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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 34 5 67 8 10 Here is the vector b: 3 3 4 The solution is: -211
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: -0.2364.24
Here's a matrix whose columns are eigenvectors of A corresponding to these eigenvalues: -0.851 -0.5260.526 -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 12 1 0 -1 1 2 The determinant of A is -3 The inverse of A is: -0.667 1 0.3331.33 -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 0.8230.566 -0.605 Here is the right hand side b:-0.330.536 -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;lltpute(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;lltpute(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 1.291 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);
qrpute(A); // no dynamic memory allocation
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Eigen学习(九)稠密问题之线性代数和分解
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