svd.hpp

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#ifndef SVD_HPP
#define SVD_HPP
 
#include <iostream>
#include <vector>
 
namespace gpmp {
 
namespace linalg {
 
class SVD {
  public:
    explicit SVD(std::vector<std::vector<double>> &matrix);
 
    std::vector<double> getSingularValues() const;
 
    std::vector<std::vector<double>> getLeftSingularVectors() const;
 
    std::vector<std::vector<double>> getRightSingularVectors() const;
 
  private:
    std::vector<double> singularValues_;
    std::vector<std::vector<double>> leftSingularVectors_;
    std::vector<std::vector<double>> rightSingularVectors_;
 
    // Helper functions for SVD computation
    void computeSVD(std::vector<std::vector<double>> &matrix);
    void bidiagonalize(std::vector<std::vector<double>> &matrix,
                       std::vector<double> &diagonal,
                       std::vector<double> &superdiagonal);
 
    void computeHouseholderReflection(const std::vector<double> &x,
                                      std::vector<double> &v,
                                      double &beta);
    void applyHouseholder(std::vector<std::vector<double>> &matrix,
                          const std::vector<double> &v,
                          double beta,
                          size_t fromRow,
                          size_t fromCol);
};
} // namespace linalg
 
} // namespace gpmp
 
#endif