// // Math.NET Numerics, part of the Math.NET Project // http://numerics.mathdotnet.com // http://github.com/mathnet/mathnet-numerics // // Copyright (c) 2009-2013 Math.NET // // Permission is hereby granted, free of charge, to any person // obtaining a copy of this software and associated documentation // files (the "Software"), to deal in the Software without // restriction, including without limitation the rights to use, // copy, modify, merge, publish, distribute, sublicense, and/or sell // copies of the Software, and to permit persons to whom the // Software is furnished to do so, subject to the following // conditions: // // The above copyright notice and this permission notice shall be // included in all copies or substantial portions of the Software. // // THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, // EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES // OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND // NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT // HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, // WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING // FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR // OTHER DEALINGS IN THE SOFTWARE. // using System; namespace IStation.Numerics.LinearAlgebra.Factorization { using Numerics; using Complex = System.Numerics.Complex; /// /// Eigenvalues and eigenvectors of a real matrix. /// /// /// If A is symmetric, then A = V*D*V' where the eigenvalue matrix D is /// diagonal and the eigenvector matrix V is orthogonal. /// I.e. A = V*D*V' and V*VT=I. /// If A is not symmetric, then the eigenvalue matrix D is block diagonal /// with the real eigenvalues in 1-by-1 blocks and any complex eigenvalues, /// lambda + i*mu, in 2-by-2 blocks, [lambda, mu; -mu, lambda]. The /// columns of V represent the eigenvectors in the sense that A*V = V*D, /// i.e. A.Multiply(V) equals V.Multiply(D). The matrix V may be badly /// conditioned, or even singular, so the validity of the equation /// A = V*D*Inverse(V) depends upon V.Condition(). /// /// Supported data types are double, single, , and . public abstract class Evd : ISolver where T : struct, IEquatable, IFormattable { protected Evd(Matrix eigenVectors, Vector eigenValues, Matrix blockDiagonal, bool isSymmetric) { EigenVectors = eigenVectors; EigenValues = eigenValues; D = blockDiagonal; IsSymmetric = isSymmetric; } /// /// Gets or sets a value indicating whether matrix is symmetric or not /// public bool IsSymmetric { get; private set; } /// /// Gets the absolute value of determinant of the square matrix for which the EVD was computed. /// public abstract T Determinant { get; } /// /// Gets the effective numerical matrix rank. /// /// The number of non-negligible singular values. public abstract int Rank { get; } /// /// Gets a value indicating whether the matrix is full rank or not. /// /// true if the matrix is full rank; otherwise false. public abstract bool IsFullRank { get; } /// /// Gets or sets the eigen values (λ) of matrix in ascending value. /// public Vector EigenValues { get; private set; } /// /// Gets or sets eigenvectors. /// public Matrix EigenVectors { get; private set; } /// /// Gets or sets the block diagonal eigenvalue matrix. /// public Matrix D { get; private set; } /// /// Solves a system of linear equations, AX = B, with A EVD factorized. /// /// The right hand side , B. /// The left hand side , X. public virtual Matrix Solve(Matrix input) { var x = Matrix.Build.SameAs(EigenVectors, EigenVectors.ColumnCount, input.ColumnCount, fullyMutable: true); Solve(input, x); return x; } /// /// Solves a system of linear equations, AX = B, with A EVD 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 EVD factorized. /// /// The right hand side vector, b. /// The left hand side , x. public virtual Vector Solve(Vector input) { var x = Vector.Build.SameAs(EigenVectors, EigenVectors.ColumnCount); Solve(input, x); return x; } /// /// Solves a system of linear equations, Ax = b, with A EVD factorized. /// /// The right hand side vector, b. /// The left hand side , x. public abstract void Solve(Vector input, Vector result); } }