Detailed Description

Computes eigenvalues and eigenvectors of selfadjoint matrices

Template Parameters:

_MatrixType the type of the matrix of which we are computing the eigendecomposition; this is expected to be an instantiation of the Matrix class template.

A matrix $ A $ is selfadjoint if it equals its adjoint. For real matrices, this means that the matrix is symmetric: it equals its transpose. This class computes the eigenvalues and eigenvectors of a selfadjoint matrix. These are the scalars $\lambda$ and vectors $ v $ such that $Av = \lambda v$ . The eigenvalues of a selfadjoint matrix are always real. If $ D $ is a diagonal matrix with the eigenvalues on the diagonal, and $ V $ is a matrix with the eigenvectors as its columns, then $A = V D V^{-1}$ (for selfadjoint matrices, the matrix $ V $ is always invertible). This is called the eigendecomposition.

The algorithm exploits the fact that the matrix is selfadjoint, making it faster and more accurate than the general purpose eigenvalue algorithms implemented in EigenSolver and ComplexEigenSolver.

Only the lower triangular part of the input matrix is referenced.

Call the function compute() to compute the eigenvalues and eigenvectors of a given matrix. Alternatively, you can use the SelfAdjointEigenSolver(const MatrixType&, int) constructor which computes the eigenvalues and eigenvectors at construction time. Once the eigenvalue and eigenvectors are computed, they can be retrieved with the eigenvalues() and eigenvectors() functions.

The documentation for SelfAdjointEigenSolver(const MatrixType&, int) contains an example of the typical use of this class.

To solve the generalized eigenvalue problem $Av = \lambda Bv$ and the likes, see the class GeneralizedSelfAdjointEigenSolver.

See also:: MatrixBase::eigenvalues(), class EigenSolver, class ComplexEigenSolver

Definition at line 33 of file Eigenvalues.

Inheritance diagram for Eigen::SelfAdjointEigenSolver:

[legend]

List of all members.

Public Types
enum	{ Size = MatrixType::RowsAtCompileTime, ColsAtCompileTime = MatrixType::ColsAtCompileTime, Options = MatrixType::Options, MaxColsAtCompileTime = MatrixType::MaxColsAtCompileTime }
typedef _MatrixType	MatrixType
typedef MatrixType::Scalar	Scalar
	Scalar type for matrices of type `_MatrixType`.
typedef MatrixType::Index	Index
typedef NumTraits< Scalar >::Real	RealScalar
	Real scalar type for `_MatrixType`.
typedef internal::plain_col_type < MatrixType, RealScalar > ::type	RealVectorType
	Type for vector of eigenvalues as returned by eigenvalues().
typedef Tridiagonalization < MatrixType >	TridiagonalizationType
Public Member Functions
	SelfAdjointEigenSolver ()
	Default constructor for fixed-size matrices.
	SelfAdjointEigenSolver (Index size)
	Constructor, pre-allocates memory for dynamic-size matrices.
	SelfAdjointEigenSolver (const MatrixType &matrix, int options=ComputeEigenvectors)
	Constructor; computes eigendecomposition of given matrix.
SelfAdjointEigenSolver &	compute (const MatrixType &matrix, int options=ComputeEigenvectors)
	Computes eigendecomposition of given matrix.
const MatrixType &	eigenvectors () const
	Returns the eigenvectors of given matrix.
const RealVectorType &	eigenvalues () const
	Returns the eigenvalues of given matrix.
MatrixType	operatorSqrt () const
	Computes the positive-definite square root of the matrix.
MatrixType	operatorInverseSqrt () const
	Computes the inverse square root of the matrix.
ComputationInfo	info () const
	Reports whether previous computation was successful.
Static Public Attributes
static const int	m_maxIterations = 30
	Maximum number of iterations.
Protected Attributes
MatrixType	m_eivec
RealVectorType	m_eivalues
TridiagonalizationType::SubDiagonalType	m_subdiag
ComputationInfo	m_info
bool	m_isInitialized
bool	m_eigenvectorsOk

Member Typedef Documentation

typedef MatrixType::Index Eigen::SelfAdjointEigenSolver::Index

Reimplemented in Eigen::GeneralizedSelfAdjointEigenSolver.

Definition at line 92 of file Eigenvalues.

typedef _MatrixType Eigen::SelfAdjointEigenSolver::MatrixType

Reimplemented in Eigen::GeneralizedSelfAdjointEigenSolver.

Definition at line 82 of file Eigenvalues.

typedef NumTraits<Scalar>::Real Eigen::SelfAdjointEigenSolver::RealScalar

Real scalar type for _MatrixType.

This is just Scalar if Scalar is real (e.g., float or double), and the type of the real part of Scalar if Scalar is complex.

Definition at line 100 of file Eigenvalues.

typedef internal::plain_col_type<MatrixType, RealScalar>::type Eigen::SelfAdjointEigenSolver::RealVectorType

Type for vector of eigenvalues as returned by eigenvalues().

This is a column vector with entries of type RealScalar. The length of the vector is the size of _MatrixType.

Definition at line 107 of file Eigenvalues.

typedef MatrixType::Scalar Eigen::SelfAdjointEigenSolver::Scalar

Scalar type for matrices of type _MatrixType.

Definition at line 91 of file Eigenvalues.

typedef Tridiagonalization<MatrixType> Eigen::SelfAdjointEigenSolver::TridiagonalizationType

Definition at line 108 of file Eigenvalues.

Member Enumeration Documentation

anonymous enum

Enumerator:

Size
ColsAtCompileTime
Options
MaxColsAtCompileTime

Definition at line 83 of file Eigenvalues.

Constructor & Destructor Documentation

Eigen::SelfAdjointEigenSolver::SelfAdjointEigenSolver ( ) [inline]

Default constructor for fixed-size matrices.

The default constructor is useful in cases in which the user intends to perform decompositions via compute(). This constructor can only be used if _MatrixType is a fixed-size matrix; use SelfAdjointEigenSolver(Index) for dynamic-size matrices.

Example:

Output:

Definition at line 120 of file Eigenvalues.

Eigen::SelfAdjointEigenSolver::SelfAdjointEigenSolver ( Index size ) [inline]

Constructor, pre-allocates memory for dynamic-size matrices.

Parameters:

[in] size Positive integer, size of the matrix whose eigenvalues and eigenvectors will be computed.

This constructor is useful for dynamic-size matrices, when the user intends to perform decompositions via compute(). The size parameter is only used as a hint. It is not an error to give a wrong size, but it may impair performance.

See also:: compute() for an example

Definition at line 139 of file Eigenvalues.

Eigen::SelfAdjointEigenSolver::SelfAdjointEigenSolver	(	const MatrixType &	matrix,
		int	options = `ComputeEigenvectors`
	)		`[inline]`

Constructor; computes eigendecomposition of given matrix.

Parameters:

[in]	matrix	Selfadjoint matrix whose eigendecomposition is to be computed. Only the lower triangular part of the matrix is referenced.
[in]	options	Can be ComputeEigenvectors (default) or EigenvaluesOnly.

This constructor calls compute(const MatrixType&, int) to compute the eigenvalues of the matrix matrix. The eigenvectors are computed if options equals ComputeEigenvectors.

Example:

Output:

See also:: compute(const MatrixType&, int)

Definition at line 161 of file Eigenvalues.

Member Function Documentation

SelfAdjointEigenSolver< MatrixType > & Eigen::SelfAdjointEigenSolver::compute	(	const MatrixType &	matrix,
		int	options = `ComputeEigenvectors`
	)

Computes eigendecomposition of given matrix.

Parameters:

[in]	matrix	Selfadjoint matrix whose eigendecomposition is to be computed. Only the lower triangular part of the matrix is referenced.
[in]	options	Can be ComputeEigenvectors (default) or EigenvaluesOnly.

Returns:: Reference to *this

This function computes the eigenvalues of matrix. The eigenvalues() function can be used to retrieve them. If options equals ComputeEigenvectors, then the eigenvectors are also computed and can be retrieved by calling eigenvectors().

This implementation uses a symmetric QR algorithm. The matrix is first reduced to tridiagonal form using the Tridiagonalization class. The tridiagonal matrix is then brought to diagonal form with implicit symmetric QR steps with Wilkinson shift. Details can be found in Section 8.3 of Golub & Van Loan, Matrix Computations.

The cost of the computation is about $ 9n^3 $ if the eigenvectors are required and $ 4n^3/3 $ if they are not required.

This method reuses the memory in the SelfAdjointEigenSolver object that was allocated when the object was constructed, if the size of the matrix does not change.

Example:

Output:

See also:: SelfAdjointEigenSolver(const MatrixType&, int)

Definition at line 376 of file Eigenvalues.

const RealVectorType& Eigen::SelfAdjointEigenSolver::eigenvalues ( ) const [inline]

Returns the eigenvalues of given matrix.

Returns:: A const reference to the column vector containing the eigenvalues.

Precondition:: The eigenvalues have been computed before.

The eigenvalues are repeated according to their algebraic multiplicity, so there are as many eigenvalues as rows in the matrix. The eigenvalues are sorted in increasing order.

Example:

Output:

See also:: eigenvectors(), MatrixBase::eigenvalues()

Definition at line 242 of file Eigenvalues.

Referenced by Eigen::MatrixBase::eigenVectorsSymmetricVec(), mrpt::random::CRandomGenerator::drawGaussianMultivariate(), and mrpt::random::CRandomGenerator::drawGaussianMultivariateMany().

const MatrixType& Eigen::SelfAdjointEigenSolver::eigenvectors ( ) const [inline]

Returns the eigenvectors of given matrix.

Returns:: A const reference to the matrix whose columns are the eigenvectors.

Precondition:: The eigenvectors have been computed before.

Column $ k $ of the returned matrix is an eigenvector corresponding to eigenvalue number $ k $ as returned by eigenvalues(). The eigenvectors are normalized to have (Euclidean) norm equal to one. If this object was used to solve the eigenproblem for the selfadjoint matrix $ A $ , then the matrix returned by this function is the matrix $ V $ in the eigendecomposition $A = V D V^{-1}$ .

Example:

Output:

See also:: eigenvalues()

Definition at line 220 of file Eigenvalues.

Referenced by Eigen::MatrixBase::eigenVectorsSymmetricVec(), mrpt::random::CRandomGenerator::drawGaussianMultivariate(), and mrpt::random::CRandomGenerator::drawGaussianMultivariateMany().

ComputationInfo Eigen::SelfAdjointEigenSolver::info ( ) const [inline]

Reports whether previous computation was successful.

Returns:: Success if computation was succesful, NoConvergence otherwise.

Definition at line 302 of file Eigenvalues.

MatrixType Eigen::SelfAdjointEigenSolver::operatorInverseSqrt ( ) const [inline]

Computes the inverse square root of the matrix.

Returns:: the inverse positive-definite square root of the matrix

Precondition:: The eigenvalues and eigenvectors of a positive-definite matrix have been computed before.

This function uses the eigendecomposition $A = V D V^{-1}$ to compute the inverse square root as $V D^{-1/2} V^{-1}$ . This is cheaper than first computing the square root with operatorSqrt() and then its inverse with MatrixBase::inverse().

Example:

Output:

See also:: operatorSqrt(), MatrixBase::inverse(), MatrixFunctions Module

Definition at line 291 of file Eigenvalues.

MatrixType Eigen::SelfAdjointEigenSolver::operatorSqrt ( ) const [inline]

Computes the positive-definite square root of the matrix.

Returns:: the positive-definite square root of the matrix

Precondition:: The eigenvalues and eigenvectors of a positive-definite matrix have been computed before.

The square root of a positive-definite matrix $ A $ is the positive-definite matrix whose square equals $ A $ . This function uses the eigendecomposition $A = V D V^{-1}$ to compute the square root as $A^{1/2} = V D^{1/2} V^{-1}$ .