/******************************************************************************* * Copyright (c) 2020 Konduit K.K. * * This program and the accompanying materials are made available under the * terms of the Apache License, Version 2.0 which is available at * https://www.apache.org/licenses/LICENSE-2.0. * * Unless required by applicable law or agreed to in writing, software * distributed under the License is distributed on an "AS IS" BASIS, WITHOUT * WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. See the * License for the specific language governing permissions and limitations * under the License. * * SPDX-License-Identifier: Apache-2.0 ******************************************************************************/ // // @author Yurii Shyrma (iuriish@yahoo.com) // #ifndef LIBND4J_HESSENBERGANDSCHUR_H #define LIBND4J_HESSENBERGANDSCHUR_H #include namespace sd { namespace ops { namespace helpers { // this class implements Hessenberg decomposition of square matrix using orthogonal similarity transformation // A = Q H Q^T // Q - orthogonal matrix // H - Hessenberg matrix template class Hessenberg { // suppose we got input square NxN matrix public: NDArray _Q; // {N,N} NDArray _H; // {N,N} explicit Hessenberg(const NDArray& matrix); private: void evalData(); }; // this class implements real Schur decomposition of square matrix using orthogonal similarity transformation // A = U T U^T // T - real quasi-upper-triangular matrix - block upper triangular matrix where the blocks on the diagonal are 1×1 or 2×2 with complex eigenvalues // U - real orthogonal matrix template class Schur { // suppose we got input square NxN matrix public: NDArray _T; // {N,N} NDArray _U; // {N,N} explicit Schur(const NDArray& matrix); void splitTwoRows(const int ind, const T shift); void calcShift(const int ind, const int iter, T& shift, NDArray& shiftInfo); void initFrancisQR(const int ind1, const int ind2, const NDArray& shiftVec, int& ind3, NDArray& householderVec); void doFrancisQR(const int ind1, const int ind2, const int ind3, const NDArray& householderVec); void calcFromHessenberg(); private: static const int _maxItersPerRow = 40; void evalData(const NDArray& matrix); ////////////////////////////////////////////////////////////////////////// FORCEINLINE int getSmallSubdiagEntry(const int inInd) { int outInd = inInd; while (outInd > 0) { T factor = math::nd4j_abs(_T.t(outInd-1, outInd-1)) + math::nd4j_abs(_T.t(outInd, outInd)); if (math::nd4j_abs(_T.t(outInd, outInd-1)) <= DataTypeUtils::eps() * factor) break; outInd--; } return outInd; } }; } } } #endif //LIBND4J_HESSENBERGANDSCHUR_H