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EigenSolver< _MatrixType > Class Template Reference


Detailed Description

template<typename _MatrixType>
class EigenSolver< _MatrixType >

Computes eigenvalues and eigenvectors of general matrices

Template Parameters:
_MatrixTypethe type of the matrix of which we are computing the eigendecomposition; this is expected to be an instantiation of the Matrix class template. Currently, only real matrices are supported.

The eigenvalues and eigenvectors of a matrix $ A $ are scalars $ \lambda $ and vectors $ v $ such that $ Av = \lambda v $. If $ D $ is a diagonal matrix with the eigenvalues on the diagonal, and $ V $ is a matrix with the eigenvectors as its columns, then $ A V = V D $. The matrix $ V $ is almost always invertible, in which case we have $ A = V D V^{-1} $. This is called the eigendecomposition.

The eigenvalues and eigenvectors of a matrix may be complex, even when the matrix is real. However, we can choose real matrices $ V $ and $ D $ satisfying $ A V = V D $, just like the eigendecomposition, if the matrix $ D $ is not required to be diagonal, but if it is allowed to have blocks of the form

\[ \begin{bmatrix} u & v \\ -v & u \end{bmatrix} \]

(where $ u $ and $ v $ are real numbers) on the diagonal. These blocks correspond to complex eigenvalue pairs $ u \pm iv $. We call this variant of the eigendecomposition the pseudo-eigendecomposition.

Call the function compute() to compute the eigenvalues and eigenvectors of a given matrix. Alternatively, you can use the EigenSolver(const MatrixType&, bool) constructor which computes the eigenvalues and eigenvectors at construction time. Once the eigenvalue and eigenvectors are computed, they can be retrieved with the eigenvalues() and eigenvectors() functions. The pseudoEigenvalueMatrix() and pseudoEigenvectors() methods allow the construction of the pseudo-eigendecomposition.

The documentation for EigenSolver(const MatrixType&, bool) contains an example of the typical use of this class.

Note:
The implementation is adapted from JAMA (public domain). Their code is based on EISPACK.
See also:
MatrixBase::eigenvalues(), class ComplexEigenSolver, class SelfAdjointEigenSolver

Definition at line 78 of file EigenSolver.h.

#include <src/Eigenvalues/EigenSolver.h>

List of all members.

Public Types

enum  {
  RowsAtCompileTime = MatrixType::RowsAtCompileTime, ColsAtCompileTime = MatrixType::ColsAtCompileTime, Options = MatrixType::Options, MaxRowsAtCompileTime = MatrixType::MaxRowsAtCompileTime,
  MaxColsAtCompileTime = MatrixType::MaxColsAtCompileTime
}
typedef _MatrixType MatrixType
 Synonym for the template parameter _MatrixType.
typedef MatrixType::Scalar Scalar
 Scalar type for matrices of type MatrixType.
typedef NumTraits< Scalar >::Real RealScalar
typedef MatrixType::Index Index
typedef std::complex< RealScalarComplexScalar
 Complex scalar type for MatrixType.
typedef Matrix< ComplexScalar,
ColsAtCompileTime, 1, Options
&~RowMajor,
MaxColsAtCompileTime, 1 > 
EigenvalueType
 Type for vector of eigenvalues as returned by eigenvalues().
typedef Matrix< ComplexScalar,
RowsAtCompileTime,
ColsAtCompileTime, Options,
MaxRowsAtCompileTime,
MaxColsAtCompileTime > 
EigenvectorsType
 Type for matrix of eigenvectors as returned by eigenvectors().

Public Member Functions

 EigenSolver ()
 Default constructor.
 EigenSolver (Index size)
 Default constructor with memory preallocation.
 EigenSolver (const MatrixType &matrix, bool computeEigenvectors=true)
 Constructor; computes eigendecomposition of given matrix.
EigenvectorsType eigenvectors () const
 Returns the eigenvectors of given matrix.
const MatrixTypepseudoEigenvectors () const
 Returns the pseudo-eigenvectors of given matrix.
MatrixType pseudoEigenvalueMatrix () const
 Returns the block-diagonal matrix in the pseudo-eigendecomposition.
const EigenvalueTypeeigenvalues () const
 Returns the eigenvalues of given matrix.
EigenSolvercompute (const MatrixType &matrix, bool computeEigenvectors=true)
 Computes eigendecomposition of given matrix.
ComputationInfo info () const

Protected Types

typedef Matrix< Scalar,
ColsAtCompileTime, 1, Options
&~RowMajor,
MaxColsAtCompileTime, 1 > 
ColumnVectorType

Protected Attributes

MatrixType m_eivec
EigenvalueType m_eivalues
bool m_isInitialized
bool m_eigenvectorsOk
RealSchur< MatrixTypem_realSchur
MatrixType m_matT
ColumnVectorType m_tmp

Private Member Functions

void doComputeEigenvectors ()

Member Typedef Documentation

template<typename _MatrixType>
typedef Matrix<Scalar, ColsAtCompileTime, 1, Options & ~RowMajor, MaxColsAtCompileTime, 1> EigenSolver< _MatrixType >::ColumnVectorType [protected]

Definition at line 307 of file EigenSolver.h.

template<typename _MatrixType>
typedef std::complex<RealScalar> EigenSolver< _MatrixType >::ComplexScalar

Complex scalar type for MatrixType.

This is std::complex<Scalar> if Scalar is real (e.g., float or double) and just Scalar if Scalar is complex.

Definition at line 104 of file EigenSolver.h.

template<typename _MatrixType>
typedef Matrix<ComplexScalar, ColsAtCompileTime, 1, Options & ~RowMajor, MaxColsAtCompileTime, 1> EigenSolver< _MatrixType >::EigenvalueType

Type for vector of eigenvalues as returned by eigenvalues().

This is a column vector with entries of type ComplexScalar. The length of the vector is the size of MatrixType.

Definition at line 111 of file EigenSolver.h.

template<typename _MatrixType>
typedef Matrix<ComplexScalar, RowsAtCompileTime, ColsAtCompileTime, Options, MaxRowsAtCompileTime, MaxColsAtCompileTime> EigenSolver< _MatrixType >::EigenvectorsType

Type for matrix of eigenvectors as returned by eigenvectors().

This is a square matrix with entries of type ComplexScalar. The size is the same as the size of MatrixType.

Definition at line 118 of file EigenSolver.h.

template<typename _MatrixType>
typedef MatrixType::Index EigenSolver< _MatrixType >::Index

Definition at line 96 of file EigenSolver.h.

template<typename _MatrixType>
typedef _MatrixType EigenSolver< _MatrixType >::MatrixType

Synonym for the template parameter _MatrixType.

Definition at line 83 of file EigenSolver.h.

template<typename _MatrixType>
typedef NumTraits<Scalar>::Real EigenSolver< _MatrixType >::RealScalar

Definition at line 95 of file EigenSolver.h.

template<typename _MatrixType>
typedef MatrixType::Scalar EigenSolver< _MatrixType >::Scalar

Scalar type for matrices of type MatrixType.

Definition at line 94 of file EigenSolver.h.


Member Enumeration Documentation

template<typename _MatrixType>
anonymous enum
Enumerator:
RowsAtCompileTime 
ColsAtCompileTime 
Options 
MaxRowsAtCompileTime 
MaxColsAtCompileTime 

Definition at line 85 of file EigenSolver.h.


Constructor & Destructor Documentation

template<typename _MatrixType>
EigenSolver< _MatrixType >::EigenSolver ( ) [inline]

Default constructor.

The default constructor is useful in cases in which the user intends to perform decompositions via EigenSolver::compute(const MatrixType&, bool).

See also:
compute() for an example.

Definition at line 127 of file EigenSolver.h.

template<typename _MatrixType>
EigenSolver< _MatrixType >::EigenSolver ( Index  size) [inline]

Default constructor with memory preallocation.

Like the default constructor but with preallocation of the internal data according to the specified problem size.

See also:
EigenSolver()

Definition at line 135 of file EigenSolver.h.

template<typename _MatrixType>
EigenSolver< _MatrixType >::EigenSolver ( const MatrixType matrix,
bool  computeEigenvectors = true 
) [inline]

Constructor; computes eigendecomposition of given matrix.

Parameters:
[in]matrixSquare matrix whose eigendecomposition is to be computed.
[in]computeEigenvectorsIf true, both the eigenvectors and the eigenvalues are computed; if false, only the eigenvalues are computed.

This constructor calls compute() to compute the eigenvalues and eigenvectors.

Example:

Output:

See also:
compute()

Definition at line 160 of file EigenSolver.h.

References EigenSolver< _MatrixType >::compute().


Member Function Documentation

template<typename MatrixType >
EigenSolver< MatrixType > & EigenSolver< MatrixType >::compute ( const MatrixType matrix,
bool  computeEigenvectors = true 
)

Computes eigendecomposition of given matrix.

Parameters:
[in]matrixSquare matrix whose eigendecomposition is to be computed.
[in]computeEigenvectorsIf true, both the eigenvectors and the eigenvalues are computed; if false, only the eigenvalues are computed.
Returns:
Reference to *this

This function computes the eigenvalues of the real matrix matrix. The eigenvalues() function can be used to retrieve them. If computeEigenvectors is true, then the eigenvectors are also computed and can be retrieved by calling eigenvectors().

The matrix is first reduced to real Schur form using the RealSchur class. The Schur decomposition is then used to compute the eigenvalues and eigenvectors.

The cost of the computation is dominated by the cost of the Schur decomposition, which is very approximately $ 25n^3 $ (where $ n $ is the size of the matrix) if computeEigenvectors is true, and $ 10n^3 $ if computeEigenvectors is false.

This method reuses of the allocated data in the EigenSolver object.

Example:

Output:

Definition at line 362 of file EigenSolver.h.

References abs(), EigenSolver< _MatrixType >::compute(), internal::sqrt(), and Success.

Referenced by EigenSolver< _MatrixType >::compute(), and EigenSolver< _MatrixType >::EigenSolver().

template<typename MatrixType >
void EigenSolver< MatrixType >::doComputeEigenvectors ( ) [private]

Definition at line 426 of file EigenSolver.h.

References abs(), cdiv(), imag(), mrpt::math::norm(), real(), mrpt::math::size(), t(), and internal::y.

template<typename _MatrixType>
const EigenvalueType& EigenSolver< _MatrixType >::eigenvalues ( ) const [inline]

Returns the eigenvalues of given matrix.

Returns:
A const reference to the column vector containing the eigenvalues.
Precondition:
Either the constructor EigenSolver(const MatrixType&,bool) or the member function compute(const MatrixType&, bool) has been called before.

The eigenvalues are repeated according to their algebraic multiplicity, so there are as many eigenvalues as rows in the matrix.

Example:

Output:

See also:
eigenvectors(), pseudoEigenvalueMatrix(), MatrixBase::eigenvalues()

Definition at line 255 of file EigenSolver.h.

References eigen_assert, EigenSolver< _MatrixType >::m_eivalues, and EigenSolver< _MatrixType >::m_isInitialized.

template<typename MatrixType >
EigenSolver< MatrixType >::EigenvectorsType EigenSolver< MatrixType >::eigenvectors ( ) const

Returns the eigenvectors of given matrix.

Returns:
Matrix whose columns are the (possibly complex) eigenvectors.
Precondition:
Either the constructor EigenSolver(const MatrixType&,bool) or the member function compute(const MatrixType&, bool) has been called before, and computeEigenvectors was set to true (the default).

Column $ k $ of the returned matrix is an eigenvector corresponding to eigenvalue number $ k $ as returned by eigenvalues(). The eigenvectors are normalized to have (Euclidean) norm equal to one. The matrix returned by this function is the matrix $ V $ in the eigendecomposition $ A = V D V^{-1} $, if it exists.

Example:

Output:

See also:
eigenvalues(), pseudoEigenvectors()

Definition at line 332 of file EigenSolver.h.

References PlainObjectBase< Derived >::coeffRef(), eigen_assert, imag(), internal::isMuchSmallerThan(), and real().

template<typename _MatrixType>
ComputationInfo EigenSolver< _MatrixType >::info ( ) const [inline]
template<typename MatrixType >
MatrixType EigenSolver< MatrixType >::pseudoEigenvalueMatrix ( ) const

Returns the block-diagonal matrix in the pseudo-eigendecomposition.

Returns:
A block-diagonal matrix.
Precondition:
Either the constructor EigenSolver(const MatrixType&,bool) or the member function compute(const MatrixType&, bool) has been called before.

The matrix $ D $ returned by this function is real and block-diagonal. The blocks on the diagonal are either 1-by-1 or 2-by-2 blocks of the form $ \begin{bmatrix} u & v \\ -v & u \end{bmatrix} $. The matrix $ D $ and the matrix $ V $ returned by pseudoEigenvectors() satisfy $ AV = VD $.

See also:
pseudoEigenvectors() for an example, eigenvalues()

Definition at line 312 of file EigenSolver.h.

References eigen_assert, imag(), internal::isMuchSmallerThan(), and real().

template<typename _MatrixType>
const MatrixType& EigenSolver< _MatrixType >::pseudoEigenvectors ( ) const [inline]

Returns the pseudo-eigenvectors of given matrix.

Returns:
Const reference to matrix whose columns are the pseudo-eigenvectors.
Precondition:
Either the constructor EigenSolver(const MatrixType&,bool) or the member function compute(const MatrixType&, bool) has been called before, and computeEigenvectors was set to true (the default).

The real matrix $ V $ returned by this function and the block-diagonal matrix $ D $ returned by pseudoEigenvalueMatrix() satisfy $ AV = VD $.

Example:

Output:

See also:
pseudoEigenvalueMatrix(), eigenvectors()

Definition at line 212 of file EigenSolver.h.

References eigen_assert, EigenSolver< _MatrixType >::m_eigenvectorsOk, EigenSolver< _MatrixType >::m_eivec, and EigenSolver< _MatrixType >::m_isInitialized.


Member Data Documentation

template<typename _MatrixType>
bool EigenSolver< _MatrixType >::m_eigenvectorsOk [protected]

Definition at line 303 of file EigenSolver.h.

Referenced by EigenSolver< _MatrixType >::pseudoEigenvectors().

template<typename _MatrixType>
EigenvalueType EigenSolver< _MatrixType >::m_eivalues [protected]

Definition at line 301 of file EigenSolver.h.

Referenced by EigenSolver< _MatrixType >::eigenvalues().

template<typename _MatrixType>
MatrixType EigenSolver< _MatrixType >::m_eivec [protected]

Definition at line 300 of file EigenSolver.h.

Referenced by EigenSolver< _MatrixType >::pseudoEigenvectors().

template<typename _MatrixType>
bool EigenSolver< _MatrixType >::m_isInitialized [protected]
template<typename _MatrixType>
MatrixType EigenSolver< _MatrixType >::m_matT [protected]

Definition at line 305 of file EigenSolver.h.

template<typename _MatrixType>
RealSchur<MatrixType> EigenSolver< _MatrixType >::m_realSchur [protected]

Definition at line 304 of file EigenSolver.h.

Referenced by EigenSolver< _MatrixType >::info().

template<typename _MatrixType>
ColumnVectorType EigenSolver< _MatrixType >::m_tmp [protected]

Definition at line 308 of file EigenSolver.h.




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