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using System;
namespace IStation.Numerics.LinearAlgebra.Factorization
{
///
/// A class which encapsulates the functionality of the singular value decomposition (SVD).
/// Suppose M is an m-by-n matrix whose entries are real numbers.
/// Then there exists a factorization of the form M = UΣVT where:
/// - U is an m-by-m unitary matrix;
/// - Σ is m-by-n diagonal matrix with nonnegative real numbers on the diagonal;
/// - VT denotes transpose of V, an n-by-n unitary matrix;
/// Such a factorization is called a singular-value decomposition of M. A common convention is to order the diagonal
/// entries Σ(i,i) in descending order. In this case, the diagonal matrix Σ is uniquely determined
/// by M (though the matrices U and V are not). The diagonal entries of Σ are known as the singular values of M.
///
///
/// The computation of the singular value decomposition is done at construction time.
///
/// Supported data types are double, single, , and .
public abstract class Svd : ISolver
where T : struct, IEquatable, IFormattable
{
readonly Lazy> _lazyW;
/// Indicating whether U and VT matrices have been computed during SVD factorization.
protected readonly bool VectorsComputed;
protected Svd(Vector s, Matrix u, Matrix vt, bool vectorsComputed)
{
S = s;
U = u;
VT = vt;
VectorsComputed = vectorsComputed;
_lazyW = new Lazy>(ComputeW);
}
Matrix ComputeW()
{
var rows = U.RowCount;
var columns = VT.ColumnCount;
var result = Matrix.Build.SameAs(U, rows, columns);
for (var i = 0; i < rows; i++)
{
for (var j = 0; j < columns; j++)
{
if (i == j)
{
result.At(i, i, S[i]);
}
}
}
return result;
}
///
/// Gets the singular values (Σ) of matrix in ascending value.
///
public Vector S { get; }
///
/// Gets the left singular vectors (U - m-by-m unitary matrix)
///
public Matrix U { get; }
///
/// Gets the transpose right singular vectors (transpose of V, an n-by-n unitary matrix)
///
public Matrix VT { get; }
///
/// Returns the singular values as a diagonal .
///
/// The singular values as a diagonal .
public Matrix W => _lazyW.Value;
///
/// Gets the effective numerical matrix rank.
///
/// The number of non-negligible singular values.
public abstract int Rank { get; }
///
/// Gets the two norm of the .
///
/// The 2-norm of the .
public abstract double L2Norm { get; }
///
/// Gets the condition number max(S) / min(S)
///
/// The condition number.
public abstract T ConditionNumber { get; }
///
/// Gets the determinant of the square matrix for which the SVD was computed.
///
public abstract T Determinant { get; }
///
/// Solves a system of linear equations, AX = B, with A SVD factorized.
///
/// The right hand side , B.
/// The left hand side , X.
public virtual Matrix Solve(Matrix input)
{
if (!VectorsComputed)
{
throw new InvalidOperationException("The singular vectors were not computed.");
}
var x = Matrix.Build.SameAs(U, VT.ColumnCount, input.ColumnCount, fullyMutable: true);
Solve(input, x);
return x;
}
///
/// Solves a system of linear equations, AX = B, with A SVD factorized.
///
/// The right hand side , B.
/// The left hand side , X.
public abstract void Solve(Matrix input, Matrix result);
///
/// Solves a system of linear equations, Ax = b, with A SVD factorized.
///
/// The right hand side vector, b.
/// The left hand side , x.
public virtual Vector Solve(Vector input)
{
if (!VectorsComputed)
{
throw new InvalidOperationException("The singular vectors were not computed.");
}
var x = Vector.Build.SameAs(U, VT.ColumnCount);
Solve(input, x);
return x;
}
///
/// Solves a system of linear equations, Ax = b, with A SVD factorized.
///
/// The right hand side vector, b.
/// The left hand side , x.
public abstract void Solve(Vector input, Vector result);
}
}