// Copyright ©2013 The Gonum Authors. All rights reserved. // Use of this source code is governed by a BSD-style // license that can be found in the LICENSE file. package mat import ( "gonum.org/v1/gonum/lapack" "gonum.org/v1/gonum/lapack/lapack64" ) const ( badFact = "mat: use without successful factorization" badNoVect = "mat: eigenvectors not computed" ) // EigenSym is a type for creating and manipulating the Eigen decomposition of // symmetric matrices. type EigenSym struct { vectorsComputed bool values []float64 vectors *Dense } // Factorize computes the eigenvalue decomposition of the symmetric matrix a. // The Eigen decomposition is defined as // A = P * D * P^-1 // where D is a diagonal matrix containing the eigenvalues of the matrix, and // P is a matrix of the eigenvectors of A. Factorize computes the eigenvalues // in ascending order. If the vectors input argument is false, the eigenvectors // are not computed. // // Factorize returns whether the decomposition succeeded. If the decomposition // failed, methods that require a successful factorization will panic. func (e *EigenSym) Factorize(a Symmetric, vectors bool) (ok bool) { // kill previous decomposition e.vectorsComputed = false e.values = e.values[:] n := a.Symmetric() sd := NewSymDense(n, nil) sd.CopySym(a) jobz := lapack.EVNone if vectors { jobz = lapack.EVCompute } w := make([]float64, n) work := []float64{0} lapack64.Syev(jobz, sd.mat, w, work, -1) work = getFloats(int(work[0]), false) ok = lapack64.Syev(jobz, sd.mat, w, work, len(work)) putFloats(work) if !ok { e.vectorsComputed = false e.values = nil e.vectors = nil return false } e.vectorsComputed = vectors e.values = w e.vectors = NewDense(n, n, sd.mat.Data) return true } // succFact returns whether the receiver contains a successful factorization. func (e *EigenSym) succFact() bool { return len(e.values) != 0 } // Values extracts the eigenvalues of the factorized matrix. If dst is // non-nil, the values are stored in-place into dst. In this case // dst must have length n, otherwise Values will panic. If dst is // nil, then a new slice will be allocated of the proper length and filled // with the eigenvalues. // // Values panics if the Eigen decomposition was not successful. func (e *EigenSym) Values(dst []float64) []float64 { if !e.succFact() { panic(badFact) } if dst == nil { dst = make([]float64, len(e.values)) } if len(dst) != len(e.values) { panic(ErrSliceLengthMismatch) } copy(dst, e.values) return dst } // VectorsTo returns the eigenvectors of the decomposition. VectorsTo // will panic if the eigenvectors were not computed during the factorization, // or if the factorization was not successful. // // If dst is not nil, the eigenvectors are stored in-place into dst, and dst // must have size n×n and panics otherwise. If dst is nil, a new matrix // is allocated and returned. func (e *EigenSym) VectorsTo(dst *Dense) *Dense { if !e.succFact() { panic(badFact) } if !e.vectorsComputed { panic(badNoVect) } r, c := e.vectors.Dims() if dst == nil { dst = NewDense(r, c, nil) } else { dst.reuseAs(r, c) } dst.Copy(e.vectors) return dst } // EigenKind specifies the computation of eigenvectors during factorization. type EigenKind int const ( // EigenNone specifies to not compute any eigenvectors. EigenNone EigenKind = 0 // EigenLeft specifies to compute the left eigenvectors. EigenLeft EigenKind = 1 << iota // EigenRight specifies to compute the right eigenvectors. EigenRight // EigenBoth is a convenience value for computing both eigenvectors. EigenBoth EigenKind = EigenLeft | EigenRight ) // Eigen is a type for creating and using the eigenvalue decomposition of a dense matrix. type Eigen struct { n int // The size of the factorized matrix. kind EigenKind values []complex128 rVectors *CDense lVectors *CDense } // succFact returns whether the receiver contains a successful factorization. func (e *Eigen) succFact() bool { return e.n != 0 } // Factorize computes the eigenvalues of the square matrix a, and optionally // the eigenvectors. // // A right eigenvalue/eigenvector combination is defined by // A * x_r = λ * x_r // where x_r is the column vector called an eigenvector, and λ is the corresponding // eigenvalue. // // Similarly, a left eigenvalue/eigenvector combination is defined by // x_l * A = λ * x_l // The eigenvalues, but not the eigenvectors, are the same for both decompositions. // // Typically eigenvectors refer to right eigenvectors. // // In all cases, Factorize computes the eigenvalues of the matrix. kind // specifies which of the eigenvectors, if any, to compute. See the EigenKind // documentation for more information. // Eigen panics if the input matrix is not square. // // Factorize returns whether the decomposition succeeded. If the decomposition // failed, methods that require a successful factorization will panic. func (e *Eigen) Factorize(a Matrix, kind EigenKind) (ok bool) { // kill previous factorization. e.n = 0 e.kind = 0 // Copy a because it is modified during the Lapack call. r, c := a.Dims() if r != c { panic(ErrShape) } var sd Dense sd.Clone(a) left := kind&EigenLeft != 0 right := kind&EigenRight != 0 var vl, vr Dense jobvl := lapack.LeftEVNone jobvr := lapack.RightEVNone if left { vl = *NewDense(r, r, nil) jobvl = lapack.LeftEVCompute } if right { vr = *NewDense(c, c, nil) jobvr = lapack.RightEVCompute } wr := getFloats(c, false) defer putFloats(wr) wi := getFloats(c, false) defer putFloats(wi) work := []float64{0} lapack64.Geev(jobvl, jobvr, sd.mat, wr, wi, vl.mat, vr.mat, work, -1) work = getFloats(int(work[0]), false) first := lapack64.Geev(jobvl, jobvr, sd.mat, wr, wi, vl.mat, vr.mat, work, len(work)) putFloats(work) if first != 0 { e.values = nil return false } e.n = r e.kind = kind // Construct complex eigenvalues from float64 data. values := make([]complex128, r) for i, v := range wr { values[i] = complex(v, wi[i]) } e.values = values // Construct complex eigenvectors from float64 data. var cvl, cvr CDense if left { cvl = *NewCDense(r, r, nil) e.complexEigenTo(&cvl, &vl) e.lVectors = &cvl } else { e.lVectors = nil } if right { cvr = *NewCDense(c, c, nil) e.complexEigenTo(&cvr, &vr) e.rVectors = &cvr } else { e.rVectors = nil } return true } // Kind returns the EigenKind of the decomposition. If no decomposition has been // computed, Kind returns -1. func (e *Eigen) Kind() EigenKind { if !e.succFact() { return -1 } return e.kind } // Values extracts the eigenvalues of the factorized matrix. If dst is // non-nil, the values are stored in-place into dst. In this case // dst must have length n, otherwise Values will panic. If dst is // nil, then a new slice will be allocated of the proper length and // filed with the eigenvalues. // // Values panics if the Eigen decomposition was not successful. func (e *Eigen) Values(dst []complex128) []complex128 { if !e.succFact() { panic(badFact) } if dst == nil { dst = make([]complex128, e.n) } if len(dst) != e.n { panic(ErrSliceLengthMismatch) } copy(dst, e.values) return dst } // complexEigenTo extracts the complex eigenvectors from the real matrix d // and stores them into the complex matrix dst. // // The columns of the returned n×n dense matrix contain the eigenvectors of the // decomposition in the same order as the eigenvalues. // If the j-th eigenvalue is real, then // dst[:,j] = d[:,j], // and if it is not real, then the elements of the j-th and (j+1)-th columns of d // form complex conjugate pairs and the eigenvectors are recovered as // dst[:,j] = d[:,j] + i*d[:,j+1], // dst[:,j+1] = d[:,j] - i*d[:,j+1], // where i is the imaginary unit. func (e *Eigen) complexEigenTo(dst *CDense, d *Dense) { r, c := d.Dims() cr, cc := dst.Dims() if r != cr { panic("size mismatch") } if c != cc { panic("size mismatch") } for j := 0; j < c; j++ { if imag(e.values[j]) == 0 { for i := 0; i < r; i++ { dst.set(i, j, complex(d.at(i, j), 0)) } continue } for i := 0; i < r; i++ { real := d.at(i, j) imag := d.at(i, j+1) dst.set(i, j, complex(real, imag)) dst.set(i, j+1, complex(real, -imag)) } j++ } } // VectorsTo returns the right eigenvectors of the decomposition. VectorsTo // will panic if the right eigenvectors were not computed during the factorization, // or if the factorization was not successful. // // The computed eigenvectors are normalized to have Euclidean norm equal to 1 // and largest component real. func (e *Eigen) VectorsTo(dst *CDense) *CDense { if !e.succFact() { panic(badFact) } if e.kind&EigenRight == 0 { panic(badNoVect) } if dst == nil { dst = NewCDense(e.n, e.n, nil) } else { dst.reuseAs(e.n, e.n) } dst.Copy(e.rVectors) return dst } // LeftVectorsTo returns the left eigenvectors of the decomposition. LeftVectorsTo // will panic if the left eigenvectors were not computed during the factorization, // or if the factorization was not successful. // // The computed eigenvectors are normalized to have Euclidean norm equal to 1 // and largest component real. func (e *Eigen) LeftVectorsTo(dst *CDense) *CDense { if !e.succFact() { panic(badFact) } if e.kind&EigenLeft == 0 { panic(badNoVect) } if dst == nil { dst = NewCDense(e.n, e.n, nil) } else { dst.reuseAs(e.n, e.n) } dst.Copy(e.lVectors) return dst }