diff --git a/numerical_methods/qr_eigen_values.cpp b/numerical_methods/qr_eigen_values.cpp new file mode 100644 index 000000000..95ace03a7 --- /dev/null +++ b/numerical_methods/qr_eigen_values.cpp @@ -0,0 +1,267 @@ +/** + * @file + * \brief Compute real eigen values and eigen vectors of a symmetric matrix + * using [QR decomposition](https://en.wikipedia.org/wiki/QR_decomposition) + * method. + * \author [Krishna Vedala](https://github.com/kvedala) + */ +#include +#include +#include +#include +#include +#ifdef _OPENMP +#include +#endif + +#include "./qr_decompose.h" +using qr_algorithm::operator<<; + +#define LIMS 9 /**< limit of range of matrix values */ + +/** + * create a symmetric square matrix of given size with random elements. A + * symmetric square matrix will *always* have real eigen values. + * + * \param[out] A matrix to create (must be pre-allocated in memory) + */ +void create_matrix(std::valarray> *A) { + int i, j, tmp, lim2 = LIMS >> 1; + int N = A->size(); + std::srand(std::time(nullptr)); + +#ifdef _OPENMP +#pragma omp for +#endif + for (i = 0; i < N; i++) { + A[0][i][i] = (std::rand() % LIMS) - lim2; + for (j = i + 1; j < N; j++) { + tmp = (std::rand() % LIMS) - lim2; + A[0][i][j] = tmp; // summetrically distribute random values + A[0][j][i] = tmp; + } + } +} + +/** + * Perform multiplication of two matrices. + * * R2 must be equal to C1 + * * Resultant matrix size should be R1xC2 + * \param[in] A first matrix to multiply + * \param[in] B second matrix to multiply + * \param[out] OUT output matrix (must be pre-allocated) + * \returns pointer to resultant matrix + */ +void mat_mul(const std::valarray> &A, + const std::valarray> &B, + std::valarray> *OUT) { + int R1 = A.size(); + int C1 = A[0].size(); + int R2 = B.size(); + int C2 = B[0].size(); + if (C1 != R2) { + perror("Matrix dimensions mismatch!"); + return; + } + + for (int i = 0; i < R1; i++) { + for (int j = 0; j < C2; j++) { + OUT[0][i][j] = 0.f; + for (int k = 0; k < C1; k++) { + OUT[0][i][j] += A[i][k] * B[k][j]; + } + } + } +} + +namespace qr_algorithm { +/** Compute eigen values + * \param[in,out] A matric to compute eigen values for \note This matrix gets + * modified + * \param[in] print_intermediates (optional) whether to print intermediate A, Q + * and R matrices (default = `false`) + */ +std::valarray eigen_values(std::valarray> *A, + bool print_intermediates = false) { + int rows = A->size(); + int columns = rows; + int counter = 0, num_eigs = rows - 1; + double last_eig = 0; + + std::valarray> Q(rows); + std::valarray> R(columns); + + /* number of eigen values = matrix size */ + std::valarray eigen_vals(rows); + for (int i = 0; i < rows; i++) { + Q[i] = std::valarray(columns); + R[i] = std::valarray(columns); + } + + /* continue till all eigen values are found */ + while (num_eigs > 0) { + /* iterate with QR decomposition */ + while (std::abs(A[0][num_eigs][num_eigs - 1]) > + std::numeric_limits::epsilon()) { + // initial approximation = last diagonal element + last_eig = A[0][num_eigs][num_eigs]; + for (int i = 0; i < rows; i++) { + A[0][i][i] -= last_eig; /* A - cI */ + } + + qr_decompose(*A, &Q, &R); + + if (print_intermediates) { + std::cout << *A << "\n"; + std::cout << Q << "\n"; + std::cout << R << "\n"; + printf("-------------------- %d ---------------------\n", + ++counter); + } + + // new approximation A' = R * Q + mat_mul(R, Q, A); + + for (int i = 0; i < rows; i++) { + A[0][i][i] += last_eig; /* A + cI */ + } + } + + /* store the converged eigen value */ + eigen_vals[num_eigs] = last_eig; + // A[0][num_eigs][num_eigs]; + if (print_intermediates) { + std::cout << "========================\n"; + std::cout << "Eigen value: " << last_eig << ",\n"; + std::cout << "========================\n"; + } + + num_eigs--; + rows--; + columns--; + } + eigen_vals[0] = A[0][0][0]; + + if (print_intermediates) { + std::cout << Q << "\n"; + std::cout << R << "\n"; + } + + return eigen_vals; +} + +} // namespace qr_algorithm + +/** + * test function to compute eigen values of a 2x2 matrix + * \f[\begin{bmatrix} + * 5 & 7\\ + * 7 & 11 + * \end{bmatrix}\f] + * which are approximately, {15.56158, 0.384227} + */ +void test1() { + std::valarray> X = {{5, 7}, {7, 11}}; + double y[] = {15.56158, 0.384227}; // corresponding y-values + + std::cout << "------- Test 1 -------" << std::endl; + std::valarray eig_vals = qr_algorithm::eigen_values(&X); + + for (int i = 0; i < 2; i++) { + std::cout << i + 1 << "/2 Checking for " << y[i] << " --> "; + bool result = false; + for (int j = 0; j < 2 && !result; j++) { + if (std::abs(y[i] - eig_vals[j]) < 0.1) { + result = true; + std::cout << "(" << eig_vals[j] << ") "; + } + } + assert(result); // ensure that i^th expected eigen value was computed + std::cout << "found\n"; + } + std::cout << "Test 1 Passed\n\n"; +} + +/** + * test function to compute eigen values of a 2x2 matrix + * \f[\begin{bmatrix} + * -4& 4& 2& 0& -3\\ + * 4& -4& 4& -3& -1\\ + * 2& 4& 4& 3& -3\\ + * 0& -3& 3& -1&-1\\ + * -3& -1& -3& -3& 0 + * \end{bmatrix}\f] + * which are approximately, {9.27648, -9.26948, 2.0181, -1.03516, -5.98994} + */ +void test2() { + std::valarray> X = {{-4, 4, 2, 0, -3}, + {4, -4, 4, -3, -1}, + {2, 4, 4, 3, -3}, + {0, -3, 3, -1, -3}, + {-3, -1, -3, -3, 0}}; + double y[] = {9.27648, -9.26948, 2.0181, -1.03516, + -5.98994}; // corresponding y-values + + std::cout << "------- Test 2 -------" << std::endl; + std::valarray eig_vals = qr_algorithm::eigen_values(&X); + + std::cout << X << "\n" + << "Eigen values: " << eig_vals << "\n"; + + for (int i = 0; i < 5; i++) { + std::cout << i + 1 << "/5 Checking for " << y[i] << " --> "; + bool result = false; + for (int j = 0; j < 5 && !result; j++) { + if (std::abs(y[i] - eig_vals[j]) < 0.1) { + result = true; + std::cout << "(" << eig_vals[j] << ") "; + } + } + assert(result); // ensure that i^th expected eigen value was computed + std::cout << "found\n"; + } + std::cout << "Test 2 Passed\n\n"; +} + +/** + * main function + */ +int main(int argc, char **argv) { + int mat_size = 5; + if (argc == 2) + mat_size = atoi(argv[1]); + else { // if invalid input argument is given run tests + test1(); + test2(); + std::cout << "Usage: ./qr_eigen_values [mat_size]\n"; + return 0; + } + + if (mat_size < 2) { + fprintf(stderr, "Matrix size should be > 2\n"); + return -1; + } + + int i, rows = mat_size, columns = mat_size; + + std::valarray> A(rows); + + for (int i = 0; i < rows; i++) { + A[i] = std::valarray(columns); + } + + /* create a random matrix */ + create_matrix(&A); + + std::cout << A << "\n"; + + clock_t t1 = clock(); + std::valarray eigen_vals = qr_algorithm::eigen_values(&A); + double dtime = static_cast(clock() - t1) / CLOCKS_PER_SEC; + + std::cout << "Eigen vals: "; + for (i = 0; i < mat_size; i++) std::cout << eigen_vals[i] << "\t"; + std::cout << "\nTime taken to compute: " << dtime << " sec\n"; + + return 0; +}