import Matrix from '../matrix'; import WrapperMatrix2D from '../wrap/WrapperMatrix2D'; import { hypotenuse } from './util'; export default class EigenvalueDecomposition { constructor(matrix, options = {}) { const { assumeSymmetric = false } = options; matrix = WrapperMatrix2D.checkMatrix(matrix); if (!matrix.isSquare()) { throw new Error('Matrix is not a square matrix'); } if (matrix.isEmpty()) { throw new Error('Matrix must be non-empty'); } let n = matrix.columns; let V = new Matrix(n, n); let d = new Float64Array(n); let e = new Float64Array(n); let value = matrix; let i, j; let isSymmetric = false; if (assumeSymmetric) { isSymmetric = true; } else { isSymmetric = matrix.isSymmetric(); } if (isSymmetric) { for (i = 0; i < n; i++) { for (j = 0; j < n; j++) { V.set(i, j, value.get(i, j)); } } tred2(n, e, d, V); tql2(n, e, d, V); } else { let H = new Matrix(n, n); let ort = new Float64Array(n); for (j = 0; j < n; j++) { for (i = 0; i < n; i++) { H.set(i, j, value.get(i, j)); } } orthes(n, H, ort, V); hqr2(n, e, d, V, H); } this.n = n; this.e = e; this.d = d; this.V = V; } get realEigenvalues() { return Array.from(this.d); } get imaginaryEigenvalues() { return Array.from(this.e); } get eigenvectorMatrix() { return this.V; } get diagonalMatrix() { let n = this.n; let e = this.e; let d = this.d; let X = new Matrix(n, n); let i, j; for (i = 0; i < n; i++) { for (j = 0; j < n; j++) { X.set(i, j, 0); } X.set(i, i, d[i]); if (e[i] > 0) { X.set(i, i + 1, e[i]); } else if (e[i] < 0) { X.set(i, i - 1, e[i]); } } return X; } } function tred2(n, e, d, V) { let f, g, h, i, j, k, hh, scale; for (j = 0; j < n; j++) { d[j] = V.get(n - 1, j); } for (i = n - 1; i > 0; i--) { scale = 0; h = 0; for (k = 0; k < i; k++) { scale = scale + Math.abs(d[k]); } if (scale === 0) { e[i] = d[i - 1]; for (j = 0; j < i; j++) { d[j] = V.get(i - 1, j); V.set(i, j, 0); V.set(j, i, 0); } } else { for (k = 0; k < i; k++) { d[k] /= scale; h += d[k] * d[k]; } f = d[i - 1]; g = Math.sqrt(h); if (f > 0) { g = -g; } e[i] = scale * g; h = h - f * g; d[i - 1] = f - g; for (j = 0; j < i; j++) { e[j] = 0; } for (j = 0; j < i; j++) { f = d[j]; V.set(j, i, f); g = e[j] + V.get(j, j) * f; for (k = j + 1; k <= i - 1; k++) { g += V.get(k, j) * d[k]; e[k] += V.get(k, j) * f; } e[j] = g; } f = 0; for (j = 0; j < i; j++) { e[j] /= h; f += e[j] * d[j]; } hh = f / (h + h); for (j = 0; j < i; j++) { e[j] -= hh * d[j]; } for (j = 0; j < i; j++) { f = d[j]; g = e[j]; for (k = j; k <= i - 1; k++) { V.set(k, j, V.get(k, j) - (f * e[k] + g * d[k])); } d[j] = V.get(i - 1, j); V.set(i, j, 0); } } d[i] = h; } for (i = 0; i < n - 1; i++) { V.set(n - 1, i, V.get(i, i)); V.set(i, i, 1); h = d[i + 1]; if (h !== 0) { for (k = 0; k <= i; k++) { d[k] = V.get(k, i + 1) / h; } for (j = 0; j <= i; j++) { g = 0; for (k = 0; k <= i; k++) { g += V.get(k, i + 1) * V.get(k, j); } for (k = 0; k <= i; k++) { V.set(k, j, V.get(k, j) - g * d[k]); } } } for (k = 0; k <= i; k++) { V.set(k, i + 1, 0); } } for (j = 0; j < n; j++) { d[j] = V.get(n - 1, j); V.set(n - 1, j, 0); } V.set(n - 1, n - 1, 1); e[0] = 0; } function tql2(n, e, d, V) { let g, h, i, j, k, l, m, p, r, dl1, c, c2, c3, el1, s, s2, iter; for (i = 1; i < n; i++) { e[i - 1] = e[i]; } e[n - 1] = 0; let f = 0; let tst1 = 0; let eps = Number.EPSILON; for (l = 0; l < n; l++) { tst1 = Math.max(tst1, Math.abs(d[l]) + Math.abs(e[l])); m = l; while (m < n) { if (Math.abs(e[m]) <= eps * tst1) { break; } m++; } if (m > l) { iter = 0; do { iter = iter + 1; g = d[l]; p = (d[l + 1] - g) / (2 * e[l]); r = hypotenuse(p, 1); if (p < 0) { r = -r; } d[l] = e[l] / (p + r); d[l + 1] = e[l] * (p + r); dl1 = d[l + 1]; h = g - d[l]; for (i = l + 2; i < n; i++) { d[i] -= h; } f = f + h; p = d[m]; c = 1; c2 = c; c3 = c; el1 = e[l + 1]; s = 0; s2 = 0; for (i = m - 1; i >= l; i--) { c3 = c2; c2 = c; s2 = s; g = c * e[i]; h = c * p; r = hypotenuse(p, e[i]); e[i + 1] = s * r; s = e[i] / r; c = p / r; p = c * d[i] - s * g; d[i + 1] = h + s * (c * g + s * d[i]); for (k = 0; k < n; k++) { h = V.get(k, i + 1); V.set(k, i + 1, s * V.get(k, i) + c * h); V.set(k, i, c * V.get(k, i) - s * h); } } p = (-s * s2 * c3 * el1 * e[l]) / dl1; e[l] = s * p; d[l] = c * p; } while (Math.abs(e[l]) > eps * tst1); } d[l] = d[l] + f; e[l] = 0; } for (i = 0; i < n - 1; i++) { k = i; p = d[i]; for (j = i + 1; j < n; j++) { if (d[j] < p) { k = j; p = d[j]; } } if (k !== i) { d[k] = d[i]; d[i] = p; for (j = 0; j < n; j++) { p = V.get(j, i); V.set(j, i, V.get(j, k)); V.set(j, k, p); } } } } function orthes(n, H, ort, V) { let low = 0; let high = n - 1; let f, g, h, i, j, m; let scale; for (m = low + 1; m <= high - 1; m++) { scale = 0; for (i = m; i <= high; i++) { scale = scale + Math.abs(H.get(i, m - 1)); } if (scale !== 0) { h = 0; for (i = high; i >= m; i--) { ort[i] = H.get(i, m - 1) / scale; h += ort[i] * ort[i]; } g = Math.sqrt(h); if (ort[m] > 0) { g = -g; } h = h - ort[m] * g; ort[m] = ort[m] - g; for (j = m; j < n; j++) { f = 0; for (i = high; i >= m; i--) { f += ort[i] * H.get(i, j); } f = f / h; for (i = m; i <= high; i++) { H.set(i, j, H.get(i, j) - f * ort[i]); } } for (i = 0; i <= high; i++) { f = 0; for (j = high; j >= m; j--) { f += ort[j] * H.get(i, j); } f = f / h; for (j = m; j <= high; j++) { H.set(i, j, H.get(i, j) - f * ort[j]); } } ort[m] = scale * ort[m]; H.set(m, m - 1, scale * g); } } for (i = 0; i < n; i++) { for (j = 0; j < n; j++) { V.set(i, j, i === j ? 1 : 0); } } for (m = high - 1; m >= low + 1; m--) { if (H.get(m, m - 1) !== 0) { for (i = m + 1; i <= high; i++) { ort[i] = H.get(i, m - 1); } for (j = m; j <= high; j++) { g = 0; for (i = m; i <= high; i++) { g += ort[i] * V.get(i, j); } g = g / ort[m] / H.get(m, m - 1); for (i = m; i <= high; i++) { V.set(i, j, V.get(i, j) + g * ort[i]); } } } } } function hqr2(nn, e, d, V, H) { let n = nn - 1; let low = 0; let high = nn - 1; let eps = Number.EPSILON; let exshift = 0; let norm = 0; let p = 0; let q = 0; let r = 0; let s = 0; let z = 0; let iter = 0; let i, j, k, l, m, t, w, x, y; let ra, sa, vr, vi; let notlast, cdivres; for (i = 0; i < nn; i++) { if (i < low || i > high) { d[i] = H.get(i, i); e[i] = 0; } for (j = Math.max(i - 1, 0); j < nn; j++) { norm = norm + Math.abs(H.get(i, j)); } } while (n >= low) { l = n; while (l > low) { s = Math.abs(H.get(l - 1, l - 1)) + Math.abs(H.get(l, l)); if (s === 0) { s = norm; } if (Math.abs(H.get(l, l - 1)) < eps * s) { break; } l--; } if (l === n) { H.set(n, n, H.get(n, n) + exshift); d[n] = H.get(n, n); e[n] = 0; n--; iter = 0; } else if (l === n - 1) { w = H.get(n, n - 1) * H.get(n - 1, n); p = (H.get(n - 1, n - 1) - H.get(n, n)) / 2; q = p * p + w; z = Math.sqrt(Math.abs(q)); H.set(n, n, H.get(n, n) + exshift); H.set(n - 1, n - 1, H.get(n - 1, n - 1) + exshift); x = H.get(n, n); if (q >= 0) { z = p >= 0 ? p + z : p - z; d[n - 1] = x + z; d[n] = d[n - 1]; if (z !== 0) { d[n] = x - w / z; } e[n - 1] = 0; e[n] = 0; x = H.get(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; for (j = n - 1; j < nn; j++) { z = H.get(n - 1, j); H.set(n - 1, j, q * z + p * H.get(n, j)); H.set(n, j, q * H.get(n, j) - p * z); } for (i = 0; i <= n; i++) { z = H.get(i, n - 1); H.set(i, n - 1, q * z + p * H.get(i, n)); H.set(i, n, q * H.get(i, n) - p * z); } for (i = low; i <= high; i++) { z = V.get(i, n - 1); V.set(i, n - 1, q * z + p * V.get(i, n)); V.set(i, n, q * V.get(i, n) - p * z); } } else { d[n - 1] = x + p; d[n] = x + p; e[n - 1] = z; e[n] = -z; } n = n - 2; iter = 0; } else { x = H.get(n, n); y = 0; w = 0; if (l < n) { y = H.get(n - 1, n - 1); w = H.get(n, n - 1) * H.get(n - 1, n); } if (iter === 10) { exshift += x; for (i = low; i <= n; i++) { H.set(i, i, H.get(i, i) - x); } s = Math.abs(H.get(n, n - 1)) + Math.abs(H.get(n - 1, n - 2)); // eslint-disable-next-line no-multi-assign x = y = 0.75 * s; w = -0.4375 * s * s; } if (iter === 30) { s = (y - x) / 2; s = s * s + w; if (s > 0) { s = Math.sqrt(s); if (y < x) { s = -s; } s = x - w / ((y - x) / 2 + s); for (i = low; i <= n; i++) { H.set(i, i, H.get(i, i) - s); } exshift += s; // eslint-disable-next-line no-multi-assign x = y = w = 0.964; } } iter = iter + 1; m = n - 2; while (m >= l) { z = H.get(m, m); r = x - z; s = y - z; p = (r * s - w) / H.get(m + 1, m) + H.get(m, m + 1); q = H.get(m + 1, m + 1) - z - r - s; r = H.get(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(H.get(m, m - 1)) * (Math.abs(q) + Math.abs(r)) < eps * (Math.abs(p) * (Math.abs(H.get(m - 1, m - 1)) + Math.abs(z) + Math.abs(H.get(m + 1, m + 1)))) ) { break; } m--; } for (i = m + 2; i <= n; i++) { H.set(i, i - 2, 0); if (i > m + 2) { H.set(i, i - 3, 0); } } for (k = m; k <= n - 1; k++) { notlast = k !== n - 1; if (k !== m) { p = H.get(k, k - 1); q = H.get(k + 1, k - 1); r = notlast ? H.get(k + 2, k - 1) : 0; x = Math.abs(p) + Math.abs(q) + Math.abs(r); if (x !== 0) { p = p / x; q = q / x; r = r / x; } } if (x === 0) { break; } s = Math.sqrt(p * p + q * q + r * r); if (p < 0) { s = -s; } if (s !== 0) { if (k !== m) { H.set(k, k - 1, -s * x); } else if (l !== m) { H.set(k, k - 1, -H.get(k, k - 1)); } p = p + s; x = p / s; y = q / s; z = r / s; q = q / p; r = r / p; for (j = k; j < nn; j++) { p = H.get(k, j) + q * H.get(k + 1, j); if (notlast) { p = p + r * H.get(k + 2, j); H.set(k + 2, j, H.get(k + 2, j) - p * z); } H.set(k, j, H.get(k, j) - p * x); H.set(k + 1, j, H.get(k + 1, j) - p * y); } for (i = 0; i <= Math.min(n, k + 3); i++) { p = x * H.get(i, k) + y * H.get(i, k + 1); if (notlast) { p = p + z * H.get(i, k + 2); H.set(i, k + 2, H.get(i, k + 2) - p * r); } H.set(i, k, H.get(i, k) - p); H.set(i, k + 1, H.get(i, k + 1) - p * q); } for (i = low; i <= high; i++) { p = x * V.get(i, k) + y * V.get(i, k + 1); if (notlast) { p = p + z * V.get(i, k + 2); V.set(i, k + 2, V.get(i, k + 2) - p * r); } V.set(i, k, V.get(i, k) - p); V.set(i, k + 1, V.get(i, k + 1) - p * q); } } } } } if (norm === 0) { return; } for (n = nn - 1; n >= 0; n--) { p = d[n]; q = e[n]; if (q === 0) { l = n; H.set(n, n, 1); for (i = n - 1; i >= 0; i--) { w = H.get(i, i) - p; r = 0; for (j = l; j <= n; j++) { r = r + H.get(i, j) * H.get(j, n); } if (e[i] < 0) { z = w; s = r; } else { l = i; if (e[i] === 0) { H.set(i, n, w !== 0 ? -r / w : -r / (eps * norm)); } else { x = H.get(i, i + 1); y = H.get(i + 1, i); q = (d[i] - p) * (d[i] - p) + e[i] * e[i]; t = (x * s - z * r) / q; H.set(i, n, t); H.set( i + 1, n, Math.abs(x) > Math.abs(z) ? (-r - w * t) / x : (-s - y * t) / z, ); } t = Math.abs(H.get(i, n)); if (eps * t * t > 1) { for (j = i; j <= n; j++) { H.set(j, n, H.get(j, n) / t); } } } } } else if (q < 0) { l = n - 1; if (Math.abs(H.get(n, n - 1)) > Math.abs(H.get(n - 1, n))) { H.set(n - 1, n - 1, q / H.get(n, n - 1)); H.set(n - 1, n, -(H.get(n, n) - p) / H.get(n, n - 1)); } else { cdivres = cdiv(0, -H.get(n - 1, n), H.get(n - 1, n - 1) - p, q); H.set(n - 1, n - 1, cdivres[0]); H.set(n - 1, n, cdivres[1]); } H.set(n, n - 1, 0); H.set(n, n, 1); for (i = n - 2; i >= 0; i--) { ra = 0; sa = 0; for (j = l; j <= n; j++) { ra = ra + H.get(i, j) * H.get(j, n - 1); sa = sa + H.get(i, j) * H.get(j, n); } w = H.get(i, i) - p; if (e[i] < 0) { z = w; r = ra; s = sa; } else { l = i; if (e[i] === 0) { cdivres = cdiv(-ra, -sa, w, q); H.set(i, n - 1, cdivres[0]); H.set(i, n, cdivres[1]); } else { x = H.get(i, i + 1); y = H.get(i + 1, i); vr = (d[i] - p) * (d[i] - p) + e[i] * e[i] - q * q; vi = (d[i] - p) * 2 * q; if (vr === 0 && vi === 0) { vr = eps * norm * (Math.abs(w) + Math.abs(q) + Math.abs(x) + Math.abs(y) + Math.abs(z)); } cdivres = cdiv( x * r - z * ra + q * sa, x * s - z * sa - q * ra, vr, vi, ); H.set(i, n - 1, cdivres[0]); H.set(i, n, cdivres[1]); if (Math.abs(x) > Math.abs(z) + Math.abs(q)) { H.set( i + 1, n - 1, (-ra - w * H.get(i, n - 1) + q * H.get(i, n)) / x, ); H.set( i + 1, n, (-sa - w * H.get(i, n) - q * H.get(i, n - 1)) / x, ); } else { cdivres = cdiv( -r - y * H.get(i, n - 1), -s - y * H.get(i, n), z, q, ); H.set(i + 1, n - 1, cdivres[0]); H.set(i + 1, n, cdivres[1]); } } t = Math.max(Math.abs(H.get(i, n - 1)), Math.abs(H.get(i, n))); if (eps * t * t > 1) { for (j = i; j <= n; j++) { H.set(j, n - 1, H.get(j, n - 1) / t); H.set(j, n, H.get(j, n) / t); } } } } } } for (i = 0; i < nn; i++) { if (i < low || i > high) { for (j = i; j < nn; j++) { V.set(i, j, H.get(i, j)); } } } for (j = nn - 1; j >= low; j--) { for (i = low; i <= high; i++) { z = 0; for (k = low; k <= Math.min(j, high); k++) { z = z + V.get(i, k) * H.get(k, j); } V.set(i, j, z); } } } function cdiv(xr, xi, yr, yi) { let r, d; if (Math.abs(yr) > Math.abs(yi)) { r = yi / yr; d = yr + r * yi; return [(xr + r * xi) / d, (xi - r * xr) / d]; } else { r = yr / yi; d = yi + r * yr; return [(r * xr + xi) / d, (r * xi - xr) / d]; } }