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Improve numerical robustness of JacoviSVD:

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- avoid noise amplification in complex to real conversion
 - compare off-diagonal entries to the current biggest diagonal entry: no need to bother about a 2x2 block containing ridiculously small entries compared to the rest of the matrix.
This commit is contained in:
Gael Guennebaud 2016-04-14 22:46:55 +02:00
parent 7718749fee
commit 20f387fafa
1 changed files with 24 additions and 18 deletions
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42
Eigen/src/SVD/JacobiSVD.h
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@ -350,7 +350,8 @@ template<typename MatrixType, int QRPreconditioner>
struct svd_precondition_2x2_block_to_be_real<MatrixType, QRPreconditioner, false>
{
typedef JacobiSVD<MatrixType, QRPreconditioner> SVD;
static bool run(typename SVD::WorkMatrixType&, SVD&, Index, Index, const typename MatrixType::RealScalar&) { return true; }
typedef typename MatrixType::RealScalar RealScalar;
static bool run(typename SVD::WorkMatrixType&, SVD&, Index, Index, RealScalar&) { return true; }
};
template<typename MatrixType, int QRPreconditioner>
@ -359,25 +360,30 @@ struct svd_precondition_2x2_block_to_be_real<MatrixType, QRPreconditioner, true>
typedef JacobiSVD<MatrixType, QRPreconditioner> SVD;
typedef typename MatrixType::Scalar Scalar;
typedef typename MatrixType::RealScalar RealScalar;
static bool run(typename SVD::WorkMatrixType& work_matrix, SVD& svd, Index p, Index q, const typename MatrixType::RealScalar& precision)
static bool run(typename SVD::WorkMatrixType& work_matrix, SVD& svd, Index p, Index q, RealScalar& maxDiagEntry)
{
using std::sqrt;
using std::abs;
Scalar z;
JacobiRotation<Scalar> rot;
RealScalar n = sqrt(numext::abs2(work_matrix.coeff(p,p)) + numext::abs2(work_matrix.coeff(q,p)));
const RealScalar considerAsZero = (std::numeric_limits<RealScalar>::min)();
const RealScalar precision = NumTraits<Scalar>::epsilon();
if(n==0)
{
// make sure first column is zero
work_matrix.coeffRef(p,p) = work_matrix.coeffRef(q,p) = Scalar(0);
if(work_matrix.coeff(p,q)!=Scalar(0))
if(abs(numext::imag(work_matrix.coeff(p,q)))>considerAsZero)
{
// work_matrix.coeff(p,q) can be zero if work_matrix.coeff(q,p) is not zero but small enough to underflow when computing n
z = abs(work_matrix.coeff(p,q)) / work_matrix.coeff(p,q);
work_matrix.row(p) *= z;
if(svd.computeU()) svd.m_matrixU.col(p) *= conj(z);
}
if(work_matrix.coeff(q,q)!=Scalar(0))
if(abs(numext::imag(work_matrix.coeff(q,q)))>considerAsZero)
{
z = abs(work_matrix.coeff(q,q)) / work_matrix.coeff(q,q);
work_matrix.row(q) *= z;
@ -391,13 +397,13 @@ struct svd_precondition_2x2_block_to_be_real<MatrixType, QRPreconditioner, true>
rot.s() = work_matrix.coeff(q,p) / n;
work_matrix.applyOnTheLeft(p,q,rot);
if(svd.computeU()) svd.m_matrixU.applyOnTheRight(p,q,rot.adjoint());
if(work_matrix.coeff(p,q) != Scalar(0))
if(abs(numext::imag(work_matrix.coeff(p,q)))>considerAsZero)
{
z = abs(work_matrix.coeff(p,q)) / work_matrix.coeff(p,q);
work_matrix.col(q) *= z;
if(svd.computeV()) svd.m_matrixV.col(q) *= z;
}
if(work_matrix.coeff(q,q) != Scalar(0))
if(abs(numext::imag(work_matrix.coeff(q,q)))>considerAsZero)
{
z = abs(work_matrix.coeff(q,q)) / work_matrix.coeff(q,q);
work_matrix.row(q) *= z;
@ -405,11 +411,11 @@ struct svd_precondition_2x2_block_to_be_real<MatrixType, QRPreconditioner, true>
}
}
const RealScalar considerAsZero = RealScalar(2) * std::numeric_limits<RealScalar>::denorm_min();
RealScalar threshold = numext::maxi<RealScalar>(considerAsZero,
precision * numext::maxi<RealScalar>(abs(work_matrix.coeff(p,p)), abs(work_matrix.coeff(q,q))));
// return true if we still have some work to do
return numext::abs(work_matrix(p,q)) > threshold || numext::abs(work_matrix(q,p)) > threshold;
// update largest diagonal entry
maxDiagEntry = numext::maxi(maxDiagEntry,numext::maxi(abs(work_matrix.coeff(p,p)), abs(work_matrix.coeff(q,q))));
// and check whether the 2x2 block is already diagonal
RealScalar threshold = numext::maxi<RealScalar>(considerAsZero, precision * maxDiagEntry);
return abs(work_matrix.coeff(p,q))>threshold || abs(work_matrix.coeff(q,p)) > threshold;
}
};
@ -426,7 +432,6 @@ void real_2x2_jacobi_svd(const MatrixType& matrix, Index p, Index q,
JacobiRotation<RealScalar> rot1;
RealScalar t = m.coeff(0,0) + m.coeff(1,1);
RealScalar d = m.coeff(1,0) - m.coeff(0,1);
if(d == RealScalar(0))
{
rot1.s() = RealScalar(0);
@ -719,6 +724,7 @@ JacobiSVD<MatrixType, QRPreconditioner>::compute(const MatrixType& matrix, unsig
}
/*** step 2. The main Jacobi SVD iteration. ***/
RealScalar maxDiagEntry = m_workMatrix.cwiseAbs().diagonal().maxCoeff();
bool finished = false;
while(!finished)
@ -734,16 +740,13 @@ JacobiSVD<MatrixType, QRPreconditioner>::compute(const MatrixType& matrix, unsig
// if this 2x2 sub-matrix is not diagonal already...
// notice that this comparison will evaluate to false if any NaN is involved, ensuring that NaN's don't
// keep us iterating forever. Similarly, small denormal numbers are considered zero.
RealScalar threshold = numext::maxi<RealScalar>(considerAsZero,
precision * numext::maxi<RealScalar>(abs(m_workMatrix.coeff(p,p)),
abs(m_workMatrix.coeff(q,q))));
// We compare both values to threshold instead of calling max to be robust to NaN (See bug 791)
RealScalar threshold = numext::maxi<RealScalar>(considerAsZero, precision * maxDiagEntry);
if(abs(m_workMatrix.coeff(p,q))>threshold || abs(m_workMatrix.coeff(q,p)) > threshold)
{
finished = false;
// perform SVD decomposition of 2x2 sub-matrix corresponding to indices p,q to make it diagonal
// the complex to real operation returns true is the updated 2x2 block is not already diagonal
if(internal::svd_precondition_2x2_block_to_be_real<MatrixType, QRPreconditioner>::run(m_workMatrix, *this, p, q, precision))
if(internal::svd_precondition_2x2_block_to_be_real<MatrixType, QRPreconditioner>::run(m_workMatrix, *this, p, q, maxDiagEntry))
{
JacobiRotation<RealScalar> j_left, j_right;
internal::real_2x2_jacobi_svd(m_workMatrix, p, q, &j_left, &j_right);
@ -754,6 +757,9 @@ JacobiSVD<MatrixType, QRPreconditioner>::compute(const MatrixType& matrix, unsig
m_workMatrix.applyOnTheRight(p,q,j_right);
if(computeV()) m_matrixV.applyOnTheRight(p,q,j_right);
// keep track of the largest diagonal coefficient
maxDiagEntry = numext::maxi(maxDiagEntry,numext::maxi(abs(m_workMatrix.coeff(p,p)), abs(m_workMatrix.coeff(q,q))));
}
}
}