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2    * Licensed to the Apache Software Foundation (ASF) under one or more
3    * contributor license agreements.  See the NOTICE file distributed with
4    * this work for additional information regarding copyright ownership.
5    * The ASF licenses this file to You under the Apache License, Version 2.0
6    * (the "License"); you may not use this file except in compliance with
7    * the License.  You may obtain a copy of the License at
8    *
9    *      http://www.apache.org/licenses/LICENSE-2.0
10   *
11   * Unless required by applicable law or agreed to in writing, software
12   * distributed under the License is distributed on an "AS IS" BASIS,
13   * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
14   * See the License for the specific language governing permissions and
15   * limitations under the License.
16   */
17  
18  package org.apache.commons.math4.legacy.linear;
19  
20  import org.apache.commons.numbers.complex.Complex;
21  import org.apache.commons.numbers.core.Precision;
22  import org.apache.commons.math4.legacy.exception.DimensionMismatchException;
23  import org.apache.commons.math4.legacy.exception.MathArithmeticException;
24  import org.apache.commons.math4.legacy.exception.MathUnsupportedOperationException;
25  import org.apache.commons.math4.legacy.exception.MaxCountExceededException;
26  import org.apache.commons.math4.legacy.exception.util.LocalizedFormats;
27  import org.apache.commons.math4.core.jdkmath.JdkMath;
28  
29  /**
30   * Calculates the eigen decomposition of a real matrix.
31   * <p>
32   * The eigen decomposition of matrix A is a set of two matrices:
33   * V and D such that A = V &times; D &times; V<sup>T</sup>.
34   * A, V and D are all m &times; m matrices.
35   * <p>
36   * This class is similar in spirit to the {@code EigenvalueDecomposition}
37   * class from the <a href="http://math.nist.gov/javanumerics/jama/">JAMA</a>
38   * library, with the following changes:
39   * <ul>
40   *   <li>a {@link #getVT() getVt} method has been added,</li>
41   *   <li>two {@link #getRealEigenvalue(int) getRealEigenvalue} and
42   *       {@link #getImagEigenvalue(int) getImagEigenvalue} methods to pick up a
43   *       single eigenvalue have been added,</li>
44   *   <li>a {@link #getEigenvector(int) getEigenvector} method to pick up a
45   *       single eigenvector has been added,</li>
46   *   <li>a {@link #getDeterminant() getDeterminant} method has been added.</li>
47   *   <li>a {@link #getSolver() getSolver} method has been added.</li>
48   * </ul>
49   * <p>
50   * As of 3.1, this class supports general real matrices (both symmetric and non-symmetric):
51   * <p>
52   * If A is symmetric, then A = V*D*V' where the eigenvalue matrix D is diagonal
53   * and the eigenvector matrix V is orthogonal, i.e.
54   * {@code A = V.multiply(D.multiply(V.transpose()))} and
55   * {@code V.multiply(V.transpose())} equals the identity matrix.
56   * </p>
57   * <p>
58   * If A is not symmetric, then the eigenvalue matrix D is block diagonal with the real
59   * eigenvalues in 1-by-1 blocks and any complex eigenvalues, lambda + i*mu, in 2-by-2
60   * blocks:
61   * <pre>
62   *    [lambda, mu    ]
63   *    [   -mu, lambda]
64   * </pre>
65   * The columns of V represent the eigenvectors in the sense that {@code A*V = V*D},
66   * i.e. A.multiply(V) equals V.multiply(D).
67   * The matrix V may be badly conditioned, or even singular, so the validity of the
68   * equation {@code A = V*D*inverse(V)} depends upon the condition of V.
69   * <p>
70   * This implementation is based on the paper by A. Drubrulle, R.S. Martin and
71   * J.H. Wilkinson "The Implicit QL Algorithm" in Wilksinson and Reinsch (1971)
72   * Handbook for automatic computation, vol. 2, Linear algebra, Springer-Verlag,
73   * New-York.
74   *
75   * @see <a href="http://mathworld.wolfram.com/EigenDecomposition.html">MathWorld</a>
76   * @see <a href="http://en.wikipedia.org/wiki/Eigendecomposition_of_a_matrix">Wikipedia</a>
77   * @since 2.0 (changed to concrete class in 3.0)
78   */
79  public class EigenDecomposition {
80      /** Internally used epsilon criteria. */
81      private static final double EPSILON = 1e-12;
82      /** Maximum number of iterations accepted in the implicit QL transformation. */
83      private static final byte MAX_ITER = 30;
84      /** Main diagonal of the tridiagonal matrix. */
85      private double[] main;
86      /** Secondary diagonal of the tridiagonal matrix. */
87      private double[] secondary;
88      /**
89       * Transformer to tridiagonal (may be null if matrix is already
90       * tridiagonal).
91       */
92      private TriDiagonalTransformer transformer;
93      /** Real part of the realEigenvalues. */
94      private double[] realEigenvalues;
95      /** Imaginary part of the realEigenvalues. */
96      private double[] imagEigenvalues;
97      /** Eigenvectors. */
98      private ArrayRealVector[] eigenvectors;
99      /** Cached value of V. */
100     private RealMatrix cachedV;
101     /** Cached value of D. */
102     private RealMatrix cachedD;
103     /** Cached value of Vt. */
104     private RealMatrix cachedVt;
105     /** Whether the matrix is symmetric. */
106     private final boolean isSymmetric;
107 
108     /**
109      * Calculates the eigen decomposition of the given real matrix.
110      * <p>
111      * Supports decomposition of a general matrix since 3.1.
112      *
113      * @param matrix Matrix to decompose.
114      * @throws MaxCountExceededException if the algorithm fails to converge.
115      * @throws MathArithmeticException if the decomposition of a general matrix
116      * results in a matrix with zero norm
117      * @since 3.1
118      */
119     public EigenDecomposition(final RealMatrix matrix)
120         throws MathArithmeticException {
121         final double symTol = 10 * matrix.getRowDimension() * matrix.getColumnDimension() * Precision.EPSILON;
122         isSymmetric = MatrixUtils.isSymmetric(matrix, symTol);
123         if (isSymmetric) {
124             transformToTridiagonal(matrix);
125             findEigenVectors(transformer.getQ().getData());
126         } else {
127             final SchurTransformer t = transformToSchur(matrix);
128             findEigenVectorsFromSchur(t);
129         }
130     }
131 
132     /**
133      * Calculates the eigen decomposition of the symmetric tridiagonal
134      * matrix.  The Householder matrix is assumed to be the identity matrix.
135      *
136      * @param main Main diagonal of the symmetric tridiagonal form.
137      * @param secondary Secondary of the tridiagonal form.
138      * @throws MaxCountExceededException if the algorithm fails to converge.
139      * @since 3.1
140      */
141     public EigenDecomposition(final double[] main, final double[] secondary) {
142         isSymmetric = true;
143         this.main      = main.clone();
144         this.secondary = secondary.clone();
145         transformer    = null;
146         final int size = main.length;
147         final double[][] z = new double[size][size];
148         for (int i = 0; i < size; i++) {
149             z[i][i] = 1.0;
150         }
151         findEigenVectors(z);
152     }
153 
154     /**
155      * Gets the matrix V of the decomposition.
156      * V is an orthogonal matrix, i.e. its transpose is also its inverse.
157      * The columns of V are the eigenvectors of the original matrix.
158      * No assumption is made about the orientation of the system axes formed
159      * by the columns of V (e.g. in a 3-dimension space, V can form a left-
160      * or right-handed system).
161      *
162      * @return the V matrix.
163      */
164     public RealMatrix getV() {
165 
166         if (cachedV == null) {
167             final int m = eigenvectors.length;
168             cachedV = MatrixUtils.createRealMatrix(m, m);
169             for (int k = 0; k < m; ++k) {
170                 cachedV.setColumnVector(k, eigenvectors[k]);
171             }
172         }
173         // return the cached matrix
174         return cachedV;
175     }
176 
177     /**
178      * Gets the block diagonal matrix D of the decomposition.
179      * D is a block diagonal matrix.
180      * Real eigenvalues are on the diagonal while complex values are on
181      * 2x2 blocks { {real +imaginary}, {-imaginary, real} }.
182      *
183      * @return the D matrix.
184      *
185      * @see #getRealEigenvalues()
186      * @see #getImagEigenvalues()
187      */
188     public RealMatrix getD() {
189 
190         if (cachedD == null) {
191             // cache the matrix for subsequent calls
192             cachedD = MatrixUtils.createRealMatrixWithDiagonal(realEigenvalues);
193 
194             for (int i = 0; i < imagEigenvalues.length; i++) {
195                 if (Precision.compareTo(imagEigenvalues[i], 0.0, EPSILON) > 0) {
196                     cachedD.setEntry(i, i+1, imagEigenvalues[i]);
197                 } else if (Precision.compareTo(imagEigenvalues[i], 0.0, EPSILON) < 0) {
198                     cachedD.setEntry(i, i-1, imagEigenvalues[i]);
199                 }
200             }
201         }
202         return cachedD;
203     }
204 
205     /**
206      * Gets the transpose of the matrix V of the decomposition.
207      * V is an orthogonal matrix, i.e. its transpose is also its inverse.
208      * The columns of V are the eigenvectors of the original matrix.
209      * No assumption is made about the orientation of the system axes formed
210      * by the columns of V (e.g. in a 3-dimension space, V can form a left-
211      * or right-handed system).
212      *
213      * @return the transpose of the V matrix.
214      */
215     public RealMatrix getVT() {
216 
217         if (cachedVt == null) {
218             final int m = eigenvectors.length;
219             cachedVt = MatrixUtils.createRealMatrix(m, m);
220             for (int k = 0; k < m; ++k) {
221                 cachedVt.setRowVector(k, eigenvectors[k]);
222             }
223         }
224 
225         // return the cached matrix
226         return cachedVt;
227     }
228 
229     /**
230      * Returns whether the calculated eigen values are complex or real.
231      * <p>The method performs a zero check for each element of the
232      * {@link #getImagEigenvalues()} array and returns {@code true} if any
233      * element is not equal to zero.
234      *
235      * @return {@code true} if the eigen values are complex, {@code false} otherwise
236      * @since 3.1
237      */
238     public boolean hasComplexEigenvalues() {
239         for (int i = 0; i < imagEigenvalues.length; i++) {
240             if (!Precision.equals(imagEigenvalues[i], 0.0, EPSILON)) {
241                 return true;
242             }
243         }
244         return false;
245     }
246 
247     /**
248      * Gets a copy of the real parts of the eigenvalues of the original matrix.
249      *
250      * @return a copy of the real parts of the eigenvalues of the original matrix.
251      *
252      * @see #getD()
253      * @see #getRealEigenvalue(int)
254      * @see #getImagEigenvalues()
255      */
256     public double[] getRealEigenvalues() {
257         return realEigenvalues.clone();
258     }
259 
260     /**
261      * Returns the real part of the i<sup>th</sup> eigenvalue of the original
262      * matrix.
263      *
264      * @param i index of the eigenvalue (counting from 0)
265      * @return real part of the i<sup>th</sup> eigenvalue of the original
266      * matrix.
267      *
268      * @see #getD()
269      * @see #getRealEigenvalues()
270      * @see #getImagEigenvalue(int)
271      */
272     public double getRealEigenvalue(final int i) {
273         return realEigenvalues[i];
274     }
275 
276     /**
277      * Gets a copy of the imaginary parts of the eigenvalues of the original
278      * matrix.
279      *
280      * @return a copy of the imaginary parts of the eigenvalues of the original
281      * matrix.
282      *
283      * @see #getD()
284      * @see #getImagEigenvalue(int)
285      * @see #getRealEigenvalues()
286      */
287     public double[] getImagEigenvalues() {
288         return imagEigenvalues.clone();
289     }
290 
291     /**
292      * Gets the imaginary part of the i<sup>th</sup> eigenvalue of the original
293      * matrix.
294      *
295      * @param i Index of the eigenvalue (counting from 0).
296      * @return the imaginary part of the i<sup>th</sup> eigenvalue of the original
297      * matrix.
298      *
299      * @see #getD()
300      * @see #getImagEigenvalues()
301      * @see #getRealEigenvalue(int)
302      */
303     public double getImagEigenvalue(final int i) {
304         return imagEigenvalues[i];
305     }
306 
307     /**
308      * Gets a copy of the i<sup>th</sup> eigenvector of the original matrix.
309      *
310      * @param i Index of the eigenvector (counting from 0).
311      * @return a copy of the i<sup>th</sup> eigenvector of the original matrix.
312      * @see #getD()
313      */
314     public RealVector getEigenvector(final int i) {
315         return eigenvectors[i].copy();
316     }
317 
318     /**
319      * Computes the determinant of the matrix.
320      *
321      * @return the determinant of the matrix.
322      */
323     public double getDeterminant() {
324         double determinant = 1;
325         for (double lambda : realEigenvalues) {
326             determinant *= lambda;
327         }
328         return determinant;
329     }
330 
331     /**
332      * Computes the square-root of the matrix.
333      * This implementation assumes that the matrix is symmetric and positive
334      * definite.
335      *
336      * @return the square-root of the matrix.
337      * @throws MathUnsupportedOperationException if the matrix is not
338      * symmetric or not positive definite.
339      * @since 3.1
340      */
341     public RealMatrix getSquareRoot() {
342         if (!isSymmetric) {
343             throw new MathUnsupportedOperationException();
344         }
345 
346         final double[] sqrtEigenValues = new double[realEigenvalues.length];
347         for (int i = 0; i < realEigenvalues.length; i++) {
348             final double eigen = realEigenvalues[i];
349             if (eigen <= 0) {
350                 throw new MathUnsupportedOperationException();
351             }
352             sqrtEigenValues[i] = JdkMath.sqrt(eigen);
353         }
354         final RealMatrix sqrtEigen = MatrixUtils.createRealDiagonalMatrix(sqrtEigenValues);
355         final RealMatrix v = getV();
356         final RealMatrix vT = getVT();
357 
358         return v.multiply(sqrtEigen).multiply(vT);
359     }
360 
361     /**
362      * Gets a solver for finding the A &times; X = B solution in exact
363      * linear sense.
364      * <p>
365      * Since 3.1, eigen decomposition of a general matrix is supported,
366      * but the {@link DecompositionSolver} only supports real eigenvalues.
367      *
368      * @return a solver
369      * @throws MathUnsupportedOperationException if the decomposition resulted in
370      * complex eigenvalues
371      */
372     public DecompositionSolver getSolver() {
373         if (hasComplexEigenvalues()) {
374             throw new MathUnsupportedOperationException();
375         }
376         return new Solver(realEigenvalues, imagEigenvalues, eigenvectors);
377     }
378 
379     /** Specialized solver. */
380     private static final class Solver implements DecompositionSolver {
381         /** Real part of the realEigenvalues. */
382         private final double[] realEigenvalues;
383         /** Imaginary part of the realEigenvalues. */
384         private final double[] imagEigenvalues;
385         /** Eigenvectors. */
386         private final ArrayRealVector[] eigenvectors;
387 
388         /**
389          * Builds a solver from decomposed matrix.
390          *
391          * @param realEigenvalues Real parts of the eigenvalues.
392          * @param imagEigenvalues Imaginary parts of the eigenvalues.
393          * @param eigenvectors Eigenvectors.
394          */
395         private Solver(final double[] realEigenvalues,
396                 final double[] imagEigenvalues,
397                 final ArrayRealVector[] eigenvectors) {
398             this.realEigenvalues = realEigenvalues;
399             this.imagEigenvalues = imagEigenvalues;
400             this.eigenvectors = eigenvectors;
401         }
402 
403         /**
404          * Solves the linear equation A &times; X = B for symmetric matrices A.
405          * <p>
406          * This method only finds exact linear solutions, i.e. solutions for
407          * which ||A &times; X - B|| is exactly 0.
408          * </p>
409          *
410          * @param b Right-hand side of the equation A &times; X = B.
411          * @return a Vector X that minimizes the two norm of A &times; X - B.
412          *
413          * @throws DimensionMismatchException if the matrices dimensions do not match.
414          * @throws SingularMatrixException if the decomposed matrix is singular.
415          */
416         @Override
417         public RealVector solve(final RealVector b) {
418             if (!isNonSingular()) {
419                 throw new SingularMatrixException();
420             }
421 
422             final int m = realEigenvalues.length;
423             if (b.getDimension() != m) {
424                 throw new DimensionMismatchException(b.getDimension(), m);
425             }
426 
427             final double[] bp = new double[m];
428             for (int i = 0; i < m; ++i) {
429                 final ArrayRealVector v = eigenvectors[i];
430                 final double[] vData = v.getDataRef();
431                 final double s = v.dotProduct(b) / realEigenvalues[i];
432                 for (int j = 0; j < m; ++j) {
433                     bp[j] += s * vData[j];
434                 }
435             }
436 
437             return new ArrayRealVector(bp, false);
438         }
439 
440         /** {@inheritDoc} */
441         @Override
442         public RealMatrix solve(RealMatrix b) {
443 
444             if (!isNonSingular()) {
445                 throw new SingularMatrixException();
446             }
447 
448             final int m = realEigenvalues.length;
449             if (b.getRowDimension() != m) {
450                 throw new DimensionMismatchException(b.getRowDimension(), m);
451             }
452 
453             final int nColB = b.getColumnDimension();
454             final double[][] bp = new double[m][nColB];
455             final double[] tmpCol = new double[m];
456             for (int k = 0; k < nColB; ++k) {
457                 for (int i = 0; i < m; ++i) {
458                     tmpCol[i] = b.getEntry(i, k);
459                     bp[i][k]  = 0;
460                 }
461                 for (int i = 0; i < m; ++i) {
462                     final ArrayRealVector v = eigenvectors[i];
463                     final double[] vData = v.getDataRef();
464                     double s = 0;
465                     for (int j = 0; j < m; ++j) {
466                         s += v.getEntry(j) * tmpCol[j];
467                     }
468                     s /= realEigenvalues[i];
469                     for (int j = 0; j < m; ++j) {
470                         bp[j][k] += s * vData[j];
471                     }
472                 }
473             }
474 
475             return new Array2DRowRealMatrix(bp, false);
476         }
477 
478         /**
479          * Checks whether the decomposed matrix is non-singular.
480          *
481          * @return true if the decomposed matrix is non-singular.
482          */
483         @Override
484         public boolean isNonSingular() {
485             double largestEigenvalueNorm = 0.0;
486             // Looping over all values (in case they are not sorted in decreasing
487             // order of their norm).
488             for (int i = 0; i < realEigenvalues.length; ++i) {
489                 largestEigenvalueNorm = JdkMath.max(largestEigenvalueNorm, eigenvalueNorm(i));
490             }
491             // Corner case: zero matrix, all exactly 0 eigenvalues
492             if (largestEigenvalueNorm == 0.0) {
493                 return false;
494             }
495             for (int i = 0; i < realEigenvalues.length; ++i) {
496                 // Looking for eigenvalues that are 0, where we consider anything much much smaller
497                 // than the largest eigenvalue to be effectively 0.
498                 if (Precision.equals(eigenvalueNorm(i) / largestEigenvalueNorm, 0, EPSILON)) {
499                     return false;
500                 }
501             }
502             return true;
503         }
504 
505         /**
506          * @param i which eigenvalue to find the norm of
507          * @return the norm of ith (complex) eigenvalue.
508          */
509         private double eigenvalueNorm(int i) {
510             final double re = realEigenvalues[i];
511             final double im = imagEigenvalues[i];
512             return JdkMath.sqrt(re * re + im * im);
513         }
514 
515         /**
516          * Get the inverse of the decomposed matrix.
517          *
518          * @return the inverse matrix.
519          * @throws SingularMatrixException if the decomposed matrix is singular.
520          */
521         @Override
522         public RealMatrix getInverse() {
523             if (!isNonSingular()) {
524                 throw new SingularMatrixException();
525             }
526 
527             final int m = realEigenvalues.length;
528             final double[][] invData = new double[m][m];
529 
530             for (int i = 0; i < m; ++i) {
531                 final double[] invI = invData[i];
532                 for (int j = 0; j < m; ++j) {
533                     double invIJ = 0;
534                     for (int k = 0; k < m; ++k) {
535                         final double[] vK = eigenvectors[k].getDataRef();
536                         invIJ += vK[i] * vK[j] / realEigenvalues[k];
537                     }
538                     invI[j] = invIJ;
539                 }
540             }
541             return MatrixUtils.createRealMatrix(invData);
542         }
543     }
544 
545     /**
546      * Transforms the matrix to tridiagonal form.
547      *
548      * @param matrix Matrix to transform.
549      */
550     private void transformToTridiagonal(final RealMatrix matrix) {
551         // transform the matrix to tridiagonal
552         transformer = new TriDiagonalTransformer(matrix);
553         main = transformer.getMainDiagonalRef();
554         secondary = transformer.getSecondaryDiagonalRef();
555     }
556 
557     /**
558      * Find eigenvalues and eigenvectors (Dubrulle et al., 1971).
559      *
560      * @param householderMatrix Householder matrix of the transformation
561      * to tridiagonal form.
562      */
563     private void findEigenVectors(final double[][] householderMatrix) {
564         final double[][]z = householderMatrix.clone();
565         final int n = main.length;
566         realEigenvalues = new double[n];
567         imagEigenvalues = new double[n];
568         final double[] e = new double[n];
569         for (int i = 0; i < n - 1; i++) {
570             realEigenvalues[i] = main[i];
571             e[i] = secondary[i];
572         }
573         realEigenvalues[n - 1] = main[n - 1];
574         e[n - 1] = 0;
575 
576         // Determine the largest main and secondary value in absolute term.
577         double maxAbsoluteValue = 0;
578         for (int i = 0; i < n; i++) {
579             if (JdkMath.abs(realEigenvalues[i]) > maxAbsoluteValue) {
580                 maxAbsoluteValue = JdkMath.abs(realEigenvalues[i]);
581             }
582             if (JdkMath.abs(e[i]) > maxAbsoluteValue) {
583                 maxAbsoluteValue = JdkMath.abs(e[i]);
584             }
585         }
586         // Make null any main and secondary value too small to be significant
587         if (maxAbsoluteValue != 0) {
588             for (int i=0; i < n; i++) {
589                 if (JdkMath.abs(realEigenvalues[i]) <= Precision.EPSILON * maxAbsoluteValue) {
590                     realEigenvalues[i] = 0;
591                 }
592                 if (JdkMath.abs(e[i]) <= Precision.EPSILON * maxAbsoluteValue) {
593                     e[i]=0;
594                 }
595             }
596         }
597 
598         for (int j = 0; j < n; j++) {
599             int its = 0;
600             int m;
601             do {
602                 for (m = j; m < n - 1; m++) {
603                     double delta = JdkMath.abs(realEigenvalues[m]) +
604                         JdkMath.abs(realEigenvalues[m + 1]);
605                     if (JdkMath.abs(e[m]) + delta == delta) {
606                         break;
607                     }
608                 }
609                 if (m != j) {
610                     if (its == MAX_ITER) {
611                         throw new MaxCountExceededException(LocalizedFormats.CONVERGENCE_FAILED,
612                                                             MAX_ITER);
613                     }
614                     its++;
615                     double q = (realEigenvalues[j + 1] - realEigenvalues[j]) / (2 * e[j]);
616                     double t = JdkMath.sqrt(1 + q * q);
617                     if (q < 0.0) {
618                         q = realEigenvalues[m] - realEigenvalues[j] + e[j] / (q - t);
619                     } else {
620                         q = realEigenvalues[m] - realEigenvalues[j] + e[j] / (q + t);
621                     }
622                     double u = 0.0;
623                     double s = 1.0;
624                     double c = 1.0;
625                     int i;
626                     for (i = m - 1; i >= j; i--) {
627                         double p = s * e[i];
628                         double h = c * e[i];
629                         if (JdkMath.abs(p) >= JdkMath.abs(q)) {
630                             c = q / p;
631                             t = JdkMath.sqrt(c * c + 1.0);
632                             e[i + 1] = p * t;
633                             s = 1.0 / t;
634                             c *= s;
635                         } else {
636                             s = p / q;
637                             t = JdkMath.sqrt(s * s + 1.0);
638                             e[i + 1] = q * t;
639                             c = 1.0 / t;
640                             s *= c;
641                         }
642                         if (e[i + 1] == 0.0) {
643                             realEigenvalues[i + 1] -= u;
644                             e[m] = 0.0;
645                             break;
646                         }
647                         q = realEigenvalues[i + 1] - u;
648                         t = (realEigenvalues[i] - q) * s + 2.0 * c * h;
649                         u = s * t;
650                         realEigenvalues[i + 1] = q + u;
651                         q = c * t - h;
652                         for (int ia = 0; ia < n; ia++) {
653                             p = z[ia][i + 1];
654                             z[ia][i + 1] = s * z[ia][i] + c * p;
655                             z[ia][i] = c * z[ia][i] - s * p;
656                         }
657                     }
658                     if (t == 0.0 && i >= j) {
659                         continue;
660                     }
661                     realEigenvalues[j] -= u;
662                     e[j] = q;
663                     e[m] = 0.0;
664                 }
665             } while (m != j);
666         }
667 
668         //Sort the eigen values (and vectors) in increase order
669         for (int i = 0; i < n; i++) {
670             int k = i;
671             double p = realEigenvalues[i];
672             for (int j = i + 1; j < n; j++) {
673                 if (realEigenvalues[j] > p) {
674                     k = j;
675                     p = realEigenvalues[j];
676                 }
677             }
678             if (k != i) {
679                 realEigenvalues[k] = realEigenvalues[i];
680                 realEigenvalues[i] = p;
681                 for (int j = 0; j < n; j++) {
682                     p = z[j][i];
683                     z[j][i] = z[j][k];
684                     z[j][k] = p;
685                 }
686             }
687         }
688 
689         // Determine the largest eigen value in absolute term.
690         maxAbsoluteValue = 0;
691         for (int i = 0; i < n; i++) {
692             if (JdkMath.abs(realEigenvalues[i]) > maxAbsoluteValue) {
693                 maxAbsoluteValue=JdkMath.abs(realEigenvalues[i]);
694             }
695         }
696         // Make null any eigen value too small to be significant
697         if (maxAbsoluteValue != 0.0) {
698             for (int i=0; i < n; i++) {
699                 if (JdkMath.abs(realEigenvalues[i]) < Precision.EPSILON * maxAbsoluteValue) {
700                     realEigenvalues[i] = 0;
701                 }
702             }
703         }
704         eigenvectors = new ArrayRealVector[n];
705         final double[] tmp = new double[n];
706         for (int i = 0; i < n; i++) {
707             for (int j = 0; j < n; j++) {
708                 tmp[j] = z[j][i];
709             }
710             eigenvectors[i] = new ArrayRealVector(tmp);
711         }
712     }
713 
714     /**
715      * Transforms the matrix to Schur form and calculates the eigenvalues.
716      *
717      * @param matrix Matrix to transform.
718      * @return the {@link SchurTransformer Shur transform} for this matrix
719      */
720     private SchurTransformer transformToSchur(final RealMatrix matrix) {
721         final SchurTransformer schurTransform = new SchurTransformer(matrix);
722         final double[][] matT = schurTransform.getT().getData();
723 
724         realEigenvalues = new double[matT.length];
725         imagEigenvalues = new double[matT.length];
726 
727         for (int i = 0; i < realEigenvalues.length; i++) {
728             if (i == (realEigenvalues.length - 1) ||
729                 Precision.equals(matT[i + 1][i], 0.0, EPSILON)) {
730                 realEigenvalues[i] = matT[i][i];
731             } else {
732                 final double x = matT[i + 1][i + 1];
733                 final double p = 0.5 * (matT[i][i] - x);
734                 final double z = JdkMath.sqrt(JdkMath.abs(p * p + matT[i + 1][i] * matT[i][i + 1]));
735                 realEigenvalues[i] = x + p;
736                 imagEigenvalues[i] = z;
737                 realEigenvalues[i + 1] = x + p;
738                 imagEigenvalues[i + 1] = -z;
739                 i++;
740             }
741         }
742         return schurTransform;
743     }
744 
745     /**
746      * Performs a division of two complex numbers.
747      *
748      * @param xr real part of the first number
749      * @param xi imaginary part of the first number
750      * @param yr real part of the second number
751      * @param yi imaginary part of the second number
752      * @return result of the complex division
753      */
754     private Complex cdiv(final double xr, final double xi,
755                          final double yr, final double yi) {
756         return Complex.ofCartesian(xr, xi).divide(Complex.ofCartesian(yr, yi));
757     }
758 
759     /**
760      * Find eigenvectors from a matrix transformed to Schur form.
761      *
762      * @param schur the schur transformation of the matrix
763      * @throws MathArithmeticException if the Schur form has a norm of zero
764      */
765     private void findEigenVectorsFromSchur(final SchurTransformer schur)
766         throws MathArithmeticException {
767         final double[][] matrixT = schur.getT().getData();
768         final double[][] matrixP = schur.getP().getData();
769 
770         final int n = matrixT.length;
771 
772         // compute matrix norm
773         double norm = 0.0;
774         for (int i = 0; i < n; i++) {
775            for (int j = JdkMath.max(i - 1, 0); j < n; j++) {
776                norm += JdkMath.abs(matrixT[i][j]);
777            }
778         }
779 
780         // we can not handle a matrix with zero norm
781         if (Precision.equals(norm, 0.0, EPSILON)) {
782            throw new MathArithmeticException(LocalizedFormats.ZERO_NORM);
783         }
784 
785         // Backsubstitute to find vectors of upper triangular form
786 
787         double r = 0.0;
788         double s = 0.0;
789         double z = 0.0;
790 
791         for (int idx = n - 1; idx >= 0; idx--) {
792             double p = realEigenvalues[idx];
793             double q = imagEigenvalues[idx];
794 
795             if (Precision.equals(q, 0.0)) {
796                 // Real vector
797                 int l = idx;
798                 matrixT[idx][idx] = 1.0;
799                 for (int i = idx - 1; i >= 0; i--) {
800                     double w = matrixT[i][i] - p;
801                     r = 0.0;
802                     for (int j = l; j <= idx; j++) {
803                         r += matrixT[i][j] * matrixT[j][idx];
804                     }
805                     if (Precision.compareTo(imagEigenvalues[i], 0.0, EPSILON) < 0) {
806                         z = w;
807                         s = r;
808                     } else {
809                         l = i;
810                         if (Precision.equals(imagEigenvalues[i], 0.0)) {
811                             if (w != 0.0) {
812                                 matrixT[i][idx] = -r / w;
813                             } else {
814                                 matrixT[i][idx] = -r / (Precision.EPSILON * norm);
815                             }
816                         } else {
817                             // Solve real equations
818                             double x = matrixT[i][i + 1];
819                             double y = matrixT[i + 1][i];
820                             q = (realEigenvalues[i] - p) * (realEigenvalues[i] - p) +
821                                 imagEigenvalues[i] * imagEigenvalues[i];
822                             double t = (x * s - z * r) / q;
823                             matrixT[i][idx] = t;
824                             if (JdkMath.abs(x) > JdkMath.abs(z)) {
825                                 matrixT[i + 1][idx] = (-r - w * t) / x;
826                             } else {
827                                 matrixT[i + 1][idx] = (-s - y * t) / z;
828                             }
829                         }
830 
831                         // Overflow control
832                         double t = JdkMath.abs(matrixT[i][idx]);
833                         if ((Precision.EPSILON * t) * t > 1) {
834                             for (int j = i; j <= idx; j++) {
835                                 matrixT[j][idx] /= t;
836                             }
837                         }
838                     }
839                 }
840             } else if (q < 0.0) {
841                 // Complex vector
842                 int l = idx - 1;
843 
844                 // Last vector component imaginary so matrix is triangular
845                 if (JdkMath.abs(matrixT[idx][idx - 1]) > JdkMath.abs(matrixT[idx - 1][idx])) {
846                     matrixT[idx - 1][idx - 1] = q / matrixT[idx][idx - 1];
847                     matrixT[idx - 1][idx]     = -(matrixT[idx][idx] - p) / matrixT[idx][idx - 1];
848                 } else {
849                     final Complex result = cdiv(0.0, -matrixT[idx - 1][idx],
850                                                 matrixT[idx - 1][idx - 1] - p, q);
851                     matrixT[idx - 1][idx - 1] = result.getReal();
852                     matrixT[idx - 1][idx]     = result.getImaginary();
853                 }
854 
855                 matrixT[idx][idx - 1] = 0.0;
856                 matrixT[idx][idx]     = 1.0;
857 
858                 for (int i = idx - 2; i >= 0; i--) {
859                     double ra = 0.0;
860                     double sa = 0.0;
861                     for (int j = l; j <= idx; j++) {
862                         ra += matrixT[i][j] * matrixT[j][idx - 1];
863                         sa += matrixT[i][j] * matrixT[j][idx];
864                     }
865                     double w = matrixT[i][i] - p;
866 
867                     if (Precision.compareTo(imagEigenvalues[i], 0.0, EPSILON) < 0) {
868                         z = w;
869                         r = ra;
870                         s = sa;
871                     } else {
872                         l = i;
873                         if (Precision.equals(imagEigenvalues[i], 0.0)) {
874                             final Complex c = cdiv(-ra, -sa, w, q);
875                             matrixT[i][idx - 1] = c.getReal();
876                             matrixT[i][idx] = c.getImaginary();
877                         } else {
878                             // Solve complex equations
879                             double x = matrixT[i][i + 1];
880                             double y = matrixT[i + 1][i];
881                             double vr = (realEigenvalues[i] - p) * (realEigenvalues[i] - p) +
882                                         imagEigenvalues[i] * imagEigenvalues[i] - q * q;
883                             final double vi = (realEigenvalues[i] - p) * 2.0 * q;
884                             if (Precision.equals(vr, 0.0) && Precision.equals(vi, 0.0)) {
885                                 vr = Precision.EPSILON * norm *
886                                      (JdkMath.abs(w) + JdkMath.abs(q) + JdkMath.abs(x) +
887                                       JdkMath.abs(y) + JdkMath.abs(z));
888                             }
889                             final Complex c     = cdiv(x * r - z * ra + q * sa,
890                                                        x * s - z * sa - q * ra, vr, vi);
891                             matrixT[i][idx - 1] = c.getReal();
892                             matrixT[i][idx]     = c.getImaginary();
893 
894                             if (JdkMath.abs(x) > (JdkMath.abs(z) + JdkMath.abs(q))) {
895                                 matrixT[i + 1][idx - 1] = (-ra - w * matrixT[i][idx - 1] +
896                                                            q * matrixT[i][idx]) / x;
897                                 matrixT[i + 1][idx]     = (-sa - w * matrixT[i][idx] -
898                                                            q * matrixT[i][idx - 1]) / x;
899                             } else {
900                                 final Complex c2        = cdiv(-r - y * matrixT[i][idx - 1],
901                                                                -s - y * matrixT[i][idx], z, q);
902                                 matrixT[i + 1][idx - 1] = c2.getReal();
903                                 matrixT[i + 1][idx]     = c2.getImaginary();
904                             }
905                         }
906 
907                         // Overflow control
908                         double t = JdkMath.max(JdkMath.abs(matrixT[i][idx - 1]),
909                                                 JdkMath.abs(matrixT[i][idx]));
910                         if ((Precision.EPSILON * t) * t > 1) {
911                             for (int j = i; j <= idx; j++) {
912                                 matrixT[j][idx - 1] /= t;
913                                 matrixT[j][idx] /= t;
914                             }
915                         }
916                     }
917                 }
918             }
919         }
920 
921         // Back transformation to get eigenvectors of original matrix
922         for (int j = n - 1; j >= 0; j--) {
923             for (int i = 0; i <= n - 1; i++) {
924                 z = 0.0;
925                 for (int k = 0; k <= JdkMath.min(j, n - 1); k++) {
926                     z += matrixP[i][k] * matrixT[k][j];
927                 }
928                 matrixP[i][j] = z;
929             }
930         }
931 
932         eigenvectors = new ArrayRealVector[n];
933         final double[] tmp = new double[n];
934         for (int i = 0; i < n; i++) {
935             for (int j = 0; j < n; j++) {
936                 tmp[j] = matrixP[j][i];
937             }
938             eigenvectors[i] = new ArrayRealVector(tmp);
939         }
940     }
941 }