Re: [eigen] Specialized QR

[Benoit Jacob <jacob.benoit.1@xxxxxxxxx>]

You are perfectly right, I overlooked this!

So indeed it would be nice to only compute Q if it's needed.

Benoit

2009/5/20 Jitse Niesen <jitse@xxxxxxxxxxxxxxxxx>:
> On Wed, 20 May 2009, Benoit Jacob wrote:
>
>> Unless someone who knows better disagrees, I think that in plain QR
>> decompositions (not RRQR) it's pretty safe to assume that the Q matrix
>> is wanted.
>
> I'm not so sure. Suppose you solve Ax = b via QR. The steps are: factor
> A = QR, compute y = Q^{-1} b = Q^T b, solve the triangular system Rx = y. So
> you don't need Q, but only Q^T b. To form Q, you apply O(n^2) Givens
> rotations to the identity matrix, total cost O(n^3). But you can compute Q^T
> b by applying the Givens rotations directly to the vector b, for a cost of
> only O(n^2).
>
> I'm not sure about the details. And I don't know a use case for solving Ax =
> b by QR instead of LU. But I note that LAPACK has routines for the
> factorization (with and without pivoting) without computing Q, for computing
> Q, and for computing Q (or Q^T) times a vector [1]. And Golub & van Loan say
> something similar in the context of Householder QR for least squares
> problems.
>
> [1] http://www.netlib.org/lapack/lug/node44.html#2830
>
> Givens rotations, that is the loop
>
> for (int i = k1; i < cols; ++i){
>  tmp = m_R.coeff(k1, i);
>  m_R.coeffRef(k1, i) = ei_conj(o1)*m_R.coeff(k1, i)
>                        + ei_conj(o2)*m_R.coeff(k2, i);
>  m_R.coeffRef(k2, i) = o1*m_R.coeff(k2, i) - o2*tmp;
> }
>
> are used in many algorithms, for instance SVD (in the algorithm we're using
> at the moment) and GMRES (iterative method for solving Ax = b). So if
> possible we should have an optimized version in a separate function.
>
>
> Jitse
>
>
>