#ifndef JAMA_EIG_H #define JAMA_EIG_H #include "tnt_array1d.h" #include "tnt_array2d.h" #include "tnt_math_utils.h" #include // for min(), max() below #include // for abs() below using namespace TNT; using namespace std; namespace JAMA { /** Computes eigenvalues and eigenvectors of a real (non-complex) matrix.

If A is symmetric, then A = V*D*V' where the eigenvalue matrix D is diagonal and the eigenvector matrix V is orthogonal. That is, the diagonal values of D are the eigenvalues, and V*V' = I, where I is the identity matrix. The columns of V represent the eigenvectors in the sense that A*V = V*D.

If A is not symmetric, then the eigenvalue matrix D is block diagonal with the real eigenvalues in 1-by-1 blocks and any complex eigenvalues, a + i*b, in 2-by-2 blocks, [a, b; -b, a]. That is, if the complex eigenvalues look like


          u + iv     .        .          .      .    .
            .      u - iv     .          .      .    .
            .        .      a + ib       .      .    .
            .        .        .        a - ib   .    .
            .        .        .          .      x    .
            .        .        .          .      .    y
then D looks like

            u        v        .          .      .    .
           -v        u        .          .      .    . 
            .        .        a          b      .    .
            .        .       -b          a      .    .
            .        .        .          .      x    .
            .        .        .          .      .    y
This keeps V a real matrix in both symmetric and non-symmetric cases, and A*V = V*D.

The matrix V may be badly conditioned, or even singular, so the validity of the equation A = V*D*inverse(V) depends upon the condition number of V.

(Adapted from JAMA, a Java Matrix Library, developed by jointly by the Mathworks and NIST; see http://math.nist.gov/javanumerics/jama). **/ template class Eigenvalue { /** Row and column dimension (square matrix). */ int n; int issymmetric; /* boolean*/ /** Arrays for internal storage of eigenvalues. */ TNT::Array1D d; /* real part */ TNT::Array1D e; /* img part */ /** Array for internal storage of eigenvectors. */ TNT::Array2D V; /** Array for internal storage of nonsymmetric Hessenberg form. @serial internal storage of nonsymmetric Hessenberg form. */ TNT::Array2D H; /** Working storage for nonsymmetric algorithm. @serial working storage for nonsymmetric algorithm. */ TNT::Array1D ort; // Symmetric Householder reduction to tridiagonal form. void tred2() { // This is derived from the Algol procedures tred2 by // Bowdler, Martin, Reinsch, and Wilkinson, Handbook for // Auto. Comp., Vol.ii-Linear Algebra, and the corresponding // Fortran subroutine in EISPACK. for (int j = 0; j < n; j++) { d[j] = V[n-1][j]; } // Householder reduction to tridiagonal form. for (int i = n-1; i > 0; i--) { // Scale to avoid under/overflow. Real scale = 0.0; Real h = 0.0; for (int k = 0; k < i; k++) { scale = scale + abs(d[k]); } if (scale == 0.0) { e[i] = d[i-1]; for (int j = 0; j < i; j++) { d[j] = V[i-1][j]; V[i][j] = 0.0; V[j][i] = 0.0; } } else { // Generate Householder vector. for (int k = 0; k < i; k++) { d[k] /= scale; h += d[k] * d[k]; } Real f = d[i-1]; Real g = sqrt(h); if (f > 0) { g = -g; } e[i] = scale * g; h = h - f * g; d[i-1] = f - g; for (int j = 0; j < i; j++) { e[j] = 0.0; } // Apply similarity transformation to remaining columns. for (int j = 0; j < i; j++) { f = d[j]; V[j][i] = f; g = e[j] + V[j][j] * f; for (int k = j+1; k <= i-1; k++) { g += V[k][j] * d[k]; e[k] += V[k][j] * f; } e[j] = g; } f = 0.0; for (int j = 0; j < i; j++) { e[j] /= h; f += e[j] * d[j]; } Real hh = f / (h + h); for (int j = 0; j < i; j++) { e[j] -= hh * d[j]; } for (int j = 0; j < i; j++) { f = d[j]; g = e[j]; for (int k = j; k <= i-1; k++) { V[k][j] -= (f * e[k] + g * d[k]); } d[j] = V[i-1][j]; V[i][j] = 0.0; } } d[i] = h; } // Accumulate transformations. for (int i = 0; i < n-1; i++) { V[n-1][i] = V[i][i]; V[i][i] = 1.0; Real h = d[i+1]; if (h != 0.0) { for (int k = 0; k <= i; k++) { d[k] = V[k][i+1] / h; } for (int j = 0; j <= i; j++) { Real g = 0.0; for (int k = 0; k <= i; k++) { g += V[k][i+1] * V[k][j]; } for (int k = 0; k <= i; k++) { V[k][j] -= g * d[k]; } } } for (int k = 0; k <= i; k++) { V[k][i+1] = 0.0; } } for (int j = 0; j < n; j++) { d[j] = V[n-1][j]; V[n-1][j] = 0.0; } V[n-1][n-1] = 1.0; e[0] = 0.0; } // Symmetric tridiagonal QL algorithm. void tql2 () { // This is derived from the Algol procedures tql2, by // Bowdler, Martin, Reinsch, and Wilkinson, Handbook for // Auto. Comp., Vol.ii-Linear Algebra, and the corresponding // Fortran subroutine in EISPACK. for (int i = 1; i < n; i++) { e[i-1] = e[i]; } e[n-1] = 0.0; Real f = 0.0; Real tst1 = 0.0; Real eps = pow(2.0,-52.0); for (int l = 0; l < n; l++) { // Find small subdiagonal element tst1 = max(tst1,abs(d[l]) + abs(e[l])); int m = l; // Original while-loop from Java code while (m < n) { if (abs(e[m]) <= eps*tst1) { break; } m++; } // If m == l, d[l] is an eigenvalue, // otherwise, iterate. if (m > l) { int iter = 0; do { iter = iter + 1; // (Could check iteration count here.) // Compute implicit shift Real g = d[l]; Real p = (d[l+1] - g) / (2.0 * e[l]); Real r = hypot(p,1.0); if (p < 0) { r = -r; } d[l] = e[l] / (p + r); d[l+1] = e[l] * (p + r); Real dl1 = d[l+1]; Real h = g - d[l]; for (int i = l+2; i < n; i++) { d[i] -= h; } f = f + h; // Implicit QL transformation. p = d[m]; Real c = 1.0; Real c2 = c; Real c3 = c; Real el1 = e[l+1]; Real s = 0.0; Real s2 = 0.0; for (int i = m-1; i >= l; i--) { c3 = c2; c2 = c; s2 = s; g = c * e[i]; h = c * p; r = hypot(p,e[i]); e[i+1] = s * r; s = e[i] / r; c = p / r; p = c * d[i] - s * g; d[i+1] = h + s * (c * g + s * d[i]); // Accumulate transformation. for (int k = 0; k < n; k++) { h = V[k][i+1]; V[k][i+1] = s * V[k][i] + c * h; V[k][i] = c * V[k][i] - s * h; } } p = -s * s2 * c3 * el1 * e[l] / dl1; e[l] = s * p; d[l] = c * p; // Check for convergence. } while (abs(e[l]) > eps*tst1); } d[l] = d[l] + f; e[l] = 0.0; } // Sort eigenvalues and corresponding vectors. for (int i = 0; i < n-1; i++) { int k = i; Real p = d[i]; for (int j = i+1; j < n; j++) { if (d[j] < p) { k = j; p = d[j]; } } if (k != i) { d[k] = d[i]; d[i] = p; for (int j = 0; j < n; j++) { p = V[j][i]; V[j][i] = V[j][k]; V[j][k] = p; } } } } // Nonsymmetric reduction to Hessenberg form. void orthes () { // This is derived from the Algol procedures orthes and ortran, // by Martin and Wilkinson, Handbook for Auto. Comp., // Vol.ii-Linear Algebra, and the corresponding // Fortran subroutines in EISPACK. int low = 0; int high = n-1; for (int m = low+1; m <= high-1; m++) { // Scale column. Real scale = 0.0; for (int i = m; i <= high; i++) { scale = scale + abs(H[i][m-1]); } if (scale != 0.0) { // Compute Householder transformation. Real h = 0.0; for (int i = high; i >= m; i--) { ort[i] = H[i][m-1]/scale; h += ort[i] * ort[i]; } Real g = sqrt(h); if (ort[m] > 0) { g = -g; } h = h - ort[m] * g; ort[m] = ort[m] - g; // Apply Householder similarity transformation // H = (I-u*u'/h)*H*(I-u*u')/h) for (int j = m; j < n; j++) { Real f = 0.0; for (int i = high; i >= m; i--) { f += ort[i]*H[i][j]; } f = f/h; for (int i = m; i <= high; i++) { H[i][j] -= f*ort[i]; } } for (int i = 0; i <= high; i++) { Real f = 0.0; for (int j = high; j >= m; j--) { f += ort[j]*H[i][j]; } f = f/h; for (int j = m; j <= high; j++) { H[i][j] -= f*ort[j]; } } ort[m] = scale*ort[m]; H[m][m-1] = scale*g; } } // Accumulate transformations (Algol's ortran). for (int i = 0; i < n; i++) { for (int j = 0; j < n; j++) { V[i][j] = (i == j ? 1.0 : 0.0); } } for (int m = high-1; m >= low+1; m--) { if (H[m][m-1] != 0.0) { for (int i = m+1; i <= high; i++) { ort[i] = H[i][m-1]; } for (int j = m; j <= high; j++) { Real g = 0.0; for (int i = m; i <= high; i++) { g += ort[i] * V[i][j]; } // Double division avoids possible underflow g = (g / ort[m]) / H[m][m-1]; for (int i = m; i <= high; i++) { V[i][j] += g * ort[i]; } } } } } // Complex scalar division. Real cdivr, cdivi; void cdiv(Real xr, Real xi, Real yr, Real yi) { Real r,d; if (abs(yr) > abs(yi)) { r = yi/yr; d = yr + r*yi; cdivr = (xr + r*xi)/d; cdivi = (xi - r*xr)/d; } else { r = yr/yi; d = yi + r*yr; cdivr = (r*xr + xi)/d; cdivi = (r*xi - xr)/d; } } // Nonsymmetric reduction from Hessenberg to real Schur form. void hqr2 () { // This is derived from the Algol procedure hqr2, // by Martin and Wilkinson, Handbook for Auto. Comp., // Vol.ii-Linear Algebra, and the corresponding // Fortran subroutine in EISPACK. // Initialize int nn = this->n; int n = nn-1; int low = 0; int high = nn-1; Real eps = pow(2.0,-52.0); Real exshift = 0.0; Real p=0,q=0,r=0,s=0,z=0,t,w,x,y; // Store roots isolated by balanc and compute matrix norm Real norm = 0.0; for (int i = 0; i < nn; i++) { if ((i < low) || (i > high)) { d[i] = H[i][i]; e[i] = 0.0; } for (int j = max(i-1,0); j < nn; j++) { norm = norm + abs(H[i][j]); } } // Outer loop over eigenvalue index int iter = 0; while (n >= low) { // Look for single small sub-diagonal element int l = n; while (l > low) { s = abs(H[l-1][l-1]) + abs(H[l][l]); if (s == 0.0) { s = norm; } if (abs(H[l][l-1]) < eps * s) { break; } l--; } // Check for convergence // One root found if (l == n) { H[n][n] = H[n][n] + exshift; d[n] = H[n][n]; e[n] = 0.0; n--; iter = 0; // Two roots found } else if (l == n-1) { w = H[n][n-1] * H[n-1][n]; p = (H[n-1][n-1] - H[n][n]) / 2.0; q = p * p + w; z = sqrt(abs(q)); H[n][n] = H[n][n] + exshift; H[n-1][n-1] = H[n-1][n-1] + exshift; x = H[n][n]; // Real pair if (q >= 0) { if (p >= 0) { z = p + z; } else { z = p - z; } d[n-1] = x + z; d[n] = d[n-1]; if (z != 0.0) { d[n] = x - w / z; } e[n-1] = 0.0; e[n] = 0.0; x = H[n][n-1]; s = abs(x) + abs(z); p = x / s; q = z / s; r = sqrt(p * p+q * q); p = p / r; q = q / r; // Row modification for (int j = n-1; j < nn; j++) { z = H[n-1][j]; H[n-1][j] = q * z + p * H[n][j]; H[n][j] = q * H[n][j] - p * z; } // Column modification for (int i = 0; i <= n; i++) { z = H[i][n-1]; H[i][n-1] = q * z + p * H[i][n]; H[i][n] = q * H[i][n] - p * z; } // Accumulate transformations for (int i = low; i <= high; i++) { z = V[i][n-1]; V[i][n-1] = q * z + p * V[i][n]; V[i][n] = q * V[i][n] - p * z; } // Complex pair } else { d[n-1] = x + p; d[n] = x + p; e[n-1] = z; e[n] = -z; } n = n - 2; iter = 0; // No convergence yet } else { // Form shift x = H[n][n]; y = 0.0; w = 0.0; if (l < n) { y = H[n-1][n-1]; w = H[n][n-1] * H[n-1][n]; } // Wilkinson's original ad hoc shift if (iter == 10) { exshift += x; for (int i = low; i <= n; i++) { H[i][i] -= x; } s = abs(H[n][n-1]) + abs(H[n-1][n-2]); x = y = 0.75 * s; w = -0.4375 * s * s; } // MATLAB's new ad hoc shift if (iter == 30) { s = (y - x) / 2.0; s = s * s + w; if (s > 0) { s = sqrt(s); if (y < x) { s = -s; } s = x - w / ((y - x) / 2.0 + s); for (int i = low; i <= n; i++) { H[i][i] -= s; } exshift += s; x = y = w = 0.964; } } iter = iter + 1; // (Could check iteration count here.) // Look for two consecutive small sub-diagonal elements int m = n-2; while (m >= l) { z = H[m][m]; r = x - z; s = y - z; p = (r * s - w) / H[m+1][m] + H[m][m+1]; q = H[m+1][m+1] - z - r - s; r = H[m+2][m+1]; s = abs(p) + abs(q) + abs(r); p = p / s; q = q / s; r = r / s; if (m == l) { break; } if (abs(H[m][m-1]) * (abs(q) + abs(r)) < eps * (abs(p) * (abs(H[m-1][m-1]) + abs(z) + abs(H[m+1][m+1])))) { break; } m--; } for (int i = m+2; i <= n; i++) { H[i][i-2] = 0.0; if (i > m+2) { H[i][i-3] = 0.0; } } // Double QR step involving rows l:n and columns m:n for (int k = m; k <= n-1; k++) { int notlast = (k != n-1); if (k != m) { p = H[k][k-1]; q = H[k+1][k-1]; r = (notlast ? H[k+2][k-1] : 0.0); x = abs(p) + abs(q) + abs(r); if (x != 0.0) { p = p / x; q = q / x; r = r / x; } } if (x == 0.0) { break; } s = sqrt(p * p + q * q + r * r); if (p < 0) { s = -s; } if (s != 0) { if (k != m) { H[k][k-1] = -s * x; } else if (l != m) { H[k][k-1] = -H[k][k-1]; } p = p + s; x = p / s; y = q / s; z = r / s; q = q / p; r = r / p; // Row modification for (int j = k; j < nn; j++) { p = H[k][j] + q * H[k+1][j]; if (notlast) { p = p + r * H[k+2][j]; H[k+2][j] = H[k+2][j] - p * z; } H[k][j] = H[k][j] - p * x; H[k+1][j] = H[k+1][j] - p * y; } // Column modification for (int i = 0; i <= min(n,k+3); i++) { p = x * H[i][k] + y * H[i][k+1]; if (notlast) { p = p + z * H[i][k+2]; H[i][k+2] = H[i][k+2] - p * r; } H[i][k] = H[i][k] - p; H[i][k+1] = H[i][k+1] - p * q; } // Accumulate transformations for (int i = low; i <= high; i++) { p = x * V[i][k] + y * V[i][k+1]; if (notlast) { p = p + z * V[i][k+2]; V[i][k+2] = V[i][k+2] - p * r; } V[i][k] = V[i][k] - p; V[i][k+1] = V[i][k+1] - p * q; } } // (s != 0) } // k loop } // check convergence } // while (n >= low) // Backsubstitute to find vectors of upper triangular form if (norm == 0.0) { return; } for (n = nn-1; n >= 0; n--) { p = d[n]; q = e[n]; // Real vector if (q == 0) { int l = n; H[n][n] = 1.0; for (int i = n-1; i >= 0; i--) { w = H[i][i] - p; r = 0.0; for (int j = l; j <= n; j++) { r = r + H[i][j] * H[j][n]; } if (e[i] < 0.0) { z = w; s = r; } else { l = i; if (e[i] == 0.0) { if (w != 0.0) { H[i][n] = -r / w; } else { H[i][n] = -r / (eps * norm); } // Solve real equations } else { x = H[i][i+1]; y = H[i+1][i]; q = (d[i] - p) * (d[i] - p) + e[i] * e[i]; t = (x * s - z * r) / q; H[i][n] = t; if (abs(x) > abs(z)) { H[i+1][n] = (-r - w * t) / x; } else { H[i+1][n] = (-s - y * t) / z; } } // Overflow control t = abs(H[i][n]); if ((eps * t) * t > 1) { for (int j = i; j <= n; j++) { H[j][n] = H[j][n] / t; } } } } // Complex vector } else if (q < 0) { int l = n-1; // Last vector component imaginary so matrix is triangular if (abs(H[n][n-1]) > abs(H[n-1][n])) { H[n-1][n-1] = q / H[n][n-1]; H[n-1][n] = -(H[n][n] - p) / H[n][n-1]; } else { cdiv(0.0,-H[n-1][n],H[n-1][n-1]-p,q); H[n-1][n-1] = cdivr; H[n-1][n] = cdivi; } H[n][n-1] = 0.0; H[n][n] = 1.0; for (int i = n-2; i >= 0; i--) { Real ra,sa,vr,vi; ra = 0.0; sa = 0.0; for (int j = l; j <= n; j++) { ra = ra + H[i][j] * H[j][n-1]; sa = sa + H[i][j] * H[j][n]; } w = H[i][i] - p; if (e[i] < 0.0) { z = w; r = ra; s = sa; } else { l = i; if (e[i] == 0) { cdiv(-ra,-sa,w,q); H[i][n-1] = cdivr; H[i][n] = cdivi; } else { // Solve complex equations x = H[i][i+1]; y = H[i+1][i]; vr = (d[i] - p) * (d[i] - p) + e[i] * e[i] - q * q; vi = (d[i] - p) * 2.0 * q; if ((vr == 0.0) && (vi == 0.0)) { vr = eps * norm * (abs(w) + abs(q) + abs(x) + abs(y) + abs(z)); } cdiv(x*r-z*ra+q*sa,x*s-z*sa-q*ra,vr,vi); H[i][n-1] = cdivr; H[i][n] = cdivi; if (abs(x) > (abs(z) + abs(q))) { H[i+1][n-1] = (-ra - w * H[i][n-1] + q * H[i][n]) / x; H[i+1][n] = (-sa - w * H[i][n] - q * H[i][n-1]) / x; } else { cdiv(-r-y*H[i][n-1],-s-y*H[i][n],z,q); H[i+1][n-1] = cdivr; H[i+1][n] = cdivi; } } // Overflow control t = max(abs(H[i][n-1]),abs(H[i][n])); if ((eps * t) * t > 1) { for (int j = i; j <= n; j++) { H[j][n-1] = H[j][n-1] / t; H[j][n] = H[j][n] / t; } } } } } } // Vectors of isolated roots for (int i = 0; i < nn; i++) { if (i < low || i > high) { for (int j = i; j < nn; j++) { V[i][j] = H[i][j]; } } } // Back transformation to get eigenvectors of original matrix for (int j = nn-1; j >= low; j--) { for (int i = low; i <= high; i++) { z = 0.0; for (int k = low; k <= min(j,high); k++) { z = z + V[i][k] * H[k][j]; } V[i][j] = z; } } } public: /** Check for symmetry, then construct the eigenvalue decomposition @param A Square real (non-complex) matrix */ Eigenvalue(const TNT::Array2D &A) { n = A.dim2(); V = Array2D(n,n); d = Array1D(n); e = Array1D(n); issymmetric = 1; for (int j = 0; (j < n) && issymmetric; j++) { for (int i = 0; (i < n) && issymmetric; i++) { issymmetric = (A[i][j] == A[j][i]); } } if (issymmetric) { for (int i = 0; i < n; i++) { for (int j = 0; j < n; j++) { V[i][j] = A[i][j]; } } // Tridiagonalize. tred2(); // Diagonalize. tql2(); } else { H = TNT::Array2D(n,n); ort = TNT::Array1D(n); for (int j = 0; j < n; j++) { for (int i = 0; i < n; i++) { H[i][j] = A[i][j]; } } // Reduce to Hessenberg form. orthes(); // Reduce Hessenberg to real Schur form. hqr2(); } } /** Return the eigenvector matrix @return V */ void getV (TNT::Array2D &V_) { V_ = V; return; } /** Return the real parts of the eigenvalues @return real(diag(D)) */ void getRealEigenvalues (TNT::Array1D &d_) { d_ = d; return ; } /** Return the imaginary parts of the eigenvalues in parameter e_. @pararm e_: new matrix with imaginary parts of the eigenvalues. */ void getImagEigenvalues (TNT::Array1D &e_) { e_ = e; return; } /** Computes the block diagonal eigenvalue matrix. If the original matrix A is not symmetric, then the eigenvalue matrix D is block diagonal with the real eigenvalues in 1-by-1 blocks and any complex eigenvalues, a + i*b, in 2-by-2 blocks, [a, b; -b, a]. That is, if the complex eigenvalues look like


          u + iv     .        .          .      .    .
            .      u - iv     .          .      .    .
            .        .      a + ib       .      .    .
            .        .        .        a - ib   .    .
            .        .        .          .      x    .
            .        .        .          .      .    y
then D looks like

            u        v        .          .      .    .
           -v        u        .          .      .    . 
            .        .        a          b      .    .
            .        .       -b          a      .    .
            .        .        .          .      x    .
            .        .        .          .      .    y
This keeps V a real matrix in both symmetric and non-symmetric cases, and A*V = V*D. @param D: upon return, the matrix is filled with the block diagonal eigenvalue matrix. */ void getD (TNT::Array2D &D) { D = Array2D(n,n); for (int i = 0; i < n; i++) { for (int j = 0; j < n; j++) { D[i][j] = 0.0; } D[i][i] = d[i]; if (e[i] > 0) { D[i][i+1] = e[i]; } else if (e[i] < 0) { D[i][i-1] = e[i]; } } } }; } //namespace JAMA #endif // JAMA_EIG_H