package com.revolsys.math.matrix; import com.revolsys.util.MathUtil; /** Eigenvalues and eigenvectors of a real matrix. <P> If A is symmetric, then A = V*D*V' where the eigenvalue matrix D is diagonal and the eigenvector matrix V is orthogonal. I.e. A = V.times(D.times(V.transpose())) and V.times(V.transpose()) equals the identity matrix. <P> If A is not symmetric, then the eigenvalue matrix D is block diagonal with the real eigenvalues in 1-by-1 blocks and any complex eigenvalues, lambda + i*mu, in 2-by-2 blocks, [lambda, mu; -mu, lambda]. The columns of V represent the eigenvectors in the sense that A*V = V*D, i.e. A.times(V) equals V.times(D). The matrix V may be badly conditioned, or even singular, so the validity of the equation A = V*D*inverse(V) depends upon V.cond(). **/ public class EigenvalueDecomposition implements java.io.Serializable { /* * ------------------------ Class variables ------------------------ */ private static final long serialVersionUID = 1; private transient double cdivr, cdivi; /** Arrays for internal storage of eigenvalues. @serial internal storage of eigenvalues. */ private final double[] d, e; /** Array for internal storage of nonsymmetric Hessenberg form. @serial internal storage of nonsymmetric Hessenberg form. */ private double[][] H; /** Symmetry flag. @serial internal symmetry flag. */ private boolean issymmetric; /** Row and column dimension (square matrix). @serial matrix dimension. */ private final int n; /* * ------------------------ Private Methods ------------------------ */ // Symmetric Householder reduction to tridiagonal form. /** Working storage for nonsymmetric algorithm. @serial working storage for nonsymmetric algorithm. */ private double[] ort; // Symmetric tridiagonal QL algorithm. /** Array for internal storage of eigenvectors. @serial internal storage of eigenvectors. */ private final double[][] V; // Nonsymmetric reduction to Hessenberg form. /** Check for symmetry, then construct the eigenvalue decomposition Structure to access D and V. @param Arg Square matrix */ public EigenvalueDecomposition(final Matrix Arg) { final double[][] A = Arg.getArray(); this.n = Arg.getColumnCount(); this.V = new double[this.n][this.n]; this.d = new double[this.n]; this.e = new double[this.n]; this.issymmetric = true; for (int j = 0; j < this.n & this.issymmetric; j++) { for (int i = 0; i < this.n & this.issymmetric; i++) { this.issymmetric = A[i][j] == A[j][i]; } } if (this.issymmetric) { for (int i = 0; i < this.n; i++) { for (int j = 0; j < this.n; j++) { this.V[i][j] = A[i][j]; } } // Tridiagonalize. tred2(); // Diagonalize. tql2(); } else { this.H = new double[this.n][this.n]; this.ort = new double[this.n]; for (int j = 0; j < this.n; j++) { for (int i = 0; i < this.n; i++) { this.H[i][j] = A[i][j]; } } // Reduce to Hessenberg form. orthes(); // Reduce Hessenberg to real Schur form. hqr2(); } } // Complex scalar division. private void cdiv(final double xr, final double xi, final double yr, final double yi) { double r, d; if (Math.abs(yr) > Math.abs(yi)) { r = yi / yr; d = yr + r * yi; this.cdivr = (xr + r * xi) / d; this.cdivi = (xi - r * xr) / d; } else { r = yr / yi; d = yi + r * yr; this.cdivr = (r * xr + xi) / d; this.cdivi = (r * xi - xr) / d; } } /** Return the block diagonal eigenvalue matrix @return D */ public Matrix getD() { final Matrix X = new Matrix(this.n, this.n); final double[][] D = X.getArray(); for (int i = 0; i < this.n; i++) { for (int j = 0; j < this.n; j++) { D[i][j] = 0.0; } D[i][i] = this.d[i]; if (this.e[i] > 0) { D[i][i + 1] = this.e[i]; } else if (this.e[i] < 0) { D[i][i - 1] = this.e[i]; } } return X; } // Nonsymmetric reduction from Hessenberg to real Schur form. /** Return the imaginary parts of the eigenvalues @return imag(diag(D)) */ public double[] getImagEigenvalues() { return this.e; } /* * ------------------------ Constructor ------------------------ */ /** Return the real parts of the eigenvalues @return real(diag(D)) */ public double[] getRealEigenvalues() { return this.d; } /* * ------------------------ Public Methods ------------------------ */ /** Return the eigenvector matrix @return V */ public Matrix getV() { return new Matrix(this.V, this.n, this.n); } private void hqr2() { // This is derived from the Algol procedure hqr2, // by Martin and Wilkinson, Handbook for Auto. Comp., // Vol.ii-Linear Algebra, and the corresponding // Fortran subroutine in EISPACK. // Initialize final int nn = this.n; int n = nn - 1; final int low = 0; final int high = nn - 1; final double eps = Math.pow(2.0, -52.0); double exshift = 0.0; double p = 0, q = 0, r = 0, s = 0, z = 0, t, w, x, y; // Store roots isolated by balanc and compute matrix norm double norm = 0.0; for (int i = 0; i < nn; i++) { if (i < low | i > high) { this.d[i] = this.H[i][i]; this.e[i] = 0.0; } for (int j = Math.max(i - 1, 0); j < nn; j++) { norm = norm + Math.abs(this.H[i][j]); } } // Outer loop over eigenvalue index int iter = 0; while (n >= low) { // Look for single small sub-diagonal element int l = n; while (l > low) { s = Math.abs(this.H[l - 1][l - 1]) + Math.abs(this.H[l][l]); if (s == 0.0) { s = norm; } if (Math.abs(this.H[l][l - 1]) < eps * s) { break; } l--; } // Check for convergence // One root found if (l == n) { this.H[n][n] = this.H[n][n] + exshift; this.d[n] = this.H[n][n]; this.e[n] = 0.0; n--; iter = 0; // Two roots found } else if (l == n - 1) { w = this.H[n][n - 1] * this.H[n - 1][n]; p = (this.H[n - 1][n - 1] - this.H[n][n]) / 2.0; q = p * p + w; z = Math.sqrt(Math.abs(q)); this.H[n][n] = this.H[n][n] + exshift; this.H[n - 1][n - 1] = this.H[n - 1][n - 1] + exshift; x = this.H[n][n]; // Real pair if (q >= 0) { if (p >= 0) { z = p + z; } else { z = p - z; } this.d[n - 1] = x + z; this.d[n] = this.d[n - 1]; if (z != 0.0) { this.d[n] = x - w / z; } this.e[n - 1] = 0.0; this.e[n] = 0.0; x = this.H[n][n - 1]; s = Math.abs(x) + Math.abs(z); p = x / s; q = z / s; r = Math.sqrt(p * p + q * q); p = p / r; q = q / r; // Row modification for (int j = n - 1; j < nn; j++) { z = this.H[n - 1][j]; this.H[n - 1][j] = q * z + p * this.H[n][j]; this.H[n][j] = q * this.H[n][j] - p * z; } // Column modification for (int i = 0; i <= n; i++) { z = this.H[i][n - 1]; this.H[i][n - 1] = q * z + p * this.H[i][n]; this.H[i][n] = q * this.H[i][n] - p * z; } // Accumulate transformations for (int i = low; i <= high; i++) { z = this.V[i][n - 1]; this.V[i][n - 1] = q * z + p * this.V[i][n]; this.V[i][n] = q * this.V[i][n] - p * z; } // Complex pair } else { this.d[n - 1] = x + p; this.d[n] = x + p; this.e[n - 1] = z; this.e[n] = -z; } n = n - 2; iter = 0; // No convergence yet } else { // Form shift x = this.H[n][n]; y = 0.0; w = 0.0; if (l < n) { y = this.H[n - 1][n - 1]; w = this.H[n][n - 1] * this.H[n - 1][n]; } // Wilkinson's original ad hoc shift if (iter == 10) { exshift += x; for (int i = low; i <= n; i++) { this.H[i][i] -= x; } s = Math.abs(this.H[n][n - 1]) + Math.abs(this.H[n - 1][n - 2]); x = y = 0.75 * s; w = -0.4375 * s * s; } // MATLAB's new ad hoc shift if (iter == 30) { s = (y - x) / 2.0; s = s * s + w; if (s > 0) { s = Math.sqrt(s); if (y < x) { s = -s; } s = x - w / ((y - x) / 2.0 + s); for (int i = low; i <= n; i++) { this.H[i][i] -= s; } exshift += s; x = y = w = 0.964; } } iter = iter + 1; // (Could check iteration count here.) // Look for two consecutive small sub-diagonal elements int m = n - 2; while (m >= l) { z = this.H[m][m]; r = x - z; s = y - z; p = (r * s - w) / this.H[m + 1][m] + this.H[m][m + 1]; q = this.H[m + 1][m + 1] - z - r - s; r = this.H[m + 2][m + 1]; s = Math.abs(p) + Math.abs(q) + Math.abs(r); p = p / s; q = q / s; r = r / s; if (m == l) { break; } if (Math.abs(this.H[m][m - 1]) * (Math.abs(q) + Math.abs(r)) < eps * (Math.abs(p) * (Math.abs(this.H[m - 1][m - 1]) + Math.abs(z) + Math.abs(this.H[m + 1][m + 1])))) { break; } m--; } for (int i = m + 2; i <= n; i++) { this.H[i][i - 2] = 0.0; if (i > m + 2) { this.H[i][i - 3] = 0.0; } } // Double QR step involving rows l:n and columns m:n for (int k = m; k <= n - 1; k++) { final boolean notlast = k != n - 1; if (k != m) { p = this.H[k][k - 1]; q = this.H[k + 1][k - 1]; r = notlast ? this.H[k + 2][k - 1] : 0.0; x = Math.abs(p) + Math.abs(q) + Math.abs(r); if (x == 0.0) { continue; } p = p / x; q = q / x; r = r / x; } s = Math.sqrt(p * p + q * q + r * r); if (p < 0) { s = -s; } if (s != 0) { if (k != m) { this.H[k][k - 1] = -s * x; } else if (l != m) { this.H[k][k - 1] = -this.H[k][k - 1]; } p = p + s; x = p / s; y = q / s; z = r / s; q = q / p; r = r / p; // Row modification for (int j = k; j < nn; j++) { p = this.H[k][j] + q * this.H[k + 1][j]; if (notlast) { p = p + r * this.H[k + 2][j]; this.H[k + 2][j] = this.H[k + 2][j] - p * z; } this.H[k][j] = this.H[k][j] - p * x; this.H[k + 1][j] = this.H[k + 1][j] - p * y; } // Column modification for (int i = 0; i <= Math.min(n, k + 3); i++) { p = x * this.H[i][k] + y * this.H[i][k + 1]; if (notlast) { p = p + z * this.H[i][k + 2]; this.H[i][k + 2] = this.H[i][k + 2] - p * r; } this.H[i][k] = this.H[i][k] - p; this.H[i][k + 1] = this.H[i][k + 1] - p * q; } // Accumulate transformations for (int i = low; i <= high; i++) { p = x * this.V[i][k] + y * this.V[i][k + 1]; if (notlast) { p = p + z * this.V[i][k + 2]; this.V[i][k + 2] = this.V[i][k + 2] - p * r; } this.V[i][k] = this.V[i][k] - p; this.V[i][k + 1] = this.V[i][k + 1] - p * q; } } // (s != 0) } // k loop } // check convergence } // while (n >= low) // Backsubstitute to find vectors of upper triangular form if (norm == 0.0) { return; } for (n = nn - 1; n >= 0; n--) { p = this.d[n]; q = this.e[n]; // Real vector if (q == 0) { int l = n; this.H[n][n] = 1.0; for (int i = n - 1; i >= 0; i--) { w = this.H[i][i] - p; r = 0.0; for (int j = l; j <= n; j++) { r = r + this.H[i][j] * this.H[j][n]; } if (this.e[i] < 0.0) { z = w; s = r; } else { l = i; if (this.e[i] == 0.0) { if (w != 0.0) { this.H[i][n] = -r / w; } else { this.H[i][n] = -r / (eps * norm); } // Solve real equations } else { x = this.H[i][i + 1]; y = this.H[i + 1][i]; q = (this.d[i] - p) * (this.d[i] - p) + this.e[i] * this.e[i]; t = (x * s - z * r) / q; this.H[i][n] = t; if (Math.abs(x) > Math.abs(z)) { this.H[i + 1][n] = (-r - w * t) / x; } else { this.H[i + 1][n] = (-s - y * t) / z; } } // Overflow control t = Math.abs(this.H[i][n]); if (eps * t * t > 1) { for (int j = i; j <= n; j++) { this.H[j][n] = this.H[j][n] / t; } } } } // Complex vector } else if (q < 0) { int l = n - 1; // Last vector component imaginary so matrix is triangular if (Math.abs(this.H[n][n - 1]) > Math.abs(this.H[n - 1][n])) { this.H[n - 1][n - 1] = q / this.H[n][n - 1]; this.H[n - 1][n] = -(this.H[n][n] - p) / this.H[n][n - 1]; } else { cdiv(0.0, -this.H[n - 1][n], this.H[n - 1][n - 1] - p, q); this.H[n - 1][n - 1] = this.cdivr; this.H[n - 1][n] = this.cdivi; } this.H[n][n - 1] = 0.0; this.H[n][n] = 1.0; for (int i = n - 2; i >= 0; i--) { double ra, sa, vr, vi; ra = 0.0; sa = 0.0; for (int j = l; j <= n; j++) { ra = ra + this.H[i][j] * this.H[j][n - 1]; sa = sa + this.H[i][j] * this.H[j][n]; } w = this.H[i][i] - p; if (this.e[i] < 0.0) { z = w; r = ra; s = sa; } else { l = i; if (this.e[i] == 0) { cdiv(-ra, -sa, w, q); this.H[i][n - 1] = this.cdivr; this.H[i][n] = this.cdivi; } else { // Solve complex equations x = this.H[i][i + 1]; y = this.H[i + 1][i]; vr = (this.d[i] - p) * (this.d[i] - p) + this.e[i] * this.e[i] - q * q; vi = (this.d[i] - p) * 2.0 * q; if (vr == 0.0 & vi == 0.0) { vr = eps * norm * (Math.abs(w) + Math.abs(q) + Math.abs(x) + Math.abs(y) + Math.abs(z)); } cdiv(x * r - z * ra + q * sa, x * s - z * sa - q * ra, vr, vi); this.H[i][n - 1] = this.cdivr; this.H[i][n] = this.cdivi; if (Math.abs(x) > Math.abs(z) + Math.abs(q)) { this.H[i + 1][n - 1] = (-ra - w * this.H[i][n - 1] + q * this.H[i][n]) / x; this.H[i + 1][n] = (-sa - w * this.H[i][n] - q * this.H[i][n - 1]) / x; } else { cdiv(-r - y * this.H[i][n - 1], -s - y * this.H[i][n], z, q); this.H[i + 1][n - 1] = this.cdivr; this.H[i + 1][n] = this.cdivi; } } // Overflow control t = Math.max(Math.abs(this.H[i][n - 1]), Math.abs(this.H[i][n])); if (eps * t * t > 1) { for (int j = i; j <= n; j++) { this.H[j][n - 1] = this.H[j][n - 1] / t; this.H[j][n] = this.H[j][n] / t; } } } } } } // Vectors of isolated roots for (int i = 0; i < nn; i++) { if (i < low | i > high) { for (int j = i; j < nn; j++) { this.V[i][j] = this.H[i][j]; } } } // Back transformation to get eigenvectors of original matrix for (int j = nn - 1; j >= low; j--) { for (int i = low; i <= high; i++) { z = 0.0; for (int k = low; k <= Math.min(j, high); k++) { z = z + this.V[i][k] * this.H[k][j]; } this.V[i][j] = z; } } } private void orthes() { // This is derived from the Algol procedures orthes and ortran, // by Martin and Wilkinson, Handbook for Auto. Comp., // Vol.ii-Linear Algebra, and the corresponding // Fortran subroutines in EISPACK. final int low = 0; final int high = this.n - 1; for (int m = low + 1; m <= high - 1; m++) { // Scale column. double scale = 0.0; for (int i = m; i <= high; i++) { scale = scale + Math.abs(this.H[i][m - 1]); } if (scale != 0.0) { // Compute Householder transformation. double h = 0.0; for (int i = high; i >= m; i--) { this.ort[i] = this.H[i][m - 1] / scale; h += this.ort[i] * this.ort[i]; } double g = Math.sqrt(h); if (this.ort[m] > 0) { g = -g; } h = h - this.ort[m] * g; this.ort[m] = this.ort[m] - g; // Apply Householder similarity transformation // H = (I-u*u'/h)*H*(I-u*u')/h) for (int j = m; j < this.n; j++) { double f = 0.0; for (int i = high; i >= m; i--) { f += this.ort[i] * this.H[i][j]; } f = f / h; for (int i = m; i <= high; i++) { this.H[i][j] -= f * this.ort[i]; } } for (int i = 0; i <= high; i++) { double f = 0.0; for (int j = high; j >= m; j--) { f += this.ort[j] * this.H[i][j]; } f = f / h; for (int j = m; j <= high; j++) { this.H[i][j] -= f * this.ort[j]; } } this.ort[m] = scale * this.ort[m]; this.H[m][m - 1] = scale * g; } } // Accumulate transformations (Algol's ortran). for (int i = 0; i < this.n; i++) { for (int j = 0; j < this.n; j++) { this.V[i][j] = i == j ? 1.0 : 0.0; } } for (int m = high - 1; m >= low + 1; m--) { if (this.H[m][m - 1] != 0.0) { for (int i = m + 1; i <= high; i++) { this.ort[i] = this.H[i][m - 1]; } for (int j = m; j <= high; j++) { double g = 0.0; for (int i = m; i <= high; i++) { g += this.ort[i] * this.V[i][j]; } // Double division avoids possible underflow g = g / this.ort[m] / this.H[m][m - 1]; for (int i = m; i <= high; i++) { this.V[i][j] += g * this.ort[i]; } } } } } private void tql2() { // This is derived from the Algol procedures tql2, by // Bowdler, Martin, Reinsch, and Wilkinson, Handbook for // Auto. Comp., Vol.ii-Linear Algebra, and the corresponding // Fortran subroutine in EISPACK. for (int i = 1; i < this.n; i++) { this.e[i - 1] = this.e[i]; } this.e[this.n - 1] = 0.0; double f = 0.0; double tst1 = 0.0; final double eps = Math.pow(2.0, -52.0); for (int l = 0; l < this.n; l++) { // Find small subdiagonal element tst1 = Math.max(tst1, Math.abs(this.d[l]) + Math.abs(this.e[l])); int m = l; while (m < this.n) { if (Math.abs(this.e[m]) <= eps * tst1) { break; } m++; } // If m == l, d[l] is an eigenvalue, // otherwise, iterate. if (m > l) { int iter = 0; do { iter = iter + 1; // (Could check iteration count here.) // Compute implicit shift double g = this.d[l]; double p = (this.d[l + 1] - g) / (2.0 * this.e[l]); double r = MathUtil.hypot(p, 1.0); if (p < 0) { r = -r; } this.d[l] = this.e[l] / (p + r); this.d[l + 1] = this.e[l] * (p + r); final double dl1 = this.d[l + 1]; double h = g - this.d[l]; for (int i = l + 2; i < this.n; i++) { this.d[i] -= h; } f = f + h; // Implicit QL transformation. p = this.d[m]; double c = 1.0; double c2 = c; double c3 = c; final double el1 = this.e[l + 1]; double s = 0.0; double s2 = 0.0; for (int i = m - 1; i >= l; i--) { c3 = c2; c2 = c; s2 = s; g = c * this.e[i]; h = c * p; r = MathUtil.hypot(p, this.e[i]); this.e[i + 1] = s * r; s = this.e[i] / r; c = p / r; p = c * this.d[i] - s * g; this.d[i + 1] = h + s * (c * g + s * this.d[i]); // Accumulate transformation. for (int k = 0; k < this.n; k++) { h = this.V[k][i + 1]; this.V[k][i + 1] = s * this.V[k][i] + c * h; this.V[k][i] = c * this.V[k][i] - s * h; } } p = -s * s2 * c3 * el1 * this.e[l] / dl1; this.e[l] = s * p; this.d[l] = c * p; // Check for convergence. } while (Math.abs(this.e[l]) > eps * tst1); } this.d[l] = this.d[l] + f; this.e[l] = 0.0; } // Sort eigenvalues and corresponding vectors. for (int i = 0; i < this.n - 1; i++) { int k = i; double p = this.d[i]; for (int j = i + 1; j < this.n; j++) { if (this.d[j] < p) { k = j; p = this.d[j]; } } if (k != i) { this.d[k] = this.d[i]; this.d[i] = p; for (int j = 0; j < this.n; j++) { p = this.V[j][i]; this.V[j][i] = this.V[j][k]; this.V[j][k] = p; } } } } private void tred2() { // This is derived from the Algol procedures tred2 by // Bowdler, Martin, Reinsch, and Wilkinson, Handbook for // Auto. Comp., Vol.ii-Linear Algebra, and the corresponding // Fortran subroutine in EISPACK. for (int j = 0; j < this.n; j++) { this.d[j] = this.V[this.n - 1][j]; } // Householder reduction to tridiagonal form. for (int i = this.n - 1; i > 0; i--) { // Scale to avoid under/overflow. double scale = 0.0; double h = 0.0; for (int k = 0; k < i; k++) { scale = scale + Math.abs(this.d[k]); } if (scale == 0.0) { this.e[i] = this.d[i - 1]; for (int j = 0; j < i; j++) { this.d[j] = this.V[i - 1][j]; this.V[i][j] = 0.0; this.V[j][i] = 0.0; } } else { // Generate Householder vector. for (int k = 0; k < i; k++) { this.d[k] /= scale; h += this.d[k] * this.d[k]; } double f = this.d[i - 1]; double g = Math.sqrt(h); if (f > 0) { g = -g; } this.e[i] = scale * g; h = h - f * g; this.d[i - 1] = f - g; for (int j = 0; j < i; j++) { this.e[j] = 0.0; } // Apply similarity transformation to remaining columns. for (int j = 0; j < i; j++) { f = this.d[j]; this.V[j][i] = f; g = this.e[j] + this.V[j][j] * f; for (int k = j + 1; k <= i - 1; k++) { g += this.V[k][j] * this.d[k]; this.e[k] += this.V[k][j] * f; } this.e[j] = g; } f = 0.0; for (int j = 0; j < i; j++) { this.e[j] /= h; f += this.e[j] * this.d[j]; } final double hh = f / (h + h); for (int j = 0; j < i; j++) { this.e[j] -= hh * this.d[j]; } for (int j = 0; j < i; j++) { f = this.d[j]; g = this.e[j]; for (int k = j; k <= i - 1; k++) { this.V[k][j] -= f * this.e[k] + g * this.d[k]; } this.d[j] = this.V[i - 1][j]; this.V[i][j] = 0.0; } } this.d[i] = h; } // Accumulate transformations. for (int i = 0; i < this.n - 1; i++) { this.V[this.n - 1][i] = this.V[i][i]; this.V[i][i] = 1.0; final double h = this.d[i + 1]; if (h != 0.0) { for (int k = 0; k <= i; k++) { this.d[k] = this.V[k][i + 1] / h; } for (int j = 0; j <= i; j++) { double g = 0.0; for (int k = 0; k <= i; k++) { g += this.V[k][i + 1] * this.V[k][j]; } for (int k = 0; k <= i; k++) { this.V[k][j] -= g * this.d[k]; } } } for (int k = 0; k <= i; k++) { this.V[k][i + 1] = 0.0; } } for (int j = 0; j < this.n; j++) { this.d[j] = this.V[this.n - 1][j]; this.V[this.n - 1][j] = 0.0; } this.V[this.n - 1][this.n - 1] = 1.0; this.e[0] = 0.0; } }