// 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) { 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 } // EigenvectorsSym extracts the eigenvectors of the factorized matrix and stores // them in the receiver. Each eigenvector is a column corresponding to the // respective eigenvalue returned by e.Values. // // EigenvectorsSym panics if the factorization was not successful or if the // decomposition did not compute the eigenvectors. func (m *Dense) EigenvectorsSym(e *EigenSym) { if !e.succFact() { panic(badFact) } if !e.vectorsComputed { panic(badNoVect) } m.reuseAs(len(e.values), len(e.values)) m.Copy(e.vectors) } // 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. right bool // have the right eigenvectors been computed left bool // have the left eigenvectors been computed values []complex128 rVectors *Dense lVectors *Dense } // succFact returns whether the receiver contains a successful factorization. func (e *Eigen) succFact() bool { return len(e.values) != 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 // eigenvector. // // 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, Eigen computes the eigenvalues of the matrix. If right and left // are true, then the right and left eigenvectors will be computed, respectively. // 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, left, right bool) (ok bool) { // TODO(btracey): Change implementation to store VecDenses as a *CMat when // #308 is resolved. // 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) var vl, vr Dense var jobvl lapack.LeftEVJob = lapack.None var jobvr lapack.RightEVJob = lapack.None if left { vl = *NewDense(r, r, nil) jobvl = lapack.ComputeLeftEV } if right { vr = *NewDense(c, c, nil) jobvr = lapack.ComputeRightEV } 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.right = right e.left = left e.lVectors = &vl e.rVectors = &vr values := make([]complex128, r) for i, v := range wr { values[i] = complex(v, wi[i]) } e.values = values return true } // 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 } // Vectors returns the right eigenvectors of the decomposition. Vectors // will panic if the right eigenvectors were not computed during the factorization, // or if the factorization was not successful. // // The returned matrix will contain the right eigenvectors of the decomposition // in the columns of the n×n matrix in the same order as their eigenvalues. // If the j-th eigenvalue is real, then // u_j = VL[:,j], // v_j = VR[:,j], // and if it is not real, then j and j+1 form a complex conjugate pair and the // eigenvectors can be recovered as // u_j = VL[:,j] + i*VL[:,j+1], // u_{j+1} = VL[:,j] - i*VL[:,j+1], // v_j = VR[:,j] + i*VR[:,j+1], // v_{j+1} = VR[:,j] - i*VR[:,j+1], // where i is the imaginary unit. The computed eigenvectors are normalized to // have Euclidean norm equal to 1 and largest component real. // // BUG: This signature and behavior will change when issue #308 is resolved. func (e *Eigen) Vectors() *Dense { if !e.succFact() { panic(badFact) } if !e.right { panic(badNoVect) } return DenseCopyOf(e.rVectors) } // LeftVectors returns the left eigenvectors of the decomposition. LeftVectors // will panic if the left eigenvectors were not computed during the factorization. // or if the factorization was not successful. // // See the documentation in lapack64.Geev for the format of the vectors. // // BUG: This signature and behavior will change when issue #308 is resolved. func (e *Eigen) LeftVectors() *Dense { if !e.succFact() { panic(badFact) } if !e.left { panic(badNoVect) } return DenseCopyOf(e.lVectors) }