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Eigen::JacobiSVD< _MatrixType, QRPreconditioner > Class Template Reference

Two-sided Jacobi SVD decomposition of a rectangular matrix. More...

#include <JacobiSVD.h>

Inheritance diagram for Eigen::JacobiSVD< _MatrixType, QRPreconditioner >:
Eigen::SVDBase< _MatrixType >

Public Types

enum  {
  RowsAtCompileTime = MatrixType::RowsAtCompileTime, ColsAtCompileTime = MatrixType::ColsAtCompileTime, DiagSizeAtCompileTime = EIGEN_SIZE_MIN_PREFER_DYNAMIC(RowsAtCompileTime,ColsAtCompileTime), MaxRowsAtCompileTime = MatrixType::MaxRowsAtCompileTime,
  MaxColsAtCompileTime = MatrixType::MaxColsAtCompileTime, MaxDiagSizeAtCompileTime = EIGEN_SIZE_MIN_PREFER_FIXED(MaxRowsAtCompileTime,MaxColsAtCompileTime), MatrixOptions = MatrixType::Options
}
 
enum  {
  RowsAtCompileTime = MatrixType::RowsAtCompileTime, ColsAtCompileTime = MatrixType::ColsAtCompileTime, DiagSizeAtCompileTime = EIGEN_SIZE_MIN_PREFER_DYNAMIC(RowsAtCompileTime,ColsAtCompileTime), MaxRowsAtCompileTime = MatrixType::MaxRowsAtCompileTime,
  MaxColsAtCompileTime = MatrixType::MaxColsAtCompileTime, MaxDiagSizeAtCompileTime = EIGEN_SIZE_MIN_PREFER_FIXED(MaxRowsAtCompileTime,MaxColsAtCompileTime), MatrixOptions = MatrixType::Options
}
 
typedef _MatrixType MatrixType
 
typedef MatrixType::Scalar Scalar
 
typedef NumTraits< typename MatrixType::Scalar >::Real RealScalar
 
typedef MatrixType::Index Index
 
typedef Matrix< Scalar, RowsAtCompileTime, RowsAtCompileTime, MatrixOptions, MaxRowsAtCompileTime, MaxRowsAtCompileTime > MatrixUType
 
typedef Matrix< Scalar, ColsAtCompileTime, ColsAtCompileTime, MatrixOptions, MaxColsAtCompileTime, MaxColsAtCompileTime > MatrixVType
 
typedef internal::plain_diag_type< MatrixType, RealScalar >::type SingularValuesType
 
typedef internal::plain_row_type< MatrixType >::type RowType
 
typedef internal::plain_col_type< MatrixType >::type ColType
 
typedef Matrix< Scalar, DiagSizeAtCompileTime, DiagSizeAtCompileTime, MatrixOptions, MaxDiagSizeAtCompileTime, MaxDiagSizeAtCompileTime > WorkMatrixType
 
typedef _MatrixType MatrixType
 
typedef MatrixType::Scalar Scalar
 
typedef NumTraits< typename MatrixType::Scalar >::Real RealScalar
 
typedef MatrixType::Index Index
 
typedef Matrix< Scalar, RowsAtCompileTime, RowsAtCompileTime, MatrixOptions, MaxRowsAtCompileTime, MaxRowsAtCompileTime > MatrixUType
 
typedef Matrix< Scalar, ColsAtCompileTime, ColsAtCompileTime, MatrixOptions, MaxColsAtCompileTime, MaxColsAtCompileTime > MatrixVType
 
typedef internal::plain_diag_type< MatrixType, RealScalar >::type SingularValuesType
 
typedef internal::plain_row_type< MatrixType >::type RowType
 
typedef internal::plain_col_type< MatrixType >::type ColType
 
typedef Matrix< Scalar, DiagSizeAtCompileTime, DiagSizeAtCompileTime, MatrixOptions, MaxDiagSizeAtCompileTime, MaxDiagSizeAtCompileTime > WorkMatrixType
 
- Public Types inherited from Eigen::SVDBase< _MatrixType >
enum  {
  RowsAtCompileTime = MatrixType::RowsAtCompileTime, ColsAtCompileTime = MatrixType::ColsAtCompileTime, DiagSizeAtCompileTime = EIGEN_SIZE_MIN_PREFER_DYNAMIC(RowsAtCompileTime,ColsAtCompileTime), MaxRowsAtCompileTime = MatrixType::MaxRowsAtCompileTime,
  MaxColsAtCompileTime = MatrixType::MaxColsAtCompileTime, MaxDiagSizeAtCompileTime = EIGEN_SIZE_MIN_PREFER_FIXED(MaxRowsAtCompileTime,MaxColsAtCompileTime), MatrixOptions = MatrixType::Options
}
 
typedef _MatrixType MatrixType
 
typedef MatrixType::Scalar Scalar
 
typedef NumTraits< typename MatrixType::Scalar >::Real RealScalar
 
typedef MatrixType::Index Index
 
typedef Matrix< Scalar, RowsAtCompileTime, RowsAtCompileTime, MatrixOptions, MaxRowsAtCompileTime, MaxRowsAtCompileTime > MatrixUType
 
typedef Matrix< Scalar, ColsAtCompileTime, ColsAtCompileTime, MatrixOptions, MaxColsAtCompileTime, MaxColsAtCompileTime > MatrixVType
 
typedef internal::plain_diag_type< MatrixType, RealScalar >::type SingularValuesType
 
typedef internal::plain_row_type< MatrixType >::type RowType
 
typedef internal::plain_col_type< MatrixType >::type ColType
 
typedef Matrix< Scalar, DiagSizeAtCompileTime, DiagSizeAtCompileTime, MatrixOptions, MaxDiagSizeAtCompileTime, MaxDiagSizeAtCompileTime > WorkMatrixType
 

Public Member Functions

 JacobiSVD ()
 Default Constructor. More...
 
 JacobiSVD (Index rows, Index cols, unsigned int computationOptions=0)
 Default Constructor with memory preallocation. More...
 
 JacobiSVD (const MatrixType &matrix, unsigned int computationOptions=0)
 Constructor performing the decomposition of given matrix. More...
 
JacobiSVDcompute (const MatrixType &matrix, unsigned int computationOptions)
 Method performing the decomposition of given matrix using custom options. More...
 
JacobiSVDcompute (const MatrixType &matrix)
 Method performing the decomposition of given matrix using current options. More...
 
const MatrixUTypematrixU () const
 
const MatrixVTypematrixV () const
 
const SingularValuesTypesingularValues () const
 
bool computeU () const
 
bool computeV () const
 
template<typename Rhs >
const internal::solve_retval< JacobiSVD, Rhs > solve (const MatrixBase< Rhs > &b) const
 
Index nonzeroSingularValues () const
 
Index rank () const
 
JacobiSVDsetThreshold (const RealScalar &threshold)
 Allows to prescribe a threshold to be used by certain methods, such as rank() and solve(), which need to determine when singular values are to be considered nonzero. More...
 
JacobiSVDsetThreshold (Default_t)
 Allows to come back to the default behavior, letting Eigen use its default formula for determining the threshold. More...
 
RealScalar threshold () const
 Returns the threshold that will be used by certain methods such as rank(). More...
 
Index rows () const
 
Index cols () const
 
 JacobiSVD ()
 Default Constructor. More...
 
 JacobiSVD (Index rows, Index cols, unsigned int computationOptions=0)
 Default Constructor with memory preallocation. More...
 
 JacobiSVD (const MatrixType &matrix, unsigned int computationOptions=0)
 Constructor performing the decomposition of given matrix. More...
 
SVDBase< MatrixType > & compute (const MatrixType &matrix, unsigned int computationOptions)
 Method performing the decomposition of given matrix using custom options. More...
 
SVDBase< MatrixType > & compute (const MatrixType &matrix)
 Method performing the decomposition of given matrix using current options. More...
 
template<typename Rhs >
const internal::solve_retval< JacobiSVD, Rhs > solve (const MatrixBase< Rhs > &b) const
 
- Public Member Functions inherited from Eigen::SVDBase< _MatrixType >
SVDBasecompute (const MatrixType &matrix, unsigned int computationOptions)
 Method performing the decomposition of given matrix using custom options. More...
 
SVDBasecompute (const MatrixType &matrix)
 Method performing the decomposition of given matrix using current options. More...
 
const MatrixUTypematrixU () const
 
const MatrixVTypematrixV () const
 
const SingularValuesTypesingularValues () const
 
Index nonzeroSingularValues () const
 
bool computeU () const
 
bool computeV () const
 
Index rows () const
 
Index cols () const
 

Protected Attributes

MatrixUType m_matrixU
 
MatrixVType m_matrixV
 
SingularValuesType m_singularValues
 
WorkMatrixType m_workMatrix
 
bool m_isInitialized
 
bool m_isAllocated
 
bool m_usePrescribedThreshold
 
bool m_computeFullU
 
bool m_computeThinU
 
bool m_computeFullV
 
bool m_computeThinV
 
unsigned int m_computationOptions
 
Index m_nonzeroSingularValues
 
Index m_rows
 
Index m_cols
 
Index m_diagSize
 
RealScalar m_prescribedThreshold
 
internal::qr_preconditioner_impl< MatrixType, QRPreconditioner, internal::PreconditionIfMoreColsThanRows > m_qr_precond_morecols
 
internal::qr_preconditioner_impl< MatrixType, QRPreconditioner, internal::PreconditionIfMoreRowsThanCols > m_qr_precond_morerows
 
MatrixType m_scaledMatrix
 
- Protected Attributes inherited from Eigen::SVDBase< _MatrixType >
MatrixUType m_matrixU
 
MatrixVType m_matrixV
 
SingularValuesType m_singularValues
 
bool m_isInitialized
 
bool m_isAllocated
 
bool m_computeFullU
 
bool m_computeThinU
 
bool m_computeFullV
 
bool m_computeThinV
 
unsigned int m_computationOptions
 
Index m_nonzeroSingularValues
 
Index m_rows
 
Index m_cols
 
Index m_diagSize
 

Friends

template<typename __MatrixType , int _QRPreconditioner, bool _IsComplex>
struct internal::svd_precondition_2x2_block_to_be_real
 
template<typename __MatrixType , int _QRPreconditioner, int _Case, bool _DoAnything>
struct internal::qr_preconditioner_impl
 
template<typename __MatrixType , int _QRPreconditioner, bool _IsComplex>
struct internal::svd_precondition_2x2_block_to_be_real
 
template<typename __MatrixType , int _QRPreconditioner, int _Case, bool _DoAnything>
struct internal::qr_preconditioner_impl
 

Additional Inherited Members

- Protected Member Functions inherited from Eigen::SVDBase< _MatrixType >
bool allocate (Index rows, Index cols, unsigned int computationOptions)
 
 SVDBase ()
 Default Constructor. More...
 

Detailed Description

template<typename _MatrixType, int QRPreconditioner>
class Eigen::JacobiSVD< _MatrixType, QRPreconditioner >

Two-sided Jacobi SVD decomposition of a rectangular matrix.

Parameters
MatrixTypethe type of the matrix of which we are computing the SVD decomposition
QRPreconditionerthis optional parameter allows to specify the type of QR decomposition that will be used internally for the R-SVD step for non-square matrices. See discussion of possible values below.

SVD decomposition consists in decomposing any n-by-p matrix A as a product

\[ A = U S V^* \]

where U is a n-by-n unitary, V is a p-by-p unitary, and S is a n-by-p real positive matrix which is zero outside of its main diagonal; the diagonal entries of S are known as the singular values of A and the columns of U and V are known as the left and right singular vectors of A respectively.

Singular values are always sorted in decreasing order.

This JacobiSVD decomposition computes only the singular values by default. If you want U or V, you need to ask for them explicitly.

You can ask for only thin U or V to be computed, meaning the following. In case of a rectangular n-by-p matrix, letting m be the smaller value among n and p, there are only m singular vectors; the remaining columns of U and V do not correspond to actual singular vectors. Asking for thin U or V means asking for only their m first columns to be formed. So U is then a n-by-m matrix, and V is then a p-by-m matrix. Notice that thin U and V are all you need for (least squares) solving.

Here's an example demonstrating basic usage:

Output:

This JacobiSVD class is a two-sided Jacobi R-SVD decomposition, ensuring optimal reliability and accuracy. The downside is that it's slower than bidiagonalizing SVD algorithms for large square matrices; however its complexity is still \( O(n^2p) \) where n is the smaller dimension and p is the greater dimension, meaning that it is still of the same order of complexity as the faster bidiagonalizing R-SVD algorithms. In particular, like any R-SVD, it takes advantage of non-squareness in that its complexity is only linear in the greater dimension.

If the input matrix has inf or nan coefficients, the result of the computation is undefined, but the computation is guaranteed to terminate in finite (and reasonable) time.

The possible values for QRPreconditioner are:

See also
MatrixBase::jacobiSvd()

Constructor & Destructor Documentation

§ JacobiSVD() [1/6]

template<typename _MatrixType, int QRPreconditioner>
Eigen::JacobiSVD< _MatrixType, QRPreconditioner >::JacobiSVD ( )
inline

Default Constructor.

The default constructor is useful in cases in which the user intends to perform decompositions via JacobiSVD::compute(const MatrixType&).

§ JacobiSVD() [2/6]

template<typename _MatrixType, int QRPreconditioner>
Eigen::JacobiSVD< _MatrixType, QRPreconditioner >::JacobiSVD ( Index  rows,
Index  cols,
unsigned int  computationOptions = 0 
)
inline

Default Constructor with memory preallocation.

Like the default constructor but with preallocation of the internal data according to the specified problem size.

See also
JacobiSVD()

§ JacobiSVD() [3/6]

template<typename _MatrixType, int QRPreconditioner>
Eigen::JacobiSVD< _MatrixType, QRPreconditioner >::JacobiSVD ( const MatrixType &  matrix,
unsigned int  computationOptions = 0 
)
inline

Constructor performing the decomposition of given matrix.

Parameters
matrixthe matrix to decompose
computationOptionsoptional parameter allowing to specify if you want full or thin U or V unitaries to be computed. By default, none is computed. This is a bit-field, the possible bits are ComputeFullU, ComputeThinU, ComputeFullV, ComputeThinV.

Thin unitaries are only available if your matrix type has a Dynamic number of columns (for example MatrixXf). They also are not available with the (non-default) FullPivHouseholderQR preconditioner.

§ JacobiSVD() [4/6]

template<typename _MatrixType, int QRPreconditioner>
Eigen::JacobiSVD< _MatrixType, QRPreconditioner >::JacobiSVD ( )
inline

Default Constructor.

The default constructor is useful in cases in which the user intends to perform decompositions via JacobiSVD::compute(const MatrixType&).

§ JacobiSVD() [5/6]

template<typename _MatrixType, int QRPreconditioner>
Eigen::JacobiSVD< _MatrixType, QRPreconditioner >::JacobiSVD ( Index  rows,
Index  cols,
unsigned int  computationOptions = 0 
)
inline

Default Constructor with memory preallocation.

Like the default constructor but with preallocation of the internal data according to the specified problem size.

See also
JacobiSVD()

§ JacobiSVD() [6/6]

template<typename _MatrixType, int QRPreconditioner>
Eigen::JacobiSVD< _MatrixType, QRPreconditioner >::JacobiSVD ( const MatrixType &  matrix,
unsigned int  computationOptions = 0 
)
inline

Constructor performing the decomposition of given matrix.

Parameters
matrixthe matrix to decompose
computationOptionsoptional parameter allowing to specify if you want full or thin U or V unitaries to be computed. By default, none is computed. This is a bit-field, the possible bits are ComputeFullU, ComputeThinU, ComputeFullV, ComputeThinV.

Thin unitaries are only available if your matrix type has a Dynamic number of columns (for example MatrixXf). They also are not available with the (non-default) FullPivHouseholderQR preconditioner.

Member Function Documentation

§ compute() [1/4]

template<typename _MatrixType, int QRPreconditioner>
SVDBase<MatrixType>& Eigen::JacobiSVD< _MatrixType, QRPreconditioner >::compute ( const MatrixType &  matrix,
unsigned int  computationOptions 
)

Method performing the decomposition of given matrix using custom options.

Parameters
matrixthe matrix to decompose
computationOptionsoptional parameter allowing to specify if you want full or thin U or V unitaries to be computed. By default, none is computed. This is a bit-field, the possible bits are ComputeFullU, ComputeThinU, ComputeFullV, ComputeThinV.

Thin unitaries are only available if your matrix type has a Dynamic number of columns (for example MatrixXf). They also are not available with the (non-default) FullPivHouseholderQR preconditioner.

§ compute() [2/4]

template<typename _MatrixType, int QRPreconditioner>
SVDBase<MatrixType>& Eigen::JacobiSVD< _MatrixType, QRPreconditioner >::compute ( const MatrixType &  matrix)
inline

Method performing the decomposition of given matrix using current options.

Parameters
matrixthe matrix to decompose

This method uses the current computationOptions, as already passed to the constructor or to compute(const MatrixType&, unsigned int).

§ compute() [3/4]

template<typename MatrixType , int QRPreconditioner>
SVDBase< MatrixType > & Eigen::JacobiSVD< MatrixType, QRPreconditioner >::compute ( const MatrixType &  matrix,
unsigned int  computationOptions 
)

Method performing the decomposition of given matrix using custom options.

Parameters
matrixthe matrix to decompose
computationOptionsoptional parameter allowing to specify if you want full or thin U or V unitaries to be computed. By default, none is computed. This is a bit-field, the possible bits are ComputeFullU, ComputeThinU, ComputeFullV, ComputeThinV.

Thin unitaries are only available if your matrix type has a Dynamic number of columns (for example MatrixXf). They also are not available with the (non-default) FullPivHouseholderQR preconditioner.

§ compute() [4/4]

template<typename _MatrixType, int QRPreconditioner>
JacobiSVD& Eigen::JacobiSVD< _MatrixType, QRPreconditioner >::compute ( const MatrixType &  matrix)
inline

Method performing the decomposition of given matrix using current options.

Parameters
matrixthe matrix to decompose

This method uses the current computationOptions, as already passed to the constructor or to compute(const MatrixType&, unsigned int).

§ computeU()

template<typename _MatrixType, int QRPreconditioner>
bool Eigen::JacobiSVD< _MatrixType, QRPreconditioner >::computeU ( ) const
inline
Returns
true if U (full or thin) is asked for in this SVD decomposition

§ computeV()

template<typename _MatrixType, int QRPreconditioner>
bool Eigen::JacobiSVD< _MatrixType, QRPreconditioner >::computeV ( ) const
inline
Returns
true if V (full or thin) is asked for in this SVD decomposition

§ matrixU()

template<typename _MatrixType, int QRPreconditioner>
const MatrixUType& Eigen::JacobiSVD< _MatrixType, QRPreconditioner >::matrixU ( ) const
inline
Returns
the U matrix.

For the SVD decomposition of a n-by-p matrix, letting m be the minimum of n and p, the U matrix is n-by-n if you asked for ComputeFullU, and is n-by-m if you asked for ComputeThinU.

The m first columns of U are the left singular vectors of the matrix being decomposed.

This method asserts that you asked for U to be computed.

§ matrixV()

template<typename _MatrixType, int QRPreconditioner>
const MatrixVType& Eigen::JacobiSVD< _MatrixType, QRPreconditioner >::matrixV ( ) const
inline
Returns
the V matrix.

For the SVD decomposition of a n-by-p matrix, letting m be the minimum of n and p, the V matrix is p-by-p if you asked for ComputeFullV, and is p-by-m if you asked for ComputeThinV.

The m first columns of V are the right singular vectors of the matrix being decomposed.

This method asserts that you asked for V to be computed.

§ nonzeroSingularValues()

template<typename _MatrixType, int QRPreconditioner>
Index Eigen::JacobiSVD< _MatrixType, QRPreconditioner >::nonzeroSingularValues ( ) const
inline
Returns
the number of singular values that are not exactly 0

§ rank()

template<typename _MatrixType, int QRPreconditioner>
Index Eigen::JacobiSVD< _MatrixType, QRPreconditioner >::rank ( ) const
inline
Returns
the rank of the matrix of which *this is the SVD.
Note
This method has to determine which singular values should be considered nonzero. For that, it uses the threshold value that you can control by calling setThreshold(const RealScalar&).

§ setThreshold() [1/2]

template<typename _MatrixType, int QRPreconditioner>
JacobiSVD& Eigen::JacobiSVD< _MatrixType, QRPreconditioner >::setThreshold ( const RealScalar &  threshold)
inline

Allows to prescribe a threshold to be used by certain methods, such as rank() and solve(), which need to determine when singular values are to be considered nonzero.

This is not used for the SVD decomposition itself.

When it needs to get the threshold value, Eigen calls threshold(). The default is NumTraits<Scalar>::epsilon()

Parameters
thresholdThe new value to use as the threshold.

A singular value will be considered nonzero if its value is strictly greater than \( \vert singular value \vert \leqslant threshold \times \vert max singular value \vert \).

If you want to come back to the default behavior, call setThreshold(Default_t)

§ setThreshold() [2/2]

template<typename _MatrixType, int QRPreconditioner>
JacobiSVD& Eigen::JacobiSVD< _MatrixType, QRPreconditioner >::setThreshold ( Default_t  )
inline

Allows to come back to the default behavior, letting Eigen use its default formula for determining the threshold.

You should pass the special object Eigen::Default as parameter here.

svd.setThreshold(Eigen::Default);

See the documentation of setThreshold(const RealScalar&).

§ singularValues()

template<typename _MatrixType, int QRPreconditioner>
const SingularValuesType& Eigen::JacobiSVD< _MatrixType, QRPreconditioner >::singularValues ( ) const
inline
Returns
the vector of singular values.

For the SVD decomposition of a n-by-p matrix, letting m be the minimum of n and p, the returned vector has size m. Singular values are always sorted in decreasing order.

§ solve() [1/2]

template<typename _MatrixType, int QRPreconditioner>
template<typename Rhs >
const internal::solve_retval<JacobiSVD, Rhs> Eigen::JacobiSVD< _MatrixType, QRPreconditioner >::solve ( const MatrixBase< Rhs > &  b) const
inline
Returns
a (least squares) solution of \( A x = b \) using the current SVD decomposition of A.
Parameters
bthe right-hand-side of the equation to solve.
Note
Solving requires both U and V to be computed. Thin U and V are enough, there is no need for full U or V.
SVD solving is implicitly least-squares. Thus, this method serves both purposes of exact solving and least-squares solving. In other words, the returned solution is guaranteed to minimize the Euclidean norm \( \Vert A x - b \Vert \).

§ solve() [2/2]

template<typename _MatrixType, int QRPreconditioner>
template<typename Rhs >
const internal::solve_retval<JacobiSVD, Rhs> Eigen::JacobiSVD< _MatrixType, QRPreconditioner >::solve ( const MatrixBase< Rhs > &  b) const
inline
Returns
a (least squares) solution of \( A x = b \) using the current SVD decomposition of A.
Parameters
bthe right-hand-side of the equation to solve.
Note
Solving requires both U and V to be computed. Thin U and V are enough, there is no need for full U or V.
SVD solving is implicitly least-squares. Thus, this method serves both purposes of exact solving and least-squares solving. In other words, the returned solution is guaranteed to minimize the Euclidean norm \( \Vert A x - b \Vert \).

§ threshold()

template<typename _MatrixType, int QRPreconditioner>
RealScalar Eigen::JacobiSVD< _MatrixType, QRPreconditioner >::threshold ( ) const
inline

Returns the threshold that will be used by certain methods such as rank().

See the documentation of setThreshold(const RealScalar&).


The documentation for this class was generated from the following files: