// SPDX-License-Identifier: Apache-2.0 // // Copyright 2008-2016 Conrad Sanderson (http://conradsanderson.id.au) // Copyright 2008-2016 National ICT Australia (NICTA) // // Licensed under the Apache License, Version 2.0 (the "License"); // you may not use this file except in compliance with the License. // You may obtain a copy of the License at // http://www.apache.org/licenses/LICENSE-2.0 // // Unless required by applicable law or agreed to in writing, software // distributed under the License is distributed on an "AS IS" BASIS, // WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. // See the License for the specific language governing permissions and // limitations under the License. // ------------------------------------------------------------------------ namespace newarp { template inline void DoubleShiftQR::compute_reflector(const eT& x1, const eT& x2, const eT& x3, uword ind) { arma_extra_debug_sigprint(); // In general case the reflector affects 3 rows ref_nr(ind) = 3; eT x2x3 = eT(0); // If x3 is zero, decrease nr by 1 if(std::abs(x3) < prec) { // If x2 is also zero, nr will be 1, and we can exit this function if(std::abs(x2) < prec) { ref_nr(ind) = 1; return; } else { ref_nr(ind) = 2; } x2x3 = std::abs(x2); } else { x2x3 = arma_hypot(x2, x3); } // x1' = x1 - rho * ||x|| // rho = -sign(x1), if x1 == 0, we choose rho = 1 eT x1_new = x1 - ((x1 <= 0) - (x1 > 0)) * arma_hypot(x1, x2x3); eT x_norm = arma_hypot(x1_new, x2x3); // Double check the norm of new x if(x_norm < prec) { ref_nr(ind) = 1; return; } ref_u(0, ind) = x1_new / x_norm; ref_u(1, ind) = x2 / x_norm; ref_u(2, ind) = x3 / x_norm; } template arma_inline void DoubleShiftQR::compute_reflector(const eT* x, uword ind) { arma_extra_debug_sigprint(); compute_reflector(x[0], x[1], x[2], ind); } template inline void DoubleShiftQR::update_block(uword il, uword iu) { arma_extra_debug_sigprint(); // Block size uword bsize = iu - il + 1; // If block size == 1, there is no need to apply reflectors if(bsize == 1) { ref_nr(il) = 1; return; } // For block size == 2, do a Givens rotation on M = X * X - s * X + t * I if(bsize == 2) { // m00 = x00 * (x00 - s) + x01 * x10 + t eT m00 = mat_H(il, il) * (mat_H(il, il) - shift_s) + mat_H(il, il + 1) * mat_H(il + 1, il) + shift_t; // m10 = x10 * (x00 + x11 - s) eT m10 = mat_H(il + 1, il) * (mat_H(il, il) + mat_H(il + 1, il + 1) - shift_s); // This causes nr=2 compute_reflector(m00, m10, 0, il); // Apply the reflector to X apply_PX(mat_H, il, il, 2, n - il, il); apply_XP(mat_H, 0, il, il + 2, 2, il); ref_nr(il + 1) = 1; return; } // For block size >=3, use the regular strategy eT m00 = mat_H(il, il) * (mat_H(il, il) - shift_s) + mat_H(il, il + 1) * mat_H(il + 1, il) + shift_t; eT m10 = mat_H(il + 1, il) * (mat_H(il, il) + mat_H(il + 1, il + 1) - shift_s); // m20 = x21 * x10 eT m20 = mat_H(il + 2, il + 1) * mat_H(il + 1, il); compute_reflector(m00, m10, m20, il); // Apply the first reflector apply_PX(mat_H, il, il, 3, n - il, il); apply_XP(mat_H, 0, il, il + (std::min)(bsize, uword(4)), 3, il); // Calculate the following reflectors // If entering this loop, block size is at least 4. for(uword i = 1; i < bsize - 2; i++) { compute_reflector(mat_H.colptr(il + i - 1) + il + i, il + i); // Apply the reflector to X apply_PX(mat_H, il + i, il + i - 1, 3, n + 1 - il - i, il + i); apply_XP(mat_H, 0, il + i, il + (std::min)(bsize, uword(i + 4)), 3, il + i); } // The last reflector // This causes nr=2 compute_reflector(mat_H(iu - 1, iu - 2), mat_H(iu, iu - 2), 0, iu - 1); // Apply the reflector to X apply_PX(mat_H, iu - 1, iu - 2, 2, n + 2 - iu, iu - 1); apply_XP(mat_H, 0, iu - 1, il + bsize, 2, iu - 1); ref_nr(iu) = 1; } template inline void DoubleShiftQR::apply_PX(Mat& X, uword oi, uword oj, uword nrow, uword ncol, uword u_ind) { arma_extra_debug_sigprint(); if(ref_nr(u_ind) == 1) { return; } // Householder reflectors at index u_ind Col u(ref_u.colptr(u_ind), 3, false); const uword stride = X.n_rows; const eT u0_2 = 2 * u(0); const eT u1_2 = 2 * u(1); eT* xptr = &X(oi, oj); if(ref_nr(u_ind) == 2 || nrow == 2) { for(uword i = 0; i < ncol; i++, xptr += stride) { eT tmp = u0_2 * xptr[0] + u1_2 * xptr[1]; xptr[0] -= tmp * u(0); xptr[1] -= tmp * u(1); } } else { const eT u2_2 = 2 * u(2); for(uword i = 0; i < ncol; i++, xptr += stride) { eT tmp = u0_2 * xptr[0] + u1_2 * xptr[1] + u2_2 * xptr[2]; xptr[0] -= tmp * u(0); xptr[1] -= tmp * u(1); xptr[2] -= tmp * u(2); } } } template inline void DoubleShiftQR::apply_PX(eT* x, uword u_ind) { arma_extra_debug_sigprint(); if(ref_nr(u_ind) == 1) { return; } eT u0 = ref_u(0, u_ind), u1 = ref_u(1, u_ind), u2 = ref_u(2, u_ind); // When the reflector only contains two elements, u2 has been set to zero bool nr_is_2 = (ref_nr(u_ind) == 2); eT dot2 = x[0] * u0 + x[1] * u1 + (nr_is_2 ? 0 : (x[2] * u2)); dot2 *= 2; x[0] -= dot2 * u0; x[1] -= dot2 * u1; if(!nr_is_2) { x[2] -= dot2 * u2; } } template inline void DoubleShiftQR::apply_XP(Mat& X, uword oi, uword oj, uword nrow, uword ncol, uword u_ind) { arma_extra_debug_sigprint(); if(ref_nr(u_ind) == 1) { return; } // Householder reflectors at index u_ind Col u(ref_u.colptr(u_ind), 3, false); uword stride = X.n_rows; const eT u0_2 = 2 * u(0); const eT u1_2 = 2 * u(1); eT* X0 = &X(oi, oj); eT* X1 = X0 + stride; // X0 => X(oi, oj), X1 => X(oi, oj + 1) if(ref_nr(u_ind) == 2 || ncol == 2) { // tmp = 2 * u0 * X0 + 2 * u1 * X1 // X0 => X0 - u0 * tmp // X1 => X1 - u1 * tmp for(uword i = 0; i < nrow; i++) { eT tmp = u0_2 * X0[i] + u1_2 * X1[i]; X0[i] -= tmp * u(0); X1[i] -= tmp * u(1); } } else { eT* X2 = X1 + stride; // X2 => X(oi, oj + 2) const eT u2_2 = 2 * u(2); for(uword i = 0; i < nrow; i++) { eT tmp = u0_2 * X0[i] + u1_2 * X1[i] + u2_2 * X2[i]; X0[i] -= tmp * u(0); X1[i] -= tmp * u(1); X2[i] -= tmp * u(2); } } } template inline DoubleShiftQR::DoubleShiftQR(uword size) : n(size) , prec(std::numeric_limits::epsilon()) , eps_rel(prec) , eps_abs(prec) , computed(false) { arma_extra_debug_sigprint(); } template inline DoubleShiftQR::DoubleShiftQR(const Mat& mat_obj, eT s, eT t) : n(mat_obj.n_rows) , mat_H(n, n) , shift_s(s) , shift_t(t) , ref_u(3, n) , ref_nr(n) , prec(std::numeric_limits::epsilon()) , eps_rel(prec) , eps_abs(prec) , computed(false) { arma_extra_debug_sigprint(); compute(mat_obj, s, t); } template void DoubleShiftQR::compute(const Mat& mat_obj, eT s, eT t) { arma_extra_debug_sigprint(); arma_debug_check( (mat_obj.is_square() == false), "newarp::DoubleShiftQR::compute(): matrix must be square" ); n = mat_obj.n_rows; mat_H.set_size(n, n); shift_s = s; shift_t = t; ref_u.set_size(3, n); ref_nr.set_size(n); // Make a copy of mat_obj mat_H = mat_obj; // Obtain the indices of zero elements in the subdiagonal, // so that H can be divided into several blocks std::vector zero_ind; zero_ind.reserve(n - 1); zero_ind.push_back(0); eT* Hii = mat_H.memptr(); for(uword i = 0; i < n - 2; i++, Hii += (n + 1)) { // Hii[1] => mat_H(i + 1, i) const eT h = std::abs(Hii[1]); if(h <= eps_abs || h <= eps_rel * (std::abs(Hii[0]) + std::abs(Hii[n + 1]))) { Hii[1] = 0; zero_ind.push_back(i + 1); } // Make sure mat_H is upper Hessenberg // Zero the elements below mat_H(i + 1, i) std::fill(Hii + 2, Hii + n - i, eT(0)); } zero_ind.push_back(n); for(std::vector::size_type i = 0; i < zero_ind.size() - 1; i++) { uword start = zero_ind[i]; uword end = zero_ind[i + 1] - 1; // Compute refelctors from each block X update_block(start, end); } computed = true; } template Mat DoubleShiftQR::matrix_QtHQ() { arma_extra_debug_sigprint(); arma_debug_check( (computed == false), "newarp::DoubleShiftQR::matrix_QtHQ(): need to call compute() first" ); return mat_H; } template inline void DoubleShiftQR::apply_QtY(Col& y) { arma_extra_debug_sigprint(); arma_debug_check( (computed == false), "newarp::DoubleShiftQR::apply_QtY(): need to call compute() first" ); eT* y_ptr = y.memptr(); for(uword i = 0; i < n - 1; i++, y_ptr++) { apply_PX(y_ptr, i); } } template inline void DoubleShiftQR::apply_YQ(Mat& Y) { arma_extra_debug_sigprint(); arma_debug_check( (computed == false), "newarp::DoubleShiftQR::apply_YQ(): need to call compute() first" ); uword nrow = Y.n_rows; for(uword i = 0; i < n - 2; i++) { apply_XP(Y, 0, i, nrow, 3, i); } apply_XP(Y, 0, n - 2, nrow, 2, n - 2); } } // namespace newarp