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Eigne Matrix Class Library

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src/SVD/JacobiSVD_MKL.h@0:13a5d365ba16, 2016-10-13 (annotated)

Committer:
ykuroda
Date:
Thu Oct 13 04:07:23 2016 +0000
Revision:
0:13a5d365ba16
First commint, Eigne Matrix Class Library

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ykuroda 0:13a5d365ba16 1 /*
ykuroda 0:13a5d365ba16 2 Copyright (c) 2011, Intel Corporation. All rights reserved.
ykuroda 0:13a5d365ba16 3
ykuroda 0:13a5d365ba16 4 Redistribution and use in source and binary forms, with or without modification,
ykuroda 0:13a5d365ba16 5 are permitted provided that the following conditions are met:
ykuroda 0:13a5d365ba16 6
ykuroda 0:13a5d365ba16 7 * Redistributions of source code must retain the above copyright notice, this
ykuroda 0:13a5d365ba16 8 list of conditions and the following disclaimer.
ykuroda 0:13a5d365ba16 9 * Redistributions in binary form must reproduce the above copyright notice,
ykuroda 0:13a5d365ba16 10 this list of conditions and the following disclaimer in the documentation
ykuroda 0:13a5d365ba16 11 and/or other materials provided with the distribution.
ykuroda 0:13a5d365ba16 12 * Neither the name of Intel Corporation nor the names of its contributors may
ykuroda 0:13a5d365ba16 13 be used to endorse or promote products derived from this software without
ykuroda 0:13a5d365ba16 14 specific prior written permission.
ykuroda 0:13a5d365ba16 15
ykuroda 0:13a5d365ba16 16 THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS" AND
ykuroda 0:13a5d365ba16 17 ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE IMPLIED
ykuroda 0:13a5d365ba16 18 WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE ARE
ykuroda 0:13a5d365ba16 19 DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT OWNER OR CONTRIBUTORS BE LIABLE FOR
ykuroda 0:13a5d365ba16 20 ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES
ykuroda 0:13a5d365ba16 21 (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES;
ykuroda 0:13a5d365ba16 22 LOSS OF USE, DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON
ykuroda 0:13a5d365ba16 23 ANY THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
ykuroda 0:13a5d365ba16 24 (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS
ykuroda 0:13a5d365ba16 25 SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
ykuroda 0:13a5d365ba16 26
ykuroda 0:13a5d365ba16 27 ********************************************************************************
ykuroda 0:13a5d365ba16 28 * Content : Eigen bindings to Intel(R) MKL
ykuroda 0:13a5d365ba16 29 * Singular Value Decomposition - SVD.
ykuroda 0:13a5d365ba16 30 ********************************************************************************
ykuroda 0:13a5d365ba16 31 */
ykuroda 0:13a5d365ba16 32
ykuroda 0:13a5d365ba16 33 #ifndef EIGEN_JACOBISVD_MKL_H
ykuroda 0:13a5d365ba16 34 #define EIGEN_JACOBISVD_MKL_H
ykuroda 0:13a5d365ba16 35
ykuroda 0:13a5d365ba16 36 #include "Eigen/src/Core/util/MKL_support.h"
ykuroda 0:13a5d365ba16 37
ykuroda 0:13a5d365ba16 38 namespace Eigen {
ykuroda 0:13a5d365ba16 39
ykuroda 0:13a5d365ba16 40 /** \internal Specialization for the data types supported by MKL */
ykuroda 0:13a5d365ba16 41
ykuroda 0:13a5d365ba16 42 #define EIGEN_MKL_SVD(EIGTYPE, MKLTYPE, MKLRTYPE, MKLPREFIX, EIGCOLROW, MKLCOLROW) \
ykuroda 0:13a5d365ba16 43 template<> inline \
ykuroda 0:13a5d365ba16 44 JacobiSVD<Matrix<EIGTYPE, Dynamic, Dynamic, EIGCOLROW, Dynamic, Dynamic>, ColPivHouseholderQRPreconditioner>& \
ykuroda 0:13a5d365ba16 45 JacobiSVD<Matrix<EIGTYPE, Dynamic, Dynamic, EIGCOLROW, Dynamic, Dynamic>, ColPivHouseholderQRPreconditioner>::compute(const Matrix<EIGTYPE, Dynamic, Dynamic, EIGCOLROW, Dynamic, Dynamic>& matrix, unsigned int computationOptions) \
ykuroda 0:13a5d365ba16 46 { \
ykuroda 0:13a5d365ba16 47 typedef Matrix<EIGTYPE, Dynamic, Dynamic, EIGCOLROW, Dynamic, Dynamic> MatrixType; \
ykuroda 0:13a5d365ba16 48 /*typedef MatrixType::Scalar Scalar;*/ \
ykuroda 0:13a5d365ba16 49 /*typedef MatrixType::RealScalar RealScalar;*/ \
ykuroda 0:13a5d365ba16 50 allocate(matrix.rows(), matrix.cols(), computationOptions); \
ykuroda 0:13a5d365ba16 51 \
ykuroda 0:13a5d365ba16 52 /*const RealScalar precision = RealScalar(2) * NumTraits<Scalar>::epsilon();*/ \
ykuroda 0:13a5d365ba16 53 m_nonzeroSingularValues = m_diagSize; \
ykuroda 0:13a5d365ba16 54 \
ykuroda 0:13a5d365ba16 55 lapack_int lda = matrix.outerStride(), ldu, ldvt; \
ykuroda 0:13a5d365ba16 56 lapack_int matrix_order = MKLCOLROW; \
ykuroda 0:13a5d365ba16 57 char jobu, jobvt; \
ykuroda 0:13a5d365ba16 58 MKLTYPE *u, *vt, dummy; \
ykuroda 0:13a5d365ba16 59 jobu = (m_computeFullU) ? 'A' : (m_computeThinU) ? 'S' : 'N'; \
ykuroda 0:13a5d365ba16 60 jobvt = (m_computeFullV) ? 'A' : (m_computeThinV) ? 'S' : 'N'; \
ykuroda 0:13a5d365ba16 61 if (computeU()) { \
ykuroda 0:13a5d365ba16 62 ldu = m_matrixU.outerStride(); \
ykuroda 0:13a5d365ba16 63 u = (MKLTYPE*)m_matrixU.data(); \
ykuroda 0:13a5d365ba16 64 } else { ldu=1; u=&dummy; }\
ykuroda 0:13a5d365ba16 65 MatrixType localV; \
ykuroda 0:13a5d365ba16 66 ldvt = (m_computeFullV) ? m_cols : (m_computeThinV) ? m_diagSize : 1; \
ykuroda 0:13a5d365ba16 67 if (computeV()) { \
ykuroda 0:13a5d365ba16 68 localV.resize(ldvt, m_cols); \
ykuroda 0:13a5d365ba16 69 vt = (MKLTYPE*)localV.data(); \
ykuroda 0:13a5d365ba16 70 } else { ldvt=1; vt=&dummy; }\
ykuroda 0:13a5d365ba16 71 Matrix<MKLRTYPE, Dynamic, Dynamic> superb; superb.resize(m_diagSize, 1); \
ykuroda 0:13a5d365ba16 72 MatrixType m_temp; m_temp = matrix; \
ykuroda 0:13a5d365ba16 73 LAPACKE_##MKLPREFIX##gesvd( matrix_order, jobu, jobvt, m_rows, m_cols, (MKLTYPE*)m_temp.data(), lda, (MKLRTYPE*)m_singularValues.data(), u, ldu, vt, ldvt, superb.data()); \
ykuroda 0:13a5d365ba16 74 if (computeV()) m_matrixV = localV.adjoint(); \
ykuroda 0:13a5d365ba16 75 /* for(int i=0;i<m_diagSize;i++) if (m_singularValues.coeffRef(i) < precision) { m_nonzeroSingularValues--; m_singularValues.coeffRef(i)=RealScalar(0);}*/ \
ykuroda 0:13a5d365ba16 76 m_isInitialized = true; \
ykuroda 0:13a5d365ba16 77 return *this; \
ykuroda 0:13a5d365ba16 78 }
ykuroda 0:13a5d365ba16 79
ykuroda 0:13a5d365ba16 80 EIGEN_MKL_SVD(double, double, double, d, ColMajor, LAPACK_COL_MAJOR)
ykuroda 0:13a5d365ba16 81 EIGEN_MKL_SVD(float, float, float , s, ColMajor, LAPACK_COL_MAJOR)
ykuroda 0:13a5d365ba16 82 EIGEN_MKL_SVD(dcomplex, MKL_Complex16, double, z, ColMajor, LAPACK_COL_MAJOR)
ykuroda 0:13a5d365ba16 83 EIGEN_MKL_SVD(scomplex, MKL_Complex8, float , c, ColMajor, LAPACK_COL_MAJOR)
ykuroda 0:13a5d365ba16 84
ykuroda 0:13a5d365ba16 85 EIGEN_MKL_SVD(double, double, double, d, RowMajor, LAPACK_ROW_MAJOR)
ykuroda 0:13a5d365ba16 86 EIGEN_MKL_SVD(float, float, float , s, RowMajor, LAPACK_ROW_MAJOR)
ykuroda 0:13a5d365ba16 87 EIGEN_MKL_SVD(dcomplex, MKL_Complex16, double, z, RowMajor, LAPACK_ROW_MAJOR)
ykuroda 0:13a5d365ba16 88 EIGEN_MKL_SVD(scomplex, MKL_Complex8, float , c, RowMajor, LAPACK_ROW_MAJOR)
ykuroda 0:13a5d365ba16 89
ykuroda 0:13a5d365ba16 90 } // end namespace Eigen
ykuroda 0:13a5d365ba16 91
ykuroda 0:13a5d365ba16 92 #endif // EIGEN_JACOBISVD_MKL_H