unsupported/Eigen/src/MatrixFunctions/MatrixFunctionAtomic.h

// This file is part of Eigen, a lightweight C++ template library
// for linear algebra.
//
// Copyright (C) 2009 Jitse Niesen <jitse@maths.leeds.ac.uk>
//
// Eigen is free software; you can redistribute it and/or
// modify it under the terms of the GNU Lesser General Public
// License as published by the Free Software Foundation; either
// version 3 of the License, or (at your option) any later version.
//
// Alternatively, you can redistribute it and/or
// modify it under the terms of the GNU General Public License as
// published by the Free Software Foundation; either version 2 of
// the License, or (at your option) any later version.
//
// Eigen is distributed in the hope that it will be useful, but WITHOUT ANY
// WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
// FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License or the
// GNU General Public License for more details.
//
// You should have received a copy of the GNU Lesser General Public
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// Eigen. If not, see <http://www.gnu.org/licenses/>.

#ifndef EIGEN_MATRIX_FUNCTION_ATOMIC
#define EIGEN_MATRIX_FUNCTION_ATOMIC

/** \ingroup MatrixFunctions_Module
  * \class MatrixFunctionAtomic
  * \brief Helper class for computing matrix functions of atomic matrices.
  *
  * \internal
  * Here, an atomic matrix is a triangular matrix whose diagonal
  * entries are close to each other.
  */
template <typename MatrixType>
class MatrixFunctionAtomic
{
  public:

    typedef ei_traits<MatrixType> Traits;
    typedef typename Traits::Scalar Scalar;
    typedef typename NumTraits<Scalar>::Real RealScalar;
    typedef typename ei_stem_function<Scalar>::type StemFunction;
    typedef Matrix<Scalar, Traits::RowsAtCompileTime, 1> VectorType;

    /** \brief Constructor
      * \param[in]  f  matrix function to compute.
      */
    MatrixFunctionAtomic(StemFunction f) : m_f(f) { }

    /** \brief Compute matrix function of atomic matrix
      * \param[in]  A  argument of matrix function, should be upper triangular and atomic
      * \returns  f(A), the matrix function evaluated at the given matrix
      */
    MatrixType compute(const MatrixType& A);

  private:

    // Prevent copying
    MatrixFunctionAtomic(const MatrixFunctionAtomic&);
    MatrixFunctionAtomic& operator=(const MatrixFunctionAtomic&);

    void computeMu();
    bool taylorConverged(int s, const MatrixType& F, const MatrixType& Fincr, const MatrixType& P);

    /** \brief Pointer to scalar function */
    StemFunction* m_f;

    /** \brief Size of matrix function */
    int m_Arows;

    /** \brief Mean of eigenvalues */
    Scalar m_avgEival;

    /** \brief Argument shifted by mean of eigenvalues */
    MatrixType m_Ashifted;

    /** \brief Constant used to determine whether Taylor series has converged */
    RealScalar m_mu;
};

template <typename MatrixType>
MatrixType MatrixFunctionAtomic<MatrixType>::compute(const MatrixType& A)
{
  // TODO: Use that A is upper triangular
  m_Arows = A.rows();
  m_avgEival = A.trace() / Scalar(RealScalar(m_Arows));
  m_Ashifted = A - m_avgEival * MatrixType::Identity(m_Arows, m_Arows);
  computeMu();
  MatrixType F = m_f(m_avgEival, 0) * MatrixType::Identity(m_Arows, m_Arows);
  MatrixType P = m_Ashifted;
  MatrixType Fincr;
  for (int s = 1; s < 1.1 * m_Arows + 10; s++) { // upper limit is fairly arbitrary
    Fincr = m_f(m_avgEival, s) * P;
    F += Fincr;
    P = Scalar(RealScalar(1.0/(s + 1))) * P * m_Ashifted;
    if (taylorConverged(s, F, Fincr, P)) {
      return F;
    }
  }
  ei_assert("Taylor series does not converge" && 0);
  return F;
}

/** \brief Compute \c m_mu. */
template <typename MatrixType>
void MatrixFunctionAtomic<MatrixType>::computeMu()
{
  const MatrixType N = MatrixType::Identity(m_Arows, m_Arows) - m_Ashifted;
  VectorType e = VectorType::Ones(m_Arows);
  N.template triangularView<Upper>().solveInPlace(e);
  m_mu = e.cwiseAbs().maxCoeff();
}

/** \brief Determine whether Taylor series has converged */
template <typename MatrixType>
bool MatrixFunctionAtomic<MatrixType>::taylorConverged(int s, const MatrixType& F,
						       const MatrixType& Fincr, const MatrixType& P)
{
  const int n = F.rows();
  const RealScalar F_norm = F.cwiseAbs().rowwise().sum().maxCoeff();
  const RealScalar Fincr_norm = Fincr.cwiseAbs().rowwise().sum().maxCoeff();
  if (Fincr_norm < NumTraits<Scalar>::epsilon() * F_norm) {
    RealScalar delta = 0;
    RealScalar rfactorial = 1;
    for (int r = 0; r < n; r++) {
      RealScalar mx = 0;
      for (int i = 0; i < n; i++)
        mx = std::max(mx, std::abs(m_f(m_Ashifted(i, i) + m_avgEival, s+r)));
      if (r != 0)
        rfactorial *= RealScalar(r);
      delta = std::max(delta, mx / rfactorial);
    }
    const RealScalar P_norm = P.cwiseAbs().rowwise().sum().maxCoeff();
    if (m_mu * delta * P_norm < NumTraits<Scalar>::epsilon() * F_norm)
      return true;
  }
  return false;
}

#endif // EIGEN_MATRIX_FUNCTION_ATOMIC