Eigen学习（九）稠密问题之线性代数和分解

本节介绍如何求解线性系统，计算几种分解，比如LU，QR，SVD等。

基本的线性求解

问题：假设有一个系统方程写成如下矩阵的形式

其中A,b是矩阵，b也可以是向量，当想要求解x时，可以选择多种分解方式，取决于矩阵A的形式以及考虑的速度和精度，下面是一个简单的例子

#include <iostream>
#include <Eigen/Dense>
using namespace std;
using namespace Eigen;
int main()
{
   Matrix3f A;
   Vector3f b;
   A << 1,2,3,  4,5,6,  7,8,10;
   b << 3, 3, 4;
   cout << "Here is the matrix A:\n" << A << endl;
   cout << "Here is the vector b:\n" << b << endl;
   Vector3f x = A.colPivHouseholderQr().solve(b);
   cout << "The solution is:\n" << x << endl;
}

解为

Here is the matrix A:
 1  2  3
 4  5  6
 7  8 10
Here is the vector b:
3
3
4
The solution is:
-2
 1
 1

例子中colPivHouseholderQr()方法返回一个类ColPivHouseholderQR的对象，因此那句话也可以写成

ColPivHouseholderQR<Matrix3f> dec(A);
Vector3f x = dec.solve(b);

这里ColPivHouseholderQR是QR分解的意思，适用于各种矩阵并且速度够快，下面是几种分解的对比

Decomposition	Method	Requirements on the matrix	Speed (small-to-medium)	Speed (large)	Accuracy
PartialPivLU	partialPivLu()	Invertible	++	++	+
FullPivLU	fullPivLu()	None	-	- -	+++
HouseholderQR	householderQr()	None	++	++	+
ColPivHouseholderQR	colPivHouseholderQr()	None	++	-	+++
FullPivHouseholderQR	fullPivHouseholderQr()	None	-	- -	+++
LLT	llt()	Positive definite	+++	+++	+
LDLT	ldlt()	Positive or negative semidefinite	+++	+	++
JacobiSVD	jacobiSvd()	None	- -	- - -	+++

以上分解都提供了solve()方法。比如当矩阵是正定的时候，表中说明LLT和LDLT是不错的选择：

#include <iostream>
#include <Eigen/Dense>
using namespace std;
using namespace Eigen;
int main()
{
   Matrix2f A, b;
   A << 2, -1, -1, 3;
   b << 1, 2, 3, 1;
   cout << "Here is the matrix A:\n" << A << endl;
   cout << "Here is the right hand side b:\n" << b << endl;
   Matrix2f x = A.ldlt().solve(b);
   cout << "The solution is:\n" << x << endl;
}

Here is the matrix A:
 2 -1
-1  3
Here is the right hand side b:
1 2
3 1
The solution is:
1.2 1.4
1.4 0.8

计算特征值和特征向量

这里需要特征分解，确保矩阵是自伴矩阵。下面是一个使用SelfAdjointEigenSolver的例子，使用EigenSolver或者ComplexEigenSolver，可以容易的适用到普通矩阵上。计算特征值和特征向量时不要求一定收敛，当然这种情况很少见。

#include <iostream>
#include <Eigen/Dense>
using namespace std;
using namespace Eigen;
int main()
{
   Matrix2f A;
   A << 1, 2, 2, 3;
   cout << "Here is the matrix A:\n" << A << endl;
   SelfAdjointEigenSolver<Matrix2f> eigensolver(A);
   if (eigensolver.info() != Success) abort();
   cout << "The eigenvalues of A are:\n" << eigensolver.eigenvalues() << endl;
   cout << "Here's a matrix whose columns are eigenvectors of A \n"
        << "corresponding to these eigenvalues:\n"
        << eigensolver.eigenvectors() << endl;
   cout<<"A*vec(1) = \n"<<A*(eigenSolver.eigenvectors().col(0))<<endl;
   cout<<"e(1)*vec(1) = \n"<<eigenSolver.eigenvalues()(0)*eigenSolver.eigenvectors().col(0);
}

Here is the matrix A:
1 2
2 3
The eigenvalues of A are:
-0.236
  4.24

Here's a matrix whose columns are eigenvectors of A 
corresponding to these eigenvalues:
-0.851 -0.526
 0.526 -0.851

A*vec(1) =
 0.200811
-0.124108
e(1)*vec(1) =
 0.200811
-0.124108

计算逆和行列式

尽管逆和行列式是基本的数学概念，但是在数值/线性代数中却不像纯数学中那么受欢迎。求逆运算通常由solve()代替，行列式一般并不是检测矩阵是否可逆的好方法。当然对于比较小的矩阵时行列式和逆还是比较有用的。

尽管存在以上矩阵分解的方法，你仍然可以直接调用inverse()方法和determinant()方法。如果你的矩阵尺寸比较小（4x4）那么Eigen可以避免使用LU分解，而是使用数学公式，这样更高效。

#include <iostream>
#include <Eigen/Dense>
using namespace std;
using namespace Eigen;
int main()
{
   Matrix3f A;
   A << 1, 2, 1,
        2, 1, 0,
        -1, 1, 2;
   cout << "Here is the matrix A:\n" << A << endl;
   cout << "The determinant of A is " << A.determinant() << endl;
   cout << "The inverse of A is:\n" << A.inverse() << endl;
}

Here is the matrix A:
 1  2  1
 2  1  0
-1  1  2
The determinant of A is -3
The inverse of A is:
-0.667      1  0.333
  1.33     -1 -0.667
    -1      1      1

最小二乘解

求最小二乘解最精确的方式是使用SVD分解。Eigen提供了JacobiSVD类，他的solve()方法计算了最小二乘解。

#include <iostream>
#include <Eigen/Dense>
using namespace std;
using namespace Eigen;
int main()
{
   MatrixXf A = MatrixXf::Random(3, 2);
   cout << "Here is the matrix A:\n" << A << endl;
   VectorXf b = VectorXf::Random(3);
   cout << "Here is the right hand side b:\n" << b << endl;
   cout << "The least-squares solution is:\n"
        << A.jacobiSvd(ComputeThinU | ComputeThinV).solve(b) << endl;
}

Here is the matrix A:
  0.68  0.597
-0.211  0.823
 0.566 -0.605
Here is the right hand side b:
 -0.33
 0.536
-0.444
The least-squares solution is:
-0.67
0.314

其他方法，比如Cholesky分解或QR分解，会更快一些但是解稍微不那么可靠。

将求解和构造分开

上面的例子中，当分解对象创建时分解就开始计算了（写在同一句中），当然可以有方法将他们独立开来：

#include <iostream>
#include <Eigen/Dense>
using namespace std;
using namespace Eigen;
int main()
{
   Matrix2f A, b;
   LLT<Matrix2f> llt;
   A << 2, -1, -1, 3;
   b << 1, 2, 3, 1;
   cout << "Here is the matrix A:\n" << A << endl;
   cout << "Here is the right hand side b:\n" << b << endl;
   cout << "Computing LLT decomposition..." << endl;
   llt.compute(A);
   cout << "The solution is:\n" << llt.solve(b) << endl;
   A(1,1)++;
   cout << "The matrix A is now:\n" << A << endl;
   cout << "Computing LLT decomposition..." << endl;
   llt.compute(A);
   cout << "The solution is now:\n" << llt.solve(b) << endl;
}

Here is the matrix A:
 2 -1
-1  3
Here is the right hand side b:
1 2
3 1
Computing LLT decomposition...
The solution is:
1.2 1.4
1.4 0.8
The matrix A is now:
 2 -1
-1  4
Computing LLT decomposition...
The solution is now:
    1  1.29
    1 0.571

最终，你可以告诉分解的构造函数去预先分配一个给定尺寸矩阵的内存，这样之后分解矩阵时就不会执行动态内存分配了（当矩阵是固定尺寸时，根本不会有动态内存分配这回事），可以通过传递给分解的构造函数尺寸作为参数来实现，比如

HouseholderQR<MatrixXf> qr(50,50);
MatrixXf A = MatrixXf::Random(50,50);
qr.compute(A); // no dynamic memory allocation