FullPivHouseholderQR.h

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// This file is part of Eigen, a lightweight C++ template library
// for linear algebra.
//
// Copyright (C) 2008-2009 Gael Guennebaud <gael.guennebaud@inria.fr>
// Copyright (C) 2009 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_FULLPIVOTINGHOUSEHOLDERQR_H
#define EIGEN_FULLPIVOTINGHOUSEHOLDERQR_H
 
// IWYU pragma: private
#include "./InternalHeaderCheck.h"
 
namespace Eigen {
 
namespace internal {
 
template <typename MatrixType_, typename PermutationIndex_>
struct traits<FullPivHouseholderQR<MatrixType_, PermutationIndex_> > : traits<MatrixType_> {
  typedef MatrixXpr XprKind;
  typedef SolverStorage StorageKind;
  typedef PermutationIndex_ PermutationIndex;
  enum { Flags = 0 };
};
 
template <typename MatrixType, typename PermutationIndex>
struct FullPivHouseholderQRMatrixQReturnType;
 
template <typename MatrixType, typename PermutationIndex>
struct traits<FullPivHouseholderQRMatrixQReturnType<MatrixType, PermutationIndex> > {
  typedef typename MatrixType::PlainObject ReturnType;
};
 
}  // end namespace internal
 
template <typename MatrixType_, typename PermutationIndex_>
class FullPivHouseholderQR : public SolverBase<FullPivHouseholderQR<MatrixType_, PermutationIndex_> > {
 public:
  typedef MatrixType_ MatrixType;
  typedef SolverBase<FullPivHouseholderQR> Base;
  friend class SolverBase<FullPivHouseholderQR>;
  typedef PermutationIndex_ PermutationIndex;
  EIGEN_GENERIC_PUBLIC_INTERFACE(FullPivHouseholderQR)
 
  enum {
    MaxRowsAtCompileTime = MatrixType::MaxRowsAtCompileTime,
    MaxColsAtCompileTime = MatrixType::MaxColsAtCompileTime
  };
  typedef internal::FullPivHouseholderQRMatrixQReturnType<MatrixType, PermutationIndex> MatrixQReturnType;
  typedef typename internal::plain_diag_type<MatrixType>::type HCoeffsType;
  typedef Matrix<PermutationIndex, 1, internal::min_size_prefer_dynamic(ColsAtCompileTime, RowsAtCompileTime), RowMajor,
                 1, internal::min_size_prefer_fixed(MaxColsAtCompileTime, MaxRowsAtCompileTime)>
      IntDiagSizeVectorType;
  typedef PermutationMatrix<ColsAtCompileTime, MaxColsAtCompileTime, PermutationIndex> PermutationType;
  typedef typename internal::plain_row_type<MatrixType>::type RowVectorType;
  typedef typename internal::plain_col_type<MatrixType>::type ColVectorType;
  typedef typename MatrixType::PlainObject PlainObject;
 
  FullPivHouseholderQR()
      : m_qr(),
        m_hCoeffs(),
        m_rows_transpositions(),
        m_cols_transpositions(),
        m_cols_permutation(),
        m_temp(),
        m_isInitialized(false),
        m_usePrescribedThreshold(false) {}
 
  FullPivHouseholderQR(Index rows, Index cols)
      : m_qr(rows, cols),
        m_hCoeffs((std::min)(rows, cols)),
        m_rows_transpositions((std::min)(rows, cols)),
        m_cols_transpositions((std::min)(rows, cols)),
        m_cols_permutation(cols),
        m_temp(cols),
        m_isInitialized(false),
        m_usePrescribedThreshold(false) {}
 
  template <typename InputType>
  explicit FullPivHouseholderQR(const EigenBase<InputType>& matrix)
      : m_qr(matrix.rows(), matrix.cols()),
        m_hCoeffs((std::min)(matrix.rows(), matrix.cols())),
        m_rows_transpositions((std::min)(matrix.rows(), matrix.cols())),
        m_cols_transpositions((std::min)(matrix.rows(), matrix.cols())),
        m_cols_permutation(matrix.cols()),
        m_temp(matrix.cols()),
        m_isInitialized(false),
        m_usePrescribedThreshold(false) {
    compute(matrix.derived());
  }
 
  template <typename InputType>
  explicit FullPivHouseholderQR(EigenBase<InputType>& matrix)
      : m_qr(matrix.derived()),
        m_hCoeffs((std::min)(matrix.rows(), matrix.cols())),
        m_rows_transpositions((std::min)(matrix.rows(), matrix.cols())),
        m_cols_transpositions((std::min)(matrix.rows(), matrix.cols())),
        m_cols_permutation(matrix.cols()),
        m_temp(matrix.cols()),
        m_isInitialized(false),
        m_usePrescribedThreshold(false) {
    computeInPlace();
  }
 
#ifdef EIGEN_PARSED_BY_DOXYGEN
  template <typename Rhs>
  inline const Solve<FullPivHouseholderQR, Rhs> solve(const MatrixBase<Rhs>& b) const;
#endif
 
  MatrixQReturnType matrixQ(void) const;
 
  const MatrixType& matrixQR() const {
    eigen_assert(m_isInitialized && "FullPivHouseholderQR is not initialized.");
    return m_qr;
  }
 
  template <typename InputType>
  FullPivHouseholderQR& compute(const EigenBase<InputType>& matrix);
 
  const PermutationType& colsPermutation() const {
    eigen_assert(m_isInitialized && "FullPivHouseholderQR is not initialized.");
    return m_cols_permutation;
  }
 
  const IntDiagSizeVectorType& rowsTranspositions() const {
    eigen_assert(m_isInitialized && "FullPivHouseholderQR is not initialized.");
    return m_rows_transpositions;
  }
 
  typename MatrixType::Scalar determinant() const;
 
  typename MatrixType::RealScalar absDeterminant() const;
 
  typename MatrixType::RealScalar logAbsDeterminant() const;
 
  typename MatrixType::Scalar signDeterminant() const;
 
  inline Index rank() const {
    using std::abs;
    eigen_assert(m_isInitialized && "FullPivHouseholderQR is not initialized.");
    RealScalar premultiplied_threshold = abs(m_maxpivot) * threshold();
    Index result = 0;
    for (Index i = 0; i < m_nonzero_pivots; ++i) result += (abs(m_qr.coeff(i, i)) > premultiplied_threshold);
    return result;
  }
 
  inline Index dimensionOfKernel() const {
    eigen_assert(m_isInitialized && "FullPivHouseholderQR is not initialized.");
    return cols() - rank();
  }
 
  inline bool isInjective() const {
    eigen_assert(m_isInitialized && "FullPivHouseholderQR is not initialized.");
    return rank() == cols();
  }
 
  inline bool isSurjective() const {
    eigen_assert(m_isInitialized && "FullPivHouseholderQR is not initialized.");
    return rank() == rows();
  }
 
  inline bool isInvertible() const {
    eigen_assert(m_isInitialized && "FullPivHouseholderQR is not initialized.");
    return isInjective() && isSurjective();
  }
 
  inline const Inverse<FullPivHouseholderQR> inverse() const {
    eigen_assert(m_isInitialized && "FullPivHouseholderQR is not initialized.");
    return Inverse<FullPivHouseholderQR>(*this);
  }
 
  inline Index rows() const { return m_qr.rows(); }
  inline Index cols() const { return m_qr.cols(); }
 
  const HCoeffsType& hCoeffs() const { return m_hCoeffs; }
 
  FullPivHouseholderQR& setThreshold(const RealScalar& threshold) {
    m_usePrescribedThreshold = true;
    m_prescribedThreshold = threshold;
    return *this;
  }
 
  FullPivHouseholderQR& setThreshold(Default_t) {
    m_usePrescribedThreshold = false;
    return *this;
  }
 
  RealScalar threshold() const {
    eigen_assert(m_isInitialized || m_usePrescribedThreshold);
    return m_usePrescribedThreshold ? m_prescribedThreshold
                                    // this formula comes from experimenting (see "LU precision tuning" thread on the
                                    // list) and turns out to be identical to Higham's formula used already in LDLt.
                                    : NumTraits<Scalar>::epsilon() * RealScalar(m_qr.diagonalSize());
  }
 
  inline Index nonzeroPivots() const {
    eigen_assert(m_isInitialized && "LU is not initialized.");
    return m_nonzero_pivots;
  }
 
  RealScalar maxPivot() const { return m_maxpivot; }
 
#ifndef EIGEN_PARSED_BY_DOXYGEN
  template <typename RhsType, typename DstType>
  void _solve_impl(const RhsType& rhs, DstType& dst) const;
 
  template <bool Conjugate, typename RhsType, typename DstType>
  void _solve_impl_transposed(const RhsType& rhs, DstType& dst) const;
#endif
 
 protected:
  EIGEN_STATIC_ASSERT_NON_INTEGER(Scalar)
 
  void computeInPlace();
 
  MatrixType m_qr;
  HCoeffsType m_hCoeffs;
  IntDiagSizeVectorType m_rows_transpositions;
  IntDiagSizeVectorType m_cols_transpositions;
  PermutationType m_cols_permutation;
  RowVectorType m_temp;
  bool m_isInitialized, m_usePrescribedThreshold;
  RealScalar m_prescribedThreshold, m_maxpivot;
  Index m_nonzero_pivots;
  RealScalar m_precision;
  Index m_det_p;
};
 
template <typename MatrixType, typename PermutationIndex>
typename MatrixType::Scalar FullPivHouseholderQR<MatrixType, PermutationIndex>::determinant() const {
  eigen_assert(m_isInitialized && "HouseholderQR is not initialized.");
  eigen_assert(m_qr.rows() == m_qr.cols() && "You can't take the determinant of a non-square matrix!");
  Scalar detQ;
  internal::householder_determinant<HCoeffsType, Scalar, NumTraits<Scalar>::IsComplex>::run(m_hCoeffs, detQ);
  return isInjective() ? (detQ * Scalar(m_det_p)) * m_qr.diagonal().prod() : Scalar(0);
}
 
template <typename MatrixType, typename PermutationIndex>
typename MatrixType::RealScalar FullPivHouseholderQR<MatrixType, PermutationIndex>::absDeterminant() const {
  using std::abs;
  eigen_assert(m_isInitialized && "FullPivHouseholderQR is not initialized.");
  eigen_assert(m_qr.rows() == m_qr.cols() && "You can't take the determinant of a non-square matrix!");
  return isInjective() ? abs(m_qr.diagonal().prod()) : RealScalar(0);
}
 
template <typename MatrixType, typename PermutationIndex>
typename MatrixType::RealScalar FullPivHouseholderQR<MatrixType, PermutationIndex>::logAbsDeterminant() const {
  eigen_assert(m_isInitialized && "FullPivHouseholderQR is not initialized.");
  eigen_assert(m_qr.rows() == m_qr.cols() && "You can't take the determinant of a non-square matrix!");
  return isInjective() ? m_qr.diagonal().cwiseAbs().array().log().sum() : -NumTraits<RealScalar>::infinity();
}
 
template <typename MatrixType, typename PermutationIndex>
typename MatrixType::Scalar FullPivHouseholderQR<MatrixType, PermutationIndex>::signDeterminant() const {
  eigen_assert(m_isInitialized && "FullPivHouseholderQR is not initialized.");
  eigen_assert(m_qr.rows() == m_qr.cols() && "You can't take the determinant of a non-square matrix!");
  Scalar detQ;
  internal::householder_determinant<HCoeffsType, Scalar, NumTraits<Scalar>::IsComplex>::run(m_hCoeffs, detQ);
  return isInjective() ? (detQ * Scalar(m_det_p)) * m_qr.diagonal().array().sign().prod() : Scalar(0);
}
 
template <typename MatrixType, typename PermutationIndex>
template <typename InputType>
FullPivHouseholderQR<MatrixType, PermutationIndex>& FullPivHouseholderQR<MatrixType, PermutationIndex>::compute(
    const EigenBase<InputType>& matrix) {
  m_qr = matrix.derived();
  computeInPlace();
  return *this;
}
 
template <typename MatrixType, typename PermutationIndex>
void FullPivHouseholderQR<MatrixType, PermutationIndex>::computeInPlace() {
  eigen_assert(m_qr.cols() <= NumTraits<PermutationIndex>::highest());
  using std::abs;
  Index rows = m_qr.rows();
  Index cols = m_qr.cols();
  Index size = (std::min)(rows, cols);
 
  m_hCoeffs.resize(size);
 
  m_temp.resize(cols);
 
  m_precision = NumTraits<Scalar>::epsilon() * RealScalar(size);
 
  m_rows_transpositions.resize(size);
  m_cols_transpositions.resize(size);
  Index number_of_transpositions = 0;
 
  RealScalar biggest(0);
 
  m_nonzero_pivots = size;  // the generic case is that in which all pivots are nonzero (invertible case)
  m_maxpivot = RealScalar(0);
 
  for (Index k = 0; k < size; ++k) {
    Index row_of_biggest_in_corner, col_of_biggest_in_corner;
    typedef internal::scalar_score_coeff_op<Scalar> Scoring;
    typedef typename Scoring::result_type Score;
 
    Score score = m_qr.bottomRightCorner(rows - k, cols - k)
                      .unaryExpr(Scoring())
                      .maxCoeff(&row_of_biggest_in_corner, &col_of_biggest_in_corner);
    row_of_biggest_in_corner += k;
    col_of_biggest_in_corner += k;
    RealScalar biggest_in_corner =
        internal::abs_knowing_score<Scalar>()(m_qr(row_of_biggest_in_corner, col_of_biggest_in_corner), score);
    if (k == 0) biggest = biggest_in_corner;
 
    // if the corner is negligible, then we have less than full rank, and we can finish early
    if (internal::isMuchSmallerThan(biggest_in_corner, biggest, m_precision)) {
      m_nonzero_pivots = k;
      for (Index i = k; i < size; i++) {
        m_rows_transpositions.coeffRef(i) = internal::convert_index<PermutationIndex>(i);
        m_cols_transpositions.coeffRef(i) = internal::convert_index<PermutationIndex>(i);
        m_hCoeffs.coeffRef(i) = Scalar(0);
      }
      break;
    }
 
    m_rows_transpositions.coeffRef(k) = internal::convert_index<PermutationIndex>(row_of_biggest_in_corner);
    m_cols_transpositions.coeffRef(k) = internal::convert_index<PermutationIndex>(col_of_biggest_in_corner);
    if (k != row_of_biggest_in_corner) {
      m_qr.row(k).tail(cols - k).swap(m_qr.row(row_of_biggest_in_corner).tail(cols - k));
      ++number_of_transpositions;
    }
    if (k != col_of_biggest_in_corner) {
      m_qr.col(k).swap(m_qr.col(col_of_biggest_in_corner));
      ++number_of_transpositions;
    }
 
    RealScalar beta;
    m_qr.col(k).tail(rows - k).makeHouseholderInPlace(m_hCoeffs.coeffRef(k), beta);
    m_qr.coeffRef(k, k) = beta;
 
    // remember the maximum absolute value of diagonal coefficients
    if (abs(beta) > m_maxpivot) m_maxpivot = abs(beta);
 
    m_qr.bottomRightCorner(rows - k, cols - k - 1)
        .applyHouseholderOnTheLeft(m_qr.col(k).tail(rows - k - 1), m_hCoeffs.coeffRef(k), &m_temp.coeffRef(k + 1));
  }
 
  m_cols_permutation.setIdentity(cols);
  for (Index k = 0; k < size; ++k) m_cols_permutation.applyTranspositionOnTheRight(k, m_cols_transpositions.coeff(k));
 
  m_det_p = (number_of_transpositions % 2) ? -1 : 1;
  m_isInitialized = true;
}
 
#ifndef EIGEN_PARSED_BY_DOXYGEN
template <typename MatrixType_, typename PermutationIndex_>
template <typename RhsType, typename DstType>
void FullPivHouseholderQR<MatrixType_, PermutationIndex_>::_solve_impl(const RhsType& rhs, DstType& dst) const {
  const Index l_rank = rank();
 
  // FIXME introduce nonzeroPivots() and use it here. and more generally,
  // make the same improvements in this dec as in FullPivLU.
  if (l_rank == 0) {
    dst.setZero();
    return;
  }
 
  typename RhsType::PlainObject c(rhs);
 
  Matrix<typename RhsType::Scalar, 1, RhsType::ColsAtCompileTime> temp(rhs.cols());
  for (Index k = 0; k < l_rank; ++k) {
    Index remainingSize = rows() - k;
    c.row(k).swap(c.row(m_rows_transpositions.coeff(k)));
    c.bottomRightCorner(remainingSize, rhs.cols())
        .applyHouseholderOnTheLeft(m_qr.col(k).tail(remainingSize - 1), m_hCoeffs.coeff(k), &temp.coeffRef(0));
  }
 
  m_qr.topLeftCorner(l_rank, l_rank).template triangularView<Upper>().solveInPlace(c.topRows(l_rank));
 
  for (Index i = 0; i < l_rank; ++i) dst.row(m_cols_permutation.indices().coeff(i)) = c.row(i);
  for (Index i = l_rank; i < cols(); ++i) dst.row(m_cols_permutation.indices().coeff(i)).setZero();
}
 
template <typename MatrixType_, typename PermutationIndex_>
template <bool Conjugate, typename RhsType, typename DstType>
void FullPivHouseholderQR<MatrixType_, PermutationIndex_>::_solve_impl_transposed(const RhsType& rhs,
                                                                                  DstType& dst) const {
  const Index l_rank = rank();
 
  if (l_rank == 0) {
    dst.setZero();
    return;
  }
 
  typename RhsType::PlainObject c(m_cols_permutation.transpose() * rhs);
 
  m_qr.topLeftCorner(l_rank, l_rank)
      .template triangularView<Upper>()
      .transpose()
      .template conjugateIf<Conjugate>()
      .solveInPlace(c.topRows(l_rank));
 
  dst.topRows(l_rank) = c.topRows(l_rank);
  dst.bottomRows(rows() - l_rank).setZero();
 
  Matrix<Scalar, 1, DstType::ColsAtCompileTime> temp(dst.cols());
  const Index size = (std::min)(rows(), cols());
  for (Index k = size - 1; k >= 0; --k) {
    Index remainingSize = rows() - k;
 
    dst.bottomRightCorner(remainingSize, dst.cols())
        .applyHouseholderOnTheLeft(m_qr.col(k).tail(remainingSize - 1).template conjugateIf<!Conjugate>(),
                                   m_hCoeffs.template conjugateIf<Conjugate>().coeff(k), &temp.coeffRef(0));
 
    dst.row(k).swap(dst.row(m_rows_transpositions.coeff(k)));
  }
}
#endif
 
namespace internal {
 
template <typename DstXprType, typename MatrixType, typename PermutationIndex>
struct Assignment<DstXprType, Inverse<FullPivHouseholderQR<MatrixType, PermutationIndex> >,
                  internal::assign_op<typename DstXprType::Scalar,
                                      typename FullPivHouseholderQR<MatrixType, PermutationIndex>::Scalar>,
                  Dense2Dense> {
  typedef FullPivHouseholderQR<MatrixType, PermutationIndex> QrType;
  typedef Inverse<QrType> SrcXprType;
  static void run(DstXprType& dst, const SrcXprType& src,
                  const internal::assign_op<typename DstXprType::Scalar, typename QrType::Scalar>&) {
    dst = src.nestedExpression().solve(MatrixType::Identity(src.rows(), src.cols()));
  }
};
 
template <typename MatrixType, typename PermutationIndex>
struct FullPivHouseholderQRMatrixQReturnType
    : public ReturnByValue<FullPivHouseholderQRMatrixQReturnType<MatrixType, PermutationIndex> > {
 public:
  typedef typename FullPivHouseholderQR<MatrixType, PermutationIndex>::IntDiagSizeVectorType IntDiagSizeVectorType;
  typedef typename internal::plain_diag_type<MatrixType>::type HCoeffsType;
  typedef Matrix<typename MatrixType::Scalar, 1, MatrixType::RowsAtCompileTime, RowMajor, 1,
                 MatrixType::MaxRowsAtCompileTime>
      WorkVectorType;
 
  FullPivHouseholderQRMatrixQReturnType(const MatrixType& qr, const HCoeffsType& hCoeffs,
                                        const IntDiagSizeVectorType& rowsTranspositions)
      : m_qr(qr), m_hCoeffs(hCoeffs), m_rowsTranspositions(rowsTranspositions) {}
 
  template <typename ResultType>
  void evalTo(ResultType& result) const {
    const Index rows = m_qr.rows();
    WorkVectorType workspace(rows);
    evalTo(result, workspace);
  }
 
  template <typename ResultType>
  void evalTo(ResultType& result, WorkVectorType& workspace) const {
    using numext::conj;
    // compute the product H'_0 H'_1 ... H'_n-1,
    // where H_k is the k-th Householder transformation I - h_k v_k v_k'
    // and v_k is the k-th Householder vector [1,m_qr(k+1,k), m_qr(k+2,k), ...]
    const Index rows = m_qr.rows();
    const Index cols = m_qr.cols();
    const Index size = (std::min)(rows, cols);
    workspace.resize(rows);
    result.setIdentity(rows, rows);
    for (Index k = size - 1; k >= 0; k--) {
      result.block(k, k, rows - k, rows - k)
          .applyHouseholderOnTheLeft(m_qr.col(k).tail(rows - k - 1), conj(m_hCoeffs.coeff(k)), &workspace.coeffRef(k));
      result.row(k).swap(result.row(m_rowsTranspositions.coeff(k)));
    }
  }
 
  Index rows() const { return m_qr.rows(); }
  Index cols() const { return m_qr.rows(); }
 
 protected:
  typename MatrixType::Nested m_qr;
  typename HCoeffsType::Nested m_hCoeffs;
  typename IntDiagSizeVectorType::Nested m_rowsTranspositions;
};
 
// template<typename MatrixType>
// struct evaluator<FullPivHouseholderQRMatrixQReturnType<MatrixType> >
//  : public evaluator<ReturnByValue<FullPivHouseholderQRMatrixQReturnType<MatrixType> > >
// {};
 
}  // end namespace internal
 
template <typename MatrixType, typename PermutationIndex>
inline typename FullPivHouseholderQR<MatrixType, PermutationIndex>::MatrixQReturnType
FullPivHouseholderQR<MatrixType, PermutationIndex>::matrixQ() const {
  eigen_assert(m_isInitialized && "FullPivHouseholderQR is not initialized.");
  return MatrixQReturnType(m_qr, m_hCoeffs, m_rows_transpositions);
}
 
template <typename Derived>
template <typename PermutationIndex>
const FullPivHouseholderQR<typename MatrixBase<Derived>::PlainObject, PermutationIndex>
MatrixBase<Derived>::fullPivHouseholderQr() const {
  return FullPivHouseholderQR<PlainObject, PermutationIndex>(eval());
}
 
}  // end namespace Eigen
 
#endif  // EIGEN_FULLPIVOTINGHOUSEHOLDERQR_H