Diff: src/Householder/HouseholderSequence.h

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+++ b/src/Householder/HouseholderSequence.h	Thu Oct 13 04:07:23 2016 +0000
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+// This file is part of Eigen, a lightweight C++ template library
+// for linear algebra.
+//
+// Copyright (C) 2009 Gael Guennebaud <gael.guennebaud@inria.fr>
+// Copyright (C) 2010 Benoit Jacob <jacob.benoit.1@gmail.com>
+//
+// 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/.
+
+#ifndef EIGEN_HOUSEHOLDER_SEQUENCE_H
+#define EIGEN_HOUSEHOLDER_SEQUENCE_H
+
+namespace Eigen { 
+
+/** \ingroup Householder_Module
+  * \householder_module
+  * \class HouseholderSequence
+  * \brief Sequence of Householder reflections acting on subspaces with decreasing size
+  * \tparam VectorsType type of matrix containing the Householder vectors
+  * \tparam CoeffsType  type of vector containing the Householder coefficients
+  * \tparam Side        either OnTheLeft (the default) or OnTheRight
+  *
+  * This class represents a product sequence of Householder reflections where the first Householder reflection
+  * acts on the whole space, the second Householder reflection leaves the one-dimensional subspace spanned by
+  * the first unit vector invariant, the third Householder reflection leaves the two-dimensional subspace
+  * spanned by the first two unit vectors invariant, and so on up to the last reflection which leaves all but
+  * one dimensions invariant and acts only on the last dimension. Such sequences of Householder reflections
+  * are used in several algorithms to zero out certain parts of a matrix. Indeed, the methods
+  * HessenbergDecomposition::matrixQ(), Tridiagonalization::matrixQ(), HouseholderQR::householderQ(),
+  * and ColPivHouseholderQR::householderQ() all return a %HouseholderSequence.
+  *
+  * More precisely, the class %HouseholderSequence represents an \f$ n \times n \f$ matrix \f$ H \f$ of the
+  * form \f$ H = \prod_{i=0}^{n-1} H_i \f$ where the i-th Householder reflection is \f$ H_i = I - h_i v_i
+  * v_i^* \f$. The i-th Householder coefficient \f$ h_i \f$ is a scalar and the i-th Householder vector \f$
+  * v_i \f$ is a vector of the form
+  * \f[ 
+  * v_i = [\underbrace{0, \ldots, 0}_{i-1\mbox{ zeros}}, 1, \underbrace{*, \ldots,*}_{n-i\mbox{ arbitrary entries}} ]. 
+  * \f]
+  * The last \f$ n-i \f$ entries of \f$ v_i \f$ are called the essential part of the Householder vector.
+  *
+  * Typical usages are listed below, where H is a HouseholderSequence:
+  * \code
+  * A.applyOnTheRight(H);             // A = A * H
+  * A.applyOnTheLeft(H);              // A = H * A
+  * A.applyOnTheRight(H.adjoint());   // A = A * H^*
+  * A.applyOnTheLeft(H.adjoint());    // A = H^* * A
+  * MatrixXd Q = H;                   // conversion to a dense matrix
+  * \endcode
+  * In addition to the adjoint, you can also apply the inverse (=adjoint), the transpose, and the conjugate operators.
+  *
+  * See the documentation for HouseholderSequence(const VectorsType&, const CoeffsType&) for an example.
+  *
+  * \sa MatrixBase::applyOnTheLeft(), MatrixBase::applyOnTheRight()
+  */
+
+namespace internal {
+
+template<typename VectorsType, typename CoeffsType, int Side>
+struct traits<HouseholderSequence<VectorsType,CoeffsType,Side> >
+{
+  typedef typename VectorsType::Scalar Scalar;
+  typedef typename VectorsType::Index Index;
+  typedef typename VectorsType::StorageKind StorageKind;
+  enum {
+    RowsAtCompileTime = Side==OnTheLeft ? traits<VectorsType>::RowsAtCompileTime
+                                        : traits<VectorsType>::ColsAtCompileTime,
+    ColsAtCompileTime = RowsAtCompileTime,
+    MaxRowsAtCompileTime = Side==OnTheLeft ? traits<VectorsType>::MaxRowsAtCompileTime
+                                           : traits<VectorsType>::MaxColsAtCompileTime,
+    MaxColsAtCompileTime = MaxRowsAtCompileTime,
+    Flags = 0
+  };
+};
+
+template<typename VectorsType, typename CoeffsType, int Side>
+struct hseq_side_dependent_impl
+{
+  typedef Block<const VectorsType, Dynamic, 1> EssentialVectorType;
+  typedef HouseholderSequence<VectorsType, CoeffsType, OnTheLeft> HouseholderSequenceType;
+  typedef typename VectorsType::Index Index;
+  static inline const EssentialVectorType essentialVector(const HouseholderSequenceType& h, Index k)
+  {
+    Index start = k+1+h.m_shift;
+    return Block<const VectorsType,Dynamic,1>(h.m_vectors, start, k, h.rows()-start, 1);
+  }
+};
+
+template<typename VectorsType, typename CoeffsType>
+struct hseq_side_dependent_impl<VectorsType, CoeffsType, OnTheRight>
+{
+  typedef Transpose<Block<const VectorsType, 1, Dynamic> > EssentialVectorType;
+  typedef HouseholderSequence<VectorsType, CoeffsType, OnTheRight> HouseholderSequenceType;
+  typedef typename VectorsType::Index Index;
+  static inline const EssentialVectorType essentialVector(const HouseholderSequenceType& h, Index k)
+  {
+    Index start = k+1+h.m_shift;
+    return Block<const VectorsType,1,Dynamic>(h.m_vectors, k, start, 1, h.rows()-start).transpose();
+  }
+};
+
+template<typename OtherScalarType, typename MatrixType> struct matrix_type_times_scalar_type
+{
+  typedef typename scalar_product_traits<OtherScalarType, typename MatrixType::Scalar>::ReturnType
+    ResultScalar;
+  typedef Matrix<ResultScalar, MatrixType::RowsAtCompileTime, MatrixType::ColsAtCompileTime,
+                 0, MatrixType::MaxRowsAtCompileTime, MatrixType::MaxColsAtCompileTime> Type;
+};
+
+} // end namespace internal
+
+template<typename VectorsType, typename CoeffsType, int Side> class HouseholderSequence
+  : public EigenBase<HouseholderSequence<VectorsType,CoeffsType,Side> >
+{
+    typedef typename internal::hseq_side_dependent_impl<VectorsType,CoeffsType,Side>::EssentialVectorType EssentialVectorType;
+  
+  public:
+    enum {
+      RowsAtCompileTime = internal::traits<HouseholderSequence>::RowsAtCompileTime,
+      ColsAtCompileTime = internal::traits<HouseholderSequence>::ColsAtCompileTime,
+      MaxRowsAtCompileTime = internal::traits<HouseholderSequence>::MaxRowsAtCompileTime,
+      MaxColsAtCompileTime = internal::traits<HouseholderSequence>::MaxColsAtCompileTime
+    };
+    typedef typename internal::traits<HouseholderSequence>::Scalar Scalar;
+    typedef typename VectorsType::Index Index;
+
+    typedef HouseholderSequence<
+      typename internal::conditional<NumTraits<Scalar>::IsComplex,
+        typename internal::remove_all<typename VectorsType::ConjugateReturnType>::type,
+        VectorsType>::type,
+      typename internal::conditional<NumTraits<Scalar>::IsComplex,
+        typename internal::remove_all<typename CoeffsType::ConjugateReturnType>::type,
+        CoeffsType>::type,
+      Side
+    > ConjugateReturnType;
+
+    /** \brief Constructor.
+      * \param[in]  v      %Matrix containing the essential parts of the Householder vectors
+      * \param[in]  h      Vector containing the Householder coefficients
+      *
+      * Constructs the Householder sequence with coefficients given by \p h and vectors given by \p v. The
+      * i-th Householder coefficient \f$ h_i \f$ is given by \p h(i) and the essential part of the i-th
+      * Householder vector \f$ v_i \f$ is given by \p v(k,i) with \p k > \p i (the subdiagonal part of the
+      * i-th column). If \p v has fewer columns than rows, then the Householder sequence contains as many
+      * Householder reflections as there are columns.
+      *
+      * \note The %HouseholderSequence object stores \p v and \p h by reference.
+      *
+      * Example: \include HouseholderSequence_HouseholderSequence.cpp
+      * Output: \verbinclude HouseholderSequence_HouseholderSequence.out
+      *
+      * \sa setLength(), setShift()
+      */
+    HouseholderSequence(const VectorsType& v, const CoeffsType& h)
+      : m_vectors(v), m_coeffs(h), m_trans(false), m_length(v.diagonalSize()),
+        m_shift(0)
+    {
+    }
+
+    /** \brief Copy constructor. */
+    HouseholderSequence(const HouseholderSequence& other)
+      : m_vectors(other.m_vectors),
+        m_coeffs(other.m_coeffs),
+        m_trans(other.m_trans),
+        m_length(other.m_length),
+        m_shift(other.m_shift)
+    {
+    }
+
+    /** \brief Number of rows of transformation viewed as a matrix.
+      * \returns Number of rows 
+      * \details This equals the dimension of the space that the transformation acts on.
+      */
+    Index rows() const { return Side==OnTheLeft ? m_vectors.rows() : m_vectors.cols(); }
+
+    /** \brief Number of columns of transformation viewed as a matrix.
+      * \returns Number of columns
+      * \details This equals the dimension of the space that the transformation acts on.
+      */
+    Index cols() const { return rows(); }
+
+    /** \brief Essential part of a Householder vector.
+      * \param[in]  k  Index of Householder reflection
+      * \returns    Vector containing non-trivial entries of k-th Householder vector
+      *
+      * This function returns the essential part of the Householder vector \f$ v_i \f$. This is a vector of
+      * length \f$ n-i \f$ containing the last \f$ n-i \f$ entries of the vector
+      * \f[ 
+      * v_i = [\underbrace{0, \ldots, 0}_{i-1\mbox{ zeros}}, 1, \underbrace{*, \ldots,*}_{n-i\mbox{ arbitrary entries}} ]. 
+      * \f]
+      * The index \f$ i \f$ equals \p k + shift(), corresponding to the k-th column of the matrix \p v
+      * passed to the constructor.
+      *
+      * \sa setShift(), shift()
+      */
+    const EssentialVectorType essentialVector(Index k) const
+    {
+      eigen_assert(k >= 0 && k < m_length);
+      return internal::hseq_side_dependent_impl<VectorsType,CoeffsType,Side>::essentialVector(*this, k);
+    }
+
+    /** \brief %Transpose of the Householder sequence. */
+    HouseholderSequence transpose() const
+    {
+      return HouseholderSequence(*this).setTrans(!m_trans);
+    }
+
+    /** \brief Complex conjugate of the Householder sequence. */
+    ConjugateReturnType conjugate() const
+    {
+      return ConjugateReturnType(m_vectors.conjugate(), m_coeffs.conjugate())
+             .setTrans(m_trans)
+             .setLength(m_length)
+             .setShift(m_shift);
+    }
+
+    /** \brief Adjoint (conjugate transpose) of the Householder sequence. */
+    ConjugateReturnType adjoint() const
+    {
+      return conjugate().setTrans(!m_trans);
+    }
+
+    /** \brief Inverse of the Householder sequence (equals the adjoint). */
+    ConjugateReturnType inverse() const { return adjoint(); }
+
+    /** \internal */
+    template<typename DestType> inline void evalTo(DestType& dst) const
+    {
+      Matrix<Scalar, DestType::RowsAtCompileTime, 1,
+             AutoAlign|ColMajor, DestType::MaxRowsAtCompileTime, 1> workspace(rows());
+      evalTo(dst, workspace);
+    }
+
+    /** \internal */
+    template<typename Dest, typename Workspace>
+    void evalTo(Dest& dst, Workspace& workspace) const
+    {
+      workspace.resize(rows());
+      Index vecs = m_length;
+      if(    internal::is_same<typename internal::remove_all<VectorsType>::type,Dest>::value
+          && internal::extract_data(dst) == internal::extract_data(m_vectors))
+      {
+        // in-place
+        dst.diagonal().setOnes();
+        dst.template triangularView<StrictlyUpper>().setZero();
+        for(Index k = vecs-1; k >= 0; --k)
+        {
+          Index cornerSize = rows() - k - m_shift;
+          if(m_trans)
+            dst.bottomRightCorner(cornerSize, cornerSize)
+               .applyHouseholderOnTheRight(essentialVector(k), m_coeffs.coeff(k), workspace.data());
+          else
+            dst.bottomRightCorner(cornerSize, cornerSize)
+               .applyHouseholderOnTheLeft(essentialVector(k), m_coeffs.coeff(k), workspace.data());
+
+          // clear the off diagonal vector
+          dst.col(k).tail(rows()-k-1).setZero();
+        }
+        // clear the remaining columns if needed
+        for(Index k = 0; k<cols()-vecs ; ++k)
+          dst.col(k).tail(rows()-k-1).setZero();
+      }
+      else
+      {
+        dst.setIdentity(rows(), rows());
+        for(Index k = vecs-1; k >= 0; --k)
+        {
+          Index cornerSize = rows() - k - m_shift;
+          if(m_trans)
+            dst.bottomRightCorner(cornerSize, cornerSize)
+               .applyHouseholderOnTheRight(essentialVector(k), m_coeffs.coeff(k), &workspace.coeffRef(0));
+          else
+            dst.bottomRightCorner(cornerSize, cornerSize)
+               .applyHouseholderOnTheLeft(essentialVector(k), m_coeffs.coeff(k), &workspace.coeffRef(0));
+        }
+      }
+    }
+
+    /** \internal */
+    template<typename Dest> inline void applyThisOnTheRight(Dest& dst) const
+    {
+      Matrix<Scalar,1,Dest::RowsAtCompileTime,RowMajor,1,Dest::MaxRowsAtCompileTime> workspace(dst.rows());
+      applyThisOnTheRight(dst, workspace);
+    }
+
+    /** \internal */
+    template<typename Dest, typename Workspace>
+    inline void applyThisOnTheRight(Dest& dst, Workspace& workspace) const
+    {
+      workspace.resize(dst.rows());
+      for(Index k = 0; k < m_length; ++k)
+      {
+        Index actual_k = m_trans ? m_length-k-1 : k;
+        dst.rightCols(rows()-m_shift-actual_k)
+           .applyHouseholderOnTheRight(essentialVector(actual_k), m_coeffs.coeff(actual_k), workspace.data());
+      }
+    }
+
+    /** \internal */
+    template<typename Dest> inline void applyThisOnTheLeft(Dest& dst) const
+    {
+      Matrix<Scalar,1,Dest::ColsAtCompileTime,RowMajor,1,Dest::MaxColsAtCompileTime> workspace(dst.cols());
+      applyThisOnTheLeft(dst, workspace);
+    }
+
+    /** \internal */
+    template<typename Dest, typename Workspace>
+    inline void applyThisOnTheLeft(Dest& dst, Workspace& workspace) const
+    {
+      workspace.resize(dst.cols());
+      for(Index k = 0; k < m_length; ++k)
+      {
+        Index actual_k = m_trans ? k : m_length-k-1;
+        dst.bottomRows(rows()-m_shift-actual_k)
+           .applyHouseholderOnTheLeft(essentialVector(actual_k), m_coeffs.coeff(actual_k), workspace.data());
+      }
+    }
+
+    /** \brief Computes the product of a Householder sequence with a matrix.
+      * \param[in]  other  %Matrix being multiplied.
+      * \returns    Expression object representing the product.
+      *
+      * This function computes \f$ HM \f$ where \f$ H \f$ is the Householder sequence represented by \p *this
+      * and \f$ M \f$ is the matrix \p other.
+      */
+    template<typename OtherDerived>
+    typename internal::matrix_type_times_scalar_type<Scalar, OtherDerived>::Type operator*(const MatrixBase<OtherDerived>& other) const
+    {
+      typename internal::matrix_type_times_scalar_type<Scalar, OtherDerived>::Type
+        res(other.template cast<typename internal::matrix_type_times_scalar_type<Scalar,OtherDerived>::ResultScalar>());
+      applyThisOnTheLeft(res);
+      return res;
+    }
+
+    template<typename _VectorsType, typename _CoeffsType, int _Side> friend struct internal::hseq_side_dependent_impl;
+
+    /** \brief Sets the length of the Householder sequence.
+      * \param [in]  length  New value for the length.
+      *
+      * By default, the length \f$ n \f$ of the Householder sequence \f$ H = H_0 H_1 \ldots H_{n-1} \f$ is set
+      * to the number of columns of the matrix \p v passed to the constructor, or the number of rows if that
+      * is smaller. After this function is called, the length equals \p length.
+      *
+      * \sa length()
+      */
+    HouseholderSequence& setLength(Index length)
+    {
+      m_length = length;
+      return *this;
+    }
+
+    /** \brief Sets the shift of the Householder sequence.
+      * \param [in]  shift  New value for the shift.
+      *
+      * By default, a %HouseholderSequence object represents \f$ H = H_0 H_1 \ldots H_{n-1} \f$ and the i-th
+      * column of the matrix \p v passed to the constructor corresponds to the i-th Householder
+      * reflection. After this function is called, the object represents \f$ H = H_{\mathrm{shift}}
+      * H_{\mathrm{shift}+1} \ldots H_{n-1} \f$ and the i-th column of \p v corresponds to the (shift+i)-th
+      * Householder reflection.
+      *
+      * \sa shift()
+      */
+    HouseholderSequence& setShift(Index shift)
+    {
+      m_shift = shift;
+      return *this;
+    }
+
+    Index length() const { return m_length; }  /**< \brief Returns the length of the Householder sequence. */
+    Index shift() const { return m_shift; }    /**< \brief Returns the shift of the Householder sequence. */
+
+    /* Necessary for .adjoint() and .conjugate() */
+    template <typename VectorsType2, typename CoeffsType2, int Side2> friend class HouseholderSequence;
+
+  protected:
+
+    /** \brief Sets the transpose flag.
+      * \param [in]  trans  New value of the transpose flag.
+      *
+      * By default, the transpose flag is not set. If the transpose flag is set, then this object represents 
+      * \f$ H^T = H_{n-1}^T \ldots H_1^T H_0^T \f$ instead of \f$ H = H_0 H_1 \ldots H_{n-1} \f$.
+      *
+      * \sa trans()
+      */
+    HouseholderSequence& setTrans(bool trans)
+    {
+      m_trans = trans;
+      return *this;
+    }
+
+    bool trans() const { return m_trans; }     /**< \brief Returns the transpose flag. */
+
+    typename VectorsType::Nested m_vectors;
+    typename CoeffsType::Nested m_coeffs;
+    bool m_trans;
+    Index m_length;
+    Index m_shift;
+};
+
+/** \brief Computes the product of a matrix with a Householder sequence.
+  * \param[in]  other  %Matrix being multiplied.
+  * \param[in]  h      %HouseholderSequence being multiplied.
+  * \returns    Expression object representing the product.
+  *
+  * This function computes \f$ MH \f$ where \f$ M \f$ is the matrix \p other and \f$ H \f$ is the
+  * Householder sequence represented by \p h.
+  */
+template<typename OtherDerived, typename VectorsType, typename CoeffsType, int Side>
+typename internal::matrix_type_times_scalar_type<typename VectorsType::Scalar,OtherDerived>::Type operator*(const MatrixBase<OtherDerived>& other, const HouseholderSequence<VectorsType,CoeffsType,Side>& h)
+{
+  typename internal::matrix_type_times_scalar_type<typename VectorsType::Scalar,OtherDerived>::Type
+    res(other.template cast<typename internal::matrix_type_times_scalar_type<typename VectorsType::Scalar,OtherDerived>::ResultScalar>());
+  h.applyThisOnTheRight(res);
+  return res;
+}
+
+/** \ingroup Householder_Module \householder_module
+  * \brief Convenience function for constructing a Householder sequence. 
+  * \returns A HouseholderSequence constructed from the specified arguments.
+  */
+template<typename VectorsType, typename CoeffsType>
+HouseholderSequence<VectorsType,CoeffsType> householderSequence(const VectorsType& v, const CoeffsType& h)
+{
+  return HouseholderSequence<VectorsType,CoeffsType,OnTheLeft>(v, h);
+}
+
+/** \ingroup Householder_Module \householder_module
+  * \brief Convenience function for constructing a Householder sequence. 
+  * \returns A HouseholderSequence constructed from the specified arguments.
+  * \details This function differs from householderSequence() in that the template argument \p OnTheSide of
+  * the constructed HouseholderSequence is set to OnTheRight, instead of the default OnTheLeft.
+  */
+template<typename VectorsType, typename CoeffsType>
+HouseholderSequence<VectorsType,CoeffsType,OnTheRight> rightHouseholderSequence(const VectorsType& v, const CoeffsType& h)
+{
+  return HouseholderSequence<VectorsType,CoeffsType,OnTheRight>(v, h);
+}
+
+} // end namespace Eigen
+
+#endif // EIGEN_HOUSEHOLDER_SEQUENCE_H
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