Single Value Decomposition class For an (m x n) matrix A with m >= n, the singular value decomposition is an (m x m) orthogonal matrix fU, an (m x n) diagonal matrix fS, and an (n x n) orthogonal matrix fV so that A = U*S*V'. If the row/column index of A starts at (rowLwb,colLwb) then the decomposed matrices/vectors start at : fU : (rowLwb,colLwb) fV : (colLwb,colLwb) fSig : (colLwb) The diagonal matrix fS is stored in the singular values vector fSig . The singular values, fSig[k] = S[k][k], are ordered so that fSig[0] >= fSig[1] >= ... >= fSig[n-1]. The singular value decompostion always exists, so the decomposition will (as long as m >=n) never fail. If m < n, the user should add sufficient zero rows to A , so that m == n Here fTol is used to set the threshold on the minimum allowed value of the singular values: min_singular = fTol*max(fSig[i])
virtual | ~TDecompSVD() |
void | TObject::AbstractMethod(const char* method) const |
virtual void | TObject::AppendPad(Option_t* option = "") |
virtual void | TObject::Browse(TBrowser* b) |
static TClass* | Class() |
virtual const char* | TObject::ClassName() const |
virtual void | TObject::Clear(Option_t* = "") |
virtual TObject* | TObject::Clone(const char* newname = "") const |
virtual Int_t | TObject::Compare(const TObject* obj) const |
virtual Double_t | Condition() |
virtual void | TObject::Copy(TObject& object) const |
virtual Bool_t | Decompose() |
virtual void | TObject::Delete(Option_t* option = "")MENU |
virtual void | Det(Double_t& d1, Double_t& d2) |
virtual Int_t | TObject::DistancetoPrimitive(Int_t px, Int_t py) |
virtual void | TObject::Draw(Option_t* option = "") |
virtual void | TObject::DrawClass() constMENU |
virtual TObject* | TObject::DrawClone(Option_t* option = "") constMENU |
virtual void | TObject::Dump() constMENU |
virtual void | TObject::Error(const char* method, const char* msgfmt) const |
virtual void | TObject::Execute(const char* method, const char* params, Int_t* error = 0) |
virtual void | TObject::Execute(TMethod* method, TObjArray* params, Int_t* error = 0) |
virtual void | TObject::ExecuteEvent(Int_t event, Int_t px, Int_t py) |
virtual void | TObject::Fatal(const char* method, const char* msgfmt) const |
virtual TObject* | TObject::FindObject(const char* name) const |
virtual TObject* | TObject::FindObject(const TObject* obj) const |
Int_t | TDecompBase::GetColLwb() const |
Double_t | TDecompBase::GetCondition() const |
Double_t | TDecompBase::GetDet1() const |
Double_t | TDecompBase::GetDet2() const |
virtual Option_t* | TObject::GetDrawOption() const |
static Long_t | TObject::GetDtorOnly() |
virtual const char* | TObject::GetIconName() const |
const TMatrixD | GetMatrix() |
virtual const char* | TObject::GetName() const |
virtual Int_t | GetNcols() const |
virtual Int_t | GetNrows() const |
virtual char* | TObject::GetObjectInfo(Int_t px, Int_t py) const |
static Bool_t | TObject::GetObjectStat() |
virtual Option_t* | TObject::GetOption() const |
Int_t | TDecompBase::GetRowLwb() const |
const TVectorD& | GetSig() |
virtual const char* | TObject::GetTitle() const |
Double_t | TDecompBase::GetTol() const |
const TMatrixD& | GetU() |
virtual UInt_t | TObject::GetUniqueID() const |
const TMatrixD& | GetV() |
virtual Bool_t | TObject::HandleTimer(TTimer* timer) |
virtual ULong_t | TObject::Hash() const |
virtual void | TObject::Info(const char* method, const char* msgfmt) const |
virtual Bool_t | TObject::InheritsFrom(const char* classname) const |
virtual Bool_t | TObject::InheritsFrom(const TClass* cl) const |
virtual void | TObject::Inspect() constMENU |
TMatrixD | Invert() |
Bool_t | Invert(TMatrixD& inv) |
TMatrixD | Invert(Bool_t& status) |
void | TObject::InvertBit(UInt_t f) |
virtual TClass* | IsA() const |
virtual Bool_t | TObject::IsEqual(const TObject* obj) const |
virtual Bool_t | TObject::IsFolder() const |
Bool_t | TObject::IsOnHeap() const |
virtual Bool_t | TObject::IsSortable() const |
Bool_t | TObject::IsZombie() const |
virtual void | TObject::ls(Option_t* option = "") const |
void | TObject::MayNotUse(const char* method) const |
virtual Bool_t | TDecompBase::MultiSolve(TMatrixD& B) |
virtual Bool_t | TObject::Notify() |
void | TObject::Obsolete(const char* method, const char* asOfVers, const char* removedFromVers) const |
void | TObject::operator delete(void* ptr) |
void | TObject::operator delete(void* ptr, void* vp) |
void | TObject::operator delete[](void* ptr) |
void | TObject::operator delete[](void* ptr, void* vp) |
void* | TObject::operator new(size_t sz) |
void* | TObject::operator new(size_t sz, void* vp) |
void* | TObject::operator new[](size_t sz) |
void* | TObject::operator new[](size_t sz, void* vp) |
TDecompSVD& | operator=(const TDecompSVD& source) |
virtual void | TObject::Paint(Option_t* option = "") |
virtual void | TObject::Pop() |
virtual void | Print(Option_t* opt = "") constMENU |
virtual Int_t | TObject::Read(const char* name) |
virtual void | TObject::RecursiveRemove(TObject* obj) |
void | TObject::ResetBit(UInt_t f) |
virtual void | TObject::SaveAs(const char* filename = "", Option_t* option = "") constMENU |
virtual void | TObject::SavePrimitive(ostream& out, Option_t* option = "") |
void | TObject::SetBit(UInt_t f) |
void | TObject::SetBit(UInt_t f, Bool_t set) |
virtual void | TObject::SetDrawOption(Option_t* option = "")MENU |
static void | TObject::SetDtorOnly(void* obj) |
virtual void | SetMatrix(const TMatrixD& a) |
static void | TObject::SetObjectStat(Bool_t stat) |
Double_t | TDecompBase::SetTol(Double_t tol) |
virtual void | TObject::SetUniqueID(UInt_t uid) |
virtual void | ShowMembers(TMemberInspector& insp) const |
virtual Bool_t | Solve(TVectorD& b) |
virtual Bool_t | Solve(TMatrixDColumn& b) |
virtual TVectorD | Solve(const TVectorD& b, Bool_t& ok) |
virtual void | Streamer(TBuffer&) |
void | StreamerNVirtual(TBuffer& ClassDef_StreamerNVirtual_b) |
virtual void | TObject::SysError(const char* method, const char* msgfmt) const |
TDecompSVD() | |
TDecompSVD(const TDecompSVD& another) | |
TDecompSVD(Int_t nrows, Int_t ncols) | |
TDecompSVD(const TMatrixD& m, Double_t tol = 0.) | |
TDecompSVD(Int_t row_lwb, Int_t row_upb, Int_t col_lwb, Int_t col_upb) | |
Bool_t | TObject::TestBit(UInt_t f) const |
Int_t | TObject::TestBits(UInt_t f) const |
virtual Bool_t | TransSolve(TVectorD& b) |
virtual Bool_t | TransSolve(TMatrixDColumn& b) |
virtual TVectorD | TransSolve(const TVectorD& b, Bool_t& ok) |
virtual void | TObject::UseCurrentStyle() |
virtual void | TObject::Warning(const char* method, const char* msgfmt) const |
virtual Int_t | TObject::Write(const char* name = 0, Int_t option = 0, Int_t bufsize = 0) |
virtual Int_t | TObject::Write(const char* name = 0, Int_t option = 0, Int_t bufsize = 0) const |
static Bool_t | Bidiagonalize(TMatrixD& v, TMatrixD& u, TVectorD& sDiag, TVectorD& oDiag) |
static void | Diag_1(TMatrixD& v, TVectorD& sDiag, TVectorD& oDiag, Int_t k) |
static void | Diag_2(TVectorD& sDiag, TVectorD& oDiag, Int_t k, Int_t l) |
static void | Diag_3(TMatrixD& v, TMatrixD& u, TVectorD& sDiag, TVectorD& oDiag, Int_t k, Int_t l) |
static Bool_t | Diagonalize(TMatrixD& v, TMatrixD& u, TVectorD& sDiag, TVectorD& oDiag) |
static void | TDecompBase::DiagProd(const TVectorD& diag, Double_t tol, Double_t& d1, Double_t& d2) |
virtual void | TObject::DoError(int level, const char* location, const char* fmt, va_list va) const |
virtual const TMatrixDBase& | GetDecompMatrix() const |
Int_t | TDecompBase::Hager(Double_t& est, Int_t iter = 5) |
void | TObject::MakeZombie() |
void | TDecompBase::ResetStatus() |
static void | SortSingular(TMatrixD& v, TMatrixD& u, TVectorD& sDiag) |
static TObject::<anonymous> | TObject::kBitMask | |
static TObject::EStatusBits | TObject::kCanDelete | |
static TObject::EStatusBits | TObject::kCannotPick | |
static TObject::EStatusBits | TObject::kHasUUID | |
static TObject::EStatusBits | TObject::kInvalidObject | |
static TObject::<anonymous> | TObject::kIsOnHeap | |
static TObject::EStatusBits | TObject::kIsReferenced | |
static TObject::EStatusBits | TObject::kMustCleanup | |
static TObject::EStatusBits | TObject::kNoContextMenu | |
static TObject::<anonymous> | TObject::kNotDeleted | |
static TObject::EStatusBits | TObject::kObjInCanvas | |
static TObject::<anonymous> | TObject::kOverwrite | |
static TObject::<anonymous> | TObject::kSingleKey | |
static TDecompSVD::<anonymous> | kWorkMax | |
static TObject::<anonymous> | TObject::kWriteDelete | |
static TObject::<anonymous> | TObject::kZombie |
Int_t | TDecompBase::fColLwb | Column lower bound of decomposed matrix |
Double_t | TDecompBase::fCondition | matrix condition number |
Double_t | TDecompBase::fDet1 | determinant mantissa |
Double_t | TDecompBase::fDet2 | determinant exponent for powers of 2 |
Int_t | TDecompBase::fRowLwb | Row lower bound of decomposed matrix |
TVectorD | fSig | diagonal of diagonal matrix |
Double_t | TDecompBase::fTol | sqrt(epsilon); epsilon is smallest number number so that 1+epsilon > 1 |
TMatrixD | fU | orthogonal matrix |
TMatrixD | fV | orthogonal matrix |
static TDecompBase::EMatrixDecompStat | TDecompBase::kCondition | |
static TDecompBase::EMatrixDecompStat | TDecompBase::kDecomposed | |
static TDecompBase::EMatrixDecompStat | TDecompBase::kDetermined | |
static TDecompBase::EMatrixDecompStat | TDecompBase::kInit | |
static TDecompBase::EMatrixDecompStat | TDecompBase::kMatrixSet | |
static TDecompBase::EMatrixDecompStat | TDecompBase::kPatternSet | |
static TDecompBase::EMatrixDecompStat | TDecompBase::kSingular | |
static TDecompBase::EMatrixDecompStat | TDecompBase::kValuesSet | |
static TDecompBase::<anonymous> | TDecompBase::kWorkMax |
Constructor for ([row_lwb..row_upb] x [col_lwb..col_upb]) matrix
SVD decomposition of matrix If the decomposition succeeds, bit kDecomposed is set , otherwise kSingular
Bidiagonalize the (m x n) - matrix a (stored in v) through a series of Householder transformations applied to the left (Q^T) and to the right (H) of a , so that A = Q . C . H^T with matrix C bidiagonal. Q and H are orthogonal matrices . Output: v - (n x n) - matrix H in the (n x n) part of v u - (m x m) - matrix Q^T sDiag - diagonal of the (m x n) C oDiag - off-diagonal elements of matrix C Test code for the output: const Int_t nRow = v.GetNrows(); const Int_t nCol = v.GetNcols(); TMatrixD H(v); H.ResizeTo(nCol,nCol); TMatrixD E1(nCol,nCol); E1.UnitMatrix(); TMatrixD Ht(TMatrixDBase::kTransposed,H); Bool_t ok = kTRUE; ok &= VerifyMatrixIdentity(Ht * H,E1,kTRUE,1.0e-13); ok &= VerifyMatrixIdentity(H * Ht,E1,kTRUE,1.0e-13); TMatrixD E2(nRow,nRow); E2.UnitMatrix(); TMatrixD Qt(u); TMatrixD Q(TMatrixDBase::kTransposed,Qt); ok &= VerifyMatrixIdentity(Q * Qt,E2,kTRUE,1.0e-13); TMatrixD C(nRow,nCol); TMatrixDDiag(C) = sDiag; for (Int_t i = 0; i < nCol-1; i++) C(i,i+1) = oDiag(i+1); TMatrixD A = Q*C*Ht; ok &= VerifyMatrixIdentity(A,a,kTRUE,1.0e-13);
Diagonalizes in an iterative fashion the bidiagonal matrix C as described through sDiag and oDiag, so that S' = U'^T . C . V' is diagonal. U' and V' are orthogonal matrices . Output: v - (n x n) - matrix H . V' in the (n x n) part of v u - (m x m) - matrix U'^T . Q^T sDiag - diagonal of the (m x n) S' return convergence flag: 0 -> no convergence 1 -> convergence Test code for the output: const Int_t nRow = v.GetNrows(); const Int_t nCol = v.GetNcols(); TMatrixD tmp = v; tmp.ResizeTo(nCol,nCol); TMatrixD Vprime = Ht*tmp; TMatrixD Vprimet(TMatrixDBase::kTransposed,Vprime); TMatrixD Uprimet = u*Q; TMatrixD Uprime(TMatrixDBase::kTransposed,Uprimet); TMatrixD Sprime(nRow,nCol); TMatrixDDiag(Sprime) = sDiag; ok &= VerifyMatrixIdentity(Uprimet * C * Vprime,Sprime,kTRUE,1.0e-13); ok &= VerifyMatrixIdentity(Q*Uprime * Sprime * Vprimet * Ht,a,kTRUE,1.0e-13);
Step 1 in the matrix diagonalization
Step 2 in the matrix diagonalization
Step 3 in the matrix diagonalization
Perform a permutation transformation on the diagonal matrix S', so that matrix S'' = U''^T . S' . V'' has diagonal elements ordered such that they do not increase. Output: v - (n x n) - matrix H . V' . V'' in the (n x n) part of v u - (m x m) - matrix U''^T . U'^T . Q^T sDiag - diagonal of the (m x n) S''
Solve Ax=b assuming the SVD form of A is stored . Solution returned in b. If A is of size (m x n), input vector b should be of size (m), however, the solution, returned in b, will be in the first (n) elements . For m > n , x is the least-squares solution of min(A . x - b)
Solve Ax=b assuming the SVD form of A is stored . Solution returned in the matrix column cb b. If A is of size (m x n), input vector b should be of size (m), however, the solution, returned in b, will be in the first (n) elements . For m > n , x is the least-squares solution of min(A . x - b)
Solve A^T x=b assuming the SVD form of A is stored . Solution returned in b.
Solve A^T x=b assuming the SVD form of A is stored . Solution returned in b.
For a matrix A(m,n), its inverse A_inv is defined as A * A_inv = A_inv * A = unit The user should always supply a matrix of size (m x m) ! If m > n , only the (n x m) part of the returned (pseudo inverse) matrix should be used .
For a matrix A(m,n), its inverse A_inv is defined as A * A_inv = A_inv * A = unit (n x m) Ainv is returned .