头文件：
/*
* Copyright (c) 2008-2011 Zhang Ming (M. Zhang), zmjerry@163.com
*
* 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 2 or any later version.
*
* Redistribution and use in source and binary forms, with or without
* modification, are permitted provided that the following conditions are met:
*
* 1. Redistributions of source code must retain the above copyright notice,
* this list of conditions and the following disclaimer.
*
* 2. Redistributions in binary form must reproduce the above copyright
* notice, this list of conditions and the following disclaimer in the
* documentation and/or other materials provided with the distribution.
*
* This program is distributed in the hope that it will be useful, but WITHOUT
* ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
* FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for
* more details. A copy of the GNU General Public License is available at:
* http://www.fsf.org/licensing/licenses
*/
/*****************************************************************************
* csvd.h
*
* Class template for complex matrix Singular Value Decomposition.
*
* For an m-by-n complex matrix A, the singular value decomposition is an
* m-by-m unitary matrix U, an m-by-n diagonal matrix S, and an n-by-n
* unitary matrix V so that A = U*S*V^H.
*
* The singular values, sigma[k] = S[k][k], are ordered so that sigma[0] >=
* sigma[1] >= ... >= sigma[n-1].
*
* For economy size, denotes p = min(m,n), then U is m-by-p, S is p-by-p,
* and V is n-by-p, this file provides the economic decomposition format.
*
* The singular value decompostion always exists, so the constructor will
* never fail. The matrix condition number and the effective numerical rank
* can be computed from this decomposition.
*
* This code is adapted from Collected Algorithms from ACM, Algorithm 358,
* Peter Businger, Gene Golub.
*
* Zhang Ming, 2010-12, Xi'an Jiaotong University.
*****************************************************************************/
#ifndef CSVD_H
#define CSVD_H
#include <matrix.h>
namespace splab
{
template <typename Type>
class CSVD
{
public:
CSVD();
~CSVD();
void dec( const Matrix< complex<Type> >& );
Matrix< complex<Type> > getU() const;
Matrix< complex<Type> > getV() const;
Matrix<Type> getSM();
Vector<Type> getSV() const;
Type norm2() const;
Type cond() const;
int rank();
private:
// the orthogonal matrix and singular value vector
Matrix< complex<Type> > U;
Matrix< complex<Type> > V;
Vector<Type> S;
// docomposition for matrix with rows >= columns
void decomposition( Matrix< complex<Type> >&,
Matrix< complex<Type> >&,
Vector<Type>&,
Matrix< complex<Type> >& );
};
// class CSVD
#include <csvd-impl.h>
}
// namespace splab
#endif
// CSVD_H实现文件：
/*
* Copyright (c) 2008-2011 Zhang Ming (M. Zhang), zmjerry@163.com
*
* 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 2 or any later version.
*
* Redistribution and use in source and binary forms, with or without
* modification, are permitted provided that the following conditions are met:
*
* 1. Redistributions of source code must retain the above copyright notice,
* this list of conditions and the following disclaimer.
*
* 2. Redistributions in binary form must reproduce the above copyright
* notice, this list of conditions and the following disclaimer in the
* documentation and/or other materials provided with the distribution.
*
* This program is distributed in the hope that it will be useful, but WITHOUT
* ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
* FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for
* more details. A copy of the GNU General Public License is available at:
* http://www.fsf.org/licensing/licenses
*/
/*****************************************************************************
* csvd-impl.h
*
* Implementation for CSVD class.
*
* Zhang Ming, 2010-12, Xi'an Jiaotong University.
*****************************************************************************/
/**
* constructor and destructor
*/
template<typename Type>
CSVD<Type>::CSVD()
{
}
template<typename Type>
CSVD<Type>::~CSVD()
{
}
/**
* Making singular decomposition.
*/
template <typename Type>
void CSVD<Type>::dec( const Matrix< complex<Type> > &A )
{
int m = A.rows(),
n = A.cols(),
p = min( m, n );
U.resize( m, p );
V.resize( n, p );
S.resize( p );
if( m >= n )
{
Matrix< complex<Type> > B(A);
decomposition( B, U, S, V );
}
else
{
Matrix< complex<Type> > B( trH( A ) );
decomposition( B, V, S, U );
}
}
/**
* The singular value decomposition of a complex M by N (N<=M)
* matrix A has the form A = U S V*, where:
* U is an M by N unitary matrix (for economy size),
* S is an M by N diagonal matrix,
* V is an N by N unitary matrix.
*
* Input:
* a ---> the complex matrix to be decomposition.
* m ---> the number of rows in a.
* n ---> the number of columns in a.
*
* Output:
* u ---> the left singular vectors.
* s ---> the singular values.
* v ---> the right singular vectors.
*/
template <typename Type>
void CSVD<Type>::decomposition( Matrix< complex<Type> > &B,
Matrix< complex<Type> > &U,
Vector<Type> &S,
Matrix< complex<Type> > &V )
{
int k, k1,
L, L1,
nM1,
m = B.rows(),
n = B.cols();
Type tol, eta;
Type w, x, y, z;
Type cs, sn, f, g, h;
complex<Type> q;
Vector<Type> b(m), c(m), t(m);
L = 0;
nM1 = n - 1;
eta = 2.8E-16; // the relative machine precision
// Householder Reduction
c[0] = 0;
k = 0;
while( 1 )
{
k1 = k + 1;
// elimination of a[i][k], i = k, ..., m-1
z = 0;
for( int i=k; i<m; ++i )
z += norm(B[i][k]);
b[k] = 0;
if( z > EPS )
{
z = sqrt(z);
b[k] = z;
w = abs(B[k][k]);
q = 1;
if( w != Type(0) )
q = B[k][k] / w;
B[k][k] = q * ( z + w );
if( k != n - 1 )
for( int j=k1; j<n; ++j )
{
q = 0;
for( int i=k; i<m; ++i )
q += conj(B[i][k]) * B[i][j];
q /= z * ( z + w );
for( int i=k; i<m; ++i )
B[i][j] -= q * B[i][k];
}
// phase transformation
q = -conj(B[k][k]) / abs(B[k][k]);
for( int j=k1; j<n; ++j )
B[k][j] *= q;
}
// elimination of a[k][j], j = k+2, ..., n-1
if( k == nM1 )
break;
z = 0;
for( int j=k1; j<n; ++j )
z += norm( B[k][j] );
c[k1] = 0;
if( z > EPS )
{
z = sqrt(z);
c[k1] = z;
w = abs( B[k][k1] );
q = 1;
if( w != Type(0) )
q = B[k][k1] / w;
B[k][k1] = q * ( z + w );
for( int i=k1; i<m; ++i )
{
q = 0;
for( int j=k1; j<n; ++j )
q += conj(B[k][j]) * B[i][j];
q /= z * ( z + w );
for( int j=k1; j<n; ++j )
B[i][j] -= q * B[k][j];
}
// phase transformation
q = -conj(B[k][k1]) / abs(B[k][k1]);
for( int i=k1; i<m; ++i )
B[i][k1] *= q;
}
k = k1;
}
// tolerance for negligible elements
tol = 0;
for( k=0; k<n; ++k )
{
S[k] = b[k];
t[k] = c[k];
if( S[k]+t[k] > tol )
tol = S[k] + t[k];
}
tol *= eta;
// initialization fo U and V
for( int j=0; j<n; ++j )
{
for( int i=0; i<m; ++i )
U[i][j] = 0;
U[j][j] = 1;
for( int i=0; i<n; ++i )
V[i][j] = 0;
V[j][j] = 1;
}
// QR diagonallization
for( k = nM1; k >= 0; --k )
{
// test for split
while( 1 )
{
for( L=k; L>=0; --L )
{
if( abs(t[L]) <= tol )
goto Test;
if( abs(S[L - 1]) <= tol )
break;
}
// cancellation of E(L)
cs = 0;
sn = 1;
L1 = L - 1;
for( int i=L; i<=k; ++i )
{
f = sn * t[i];
t[i] *= cs;
if( abs(f) <= tol )
goto Test;
h = S[i];
w = sqrt( f*f + h*h );
S[i] = w;
cs = h / w;
sn = -f / w;
for( int j=0; j<n; ++j )
{
x = real( U[j][L1] );
y = real( U[j][i] );
U[j][L1] = x*cs + y*sn;
U[j][i] = y*cs - x*sn;
}
}
// test for convergence
Test: w = S[k];
if( L == k )
break;
// origin shift
x = S[L];
y = S[k-1];
g = t[k-1];
h = t[k];
f = ( (y-w)*(y+w) + (g-h)*(g+h) ) / ( 2*h*y);
g = sqrt( f*f + 1 );
if( f < Type(0) )
g = -g;
f = ( (x-w)*(x+w) + h*(y/(f+g)-h) ) / x;
// QR step
cs = 1;
sn = 1;
L1 = L + 1;
for( int i=L1; i<=k; ++i )
{
g = t[i];
y = S[i];
h = sn * g;
g = cs * g;
w = sqrt( h*h + f*f );
t[i-1] = w;
cs = f / w;
sn = h / w;
f = x * cs + g * sn;
g = g * cs - x * sn;
h = y * sn;
y = y * cs;
for( int j=0; j<n; ++j )
{
x = real( V[j][i-1] );
w = real( V[j][i] );
V[j][i-1] = x*cs + w*sn;
V[j][i] = w*cs - x*sn;
}
w = sqrt( h*h + f*f );
S[i-1] = w;
cs = f / w;
sn = h / w;
f = cs * g + sn * y;
x = cs * y - sn * g;
for( int j=0; j<n; ++j )
{
y = real(U[j][i-1]);
w = real(U[j][i]);
U[j][i-1] = y*cs + w*sn;
U[j][i] = w*cs - y*sn;
}
}
t[L] = 0;
t[k] = f;
S[k] = x;
}
// convergence
if( w >= Type(0) )
continue;
S[k] = -w;
for( int j=0; j<n; ++j )
V[j][k] = -V[j][k];
}
// sort dingular values
for( k=0; k<n; ++k )
{
g = -1.0;
int j = k;
for( int i=k; i<n; ++i )
{
if( S[i] <= g )
continue;
g = S[i];
j = i;
}
if( j == k )
continue;
S[j] = S[k];
S[k] = g;
for( int i=0; i<n; ++i )
{
q = V[i][j];
V[i][j] = V[i][k];
V[i][k] = q;
}
for( int i=0; i<n; ++i )
{
q = U[i][j];
U[i][j] = U[i][k];
U[i][k] = q;
}
}
// back transformation
for( k=nM1; k>=0; --k )
{
if( b[k] == Type(0) )
continue;
q = -B[k][k] / abs(B[k][k]);
for( int j=0; j<n; ++j )
U[k][j] *= q;
for( int j=0; j<n; ++j )
{
q = 0;
for( int i=k; i<m; ++i )
q += conj(B[i][k]) * U[i][j];
q /= abs(B[k][k]) * b[k];
for( int i=k; i<m; ++i )
U[i][j] -= q * B[i][k];
}
}
if( n > 1 )
{
for( k = n-2; k>=0; --k )
{
k1 = k + 1;
if( c[k1] == Type(0) )
continue;
q = -conj(B[k][k1]) / abs(B[k][k1]);
for( int j=0; j<n; ++j )
V[k1][j] *= q;
for( int j=0; j<n; ++j )
{
q = 0;
for( int i=k1; i<n; ++i )
q += B[k][i] * V[i][j];
q /= abs(B[k][k1]) * c[k1];
for( int i=k1; i<n; ++i )
V[i][j] -= q * conj(B[k][i]);
}
}
}
}
/**
* Get the left singular vectors.
*/
template<typename Type>
inline Matrix< complex<Type> > CSVD<Type>::getU() const
{
return U;
}
/**
* Get the singular values matrix.
*/
template<typename Type>
inline Matrix<Type> CSVD<Type>::getSM()
{
int N = S.size();
Matrix<Type> tmp( N, N );
for( int i=0; i<N; ++i )
tmp[i][i] = S[i];
return tmp;
}
/**
* Get the singular values vector.
*/
template<typename Type>
inline Vector<Type> CSVD<Type>::getSV() const
{
return S;
}
/**
* Get the right singular vectors.
*/
template<typename Type>
inline Matrix< complex<Type> > CSVD<Type>::getV() const
{
return V;
}
/**
* Two norm (max(S)).
*/
template <typename Type>
inline Type CSVD<Type>::norm2() const
{
return S[0];
}
/**
* Two norm of condition number (max(S)/min(S)).
*/
template <typename Type>
inline Type CSVD<Type>::cond() const
{
return ( S[0] / S(S.size()) );
}
/**
* Effective numerical matrix rank.
*/
template <typename Type>
int CSVD<Type>::rank()
{
int N = S.size();
double tol = N * S[0] * EPS;
int r = 0;
for( int i=0; i<N; ++i )
if( S[i] > tol )
r++;
return r;
}测试代码：
/*****************************************************************************
* csvd_test.cpp
*
* CSVD class testing.
*
* Zhang Ming, 2010-12, Xi'an Jiaotong University.
*****************************************************************************/
#define BOUNDS_CHECK
#include <iostream>
#include <iomanip>
#include <csvd.h>
using namespace std;
using namespace splab;
typedef double Type;
const int M = 4;
const int N = 5;
int main()
{
Matrix< complex<Type> > A( M, N ), B(M,N);
for( int i=0; i<M; i++ )
for( int j=0; j<N; j++ )
A[i][j] = complex<Type>( Type(0.3*i+0.7*j), sin(Type(i+j)) );
CSVD<Type> svd;
svd.dec(A);
Matrix< complex<Type> > U = svd.getU();
Matrix< complex<Type> > V = svd.getV();
Matrix<Type> S = svd.getSM();
Matrix< complex<Type> > CS = complexMatrix( S );
// Vector<Type> S = svd.getSV();
cout << setiosflags(ios::fixed) << setprecision(3);
cout << "Matrix--------A: " << A << endl;
cout << "Matrix--------U: " << U << endl;
cout << "Vector--------S: " << S << endl;
cout << "Matrix--------V: " << V << endl;
cout << "Matrix--------A - U * S * V^H: "
<< A - U*CS*trH(V) << endl;
// << A - U*multTr(CS,V) << endl;
cout << "The rank of A : " << svd.rank() << endl << endl;
cout << "The condition number of A : " << svd.cond() << endl << endl;
return 0;
}运行结果：
Matrix--------A: size: 4 by 5
(0.000,0.000) (0.700,0.841) (1.400,0.909) (2.100,0.141) (2.800,-0.757)
(0.300,0.841) (1.000,0.909) (1.700,0.141) (2.400,-0.757) (3.100,-0.959)
(0.600,0.909) (1.300,0.141) (2.000,-0.757) (2.700,-0.959) (3.400,-0.279)
(0.900,0.141) (1.600,-0.757) (2.300,-0.959) (3.000,-0.279) (3.700,0.657)
Matrix--------U: size: 4 by 4
(0.394,0.000) (-0.579,0.000) (0.632,0.000) (-0.331,0.000)
(0.466,-0.095) (-0.431,0.137) (-0.349,0.187) (0.642,0.005)
(0.524,-0.121) (0.130,0.031) (-0.537,0.070) (-0.629,-0.064)
(0.571,-0.060) (0.644,-0.164) (0.378,-0.085) (0.275,0.053)
Vector--------S: size: 4 by 4
9.642 0.000 0.000 0.000
0.000 2.428 0.000 0.000
0.000 0.000 1.021 0.000
0.000 0.000 0.000 0.028
Matrix--------V: size: 5 by 4
(0.080,-0.114) (0.267,0.027) (0.120,0.734) (0.561,0.118)
(0.236,-0.077) (0.254,0.521) (0.241,0.283) (-0.451,-0.114)
(0.398,-0.002) (0.145,0.504) (0.141,-0.301) (0.031,-0.058)
(0.547,0.024) (-0.022,-0.007) (-0.008,-0.372) (0.555,0.074)
(0.677,-0.042) (-0.156,-0.541) (0.009,0.243) (-0.371,-0.001)
Matrix--------A - U * S * V^H: size: 4 by 5
(0.000,0.000) (0.000,-0.000) (0.000,-0.000) (0.000,0.000) (0.000,0.000)
(0.000,-0.000) (0.000,-0.000) (-0.000,0.000) (0.000,0.000) (0.000,-0.000)
(0.000,0.000) (0.000,-0.000) (0.000,0.000) (0.000,0.000) (0.000,0.000)
(0.000,0.000) (0.000,-0.000) (-0.000,-0.000) (0.000,-0.000) (0.000,0.000)
The rank of A : 4
The condition number of A : 350.515
Process returned 0 (0x0) execution time : 0.094 s
Press any key to continue.
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