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Further refactoring of MatrixFunction<MatrixType, 1>
* move some data to member variables * split and/or rename member functions * document all members
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@ -116,8 +116,7 @@ class MatrixFunction
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/** \ingroup MatrixFunctions_Module
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* \brief Partial specialization of MatrixFunction for real matrices.
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* \internal
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* \brief Partial specialization of MatrixFunction for real matrices \internal
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*/
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template <typename MatrixType>
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class MatrixFunction<MatrixType, 0>
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@ -159,8 +158,7 @@ class MatrixFunction<MatrixType, 0>
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/** \ingroup MatrixFunctions_Module
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* \brief Partial specialization of MatrixFunction for complex matrices
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* \internal
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* \brief Partial specialization of MatrixFunction for complex matrices \internal
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*/
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template <typename MatrixType>
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class MatrixFunction<MatrixType, 1>
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@ -176,8 +174,8 @@ class MatrixFunction<MatrixType, 1>
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typedef typename ei_stem_function<Scalar>::type StemFunction;
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typedef Matrix<Scalar, Traits::RowsAtCompileTime, 1> VectorType;
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typedef Matrix<int, Traits::RowsAtCompileTime, 1> IntVectorType;
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typedef std::list<Scalar> listOfScalars;
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typedef std::list<listOfScalars> listOfLists;
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typedef std::list<Scalar> Cluster;
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typedef std::list<Cluster> ListOfClusters;
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typedef Matrix<Scalar, Dynamic, Dynamic, Options, RowsAtCompileTime, ColsAtCompileTime> DynMatrixType;
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public:
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@ -192,59 +190,173 @@ class MatrixFunction<MatrixType, 1>
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private:
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// Prevent copying
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MatrixFunction(const MatrixFunction&);
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MatrixFunction& operator=(const MatrixFunction&);
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void separateBlocksInSchur(MatrixType& T, MatrixType& U, VectorXi& blockSize);
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void permuteSchur(const IntVectorType& permutation, MatrixType& T, MatrixType& U);
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void swapEntriesInSchur(int index, MatrixType& T, MatrixType& U);
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void computeTriangular(const MatrixType& T, MatrixType& result, const VectorXi& blockSize);
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void computeBlockAtomic(const MatrixType& T, MatrixType& result, const VectorXi& blockSize);
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void computeSchurDecomposition(const MatrixType& A);
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void partitionEigenvalues();
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typename ListOfClusters::iterator findCluster(Scalar key);
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void computeClusterSize();
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void computeBlockStart();
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void constructPermutation();
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void permuteSchur();
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void swapEntriesInSchur(int index);
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void computeBlockAtomic();
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Block<MatrixType> block(const MatrixType& A, int i, int j);
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void computeOffDiagonal();
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DynMatrixType solveTriangularSylvester(const DynMatrixType& A, const DynMatrixType& B, const DynMatrixType& C);
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void divideInBlocks(const VectorType& v, listOfLists* result);
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void constructPermutation(const VectorType& diag, const listOfLists& blocks,
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VectorXi& blockSize, IntVectorType& permutation);
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StemFunction *m_f; /**< \brief Stem function for matrix function under consideration */
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MatrixType m_T; /**< \brief Triangular part of Schur decomposition */
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MatrixType m_U; /**< \brief Unitary part of Schur decomposition */
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MatrixType m_fT; /**< \brief %Matrix function applied to #m_T */
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ListOfClusters m_clusters; /**< \brief Partition of eigenvalues into clusters of ei'vals "close" to each other */
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VectorXi m_eivalToCluster; /**< \brief m_eivalToCluster[i] = j means i-th ei'val is in j-th cluster */
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VectorXi m_clusterSize; /**< \brief Number of eigenvalues in each clusters */
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VectorXi m_blockStart; /**< \brief Row index at which block corresponding to i-th cluster starts */
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IntVectorType m_permutation; /**< \brief Permutation which groups ei'vals in the same cluster together */
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/** \brief Maximum distance allowed between eigenvalues to be considered "close".
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*
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* This is morally a \c static \c const \c Scalar, but only
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* integers can be static constant class members in C++. The
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* separation constant is set to 0.01, a value taken from the
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* paper by Davies and Higham. */
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static const RealScalar separation() { return static_cast<RealScalar>(0.01); }
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StemFunction *m_f;
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};
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template <typename MatrixType>
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MatrixFunction<MatrixType,1>::MatrixFunction(const MatrixType& A, StemFunction f, MatrixType* result) :
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m_f(f)
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{
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if (A.rows() == 1) {
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result->resize(1,1);
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(*result)(0,0) = f(A(0,0), 0);
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} else {
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const ComplexSchur<MatrixType> schurOfA(A);
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MatrixType T = schurOfA.matrixT();
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MatrixType U = schurOfA.matrixU();
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VectorXi blockSize;
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separateBlocksInSchur(T, U, blockSize);
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MatrixType fT;
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computeTriangular(T, fT, blockSize);
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*result = U * fT * U.adjoint();
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computeSchurDecomposition(A);
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partitionEigenvalues();
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computeClusterSize();
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computeBlockStart();
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constructPermutation();
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permuteSchur();
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computeBlockAtomic();
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computeOffDiagonal();
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*result = m_U * m_fT * m_U.adjoint();
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}
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/** \brief Store the Schur decomposition of \p A in #m_T and #m_U */
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template <typename MatrixType>
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void MatrixFunction<MatrixType,1>::computeSchurDecomposition(const MatrixType& A)
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{
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const ComplexSchur<MatrixType> schurOfA(A);
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m_T = schurOfA.matrixT();
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m_U = schurOfA.matrixU();
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}
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/** \brief Partition eigenvalues in clusters of ei'vals close to each other
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*
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* This function computes #m_clusters. This is a partition of the
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* eigenvalues of #m_T in clusters, such that
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* # Any eigenvalue in a certain cluster is at most separation() away
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* from another eigenvalue in the same cluster.
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* # The distance between two eigenvalues in different clusters is
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* more than separation().
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* The implementation follows Algorithm 4.1 in the paper of Davies
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* and Higham.
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*/
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template <typename MatrixType>
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void MatrixFunction<MatrixType,1>::partitionEigenvalues()
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{
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const int rows = m_T.rows();
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VectorType diag = m_T.diagonal(); // contains eigenvalues of A
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for (int i=0; i<rows; ++i) {
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// Find set containing diag(i), adding a new set if necessary
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typename ListOfClusters::iterator qi = findCluster(diag(i));
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if (qi == m_clusters.end()) {
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Cluster l;
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l.push_back(diag(i));
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m_clusters.push_back(l);
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qi = m_clusters.end();
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--qi;
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}
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// Look for other element to add to the set
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for (int j=i+1; j<rows; ++j) {
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if (ei_abs(diag(j) - diag(i)) <= separation() && std::find(qi->begin(), qi->end(), diag(j)) == qi->end()) {
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typename ListOfClusters::iterator qj = findCluster(diag(j));
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if (qj == m_clusters.end()) {
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qi->push_back(diag(j));
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} else {
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qi->insert(qi->end(), qj->begin(), qj->end());
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m_clusters.erase(qj);
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}
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}
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}
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}
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}
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/** \brief Find cluster in #m_clusters containing some value
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* \param[in] key Value to find
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* \returns Iterator to cluster containing \c key, or
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* \c m_clusters.end() if no cluster in m_clusters contains \c key.
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*/
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template <typename MatrixType>
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void MatrixFunction<MatrixType,1>::separateBlocksInSchur(MatrixType& T, MatrixType& U, VectorXi& blockSize)
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typename MatrixFunction<MatrixType,1>::ListOfClusters::iterator MatrixFunction<MatrixType,1>::findCluster(Scalar key)
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{
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const VectorType d = T.diagonal();
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listOfLists blocks;
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divideInBlocks(d, &blocks);
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IntVectorType permutation;
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constructPermutation(d, blocks, blockSize, permutation);
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permuteSchur(permutation, T, U);
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typename Cluster::iterator j;
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for (typename ListOfClusters::iterator i = m_clusters.begin(); i != m_clusters.end(); ++i) {
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j = std::find(i->begin(), i->end(), key);
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if (j != i->end())
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return i;
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}
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return m_clusters.end();
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}
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/** \brief Compute #m_clusterSize and #m_eivalToCluster using #m_clusters */
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template <typename MatrixType>
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void MatrixFunction<MatrixType,1>::permuteSchur(const IntVectorType& permutation, MatrixType& T, MatrixType& U)
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void MatrixFunction<MatrixType,1>::computeClusterSize()
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{
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IntVectorType p = permutation;
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const int rows = m_T.rows();
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VectorType diag = m_T.diagonal();
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const int numClusters = m_clusters.size();
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m_clusterSize.setZero(numClusters);
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m_eivalToCluster.resize(rows);
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int clusterIndex = 0;
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for (typename ListOfClusters::const_iterator cluster = m_clusters.begin(); cluster != m_clusters.end(); ++cluster) {
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for (int i = 0; i < diag.rows(); ++i) {
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if (std::find(cluster->begin(), cluster->end(), diag(i)) != cluster->end()) {
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++m_clusterSize[clusterIndex];
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m_eivalToCluster[i] = clusterIndex;
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}
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}
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++clusterIndex;
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}
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}
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/** \brief Compute #m_blockStart using #m_clusterSize */
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template <typename MatrixType>
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void MatrixFunction<MatrixType,1>::computeBlockStart()
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{
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m_blockStart.resize(m_clusterSize.rows());
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m_blockStart(0) = 0;
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for (int i = 1; i < m_clusterSize.rows(); i++) {
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m_blockStart(i) = m_blockStart(i-1) + m_clusterSize(i-1);
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}
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}
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/** \brief Compute #m_permutation using #m_eivalToCluster and #m_blockStart */
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template <typename MatrixType>
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void MatrixFunction<MatrixType,1>::constructPermutation()
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{
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VectorXi indexNextEntry = m_blockStart;
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m_permutation.resize(m_T.rows());
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for (int i = 0; i < m_T.rows(); i++) {
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int cluster = m_eivalToCluster[i];
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m_permutation[i] = indexNextEntry[cluster];
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++indexNextEntry[cluster];
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}
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}
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/** \brief Permute Schur decomposition in #m_U and #m_T according to #m_permutation */
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template <typename MatrixType>
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void MatrixFunction<MatrixType,1>::permuteSchur()
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{
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IntVectorType p = m_permutation;
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for (int i = 0; i < p.rows() - 1; i++) {
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int j;
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for (j = i; j < p.rows(); j++) {
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@ -252,46 +364,70 @@ void MatrixFunction<MatrixType,1>::permuteSchur(const IntVectorType& permutation
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}
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ei_assert(p(j) == i);
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for (int k = j-1; k >= i; k--) {
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swapEntriesInSchur(k, T, U);
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swapEntriesInSchur(k);
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std::swap(p.coeffRef(k), p.coeffRef(k+1));
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}
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}
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}
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// swap T(index, index) and T(index+1, index+1)
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/** \brief Swap rows \a index and \a index+1 in Schur decomposition in #m_U and #m_T */
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template <typename MatrixType>
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void MatrixFunction<MatrixType,1>::swapEntriesInSchur(int index, MatrixType& T, MatrixType& U)
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void MatrixFunction<MatrixType,1>::swapEntriesInSchur(int index)
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{
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PlanarRotation<Scalar> rotation;
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rotation.makeGivens(T(index, index+1), T(index+1, index+1) - T(index, index));
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T.applyOnTheLeft(index, index+1, rotation.adjoint());
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T.applyOnTheRight(index, index+1, rotation);
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U.applyOnTheRight(index, index+1, rotation);
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rotation.makeGivens(m_T(index, index+1), m_T(index+1, index+1) - m_T(index, index));
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m_T.applyOnTheLeft(index, index+1, rotation.adjoint());
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m_T.applyOnTheRight(index, index+1, rotation);
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m_U.applyOnTheRight(index, index+1, rotation);
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}
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/** \brief Compute block diagonal part of #m_fT.
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*
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* This routine computes the matrix function #m_f applied to the block
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* diagonal part of #m_T, with the blocking given by #m_blockStart. The
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* result is stored in #m_fT. The off-diagonal parts of #m_fT are set
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* to zero.
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*/
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template <typename MatrixType>
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void MatrixFunction<MatrixType,1>::computeTriangular(const MatrixType& T, MatrixType& result, const VectorXi& blockSize)
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void MatrixFunction<MatrixType,1>::computeBlockAtomic()
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{
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MatrixType expT;
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ei_matrix_exponential(T, &expT);
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computeBlockAtomic(T, result, blockSize);
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VectorXi blockStart(blockSize.rows());
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blockStart(0) = 0;
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for (int i = 1; i < blockSize.rows(); i++) {
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blockStart(i) = blockStart(i-1) + blockSize(i-1);
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m_fT.resize(m_T.rows(), m_T.cols());
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m_fT.setZero();
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MatrixFunctionAtomic<DynMatrixType> mfa(m_f);
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for (int i = 0; i < m_clusterSize.rows(); ++i) {
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block(m_fT, i, i) = mfa.compute(block(m_T, i, i));
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}
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for (int diagIndex = 1; diagIndex < blockSize.rows(); diagIndex++) {
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for (int blockIndex = 0; blockIndex < blockSize.rows() - diagIndex; blockIndex++) {
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}
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/** \brief Return block of matrix according to blocking given by #m_blockStart */
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template <typename MatrixType>
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Block<MatrixType> MatrixFunction<MatrixType,1>::block(const MatrixType& A, int i, int j)
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{
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return A.block(m_blockStart(i), m_blockStart(j), m_clusterSize(i), m_clusterSize(j));
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}
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/** \brief Compute part of #m_fT above block diagonal.
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*
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* This routine assumes that the block diagonal part of #m_fT (which
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* equals #m_f applied to #m_T) has already been computed and computes
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* the part above the block diagonal. The part below the diagonal is
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* zero, because #m_T is upper triangular.
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*/
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template <typename MatrixType>
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void MatrixFunction<MatrixType,1>::computeOffDiagonal()
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{
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for (int diagIndex = 1; diagIndex < m_clusterSize.rows(); diagIndex++) {
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for (int blockIndex = 0; blockIndex < m_clusterSize.rows() - diagIndex; blockIndex++) {
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// compute (blockIndex, blockIndex+diagIndex) block
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DynMatrixType A = T.block(blockStart(blockIndex), blockStart(blockIndex), blockSize(blockIndex), blockSize(blockIndex));
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DynMatrixType B = -T.block(blockStart(blockIndex+diagIndex), blockStart(blockIndex+diagIndex), blockSize(blockIndex+diagIndex), blockSize(blockIndex+diagIndex));
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DynMatrixType C = result.block(blockStart(blockIndex), blockStart(blockIndex), blockSize(blockIndex), blockSize(blockIndex)) * T.block(blockStart(blockIndex), blockStart(blockIndex+diagIndex), blockSize(blockIndex), blockSize(blockIndex+diagIndex));
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C -= T.block(blockStart(blockIndex), blockStart(blockIndex+diagIndex), blockSize(blockIndex), blockSize(blockIndex+diagIndex)) * result.block(blockStart(blockIndex+diagIndex), blockStart(blockIndex+diagIndex), blockSize(blockIndex+diagIndex), blockSize(blockIndex+diagIndex));
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DynMatrixType A = block(m_T, blockIndex, blockIndex);
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DynMatrixType B = -block(m_T, blockIndex+diagIndex, blockIndex+diagIndex);
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DynMatrixType C = block(m_fT, blockIndex, blockIndex) * block(m_T, blockIndex, blockIndex+diagIndex);
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C -= block(m_T, blockIndex, blockIndex+diagIndex) * block(m_fT, blockIndex+diagIndex, blockIndex+diagIndex);
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for (int k = blockIndex + 1; k < blockIndex + diagIndex; k++) {
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C += result.block(blockStart(blockIndex), blockStart(k), blockSize(blockIndex), blockSize(k)) * T.block(blockStart(k), blockStart(blockIndex+diagIndex), blockSize(k), blockSize(blockIndex+diagIndex));
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C -= T.block(blockStart(blockIndex), blockStart(k), blockSize(blockIndex), blockSize(k)) * result.block(blockStart(k), blockStart(blockIndex+diagIndex), blockSize(k), blockSize(blockIndex+diagIndex));
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C += block(m_fT, blockIndex, k) * block(m_T, k, blockIndex+diagIndex);
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C -= block(m_T, blockIndex, k) * block(m_fT, k, blockIndex+diagIndex);
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}
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result.block(blockStart(blockIndex), blockStart(blockIndex+diagIndex), blockSize(blockIndex), blockSize(blockIndex+diagIndex)) = solveTriangularSylvester(A, B, C);
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block(m_fT, blockIndex, blockIndex+diagIndex) = solveTriangularSylvester(A, B, C);
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}
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}
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}
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@ -364,110 +500,14 @@ typename MatrixFunction<MatrixType,1>::DynMatrixType MatrixFunction<MatrixType,1
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}
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// does not touch irrelevant parts of T
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template <typename MatrixType>
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void MatrixFunction<MatrixType,1>::computeBlockAtomic(const MatrixType& T, MatrixType& result, const VectorXi& blockSize)
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{
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int blockStart = 0;
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result.resize(T.rows(), T.cols());
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result.setZero();
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MatrixFunctionAtomic<DynMatrixType> mfa(m_f);
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for (int i = 0; i < blockSize.rows(); i++) {
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result.block(blockStart, blockStart, blockSize(i), blockSize(i))
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= mfa.compute(T.block(blockStart, blockStart, blockSize(i), blockSize(i)));
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blockStart += blockSize(i);
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}
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}
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template <typename Scalar>
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typename std::list<std::list<Scalar> >::iterator ei_find_in_list_of_lists(typename std::list<std::list<Scalar> >& ll, Scalar x)
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{
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typename std::list<Scalar>::iterator j;
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for (typename std::list<std::list<Scalar> >::iterator i = ll.begin(); i != ll.end(); i++) {
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j = std::find(i->begin(), i->end(), x);
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if (j != i->end())
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return i;
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}
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return ll.end();
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}
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// Alg 4.1
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template <typename MatrixType>
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void MatrixFunction<MatrixType,1>::divideInBlocks(const VectorType& v, listOfLists* result)
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{
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const int n = v.rows();
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for (int i=0; i<n; i++) {
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// Find set containing v(i), adding a new set if necessary
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typename listOfLists::iterator qi = ei_find_in_list_of_lists(*result, v(i));
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if (qi == result->end()) {
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listOfScalars l;
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l.push_back(v(i));
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result->push_back(l);
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qi = result->end();
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qi--;
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}
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// Look for other element to add to the set
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for (int j=i+1; j<n; j++) {
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if (ei_abs(v(j) - v(i)) <= separation() && std::find(qi->begin(), qi->end(), v(j)) == qi->end()) {
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typename listOfLists::iterator qj = ei_find_in_list_of_lists(*result, v(j));
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if (qj == result->end()) {
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qi->push_back(v(j));
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} else {
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qi->insert(qi->end(), qj->begin(), qj->end());
|
||||
result->erase(qj);
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
// Construct permutation P, such that P(D) has eigenvalues clustered together
|
||||
template <typename MatrixType>
|
||||
void MatrixFunction<MatrixType,1>::constructPermutation(const VectorType& diag, const listOfLists& blocks,
|
||||
VectorXi& blockSize, IntVectorType& permutation)
|
||||
{
|
||||
const int n = diag.rows();
|
||||
const int numBlocks = blocks.size();
|
||||
|
||||
// For every block in blocks, mark and count the entries in diag that
|
||||
// appear in that block
|
||||
blockSize.setZero(numBlocks);
|
||||
IntVectorType entryToBlock(n);
|
||||
int blockIndex = 0;
|
||||
for (typename listOfLists::const_iterator block = blocks.begin(); block != blocks.end(); block++) {
|
||||
for (int i = 0; i < diag.rows(); i++) {
|
||||
if (std::find(block->begin(), block->end(), diag(i)) != block->end()) {
|
||||
blockSize[blockIndex]++;
|
||||
entryToBlock[i] = blockIndex;
|
||||
}
|
||||
}
|
||||
blockIndex++;
|
||||
}
|
||||
|
||||
// Compute index of first entry in every block as the sum of sizes
|
||||
// of all the preceding blocks
|
||||
VectorXi indexNextEntry(numBlocks);
|
||||
indexNextEntry[0] = 0;
|
||||
for (blockIndex = 1; blockIndex < numBlocks; blockIndex++) {
|
||||
indexNextEntry[blockIndex] = indexNextEntry[blockIndex-1] + blockSize[blockIndex-1];
|
||||
}
|
||||
|
||||
// Construct permutation
|
||||
permutation.resize(n);
|
||||
for (int i = 0; i < n; i++) {
|
||||
int block = entryToBlock[i];
|
||||
permutation[i] = indexNextEntry[block];
|
||||
indexNextEntry[block]++;
|
||||
}
|
||||
}
|
||||
|
||||
template <typename Derived>
|
||||
EIGEN_STRONG_INLINE void ei_matrix_function(const MatrixBase<Derived>& M,
|
||||
typename ei_stem_function<typename ei_traits<Derived>::Scalar>::type f,
|
||||
typename MatrixBase<Derived>::PlainMatrixType* result)
|
||||
{
|
||||
ei_assert(M.rows() == M.cols());
|
||||
MatrixFunction<typename MatrixBase<Derived>::PlainMatrixType>(M, f, result);
|
||||
typedef typename MatrixBase<Derived>::PlainMatrixType PlainMatrixType;
|
||||
MatrixFunction<PlainMatrixType>(M, f, result);
|
||||
}
|
||||
|
||||
#endif // EIGEN_MATRIX_FUNCTION
|
||||
|
Loading…
Reference in New Issue
Block a user