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5600b05b09
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5600b05b09 | ||
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a49e357f4c | ||
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ea29ea27f2 |
+1
-1
@@ -4,7 +4,7 @@ project(Vector3D)
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add_subdirectory(src)
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add_subdirectory(src)
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add_subdirectory(unit-tests)
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add_subdirectory(unit-tests)
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set(CMAKE_CXX_STANDARD 11)
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set(CMAKE_CXX_STANDARD 17)
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add_compile_options(-Wall -Wextra -Wpedantic)
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add_compile_options(-Wall -Wextra -Wpedantic)
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add_compile_options (-fdiagnostics-color=always)
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add_compile_options (-fdiagnostics-color=always)
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@@ -57,3 +57,20 @@ set_target_properties(matrix
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PROPERTIES
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PROPERTIES
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LINKER_LANGUAGE CXX
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LINKER_LANGUAGE CXX
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)
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)
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# SVD
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add_library(svd
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STATIC
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SVD.cpp
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)
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target_link_libraries(svd
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PUBLIC
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vector-3d-intf
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PRIVATE
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)
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set_target_properties(svd
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PROPERTIES
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LINKER_LANGUAGE CXX
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)
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+3
-2
@@ -20,7 +20,8 @@ Matrix<rows, columns>::Matrix(const std::array<float, rows * columns> &array) {
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}
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}
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template <uint8_t rows, uint8_t columns>
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template <uint8_t rows, uint8_t columns>
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template <typename... Args>
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template <typename... Args,
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std::enable_if_t<(std::is_arithmetic_v<Args> && ...), int>>
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Matrix<rows, columns>::Matrix(Args... args) {
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Matrix<rows, columns>::Matrix(Args... args) {
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constexpr uint16_t arraySize{static_cast<uint16_t>(rows) *
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constexpr uint16_t arraySize{static_cast<uint16_t>(rows) *
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static_cast<uint16_t>(columns)};
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static_cast<uint16_t>(columns)};
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@@ -531,7 +532,7 @@ void Matrix<rows, columns>::QRDecomposition(Matrix<rows, columns> &Q,
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Q.Fill(0);
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Q.Fill(0);
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R.Fill(0);
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R.Fill(0);
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Matrix<rows, 1> a_col, e, u, Q_column_k{};
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Matrix<rows, 1> a_col, e, u, Q_column_k{};
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Matrix<1, rows> a_T, e_T{};
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Matrix<1, rows> e_T{};
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for (uint8_t column = 0; column < columns; column++) {
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for (uint8_t column = 0; column < columns; column++) {
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this->GetColumn(column, a_col);
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this->GetColumn(column, a_col);
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+6
-2
@@ -3,6 +3,7 @@
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#include <array>
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#include <array>
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#include <cstdint>
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#include <cstdint>
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#include <string>
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#include <string>
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#include <type_traits>
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// TODO: Add a function to calculate eigenvalues/vectors
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// TODO: Add a function to calculate eigenvalues/vectors
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// TODO: Add a function to compute RREF
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// TODO: Add a function to compute RREF
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@@ -29,9 +30,12 @@ public:
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Matrix(const Matrix<rows, columns> &other);
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Matrix(const Matrix<rows, columns> &other);
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/**
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/**
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* @brief Initialize a matrix directly with any number of arguments
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* @brief Initialize a matrix directly with scalar values
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* Uses SFINAE to only accept arithmetic types (int, float, double, etc.)
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*/
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*/
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template <typename... Args> Matrix(Args... args);
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template <typename... Args,
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std::enable_if_t<(std::is_arithmetic_v<Args> && ...), int> = 0>
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Matrix(Args... args);
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/**
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/**
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* @brief Create an identity matrix
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* @brief Create an identity matrix
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+540
@@ -0,0 +1,540 @@
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// This #ifndef section makes clangd happy so that it can properly do type hints
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// in this file
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#ifndef SVD_H_
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#define SVD_H_
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#include "SVD.hpp"
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#endif
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#ifdef SVD_H_ // since the .cpp file has to be included by the .hpp file this
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// will evaluate to true
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#include "SVD.hpp"
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#include <cstdint>
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// ============================================================================
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// SVD Building Block Implementations
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// ============================================================================
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float SVD::ComputeHouseholder(const float *x, uint8_t len, float *v,
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float &alpha) {
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// Compute ||x||
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float norm = 0.0f;
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for (uint8_t i = 0; i < len; i++) {
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norm += x[i] * x[i];
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}
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norm = sqrtf(norm);
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if (norm < 1e-30f) {
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alpha = 0.0f;
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for (uint8_t i = 0; i < len; i++) {
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v[i] = 0.0f;
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}
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return 0.0f;
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}
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// Choose sign to avoid cancellation: alpha has opposite sign of x[0]
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alpha = (x[0] >= 0.0f) ? -norm : norm;
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// v = x - alpha * e1, then normalize
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float v0 = x[0] - alpha;
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// Compute ||v||² directly: v0² + x₁² + ... + xₙ₋₁²
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float vv = v0 * v0;
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for (uint8_t i = 1; i < len; i++) {
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vv += x[i] * x[i];
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}
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if (vv < 1e-30f) {
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// Already aligned with e1
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for (uint8_t i = 0; i < len; i++) {
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v[i] = (i == 0) ? 1.0f : 0.0f;
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}
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return norm;
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}
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float scale = 1.0f / sqrtf(vv);
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for (uint8_t i = 0; i < len; i++) {
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v[i] = (i == 0) ? v0 * scale : x[i] * scale;
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}
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return norm;
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}
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void SVD::ApplyHouseholderLeft(Matrix<5, 5> &W, const float *v,
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uint8_t startRow, uint8_t endRow) {
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uint8_t len = endRow - startRow + 1;
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// Compute vᵀv (should be 2.0 for our normalized vectors, but compute
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// explicitly)
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float vv = 0.0f;
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for (uint8_t i = 0; i < len; i++) {
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vv += v[i] * v[i];
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}
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if (vv < 1e-30f)
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return;
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float twoOverVv = 2.0f / vv;
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// W = (I - 2vvᵀ) · W
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for (uint8_t col = 0; col < 5; col++) {
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float dot = 0.0f;
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for (uint8_t i = 0; i < len; i++) {
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dot += v[i] * W[startRow + i][col];
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}
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dot *= twoOverVv;
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for (uint8_t i = 0; i < len; i++) {
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W[startRow + i][col] -= dot * v[i];
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}
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}
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}
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void SVD::ApplyHouseholderRight(Matrix<5, 5> &W, const float *v,
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uint8_t startCol, uint8_t endCol) {
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uint8_t len = endCol - startCol + 1;
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float vv = 0.0f;
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for (uint8_t i = 0; i < len; i++) {
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vv += v[i] * v[i];
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}
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if (vv < 1e-30f)
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return;
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float twoOverVv = 2.0f / vv;
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// W = W · (I - 2vvᵀ)
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for (uint8_t row = 0; row < 5; row++) {
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float dot = 0.0f;
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for (uint8_t i = 0; i < len; i++) {
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dot += W[row][startCol + i] * v[i];
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}
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dot *= twoOverVv;
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for (uint8_t i = 0; i < len; i++) {
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W[row][startCol + i] -= dot * v[i];
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}
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}
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}
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void SVD::ComputeGivens(float x, float y, float &c, float &s) {
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float r = sqrtf(x * x + y * y);
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if (r < 1e-30f) {
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c = 1.0f;
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s = 0.0f;
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return;
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}
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c = x / r;
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s = y / r;
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}
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void SVD::ApplyGivensLeft(Matrix<5, 5> &W, uint8_t i, uint8_t j, float c,
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float s, uint8_t startCol, uint8_t endCol) {
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// [c s] [row_i] = [new_row_i]
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// [-s c] [row_j] [new_row_j]
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for (uint8_t col = startCol; col <= endCol && col < 5; col++) {
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float t1 = W[i][col];
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float t2 = W[j][col];
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W[i][col] = c * t1 + s * t2;
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W[j][col] = -s * t1 + c * t2;
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}
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}
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void SVD::ApplyGivensRight(Matrix<5, 5> &W, uint8_t i, uint8_t j, float c,
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float s, uint8_t startRow, uint8_t endRow) {
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// [col_i col_j] · [c -s] = [new_col_i new_col_j]
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// [s c]
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for (uint8_t row = startRow; row <= endRow && row < 5; row++) {
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float t1 = W[row][i];
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float t2 = W[row][j];
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W[row][i] = c * t1 + s * t2;
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W[row][j] = -s * t1 + c * t2;
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}
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}
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// ============================================================================
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// SVD Implementation - Golub-Kahan-Reinsch Algorithm
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// ============================================================================
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/**
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* @brief SVD for any m×n matrix using Householder bidiagonalization +
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* implicit QR iteration on the bidiagonal form.
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*
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* Given A (m×n), computes U (m×k), Σ (k×k diagonal), Vᵀ (k×n) where
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* k = min(m,n) and A = U·Σ·Vᵀ.
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*
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* We store results as:
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* - U: Matrix<m, n> — first k columns are meaningful
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* - sigma: Matrix<n, 1> — first k entries are non-zero singular values
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* - Vt: Matrix<n, n> — first k rows are meaningful
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*
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* For m < n (wide matrices), we work with Aᵀ and swap roles of U and V.
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*/
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template <uint8_t rows, uint8_t columns>
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void SVD::SVD(Matrix<rows, columns> &matrixToDecompose,
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Matrix<rows, columns> &U, Matrix<columns, 1> &sigma,
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Matrix<columns, columns> &Vt) {
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static_assert(rows <= 5 && columns <= 5,
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"SVD currently supports matrices up to 5×5");
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uint8_t m = rows;
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uint8_t n = columns;
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uint8_t p = (m < n) ? m : n; // rank = min(m,n)
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// For wide matrices (m < n), work with Aᵀ instead.
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// SVD(A) = U·Σ·Vᵀ ⟺ SVD(Aᵀ) = V·Σ·Uᵀ
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// So if we compute SVD(Aᵀ) = Ũ·Σ·Ṽᵀ, then U = Ṽ and Vt = Ũᵀ.
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bool transposeNeeded = (m < n);
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// Working matrix: always p×p or larger square
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Matrix<5, 5> W{0};
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for (uint8_t i = 0; i < m; i++) {
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for (uint8_t j = 0; j < n; j++) {
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float val = matrixToDecompose.Get(i, j);
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if (transposeNeeded) {
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W[j][i] = val; // store Aᵀ
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} else {
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W[i][j] = val;
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}
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}
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}
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// After bidiagonalization, W holds the bidiagonal matrix B.
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// Q_L and Q_R accumulate the Householder transformations.
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Matrix<5, 5> QL{0}, QR{0};
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for (uint8_t i = 0; i < 5; i++) {
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QL[i][i] = 1;
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QR[i][i] = 1;
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}
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// ---- Phase 1: Householder Bidiagonalization ----
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// Reduce W to upper bidiagonal form using Householder reflections.
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// For a p×q matrix (p ≤ q after transpose), we do p steps:
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// Step k: zero out subdiagonal in column k, then superdiagonal in row k
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float hhVec[5]; // Householder vector storage
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for (uint8_t k = 0; k < p; k++) {
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// --- Left Householder on column k, rows k..min(m,n)-1 ---
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{
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uint8_t len = (m > n) ? m - k : n - k;
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if (len <= 1)
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continue;
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// Extract the column segment
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float x[5];
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for (uint8_t i = 0; i < len; i++) {
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x[i] = W[k + i][k];
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}
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// Compute Householder reflection: H·x = [α, 0, ..., 0]ᵀ
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float norm = 0;
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for (uint8_t i = 0; i < len; i++)
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norm += x[i] * x[i];
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norm = sqrtf(norm);
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if (norm < 1e-30f)
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continue;
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||||||
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float alpha = (x[0] >= 0) ? -norm : norm;
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float v0 = x[0] - alpha;
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float vv = v0 * v0 + norm * norm - alpha * x[0];
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if (vv < 1e-30f)
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continue;
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||||||
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float scale = 1.0f / sqrtf(vv);
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// Store Householder vector (first element is implicit 1, rest in hhVec)
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hhVec[0] =
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v0 * scale; // this is the first element of the reflected vector
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for (uint8_t i = 1; i < len; i++) {
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hhVec[i] = x[i] * scale;
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}
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// Apply H from left to W: W = H·W
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// For each column j, w[k+i][j] -= 2·v_i·(vᵀ·w_col) / (vᵀv)
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float vvNorm = 1.0f + hhVec[0] * hhVec[0];
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for (uint8_t i = 1; i < len; i++) {
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vvNorm += hhVec[i] * hhVec[i];
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}
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||||||
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for (uint8_t j = k; j < n; j++) {
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float dot = 0;
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||||||
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for (uint8_t i = 0; i < len; i++) {
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dot += hhVec[i] * W[k + i][j];
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}
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dot *= 2.0f / vvNorm;
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for (uint8_t i = 0; i < len; i++) {
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W[k + i][j] -= dot * hhVec[i];
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||||||
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}
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||||||
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}
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||||||
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||||||
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// Apply H from right to QL: QL = QL · H
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||||||
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for (uint8_t j = k; j < m; j++) {
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float dot = 0;
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||||||
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for (uint8_t i = 0; i < len; i++) {
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||||||
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dot += hhVec[i] * QL[j][k + i];
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||||||
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}
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||||||
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dot *= 2.0f / vvNorm;
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||||||
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for (uint8_t i = 0; i < len; i++) {
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QL[j][k + i] -= dot * hhVec[i];
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||||||
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}
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||||||
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}
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||||||
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}
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||||||
|
|
||||||
|
// --- Right Householder on row k, columns k+1..min(m,n)-1 ---
|
||||||
|
{
|
||||||
|
uint8_t len = (p > 1) ? p - 1 - k : 0;
|
||||||
|
if (len <= 0)
|
||||||
|
continue;
|
||||||
|
|
||||||
|
// Extract the row segment
|
||||||
|
float x[5];
|
||||||
|
for (uint8_t i = 0; i < len; i++) {
|
||||||
|
x[i] = W[k][k + 1 + i];
|
||||||
|
}
|
||||||
|
|
||||||
|
// Compute Householder reflection
|
||||||
|
float norm = 0;
|
||||||
|
for (uint8_t i = 0; i < len; i++)
|
||||||
|
norm += x[i] * x[i];
|
||||||
|
norm = sqrtf(norm);
|
||||||
|
|
||||||
|
if (norm < 1e-30f)
|
||||||
|
continue;
|
||||||
|
|
||||||
|
float alpha = (x[0] >= 0) ? -norm : norm;
|
||||||
|
float v0 = x[0] - alpha;
|
||||||
|
float vv = v0 * v0 + norm * norm - alpha * x[0];
|
||||||
|
if (vv < 1e-30f)
|
||||||
|
continue;
|
||||||
|
|
||||||
|
float scale = 1.0f / sqrtf(vv);
|
||||||
|
hhVec[0] = v0 * scale;
|
||||||
|
for (uint8_t i = 1; i < len; i++) {
|
||||||
|
hhVec[i] = x[i] * scale;
|
||||||
|
}
|
||||||
|
|
||||||
|
// Compute vᵀv
|
||||||
|
float vvNorm = 1.0f + hhVec[0] * hhVec[0];
|
||||||
|
for (uint8_t i = 1; i < len; i++) {
|
||||||
|
vvNorm += hhVec[i] * hhVec[i];
|
||||||
|
}
|
||||||
|
|
||||||
|
// Apply H from right to W: W = W·H
|
||||||
|
for (uint8_t i = 0; i < m; i++) {
|
||||||
|
float dot = 0;
|
||||||
|
for (uint8_t j = 0; j < len; j++) {
|
||||||
|
dot += hhVec[j] * W[i][k + 1 + j];
|
||||||
|
}
|
||||||
|
dot *= 2.0f / vvNorm;
|
||||||
|
for (uint8_t j = 0; j < len; j++) {
|
||||||
|
W[i][k + 1 + j] -= dot * hhVec[j];
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
// Apply H from right to QR: QR = QR · H
|
||||||
|
for (uint8_t i = 0; i < n; i++) {
|
||||||
|
float dot = 0;
|
||||||
|
for (uint8_t j = 0; j < len; j++) {
|
||||||
|
dot += hhVec[j] * QR[i][k + 1 + j];
|
||||||
|
}
|
||||||
|
dot *= 2.0f / vvNorm;
|
||||||
|
for (uint8_t j = 0; j < len; j++) {
|
||||||
|
QR[i][k + 1 + j] -= dot * hhVec[j];
|
||||||
|
}
|
||||||
|
}
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
// ---- Phase 2: Implicit QR Iteration on Bidiagonal Matrix ----
|
||||||
|
// W now contains the upper bidiagonal matrix B.
|
||||||
|
// We apply implicit QR steps to diagonalize it.
|
||||||
|
|
||||||
|
uint32_t maxIter = 1000;
|
||||||
|
float tol = 1e-8f;
|
||||||
|
|
||||||
|
for (uint32_t iter = 0; iter < maxIter; iter++) {
|
||||||
|
// Deflate: zero out negligible subdiagonal elements
|
||||||
|
for (uint8_t i = p - 1; i > 0; i--) {
|
||||||
|
float test = fabsf(W[i][i - 1]);
|
||||||
|
float scale = fabsf(W[i - 1][i - 1]) + fabsf(W[i][i]);
|
||||||
|
if (test < tol * (scale + 1e-30f)) {
|
||||||
|
W[i][i - 1] = 0;
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
// Find the smallest unreduced block [start..end]
|
||||||
|
uint8_t start = 0, end = p - 1;
|
||||||
|
for (uint8_t i = 0; i < p - 1; i++) {
|
||||||
|
if (fabsf(W[i + 1][i]) >
|
||||||
|
tol * (fabsf(W[i][i]) + fabsf(W[i + 1][i + 1]) + 1e-30f)) {
|
||||||
|
start = i + 1;
|
||||||
|
}
|
||||||
|
}
|
||||||
|
for (int8_t i = (int8_t)p - 2; i >= 0; i--) {
|
||||||
|
if (fabsf(W[i + 1][i]) >
|
||||||
|
tol * (fabsf(W[i][i]) + fabsf(W[i + 1][i + 1]) + 1e-30f)) {
|
||||||
|
end = (uint8_t)i;
|
||||||
|
break;
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
// Check convergence of the block
|
||||||
|
if (start >= end) {
|
||||||
|
continue;
|
||||||
|
}
|
||||||
|
|
||||||
|
bool blockConverged = true;
|
||||||
|
for (uint8_t i = start; i <= end; i++) {
|
||||||
|
if (i > start && fabsf(W[i][i - 1]) > tol * (fabsf(W[i - 1][i - 1]) +
|
||||||
|
fabsf(W[i][i]) + 1e-30f)) {
|
||||||
|
blockConverged = false;
|
||||||
|
break;
|
||||||
|
}
|
||||||
|
if (i < end &&
|
||||||
|
fabsf(W[i][i + 1]) >
|
||||||
|
tol * (fabsf(W[i][i]) + fabsf(W[i + 1][i + 1]) + 1e-30f)) {
|
||||||
|
blockConverged = false;
|
||||||
|
break;
|
||||||
|
}
|
||||||
|
}
|
||||||
|
if (blockConverged)
|
||||||
|
continue;
|
||||||
|
|
||||||
|
// Wilkinson shift from bottom 2×2 corner
|
||||||
|
float a = W[end - 1][end - 1];
|
||||||
|
float b = W[end - 1][end];
|
||||||
|
float c = W[end][end - 1];
|
||||||
|
float d = W[end][end];
|
||||||
|
|
||||||
|
float trace = a + d;
|
||||||
|
float det = a * d - b * c;
|
||||||
|
float disc = trace * trace - 4.0f * det;
|
||||||
|
float shift;
|
||||||
|
if (disc >= 0) {
|
||||||
|
float sqrtDisc = sqrtf(disc);
|
||||||
|
float e1 = (trace + sqrtDisc) / 2.0f;
|
||||||
|
float e2 = (trace - sqrtDisc) / 2.0f;
|
||||||
|
shift = (fabsf(e1 - d) < fabsf(e2 - d)) ? e1 : e2;
|
||||||
|
} else {
|
||||||
|
shift = d;
|
||||||
|
}
|
||||||
|
|
||||||
|
// --- Implicit QR step using Givens rotations ---
|
||||||
|
// First, apply Givens rotation from the left to zero out (W[start][start-1]
|
||||||
|
// - shift) For the bidiagonal structure, we process from top to bottom.
|
||||||
|
|
||||||
|
float x = W[start][start] - shift;
|
||||||
|
float y = (start > 0) ? W[start][start - 1] : 0.0f;
|
||||||
|
|
||||||
|
for (uint8_t i = start; i <= end; i++) {
|
||||||
|
float r = sqrtf(x * x + y * y);
|
||||||
|
if (r < 1e-30f) {
|
||||||
|
x = W[i][i];
|
||||||
|
y = (i < end) ? W[i + 1][i] : 0.0f;
|
||||||
|
continue;
|
||||||
|
}
|
||||||
|
|
||||||
|
float cs = x / r;
|
||||||
|
float sn = y / r;
|
||||||
|
|
||||||
|
// Apply Givens from left to rows i, i+1 of W (columns i..p-1)
|
||||||
|
for (uint8_t j = i; j < p; j++) {
|
||||||
|
float t1 = W[i][j];
|
||||||
|
float t2 = W[i + 1][j];
|
||||||
|
W[i][j] = cs * t1 + sn * t2;
|
||||||
|
W[i + 1][j] = -sn * t1 + cs * t2;
|
||||||
|
}
|
||||||
|
|
||||||
|
// Apply Givens from right to columns i, i+1 of W (rows 0..i)
|
||||||
|
if (i > start) {
|
||||||
|
for (uint8_t j = 0; j <= i; j++) {
|
||||||
|
float t1 = W[j][i];
|
||||||
|
float t2 = W[j][i + 1];
|
||||||
|
W[j][i] = cs * t1 + sn * t2;
|
||||||
|
W[j][i + 1] = -sn * t1 + cs * t2;
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
// Accumulate right transformations into QR
|
||||||
|
for (uint8_t j = 0; j < n; j++) {
|
||||||
|
float t1 = QR[j][i];
|
||||||
|
float t2 = QR[j][i + 1];
|
||||||
|
QR[j][i] = cs * t1 + sn * t2;
|
||||||
|
QR[j][i + 1] = -sn * t1 + cs * t2;
|
||||||
|
}
|
||||||
|
|
||||||
|
// Prepare next Givens rotation
|
||||||
|
x = W[i + 1][i];
|
||||||
|
y = (i + 1 < end) ? W[i + 1][i + 1] : 0.0f;
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
// ---- Phase 3: Extract Results ----
|
||||||
|
// Singular values are the absolute values of diagonal elements of W
|
||||||
|
for (uint8_t i = 0; i < p; i++) {
|
||||||
|
sigma[i][0] = fabsf(W[i][i]);
|
||||||
|
}
|
||||||
|
|
||||||
|
// Sort singular values in descending order and reorder U, V accordingly
|
||||||
|
for (uint8_t i = 0; i < p - 1; i++) {
|
||||||
|
for (uint8_t j = i + 1; j < p; j++) {
|
||||||
|
if (sigma[j][0] > sigma[i][0]) {
|
||||||
|
float tmpS = sigma[i][0];
|
||||||
|
sigma[i][0] = sigma[j][0];
|
||||||
|
sigma[j][0] = tmpS;
|
||||||
|
|
||||||
|
// Swap columns of QL
|
||||||
|
for (uint8_t k = 0; k < 5; k++) {
|
||||||
|
float tmpQ = QL[k][i];
|
||||||
|
QL[k][i] = QL[k][j];
|
||||||
|
QL[k][j] = tmpQ;
|
||||||
|
}
|
||||||
|
|
||||||
|
// Swap columns of QR
|
||||||
|
for (uint8_t k = 0; k < 5; k++) {
|
||||||
|
float tmpQ = QR[k][i];
|
||||||
|
QR[k][i] = QR[k][j];
|
||||||
|
QR[k][j] = tmpQ;
|
||||||
|
}
|
||||||
|
}
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
// ---- Phase 4: Compute Final U and Vt ----
|
||||||
|
// If transposeNeeded (wide matrix), we computed SVD(Aᵀ) = Ũ·Σ·Ṽᵀ
|
||||||
|
// Then U = Ṽ (= QR[:,0:p]) and Vt = Ũᵀ (= QL[:,0:p]ᵀ)
|
||||||
|
// Otherwise, SVD(A) = QL[:,0:p] · Σ · (QR[:,0:p])ᵀ
|
||||||
|
// So U = QL[:,0:p] and Vt = QR[:,0:p]ᵀ
|
||||||
|
|
||||||
|
for (uint8_t i = 0; i < m; i++) {
|
||||||
|
for (uint8_t j = 0; j < n; j++) {
|
||||||
|
if (j < p) {
|
||||||
|
if (transposeNeeded) {
|
||||||
|
// U = QR[:, 0:p]ᵀ → U[i][j] = QR[j][i]
|
||||||
|
U[i][j] = QR[j][i];
|
||||||
|
} else {
|
||||||
|
// U = QL[:, 0:p]
|
||||||
|
U[i][j] = QL[i][j];
|
||||||
|
}
|
||||||
|
} else {
|
||||||
|
U[i][j] = 0;
|
||||||
|
}
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
for (uint8_t i = 0; i < n; i++) {
|
||||||
|
for (uint8_t j = 0; j < m; j++) {
|
||||||
|
if (i < p && j < m) {
|
||||||
|
if (transposeNeeded) {
|
||||||
|
// Vt = QL[:, 0:p]ᵀ → Vt[i][j] = QL[j][i]
|
||||||
|
Vt[i][j] = QL[j][i];
|
||||||
|
} else {
|
||||||
|
// Vt = QR[:, 0:p]ᵀ → Vt[i][j] = QR[j][i]
|
||||||
|
Vt[i][j] = QR[j][i];
|
||||||
|
}
|
||||||
|
} else {
|
||||||
|
Vt[i][j] = 0;
|
||||||
|
}
|
||||||
|
}
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
#endif
|
||||||
+131
@@ -0,0 +1,131 @@
|
|||||||
|
#pragma once
|
||||||
|
#include "Matrix.hpp"
|
||||||
|
|
||||||
|
/**
|
||||||
|
* @brief library that uses Matrix.hpp and performs SVD on a matrix
|
||||||
|
*/
|
||||||
|
namespace SVD {
|
||||||
|
/**
|
||||||
|
* @brief Compute the Singular Value Decomposition (SVD) of this matrix.
|
||||||
|
*
|
||||||
|
* Decomposes A into U × Σ × Vᵀ where:
|
||||||
|
* - U is an m×k orthogonal matrix (left singular vectors)
|
||||||
|
* - Σ is a k×k diagonal matrix with non-negative singular values
|
||||||
|
* (stored as a k×1 column vector)
|
||||||
|
* - Vᵀ is a k×n orthogonal matrix (right singular vectors, transposed)
|
||||||
|
* - k = min(m, n)
|
||||||
|
*
|
||||||
|
* The decomposition satisfies: A ≈ U × diag(Σ) × Vᵀ
|
||||||
|
* Singular values are returned in descending order.
|
||||||
|
*
|
||||||
|
* @param U Output: left singular vectors (m×k orthogonal matrix)
|
||||||
|
* @param sigma Output: singular values as k×1 column vector, sorted descending
|
||||||
|
* @param Vt Output: right singular vectors transposed (k×n matrix)
|
||||||
|
*
|
||||||
|
* @note This implementation uses the Golub-Kahan-Reinsch algorithm:
|
||||||
|
* 1. Householder bidiagonalization of A
|
||||||
|
* 2. Implicit QR iteration on the bidiagonal matrix
|
||||||
|
* 3. Accumulation of U and V factors throughout
|
||||||
|
*/
|
||||||
|
template <uint8_t rows, uint8_t columns>
|
||||||
|
void SVD(Matrix<rows, columns> &matrixToDecompose, Matrix<rows, columns> &U,
|
||||||
|
Matrix<columns, 1> &sigma, Matrix<columns, columns> &Vt);
|
||||||
|
|
||||||
|
// ========================================================================
|
||||||
|
// SVD Building Block Functions (for unit testing)
|
||||||
|
// These operate on internal 5×5 working arrays for maximum flexibility.
|
||||||
|
// ========================================================================
|
||||||
|
|
||||||
|
/**
|
||||||
|
* @brief Compute a Householder reflector vector.
|
||||||
|
*
|
||||||
|
* Given input vector x, computes normalized v and scalar alpha such that:
|
||||||
|
* (I - 2·v·vᵀ) · x = [alpha, 0, 0, ...]ᵀ
|
||||||
|
*
|
||||||
|
* @param x Input vector (up to 5 elements)
|
||||||
|
* @param len Number of valid elements in x
|
||||||
|
* @param v Output: normalized Householder vector (v[0] is the first element)
|
||||||
|
* @param alpha Output: the resulting first element after reflection
|
||||||
|
* @return The norm of the input vector x
|
||||||
|
*/
|
||||||
|
static float ComputeHouseholder(const float *x, uint8_t len, float *v,
|
||||||
|
float &alpha);
|
||||||
|
|
||||||
|
/**
|
||||||
|
* @brief Apply a Householder reflection from the left.
|
||||||
|
*
|
||||||
|
* Transforms W = (I - 2·v·vᵀ) · W where v operates on rows [startRow..endRow].
|
||||||
|
*
|
||||||
|
* @param W Input/output: matrix to transform (5×5 working array)
|
||||||
|
* @param v Householder vector (length = endRow - startRow + 1)
|
||||||
|
* @param startRow First row index
|
||||||
|
* @param endRow Last row index
|
||||||
|
*/
|
||||||
|
static void ApplyHouseholderLeft(Matrix<5, 5> &W, const float *v,
|
||||||
|
uint8_t startRow, uint8_t endRow);
|
||||||
|
|
||||||
|
/**
|
||||||
|
* @brief Apply a Householder reflection from the right.
|
||||||
|
*
|
||||||
|
* Transforms W = W · (I - 2·v·vᵀ) where v operates on columns
|
||||||
|
* [startCol..endCol].
|
||||||
|
*
|
||||||
|
* @param W Input/output: matrix to transform (5×5 working array)
|
||||||
|
* @param v Householder vector (length = endCol - startCol + 1)
|
||||||
|
* @param startCol First column index
|
||||||
|
* @param endCol Last column index
|
||||||
|
*/
|
||||||
|
static void ApplyHouseholderRight(Matrix<5, 5> &W, const float *v,
|
||||||
|
uint8_t startCol, uint8_t endCol);
|
||||||
|
|
||||||
|
/**
|
||||||
|
* @brief Compute a Givens rotation that zeros out y.
|
||||||
|
*
|
||||||
|
* Computes c, s such that:
|
||||||
|
* [c s] [x] = [r]
|
||||||
|
* [-s c] [y] [0]
|
||||||
|
* where r = sqrt(x² + y²).
|
||||||
|
*
|
||||||
|
* @param x First element
|
||||||
|
* @param y Second element (to be zeroed)
|
||||||
|
* @param c Output: cosine of rotation angle
|
||||||
|
* @param s Output: sine of rotation angle
|
||||||
|
*/
|
||||||
|
static void ComputeGivens(float x, float y, float &c, float &s);
|
||||||
|
|
||||||
|
/**
|
||||||
|
* @brief Apply a Givens rotation from the left to rows i and j.
|
||||||
|
*
|
||||||
|
* Applies [c s; -s c] to rows i, j of W (columns startCol..endCol).
|
||||||
|
*
|
||||||
|
* @param W Input/output: matrix to transform
|
||||||
|
* @param i First row index
|
||||||
|
* @param j Second row index
|
||||||
|
* @param c Cosine of rotation angle
|
||||||
|
* @param s Sine of rotation angle
|
||||||
|
* @param startCol First column to transform
|
||||||
|
* @param endCol Last column to transform
|
||||||
|
*/
|
||||||
|
static void ApplyGivensLeft(Matrix<5, 5> &W, uint8_t i, uint8_t j, float c,
|
||||||
|
float s, uint8_t startCol, uint8_t endCol);
|
||||||
|
|
||||||
|
/**
|
||||||
|
* @brief Apply a Givens rotation from the right to columns i and j.
|
||||||
|
*
|
||||||
|
* Applies [c -s; s c]ᵀ to columns i, j of W (rows startRow..endRow).
|
||||||
|
*
|
||||||
|
* @param W Input/output: matrix to transform
|
||||||
|
* @param i First column index
|
||||||
|
* @param j Second column index
|
||||||
|
* @param c Cosine of rotation angle
|
||||||
|
* @param s Sine of rotation angle
|
||||||
|
* @param startRow First row to transform
|
||||||
|
* @param endRow Last row to transform
|
||||||
|
*/
|
||||||
|
static void ApplyGivensRight(Matrix<5, 5> &W, uint8_t i, uint8_t j, float c,
|
||||||
|
float s, uint8_t startRow, uint8_t endRow);
|
||||||
|
} // namespace SVD
|
||||||
|
|
||||||
|
#ifndef SVD_H_
|
||||||
|
#include "SVD.cpp"
|
||||||
|
#endif // SVD_H_
|
||||||
@@ -33,3 +33,23 @@ target_link_libraries(vector-3d-tests
|
|||||||
vector-3d
|
vector-3d
|
||||||
Catch2::Catch2WithMain
|
Catch2::Catch2WithMain
|
||||||
)
|
)
|
||||||
|
|
||||||
|
# SVD building block tests
|
||||||
|
add_executable(svd-build-blocks-tests svd-build-blocks-tests.cpp)
|
||||||
|
|
||||||
|
target_link_libraries(svd-build-blocks-tests
|
||||||
|
PRIVATE
|
||||||
|
matrix
|
||||||
|
svd
|
||||||
|
Catch2::Catch2WithMain
|
||||||
|
)
|
||||||
|
|
||||||
|
# SVD integration tests
|
||||||
|
add_executable(svd-integration-test svd-integration-test.cpp)
|
||||||
|
|
||||||
|
target_link_libraries(svd-integration-test
|
||||||
|
PRIVATE
|
||||||
|
matrix
|
||||||
|
svd
|
||||||
|
Catch2::Catch2WithMain
|
||||||
|
)
|
||||||
@@ -4,6 +4,7 @@
|
|||||||
|
|
||||||
// include the module you're going to test next
|
// include the module you're going to test next
|
||||||
#include "Matrix.hpp"
|
#include "Matrix.hpp"
|
||||||
|
#include "SVD.hpp"
|
||||||
|
|
||||||
// any other libraries
|
// any other libraries
|
||||||
#include <array>
|
#include <array>
|
||||||
@@ -638,3 +639,398 @@ TEST_CASE("Eigenvalues and Vectors", "Matrix") {
|
|||||||
REQUIRE_THAT(values[2][0], Catch::Matchers::WithinRel(16.1168f, 1e-4f));
|
REQUIRE_THAT(values[2][0], Catch::Matchers::WithinRel(16.1168f, 1e-4f));
|
||||||
}
|
}
|
||||||
}
|
}
|
||||||
|
|
||||||
|
// ============================================================================
|
||||||
|
// SVD Tests — Reference values computed via scipy.linalg.svd (Python)
|
||||||
|
// ============================================================================
|
||||||
|
|
||||||
|
/**
|
||||||
|
* @brief Helper: compute Frobenius norm of a matrix.
|
||||||
|
*/
|
||||||
|
template <uint8_t rows, uint8_t columns>
|
||||||
|
static float frobeniusNorm(const Matrix<rows, columns> &M) {
|
||||||
|
float sum = 0;
|
||||||
|
for (uint8_t i = 0; i < rows; i++) {
|
||||||
|
for (uint8_t j = 0; j < columns; j++) {
|
||||||
|
float v = M.Get(i, j);
|
||||||
|
sum += v * v;
|
||||||
|
}
|
||||||
|
}
|
||||||
|
return sqrtf(sum);
|
||||||
|
}
|
||||||
|
|
||||||
|
/**
|
||||||
|
* @brief Helper: compute reconstruction error ||A - UΣVᵀ||_F.
|
||||||
|
*
|
||||||
|
* Verifies the fundamental SVD identity A = U × diag(σ) × Vᵀ.
|
||||||
|
* For non-square matrices, only the first min(rows,cols) singular values
|
||||||
|
* contribute to the reconstruction.
|
||||||
|
*/
|
||||||
|
template <uint8_t rows, uint8_t columns>
|
||||||
|
static float svdReconstructionError(const Matrix<rows, columns> &A,
|
||||||
|
const Matrix<rows, columns> &U,
|
||||||
|
const Matrix<columns, 1> &sigma,
|
||||||
|
const Matrix<columns, columns> &Vt) {
|
||||||
|
// Compute U × diag(σ): only first min(rows,cols) columns of U are used
|
||||||
|
constexpr uint8_t k = (rows < columns) ? rows : columns;
|
||||||
|
Matrix<rows, columns> USigma{0};
|
||||||
|
for (uint8_t i = 0; i < rows; i++) {
|
||||||
|
for (uint8_t j = 0; j < k; j++) {
|
||||||
|
USigma[i][j] = U.Get(i, j) * sigma.Get(j, 0);
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
// Compute (UΣ) × Vᵀ: only first k rows of Vt are used
|
||||||
|
Matrix<rows, columns> UVt{0};
|
||||||
|
for (uint8_t i = 0; i < rows; i++) {
|
||||||
|
for (uint8_t j = 0; j < columns; j++) {
|
||||||
|
float sum = 0;
|
||||||
|
for (uint8_t p = 0; p < k; p++) {
|
||||||
|
sum += USigma[i][p] * Vt.Get(p, j);
|
||||||
|
}
|
||||||
|
UVt[i][j] = sum;
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
// Compute ||A - UVᵀ||_F
|
||||||
|
Matrix<rows, columns> diff{0};
|
||||||
|
A.Sub(UVt, diff);
|
||||||
|
return frobeniusNorm(diff);
|
||||||
|
}
|
||||||
|
|
||||||
|
/**
|
||||||
|
* @brief Helper: check orthogonality of the first k columns of M.
|
||||||
|
* Verifies M[:,0:k]ᵀ × M[:,0:k] ≈ I_k.
|
||||||
|
*/
|
||||||
|
template <uint8_t rows, uint8_t columns>
|
||||||
|
static float orthogonalityError(const Matrix<rows, columns> &M) {
|
||||||
|
constexpr uint8_t k = (rows < columns) ? rows : columns;
|
||||||
|
|
||||||
|
// Compute Mᵀ × M (should be I_k in top-left)
|
||||||
|
Matrix<columns, rows> Mt = M.Transpose();
|
||||||
|
Matrix<columns, columns> MtM{0};
|
||||||
|
Mt.Mult(M, MtM);
|
||||||
|
|
||||||
|
float err = 0;
|
||||||
|
for (uint8_t i = 0; i < k; i++) {
|
||||||
|
for (uint8_t j = 0; j < k; j++) {
|
||||||
|
float expected = (i == j) ? 1.0f : 0.0f;
|
||||||
|
err += (MtM.Get(i, j) - expected) * (MtM.Get(i, j) - expected);
|
||||||
|
}
|
||||||
|
}
|
||||||
|
return sqrtf(err);
|
||||||
|
}
|
||||||
|
|
||||||
|
/**
|
||||||
|
* @brief Helper: check that singular values are sorted in descending order.
|
||||||
|
*/
|
||||||
|
template <uint8_t maxCols>
|
||||||
|
static bool isSortedDescending(const Matrix<maxCols, 1> &sigma, uint8_t count) {
|
||||||
|
for (uint8_t i = 0; i < count - 1; i++) {
|
||||||
|
if (sigma.Get(i + 1, 0) > sigma.Get(i, 0) + 1e-6f) {
|
||||||
|
return false;
|
||||||
|
}
|
||||||
|
}
|
||||||
|
return true;
|
||||||
|
}
|
||||||
|
|
||||||
|
TEST_CASE("SVD: Simple 2x2 Matrix", "Matrix") {
|
||||||
|
// Reference: scipy.linalg.svd([[1,2],[3,4]])
|
||||||
|
// σ = [5.4649857042, 0.3659661906]
|
||||||
|
Matrix<2, 2> A{1.0f, 2.0f, 3.0f, 4.0f};
|
||||||
|
Matrix<2, 2> U{}, Vt{};
|
||||||
|
Matrix<2, 1> sigma{};
|
||||||
|
|
||||||
|
SVD::SVD(A, U, sigma, Vt);
|
||||||
|
|
||||||
|
// Verify singular values (verified with Python scipy.linalg.svd)
|
||||||
|
REQUIRE_THAT(sigma.Get(0, 0),
|
||||||
|
Catch::Matchers::WithinRel(5.4649857042f, 1e-4f));
|
||||||
|
REQUIRE_THAT(sigma.Get(1, 0),
|
||||||
|
Catch::Matchers::WithinRel(0.3659661906f, 1e-4f));
|
||||||
|
|
||||||
|
// Verify descending order
|
||||||
|
REQUIRE(isSortedDescending(sigma, 2));
|
||||||
|
|
||||||
|
// Verify U is orthogonal: UᵀU ≈ I
|
||||||
|
REQUIRE_THAT(orthogonalityError(U), Catch::Matchers::WithinRel(0.0f, 1e-4f));
|
||||||
|
|
||||||
|
// Verify Vt is orthogonal: VtVᵀ ≈ I
|
||||||
|
REQUIRE_THAT(orthogonalityError(Vt), Catch::Matchers::WithinRel(0.0f, 1e-4f));
|
||||||
|
|
||||||
|
// Verify reconstruction: A ≈ U Σ Vᵀ
|
||||||
|
float reconErr = svdReconstructionError(A, U, sigma, Vt);
|
||||||
|
REQUIRE_THAT(reconErr, Catch::Matchers::WithinRel(0.0f, 1e-4f));
|
||||||
|
}
|
||||||
|
|
||||||
|
TEST_CASE("SVD: Symmetric Positive Definite 2x2", "Matrix") {
|
||||||
|
// Reference: scipy.linalg.svd([[5,3],[3,5]])
|
||||||
|
// σ = [8.0, 2.0] (eigenvalues since symmetric PD)
|
||||||
|
Matrix<2, 2> A{5.0f, 3.0f, 3.0f, 5.0f};
|
||||||
|
Matrix<2, 2> U{}, Vt{};
|
||||||
|
Matrix<2, 1> sigma{};
|
||||||
|
|
||||||
|
SVD::SVD(A, U, sigma, Vt);
|
||||||
|
|
||||||
|
REQUIRE_THAT(sigma.Get(0, 0), Catch::Matchers::WithinRel(8.0f, 1e-4f));
|
||||||
|
REQUIRE_THAT(sigma.Get(1, 0), Catch::Matchers::WithinRel(2.0f, 1e-4f));
|
||||||
|
|
||||||
|
// For symmetric PD matrices, U ≈ V (up to sign)
|
||||||
|
float reconErr = svdReconstructionError(A, U, sigma, Vt);
|
||||||
|
REQUIRE_THAT(reconErr, Catch::Matchers::WithinRel(0.0f, 1e-4f));
|
||||||
|
}
|
||||||
|
|
||||||
|
TEST_CASE("SVD: Full-Rank 3x3 Matrix", "Matrix") {
|
||||||
|
// Reference: scipy.linalg.svd([[1,2,3],[4,5,6],[7,8,10]])
|
||||||
|
// σ = [17.4125051668, 0.8751613501, 0.1968665211]
|
||||||
|
Matrix<3, 3> A{1.0f, 2.0f, 3.0f, 4.0f, 5.0f, 6.0f, 7.0f, 8.0f, 10.0f};
|
||||||
|
Matrix<3, 3> U{}, Vt{};
|
||||||
|
Matrix<3, 1> sigma{};
|
||||||
|
|
||||||
|
SVD::SVD(A, U, sigma, Vt);
|
||||||
|
|
||||||
|
REQUIRE_THAT(sigma.Get(0, 0),
|
||||||
|
Catch::Matchers::WithinRel(17.4125051668f, 1e-4f));
|
||||||
|
REQUIRE_THAT(sigma.Get(1, 0),
|
||||||
|
Catch::Matchers::WithinRel(0.8751613501f, 1e-4f));
|
||||||
|
REQUIRE_THAT(sigma.Get(2, 0),
|
||||||
|
Catch::Matchers::WithinRel(0.1968665211f, 1e-4f));
|
||||||
|
|
||||||
|
REQUIRE(isSortedDescending(sigma, 3));
|
||||||
|
REQUIRE_THAT(orthogonalityError(U), Catch::Matchers::WithinRel(0.0f, 1e-4f));
|
||||||
|
REQUIRE_THAT(orthogonalityError(Vt), Catch::Matchers::WithinRel(0.0f, 1e-4f));
|
||||||
|
|
||||||
|
float reconErr = svdReconstructionError(A, U, sigma, Vt);
|
||||||
|
REQUIRE_THAT(reconErr, Catch::Matchers::WithinRel(0.0f, 1e-3f));
|
||||||
|
}
|
||||||
|
|
||||||
|
TEST_CASE("SVD: Rank-Deficient 3x3 Matrix", "Matrix") {
|
||||||
|
// Reference: scipy.linalg.svd([[1,2,3],[4,5,6],[7,8,9]])
|
||||||
|
// σ = [16.8481033526, 1.0683695146, ~0] (rank 2)
|
||||||
|
Matrix<3, 3> A{1.0f, 2.0f, 3.0f, 4.0f, 5.0f, 6.0f, 7.0f, 8.0f, 9.0f};
|
||||||
|
Matrix<3, 3> U{}, Vt{};
|
||||||
|
Matrix<3, 1> sigma{};
|
||||||
|
|
||||||
|
SVD::SVD(A, U, sigma, Vt);
|
||||||
|
|
||||||
|
REQUIRE_THAT(sigma.Get(0, 0),
|
||||||
|
Catch::Matchers::WithinRel(16.8481033526f, 1e-4f));
|
||||||
|
REQUIRE_THAT(sigma.Get(1, 0),
|
||||||
|
Catch::Matchers::WithinRel(1.0683695146f, 1e-4f));
|
||||||
|
// Third singular value should be ~0 (rank deficiency)
|
||||||
|
REQUIRE(sigma.Get(2, 0) < 1e-3f);
|
||||||
|
|
||||||
|
float reconErr = svdReconstructionError(A, U, sigma, Vt);
|
||||||
|
REQUIRE_THAT(reconErr, Catch::Matchers::WithinRel(0.0f, 1e-3f));
|
||||||
|
}
|
||||||
|
|
||||||
|
TEST_CASE("SVD: Diagonal 3x3 Matrix", "Matrix") {
|
||||||
|
// For a diagonal matrix, σ = diagonal entries, U = V = I
|
||||||
|
Matrix<3, 3> A{10.0f, 0.0f, 0.0f, 5.0f, 0.0f, 0.0f, 0.0f, 0.0f, 2.0f};
|
||||||
|
Matrix<3, 3> U{}, Vt{};
|
||||||
|
Matrix<3, 1> sigma{};
|
||||||
|
|
||||||
|
SVD::SVD(A, U, sigma, Vt);
|
||||||
|
|
||||||
|
REQUIRE_THAT(sigma.Get(0, 0), Catch::Matchers::WithinRel(10.0f, 1e-4f));
|
||||||
|
REQUIRE_THAT(sigma.Get(1, 0), Catch::Matchers::WithinRel(5.0f, 1e-4f));
|
||||||
|
REQUIRE_THAT(sigma.Get(2, 0), Catch::Matchers::WithinRel(2.0f, 1e-4f));
|
||||||
|
|
||||||
|
float reconErr = svdReconstructionError(A, U, sigma, Vt);
|
||||||
|
REQUIRE_THAT(reconErr, Catch::Matchers::WithinRel(0.0f, 1e-4f));
|
||||||
|
}
|
||||||
|
|
||||||
|
TEST_CASE("SVD: Tall Matrix (4×3)", "Matrix") {
|
||||||
|
// Reference: scipy.linalg.svd with full_matrices=False
|
||||||
|
// σ = [25.4624074360, 1.2906616758, ~0] (rank 2)
|
||||||
|
Matrix<4, 3> A{1.0f, 2.0f, 3.0f, 4.0f, 5.0f, 6.0f,
|
||||||
|
7.0f, 8.0f, 9.0f, 10.0f, 11.0f, 12.0f};
|
||||||
|
Matrix<4, 3> U{};
|
||||||
|
Matrix<3, 3> Vt{}; // Vt is always n×n
|
||||||
|
Matrix<3, 1> sigma{};
|
||||||
|
|
||||||
|
SVD::SVD(A, U, sigma, Vt);
|
||||||
|
|
||||||
|
REQUIRE_THAT(sigma.Get(0, 0),
|
||||||
|
Catch::Matchers::WithinRel(25.4624074360f, 1e-4f));
|
||||||
|
REQUIRE_THAT(sigma.Get(1, 0),
|
||||||
|
Catch::Matchers::WithinRel(1.2906616758f, 1e-4f));
|
||||||
|
REQUIRE(sigma.Get(2, 0) < 1e-3f);
|
||||||
|
|
||||||
|
// U should be 4×3 with orthonormal columns
|
||||||
|
REQUIRE_THAT(orthogonalityError(U), Catch::Matchers::WithinRel(0.0f, 1e-3f));
|
||||||
|
|
||||||
|
float reconErr = svdReconstructionError(A, U, sigma, Vt);
|
||||||
|
REQUIRE_THAT(reconErr, Catch::Matchers::WithinRel(0.0f, 1e-3f));
|
||||||
|
}
|
||||||
|
|
||||||
|
TEST_CASE("SVD: Wide Matrix (3×5)", "Matrix") {
|
||||||
|
// Reference: scipy.linalg.svd with full_matrices=False
|
||||||
|
// σ = [35.1272233336, 2.4653966969, ~0] (rank 2)
|
||||||
|
Matrix<3, 5> A{1.0f, 2.0f, 3.0f, 4.0f, 5.0f, 6.0f, 7.0f, 8.0f,
|
||||||
|
9.0f, 10.0f, 11.0f, 12.0f, 13.0f, 14.0f, 15.0f};
|
||||||
|
Matrix<3, 5> U{};
|
||||||
|
Matrix<5, 5> Vt{}; // Vt is always n×n
|
||||||
|
Matrix<5, 1> sigma{};
|
||||||
|
|
||||||
|
SVD::SVD(A, U, sigma, Vt);
|
||||||
|
|
||||||
|
REQUIRE_THAT(sigma.Get(0, 0),
|
||||||
|
Catch::Matchers::WithinRel(35.1272233336f, 1e-4f));
|
||||||
|
REQUIRE_THAT(sigma.Get(1, 0),
|
||||||
|
Catch::Matchers::WithinRel(2.4653966969f, 1e-4f));
|
||||||
|
REQUIRE(sigma.Get(2, 0) < 1e-3f);
|
||||||
|
|
||||||
|
// Vt should be 5×5 with orthonormal rows (first k)
|
||||||
|
REQUIRE_THAT(orthogonalityError(Vt), Catch::Matchers::WithinRel(0.0f, 1e-3f));
|
||||||
|
|
||||||
|
float reconErr = svdReconstructionError(A, U, sigma, Vt);
|
||||||
|
REQUIRE_THAT(reconErr, Catch::Matchers::WithinRel(0.0f, 1e-3f));
|
||||||
|
}
|
||||||
|
|
||||||
|
TEST_CASE("SVD: 5×5 Symmetric Tridiagonal", "Matrix") {
|
||||||
|
// Reference: scipy.linalg.svd for discrete Laplacian-like matrix
|
||||||
|
// σ = [3.7320508076, 3.0, 2.0, 1.0, 0.2679491924]
|
||||||
|
Matrix<5, 5> A{2.0f, -1.0f, 0.0f, 0.0f, 0.0f, -1.0f, 2.0f, -1.0f, 0.0f,
|
||||||
|
0.0f, 0.0f, -1.0f, 2.0f, -1.0f, 0.0f, 0.0f, 0.0f, -1.0f,
|
||||||
|
2.0f, -1.0f, 0.0f, 0.0f, 0.0f, -1.0f, 2.0f};
|
||||||
|
Matrix<5, 5> U{}, Vt{};
|
||||||
|
Matrix<5, 1> sigma{};
|
||||||
|
|
||||||
|
SVD::SVD(A, U, sigma, Vt);
|
||||||
|
|
||||||
|
REQUIRE_THAT(sigma.Get(0, 0),
|
||||||
|
Catch::Matchers::WithinRel(3.7320508076f, 1e-4f));
|
||||||
|
REQUIRE_THAT(sigma.Get(1, 0), Catch::Matchers::WithinRel(3.0f, 1e-4f));
|
||||||
|
REQUIRE_THAT(sigma.Get(2, 0), Catch::Matchers::WithinRel(2.0f, 1e-4f));
|
||||||
|
REQUIRE_THAT(sigma.Get(3, 0), Catch::Matchers::WithinRel(1.0f, 1e-4f));
|
||||||
|
REQUIRE_THAT(sigma.Get(4, 0),
|
||||||
|
Catch::Matchers::WithinRel(0.2679491924f, 1e-4f));
|
||||||
|
|
||||||
|
REQUIRE(isSortedDescending(sigma, 5));
|
||||||
|
REQUIRE_THAT(orthogonalityError(U), Catch::Matchers::WithinRel(0.0f, 1e-3f));
|
||||||
|
REQUIRE_THAT(orthogonalityError(Vt), Catch::Matchers::WithinRel(0.0f, 1e-3f));
|
||||||
|
|
||||||
|
float reconErr = svdReconstructionError(A, U, sigma, Vt);
|
||||||
|
REQUIRE_THAT(reconErr, Catch::Matchers::WithinRel(0.0f, 1e-3f));
|
||||||
|
}
|
||||||
|
|
||||||
|
TEST_CASE("SVD: Non-Square with Negative Values (2×3)", "Matrix") {
|
||||||
|
// Reference: scipy.linalg.svd([[0.5,-0.3,0.8],[-0.2,0.7,0.1]])
|
||||||
|
// σ = [1.0384009867, 0.6646227432]
|
||||||
|
Matrix<2, 3> A{0.5f, -0.3f, 0.8f, -0.2f, 0.7f, 0.1f};
|
||||||
|
Matrix<2, 3> U{};
|
||||||
|
Matrix<3, 3> Vt{}; // Vt is always n×n
|
||||||
|
Matrix<3, 1> sigma{};
|
||||||
|
|
||||||
|
SVD::SVD(A, U, sigma, Vt);
|
||||||
|
|
||||||
|
REQUIRE_THAT(sigma.Get(0, 0),
|
||||||
|
Catch::Matchers::WithinRel(1.0384009867f, 1e-4f));
|
||||||
|
REQUIRE_THAT(sigma.Get(1, 0),
|
||||||
|
Catch::Matchers::WithinRel(0.6646227432f, 1e-4f));
|
||||||
|
|
||||||
|
float reconErr = svdReconstructionError(A, U, sigma, Vt);
|
||||||
|
REQUIRE_THAT(reconErr, Catch::Matchers::WithinRel(0.0f, 1e-4f));
|
||||||
|
}
|
||||||
|
|
||||||
|
TEST_CASE("SVD: Near-Singular 2×2 Matrix", "Matrix") {
|
||||||
|
// Condition number ≈ 1e6 — tests numerical stability
|
||||||
|
// Reference: scipy.linalg.svd([[1,0],[0,1e-6]])
|
||||||
|
// σ = [1.0, 1e-6]
|
||||||
|
Matrix<2, 2> A{1.0f, 0.0f, 0.0f, 1e-6f};
|
||||||
|
Matrix<2, 2> U{}, Vt{};
|
||||||
|
Matrix<2, 1> sigma{};
|
||||||
|
|
||||||
|
SVD::SVD(A, U, sigma, Vt);
|
||||||
|
|
||||||
|
REQUIRE_THAT(sigma.Get(0, 0), Catch::Matchers::WithinRel(1.0f, 1e-4f));
|
||||||
|
REQUIRE_THAT(sigma.Get(1, 0), Catch::Matchers::WithinRel(1e-6f, 1e-2f));
|
||||||
|
|
||||||
|
float reconErr = svdReconstructionError(A, U, sigma, Vt);
|
||||||
|
REQUIRE_THAT(reconErr, Catch::Matchers::WithinRel(0.0f, 1e-6f));
|
||||||
|
}
|
||||||
|
|
||||||
|
TEST_CASE("SVD: Orthogonal Matrix (3×3)", "Matrix") {
|
||||||
|
// For an orthogonal matrix, all singular values should be 1.
|
||||||
|
// Rotation matrix about z-axis by 45°
|
||||||
|
float c = sqrtf(0.5f); // cos(45°)
|
||||||
|
float s = sqrtf(0.5f); // sin(45°)
|
||||||
|
Matrix<3, 3> A{c, -s, 0.0f, s, c, 0.0f, 0.0f, 0.0f, 1.0f};
|
||||||
|
Matrix<3, 3> U{}, Vt{};
|
||||||
|
Matrix<3, 1> sigma{};
|
||||||
|
|
||||||
|
SVD::SVD(A, U, sigma, Vt);
|
||||||
|
|
||||||
|
// All singular values should be 1 for an orthogonal matrix
|
||||||
|
REQUIRE_THAT(sigma.Get(0, 0), Catch::Matchers::WithinRel(1.0f, 1e-4f));
|
||||||
|
REQUIRE_THAT(sigma.Get(1, 0), Catch::Matchers::WithinRel(1.0f, 1e-4f));
|
||||||
|
REQUIRE_THAT(sigma.Get(2, 0), Catch::Matchers::WithinRel(1.0f, 1e-4f));
|
||||||
|
|
||||||
|
float reconErr = svdReconstructionError(A, U, sigma, Vt);
|
||||||
|
REQUIRE_THAT(reconErr, Catch::Matchers::WithinRel(0.0f, 1e-4f));
|
||||||
|
}
|
||||||
|
|
||||||
|
TEST_CASE("SVD: Identity Matrix", "Matrix") {
|
||||||
|
// For I, σ = [1, 1, 1], U = V = I
|
||||||
|
Matrix<3, 3> A{1.0f, 0.0f, 0.0f, 0.0f, 1.0f, 0.0f, 0.0f, 0.0f, 1.0f};
|
||||||
|
Matrix<3, 3> U{}, Vt{};
|
||||||
|
Matrix<3, 1> sigma{};
|
||||||
|
|
||||||
|
SVD::SVD(A, U, sigma, Vt);
|
||||||
|
|
||||||
|
REQUIRE_THAT(sigma.Get(0, 0), Catch::Matchers::WithinRel(1.0f, 1e-4f));
|
||||||
|
REQUIRE_THAT(sigma.Get(1, 0), Catch::Matchers::WithinRel(1.0f, 1e-4f));
|
||||||
|
REQUIRE_THAT(sigma.Get(2, 0), Catch::Matchers::WithinRel(1.0f, 1e-4f));
|
||||||
|
|
||||||
|
float reconErr = svdReconstructionError(A, U, sigma, Vt);
|
||||||
|
REQUIRE_THAT(reconErr, Catch::Matchers::WithinRel(0.0f, 1e-6f));
|
||||||
|
}
|
||||||
|
|
||||||
|
TEST_CASE("SVD: Zero Matrix", "Matrix") {
|
||||||
|
// All singular values should be zero
|
||||||
|
Matrix<3, 3> A{0.0f};
|
||||||
|
Matrix<3, 3> U{}, Vt{};
|
||||||
|
Matrix<3, 1> sigma{};
|
||||||
|
|
||||||
|
SVD::SVD(A, U, sigma, Vt);
|
||||||
|
|
||||||
|
REQUIRE(sigma.Get(0, 0) < 1e-6f);
|
||||||
|
REQUIRE(sigma.Get(1, 0) < 1e-6f);
|
||||||
|
REQUIRE(sigma.Get(2, 0) < 1e-6f);
|
||||||
|
|
||||||
|
float reconErr = svdReconstructionError(A, U, sigma, Vt);
|
||||||
|
REQUIRE_THAT(reconErr, Catch::Matchers::WithinRel(0.0f, 1e-6f));
|
||||||
|
}
|
||||||
|
|
||||||
|
TEST_CASE("SVD: 2×1 Column Vector", "Matrix") {
|
||||||
|
// For a column vector v, σ = ||v||, U = v/||v|| (with padding)
|
||||||
|
Matrix<2, 1> A{3.0f, 4.0f};
|
||||||
|
Matrix<2, 1> U{};
|
||||||
|
Matrix<1, 1> Vt{}; // Vt is always n×n
|
||||||
|
Matrix<1, 1> sigma{};
|
||||||
|
|
||||||
|
SVD::SVD(A, U, sigma, Vt);
|
||||||
|
|
||||||
|
// σ should be the Euclidean norm: ||[3,4]|| = 5
|
||||||
|
REQUIRE_THAT(sigma.Get(0, 0), Catch::Matchers::WithinRel(5.0f, 1e-4f));
|
||||||
|
|
||||||
|
float reconErr = svdReconstructionError(A, U, sigma, Vt);
|
||||||
|
REQUIRE_THAT(reconErr, Catch::Matchers::WithinRel(0.0f, 1e-4f));
|
||||||
|
}
|
||||||
|
|
||||||
|
TEST_CASE("SVD: 1×2 Row Vector", "Matrix") {
|
||||||
|
// For a row vector vᵀ, σ = ||v||, Vt = v/||v|| (with padding)
|
||||||
|
Matrix<1, 2> A{3.0f, 4.0f};
|
||||||
|
Matrix<1, 2> U{};
|
||||||
|
Matrix<2, 2> Vt{}; // Vt is always n×n
|
||||||
|
Matrix<2, 1> sigma{};
|
||||||
|
|
||||||
|
SVD::SVD(A, U, sigma, Vt);
|
||||||
|
|
||||||
|
// σ should be the Euclidean norm: ||[3,4]|| = 5
|
||||||
|
REQUIRE_THAT(sigma.Get(0, 0), Catch::Matchers::WithinRel(5.0f, 1e-4f));
|
||||||
|
|
||||||
|
float reconErr = svdReconstructionError(A, U, sigma, Vt);
|
||||||
|
REQUIRE_THAT(reconErr, Catch::Matchers::WithinRel(0.0f, 1e-4f));
|
||||||
|
}
|
||||||
@@ -76,7 +76,8 @@ TEST_CASE("Timing Tests", "Matrix") {
|
|||||||
|
|
||||||
SECTION("Determinant") {
|
SECTION("Determinant") {
|
||||||
for (uint32_t i{0}; i < 1000000; i++) {
|
for (uint32_t i{0}; i < 1000000; i++) {
|
||||||
float det1 = mat4.Det();
|
float det = mat4.Det();
|
||||||
|
(void)det;
|
||||||
}
|
}
|
||||||
}
|
}
|
||||||
|
|
||||||
|
|||||||
@@ -0,0 +1,785 @@
|
|||||||
|
// include the unit test framework first
|
||||||
|
#include <catch2/catch_test_macros.hpp>
|
||||||
|
#include <catch2/matchers/catch_matchers_floating_point.hpp>
|
||||||
|
|
||||||
|
// include the module you're going to test next
|
||||||
|
#include "Matrix.hpp"
|
||||||
|
#include "SVD.hpp"
|
||||||
|
|
||||||
|
// any other libraries
|
||||||
|
#include <array>
|
||||||
|
#include <cmath>
|
||||||
|
#include <iostream>
|
||||||
|
|
||||||
|
// ============================================================================
|
||||||
|
// Helper: Frobenius norm of a 5×5 matrix
|
||||||
|
// ============================================================================
|
||||||
|
static float frobeniusNorm5(const Matrix<5, 5> &M) {
|
||||||
|
float sum = 0.0f;
|
||||||
|
for (uint8_t i = 0; i < 5; i++) {
|
||||||
|
for (uint8_t j = 0; j < 5; j++) {
|
||||||
|
float v = M.Get(i, j);
|
||||||
|
sum += v * v;
|
||||||
|
}
|
||||||
|
}
|
||||||
|
return sqrtf(sum);
|
||||||
|
}
|
||||||
|
|
||||||
|
// ============================================================================
|
||||||
|
// Helper: Check if a matrix is orthogonal (Mᵀ·M ≈ I)
|
||||||
|
// ============================================================================
|
||||||
|
static bool isOrthogonal5(const Matrix<5, 5> &M, float tol = 1e-6f) {
|
||||||
|
Matrix<5, 5> Mt = M.Transpose();
|
||||||
|
Matrix<5, 5> MtM{0};
|
||||||
|
Mt.Mult(M, MtM);
|
||||||
|
|
||||||
|
for (uint8_t i = 0; i < 5; i++) {
|
||||||
|
for (uint8_t j = 0; j < 5; j++) {
|
||||||
|
float expected = (i == j) ? 1.0f : 0.0f;
|
||||||
|
if (fabsf(MtM.Get(i, j) - expected) > tol) {
|
||||||
|
return false;
|
||||||
|
}
|
||||||
|
}
|
||||||
|
}
|
||||||
|
return true;
|
||||||
|
}
|
||||||
|
|
||||||
|
// ============================================================================
|
||||||
|
// TEST 1: ComputeHouseholder
|
||||||
|
// ============================================================================
|
||||||
|
TEST_CASE("SVD Building Block: ComputeHouseholder", "[Matrix][SVD]") {
|
||||||
|
// Test case: [3, 4] should give alpha = -5 (norm), v normalized
|
||||||
|
// Reference: scipy.linalg.householder([3, 4]) → v ≈ [0.894427191,
|
||||||
|
// 0.447213596], α = -5
|
||||||
|
{
|
||||||
|
float x[] = {3.0f, 4.0f};
|
||||||
|
float v[5] = {0};
|
||||||
|
float alpha = 0;
|
||||||
|
|
||||||
|
float norm = SVD::ComputeHouseholder(x, 2, v, alpha);
|
||||||
|
|
||||||
|
// Norm should be 5.0
|
||||||
|
REQUIRE_THAT(norm, Catch::Matchers::WithinRel(5.0f, 1e-6f));
|
||||||
|
|
||||||
|
// Alpha should be -5 (negative norm)
|
||||||
|
REQUIRE_THAT(alpha, Catch::Matchers::WithinRel(-5.0f, 1e-6f));
|
||||||
|
|
||||||
|
// v should be normalized: ||v|| ≈ 1
|
||||||
|
float vNorm = sqrtf(v[0] * v[0] + v[1] * v[1]);
|
||||||
|
REQUIRE_THAT(vNorm, Catch::Matchers::WithinRel(1.0f, 1e-6f));
|
||||||
|
|
||||||
|
// Verify H·x = [alpha, 0]: (I - 2vvᵀ)·x should give [-5, 0]
|
||||||
|
float hx0 = x[0] - 2.0f * v[0] * (v[0] * x[0] + v[1] * x[1]);
|
||||||
|
float hx1 = x[1] - 2.0f * v[1] * (v[0] * x[0] + v[1] * x[1]);
|
||||||
|
REQUIRE_THAT(hx0, Catch::Matchers::WithinRel(alpha, 1e-6f));
|
||||||
|
REQUIRE_THAT(hx1, Catch::Matchers::WithinAbs(0.0f, 1e-6f));
|
||||||
|
}
|
||||||
|
|
||||||
|
// Test case: [1, 3]
|
||||||
|
// Reference: norm = √10 ≈ 3.16228, alpha = -√10
|
||||||
|
{
|
||||||
|
float x[] = {1.0f, 3.0f};
|
||||||
|
float v[5] = {0};
|
||||||
|
float alpha = 0;
|
||||||
|
|
||||||
|
float norm = SVD::ComputeHouseholder(x, 2, v, alpha);
|
||||||
|
|
||||||
|
REQUIRE_THAT(norm, Catch::Matchers::WithinRel(sqrtf(10.0f), 1e-6f));
|
||||||
|
REQUIRE_THAT(alpha, Catch::Matchers::WithinRel(-sqrtf(10.0f), 1e-6f));
|
||||||
|
|
||||||
|
// Verify H·x = [alpha, 0]
|
||||||
|
float dot = v[0] * x[0] + v[1] * x[1];
|
||||||
|
float hx0 = x[0] - 2.0f * v[0] * dot;
|
||||||
|
float hx1 = x[1] - 2.0f * v[1] * dot;
|
||||||
|
REQUIRE_THAT(hx0, Catch::Matchers::WithinRel(alpha, 1e-6f));
|
||||||
|
REQUIRE_THAT(hx1, Catch::Matchers::WithinAbs(0.0f, 1e-6f));
|
||||||
|
}
|
||||||
|
|
||||||
|
// Test case: [1, 2, 3] (3D)
|
||||||
|
// Reference: norm = √14 ≈ 3.74166
|
||||||
|
{
|
||||||
|
float x[] = {1.0f, 2.0f, 3.0f};
|
||||||
|
float v[5] = {0};
|
||||||
|
float alpha = 0;
|
||||||
|
|
||||||
|
float norm = SVD::ComputeHouseholder(x, 3, v, alpha);
|
||||||
|
|
||||||
|
REQUIRE_THAT(norm, Catch::Matchers::WithinRel(sqrtf(14.0f), 1e-6f));
|
||||||
|
REQUIRE_THAT(alpha, Catch::Matchers::WithinRel(-sqrtf(14.0f), 1e-6f));
|
||||||
|
|
||||||
|
// Verify v is normalized
|
||||||
|
float vNorm = sqrtf(v[0] * v[0] + v[1] * v[1] + v[2] * v[2]);
|
||||||
|
REQUIRE_THAT(vNorm, Catch::Matchers::WithinRel(1.0f, 1e-6f));
|
||||||
|
|
||||||
|
// Verify H·x = [alpha, 0, 0]
|
||||||
|
float dot = v[0] * x[0] + v[1] * x[1] + v[2] * x[2];
|
||||||
|
for (uint8_t i = 0; i < 3; i++) {
|
||||||
|
float hx_i = x[i] - 2.0f * v[i] * dot;
|
||||||
|
if (i == 0) {
|
||||||
|
REQUIRE_THAT(hx_i, Catch::Matchers::WithinRel(alpha, 1e-6f));
|
||||||
|
} else {
|
||||||
|
REQUIRE_THAT(hx_i, Catch::Matchers::WithinAbs(0.0f, 1e-6f));
|
||||||
|
}
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
// Test case: [0, 0, 1] (already has leading zeros)
|
||||||
|
{
|
||||||
|
float x[] = {0.0f, 0.0f, 1.0f};
|
||||||
|
float v[5] = {0};
|
||||||
|
float alpha = 0;
|
||||||
|
|
||||||
|
float norm = SVD::ComputeHouseholder(x, 3, v, alpha);
|
||||||
|
|
||||||
|
REQUIRE_THAT(norm, Catch::Matchers::WithinRel(1.0f, 1e-6f));
|
||||||
|
REQUIRE_THAT(alpha, Catch::Matchers::WithinRel(-1.0f, 1e-6f));
|
||||||
|
|
||||||
|
// Verify H·x = [-1, 0, 0]
|
||||||
|
float dot = v[0] * x[0] + v[1] * x[1] + v[2] * x[2];
|
||||||
|
float hx0 = x[0] - 2.0f * v[0] * dot;
|
||||||
|
float hx1 = x[1] - 2.0f * v[1] * dot;
|
||||||
|
float hx2 = x[2] - 2.0f * v[2] * dot;
|
||||||
|
REQUIRE_THAT(hx0, Catch::Matchers::WithinRel(alpha, 1e-6f));
|
||||||
|
REQUIRE_THAT(hx1, Catch::Matchers::WithinAbs(0.0f, 1e-6f));
|
||||||
|
REQUIRE_THAT(hx2, Catch::Matchers::WithinAbs(0.0f, 1e-6f));
|
||||||
|
}
|
||||||
|
|
||||||
|
// Test case: [5, -3, 2, 1] (4D)
|
||||||
|
{
|
||||||
|
float x[] = {5.0f, -3.0f, 2.0f, 1.0f};
|
||||||
|
float v[5] = {0};
|
||||||
|
float alpha = 0;
|
||||||
|
|
||||||
|
float norm = SVD::ComputeHouseholder(x, 4, v, alpha);
|
||||||
|
|
||||||
|
REQUIRE_THAT(norm, Catch::Matchers::WithinRel(sqrtf(39.0f), 1e-6f));
|
||||||
|
REQUIRE_THAT(alpha, Catch::Matchers::WithinRel(-sqrtf(39.0f), 1e-6f));
|
||||||
|
|
||||||
|
// Verify H·x = [alpha, 0, 0, 0]
|
||||||
|
float dot = v[0] * x[0] + v[1] * x[1] + v[2] * x[2] + v[3] * x[3];
|
||||||
|
for (uint8_t i = 0; i < 4; i++) {
|
||||||
|
float hx_i = x[i] - 2.0f * v[i] * dot;
|
||||||
|
if (i == 0) {
|
||||||
|
REQUIRE_THAT(hx_i, Catch::Matchers::WithinRel(alpha, 1e-6f));
|
||||||
|
} else {
|
||||||
|
REQUIRE_THAT(hx_i, Catch::Matchers::WithinAbs(0.0f, 1e-6f));
|
||||||
|
}
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
// Test case: zero vector
|
||||||
|
{
|
||||||
|
float x[] = {0.0f, 0.0f};
|
||||||
|
float v[5] = {0};
|
||||||
|
float alpha = 0;
|
||||||
|
|
||||||
|
float norm = SVD::ComputeHouseholder(x, 2, v, alpha);
|
||||||
|
|
||||||
|
REQUIRE_THAT(norm, Catch::Matchers::WithinAbs(0.0f, 1e-6f));
|
||||||
|
REQUIRE(alpha == 0.0f);
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
// ============================================================================
|
||||||
|
// TEST 2: ApplyHouseholderLeft
|
||||||
|
// ============================================================================
|
||||||
|
TEST_CASE("SVD Building Block: ApplyHouseholderLeft", "[Matrix][SVD]") {
|
||||||
|
// Test: Apply Householder to zero out column 0, rows 1:2 of a 3×3 matrix
|
||||||
|
// Input: [[1, 2, 3], [4, 5, 6], [7, 8, 9]]
|
||||||
|
// After applying HH on col 0 (rows 1:2): A[2,0] should be ~0
|
||||||
|
{
|
||||||
|
Matrix<5, 5> W{1.0f, 2.0f, 3.0f, 0, 0, 4.0f, 5.0f, 6.0f, 0,
|
||||||
|
0, 7.0f, 8.0f, 9.0f, 0, 0, 0, 0, 0,
|
||||||
|
0, 0, 0, 0, 0, 0, 0};
|
||||||
|
|
||||||
|
// Compute Householder for column 0, rows 1:2 → vector [4, 7]
|
||||||
|
float x[] = {4.0f, 7.0f};
|
||||||
|
float v[5] = {0};
|
||||||
|
float alpha = 0;
|
||||||
|
SVD::ComputeHouseholder(x, 2, v, alpha);
|
||||||
|
|
||||||
|
// Apply from left
|
||||||
|
SVD::ApplyHouseholderLeft(W, v, 1, 2);
|
||||||
|
|
||||||
|
// A[2,0] should be ~0
|
||||||
|
REQUIRE_THAT(W.Get(2, 0), Catch::Matchers::WithinAbs(0.0f, 1e-6f));
|
||||||
|
|
||||||
|
// Verify orthogonality of the transformation: W = H·W_original
|
||||||
|
Matrix<5, 5> W_orig{1.0f, 2.0f, 3.0f, 0, 0, 4.0f, 5.0f, 6.0f, 0,
|
||||||
|
0, 7.0f, 8.0f, 9.0f, 0, 0, 0, 0, 0,
|
||||||
|
0, 0, 0, 0, 0, 0, 0};
|
||||||
|
|
||||||
|
// Compute H_left explicitly: I - 2*v*vᵀ (on rows 1:2)
|
||||||
|
Matrix<5, 5> H_left{0};
|
||||||
|
for (uint8_t i = 0; i < 5; i++) {
|
||||||
|
H_left[i][i] = 1.0f;
|
||||||
|
}
|
||||||
|
// Apply -2*v*vᵀ to the sub-block
|
||||||
|
float vv = v[0] * v[0] + v[1] * v[1];
|
||||||
|
for (uint8_t i = 1; i <= 2; i++) {
|
||||||
|
for (uint8_t j = 1; j <= 2; j++) {
|
||||||
|
H_left[i][j] -= 2.0f * v[i - 1] * v[j - 1] / vv;
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
// Verify: W ≈ H_left · W_orig
|
||||||
|
Matrix<5, 5> HLeftW{0};
|
||||||
|
H_left.Mult(W_orig, HLeftW);
|
||||||
|
float err = frobeniusNorm5(W - HLeftW);
|
||||||
|
REQUIRE_THAT(err, Catch::Matchers::WithinAbs(0.0f, 1e-4f));
|
||||||
|
|
||||||
|
// Verify H_left is orthogonal
|
||||||
|
REQUIRE(isOrthogonal5(H_left));
|
||||||
|
}
|
||||||
|
|
||||||
|
// Test: Apply to a larger block (4 rows)
|
||||||
|
{
|
||||||
|
Matrix<5, 5> W{1.0f, 2.0f, 0, 0, 0, 3.0f, 4.0f, 0, 0,
|
||||||
|
0, 5.0f, 6.0f, 0, 0, 0, 7.0f, 8.0f, 0,
|
||||||
|
0, 0, 0, 0, 0, 0, 0};
|
||||||
|
|
||||||
|
// Householder on [3, 5, 7] (rows 1:3)
|
||||||
|
float x[] = {3.0f, 5.0f, 7.0f};
|
||||||
|
float v[5] = {0};
|
||||||
|
float alpha = 0;
|
||||||
|
SVD::ComputeHouseholder(x, 3, v, alpha);
|
||||||
|
|
||||||
|
SVD::ApplyHouseholderLeft(W, v, 1, 3);
|
||||||
|
|
||||||
|
// A[2,0] and A[3,0] should be ~0
|
||||||
|
REQUIRE_THAT(W.Get(2, 0), Catch::Matchers::WithinAbs(0.0f, 1e-6f));
|
||||||
|
REQUIRE_THAT(W.Get(3, 0), Catch::Matchers::WithinAbs(0.0f, 1e-6f));
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
// ============================================================================
|
||||||
|
// TEST 3: ApplyHouseholderRight
|
||||||
|
// ============================================================================
|
||||||
|
TEST_CASE("SVD Building Block: ApplyHouseholderRight", "[Matrix][SVD]") {
|
||||||
|
// Test: Apply Householder to zero out row 0, cols 1:2 of a 3×3 matrix
|
||||||
|
// Input: [[1, 2, 3], [4, 5, 6], [7, 8, 9]]
|
||||||
|
// After applying HH on row 0 (cols 1:2): A[0,2] should be ~0
|
||||||
|
{
|
||||||
|
Matrix<5, 5> W{1.0f, 2.0f, 3.0f, 0, 0, 4.0f, 5.0f, 6.0f, 0,
|
||||||
|
0, 7.0f, 8.0f, 9.0f, 0, 0, 0, 0, 0,
|
||||||
|
0, 0, 0, 0, 0, 0, 0};
|
||||||
|
|
||||||
|
// Householder for row 0, cols 1:2 → vector [2, 3]
|
||||||
|
float x[] = {2.0f, 3.0f};
|
||||||
|
float v[5] = {0};
|
||||||
|
float alpha = 0;
|
||||||
|
SVD::ComputeHouseholder(x, 2, v, alpha);
|
||||||
|
|
||||||
|
// Apply from right
|
||||||
|
SVD::ApplyHouseholderRight(W, v, 1, 2);
|
||||||
|
|
||||||
|
// A[0,2] should be ~0
|
||||||
|
REQUIRE_THAT(W.Get(0, 2), Catch::Matchers::WithinAbs(0.0f, 1e-6f));
|
||||||
|
|
||||||
|
// Verify W ≈ W_orig · H_right
|
||||||
|
Matrix<5, 5> W_orig{1.0f, 2.0f, 3.0f, 0, 0, 4.0f, 5.0f, 6.0f, 0,
|
||||||
|
0, 7.0f, 8.0f, 9.0f, 0, 0, 0, 0, 0,
|
||||||
|
0, 0, 0, 0, 0, 0, 0};
|
||||||
|
|
||||||
|
// Compute H_right = I - 2*v*vᵀ (on cols 1:2)
|
||||||
|
Matrix<5, 5> H_right{0};
|
||||||
|
for (uint8_t i = 0; i < 5; i++) {
|
||||||
|
H_right[i][i] = 1.0f;
|
||||||
|
}
|
||||||
|
float vv = v[0] * v[0] + v[1] * v[1];
|
||||||
|
for (uint8_t i = 1; i <= 2; i++) {
|
||||||
|
for (uint8_t j = 1; j <= 2; j++) {
|
||||||
|
H_right[i][j] -= 2.0f * v[i - 1] * v[j - 1] / vv;
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
Matrix<5, 5> WOrigH{0};
|
||||||
|
W_orig.Mult(H_right, WOrigH);
|
||||||
|
float err = frobeniusNorm5(W - WOrigH);
|
||||||
|
REQUIRE_THAT(err, Catch::Matchers::WithinAbs(0.0f, 1e-4f));
|
||||||
|
|
||||||
|
// Verify H_right is orthogonal
|
||||||
|
REQUIRE(isOrthogonal5(H_right));
|
||||||
|
}
|
||||||
|
|
||||||
|
// Test: Apply to wider block (4 cols)
|
||||||
|
{
|
||||||
|
Matrix<5, 5> W{1.0f, 2.0f, 3.0f, 4.0f, 0, 5.0f, 6.0f, 7.0f, 8.0f,
|
||||||
|
0, 0, 0, 0, 0, 0, 0, 0, 0,
|
||||||
|
0, 0, 0, 0, 0, 0, 0};
|
||||||
|
|
||||||
|
// Householder on [2, 3, 4] (cols 1:3)
|
||||||
|
float x[] = {2.0f, 3.0f, 4.0f};
|
||||||
|
float v[5] = {0};
|
||||||
|
float alpha = 0;
|
||||||
|
SVD::ComputeHouseholder(x, 3, v, alpha);
|
||||||
|
|
||||||
|
SVD::ApplyHouseholderRight(W, v, 1, 3);
|
||||||
|
|
||||||
|
// A[0,2] and A[0,3] should be ~0
|
||||||
|
REQUIRE_THAT(W.Get(0, 2), Catch::Matchers::WithinAbs(0.0f, 1e-6f));
|
||||||
|
REQUIRE_THAT(W.Get(0, 3), Catch::Matchers::WithinAbs(0.0f, 1e-6f));
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
// ============================================================================
|
||||||
|
// TEST 4: ComputeGivens
|
||||||
|
// ============================================================================
|
||||||
|
TEST_CASE("SVD Building Block: ComputeGivens", "[Matrix][SVD]") {
|
||||||
|
// Test case: [3, 4] → c = 0.6, s = 0.8 (3-4-5 triangle)
|
||||||
|
{
|
||||||
|
float c, s;
|
||||||
|
SVD::ComputeGivens(3.0f, 4.0f, c, s);
|
||||||
|
|
||||||
|
REQUIRE_THAT(c, Catch::Matchers::WithinRel(0.6f, 1e-6f));
|
||||||
|
REQUIRE_THAT(s, Catch::Matchers::WithinRel(0.8f, 1e-6f));
|
||||||
|
|
||||||
|
// Verify: [c s; -s c] · [3; 4] = [5; 0]
|
||||||
|
float r = c * 3.0f + s * 4.0f;
|
||||||
|
float z = -s * 3.0f + c * 4.0f;
|
||||||
|
REQUIRE_THAT(r, Catch::Matchers::WithinRel(5.0f, 1e-6f));
|
||||||
|
REQUIRE_THAT(z, Catch::Matchers::WithinAbs(0.0f, 1e-6f));
|
||||||
|
|
||||||
|
// Verify c² + s² = 1
|
||||||
|
REQUIRE_THAT(c * c + s * s, Catch::Matchers::WithinRel(1.0f, 1e-6f));
|
||||||
|
}
|
||||||
|
|
||||||
|
// Test case: [1, 0] → c = 1, s = 0
|
||||||
|
{
|
||||||
|
float c, s;
|
||||||
|
SVD::ComputeGivens(1.0f, 0.0f, c, s);
|
||||||
|
REQUIRE_THAT(c, Catch::Matchers::WithinRel(1.0f, 1e-6f));
|
||||||
|
REQUIRE_THAT(s, Catch::Matchers::WithinAbs(0.0f, 1e-6f));
|
||||||
|
}
|
||||||
|
|
||||||
|
// Test case: [0, 5] → c = 0, s = 1
|
||||||
|
{
|
||||||
|
float c, s;
|
||||||
|
SVD::ComputeGivens(0.0f, 5.0f, c, s);
|
||||||
|
REQUIRE_THAT(c, Catch::Matchers::WithinAbs(0.0f, 1e-6f));
|
||||||
|
REQUIRE_THAT(s, Catch::Matchers::WithinRel(1.0f, 1e-6f));
|
||||||
|
|
||||||
|
// Verify: [c s; -s c] · [0; 5] = [5; 0]
|
||||||
|
float r = c * 0.0f + s * 5.0f;
|
||||||
|
float z = -s * 0.0f + c * 5.0f;
|
||||||
|
REQUIRE_THAT(r, Catch::Matchers::WithinRel(5.0f, 1e-6f));
|
||||||
|
REQUIRE_THAT(z, Catch::Matchers::WithinAbs(0.0f, 1e-6f));
|
||||||
|
}
|
||||||
|
|
||||||
|
// Test case: [-3, -4] → c = -0.6, s = -0.8
|
||||||
|
{
|
||||||
|
float c, s;
|
||||||
|
SVD::ComputeGivens(-3.0f, -4.0f, c, s);
|
||||||
|
REQUIRE_THAT(c, Catch::Matchers::WithinRel(-0.6f, 1e-6f));
|
||||||
|
REQUIRE_THAT(s, Catch::Matchers::WithinRel(-0.8f, 1e-6f));
|
||||||
|
|
||||||
|
// Verify: [c s; -s c] · [-3; -4] = [5; 0]
|
||||||
|
float r = c * (-3.0f) + s * (-4.0f);
|
||||||
|
float z = -s * (-3.0f) + c * (-4.0f);
|
||||||
|
REQUIRE_THAT(r, Catch::Matchers::WithinRel(5.0f, 1e-6f));
|
||||||
|
REQUIRE_THAT(z, Catch::Matchers::WithinAbs(0.0f, 1e-6f));
|
||||||
|
}
|
||||||
|
|
||||||
|
// Test case: [1, -1] → c = 1/√2, s = -1/√2 (45°)
|
||||||
|
{
|
||||||
|
float c, s;
|
||||||
|
SVD::ComputeGivens(1.0f, -1.0f, c, s);
|
||||||
|
float invSqrt2 = 1.0f / sqrtf(2.0f);
|
||||||
|
REQUIRE_THAT(c, Catch::Matchers::WithinRel(invSqrt2, 1e-6f));
|
||||||
|
REQUIRE_THAT(s, Catch::Matchers::WithinRel(-invSqrt2, 1e-6f));
|
||||||
|
|
||||||
|
// Verify: [c s; -s c] · [1; -1] = [√2; 0]
|
||||||
|
float r = c * 1.0f + s * (-1.0f);
|
||||||
|
float z = -s * 1.0f + c * (-1.0f);
|
||||||
|
REQUIRE_THAT(r, Catch::Matchers::WithinRel(sqrtf(2.0f), 1e-6f));
|
||||||
|
REQUIRE_THAT(z, Catch::Matchers::WithinAbs(0.0f, 1e-6f));
|
||||||
|
}
|
||||||
|
|
||||||
|
// Test case: [0, 0] → c = 1, s = 0 (identity)
|
||||||
|
{
|
||||||
|
float c, s;
|
||||||
|
SVD::ComputeGivens(0.0f, 0.0f, c, s);
|
||||||
|
REQUIRE_THAT(c, Catch::Matchers::WithinRel(1.0f, 1e-6f));
|
||||||
|
REQUIRE_THAT(s, Catch::Matchers::WithinAbs(0.0f, 1e-6f));
|
||||||
|
}
|
||||||
|
|
||||||
|
// Test case: [7, 24] → c = 7/25, s = 24/25 (7-24-25 triangle)
|
||||||
|
{
|
||||||
|
float c, s;
|
||||||
|
SVD::ComputeGivens(7.0f, 24.0f, c, s);
|
||||||
|
REQUIRE_THAT(c, Catch::Matchers::WithinRel(7.0f / 25.0f, 1e-6f));
|
||||||
|
REQUIRE_THAT(s, Catch::Matchers::WithinRel(24.0f / 25.0f, 1e-6f));
|
||||||
|
|
||||||
|
float r = c * 7.0f + s * 24.0f;
|
||||||
|
float z = -s * 7.0f + c * 24.0f;
|
||||||
|
REQUIRE_THAT(r, Catch::Matchers::WithinRel(25.0f, 1e-6f));
|
||||||
|
REQUIRE_THAT(z, Catch::Matchers::WithinAbs(0.0f, 1e-6f));
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
// ============================================================================
|
||||||
|
// TEST 5: ApplyGivensLeft
|
||||||
|
// ============================================================================
|
||||||
|
TEST_CASE("SVD Building Block: ApplyGivensLeft", "[Matrix][SVD]") {
|
||||||
|
// Test: Apply Givens to zero out W[1,0] of a 2×2 matrix
|
||||||
|
// Input: [[3, 4], [1, 2]]
|
||||||
|
// Givens on rows 0,1 with x=W[0,0]=3, y=W[1,0]=1
|
||||||
|
{
|
||||||
|
Matrix<5, 5> W{3.0f, 4.0f, 0, 0, 0, 1.0f, 2.0f, 0, 0, 0, 0, 0, 0,
|
||||||
|
0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0};
|
||||||
|
|
||||||
|
float c, s;
|
||||||
|
SVD::ComputeGivens(3.0f, 1.0f, c, s);
|
||||||
|
|
||||||
|
SVD::ApplyGivensLeft(W, 0, 1, c, s, 0, 4);
|
||||||
|
|
||||||
|
// W[1,0] should be ~0
|
||||||
|
REQUIRE_THAT(W.Get(1, 0), Catch::Matchers::WithinAbs(0.0f, 1e-6f));
|
||||||
|
|
||||||
|
// Verify W ≈ G · W_orig
|
||||||
|
Matrix<5, 5> W_orig{3.0f, 4.0f, 0, 0, 0, 1.0f, 2.0f, 0, 0, 0, 0, 0, 0,
|
||||||
|
0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0};
|
||||||
|
|
||||||
|
// Givens rotation matrix (5×5)
|
||||||
|
Matrix<5, 5> G{0};
|
||||||
|
for (uint8_t i = 0; i < 5; i++) {
|
||||||
|
G[i][i] = 1.0f;
|
||||||
|
}
|
||||||
|
G[0][0] = c;
|
||||||
|
G[0][1] = s;
|
||||||
|
G[1][0] = -s;
|
||||||
|
G[1][1] = c;
|
||||||
|
|
||||||
|
Matrix<5, 5> GW{0};
|
||||||
|
G.Mult(W_orig, GW);
|
||||||
|
float err = frobeniusNorm5(W - GW);
|
||||||
|
REQUIRE_THAT(err, Catch::Matchers::WithinAbs(0.0f, 1e-6f));
|
||||||
|
|
||||||
|
// Verify G is orthogonal
|
||||||
|
REQUIRE(isOrthogonal5(G));
|
||||||
|
}
|
||||||
|
|
||||||
|
// Test: Apply to larger range of columns
|
||||||
|
{
|
||||||
|
Matrix<5, 5> W{3.0f, 4.0f, 5.0f, 6.0f, 7.0f, 1.0f, 2.0f, 3.0f, 4.0f,
|
||||||
|
5.0f, 0, 0, 0, 0, 0, 0, 0, 0,
|
||||||
|
0, 0, 0, 0, 0, 0, 0};
|
||||||
|
|
||||||
|
float c, s;
|
||||||
|
SVD::ComputeGivens(3.0f, 1.0f, c, s);
|
||||||
|
|
||||||
|
SVD::ApplyGivensLeft(W, 0, 1, c, s, 0, 4);
|
||||||
|
|
||||||
|
REQUIRE_THAT(W.Get(1, 0), Catch::Matchers::WithinAbs(0.0f, 1e-6f));
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
// ============================================================================
|
||||||
|
// TEST 6: ApplyGivensRight
|
||||||
|
// ============================================================================
|
||||||
|
TEST_CASE("SVD Building Block: ApplyGivensRight", "[Matrix][SVD]") {
|
||||||
|
// Test: Apply Givens to zero out W[0,1] of a 2×2 matrix
|
||||||
|
// Input: [[3, 4], [1, 2]]
|
||||||
|
// Givens on cols 0,1 with x=W[0,0]=3, y=W[0,1]=4
|
||||||
|
{
|
||||||
|
Matrix<5, 5> W{3.0f, 4.0f, 0, 0, 0, 1.0f, 2.0f, 0, 0, 0, 0, 0, 0,
|
||||||
|
0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0};
|
||||||
|
|
||||||
|
float c, s;
|
||||||
|
SVD::ComputeGivens(3.0f, 4.0f, c, s);
|
||||||
|
|
||||||
|
SVD::ApplyGivensRight(W, 0, 1, c, s, 0, 4);
|
||||||
|
|
||||||
|
// W[0,1] should be ~0
|
||||||
|
REQUIRE_THAT(W.Get(0, 1), Catch::Matchers::WithinAbs(0.0f, 1e-6f));
|
||||||
|
|
||||||
|
// Verify W ≈ W_orig · G
|
||||||
|
Matrix<5, 5> W_orig{3.0f, 4.0f, 0, 0, 0, 1.0f, 2.0f, 0, 0, 0, 0, 0, 0,
|
||||||
|
0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0};
|
||||||
|
|
||||||
|
// Givens rotation matrix (5×5)
|
||||||
|
Matrix<5, 5> G{0};
|
||||||
|
for (uint8_t i = 0; i < 5; i++) {
|
||||||
|
G[i][i] = 1.0f;
|
||||||
|
}
|
||||||
|
G[0][0] = c;
|
||||||
|
G[0][1] = -s;
|
||||||
|
G[1][0] = s;
|
||||||
|
G[1][1] = c;
|
||||||
|
|
||||||
|
Matrix<5, 5> WG{0};
|
||||||
|
W_orig.Mult(G, WG);
|
||||||
|
float err = frobeniusNorm5(W - WG);
|
||||||
|
REQUIRE_THAT(err, Catch::Matchers::WithinAbs(0.0f, 1e-6f));
|
||||||
|
|
||||||
|
// Verify G is orthogonal
|
||||||
|
REQUIRE(isOrthogonal5(G));
|
||||||
|
}
|
||||||
|
|
||||||
|
// Test: Apply to larger range of rows
|
||||||
|
{
|
||||||
|
Matrix<5, 5> W{3.0f, 4.0f, 0, 0, 0, 1.0f, 2.0f, 0, 0, 0, 5.0f, 6.0f, 0,
|
||||||
|
0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0};
|
||||||
|
|
||||||
|
float c, s;
|
||||||
|
SVD::ComputeGivens(3.0f, 4.0f, c, s);
|
||||||
|
|
||||||
|
SVD::ApplyGivensRight(W, 0, 1, c, s, 0, 2);
|
||||||
|
|
||||||
|
REQUIRE_THAT(W.Get(0, 1), Catch::Matchers::WithinAbs(0.0f, 1e-6f));
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
// ============================================================================
|
||||||
|
// TEST 7: Full Bidiagonalization (composing Householder steps)
|
||||||
|
// ============================================================================
|
||||||
|
TEST_CASE("SVD Building Block: Householder Bidiagonalization",
|
||||||
|
"[Matrix][SVD]") {
|
||||||
|
// Test: Bidiagonalize a 3×3 matrix and verify reconstruction
|
||||||
|
// Input: [[1, 2, 3], [4, 5, 6], [7, 8, 10]]
|
||||||
|
{
|
||||||
|
Matrix<5, 5> W{1.0f, 2.0f, 3.0f, 0, 0, 4.0f, 5.0f, 6.0f, 0,
|
||||||
|
0, 7.0f, 8.0f, 10.0f, 0, 0, 0, 0, 0,
|
||||||
|
0, 0, 0, 0, 0, 0, 0};
|
||||||
|
|
||||||
|
// Step 1: Left HH on column 0, rows 1:2 → zero out W[2,0]
|
||||||
|
{
|
||||||
|
float x[] = {4.0f, 7.0f};
|
||||||
|
float v[5] = {0};
|
||||||
|
float alpha = 0;
|
||||||
|
SVD::ComputeHouseholder(x, 2, v, alpha);
|
||||||
|
SVD::ApplyHouseholderLeft(W, v, 1, 2);
|
||||||
|
}
|
||||||
|
|
||||||
|
// Step 2: Right HH on row 0, cols 1:2 → zero out W[0,2]
|
||||||
|
{
|
||||||
|
float x[] = {W.Get(0, 1), W.Get(0, 2)};
|
||||||
|
float v[5] = {0};
|
||||||
|
float alpha = 0;
|
||||||
|
SVD::ComputeHouseholder(x, 2, v, alpha);
|
||||||
|
SVD::ApplyHouseholderRight(W, v, 1, 2);
|
||||||
|
}
|
||||||
|
|
||||||
|
// Step 3: Left HH on column 1, rows 2:2 → nothing to do (single element)
|
||||||
|
|
||||||
|
// Verify bidiagonal structure: for 3x3, zero elements are A[2][0] (below
|
||||||
|
// subdiag in col 0) and A[0][2] (above superdiag in row 0) A[2][1] is the
|
||||||
|
// subdiagonal element of col 1 — valid in bidiagonal form
|
||||||
|
REQUIRE_THAT(W.Get(2, 0), Catch::Matchers::WithinAbs(0.0f, 1e-4f));
|
||||||
|
REQUIRE_THAT(W.Get(0, 2), Catch::Matchers::WithinAbs(0.0f, 1e-4f));
|
||||||
|
}
|
||||||
|
|
||||||
|
// Test: Bidiagonalize a 4×3 matrix
|
||||||
|
{
|
||||||
|
Matrix<5, 5> W{1.0f, 2.0f, 3.0f, 0, 0, 4.0f, 5.0f, 6.0f, 0,
|
||||||
|
0, 7.0f, 8.0f, 9.0f, 0, 0, 10.0f, 11.0f, 12.0f,
|
||||||
|
0, 0, 0, 0, 0, 0, 0};
|
||||||
|
|
||||||
|
// Step 1: Left HH on col 0, rows 1:3 → zero out W[2,0], W[3,0]
|
||||||
|
{
|
||||||
|
float x[] = {4.0f, 7.0f, 10.0f};
|
||||||
|
float v[5] = {0};
|
||||||
|
float alpha = 0;
|
||||||
|
SVD::ComputeHouseholder(x, 3, v, alpha);
|
||||||
|
SVD::ApplyHouseholderLeft(W, v, 1, 3);
|
||||||
|
}
|
||||||
|
|
||||||
|
// Step 2: Right HH on row 0, cols 1:2 → zero out W[0,2]
|
||||||
|
{
|
||||||
|
float x[] = {W.Get(0, 1), W.Get(0, 2)};
|
||||||
|
float v[5] = {0};
|
||||||
|
float alpha = 0;
|
||||||
|
SVD::ComputeHouseholder(x, 2, v, alpha);
|
||||||
|
SVD::ApplyHouseholderRight(W, v, 1, 2);
|
||||||
|
}
|
||||||
|
|
||||||
|
// Step 3: Left HH on col 1, rows 2:3 → zero out W[3,1]
|
||||||
|
{
|
||||||
|
float x[] = {W.Get(2, 1), W.Get(3, 1)};
|
||||||
|
float v[5] = {0};
|
||||||
|
float alpha = 0;
|
||||||
|
SVD::ComputeHouseholder(x, 2, v, alpha);
|
||||||
|
SVD::ApplyHouseholderLeft(W, v, 2, 3);
|
||||||
|
}
|
||||||
|
|
||||||
|
// Verify bidiagonal structure
|
||||||
|
REQUIRE_THAT(W.Get(2, 0), Catch::Matchers::WithinAbs(0.0f, 1e-5f));
|
||||||
|
REQUIRE_THAT(W.Get(3, 0), Catch::Matchers::WithinAbs(0.0f, 1e-5f));
|
||||||
|
REQUIRE_THAT(W.Get(3, 1), Catch::Matchers::WithinAbs(0.0f, 1e-5f));
|
||||||
|
}
|
||||||
|
|
||||||
|
// Test: Diagonal matrix (no transformations needed)
|
||||||
|
{
|
||||||
|
Matrix<5, 5> W{10.0f, 0, 0, 0, 0, 0, 5.0f, 0, 0, 0, 0, 0, 2.0f,
|
||||||
|
0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0};
|
||||||
|
|
||||||
|
// Householder on zero vector should be identity
|
||||||
|
float x[] = {0.0f, 0.0f};
|
||||||
|
float v[5] = {0};
|
||||||
|
float alpha = 0;
|
||||||
|
SVD::ComputeHouseholder(x, 2, v, alpha);
|
||||||
|
|
||||||
|
// Applying identity should not change anything
|
||||||
|
Matrix<5, 5> W_copy{10.0f, 0, 0, 0, 0, 0, 5.0f, 0, 0, 0, 0, 0, 2.0f,
|
||||||
|
0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0};
|
||||||
|
SVD::ApplyHouseholderLeft(W_copy, v, 1, 2);
|
||||||
|
|
||||||
|
REQUIRE_THAT(frobeniusNorm5(W - W_copy),
|
||||||
|
Catch::Matchers::WithinAbs(0.0f, 1e-6f));
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
// ============================================================================
|
||||||
|
// //
|
||||||
|
// ============================================================================
|
||||||
|
// TEST 8: Givens QR step on bidiagonal matrix
|
||||||
|
// ===========================================================================
|
||||||
|
TEST_CASE("SVD Building Block: Givens QR Step on Bidiagonal", "[Matrix][SVD]") {
|
||||||
|
// Test: Apply left Givens to zero subdiagonal of a bidiagonal matrix,
|
||||||
|
// then apply right Givens with restricted row range to restore bidiagonal
|
||||||
|
// form.
|
||||||
|
//
|
||||||
|
// Input: 3x3 bidiagonal [[1, 2, 0], [3, -4, 5], [0, 6, -7]]
|
||||||
|
// Step 1: Left Givens on rows 0,1 with x=W[0][0]=1, y=W[1][0]=3 -> zero
|
||||||
|
// W[1][0] Step 2: Right Givens on cols 1,2 with x=W[0][1], y=W[0][2] -> zero
|
||||||
|
// W[0][2]
|
||||||
|
// Only applied to row 0 (to not reintroduce subdiagonal non-zeros)
|
||||||
|
{
|
||||||
|
Matrix<5, 5> W{1.0f, 2.0f, 0.0f, 0, 0, 3.0f, -4.0f, 5.0f, 0,
|
||||||
|
0, 0.0f, 6.0f, -7.0f, 0, 0, 0, 0, 0,
|
||||||
|
0, 0, 0, 0, 0, 0, 0};
|
||||||
|
|
||||||
|
float c, s;
|
||||||
|
SVD::ComputeGivens(W.Get(0, 0), W.Get(1, 0), c, s);
|
||||||
|
|
||||||
|
// Apply from left to zero subdiagonal at W[1][0]
|
||||||
|
SVD::ApplyGivensLeft(W, 0, 1, c, s, 0, 4);
|
||||||
|
|
||||||
|
REQUIRE_THAT(W.Get(1, 0), Catch::Matchers::WithinAbs(0.0f, 1e-5f));
|
||||||
|
|
||||||
|
// After left Givens, W[0][2] may have become non-zero (fill-in from row 0)
|
||||||
|
// Apply right Givens to cols 1,2 with x=W[0][1], y=W[0][2] -> zero W[0][2]
|
||||||
|
// Only apply to rows 0 (to preserve bidiagonal structure below row 0)
|
||||||
|
float c2, s2;
|
||||||
|
SVD::ComputeGivens(W.Get(0, 1), W.Get(0, 2), c2, s2);
|
||||||
|
SVD::ApplyGivensRight(W, 1, 2, c2, s2, 0, 0);
|
||||||
|
|
||||||
|
// Should be bidiagonal: W[1][0] ~ 0 (from left Givens), W[0][2] ~ 0 (from
|
||||||
|
// right Givens)
|
||||||
|
REQUIRE_THAT(W.Get(1, 0), Catch::Matchers::WithinAbs(0.0f, 1e-5f));
|
||||||
|
REQUIRE_THAT(W.Get(0, 2), Catch::Matchers::WithinAbs(0.0f, 1e-5f));
|
||||||
|
}
|
||||||
|
|
||||||
|
// Test: Verify that a full QR step (left + right Givens) preserves the
|
||||||
|
// bidiagonal structure when applied correctly with proper row ranges.
|
||||||
|
{
|
||||||
|
Matrix<5, 5> W{2.0f, 3.0f, 0, 0, 0, -1.0f, 4.0f, 5.0f, 0, 0, 0, 6.0f, -7.0f,
|
||||||
|
0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0};
|
||||||
|
|
||||||
|
// Left Givens on col 0 (rows 0,1)
|
||||||
|
float c, s;
|
||||||
|
SVD::ComputeGivens(W.Get(0, 0), W.Get(1, 0), c, s);
|
||||||
|
SVD::ApplyGivensLeft(W, 0, 1, c, s, 0, 4);
|
||||||
|
|
||||||
|
REQUIRE_THAT(W.Get(1, 0), Catch::Matchers::WithinAbs(0.0f, 1e-5f));
|
||||||
|
|
||||||
|
// Right Givens on row 0 (cols 1,2) - only affect row 0
|
||||||
|
float c2, s2;
|
||||||
|
SVD::ComputeGivens(W.Get(0, 1), W.Get(0, 2), c2, s2);
|
||||||
|
SVD::ApplyGivensRight(W, 1, 2, c2, s2, 0, 0);
|
||||||
|
|
||||||
|
// Bidiagonal structure preserved
|
||||||
|
REQUIRE_THAT(W.Get(1, 0), Catch::Matchers::WithinAbs(0.0f, 1e-5f));
|
||||||
|
REQUIRE_THAT(W.Get(0, 2), Catch::Matchers::WithinAbs(0.0f, 1e-5f));
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
// ============================================================================TEST
|
||||||
|
// 9: Orthogonality preservation of Householder transformations
|
||||||
|
// ============================================================================
|
||||||
|
TEST_CASE("SVD Building Block: Householder preserves orthogonality",
|
||||||
|
"[Matrix][SVD]") {
|
||||||
|
// Starting with an orthogonal matrix, applying Householder should preserve it
|
||||||
|
{
|
||||||
|
// Identity matrix is orthogonal
|
||||||
|
Matrix<5, 5> M{0};
|
||||||
|
for (uint8_t i = 0; i < 5; i++) {
|
||||||
|
M[i][i] = 1.0f;
|
||||||
|
}
|
||||||
|
|
||||||
|
// Householder on first 3 elements of column 0
|
||||||
|
float x[] = {1.0f, 0.0f, 0.0f};
|
||||||
|
float v[5] = {0};
|
||||||
|
float alpha = 0;
|
||||||
|
SVD::ComputeHouseholder(x, 3, v, alpha);
|
||||||
|
|
||||||
|
// Apply from left
|
||||||
|
Matrix<5, 5> M_left = M;
|
||||||
|
SVD::ApplyHouseholderLeft(M_left, v, 0, 2);
|
||||||
|
|
||||||
|
// M_left should still be orthogonal
|
||||||
|
REQUIRE(isOrthogonal5(M_left));
|
||||||
|
|
||||||
|
// Apply from right
|
||||||
|
Matrix<5, 5> M_right = M;
|
||||||
|
SVD::ApplyHouseholderRight(M_right, v, 0, 2);
|
||||||
|
|
||||||
|
REQUIRE(isOrthogonal5(M_right));
|
||||||
|
}
|
||||||
|
|
||||||
|
// Random orthogonal matrix (rotation)
|
||||||
|
{
|
||||||
|
float c = sqrtf(0.5f);
|
||||||
|
float s = sqrtf(0.5f);
|
||||||
|
Matrix<5, 5> M{0};
|
||||||
|
M[0][0] = c;
|
||||||
|
M[0][1] = -s;
|
||||||
|
M[1][0] = s;
|
||||||
|
M[1][1] = c;
|
||||||
|
for (uint8_t i = 2; i < 5; i++) {
|
||||||
|
M[i][i] = 1.0f;
|
||||||
|
}
|
||||||
|
|
||||||
|
REQUIRE(isOrthogonal5(M));
|
||||||
|
|
||||||
|
// Apply Householder on rows 0,1
|
||||||
|
float x[] = {c, s};
|
||||||
|
float v[5] = {0};
|
||||||
|
float alpha = 0;
|
||||||
|
SVD::ComputeHouseholder(x, 2, v, alpha);
|
||||||
|
|
||||||
|
Matrix<5, 5> M_test = M;
|
||||||
|
SVD::ApplyHouseholderLeft(M_test, v, 0, 1);
|
||||||
|
|
||||||
|
REQUIRE(isOrthogonal5(M_test));
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
// ============================================================================
|
||||||
|
// TEST 10: Orthogonality preservation of Givens transformations
|
||||||
|
// ============================================================================
|
||||||
|
TEST_CASE("SVD Building Block: Givens preserves orthogonality",
|
||||||
|
"[Matrix][SVD]") {
|
||||||
|
// Starting with an orthogonal matrix, applying Givens should preserve it
|
||||||
|
{
|
||||||
|
Matrix<5, 5> M{0};
|
||||||
|
for (uint8_t i = 0; i < 5; i++) {
|
||||||
|
M[i][i] = 1.0f;
|
||||||
|
}
|
||||||
|
|
||||||
|
float c, s;
|
||||||
|
SVD::ComputeGivens(3.0f, 4.0f, c, s);
|
||||||
|
|
||||||
|
// Apply from left
|
||||||
|
Matrix<5, 5> M_left = M;
|
||||||
|
SVD::ApplyGivensLeft(M_left, 0, 1, c, s, 0, 4);
|
||||||
|
|
||||||
|
REQUIRE(isOrthogonal5(M_left));
|
||||||
|
|
||||||
|
// Apply from right
|
||||||
|
Matrix<5, 5> M_right = M;
|
||||||
|
SVD::ApplyGivensRight(M_right, 0, 1, c, s, 0, 4);
|
||||||
|
|
||||||
|
REQUIRE(isOrthogonal5(M_right));
|
||||||
|
}
|
||||||
|
}
|
||||||
@@ -0,0 +1,269 @@
|
|||||||
|
#include "Matrix.hpp"
|
||||||
|
#include "SVD.hpp"
|
||||||
|
#include <catch2/catch_test_macros.hpp>
|
||||||
|
#include <catch2/matchers/catch_matchers_floating_point.hpp>
|
||||||
|
#include <iostream>
|
||||||
|
|
||||||
|
// Generic helper functions for any matrix size
|
||||||
|
template <uint8_t rows, uint8_t columns>
|
||||||
|
static float frobeniusNorm(const Matrix<rows, columns> &M) {
|
||||||
|
float sum = 0.0f;
|
||||||
|
for (int i = 0; i < rows; i++)
|
||||||
|
for (int j = 0; j < columns; j++) {
|
||||||
|
float v = M.Get(i, j);
|
||||||
|
sum += v * v;
|
||||||
|
}
|
||||||
|
return sqrtf(sum);
|
||||||
|
}
|
||||||
|
|
||||||
|
template <uint8_t n>
|
||||||
|
static bool isOrthogonal(const Matrix<n, n> &M, float tol = 1e-4f) {
|
||||||
|
Matrix<n, n> Mt = M.Transpose();
|
||||||
|
Matrix<n, n> MtM{0};
|
||||||
|
Mt.Mult(M, MtM);
|
||||||
|
for (int i = 0; i < n; i++)
|
||||||
|
for (int j = 0; j < n; j++) {
|
||||||
|
float expected = (i == j) ? 1.0f : 0.0f;
|
||||||
|
if (fabsf(MtM.Get(i, j) - expected) > tol)
|
||||||
|
return false;
|
||||||
|
}
|
||||||
|
return true;
|
||||||
|
}
|
||||||
|
|
||||||
|
TEST_CASE("SVD Integration: 2x2 [[1,2],[3,4]]", "[Matrix][SVD][Integration]") {
|
||||||
|
Matrix<2, 2> A{1, 2, 3, 4};
|
||||||
|
Matrix<2, 2> U{0};
|
||||||
|
Matrix<2, 1> sigma{0};
|
||||||
|
Matrix<2, 2> Vt{0};
|
||||||
|
|
||||||
|
SVD::SVD(A, U, sigma, Vt);
|
||||||
|
|
||||||
|
// Reference singular values from scipy: [5.464985704219, 0.365966190626]
|
||||||
|
REQUIRE_THAT(sigma.Get(0, 0), Catch::Matchers::WithinRel(5.4649857f, 1e-3f));
|
||||||
|
REQUIRE_THAT(sigma.Get(1, 0), Catch::Matchers::WithinRel(0.3659662f, 1e-3f));
|
||||||
|
|
||||||
|
// Check orthogonality of U and Vt (first 2x2 blocks)
|
||||||
|
REQUIRE(isOrthogonal<2>(U));
|
||||||
|
REQUIRE(isOrthogonal<2>(Vt));
|
||||||
|
|
||||||
|
// Check reconstruction: A ≈ U · diag(sigma) · Vt
|
||||||
|
Matrix<2, 2> recon{0};
|
||||||
|
Matrix<2, 2> Usig{0};
|
||||||
|
for (int i = 0; i < 2; i++)
|
||||||
|
for (int j = 0; j < 2; j++)
|
||||||
|
Usig[i][j] = U.Get(i, j) * sigma.Get(j, 0);
|
||||||
|
|
||||||
|
Usig.Mult(Vt, recon);
|
||||||
|
|
||||||
|
float err = 0.0f;
|
||||||
|
for (int i = 0; i < 2; i++)
|
||||||
|
for (int j = 0; j < 2; j++) {
|
||||||
|
float diff = recon.Get(i, j) - A.Get(i, j);
|
||||||
|
err += diff * diff;
|
||||||
|
}
|
||||||
|
err = sqrtf(err);
|
||||||
|
REQUIRE_THAT(err, Catch::Matchers::WithinRel(0.0f, 1e-3f));
|
||||||
|
|
||||||
|
std::cout << "SVD 2x2 [[1,2],[3,4]]:\n";
|
||||||
|
std::cout << "Sigma: [" << sigma.Get(0, 0) << ", " << sigma.Get(1, 0)
|
||||||
|
<< "]\n";
|
||||||
|
}
|
||||||
|
|
||||||
|
TEST_CASE("SVD Integration: 3x3 diagonal [10,5,2]",
|
||||||
|
"[Matrix][SVD][Integration]") {
|
||||||
|
Matrix<3, 3> A{10, 0, 0, 0, 5, 0, 0, 0, 2};
|
||||||
|
Matrix<3, 3> U{0};
|
||||||
|
Matrix<3, 1> sigma{0};
|
||||||
|
Matrix<3, 3> Vt{0};
|
||||||
|
|
||||||
|
SVD::SVD(A, U, sigma, Vt);
|
||||||
|
|
||||||
|
// Singular values should be [10, 5, 2] (already diagonal)
|
||||||
|
REQUIRE_THAT(sigma.Get(0, 0), Catch::Matchers::WithinRel(10.0f, 1e-3f));
|
||||||
|
REQUIRE_THAT(sigma.Get(1, 0), Catch::Matchers::WithinRel(5.0f, 1e-3f));
|
||||||
|
REQUIRE_THAT(sigma.Get(2, 0), Catch::Matchers::WithinRel(2.0f, 1e-3f));
|
||||||
|
|
||||||
|
// U and Vt should be identity (or close) for diagonal matrix
|
||||||
|
float uErr = frobeniusNorm(U - Matrix<3, 3>{1, 0, 0, 0, 1, 0, 0, 0, 1});
|
||||||
|
float vtErr = frobeniusNorm(Vt - Matrix<3, 3>{1, 0, 0, 0, 1, 0, 0, 0, 1});
|
||||||
|
REQUIRE_THAT(uErr, Catch::Matchers::WithinRel(0.0f, 1e-2f));
|
||||||
|
REQUIRE_THAT(vtErr, Catch::Matchers::WithinRel(0.0f, 1e-2f));
|
||||||
|
}
|
||||||
|
|
||||||
|
TEST_CASE("SVD Integration: 3x3 rank-deficient [[1,2,3],[4,5,6],[7,8,9]]",
|
||||||
|
"[Matrix][SVD][Integration]") {
|
||||||
|
Matrix<3, 3> A{1, 2, 3, 4, 5, 6, 7, 8, 9};
|
||||||
|
Matrix<3, 3> U{0};
|
||||||
|
Matrix<3, 1> sigma{0};
|
||||||
|
Matrix<3, 3> Vt{0};
|
||||||
|
|
||||||
|
SVD::SVD(A, U, sigma, Vt);
|
||||||
|
|
||||||
|
// Reference: [16.848103352614, 1.068369514555, 0.0]
|
||||||
|
REQUIRE_THAT(sigma.Get(0, 0), Catch::Matchers::WithinRel(16.8481f, 1e-2f));
|
||||||
|
REQUIRE_THAT(sigma.Get(1, 0), Catch::Matchers::WithinRel(1.06837f, 1e-2f));
|
||||||
|
// Third singular value should be ~0 (rank-deficient)
|
||||||
|
REQUIRE_THAT(sigma.Get(2, 0), Catch::Matchers::WithinAbs(0.0f, 1e-2f));
|
||||||
|
|
||||||
|
// Check reconstruction
|
||||||
|
Matrix<3, 3> recon{0};
|
||||||
|
Matrix<3, 3> Usig{0};
|
||||||
|
for (int i = 0; i < 3; i++)
|
||||||
|
for (int j = 0; j < 3; j++)
|
||||||
|
Usig[i][j] = U.Get(i, j) * sigma.Get(j, 0);
|
||||||
|
Usig.Mult(Vt, recon);
|
||||||
|
|
||||||
|
float err = 0.0f;
|
||||||
|
for (int i = 0; i < 3; i++)
|
||||||
|
for (int j = 0; j < 3; j++) {
|
||||||
|
float diff = recon.Get(i, j) - A.Get(i, j);
|
||||||
|
err += diff * diff;
|
||||||
|
}
|
||||||
|
err = sqrtf(err);
|
||||||
|
REQUIRE_THAT(err, Catch::Matchers::WithinRel(0.0f, 1e-2f));
|
||||||
|
|
||||||
|
std::cout << "SVD 3x3 rank-deficient:\n";
|
||||||
|
std::cout << "Sigma: [" << sigma.Get(0, 0) << ", " << sigma.Get(1, 0) << ", "
|
||||||
|
<< sigma.Get(2, 0) << "]\n";
|
||||||
|
}
|
||||||
|
|
||||||
|
TEST_CASE("SVD Integration: tall 4x3 matrix", "[Matrix][SVD][Integration]") {
|
||||||
|
Matrix<4, 3> A{1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12};
|
||||||
|
Matrix<4, 3> U{0};
|
||||||
|
Matrix<3, 1> sigma{0};
|
||||||
|
Matrix<3, 3> Vt{0};
|
||||||
|
|
||||||
|
SVD::SVD(A, U, sigma, Vt);
|
||||||
|
|
||||||
|
// Reference: [25.462407436036, 1.290661675761, 0.0]
|
||||||
|
REQUIRE_THAT(sigma.Get(0, 0), Catch::Matchers::WithinRel(25.4624f, 1e-2f));
|
||||||
|
REQUIRE_THAT(sigma.Get(1, 0), Catch::Matchers::WithinRel(1.29066f, 1e-2f));
|
||||||
|
REQUIRE_THAT(sigma.Get(2, 0), Catch::Matchers::WithinAbs(0.0f, 1e-2f));
|
||||||
|
|
||||||
|
// Check reconstruction
|
||||||
|
Matrix<4, 3> recon{0};
|
||||||
|
Matrix<4, 3> Usig{0};
|
||||||
|
for (int i = 0; i < 4; i++)
|
||||||
|
for (int j = 0; j < 3; j++)
|
||||||
|
Usig[i][j] = U.Get(i, j) * sigma.Get(j, 0);
|
||||||
|
Usig.Mult(Vt, recon);
|
||||||
|
|
||||||
|
float err = 0.0f;
|
||||||
|
for (int i = 0; i < 4; i++)
|
||||||
|
for (int j = 0; j < 3; j++) {
|
||||||
|
float diff = recon.Get(i, j) - A.Get(i, j);
|
||||||
|
err += diff * diff;
|
||||||
|
}
|
||||||
|
err = sqrtf(err);
|
||||||
|
REQUIRE_THAT(err, Catch::Matchers::WithinRel(0.0f, 1e-2f));
|
||||||
|
|
||||||
|
std::cout << "SVD tall 4x3:\n";
|
||||||
|
std::cout << "Sigma: [" << sigma.Get(0, 0) << ", " << sigma.Get(1, 0) << ", "
|
||||||
|
<< sigma.Get(2, 0) << "]\n";
|
||||||
|
}
|
||||||
|
|
||||||
|
TEST_CASE("SVD Integration: wide 3x5 matrix", "[Matrix][SVD][Integration]") {
|
||||||
|
Matrix<3, 5> A{1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15};
|
||||||
|
Matrix<3, 5> U{0};
|
||||||
|
Matrix<5, 1> sigma{0}; // sigma is columns x 1 = 5x1 for wide matrix
|
||||||
|
Matrix<5, 5> Vt{0}; // Vt is columns x columns = 5x5
|
||||||
|
|
||||||
|
SVD::SVD(A, U, sigma, Vt);
|
||||||
|
|
||||||
|
// Reference: [35.127223333575, 2.465396696917, 0.0]
|
||||||
|
REQUIRE_THAT(sigma.Get(0, 0), Catch::Matchers::WithinRel(35.1272f, 1e-2f));
|
||||||
|
REQUIRE_THAT(sigma.Get(1, 0), Catch::Matchers::WithinRel(2.46540f, 1e-2f));
|
||||||
|
REQUIRE_THAT(sigma.Get(2, 0), Catch::Matchers::WithinAbs(0.0f, 1e-2f));
|
||||||
|
|
||||||
|
// Check reconstruction: U (3x5) * diag(sigma) (5x3) = 3x3, then * Vt (3x5) =
|
||||||
|
// 3x5
|
||||||
|
Matrix<3, 5> recon{0};
|
||||||
|
Matrix<3, 5> Usig{0};
|
||||||
|
for (int i = 0; i < 3; i++)
|
||||||
|
for (int j = 0; j < 5; j++)
|
||||||
|
Usig[i][j] = U.Get(i, j) * sigma.Get(j, 0);
|
||||||
|
|
||||||
|
// For wide matrix: A = U * Sigma * Vt where U is 3x5, Sigma is 5x5
|
||||||
|
// (diagonal), Vt is 5x5 But our implementation returns sigma as 3x1 and Vt as
|
||||||
|
// 3x5 So we need: recon = Usig (3x5) * Vt (3x5)^T ... no that doesn't work
|
||||||
|
// either The SVD for wide matrices is: A = U * Sigma * Vt where:
|
||||||
|
// U is m×m (3×3), Sigma is m×n (3×5), Vt is n×n (5×5)
|
||||||
|
// But our API returns U as m×n (3×5), sigma as n×1 (3×1), Vt as n×n (3×5)
|
||||||
|
// So: recon = U (3x5) * diag(sigma) (5x5) * Vt (5x5)^T ...
|
||||||
|
// Actually, looking at the implementation, for wide matrices we swap roles.
|
||||||
|
// Let me just check reconstruction using the actual dimensions returned.
|
||||||
|
|
||||||
|
// For wide matrix: A (3x5) = U (3x5) * diag(sigma) (5x5 padded) * Vt (5x5)
|
||||||
|
// But our API returns Vt as 3x5, not 5x5
|
||||||
|
// The implementation stores: U = QR[:,0:p]^T (3x5), sigma (3x1), Vt =
|
||||||
|
// QL[:,0:p]^T (3x5) Reconstruction: A[i][j] = sum_k U[i][k]*sigma[k]*Vt[j][k]
|
||||||
|
|
||||||
|
float err2 = 0.0f;
|
||||||
|
for (int i = 0; i < 3; i++) {
|
||||||
|
for (int j = 0; j < 5; j++) {
|
||||||
|
float recon_val = 0.0f;
|
||||||
|
for (int k = 0; k < 3; k++) {
|
||||||
|
recon_val += U.Get(i, k) * sigma.Get(k, 0) * Vt.Get(j, k);
|
||||||
|
}
|
||||||
|
float diff = recon_val - A.Get(i, j);
|
||||||
|
err2 += diff * diff;
|
||||||
|
}
|
||||||
|
}
|
||||||
|
err2 = sqrtf(err2);
|
||||||
|
REQUIRE_THAT(err2, Catch::Matchers::WithinRel(0.0f, 1e-2f));
|
||||||
|
|
||||||
|
std::cout << "SVD wide 3x5:\n";
|
||||||
|
std::cout << "Sigma: [" << sigma.Get(0, 0) << ", " << sigma.Get(1, 0) << ", "
|
||||||
|
<< sigma.Get(2, 0) << "]\n";
|
||||||
|
}
|
||||||
|
|
||||||
|
TEST_CASE("SVD Integration: identity 3x3", "[Matrix][SVD][Integration]") {
|
||||||
|
Matrix<3, 3> A{1, 0, 0, 0, 1, 0, 0, 0, 1};
|
||||||
|
Matrix<3, 3> U{0};
|
||||||
|
Matrix<3, 1> sigma{0};
|
||||||
|
Matrix<3, 3> Vt{0};
|
||||||
|
|
||||||
|
SVD::SVD(A, U, sigma, Vt);
|
||||||
|
|
||||||
|
REQUIRE_THAT(sigma.Get(0, 0), Catch::Matchers::WithinRel(1.0f, 1e-3f));
|
||||||
|
REQUIRE_THAT(sigma.Get(1, 0), Catch::Matchers::WithinRel(1.0f, 1e-3f));
|
||||||
|
REQUIRE_THAT(sigma.Get(2, 0), Catch::Matchers::WithinRel(1.0f, 1e-3f));
|
||||||
|
|
||||||
|
float err = frobeniusNorm(U - Matrix<3, 3>{1, 0, 0, 0, 1, 0, 0, 0, 1});
|
||||||
|
REQUIRE_THAT(err, Catch::Matchers::WithinRel(0.0f, 1e-2f));
|
||||||
|
}
|
||||||
|
|
||||||
|
TEST_CASE("SVD Integration: symmetric positive definite 2x2 [[5,3],[3,5]]",
|
||||||
|
"[Matrix][SVD][Integration]") {
|
||||||
|
Matrix<2, 2> A{5, 3, 3, 5};
|
||||||
|
Matrix<2, 2> U{0};
|
||||||
|
Matrix<2, 1> sigma{0};
|
||||||
|
Matrix<2, 2> Vt{0};
|
||||||
|
|
||||||
|
SVD::SVD(A, U, sigma, Vt);
|
||||||
|
|
||||||
|
// For SPD matrix, singular values = eigenvalues: [8, 2]
|
||||||
|
REQUIRE_THAT(sigma.Get(0, 0), Catch::Matchers::WithinRel(8.0f, 1e-3f));
|
||||||
|
REQUIRE_THAT(sigma.Get(1, 0), Catch::Matchers::WithinRel(2.0f, 1e-3f));
|
||||||
|
|
||||||
|
// Check reconstruction
|
||||||
|
Matrix<2, 2> recon{0};
|
||||||
|
Matrix<2, 2> Usig{0};
|
||||||
|
for (int i = 0; i < 2; i++)
|
||||||
|
for (int j = 0; j < 2; j++)
|
||||||
|
Usig[i][j] = U.Get(i, j) * sigma.Get(j, 0);
|
||||||
|
Usig.Mult(Vt, recon);
|
||||||
|
|
||||||
|
float err = 0.0f;
|
||||||
|
for (int i = 0; i < 2; i++)
|
||||||
|
for (int j = 0; j < 2; j++) {
|
||||||
|
float diff = recon.Get(i, j) - A.Get(i, j);
|
||||||
|
err += diff * diff;
|
||||||
|
}
|
||||||
|
err = sqrtf(err);
|
||||||
|
REQUIRE_THAT(err, Catch::Matchers::WithinRel(0.0f, 1e-3f));
|
||||||
|
|
||||||
|
std::cout << "SVD SPD 2x2 [[5,3],[3,5]]:\n";
|
||||||
|
std::cout << "Sigma: [" << sigma.Get(0, 0) << ", " << sigma.Get(1, 0)
|
||||||
|
<< "]\n";
|
||||||
|
}
|
||||||
@@ -0,0 +1,482 @@
|
|||||||
|
#!/usr/bin/env python3
|
||||||
|
"""
|
||||||
|
Generate reference values for SVD building block unit tests.
|
||||||
|
Run this to verify/implement the C++ SVD implementation against scipy/numpy.
|
||||||
|
|
||||||
|
Usage: python3 svd-reference-values.py
|
||||||
|
"""
|
||||||
|
|
||||||
|
import numpy as np
|
||||||
|
from scipy.linalg import svd, qr as scipy_qr
|
||||||
|
import json
|
||||||
|
|
||||||
|
def compute_householder(x):
|
||||||
|
"""Compute Householder reflector: H*x = [alpha, 0, 0, ...]^T.
|
||||||
|
|
||||||
|
Returns (v_normalized, alpha) where v is the normalized Householder vector.
|
||||||
|
H = I - 2*v*v^T / (v^T*v)
|
||||||
|
"""
|
||||||
|
x = np.array(x, dtype=np.float64)
|
||||||
|
norm_x = np.linalg.norm(x)
|
||||||
|
|
||||||
|
if norm_x < 1e-30:
|
||||||
|
return x.copy(), 0.0
|
||||||
|
|
||||||
|
alpha = -np.sign(x[0]) * norm_x if x[0] != 0 else -norm_x
|
||||||
|
v = x.copy()
|
||||||
|
v[0] -= alpha
|
||||||
|
v_norm = np.linalg.norm(v)
|
||||||
|
|
||||||
|
if v_norm < 1e-30:
|
||||||
|
return np.zeros_like(x), alpha
|
||||||
|
|
||||||
|
v /= v_norm
|
||||||
|
return v, alpha
|
||||||
|
|
||||||
|
def apply_householder_left(A, v, start_row):
|
||||||
|
"""Apply Householder reflection from the left: A = (I - 2vv^T) @ A.
|
||||||
|
|
||||||
|
v is the normalized Householder vector operating on rows [start_row:].
|
||||||
|
The length of v must match the number of rows affected.
|
||||||
|
"""
|
||||||
|
A = A.copy()
|
||||||
|
k = len(v)
|
||||||
|
|
||||||
|
for col in range(A.shape[1]):
|
||||||
|
dot = np.dot(v, A[start_row:start_row+k, col])
|
||||||
|
A[start_row:start_row+k, col] -= 2.0 * dot * v
|
||||||
|
|
||||||
|
return A
|
||||||
|
|
||||||
|
def apply_householder_right(A, v, start_col):
|
||||||
|
"""Apply Householder reflection from the right: A = A @ (I - 2vv^T).
|
||||||
|
|
||||||
|
v is the normalized Householder vector operating on columns [start_col:].
|
||||||
|
The length of v must match the number of columns affected.
|
||||||
|
"""
|
||||||
|
A = A.copy()
|
||||||
|
k = len(v)
|
||||||
|
|
||||||
|
for row in range(A.shape[0]):
|
||||||
|
dot = np.dot(A[row, start_col:start_col+k], v)
|
||||||
|
A[row, start_col:start_col+k] -= 2.0 * dot * v
|
||||||
|
|
||||||
|
return A
|
||||||
|
|
||||||
|
def compute_givens(x, y):
|
||||||
|
"""Compute Givens rotation that zeros out y.
|
||||||
|
|
||||||
|
Returns (c, s) such that [c s; -s c] @ [x; y] = [r; 0].
|
||||||
|
"""
|
||||||
|
r = np.sqrt(x*x + y*y)
|
||||||
|
if r < 1e-30:
|
||||||
|
return 1.0, 0.0
|
||||||
|
c = x / r
|
||||||
|
s = y / r
|
||||||
|
return c, s
|
||||||
|
|
||||||
|
def apply_givens_left(A, i, j, c, s):
|
||||||
|
"""Apply Givens rotation from the left to rows i and j of A.
|
||||||
|
|
||||||
|
[c s] [row_i]
|
||||||
|
[-s c] @ [row_j] = [new_row_i]
|
||||||
|
[new_row_j]
|
||||||
|
"""
|
||||||
|
A = A.copy()
|
||||||
|
new_i = c * A[i] + s * A[j]
|
||||||
|
new_j = -s * A[i] + c * A[j]
|
||||||
|
A[i] = new_i
|
||||||
|
A[j] = new_j
|
||||||
|
return A
|
||||||
|
|
||||||
|
def apply_givens_right(A, i, j, c, s):
|
||||||
|
"""Apply Givens rotation from the right to columns i and j of A.
|
||||||
|
|
||||||
|
[col_i col_j] @ [c -s] = [new_col_i new_col_j]
|
||||||
|
[s c]
|
||||||
|
"""
|
||||||
|
A = A.copy()
|
||||||
|
new_i = c * A[:, i] + s * A[:, j]
|
||||||
|
new_j = -s * A[:, i] + c * A[:, j]
|
||||||
|
A[:, i] = new_i
|
||||||
|
A[:, j] = new_j
|
||||||
|
return A
|
||||||
|
|
||||||
|
def householder_bidiagonalization(A):
|
||||||
|
"""Full Householder bidiagonalization: A = Q_L @ B @ Q_R^T.
|
||||||
|
|
||||||
|
Returns (B, Q_L, Q_R) where B is upper bidiagonal.
|
||||||
|
"""
|
||||||
|
m, n = A.shape
|
||||||
|
p = min(m, n)
|
||||||
|
|
||||||
|
QL = np.eye(m, dtype=np.float64)
|
||||||
|
QR = np.eye(n, dtype=np.float64)
|
||||||
|
W = A.copy()
|
||||||
|
|
||||||
|
for k in range(p):
|
||||||
|
# Left HH: zero out W[k+1:, k]
|
||||||
|
if k < m - 1:
|
||||||
|
x = W[k+1:, k].copy()
|
||||||
|
v, alpha = compute_householder(x)
|
||||||
|
if np.linalg.norm(v) > 1e-30:
|
||||||
|
W = apply_householder_left(W, v, k + 1)
|
||||||
|
QL = apply_householder_right(QL, v, k + 1)
|
||||||
|
|
||||||
|
# Right HH: zero out W[k, k+2:] (superdiagonal)
|
||||||
|
if k < p - 1 and k + 2 <= n:
|
||||||
|
x = W[k, k+2:].copy()
|
||||||
|
v, alpha = compute_householder(x)
|
||||||
|
if np.linalg.norm(v) > 1e-30:
|
||||||
|
W = apply_householder_right(W, v, k + 2)
|
||||||
|
QR = apply_householder_right(QR, v, k + 2)
|
||||||
|
|
||||||
|
return W, QL, QR
|
||||||
|
|
||||||
|
def implicit_qr_iteration(B, QR_acc):
|
||||||
|
"""Implicit QR iteration on a bidiagonal matrix.
|
||||||
|
|
||||||
|
Returns (Sigma, QR_acc) where Sigma is diagonal with singular values
|
||||||
|
and QR_acc contains the accumulated right transformations.
|
||||||
|
"""
|
||||||
|
m, n = B.shape
|
||||||
|
p = min(m, n)
|
||||||
|
W = B.copy()
|
||||||
|
|
||||||
|
max_iter = 1000
|
||||||
|
tol = 1e-10
|
||||||
|
|
||||||
|
for iteration in range(max_iter):
|
||||||
|
# Deflate negligible subdiagonal elements
|
||||||
|
for i in range(p - 1, 0, -1):
|
||||||
|
if abs(W[i, i-1]) < tol * (abs(W[i-1, i-1]) + abs(W[i, i])):
|
||||||
|
W[i, i-1] = 0.0
|
||||||
|
|
||||||
|
# Find smallest unreduced block [start, end]
|
||||||
|
start = 0
|
||||||
|
for i in range(p - 1):
|
||||||
|
if abs(W[i+1, i]) >= tol * (abs(W[i, i]) + abs(W[i+1, i+1])):
|
||||||
|
start = i + 1
|
||||||
|
|
||||||
|
end = p - 1
|
||||||
|
for i in range(p - 2, -1, -1):
|
||||||
|
if abs(W[i+1, i]) >= tol * (abs(W[i, i]) + abs(W[i+1, i+1])):
|
||||||
|
end = i
|
||||||
|
break
|
||||||
|
|
||||||
|
if start >= end:
|
||||||
|
continue
|
||||||
|
|
||||||
|
# Wilkinson shift from bottom 2x2 corner
|
||||||
|
a, b = W[end-1, end-1], W[end-1, end]
|
||||||
|
c_val, d = W[end, end-1], W[end, end]
|
||||||
|
trace = a + d
|
||||||
|
det = a * d - b * c_val
|
||||||
|
disc = trace**2 - 4 * det
|
||||||
|
|
||||||
|
if disc >= 0:
|
||||||
|
sqrt_disc = np.sqrt(disc)
|
||||||
|
e1, e2 = (trace + sqrt_disc) / 2, (trace - sqrt_disc) / 2
|
||||||
|
shift = e1 if abs(e1 - d) < abs(e2 - d) else e2
|
||||||
|
else:
|
||||||
|
shift = d
|
||||||
|
|
||||||
|
# Implicit QR step using Givens rotations
|
||||||
|
# Process from top to bottom within the block
|
||||||
|
x = W[start, start] - shift
|
||||||
|
y = W[start + 1, start]
|
||||||
|
|
||||||
|
for i in range(start, end):
|
||||||
|
r = np.sqrt(x*x + y*y)
|
||||||
|
if r < 1e-30:
|
||||||
|
x = W[i + 1, i]
|
||||||
|
y = W[i + 1, i + 1] if i + 2 <= end else 0.0
|
||||||
|
continue
|
||||||
|
|
||||||
|
c_rot = x / r
|
||||||
|
s_rot = y / r
|
||||||
|
|
||||||
|
# Apply from left to rows i, i+1 (columns i..n-1)
|
||||||
|
for j in range(i, n):
|
||||||
|
t1, t2 = W[i, j], W[i + 1, j]
|
||||||
|
W[i, j] = c_rot * t1 + s_rot * t2
|
||||||
|
W[i + 1, j] = -s_rot * t1 + c_rot * t2
|
||||||
|
|
||||||
|
# Apply from right to columns i, i+1 (rows 0..i)
|
||||||
|
if i > start:
|
||||||
|
for j in range(i + 1):
|
||||||
|
t1, t2 = W[j, i], W[j, i + 1]
|
||||||
|
W[j, i] = c_rot * t1 + s_rot * t2
|
||||||
|
W[j, i + 1] = -s_rot * t1 + c_rot * t2
|
||||||
|
|
||||||
|
# Accumulate into QR_acc
|
||||||
|
for j in range(QR_acc.shape[0]):
|
||||||
|
t1, t2 = QR_acc[j, i], QR_acc[j, i + 1]
|
||||||
|
QR_acc[j, i] = c_rot * t1 + s_rot * t2
|
||||||
|
QR_acc[j, i + 1] = -s_rot * t1 + c_rot * t2
|
||||||
|
|
||||||
|
# Prepare for next rotation
|
||||||
|
x = W[i + 1, i]
|
||||||
|
y = W[i + 1, i + 1] if i + 2 <= end else 0.0
|
||||||
|
|
||||||
|
return W, QR_acc
|
||||||
|
|
||||||
|
|
||||||
|
def main():
|
||||||
|
print("=" * 70)
|
||||||
|
print("SVB BUILDING BLOCK REFERENCE VALUES")
|
||||||
|
print("Generated with scipy/numpy for C++ unit test verification")
|
||||||
|
print("=" * 70)
|
||||||
|
|
||||||
|
# ------------------------------------------------------------------
|
||||||
|
# Test 1: Householder Vector Computation
|
||||||
|
# ------------------------------------------------------------------
|
||||||
|
print("\n" + "=" * 70)
|
||||||
|
print("TEST 1: computeHouseholderVector")
|
||||||
|
print("=" * 70)
|
||||||
|
|
||||||
|
test_vectors = [
|
||||||
|
("2D [1,3]", [1.0, 3.0]),
|
||||||
|
("2D [3,4] (norm=5)", [3.0, 4.0]),
|
||||||
|
("3D [1,2,3]", [1.0, 2.0, 3.0]),
|
||||||
|
("3D [0,0,1]", [0.0, 0.0, 1.0]),
|
||||||
|
("4D [5,-3,2,1]", [5.0, -3.0, 2.0, 1.0]),
|
||||||
|
]
|
||||||
|
|
||||||
|
for name, vec in test_vectors:
|
||||||
|
v, alpha = compute_householder(vec)
|
||||||
|
x = np.array(vec)
|
||||||
|
Hx = x - 2 * np.dot(v, x) * v
|
||||||
|
|
||||||
|
print(f"\n{name}:")
|
||||||
|
print(f" Input: {list(x)}")
|
||||||
|
print(f" ||x||: {np.linalg.norm(x):.15f}")
|
||||||
|
print(f" alpha: {alpha:.15f}")
|
||||||
|
print(f" v (normalized): {[round(float(vi), 12) for vi in v]}")
|
||||||
|
print(f" H*x = [alpha,0..]: {[round(float(xi), 12) for xi in Hx]}")
|
||||||
|
print(f" Off-diagonal ~0: {np.allclose(Hx[1:], 0, atol=1e-12)}")
|
||||||
|
|
||||||
|
# ------------------------------------------------------------------
|
||||||
|
# Test 2: Householder Apply Left
|
||||||
|
# ------------------------------------------------------------------
|
||||||
|
print("\n" + "=" * 70)
|
||||||
|
print("TEST 2: applyHouseholderLeft")
|
||||||
|
print("=" * 70)
|
||||||
|
|
||||||
|
A_test = np.array([[1.0, 2.0, 3.0], [4.0, 5.0, 6.0], [7.0, 8.0, 9.0]], dtype=np.float64)
|
||||||
|
x_col = A_test[1:, 0].copy()
|
||||||
|
v_left, _ = compute_householder(x_col)
|
||||||
|
|
||||||
|
print(f"\nInput matrix:\n{A_test}")
|
||||||
|
print(f"Householder vector (rows 1:3): {[round(float(vi), 12) for vi in v_left]}")
|
||||||
|
|
||||||
|
A_result = apply_householder_left(A_test, v_left, 1)
|
||||||
|
print(f"\nAfter applyHouseholderLeft:\n{A_result}")
|
||||||
|
print(f" A[1,0] = {A_result[1,0]:.2e}, A[2,0] = {A_result[2,0]:.2e} (should be ~0)")
|
||||||
|
|
||||||
|
# ------------------------------------------------------------------
|
||||||
|
# Test 3: Householder Apply Right
|
||||||
|
# ------------------------------------------------------------------
|
||||||
|
print("\n" + "=" * 70)
|
||||||
|
print("TEST 3: applyHouseholderRight")
|
||||||
|
print("=" * 70)
|
||||||
|
|
||||||
|
A_test = np.array([[1.0, 2.0, 3.0], [4.0, 5.0, 6.0], [7.0, 8.0, 9.0]], dtype=np.float64)
|
||||||
|
x_row = A_test[0, 1:].copy()
|
||||||
|
v_right, _ = compute_householder(x_row)
|
||||||
|
|
||||||
|
print(f"\nInput matrix:\n{A_test}")
|
||||||
|
print(f"Householder vector (cols 1:3): {[round(float(vi), 12) for vi in v_right]}")
|
||||||
|
|
||||||
|
A_result = apply_householder_right(A_test, v_right, 1)
|
||||||
|
print(f"\nAfter applyHouseholderRight:\n{A_result}")
|
||||||
|
print(f" A[0,1] = {A_result[0,1]:.2e}, A[0,2] = {A_result[0,2]:.2e} (should be ~0)")
|
||||||
|
|
||||||
|
# ------------------------------------------------------------------
|
||||||
|
# Test 4: Givens Rotation Computation
|
||||||
|
# ------------------------------------------------------------------
|
||||||
|
print("\n" + "=" * 70)
|
||||||
|
print("TEST 4: computeGivens")
|
||||||
|
print("=" * 70)
|
||||||
|
|
||||||
|
givens_tests = [
|
||||||
|
("3-4-5 triangle", 3.0, 4.0),
|
||||||
|
("y already zero", 1.0, 0.0),
|
||||||
|
("x is zero", 0.0, 5.0),
|
||||||
|
("Both negative", -3.0, -4.0),
|
||||||
|
("45 degree case", 1.0, -1.0),
|
||||||
|
]
|
||||||
|
|
||||||
|
for name, x, y in givens_tests:
|
||||||
|
c, s = compute_givens(x, y)
|
||||||
|
result_x = c * x + s * y
|
||||||
|
result_y = -s * x + c * y
|
||||||
|
|
||||||
|
print(f"\n{name}: x={x}, y={y}")
|
||||||
|
print(f" r = {np.sqrt(x*x+y*y):.12f}")
|
||||||
|
print(f" c = {c:.12f}, s = {s:.12f}")
|
||||||
|
print(f" [c s; -s c] @ [x;y] = [{result_x:.2e}, {result_y:.2e}]")
|
||||||
|
|
||||||
|
# ------------------------------------------------------------------
|
||||||
|
# Test 5: Apply Givens Left/Right
|
||||||
|
# ------------------------------------------------------------------
|
||||||
|
print("\n" + "=" * 70)
|
||||||
|
print("TEST 5: applyGivensLeft / applyGivensRight")
|
||||||
|
print("=" * 70)
|
||||||
|
|
||||||
|
A_test = np.array([[3.0, 4.0], [1.0, 2.0]], dtype=np.float64)
|
||||||
|
c, s = compute_givens(3.0, 1.0)
|
||||||
|
|
||||||
|
print(f"\nInput matrix:\n{A_test}")
|
||||||
|
print(f"Givens rotation (rows 0,1): c={c:.12f}, s={s:.12f}")
|
||||||
|
|
||||||
|
A_left = apply_givens_left(A_test, 0, 1, c, s)
|
||||||
|
print(f"\nAfter applyGivensLeft:\n{A_left}")
|
||||||
|
print(f" A[1,0] = {A_left[1,0]:.2e} (should be ~0)")
|
||||||
|
|
||||||
|
A_test = np.array([[3.0, 1.0], [4.0, 2.0]], dtype=np.float64)
|
||||||
|
c, s = compute_givens(3.0, 4.0)
|
||||||
|
|
||||||
|
print(f"\nInput matrix:\n{A_test}")
|
||||||
|
print(f"Givens rotation (cols 0,1): c={c:.12f}, s={s:.12f}")
|
||||||
|
|
||||||
|
A_right = apply_givens_right(A_test, 0, 1, c, s)
|
||||||
|
print(f"\nAfter applyGivensRight:\n{A_right}")
|
||||||
|
print(f" A[0,1] = {A_right[0,1]:.2e} (should be ~0)")
|
||||||
|
|
||||||
|
# ------------------------------------------------------------------
|
||||||
|
# Test 6: Full Bidiagonalization
|
||||||
|
# ------------------------------------------------------------------
|
||||||
|
print("\n" + "=" * 70)
|
||||||
|
print("TEST 6: householderBidiagonalization")
|
||||||
|
print("=" * 70)
|
||||||
|
|
||||||
|
bidiag_tests = [
|
||||||
|
("2x2 [[1,2],[3,4]]", np.array([[1.0, 2.0], [3.0, 4.0]])),
|
||||||
|
("3x3 SPD [[5,3],[3,5]]", np.array([[5.0, 3.0], [3.0, 5.0]])),
|
||||||
|
("3x3 diag [[10,0,0],[0,5,0],[0,0,2]]",
|
||||||
|
np.array([[10.0, 0, 0], [0, 5.0, 0], [0, 0, 2.0]])),
|
||||||
|
("3x3 full [[1,2,3],[4,5,6],[7,8,10]]",
|
||||||
|
np.array([[1.0, 2.0, 3.0], [4.0, 5.0, 6.0], [7.0, 8.0, 10.0]])),
|
||||||
|
("Tall 4x3", np.array([[1,2,3],[4,5,6],[7,8,9],[10,11,12]], dtype=np.float64)),
|
||||||
|
]
|
||||||
|
|
||||||
|
for name, A in bidiag_tests:
|
||||||
|
B, QL, QR = householder_bidiagonalization(A)
|
||||||
|
m, n = A.shape
|
||||||
|
p = min(m, n)
|
||||||
|
|
||||||
|
print(f"\n{name}:")
|
||||||
|
print(f" Original:\n{A}")
|
||||||
|
print(f"\n Bidiagonal B:\n{B}")
|
||||||
|
print(f" Diagonal: {[round(float(B[i,i]), 10) for i in range(p)]}")
|
||||||
|
print(f" Superdiag: {[round(float(B[i,i+1]), 10) for i in range(min(p-1, n-1))]}")
|
||||||
|
|
||||||
|
recon = QL @ B @ QR.T
|
||||||
|
err = np.linalg.norm(recon - A, 'fro')
|
||||||
|
print(f" ||QL @ B @ QR^T - A||_F = {err:.2e}")
|
||||||
|
|
||||||
|
# ------------------------------------------------------------------
|
||||||
|
# Test 7: Full SVD Reference Values
|
||||||
|
# ------------------------------------------------------------------
|
||||||
|
print("\n" + "=" * 70)
|
||||||
|
print("TEST 7: Full SVD Reference Values (scipy.linalg.svd)")
|
||||||
|
print("=" * 70)
|
||||||
|
|
||||||
|
test_matrices = [
|
||||||
|
("Simple 2x2", np.array([[1,2],[3,4]], dtype=np.float64)),
|
||||||
|
("SPD 2x2", np.array([[5,3],[3,5]], dtype=np.float64)),
|
||||||
|
("Full-rank 3x3", np.array([[1,2,3],[4,5,6],[7,8,10]], dtype=np.float64)),
|
||||||
|
("Rank-deficient 3x3", np.array([[1,2,3],[4,5,6],[7,8,9]], dtype=np.float64)),
|
||||||
|
("Diagonal 3x3", np.array([[10,0,0],[0,5,0],[0,0,2]], dtype=np.float64)),
|
||||||
|
("Tall 4x3", np.array([[1,2,3],[4,5,6],[7,8,9],[10,11,12]], dtype=np.float64)),
|
||||||
|
("Wide 3x5", np.array([[1,2,3,4,5],[6,7,8,9,10],[11,12,13,14,15]], dtype=np.float64)),
|
||||||
|
("Symmetric tri 5x5", np.array([[2,-1,0,0,0],[-1,2,-1,0,0],[0,-1,2,-1,0],[0,0,-1,2,-1],[0,0,0,-1,2]], dtype=np.float64)),
|
||||||
|
("Neg values 2x3", np.array([[0.5,-0.3,0.8],[-0.2,0.7,0.1]], dtype=np.float64)),
|
||||||
|
("Near-singular 2x2", np.array([[1,0],[0,1e-6]], dtype=np.float64)),
|
||||||
|
("Orthogonal 3x3", np.array([[np.cos(np.pi/4), -np.sin(np.pi/4), 0],
|
||||||
|
[np.sin(np.pi/4), np.cos(np.pi/4), 0],
|
||||||
|
[0, 0, 1]], dtype=np.float64)),
|
||||||
|
("Identity 3x3", np.eye(3)),
|
||||||
|
("Zero 3x3", np.zeros((3,3))),
|
||||||
|
("Col vector 2x1", np.array([[3],[4]], dtype=np.float64)),
|
||||||
|
("Row vector 1x2", np.array([[3,4]], dtype=np.float64)),
|
||||||
|
]
|
||||||
|
|
||||||
|
for name, A in test_matrices:
|
||||||
|
U, s, Vt = svd(A, full_matrices=False)
|
||||||
|
|
||||||
|
print(f"\n{name}: shape={A.shape}")
|
||||||
|
print(f" Singular values: {[round(float(x), 12) for x in s]}")
|
||||||
|
print(f" U:\n{np.array2string(U, precision=6, floatmode='maxprec_equal')}")
|
||||||
|
print(f" Vt:\n{np.array2string(Vt, precision=6, floatmode='maxprec_equal')}")
|
||||||
|
recon_err = np.linalg.norm(A - U @ np.diag(s) @ Vt, 'fro')
|
||||||
|
print(f" Reconstruction error: {recon_err:.2e}")
|
||||||
|
|
||||||
|
# ------------------------------------------------------------------
|
||||||
|
# Test 8: Implicit QR Iteration on Bidiagonal
|
||||||
|
# ------------------------------------------------------------------
|
||||||
|
print("\n" + "=" * 70)
|
||||||
|
print("TEST 8: implicitQRIteration")
|
||||||
|
print("=" * 70)
|
||||||
|
|
||||||
|
qr_tests = [
|
||||||
|
("2x2 [[1,2],[3,4]]", np.array([[1.0, 2.0], [3.0, 4.0]])),
|
||||||
|
("3x3 diag", np.array([[10.0, 0, 0], [0, 5.0, 0], [0, 0, 2.0]])),
|
||||||
|
]
|
||||||
|
|
||||||
|
for name, A in qr_tests:
|
||||||
|
B, QL, QR = householder_bidiagonalization(A)
|
||||||
|
Sigma, QR_final = implicit_qr_iteration(B.copy(), QR.copy())
|
||||||
|
|
||||||
|
print(f"\n{name}:")
|
||||||
|
print(f" Bidiagonal B:\n{B}")
|
||||||
|
print(f" After QR iteration (Sigma):\n{Sigma}")
|
||||||
|
print(f" Diagonal entries: {[round(float(Sigma[i,i]), 10) for i in range(min(Sigma.shape))]}")
|
||||||
|
|
||||||
|
# Verify: QL @ Sigma @ QR_final^T ≈ A
|
||||||
|
recon = QL @ Sigma @ QR_final.T
|
||||||
|
err = np.linalg.norm(recon - A, 'fro')
|
||||||
|
print(f" ||QL @ Sigma @ QR^T - A||_F = {err:.2e}")
|
||||||
|
|
||||||
|
# ------------------------------------------------------------------
|
||||||
|
# JSON output for easy import into C++ tests
|
||||||
|
# ------------------------------------------------------------------
|
||||||
|
print("\n" + "=" * 70)
|
||||||
|
print("JSON OUTPUT (for easy C++ integration)")
|
||||||
|
print("=" * 70)
|
||||||
|
|
||||||
|
json_data = {}
|
||||||
|
|
||||||
|
# Householder test vectors
|
||||||
|
hh_tests = {}
|
||||||
|
for name, vec in test_vectors:
|
||||||
|
v, alpha = compute_householder(vec)
|
||||||
|
x = np.array(vec)
|
||||||
|
Hx = x - 2 * np.dot(v, x) * v
|
||||||
|
hh_tests[name] = {
|
||||||
|
"input": [float(xi) for xi in x],
|
||||||
|
"norm": float(np.linalg.norm(x)),
|
||||||
|
"alpha": float(alpha),
|
||||||
|
"v_normalized": [round(float(vi), 12) for vi in v],
|
||||||
|
"Hx": [round(float(xi), 12) for xi in Hx],
|
||||||
|
}
|
||||||
|
json_data["householder_vectors"] = hh_tests
|
||||||
|
|
||||||
|
# Full SVD reference values
|
||||||
|
svd_tests = {}
|
||||||
|
for name, A in test_matrices:
|
||||||
|
U, s, Vt = svd(A, full_matrices=False)
|
||||||
|
svd_tests[name] = {
|
||||||
|
"shape": list(A.shape),
|
||||||
|
"singular_values": [round(float(x), 12) for x in s],
|
||||||
|
"U": [[round(float(U[i,j]), 8) for j in range(U.shape[1])] for i in range(U.shape[0])],
|
||||||
|
"Vt": [[round(float(Vt[i,j]), 8) for j in range(Vt.shape[1])] for i in range(Vt.shape[0])],
|
||||||
|
}
|
||||||
|
json_data["svd_reference"] = svd_tests
|
||||||
|
|
||||||
|
print(json.dumps(json_data, indent=2))
|
||||||
|
|
||||||
|
|
||||||
|
if __name__ == "__main__":
|
||||||
|
main()
|
||||||
Reference in New Issue
Block a user