
template <typename LhsDerived, typename RhsDerived>
KroneckerOperator(const MatrixBase<LhsDerived>& a, const MatrixBase<RhsDerived>& b) : m_A(a), m_B(b) {
eigen_assert(m_A.size() > 0 && m_B.size() > 0 && "KroneckerOperator factors must be non-empty");
}
/** Builds the operator from a diagonal left factor, which is stored as its diagonal. */
template <typename LhsDerived, typename RhsDerived>
KroneckerOperator(const DiagonalBase<LhsDerived>& a, const MatrixBase<RhsDerived>& b) : m_A(a), m_B(b) {
eigen_assert(m_A.size() > 0 && m_B.size() > 0 && "KroneckerOperator factors must be non-empty");
}
/** Builds the operator from a diagonal right factor, which is stored as its diagonal. */
template <typename LhsDerived, typename RhsDerived>
KroneckerOperator(const MatrixBase<LhsDerived>& a, const DiagonalBase<RhsDerived>& b) : m_A(a), m_B(b) {
eigen_assert(m_A.size() > 0 && m_B.size() > 0 && "KroneckerOperator factors must be non-empty");
}
/** Builds the operator from two diagonal factors; the operator itself is then diagonal. */
template <typename LhsDerived, typename RhsDerived>
KroneckerOperator(const DiagonalBase<LhsDerived>& a, const DiagonalBase<RhsDerived>& b) : m_A(a), m_B(b) {
eigen_assert(m_A.size() > 0 && m_B.size() > 0 && "KroneckerOperator factors must be non-empty");
}
EIGEN_DEVICE_FUNC Index rows() const { return m_A.rows() * m_B.rows(); }
EIGEN_DEVICE_FUNC Index cols() const { return m_A.cols() * m_B.cols(); }
/** \returns the left factor \c A. */
const LhsMatrix& lhs() const { return m_A; }
/** \returns the right factor \c B. */
const RhsMatrix& rhs() const { return m_B; }
/** \returns the coefficient at row \a row and column \a col. */
Scalar coeff(Index row, Index col) const {
const Index m2 = m_B.rows(), n2 = m_B.cols();
return m_A.coeff(row / m2, col / n2) * m_B.coeff(row % m2, col % n2);
}
/** \returns the transpose \f$ A^T \otimes B^T \f$, itself a Kronecker
* operator. A diagonal factor stays diagonal (it is its own transpose). */
KroneckerOperator<typename LhsOps::TransposedFactor, typename RhsOps::TransposedFactor> transpose() const {
return {LhsOps::transposed(m_A), RhsOps::transposed(m_B)};
}
/** \returns the conjugate \f$ \bar A \otimes \bar B \f$, itself a Kronecker operator. */
KroneckerOperator conjugate() const { return {LhsOps::conjugated(m_A), RhsOps::conjugated(m_B)}; }
/** \returns the adjoint \f$ A^H \otimes B^H \f$, itself a Kronecker
* operator. A diagonal factor stays diagonal (its adjoint is its conjugate). */
KroneckerOperator<typename LhsOps::TransposedFactor, typename RhsOps::TransposedFactor> adjoint() const {
return {LhsOps::adjointed(m_A), RhsOps::adjointed(m_B)};
}
/** \returns the solution of \c (*this) * x = b for \b square factors, obtained
* from one LU decomposition per dense factor (a diagonal factor is solved by
* entrywise division instead): reshaping \c b column-wise as
* \c mat(b) of size \c n2 x \c n1, the system reads \f$ B X A^T = \mathrm{mat}(b) \f$,
* so \f$ X = B^{-1} \mathrm{mat}(b) A^{-T} \f$. Supports multiple right-hand
* sides at O(n1^3 + n2^3 + nrhs (n1 + n2) n1 n2) total cost for dense
* factors; a diagonal factor contributes only O(nrhs n1 n2) per application.
*
* The solves run in a normalized frame [2][3]: the factors and each right-hand
* side are rescaled to unit magnitude by exact powers of two, and the combined
* exponent is folded back into the solution entrywise afterwards. In the raw
* frame the intermediate \f$ B^{-1} \mathrm{mat}(b) \f$ can overflow, or
* silently underflow to zero, on factor magnitudes alone even when the
* solution is representable (the subsequent \f$ A^{-T} \f$ rescales it: think
* \c B huge and \c A tiny); in the normalized frame the intermediates are
* bounded by the conditioning of the factors, and the final fold saturates to
* 0/Inf exactly when the true solution leaves the representable range.
* Partial pivoting is invariant under the uniform power-of-two normalization
* and every substitution step scales exactly with it, so the result is
* bit-identical to the unnormalized evaluation whenever that evaluation
* encounters no intermediate over- or underflow.
* \warning Both factors must be invertible, like in \c PartialPivLU; use
* \ref leastSquaresSolve for rank-deficient or rectangular factors. */
template <typename Rhs>
Matrix<Scalar, ColsAtCompileTime, Rhs::ColsAtCompileTime> solve(const MatrixBase<Rhs>& b) const {
EIGEN_STATIC_ASSERT(RowsAtCompileTime == Dynamic || Rhs::RowsAtCompileTime == Dynamic ||
int(RowsAtCompileTime) == int(Rhs::RowsAtCompileTime),
YOU_MIXED_MATRICES_OF_DIFFERENT_SIZES)
const Index n1 = m_A.cols(), n2 = m_B.cols();
eigen_assert(m_A.rows() == n1 && m_B.rows() == n2 && "KroneckerOperator::solve requires square factors");
eigen_assert(b.rows() == n1 * n2 && "right-hand side has the wrong number of rows");
// The exponent bounds are 0 for zero or non-finite data, which is then left
// unnormalized (Inf/NaN propagate through the substitutions as usual).
const internal::kron_factor_solver<LhsMatrix> solverA(m_A);
const internal::kron_factor_solver<RhsMatrix> solverB(m_B);
Matrix<Scalar, ColsAtCompileTime, Rhs::ColsAtCompileTime> x(n1 * n2, b.cols());
DenseVector bc(n1 * n2);
DenseMatrix X(n2, n1);
for (Index k = 0; k < b.cols(); ++k) {
bc = b.col(k);
const int ec = internal::structured_exponent_bound(bc);
if (ec != 0) bc = internal::kron_ldexp_entries(bc, -ec);
X = solverA.solveTransposedRight(solverB.solveLeft(bc.reshaped(n2, n1)));
// Fold the combined exponent back. The entrywise ldexp saturates exactly
// where the true solution over- or underflows; a multiplicative fold could
// not (the combined exponent can exceed the representable range of any
// fixed number of power-of-two factors).
const int e = ec - solverA.exponent() - solverB.exponent();
if (e != 0) X = internal::kron_ldexp_entries(X, e);
x.col(k) = X.reshaped();
}
return x;
}
/** \returns the minimum-norm least-squares solution of \c (*this) * x = b,
* through one SVD per factor: with \f$ A = U_A \Sigma_A V_A^H \f$ and
* \f$ B = U_B \Sigma_B V_B^H \f$, the SVD of the product is
* \f$ (U_A \otimes U_B)(\Sigma_A \otimes \Sigma_B)(V_A \otimes V_B)^H \f$, and
* the pseudo-inverse is applied via the vec identity. The singular values of
* the product are the pairwise products \f$ \sigma_i(A)\,\sigma_j(B) \f$, so
* the truncation thresholds those products against the product-level
* threshold of \ref rank, in the same overflow-safe ratio form -- factor-wise
* truncation would invert modes that are negligible at the product level.
* Handles rectangular and rank-deficient factors. Supports multiple
* right-hand sides.
*
* Unlike \ref solve, no rescaling of the intermediates is needed here: the
* projection and back-transformation matrices have orthonormal columns, so no
* intermediate can outgrow the data by more than a dimension factor, exactly
* as in a dense product. */
template <typename Rhs>
Matrix<Scalar, ColsAtCompileTime, Rhs::ColsAtCompileTime> leastSquaresSolve(const MatrixBase<Rhs>& b) const {
EIGEN_STATIC_ASSERT(RowsAtCompileTime == Dynamic || Rhs::RowsAtCompileTime == Dynamic ||
int(RowsAtCompileTime) == int(Rhs::RowsAtCompileTime),
YOU_MIXED_MATRICES_OF_DIFFERENT_SIZES)
const Index m1 = m_A.rows(), m2 = m_B.rows();
eigen_assert(b.rows() == m1 * m2 && "right-hand side has the wrong number of rows");
BDCSVD<DenseMatrix, ComputeThinU | ComputeThinV> svdA(LhsOps::denseFactor(m_A)), svdB(RhsOps::denseFactor(m_B));
const RealVector sa = svdA.singularValues(), sb = svdB.singularValues();
const RealScalar tol = relativeRankThreshold();
const Index kA = sa.size(), kB = sb.size();
Matrix<Scalar, ColsAtCompileTime, Rhs::ColsAtCompileTime> x(cols(), b.cols());
if (sa[0] == RealScalar(0) || sb[0] == RealScalar(0)) {
// An exactly zero factor zeroes the whole operator, whose pseudo-inverse is
// zero (and the singular-value ratios below would be 0/0).
x.setZero();
return x;
}
DenseVector bc(m1 * m2);
DenseMatrix M(kB, kA), X(m_B.cols(), m_A.cols());
for (Index k = 0; k < b.cols(); ++k) {
bc = b.col(k);
// By [1], M = U_B^H mat(b) conj(U_A) matricizes (U_A (x) U_B)^H b.
M.noalias() = svdB.matrixU().adjoint() * bc.reshaped(m2, m1) * svdA.matrixU().conjugate();
// Invert only the pairwise products at/above the product-level threshold
// and the smallest normal number, both decided like in rank(). The negated
// ratio comparison keeps NaN ratios in the inverted set, so a NaN input
// propagates to the output instead of being silently zeroed. The division
// splits each singular value into mantissa and exponent [2]: the product
// sigma_i(B) * sigma_j(A) itself can overflow, or underflow to zero, even
// when the quotient is representable. Applying the exact power of two
// first keeps every intermediate within a factor of four of the true
// quotient.
for (Index j = 0; j < kA; ++j)
for (Index i = 0; i < kB; ++i) {
if (!((sa[j] / sa[0]) * (sb[i] / sb[0]) < tol) && reachesMinNormal(sa[j], sb[i])) {
int ea, eb;
const RealScalar ma = std::frexp(sa[j], &ea), mb = std::frexp(sb[i], &eb);
M(i, j) = internal::structured_ldexp_clamped(M(i, j), Index(-(ea + eb))) / (ma * mb);
} else {
M(i, j) = Scalar(0);
}
}
X.noalias() = svdB.matrixV() * M * svdA.matrixV().transpose();
x.col(k) = X.reshaped();
}
return x;
}
/** \returns the numerical rank: the number of pairwise singular-value products
* \f$ \sigma_i(A)\,\sigma_j(B) \f$ -- the singular values of the Kronecker
* product -- that reach the threshold
* \c min(rows(),cols()) * epsilon * sigma_max(A) * sigma_max(B) (the
* \c SVDBase convention), and that reach the smallest normal number (the
* \c SVDBase threshold clamp, so subnormal products count as exact zeros).
* The relative comparison is made in ratio space,
* \f$ (\sigma_i(A)/\sigma_{max}(A))(\sigma_j(B)/\sigma_{max}(B)) \f$ against
* \c min(rows(),cols()) * epsilon, and the clamp in exponent space, so that
* neither the thresholds nor the products can spuriously under- or overflow.
* This is the same threshold \ref leastSquaresSolve uses to decide which
* modes to invert. Thresholding the products matters: factors that are each
* full rank against their own threshold can still form pairwise products
* that are negligible at the product level, so the rank can be smaller than
* the product of the factor ranks. */
Index rank() const {
BDCSVD<DenseMatrix> svdA(LhsOps::denseFactor(m_A)), svdB(RhsOps::denseFactor(m_B));
const RealVector sa = svdA.singularValues(), sb = svdB.singularValues();
// An exactly zero factor zeroes the whole operator (and would make the
// ratios below 0/0).
if (sa[0] == RealScalar(0) || sb[0] == RealScalar(0)) return 0;
const RealScalar tol = relativeRankThreshold();
Index r = 0;
for (Index i = 0; i < sa.size(); ++i)
for (Index j = 0; j < sb.size(); ++j)
// Negated ratio comparison so NaN ratios count as non-zero.
if (!((sa[i] / sa[0]) * (sb[j] / sb[0]) < tol) && reachesMinNormal(sa[i], sb[j])) ++r;
return r;
}
/** \returns the inverse \f$ A^{-1} \otimes B^{-1} \f$, itself a Kronecker
* operator, for square invertible factors. A diagonal factor's inverse stays
* diagonal (entrywise reciprocals). */
KroneckerOperator<typename LhsOps::InverseFactor, typename RhsOps::InverseFactor> inverse() const {
eigen_assert(m_A.rows() == m_A.cols() && m_B.rows() == m_B.cols() &&
"KroneckerOperator::inverse requires square factors");
return {LhsOps::inversed(m_A), RhsOps::inversed(m_B)};
}
/** \returns the determinant \f$ \det(A)^{n_2} \det(B)^{n_1} \f$ for square
* factors \c A of size \c n1 and \c B of size \c n2. The product is
* accumulated from the factor LU diagonals (from the diagonal itself for a
* diagonal factor, skipping the LU) in the balanced form \c m * 2^e --
* every factor and the running product are renormalized to unit magnitude
* with the power of two tracked separately -- so the partial products (in
* particular \c det(A) and \c det(B) themselves, which can overflow or
* underflow on their own) never leave the representable range when the
* determinant itself is representable. */
Scalar determinant() const {
eigen_assert(m_A.rows() == m_A.cols() && m_B.rows() == m_B.cols() &&
"KroneckerOperator::determinant requires square factors");
Index exponent = 0;
Scalar mant = balancedDetPow(m_A, m_B.cols(), exponent);
mant = internal::structured_balance(mant * balancedDetPow(m_B, m_A.cols(), exponent), exponent);
return internal::structured_ldexp_clamped(mant, exponent);
}
/** \returns the eigenvalues for square factors, in Kronecker order: entry
* \c i*n2 + j is \f$ \lambda_i(A)\,\mu_j(B) \f$, matching column \c i*n2 + j of
* \ref eigenvectors. The set is not sorted -- there is no canonical eigenvalue
* order, and sorting would break the Kronecker structure of the eigenvector
* matrix. */
ComplexVector eigenvalues() const {
eigen_assert(m_A.rows() == m_A.cols() && m_B.rows() == m_B.cols() &&
"KroneckerOperator::eigenvalues requires square factors");
ComplexEigenSolver<ComplexMatrix> esA(LhsOps::denseFactor(m_A).template cast<ComplexScalar>(),
/*computeEigenvectors=*/false);
ComplexEigenSolver<ComplexMatrix> esB(RhsOps::denseFactor(m_B).template cast<ComplexScalar>(),
/*computeEigenvectors=*/false);
eigen_assert(esA.info() == Success && esB.info() == Success);
// Column-major stacking of the nB x nA outer product puts mu_j(B) lambda_i(A)
// at index i*nB + j, the Kronecker order.
return (esB.eigenvalues() * esA.eigenvalues().transpose()).reshaped();
}
/** \returns the matrix of eigenvectors \f$ V_A \otimes V_B \f$ for square
* factors -- itself a Kronecker operator, never materialized. Column
* \c i*n2 + j is \f$ v_i(A) \otimes v_j(B) \f$ and matches
* \c eigenvalues()[i*n2 + j]. Assign it to a dense matrix to materialize. */
KroneckerOperator<ComplexMatrix, ComplexMatrix> eigenvectors() const {
eigen_assert(m_A.rows() == m_A.cols() && m_B.rows() == m_B.cols() &&
"KroneckerOperator::eigenvectors requires square factors");
ComplexEigenSolver<ComplexMatrix> esA(LhsOps::denseFactor(m_A).template cast<ComplexScalar>());
ComplexEigenSolver<ComplexMatrix> esB(RhsOps::denseFactor(m_B).template cast<ComplexScalar>());
eigen_assert(esA.info() == Success && esB.info() == Success);
return {esA.eigenvectors(), esB.eigenvectors()};
}
/** \returns the singular values of the thin SVD
* \f$ A \otimes B = U \Sigma V^H \f$ in Kronecker order: entry \c i*k_B + j is
* \f$ \sigma_i(A)\,\sigma_j(B) \f$ with \c k_A, \c k_B the factor thin ranks
* \c min(rows, cols), matching the columns of \ref matrixU and \ref matrixV.
* The values are not sorted (sorting would break the Kronecker structure of
* \c U and \c V); for rectangular shapes the full SVD pads this set with
* \c min(rows(),cols()) - k_A*k_B structural zeros. */
RealVector singularValues() const {
BDCSVD<DenseMatrix> svdA(LhsOps::denseFactor(m_A)), svdB(RhsOps::denseFactor(m_B));
// Column-major stacking of the kB x kA outer product puts sigma_j(B) sigma_i(A)
// at index i*kB + j, the Kronecker order.
return (svdB.singularValues() * svdA.singularValues().transpose()).reshaped();
}
/** \returns the left singular vectors \f$ U_A \otimes U_B \f$ of the thin SVD,
* itself a Kronecker operator with orthonormal columns; column \c i*k_B + j
* matches \c singularValues()[i*k_B + j]. */
KroneckerOperator<DenseMatrix, DenseMatrix> matrixU() const {
BDCSVD<DenseMatrix, ComputeThinU> svdA(LhsOps::denseFactor(m_A)), svdB(RhsOps::denseFactor(m_B));
return {svdA.matrixU(), svdB.matrixU()};
}
/** \returns the right singular vectors \f$ V_A \otimes V_B \f$ of the thin SVD,
* itself a Kronecker operator with orthonormal columns; column \c i*k_B + j
* matches \c singularValues()[i*k_B + j]. */
KroneckerOperator<DenseMatrix, DenseMatrix> matrixV() const {
BDCSVD<DenseMatrix, ComputeThinV> svdA(LhsOps::denseFactor(m_A)), svdB(RhsOps::denseFactor(m_B));
return {svdA.matrixV(), svdB.matrixV()};
}
/** \internal Writes the dense representation into \a dst, block by block.
* Invoked through \c dense = kron; A diagonal \c B writes each block through
* the diagonal-to-dense assignment (zeros plus the diagonal); a diagonal \c A
* contributes zero blocks off its diagonal, which the assignment writes out.
*/
template <typename Dest>
void evalTo(Dest& dst) const {
const Index m2 = m_B.rows(), n2 = m_B.cols();
for (Index j = 0; j < m_A.cols(); ++j)
for (Index i = 0; i < m_A.rows(); ++i) dst.block(i * m2, j * n2, m2, n2) = m_A.coeff(i, j) * m_B;
}
/** \internal Computes \c dst += (*this), see evalTo(). */
template <typename Dest>
void addTo(Dest& dst) const {
const Index m2 = m_B.rows(), n2 = m_B.cols();
for (Index j = 0; j < m_A.cols(); ++j)
for (Index i = 0; i < m_A.rows(); ++i) dst.block(i * m2, j * n2, m2, n2) += m_A.coeff(i, j) * m_B;
}
/** \internal Computes \c dst -= (*this), see evalTo(). */
template <typename Dest>
void subTo(Dest& dst) const {
const Index m2 = m_B.rows(), n2 = m_B.cols();
for (Index j = 0; j < m_A.cols(); ++j)
for (Index i = 0; i < m_A.rows(); ++i) dst.block(i * m2, j * n2, m2, n2) -= m_A.coeff(i, j) * m_B;
}
/** \returns the product expression \c (*this) * \a x, evaluated through the vec
* identity without materializing the Kronecker product. The expression carries
* the default product tag, so assigning it behaves like any dense product: a
* temporary resolves aliasing between the destination and \a x, and
* \c .noalias() skips it. */
template <typename Rhs>
Product<KroneckerOperator, Rhs> operator*(const MatrixBase<Rhs>& x) const {
EIGEN_STATIC_ASSERT(ColsAtCompileTime == Dynamic || Rhs::RowsAtCompileTime == Dynamic ||
int(ColsAtCompileTime) == int(Rhs::RowsAtCompileTime),
INVALID_MATRIX_PRODUCT)
eigen_assert(x.rows() == cols() && "invalid product: dimensions do not match");
return Product<KroneckerOperator, Rhs>(*this, x.derived());
}
/** \internal Computes \c dst += alpha * (*this) * rhs through the vec identity
* \f$ (A \otimes B)\,\mathrm{vec}(X) = \mathrm{vec}(B X A^T) \f$ of [1], column
* by column. \c ProductScalar is the promoted scalar of the product (complex
* when a real operator is applied to a complex right-hand side); the
* workspaces and the accumulation run in the promoted type.
*
* Evaluated as \c (B X) A^T, the first factor \c B X can overflow even when
* the product itself is representable (the multiplication by \c A^T rescales
* it: think \c B huge and \c A tiny). Each column is therefore pre-scaled by
* an exact power of two [2][3] derived from the component-wise exponent
* bounds of \c A, \c B and the column -- never from complex moduli, which
* overflow near the threshold -- so that no intermediate can spuriously
* overflow, and the
* exponent is folded back into the result through two representable
* half-factors, saturating to 0/Inf exactly when the true result leaves the
* representable range. The scale is one whenever the conservative bound shows
* no overflow risk, so results of moderate magnitude are bit-identical to the
* unscaled evaluation. Non-finite data is never scaled (the bounds cannot see
* past an Inf/NaN, and 0 * Inf would manufacture NaNs); the unscaled GEMMs
* propagate it entrywise exactly like a dense product. */
template <typename Dest, typename Rhs, typename ProductScalar>
void addProduct(Dest& dst, const Rhs& rhs, const ProductScalar& alpha) const {
using ProductVector = Matrix<ProductScalar, Dynamic, 1>;
using ProductMatrix = Matrix<ProductScalar, Dynamic, Dynamic, ColMajor>; // ColMajor: see DenseMatrix
using ProductReal = typename NumTraits<ProductScalar>::Real;
// In particular, materialize a nested matrix product once before taking
// per-column expressions from it. Otherwise each column evaluator may
// independently evaluate the entire nested product.
typename internal::nested_eval<Rhs, 1>::type actualRhs(rhs);
const Index n1 = m_A.cols(), n2 = m_B.cols();
eigen_assert(actualRhs.rows() == n1 * n2 && "invalid product: dimensions do not match");
// If max|X| < 2^eX, the two factor applications are bounded by
// 2^(eB+eX+bits2) and 2^(eA+eB+eX+bits1+bits2), including dot-product growth.
const bool factorsFinite = LhsOps::allFinite(m_A) && RhsOps::allFinite(m_B);
const int expA = LhsOps::exponentBound(m_A);
const int expB = RhsOps::exponentBound(m_B);
// Bit widths of the contracted dimensions, i.e. the dot-product growth
// bound; zero for a diagonal factor, whose application has no accumulation.
const int bits1 = LhsOps::growthBits(n1);
const int bits2 = RhsOps::growthBits(n2);
const int budget = std::numeric_limits<ProductReal>::max_exponent - 2;
ProductVector xc(n1 * n2);
ProductMatrix Y(m_B.rows(), m_A.rows());
for (Index k = 0; k < actualRhs.cols(); ++k) {
xc = actualRhs.col(k).template cast<ProductScalar>();
int e = 0;
if (factorsFinite && xc.allFinite()) {
const int expX = internal::structured_exponent_bound(xc); // 0 for an all-zero column: no scaling
e = numext::maxi(0, numext::maxi(expB + expX + bits2 - budget, expA + expB + expX + bits1 + bits2 - budget));
// The cap keeps the half-factors below overflow; it only binds when the
// true result overflows anyway, so the saturation to Inf is genuine.
e = numext::mini(e, 2 * budget);
}
if (e > 0) {
// Each power of two is split in halves so that the factors themselves
// stay representable; scaling by the two exact factors in sequence is
// still an exact shift wherever the result is representable.
const ProductReal down1 = ProductReal(std::ldexp(ProductReal(1), -(e / 2)));
const ProductReal down2 = ProductReal(std::ldexp(ProductReal(1), -(e - e / 2)));
xc = (xc * down1) * down2;
}
// For a diagonal factor its side degenerates to a diagonal scaling
// (transposedOperand: a diagonal matrix is its own transpose).
Y.noalias() = m_B * xc.reshaped(n2, n1) * LhsOps::transposedOperand(m_A);
if (e > 0) {
const ProductReal up1 = ProductReal(std::ldexp(ProductReal(1), e / 2));
const ProductReal up2 = ProductReal(std::ldexp(ProductReal(1), e - e / 2));
dst.col(k) += alpha * ((Y.reshaped() * up1) * up2);
} else {
dst.col(k) += alpha * Y.reshaped();
}
}
}
private:
/** \internal \returns the relative rank/pseudo-inversion threshold for the
* pairwise singular-value products, in the spirit of the SVD-based
* pseudo-inverse: a mode \c (i,j) is kept when
* \c (sa[i]/sa[0]) * (sb[j]/sb[0]) >= min(rows,cols) * epsilon, the \c SVDBase
* convention for \c sa[i]*sb[j] measured against \c smax = sa[0]*sb[0]. The
* comparison must happen in ratio space: the absolute form both underflows
* (\c min(rows,cols) * epsilon * sa[0] can flush to zero before the \c sb[0]
* multiplication, silently accepting every mode) and overflows
* (\c sa[0]*sb[0] can exceed the representable range). The ratios never
* exceed one, and a ratio product that underflows is genuinely below any
* epsilon-sized threshold. */
RealScalar relativeRankThreshold() const {
return RealScalar(numext::mini(rows(), cols())) * NumTraits<RealScalar>::epsilon();
}
/** \internal Whether the pairwise singular-value product \c s1*s2 reaches the
* smallest normal number -- the clamp \c SVDBase places under its
* pseudo-inversion threshold, so that subnormal singular values (whose
* reciprocals overflow) are treated as exact zeros. The boundary itself is
* kept, matching the \c >= convention of \c SVDBase::rank(). The product is
* compared exponent-safely: the frexp mantissas lie in [0.5, 1), so their
* product in [0.25, 1) can neither over- nor underflow, and the exponents add
* as integers. Non-finite singular values return true so they stay in the
* inverted set and propagate. */
static bool reachesMinNormal(const RealScalar& s1, const RealScalar& s2) {
int e1, e2;
const RealScalar m = std::frexp(s1, &e1) * std::frexp(s2, &e2);
if (!(numext::isfinite)(m)) return true; // NaN or Inf singular values must propagate
if (m == RealScalar(0)) return false; // an exactly zero product
// Renormalize the mantissa product into [0.5, 1), so that s1*s2 = m * 2^e
// reaches the smallest normal number 2^(min_exponent - 1) iff e is at least
// min_exponent.
const int e = m < RealScalar(0.5) ? e1 + e2 - 1 : e1 + e2;
return e >= std::numeric_limits<RealScalar>::min_exponent;
}
/** \internal \returns the mantissa of \c det(M)^power in the balanced form
* \c m * 2^e, adding \c e into \a exponent. The determinant is accumulated
* directly from the LU diagonal, times the permutation sign (from the
* diagonal itself for a diagonal factor, see kron_factor_ops::balancedDet),
* each entry and the running product renormalized by \ref balance, and the
* integer power is applied by balanced repeated multiplication -- exact
* integer-power semantics for negative real and complex determinants (no
* exp/log branch-cut roundoff), with the bulk of the magnitude carried
* exactly on the exponent side. */
template <typename Factor>
static Scalar balancedDetPow(const Factor& M, Index power, Index& exponent) {
Index e = 0;
const Scalar m = internal::kron_factor_ops<Factor>::balancedDet(M, e);
Scalar r(1);
Index er = 0;
for (Index k = 0; k < power; ++k) r = internal::structured_balance(r * m, er);
exponent += power * e + er;
return r;
}
LhsMatrix m_A;
RhsMatrix m_B;
};
/** \ingroup StructuredMatrices_Module
* \returns a \ref KroneckerOperator \c a (x) \c b holding evaluated copies of the
* factors. The operator type is deduced from the plain types of \a a and \a b;
* a diagonal argument (e.g. \c VectorXd::Ones(n).asDiagonal() for an identity
* factor) is stored as an owning \c DiagonalMatrix and exploited structurally,
* see \ref KroneckerOperator. */
template <typename LhsDerived, typename RhsDerived>
KroneckerOperator<typename LhsDerived::PlainObject, typename RhsDerived::PlainObject> makeKroneckerOperator(
const MatrixBase<LhsDerived>& a, const MatrixBase<RhsDerived>& b) {
return {a.derived(), b.derived()};
}
/** \ingroup StructuredMatrices_Module
* \returns a \ref KroneckerOperator \c a (x) \c b whose left factor is diagonal. */
template <typename LhsDerived, typename RhsDerived>
KroneckerOperator<typename LhsDerived::PlainObject, typename RhsDerived::PlainObject> makeKroneckerOperator(
const DiagonalBase<LhsDerived>& a, const MatrixBase<RhsDerived>& b) {
return {a.derived(), b.derived()};
}
/** \ingroup StructuredMatrices_Module
* \returns a \ref KroneckerOperator \c a (x) \c b whose right factor is diagonal. */
template <typename LhsDerived, typename RhsDerived>
KroneckerOperator<typename LhsDerived::PlainObject, typename RhsDerived::PlainObject> makeKroneckerOperator(
const MatrixBase<LhsDerived>& a, const DiagonalBase<RhsDerived>& b) {
return {a.derived(), b.derived()};
}
/** \ingroup StructuredMatrices_Module
* \returns a \ref KroneckerOperator \c a (x) \c b with two diagonal factors, which is
* itself diagonal. */
template <typename LhsDerived, typename RhsDerived>
KroneckerOperator<typename LhsDerived::PlainObject, typename RhsDerived::PlainObject> makeKroneckerOperator(
const DiagonalBase<LhsDerived>& a, const DiagonalBase<RhsDerived>& b) {
return {a.derived(), b.derived()};
}
namespace internal {
template <typename LhsMatrix, typename RhsMatrix, typename Rhs, int ProductTag>
struct generic_product_impl<KroneckerOperator<LhsMatrix, RhsMatrix>, Rhs, StructuredShape, DenseShape, ProductTag>
: structured_product_impl<KroneckerOperator<LhsMatrix, RhsMatrix>, Rhs> {};
} // namespace internal
} // namespace Eigen
#endif // EIGEN_STRUCTURED_KRONECKER_OPERATOR_H