Package org.apache.commons.math.linear

Examples of org.apache.commons.math.linear.EigenDecomposition

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    }

    public void testDimension1() {
        RealMatrix matrix =
            MatrixUtils.createRealMatrix(new double[][] { { 1.5 } });
        EigenDecomposition ed = new EigenDecompositionImpl(matrix, MathUtils.SAFE_MIN);
        assertEquals(1.5, ed.getRealEigenvalue(0), 1.0e-15);
    }
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        RealMatrix matrix =
            MatrixUtils.createRealMatrix(new double[][] {
                    { 59.0, 12.0 },
                    { 12.0, 66.0 }
            });
        EigenDecomposition ed = new EigenDecompositionImpl(matrix, MathUtils.SAFE_MIN);
        assertEquals(75.0, ed.getRealEigenvalue(0), 1.0e-15);
        assertEquals(50.0, ed.getRealEigenvalue(1), 1.0e-15);
    }
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            MatrixUtils.createRealMatrix(new double[][] {
                                   {  39632.0, -4824.0, -16560.0 },
                                   {  -4824.0,  8693.0,   7920.0 },
                                   { -16560.0,  7920.0,  17300.0 }
                               });
        EigenDecomposition ed = new EigenDecompositionImpl(matrix, MathUtils.SAFE_MIN);
        assertEquals(50000.0, ed.getRealEigenvalue(0), 3.0e-11);
        assertEquals(12500.0, ed.getRealEigenvalue(1), 3.0e-11);
        assertEquals( 3125.0, ed.getRealEigenvalue(2), 3.0e-11);
    }
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                                   {  0.784, -0.288,  0.000,  0.000 },
                                   { -0.288,  0.616,  0.000,  0.000 },
                                   {  0.000,  0.000,  0.164, -0.048 },
                                   {  0.000,  0.000, -0.048,  0.136 }
                               });
        EigenDecomposition ed = new EigenDecompositionImpl(matrix, MathUtils.SAFE_MIN);
        assertEquals(1.0, ed.getRealEigenvalue(0), 1.0e-15);
        assertEquals(0.4, ed.getRealEigenvalue(1), 1.0e-15);
        assertEquals(0.2, ed.getRealEigenvalue(2), 1.0e-15);
        assertEquals(0.1, ed.getRealEigenvalue(3), 1.0e-15);
    }
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                                   {  0.5608, -0.2016,  0.1152, -0.2976 },
                                   { -0.2016,  0.4432, -0.2304,  0.1152 },
                                   {  0.1152, -0.2304,  0.3088, -0.1344 },
                                   { -0.2976,  0.1152, -0.1344,  0.3872 }
                               });
        EigenDecomposition ed = new EigenDecompositionImpl(matrix, MathUtils.SAFE_MIN);
        assertEquals(1.0, ed.getRealEigenvalue(0), 1.0e-15);
        assertEquals(0.4, ed.getRealEigenvalue(1), 1.0e-15);
        assertEquals(0.2, ed.getRealEigenvalue(2), 1.0e-15);
        assertEquals(0.1, ed.getRealEigenvalue(3), 1.0e-15);
    }
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            }
        }
        Arrays.sort(ref);
        TriDiagonalTransformer t =
            new TriDiagonalTransformer(createTestMatrix(r, ref));
        EigenDecomposition ed =
            new EigenDecompositionImpl(t.getMainDiagonalRef(),
                                       t.getSecondaryDiagonalRef(),
                                       MathUtils.SAFE_MIN);
        double[] eigenValues = ed.getRealEigenvalues();
        assertEquals(ref.length, eigenValues.length);
        for (int i = 0; i < ref.length; ++i) {
            assertEquals(ref[ref.length - i - 1], eigenValues[i], 2.0e-14);
        }
       
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    }

    /** test dimensions */
    public void testDimensions() {
        final int m = matrix.getRowDimension();
        EigenDecomposition ed = new EigenDecompositionImpl(matrix, MathUtils.SAFE_MIN);
        assertEquals(m, ed.getV().getRowDimension());
        assertEquals(m, ed.getV().getColumnDimension());
        assertEquals(m, ed.getD().getColumnDimension());
        assertEquals(m, ed.getD().getColumnDimension());
        assertEquals(m, ed.getVT().getRowDimension());
        assertEquals(m, ed.getVT().getColumnDimension());
    }
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        assertEquals(m, ed.getVT().getColumnDimension());
    }

    /** test eigenvalues */
    public void testEigenvalues() {
        EigenDecomposition ed = new EigenDecompositionImpl(matrix, MathUtils.SAFE_MIN);
        double[] eigenValues = ed.getRealEigenvalues();
        assertEquals(refValues.length, eigenValues.length);
        for (int i = 0; i < refValues.length; ++i) {
            assertEquals(refValues[i], eigenValues[i], 3.0e-15);
        }
    }
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        double[] bigValues = new double[200];
        for (int i = 0; i < bigValues.length; ++i) {
            bigValues[i] = 2 * r.nextDouble() - 1;
        }
        Arrays.sort(bigValues);
        EigenDecomposition ed =
            new EigenDecompositionImpl(createTestMatrix(r, bigValues), MathUtils.SAFE_MIN);
        double[] eigenValues = ed.getRealEigenvalues();
        assertEquals(bigValues.length, eigenValues.length);
        for (int i = 0; i < bigValues.length; ++i) {
            assertEquals(bigValues[bigValues.length - i - 1], eigenValues[i], 2.0e-14);
        }
    }
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        }
    }

    /** test eigenvectors */
    public void testEigenvectors() {
        EigenDecomposition ed = new EigenDecompositionImpl(matrix, MathUtils.SAFE_MIN);
        for (int i = 0; i < matrix.getRowDimension(); ++i) {
            double lambda = ed.getRealEigenvalue(i);
            RealVector v  = ed.getEigenvector(i);
            RealVector mV = matrix.operate(v);
            assertEquals(0, mV.subtract(v.mapMultiplyToSelf(lambda)).getNorm(), 1.0e-13);
        }
    }
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Related Classes of org.apache.commons.math.linear.EigenDecomposition

  • com.opengamma.analytics.math.matrix.CommonsMatrixAlgebra
  • org.apache.commons.math.linear.EigenDecompositionImplTest
  • org.apache.mahout.math.ssvd.EigenSolverWrapper
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