FastDeploy/third_party/eigen/test/svd_common.h

// This file is part of Eigen, a lightweight C++ template library
// for linear algebra.
//
// Copyright (C) 2008-2014 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 SVD_DEFAULT
#error a macro SVD_DEFAULT(MatrixType) must be defined prior to including svd_common.h
#endif

#ifndef SVD_FOR_MIN_NORM
#error a macro SVD_FOR_MIN_NORM(MatrixType) must be defined prior to including svd_common.h
#endif

#include "solverbase.h"
#include "svd_fill.h"

// Check that the matrix m is properly reconstructed and that the U and V
// factors are unitary
// The SVD must have already been computed.
template <typename SvdType, typename MatrixType>
void svd_check_full(const MatrixType& m, const SvdType& svd) {
  Index rows = m.rows();
  Index cols = m.cols();

  enum {
    RowsAtCompileTime = MatrixType::RowsAtCompileTime,
    ColsAtCompileTime = MatrixType::ColsAtCompileTime
  };

  typedef typename MatrixType::Scalar Scalar;
  typedef typename MatrixType::RealScalar RealScalar;
  typedef Matrix<Scalar, RowsAtCompileTime, RowsAtCompileTime> MatrixUType;
  typedef Matrix<Scalar, ColsAtCompileTime, ColsAtCompileTime> MatrixVType;

  MatrixType sigma = MatrixType::Zero(rows, cols);
  sigma.diagonal() = svd.singularValues().template cast<Scalar>();
  MatrixUType u = svd.matrixU();
  MatrixVType v = svd.matrixV();
  RealScalar scaling = m.cwiseAbs().maxCoeff();
  if (scaling < (std::numeric_limits<RealScalar>::min)()) {
    VERIFY(sigma.cwiseAbs().maxCoeff() <=
           (std::numeric_limits<RealScalar>::min)());
  } else {
    VERIFY_IS_APPROX(m / scaling, u * (sigma / scaling) * v.adjoint());
  }
  VERIFY_IS_UNITARY(u);
  VERIFY_IS_UNITARY(v);
}

// Compare partial SVD defined by computationOptions to a full SVD referenceSvd
template <typename SvdType, typename MatrixType>
void svd_compare_to_full(const MatrixType& m, unsigned int computationOptions,
                         const SvdType& referenceSvd) {
  typedef typename MatrixType::RealScalar RealScalar;
  Index rows = m.rows();
  Index cols = m.cols();
  Index diagSize = (std::min)(rows, cols);
  RealScalar prec = test_precision<RealScalar>();

  SvdType svd(m, computationOptions);

  VERIFY_IS_APPROX(svd.singularValues(), referenceSvd.singularValues());

  if (computationOptions & (ComputeFullV | ComputeThinV)) {
    VERIFY((svd.matrixV().adjoint() * svd.matrixV()).isIdentity(prec));
    VERIFY_IS_APPROX(svd.matrixV().leftCols(diagSize) *
                         svd.singularValues().asDiagonal() *
                         svd.matrixV().leftCols(diagSize).adjoint(),
                     referenceSvd.matrixV().leftCols(diagSize) *
                         referenceSvd.singularValues().asDiagonal() *
                         referenceSvd.matrixV().leftCols(diagSize).adjoint());
  }

  if (computationOptions & (ComputeFullU | ComputeThinU)) {
    VERIFY((svd.matrixU().adjoint() * svd.matrixU()).isIdentity(prec));
    VERIFY_IS_APPROX(
        svd.matrixU().leftCols(diagSize) *
            svd.singularValues().cwiseAbs2().asDiagonal() *
            svd.matrixU().leftCols(diagSize).adjoint(),
        referenceSvd.matrixU().leftCols(diagSize) *
            referenceSvd.singularValues().cwiseAbs2().asDiagonal() *
            referenceSvd.matrixU().leftCols(diagSize).adjoint());
  }

  // The following checks are not critical.
  // For instance, with Dived&Conquer SVD, if only the factor 'V' is computedt
  // then different matrix-matrix product implementation will be used
  // and the resulting 'V' factor might be significantly different when the SVD
  // decomposition is not unique, especially with single precision float.
  ++g_test_level;
  if (computationOptions & ComputeFullU)
    VERIFY_IS_APPROX(svd.matrixU(), referenceSvd.matrixU());
  if (computationOptions & ComputeThinU)
    VERIFY_IS_APPROX(svd.matrixU(), referenceSvd.matrixU().leftCols(diagSize));
  if (computationOptions & ComputeFullV)
    VERIFY_IS_APPROX(svd.matrixV().cwiseAbs(),
                     referenceSvd.matrixV().cwiseAbs());
  if (computationOptions & ComputeThinV)
    VERIFY_IS_APPROX(svd.matrixV(), referenceSvd.matrixV().leftCols(diagSize));
  --g_test_level;
}

//
template <typename SvdType, typename MatrixType>
void svd_least_square(const MatrixType& m, unsigned int computationOptions) {
  typedef typename MatrixType::Scalar Scalar;
  typedef typename MatrixType::RealScalar RealScalar;
  Index rows = m.rows();
  Index cols = m.cols();

  enum {
    RowsAtCompileTime = MatrixType::RowsAtCompileTime,
    ColsAtCompileTime = MatrixType::ColsAtCompileTime
  };

  typedef Matrix<Scalar, RowsAtCompileTime, Dynamic> RhsType;
  typedef Matrix<Scalar, ColsAtCompileTime, Dynamic> SolutionType;

  RhsType rhs = RhsType::Random(rows, internal::random<Index>(1, cols));
  SvdType svd(m, computationOptions);

  if (internal::is_same<RealScalar, double>::value)
    svd.setThreshold(1e-8);
  else if (internal::is_same<RealScalar, float>::value)
    svd.setThreshold(2e-4);

  SolutionType x = svd.solve(rhs);

  RealScalar residual = (m * x - rhs).norm();
  RealScalar rhs_norm = rhs.norm();
  if (!test_isMuchSmallerThan(residual, rhs.norm())) {
    // ^^^ If the residual is very small, then we have an exact solution, so we
    // are already good.

    // evaluate normal equation which works also for least-squares solutions
    if (internal::is_same<RealScalar, double>::value ||
        svd.rank() == m.diagonal().size()) {
      using std::sqrt;
      // This test is not stable with single precision.
      // This is probably because squaring m signicantly affects the precision.
      if (internal::is_same<RealScalar, float>::value) ++g_test_level;

      VERIFY_IS_APPROX(m.adjoint() * (m * x), m.adjoint() * rhs);

      if (internal::is_same<RealScalar, float>::value) --g_test_level;
    }

    // Check that there is no significantly better solution in the neighborhood
    // of x
    for (Index k = 0; k < x.rows(); ++k) {
      using std::abs;

      SolutionType y(x);
      y.row(k) =
          (RealScalar(1) + 2 * NumTraits<RealScalar>::epsilon()) * x.row(k);
      RealScalar residual_y = (m * y - rhs).norm();
      VERIFY(test_isMuchSmallerThan(abs(residual_y - residual), rhs_norm) ||
             residual < residual_y);
      if (internal::is_same<RealScalar, float>::value) ++g_test_level;
      VERIFY(test_isApprox(residual_y, residual) || residual < residual_y);
      if (internal::is_same<RealScalar, float>::value) --g_test_level;

      y.row(k) =
          (RealScalar(1) - 2 * NumTraits<RealScalar>::epsilon()) * x.row(k);
      residual_y = (m * y - rhs).norm();
      VERIFY(test_isMuchSmallerThan(abs(residual_y - residual), rhs_norm) ||
             residual < residual_y);
      if (internal::is_same<RealScalar, float>::value) ++g_test_level;
      VERIFY(test_isApprox(residual_y, residual) || residual < residual_y);
      if (internal::is_same<RealScalar, float>::value) --g_test_level;
    }
  }
}

// check minimal norm solutions, the inoput matrix m is only used to recover
// problem size
template <typename MatrixType>
void svd_min_norm(const MatrixType& m, unsigned int computationOptions) {
  typedef typename MatrixType::Scalar Scalar;
  Index cols = m.cols();

  enum { ColsAtCompileTime = MatrixType::ColsAtCompileTime };

  typedef Matrix<Scalar, ColsAtCompileTime, Dynamic> SolutionType;

  // generate a full-rank m x n problem with m<n
  enum {
    RankAtCompileTime2 =
        ColsAtCompileTime == Dynamic ? Dynamic : (ColsAtCompileTime) / 2 + 1,
    RowsAtCompileTime3 =
        ColsAtCompileTime == Dynamic ? Dynamic : ColsAtCompileTime + 1
  };
  typedef Matrix<Scalar, RankAtCompileTime2, ColsAtCompileTime> MatrixType2;
  typedef Matrix<Scalar, RankAtCompileTime2, 1> RhsType2;
  typedef Matrix<Scalar, ColsAtCompileTime, RankAtCompileTime2> MatrixType2T;
  Index rank = RankAtCompileTime2 == Dynamic ? internal::random<Index>(1, cols)
                                             : Index(RankAtCompileTime2);
  MatrixType2 m2(rank, cols);
  int guard = 0;
  do {
    m2.setRandom();
  } while (SVD_FOR_MIN_NORM(MatrixType2)(m2)
                   .setThreshold(test_precision<Scalar>())
                   .rank() != rank &&
           (++guard) < 10);
  VERIFY(guard < 10);

  RhsType2 rhs2 = RhsType2::Random(rank);
  // use QR to find a reference minimal norm solution
  HouseholderQR<MatrixType2T> qr(m2.adjoint());
  Matrix<Scalar, Dynamic, 1> tmp = qr.matrixQR()
                                       .topLeftCorner(rank, rank)
                                       .template triangularView<Upper>()
                                       .adjoint()
                                       .solve(rhs2);
  tmp.conservativeResize(cols);
  tmp.tail(cols - rank).setZero();
  SolutionType x21 = qr.householderQ() * tmp;
  // now check with SVD
  SVD_FOR_MIN_NORM(MatrixType2) svd2(m2, computationOptions);
  SolutionType x22 = svd2.solve(rhs2);
  VERIFY_IS_APPROX(m2 * x21, rhs2);
  VERIFY_IS_APPROX(m2 * x22, rhs2);
  VERIFY_IS_APPROX(x21, x22);

  // Now check with a rank deficient matrix
  typedef Matrix<Scalar, RowsAtCompileTime3, ColsAtCompileTime> MatrixType3;
  typedef Matrix<Scalar, RowsAtCompileTime3, 1> RhsType3;
  Index rows3 = RowsAtCompileTime3 == Dynamic
                    ? internal::random<Index>(rank + 1, 2 * cols)
                    : Index(RowsAtCompileTime3);
  Matrix<Scalar, RowsAtCompileTime3, Dynamic> C =
      Matrix<Scalar, RowsAtCompileTime3, Dynamic>::Random(rows3, rank);
  MatrixType3 m3 = C * m2;
  RhsType3 rhs3 = C * rhs2;
  SVD_FOR_MIN_NORM(MatrixType3) svd3(m3, computationOptions);
  SolutionType x3 = svd3.solve(rhs3);
  VERIFY_IS_APPROX(m3 * x3, rhs3);
  VERIFY_IS_APPROX(m3 * x21, rhs3);
  VERIFY_IS_APPROX(m2 * x3, rhs2);
  VERIFY_IS_APPROX(x21, x3);
}

template <typename MatrixType, typename SolverType>
void svd_test_solvers(const MatrixType& m, const SolverType& solver) {
  Index rows, cols, cols2;

  rows = m.rows();
  cols = m.cols();

  if (MatrixType::ColsAtCompileTime == Dynamic) {
    cols2 = internal::random<int>(2, EIGEN_TEST_MAX_SIZE);
  } else {
    cols2 = cols;
  }
  typedef Matrix<typename MatrixType::Scalar, MatrixType::ColsAtCompileTime,
                 MatrixType::ColsAtCompileTime>
      CMatrixType;
  check_solverbase<CMatrixType, MatrixType>(m, solver, rows, cols, cols2);
}

// Check full, compare_to_full, least_square, and min_norm for all possible
// compute-options
template <typename SvdType, typename MatrixType>
void svd_test_all_computation_options(const MatrixType& m, bool full_only) {
  //   if (QRPreconditioner == NoQRPreconditioner && m.rows() != m.cols())
  //     return;
  STATIC_CHECK((internal::is_same<typename SvdType::StorageIndex, int>::value));

  SvdType fullSvd(m, ComputeFullU | ComputeFullV);
  CALL_SUBTEST((svd_check_full(m, fullSvd)));
  CALL_SUBTEST((svd_least_square<SvdType>(m, ComputeFullU | ComputeFullV)));
  CALL_SUBTEST((svd_min_norm(m, ComputeFullU | ComputeFullV)));

#if defined __INTEL_COMPILER
// remark #111: statement is unreachable
#pragma warning disable 111
#endif

  svd_test_solvers(m, fullSvd);

  if (full_only) return;

  CALL_SUBTEST((svd_compare_to_full(m, ComputeFullU, fullSvd)));
  CALL_SUBTEST((svd_compare_to_full(m, ComputeFullV, fullSvd)));
  CALL_SUBTEST((svd_compare_to_full(m, 0, fullSvd)));

  if (MatrixType::ColsAtCompileTime == Dynamic) {
    // thin U/V are only available with dynamic number of columns
    CALL_SUBTEST(
        (svd_compare_to_full(m, ComputeFullU | ComputeThinV, fullSvd)));
    CALL_SUBTEST((svd_compare_to_full(m, ComputeThinV, fullSvd)));
    CALL_SUBTEST(
        (svd_compare_to_full(m, ComputeThinU | ComputeFullV, fullSvd)));
    CALL_SUBTEST((svd_compare_to_full(m, ComputeThinU, fullSvd)));
    CALL_SUBTEST(
        (svd_compare_to_full(m, ComputeThinU | ComputeThinV, fullSvd)));

    CALL_SUBTEST((svd_least_square<SvdType>(m, ComputeFullU | ComputeThinV)));
    CALL_SUBTEST((svd_least_square<SvdType>(m, ComputeThinU | ComputeFullV)));
    CALL_SUBTEST((svd_least_square<SvdType>(m, ComputeThinU | ComputeThinV)));

    CALL_SUBTEST((svd_min_norm(m, ComputeFullU | ComputeThinV)));
    CALL_SUBTEST((svd_min_norm(m, ComputeThinU | ComputeFullV)));
    CALL_SUBTEST((svd_min_norm(m, ComputeThinU | ComputeThinV)));

    // test reconstruction
    Index diagSize = (std::min)(m.rows(), m.cols());
    SvdType svd(m, ComputeThinU | ComputeThinV);
    VERIFY_IS_APPROX(m, svd.matrixU().leftCols(diagSize) *
                            svd.singularValues().asDiagonal() *
                            svd.matrixV().leftCols(diagSize).adjoint());
  }
}

// work around stupid msvc error when constructing at compile time an expression
// that involves
// a division by zero, even if the numeric type has floating point
template <typename Scalar>
EIGEN_DONT_INLINE Scalar zero() {
  return Scalar(0);
}

// workaround aggressive optimization in ICC
template <typename T>
EIGEN_DONT_INLINE T sub(T a, T b) {
  return a - b;
}

// all this function does is verify we don't iterate infinitely on nan/inf
// values
template <typename SvdType, typename MatrixType>
void svd_inf_nan() {
  SvdType svd;
  typedef typename MatrixType::Scalar Scalar;
  Scalar some_inf = Scalar(1) / zero<Scalar>();
  VERIFY(sub(some_inf, some_inf) != sub(some_inf, some_inf));
  svd.compute(MatrixType::Constant(10, 10, some_inf),
              ComputeFullU | ComputeFullV);

  Scalar nan = std::numeric_limits<Scalar>::quiet_NaN();
  VERIFY(nan != nan);
  svd.compute(MatrixType::Constant(10, 10, nan), ComputeFullU | ComputeFullV);

  MatrixType m = MatrixType::Zero(10, 10);
  m(internal::random<int>(0, 9), internal::random<int>(0, 9)) = some_inf;
  svd.compute(m, ComputeFullU | ComputeFullV);

  m = MatrixType::Zero(10, 10);
  m(internal::random<int>(0, 9), internal::random<int>(0, 9)) = nan;
  svd.compute(m, ComputeFullU | ComputeFullV);

  // regression test for bug 791
  m.resize(3, 3);
  m << 0, 2 * NumTraits<Scalar>::epsilon(), 0.5, 0, -0.5, 0, nan, 0, 0;
  svd.compute(m, ComputeFullU | ComputeFullV);

  m.resize(4, 4);
  m << 1, 0, 0, 0, 0, 3, 1, 2e-308, 1, 0, 1, nan, 0, nan, nan, 0;
  svd.compute(m, ComputeFullU | ComputeFullV);
}

// Regression test for bug 286: JacobiSVD loops indefinitely with some
// matrices containing denormal numbers.
template <typename>
void svd_underoverflow() {
#if defined __INTEL_COMPILER
// shut up warning #239: floating point underflow
#pragma warning push
#pragma warning disable 239
#endif
  Matrix2d M;
  M << -7.90884e-313, -4.94e-324, 0, 5.60844e-313;
  SVD_DEFAULT(Matrix2d) svd;
  svd.compute(M, ComputeFullU | ComputeFullV);
  CALL_SUBTEST(svd_check_full(M, svd));

  // Check all 2x2 matrices made with the following coefficients:
  VectorXd value_set(9);
  value_set << 0, 1, -1, 5.60844e-313, -5.60844e-313, 4.94e-324, -4.94e-324,
      -4.94e-223, 4.94e-223;
  Array4i id(0, 0, 0, 0);
  int k = 0;
  do {
    M << value_set(id(0)), value_set(id(1)), value_set(id(2)), value_set(id(3));
    svd.compute(M, ComputeFullU | ComputeFullV);
    CALL_SUBTEST(svd_check_full(M, svd));

    id(k)++;
    if (id(k) >= value_set.size()) {
      while (k < 3 && id(k) >= value_set.size()) id(++k)++;
      id.head(k).setZero();
      k = 0;
    }

  } while ((id < int(value_set.size())).all());

#if defined __INTEL_COMPILER
#pragma warning pop
#endif

  // Check for overflow:
  Matrix3d M3;
  M3 << 4.4331978442502944e+307, -5.8585363752028680e+307,
      6.4527017443412964e+307, 3.7841695601406358e+307, 2.4331702789740617e+306,
      -3.5235707140272905e+307, -8.7190887618028355e+307,
      -7.3453213709232193e+307, -2.4367363684472105e+307;

  SVD_DEFAULT(Matrix3d) svd3;
  svd3.compute(M3, ComputeFullU |
                       ComputeFullV);  // just check we don't loop indefinitely
  CALL_SUBTEST(svd_check_full(M3, svd3));
}

// void jacobisvd(const MatrixType& a = MatrixType(), bool pickrandom = true)

template <typename MatrixType>
void svd_all_trivial_2x2(void (*cb)(const MatrixType&, bool)) {
  MatrixType M;
  VectorXd value_set(3);
  value_set << 0, 1, -1;
  Array4i id(0, 0, 0, 0);
  int k = 0;
  do {
    M << value_set(id(0)), value_set(id(1)), value_set(id(2)), value_set(id(3));

    cb(M, false);

    id(k)++;
    if (id(k) >= value_set.size()) {
      while (k < 3 && id(k) >= value_set.size()) id(++k)++;
      id.head(k).setZero();
      k = 0;
    }

  } while ((id < int(value_set.size())).all());
}

template <typename>
void svd_preallocate() {
  Vector3f v(3.f, 2.f, 1.f);
  MatrixXf m = v.asDiagonal();

  internal::set_is_malloc_allowed(false);
  VERIFY_RAISES_ASSERT(VectorXf tmp(10);)
  SVD_DEFAULT(MatrixXf) svd;
  internal::set_is_malloc_allowed(true);
  svd.compute(m);
  VERIFY_IS_APPROX(svd.singularValues(), v);

  SVD_DEFAULT(MatrixXf) svd2(3, 3);
  internal::set_is_malloc_allowed(false);
  svd2.compute(m);
  internal::set_is_malloc_allowed(true);
  VERIFY_IS_APPROX(svd2.singularValues(), v);
  VERIFY_RAISES_ASSERT(svd2.matrixU());
  VERIFY_RAISES_ASSERT(svd2.matrixV());
  svd2.compute(m, ComputeFullU | ComputeFullV);
  VERIFY_IS_APPROX(svd2.matrixU(), Matrix3f::Identity());
  VERIFY_IS_APPROX(svd2.matrixV(), Matrix3f::Identity());
  internal::set_is_malloc_allowed(false);
  svd2.compute(m);
  internal::set_is_malloc_allowed(true);

  SVD_DEFAULT(MatrixXf) svd3(3, 3, ComputeFullU | ComputeFullV);
  internal::set_is_malloc_allowed(false);
  svd2.compute(m);
  internal::set_is_malloc_allowed(true);
  VERIFY_IS_APPROX(svd2.singularValues(), v);
  VERIFY_IS_APPROX(svd2.matrixU(), Matrix3f::Identity());
  VERIFY_IS_APPROX(svd2.matrixV(), Matrix3f::Identity());
  internal::set_is_malloc_allowed(false);
  svd2.compute(m, ComputeFullU | ComputeFullV);
  internal::set_is_malloc_allowed(true);
}

template <typename SvdType, typename MatrixType>
void svd_verify_assert(const MatrixType& m) {
  typedef typename MatrixType::Scalar Scalar;
  Index rows = m.rows();
  Index cols = m.cols();

  enum {
    RowsAtCompileTime = MatrixType::RowsAtCompileTime,
    ColsAtCompileTime = MatrixType::ColsAtCompileTime
  };

  typedef Matrix<Scalar, RowsAtCompileTime, 1> RhsType;
  RhsType rhs(rows);
  SvdType svd;
  VERIFY_RAISES_ASSERT(svd.matrixU())
  VERIFY_RAISES_ASSERT(svd.singularValues())
  VERIFY_RAISES_ASSERT(svd.matrixV())
  VERIFY_RAISES_ASSERT(svd.solve(rhs))
  VERIFY_RAISES_ASSERT(svd.transpose().solve(rhs))
  VERIFY_RAISES_ASSERT(svd.adjoint().solve(rhs))
  MatrixType a = MatrixType::Zero(rows, cols);
  a.setZero();
  svd.compute(a, 0);
  VERIFY_RAISES_ASSERT(svd.matrixU())
  VERIFY_RAISES_ASSERT(svd.matrixV())
  svd.singularValues();
  VERIFY_RAISES_ASSERT(svd.solve(rhs))

  if (ColsAtCompileTime == Dynamic) {
    svd.compute(a, ComputeThinU);
    svd.matrixU();
    VERIFY_RAISES_ASSERT(svd.matrixV())
    VERIFY_RAISES_ASSERT(svd.solve(rhs))
    svd.compute(a, ComputeThinV);
    svd.matrixV();
    VERIFY_RAISES_ASSERT(svd.matrixU())
    VERIFY_RAISES_ASSERT(svd.solve(rhs))
  } else {
    VERIFY_RAISES_ASSERT(svd.compute(a, ComputeThinU))
    VERIFY_RAISES_ASSERT(svd.compute(a, ComputeThinV))
  }
}

#undef SVD_DEFAULT
#undef SVD_FOR_MIN_NORM