DirectEigenSolver.cpp

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/*
 * This program is free software; you can redistribute it and/or modify
 * it under the terms of the GNU General Public License as published by
 * the Free Software Foundation; either version 3 of the License, or
 * (at your option) any later version.
 *
 * Written (W) 2013 Soumyajit De
 */

#include <shogun/lib/config.h>

#ifdef HAVE_EIGEN3
#include <shogun/lib/SGMatrix.h>
#include <shogun/mathematics/eigen3.h>
#include <shogun/mathematics/linalg/linop/DenseMatrixOperator.h>
#include <shogun/mathematics/linalg/eigsolver/DirectEigenSolver.h>

using namespace Eigen;

namespace shogun
{

CDirectEigenSolver::CDirectEigenSolver()
    : CEigenSolver()
{
    SG_GCDEBUG("%s created (%p)\n", this->get_name(), this)
}

CDirectEigenSolver::CDirectEigenSolver(
    CDenseMatrixOperator<float64_t>* linear_operator)
    : CEigenSolver((CLinearOperator<float64_t>*)linear_operator)
{
    SG_GCDEBUG("%s created (%p)\n", this->get_name(), this)
}

CDirectEigenSolver::~CDirectEigenSolver()
{
    SG_GCDEBUG("%s destroyed (%p)\n", this->get_name(), this)
}

void CDirectEigenSolver::compute()
{
    if (m_is_computed_min && m_is_computed_max)
    {
        SG_DEBUG("Minimum/maximum eigenvalues are already computed, exiting\n");
        return;
    }

    CDenseMatrixOperator<float64_t>* op
        =dynamic_cast<CDenseMatrixOperator<float64_t>*>(m_linear_operator);
    REQUIRE(op, "Linear operator is not of CDenseMatrixOperator type!\n");

    SGMatrix<float64_t> m=op->get_matrix_operator();
    Map<MatrixXd> map_m(m.matrix, m.num_rows, m.num_cols);

    // compute the eigenvalues with Eigen3
    SelfAdjointEigenSolver<MatrixXd> eig_solver(map_m);
    m_min_eigenvalue=eig_solver.eigenvalues()[0];
    m_max_eigenvalue=eig_solver.eigenvalues()[op->get_dimension()-1];

    m_is_computed_min=true;
    m_is_computed_max=false;
}

}
#endif // HAVE_EIGEN3