Update RealQZ to reduce 2x2 diagonal block of T corresponding to non reduced diagonal block of S to positive diagonal form.

This step involve a real 2x2 SVD problem. The respective routine is thus in src/misc/ to be shared by both EVD and AVD modules.

Eigen/Eigenvalues

@@ -32,6 +32,7 @@
   * \endcode
   */
 
+#include "src/misc/RealSvd2x2.h"
 #include "src/Eigenvalues/Tridiagonalization.h"
 #include "src/Eigenvalues/RealSchur.h"
 #include "src/Eigenvalues/EigenSolver.h"

Eigen/SVD

@@ -31,6 +31,7 @@
   * \endcode
   */
 
+#include "src/misc/RealSvd2x2.h"
 #include "src/SVD/UpperBidiagonalization.h"
 #include "src/SVD/SVDBase.h"
 #include "src/SVD/JacobiSVD.h"

Eigen/src/Eigenvalues/RealQZ.h

@@ -552,7 +552,6 @@ namespace Eigen {
       m_T.coeffRef(l,l-1) = Scalar(0.0);
     }
 
-
   template<typename MatrixType>
     RealQZ<MatrixType>& RealQZ<MatrixType>::compute(const MatrixType& A_in, const MatrixType& B_in, bool computeQZ)
     {
@@ -616,6 +615,37 @@ namespace Eigen {
       }
       // check if we converged before reaching iterations limit
       m_info = (local_iter<m_maxIters) ? Success : NoConvergence;
+
+      // For each non triangular 2x2 diagonal block of S,
+      //    reduce the respective 2x2 diagonal block of T to positive diagonal form using 2x2 SVD.
+      // This step is not mandatory for QZ, but it does help further extraction of eigenvalues/eigenvectors,
+      // and is in par with Lapack/Matlab QZ.
+      if(m_info==Success)
+      {
+        for(Index i=0; i<dim-1; ++i)
+        {
+          if(m_S.coeff(i+1, i) != Scalar(0))
+          {
+            JacobiRotation<Scalar> j_left, j_right;
+            internal::real_2x2_jacobi_svd(m_T, i, i+1, &j_left, &j_right);
+
+            // Apply resulting Jacobi rotations
+            m_T.applyOnTheLeft(i,i+1,j_left);
+            m_T.applyOnTheRight(i,i+1,j_right);
+            m_S.applyOnTheLeft(i,i+1,j_left);
+            m_S.applyOnTheRight(i,i+1,j_right);
+            m_T(i,i+1) = Scalar(0);
+
+            if(m_computeQZ) {
+              m_Q.applyOnTheRight(i,i+1,j_left.transpose());
+              m_Z.applyOnTheLeft(i,i+1,j_right.transpose());
+            }
+
+            i++;
+          }
+        }
+      }
+
       return *this;
     } // end compute
 

Eigen/src/SVD/JacobiSVD.h

@@ -419,38 +419,6 @@ struct svd_precondition_2x2_block_to_be_real<MatrixType, QRPreconditioner, true>
   }
 };
 
-template<typename MatrixType, typename RealScalar, typename Index>
-void real_2x2_jacobi_svd(const MatrixType& matrix, Index p, Index q,
-                         JacobiRotation<RealScalar> *j_left,
-                         JacobiRotation<RealScalar> *j_right)
-{
-  using std::sqrt;
-  using std::abs;
-  Matrix<RealScalar,2,2> m;
-  m << numext::real(matrix.coeff(p,p)), numext::real(matrix.coeff(p,q)),
-       numext::real(matrix.coeff(q,p)), numext::real(matrix.coeff(q,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);
-    rot1.c() = RealScalar(1);
-  }
-  else
-  {
-    // If d!=0, then t/d cannot overflow because the magnitude of the
-    // entries forming d are not too small compared to the ones forming t.
-    RealScalar u = t / d;
-    RealScalar tmp = sqrt(RealScalar(1) + numext::abs2(u));
-    rot1.s() = RealScalar(1) / tmp;
-    rot1.c() = u / tmp;
-  }
-  m.applyOnTheLeft(0,1,rot1);
-  j_right->makeJacobi(m,0,1);
-  *j_left = rot1 * j_right->transpose();
-}
-
 template<typename _MatrixType, int QRPreconditioner> 
 struct traits<JacobiSVD<_MatrixType,QRPreconditioner> >
 {

Eigen/src/misc/RealSvd2x2.h

@@ -0,0 +1,54 @@
+// This file is part of Eigen, a lightweight C++ template library
+// for linear algebra.
+//
+// Copyright (C) 2009-2010 Benoit Jacob <jacob.benoit.1@gmail.com>
+// Copyright (C) 2013-2016 Gael Guennebaud <gael.guennebaud@inria.fr>
+//
+// This Source Code Form is subject to the terms of the Mozilla
+// Public License v. 2.0. If a copy of the MPL was not distributed
+// with this file, You can obtain one at http://mozilla.org/MPL/2.0/.
+
+#ifndef EIGEN_REALSVD2X2_H
+#define EIGEN_REALSVD2X2_H
+
+namespace Eigen {
+
+namespace internal {
+
+template<typename MatrixType, typename RealScalar, typename Index>
+void real_2x2_jacobi_svd(const MatrixType& matrix, Index p, Index q,
+                         JacobiRotation<RealScalar> *j_left,
+                         JacobiRotation<RealScalar> *j_right)
+{
+  using std::sqrt;
+  using std::abs;
+  Matrix<RealScalar,2,2> m;
+  m << numext::real(matrix.coeff(p,p)), numext::real(matrix.coeff(p,q)),
+       numext::real(matrix.coeff(q,p)), numext::real(matrix.coeff(q,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);
+    rot1.c() = RealScalar(1);
+  }
+  else
+  {
+    // If d!=0, then t/d cannot overflow because the magnitude of the
+    // entries forming d are not too small compared to the ones forming t.
+    RealScalar u = t / d;
+    RealScalar tmp = sqrt(RealScalar(1) + numext::abs2(u));
+    rot1.s() = RealScalar(1) / tmp;
+    rot1.c() = u / tmp;
+  }
+  m.applyOnTheLeft(0,1,rot1);
+  j_right->makeJacobi(m,0,1);
+  *j_left = rot1 * j_right->transpose();
+}
+
+} // end namespace internal
+
+} // end namespace Eigen
+
+#endif // EIGEN_REALSVD2X2_H