summaryrefslogtreecommitdiffstats
path: root/src/EigenUnsupported/MatrixFunctions
diff options
context:
space:
mode:
authorNao Pross <np@0hm.ch>2024-02-12 14:52:43 +0100
committerNao Pross <np@0hm.ch>2024-02-12 14:52:43 +0100
commiteda5bc26f44ee9a6f83dcf8c91f17296d7fc509d (patch)
treebc2efa38ff4e350f9a111ac87065cd7ae9a911c7 /src/EigenUnsupported/MatrixFunctions
downloadfsisotool-eda5bc26f44ee9a6f83dcf8c91f17296d7fc509d.tar.gz
fsisotool-eda5bc26f44ee9a6f83dcf8c91f17296d7fc509d.zip
Move into version control
Diffstat (limited to '')
-rw-r--r--src/EigenUnsupported/MatrixFunctions504
1 files changed, 504 insertions, 0 deletions
diff --git a/src/EigenUnsupported/MatrixFunctions b/src/EigenUnsupported/MatrixFunctions
new file mode 100644
index 0000000..20c23d1
--- /dev/null
+++ b/src/EigenUnsupported/MatrixFunctions
@@ -0,0 +1,504 @@
+// This file is part of Eigen, a lightweight C++ template library
+// for linear algebra.
+//
+// Copyright (C) 2009 Jitse Niesen <jitse@maths.leeds.ac.uk>
+// Copyright (C) 2012 Chen-Pang He <jdh8@ms63.hinet.net>
+//
+// 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_MATRIX_FUNCTIONS
+#define EIGEN_MATRIX_FUNCTIONS
+
+#include <cfloat>
+#include <list>
+
+#include "../../Eigen/Core"
+#include "../../Eigen/LU"
+#include "../../Eigen/Eigenvalues"
+
+/**
+ * \defgroup MatrixFunctions_Module Matrix functions module
+ * \brief This module aims to provide various methods for the computation of
+ * matrix functions.
+ *
+ * To use this module, add
+ * \code
+ * #include <unsupported/Eigen/MatrixFunctions>
+ * \endcode
+ * at the start of your source file.
+ *
+ * This module defines the following MatrixBase methods.
+ * - \ref matrixbase_cos "MatrixBase::cos()", for computing the matrix cosine
+ * - \ref matrixbase_cosh "MatrixBase::cosh()", for computing the matrix hyperbolic cosine
+ * - \ref matrixbase_exp "MatrixBase::exp()", for computing the matrix exponential
+ * - \ref matrixbase_log "MatrixBase::log()", for computing the matrix logarithm
+ * - \ref matrixbase_pow "MatrixBase::pow()", for computing the matrix power
+ * - \ref matrixbase_matrixfunction "MatrixBase::matrixFunction()", for computing general matrix functions
+ * - \ref matrixbase_sin "MatrixBase::sin()", for computing the matrix sine
+ * - \ref matrixbase_sinh "MatrixBase::sinh()", for computing the matrix hyperbolic sine
+ * - \ref matrixbase_sqrt "MatrixBase::sqrt()", for computing the matrix square root
+ *
+ * These methods are the main entry points to this module.
+ *
+ * %Matrix functions are defined as follows. Suppose that \f$ f \f$
+ * is an entire function (that is, a function on the complex plane
+ * that is everywhere complex differentiable). Then its Taylor
+ * series
+ * \f[ f(0) + f'(0) x + \frac{f''(0)}{2} x^2 + \frac{f'''(0)}{3!} x^3 + \cdots \f]
+ * converges to \f$ f(x) \f$. In this case, we can define the matrix
+ * function by the same series:
+ * \f[ f(M) = f(0) + f'(0) M + \frac{f''(0)}{2} M^2 + \frac{f'''(0)}{3!} M^3 + \cdots \f]
+ *
+ */
+
+#include "../../Eigen/src/Core/util/DisableStupidWarnings.h"
+
+#include "src/MatrixFunctions/MatrixExponential.h"
+#include "src/MatrixFunctions/MatrixFunction.h"
+#include "src/MatrixFunctions/MatrixSquareRoot.h"
+#include "src/MatrixFunctions/MatrixLogarithm.h"
+#include "src/MatrixFunctions/MatrixPower.h"
+
+#include "../../Eigen/src/Core/util/ReenableStupidWarnings.h"
+
+
+/**
+\page matrixbaseextra_page
+\ingroup MatrixFunctions_Module
+
+\section matrixbaseextra MatrixBase methods defined in the MatrixFunctions module
+
+The remainder of the page documents the following MatrixBase methods
+which are defined in the MatrixFunctions module.
+
+
+
+\subsection matrixbase_cos MatrixBase::cos()
+
+Compute the matrix cosine.
+
+\code
+const MatrixFunctionReturnValue<Derived> MatrixBase<Derived>::cos() const
+\endcode
+
+\param[in] M a square matrix.
+\returns expression representing \f$ \cos(M) \f$.
+
+This function computes the matrix cosine. Use ArrayBase::cos() for computing the entry-wise cosine.
+
+The implementation calls \ref matrixbase_matrixfunction "matrixFunction()" with StdStemFunctions::cos().
+
+\sa \ref matrixbase_sin "sin()" for an example.
+
+
+
+\subsection matrixbase_cosh MatrixBase::cosh()
+
+Compute the matrix hyberbolic cosine.
+
+\code
+const MatrixFunctionReturnValue<Derived> MatrixBase<Derived>::cosh() const
+\endcode
+
+\param[in] M a square matrix.
+\returns expression representing \f$ \cosh(M) \f$
+
+This function calls \ref matrixbase_matrixfunction "matrixFunction()" with StdStemFunctions::cosh().
+
+\sa \ref matrixbase_sinh "sinh()" for an example.
+
+
+
+\subsection matrixbase_exp MatrixBase::exp()
+
+Compute the matrix exponential.
+
+\code
+const MatrixExponentialReturnValue<Derived> MatrixBase<Derived>::exp() const
+\endcode
+
+\param[in] M matrix whose exponential is to be computed.
+\returns expression representing the matrix exponential of \p M.
+
+The matrix exponential of \f$ M \f$ is defined by
+\f[ \exp(M) = \sum_{k=0}^\infty \frac{M^k}{k!}. \f]
+The matrix exponential can be used to solve linear ordinary
+differential equations: the solution of \f$ y' = My \f$ with the
+initial condition \f$ y(0) = y_0 \f$ is given by
+\f$ y(t) = \exp(M) y_0 \f$.
+
+The matrix exponential is different from applying the exp function to all the entries in the matrix.
+Use ArrayBase::exp() if you want to do the latter.
+
+The cost of the computation is approximately \f$ 20 n^3 \f$ for
+matrices of size \f$ n \f$. The number 20 depends weakly on the
+norm of the matrix.
+
+The matrix exponential is computed using the scaling-and-squaring
+method combined with Pad&eacute; approximation. The matrix is first
+rescaled, then the exponential of the reduced matrix is computed
+approximant, and then the rescaling is undone by repeated
+squaring. The degree of the Pad&eacute; approximant is chosen such
+that the approximation error is less than the round-off
+error. However, errors may accumulate during the squaring phase.
+
+Details of the algorithm can be found in: Nicholas J. Higham, "The
+scaling and squaring method for the matrix exponential revisited,"
+<em>SIAM J. %Matrix Anal. Applic.</em>, <b>26</b>:1179&ndash;1193,
+2005.
+
+Example: The following program checks that
+\f[ \exp \left[ \begin{array}{ccc}
+ 0 & \frac14\pi & 0 \\
+ -\frac14\pi & 0 & 0 \\
+ 0 & 0 & 0
+ \end{array} \right] = \left[ \begin{array}{ccc}
+ \frac12\sqrt2 & -\frac12\sqrt2 & 0 \\
+ \frac12\sqrt2 & \frac12\sqrt2 & 0 \\
+ 0 & 0 & 1
+ \end{array} \right]. \f]
+This corresponds to a rotation of \f$ \frac14\pi \f$ radians around
+the z-axis.
+
+\include MatrixExponential.cpp
+Output: \verbinclude MatrixExponential.out
+
+\note \p M has to be a matrix of \c float, \c double, `long double`
+\c complex<float>, \c complex<double>, or `complex<long double>` .
+
+
+\subsection matrixbase_log MatrixBase::log()
+
+Compute the matrix logarithm.
+
+\code
+const MatrixLogarithmReturnValue<Derived> MatrixBase<Derived>::log() const
+\endcode
+
+\param[in] M invertible matrix whose logarithm is to be computed.
+\returns expression representing the matrix logarithm root of \p M.
+
+The matrix logarithm of \f$ M \f$ is a matrix \f$ X \f$ such that
+\f$ \exp(X) = M \f$ where exp denotes the matrix exponential. As for
+the scalar logarithm, the equation \f$ \exp(X) = M \f$ may have
+multiple solutions; this function returns a matrix whose eigenvalues
+have imaginary part in the interval \f$ (-\pi,\pi] \f$.
+
+The matrix logarithm is different from applying the log function to all the entries in the matrix.
+Use ArrayBase::log() if you want to do the latter.
+
+In the real case, the matrix \f$ M \f$ should be invertible and
+it should have no eigenvalues which are real and negative (pairs of
+complex conjugate eigenvalues are allowed). In the complex case, it
+only needs to be invertible.
+
+This function computes the matrix logarithm using the Schur-Parlett
+algorithm as implemented by MatrixBase::matrixFunction(). The
+logarithm of an atomic block is computed by MatrixLogarithmAtomic,
+which uses direct computation for 1-by-1 and 2-by-2 blocks and an
+inverse scaling-and-squaring algorithm for bigger blocks, with the
+square roots computed by MatrixBase::sqrt().
+
+Details of the algorithm can be found in Section 11.6.2 of:
+Nicholas J. Higham,
+<em>Functions of Matrices: Theory and Computation</em>,
+SIAM 2008. ISBN 978-0-898716-46-7.
+
+Example: The following program checks that
+\f[ \log \left[ \begin{array}{ccc}
+ \frac12\sqrt2 & -\frac12\sqrt2 & 0 \\
+ \frac12\sqrt2 & \frac12\sqrt2 & 0 \\
+ 0 & 0 & 1
+ \end{array} \right] = \left[ \begin{array}{ccc}
+ 0 & \frac14\pi & 0 \\
+ -\frac14\pi & 0 & 0 \\
+ 0 & 0 & 0
+ \end{array} \right]. \f]
+This corresponds to a rotation of \f$ \frac14\pi \f$ radians around
+the z-axis. This is the inverse of the example used in the
+documentation of \ref matrixbase_exp "exp()".
+
+\include MatrixLogarithm.cpp
+Output: \verbinclude MatrixLogarithm.out
+
+\note \p M has to be a matrix of \c float, \c double, `long
+double`, \c complex<float>, \c complex<double>, or `complex<long double>`.
+
+\sa MatrixBase::exp(), MatrixBase::matrixFunction(),
+ class MatrixLogarithmAtomic, MatrixBase::sqrt().
+
+
+\subsection matrixbase_pow MatrixBase::pow()
+
+Compute the matrix raised to arbitrary real power.
+
+\code
+const MatrixPowerReturnValue<Derived> MatrixBase<Derived>::pow(RealScalar p) const
+\endcode
+
+\param[in] M base of the matrix power, should be a square matrix.
+\param[in] p exponent of the matrix power.
+
+The matrix power \f$ M^p \f$ is defined as \f$ \exp(p \log(M)) \f$,
+where exp denotes the matrix exponential, and log denotes the matrix
+logarithm. This is different from raising all the entries in the matrix
+to the p-th power. Use ArrayBase::pow() if you want to do the latter.
+
+If \p p is complex, the scalar type of \p M should be the type of \p
+p . \f$ M^p \f$ simply evaluates into \f$ \exp(p \log(M)) \f$.
+Therefore, the matrix \f$ M \f$ should meet the conditions to be an
+argument of matrix logarithm.
+
+If \p p is real, it is casted into the real scalar type of \p M. Then
+this function computes the matrix power using the Schur-Pad&eacute;
+algorithm as implemented by class MatrixPower. The exponent is split
+into integral part and fractional part, where the fractional part is
+in the interval \f$ (-1, 1) \f$. The main diagonal and the first
+super-diagonal is directly computed.
+
+If \p M is singular with a semisimple zero eigenvalue and \p p is
+positive, the Schur factor \f$ T \f$ is reordered with Givens
+rotations, i.e.
+
+\f[ T = \left[ \begin{array}{cc}
+ T_1 & T_2 \\
+ 0 & 0
+ \end{array} \right] \f]
+
+where \f$ T_1 \f$ is invertible. Then \f$ T^p \f$ is given by
+
+\f[ T^p = \left[ \begin{array}{cc}
+ T_1^p & T_1^{-1} T_1^p T_2 \\
+ 0 & 0
+ \end{array}. \right] \f]
+
+\warning Fractional power of a matrix with a non-semisimple zero
+eigenvalue is not well-defined. We introduce an assertion failure
+against inaccurate result, e.g. \code
+#include <unsupported/Eigen/MatrixFunctions>
+#include <iostream>
+
+int main()
+{
+ Eigen::Matrix4d A;
+ A << 0, 0, 2, 3,
+ 0, 0, 4, 5,
+ 0, 0, 6, 7,
+ 0, 0, 8, 9;
+ std::cout << A.pow(0.37) << std::endl;
+
+ // The 1 makes eigenvalue 0 non-semisimple.
+ A.coeffRef(0, 1) = 1;
+
+ // This fails if EIGEN_NO_DEBUG is undefined.
+ std::cout << A.pow(0.37) << std::endl;
+
+ return 0;
+}
+\endcode
+
+Details of the algorithm can be found in: Nicholas J. Higham and
+Lijing Lin, "A Schur-Pad&eacute; algorithm for fractional powers of a
+matrix," <em>SIAM J. %Matrix Anal. Applic.</em>,
+<b>32(3)</b>:1056&ndash;1078, 2011.
+
+Example: The following program checks that
+\f[ \left[ \begin{array}{ccc}
+ \cos1 & -\sin1 & 0 \\
+ \sin1 & \cos1 & 0 \\
+ 0 & 0 & 1
+ \end{array} \right]^{\frac14\pi} = \left[ \begin{array}{ccc}
+ \frac12\sqrt2 & -\frac12\sqrt2 & 0 \\
+ \frac12\sqrt2 & \frac12\sqrt2 & 0 \\
+ 0 & 0 & 1
+ \end{array} \right]. \f]
+This corresponds to \f$ \frac14\pi \f$ rotations of 1 radian around
+the z-axis.
+
+\include MatrixPower.cpp
+Output: \verbinclude MatrixPower.out
+
+MatrixBase::pow() is user-friendly. However, there are some
+circumstances under which you should use class MatrixPower directly.
+MatrixPower can save the result of Schur decomposition, so it's
+better for computing various powers for the same matrix.
+
+Example:
+\include MatrixPower_optimal.cpp
+Output: \verbinclude MatrixPower_optimal.out
+
+\note \p M has to be a matrix of \c float, \c double, `long
+double`, \c complex<float>, \c complex<double>, or
+\c complex<long double> .
+
+\sa MatrixBase::exp(), MatrixBase::log(), class MatrixPower.
+
+
+\subsection matrixbase_matrixfunction MatrixBase::matrixFunction()
+
+Compute a matrix function.
+
+\code
+const MatrixFunctionReturnValue<Derived> MatrixBase<Derived>::matrixFunction(typename internal::stem_function<typename internal::traits<Derived>::Scalar>::type f) const
+\endcode
+
+\param[in] M argument of matrix function, should be a square matrix.
+\param[in] f an entire function; \c f(x,n) should compute the n-th
+derivative of f at x.
+\returns expression representing \p f applied to \p M.
+
+Suppose that \p M is a matrix whose entries have type \c Scalar.
+Then, the second argument, \p f, should be a function with prototype
+\code
+ComplexScalar f(ComplexScalar, int)
+\endcode
+where \c ComplexScalar = \c std::complex<Scalar> if \c Scalar is
+real (e.g., \c float or \c double) and \c ComplexScalar =
+\c Scalar if \c Scalar is complex. The return value of \c f(x,n)
+should be \f$ f^{(n)}(x) \f$, the n-th derivative of f at x.
+
+This routine uses the algorithm described in:
+Philip Davies and Nicholas J. Higham,
+"A Schur-Parlett algorithm for computing matrix functions",
+<em>SIAM J. %Matrix Anal. Applic.</em>, <b>25</b>:464&ndash;485, 2003.
+
+The actual work is done by the MatrixFunction class.
+
+Example: The following program checks that
+\f[ \exp \left[ \begin{array}{ccc}
+ 0 & \frac14\pi & 0 \\
+ -\frac14\pi & 0 & 0 \\
+ 0 & 0 & 0
+ \end{array} \right] = \left[ \begin{array}{ccc}
+ \frac12\sqrt2 & -\frac12\sqrt2 & 0 \\
+ \frac12\sqrt2 & \frac12\sqrt2 & 0 \\
+ 0 & 0 & 1
+ \end{array} \right]. \f]
+This corresponds to a rotation of \f$ \frac14\pi \f$ radians around
+the z-axis. This is the same example as used in the documentation
+of \ref matrixbase_exp "exp()".
+
+\include MatrixFunction.cpp
+Output: \verbinclude MatrixFunction.out
+
+Note that the function \c expfn is defined for complex numbers
+\c x, even though the matrix \c A is over the reals. Instead of
+\c expfn, we could also have used StdStemFunctions::exp:
+\code
+A.matrixFunction(StdStemFunctions<std::complex<double> >::exp, &B);
+\endcode
+
+
+
+\subsection matrixbase_sin MatrixBase::sin()
+
+Compute the matrix sine.
+
+\code
+const MatrixFunctionReturnValue<Derived> MatrixBase<Derived>::sin() const
+\endcode
+
+\param[in] M a square matrix.
+\returns expression representing \f$ \sin(M) \f$.
+
+This function computes the matrix sine. Use ArrayBase::sin() for computing the entry-wise sine.
+
+The implementation calls \ref matrixbase_matrixfunction "matrixFunction()" with StdStemFunctions::sin().
+
+Example: \include MatrixSine.cpp
+Output: \verbinclude MatrixSine.out
+
+
+
+\subsection matrixbase_sinh MatrixBase::sinh()
+
+Compute the matrix hyperbolic sine.
+
+\code
+MatrixFunctionReturnValue<Derived> MatrixBase<Derived>::sinh() const
+\endcode
+
+\param[in] M a square matrix.
+\returns expression representing \f$ \sinh(M) \f$
+
+This function calls \ref matrixbase_matrixfunction "matrixFunction()" with StdStemFunctions::sinh().
+
+Example: \include MatrixSinh.cpp
+Output: \verbinclude MatrixSinh.out
+
+
+\subsection matrixbase_sqrt MatrixBase::sqrt()
+
+Compute the matrix square root.
+
+\code
+const MatrixSquareRootReturnValue<Derived> MatrixBase<Derived>::sqrt() const
+\endcode
+
+\param[in] M invertible matrix whose square root is to be computed.
+\returns expression representing the matrix square root of \p M.
+
+The matrix square root of \f$ M \f$ is the matrix \f$ M^{1/2} \f$
+whose square is the original matrix; so if \f$ S = M^{1/2} \f$ then
+\f$ S^2 = M \f$. This is different from taking the square root of all
+the entries in the matrix; use ArrayBase::sqrt() if you want to do the
+latter.
+
+In the <b>real case</b>, the matrix \f$ M \f$ should be invertible and
+it should have no eigenvalues which are real and negative (pairs of
+complex conjugate eigenvalues are allowed). In that case, the matrix
+has a square root which is also real, and this is the square root
+computed by this function.
+
+The matrix square root is computed by first reducing the matrix to
+quasi-triangular form with the real Schur decomposition. The square
+root of the quasi-triangular matrix can then be computed directly. The
+cost is approximately \f$ 25 n^3 \f$ real flops for the real Schur
+decomposition and \f$ 3\frac13 n^3 \f$ real flops for the remainder
+(though the computation time in practice is likely more than this
+indicates).
+
+Details of the algorithm can be found in: Nicholas J. Highan,
+"Computing real square roots of a real matrix", <em>Linear Algebra
+Appl.</em>, 88/89:405&ndash;430, 1987.
+
+If the matrix is <b>positive-definite symmetric</b>, then the square
+root is also positive-definite symmetric. In this case, it is best to
+use SelfAdjointEigenSolver::operatorSqrt() to compute it.
+
+In the <b>complex case</b>, the matrix \f$ M \f$ should be invertible;
+this is a restriction of the algorithm. The square root computed by
+this algorithm is the one whose eigenvalues have an argument in the
+interval \f$ (-\frac12\pi, \frac12\pi] \f$. This is the usual branch
+cut.
+
+The computation is the same as in the real case, except that the
+complex Schur decomposition is used to reduce the matrix to a
+triangular matrix. The theoretical cost is the same. Details are in:
+&Aring;ke Bj&ouml;rck and Sven Hammarling, "A Schur method for the
+square root of a matrix", <em>Linear Algebra Appl.</em>,
+52/53:127&ndash;140, 1983.
+
+Example: The following program checks that the square root of
+\f[ \left[ \begin{array}{cc}
+ \cos(\frac13\pi) & -\sin(\frac13\pi) \\
+ \sin(\frac13\pi) & \cos(\frac13\pi)
+ \end{array} \right], \f]
+corresponding to a rotation over 60 degrees, is a rotation over 30 degrees:
+\f[ \left[ \begin{array}{cc}
+ \cos(\frac16\pi) & -\sin(\frac16\pi) \\
+ \sin(\frac16\pi) & \cos(\frac16\pi)
+ \end{array} \right]. \f]
+
+\include MatrixSquareRoot.cpp
+Output: \verbinclude MatrixSquareRoot.out
+
+\sa class RealSchur, class ComplexSchur, class MatrixSquareRoot,
+ SelfAdjointEigenSolver::operatorSqrt().
+
+*/
+
+#endif // EIGEN_MATRIX_FUNCTIONS
+