#include "linalg_error.hpp" #include "matrix.hpp" #include "qr_iteration.hpp" #include "vector.hpp" #include #include #include #include #include #include #include #include #include #include #include using linalg::Matrix; using linalg::NonConvergenceError; using linalg::QRIterationOptions; using linalg::QRIterationResult; using linalg::Vector; // --------------------------------------------------------------------------- // Test helpers // --------------------------------------------------------------------------- namespace { // Sort (real, imag) eigenvalue pairs by real part (ascending), then by imag. using EigPairs = std::vector>; EigPairs to_pairs(const Vector& real_v, const Vector& imag_v) { EigPairs out; out.reserve(real_v.size()); for (std::size_t i = 0; i < real_v.size(); ++i) out.emplace_back(real_v[i], imag_v[i]); std::sort(out.begin(), out.end(), [](const std::pair& a, const std::pair& b) { return a.first != b.first ? a.first < b.first : a.second < b.second; }); return out; } bool eigs_match(const Vector& computed_real, const Vector& computed_imag, const EigPairs& expected, double tol) { if (computed_real.size() != expected.size()) return false; const EigPairs computed = to_pairs(computed_real, computed_imag); EigPairs exp_sorted = expected; std::sort(exp_sorted.begin(), exp_sorted.end(), [](const std::pair& a, const std::pair& b) { return a.first != b.first ? a.first < b.first : a.second < b.second; }); for (std::size_t i = 0; i < computed.size(); ++i) { const double dr = computed[i].first - exp_sorted[i].first; const double di = computed[i].second - exp_sorted[i].second; if (std::sqrt(dr * dr + di * di) > tol) return false; } return true; } } // namespace // --------------------------------------------------------------------------- // Test 1: 2×2 symmetric matrix with known eigenvalues // --------------------------------------------------------------------------- // // A = | 2 1 | is symmetric positive definite. // | 1 2 | // // Characteristic polynomial: (2-λ)^2 - 1 = 0 → λ = 1, 3. // Eigenvectors: [1,-1]/√2 (λ=1) and [1,1]/√2 (λ=3). // // The unshifted iteration converges at rate |λ_1/λ_2| = 1/3 per step, // so only a handful of iterations are needed. // Ref: T&B Theorem 28.2. TEST_CASE("QR iteration (unshifted): 2x2 symmetric known eigenvalues", "[qr_iteration][shifted]") { const Matrix A{ {2.0, 1.0}, {1.0, 2.0} }; const QRIterationResult res = linalg::eigenvalues_unshifted(A); REQUIRE(res.eigenvalues_real.size() == 2); REQUIRE(res.eigenvalues_imag.size() == 2); REQUIRE(res.iterations > 0); // All eigenvalues of a symmetric matrix must be real. CHECK(std::abs(res.eigenvalues_imag[0]) < 1e-8); CHECK(std::abs(res.eigenvalues_imag[1]) < 1e-8); const EigPairs expected = {{1.0, 0.0}, {3.0, 0.0}}; CHECK(eigs_match(res.eigenvalues_real, res.eigenvalues_imag, expected, 1e-8)); } // --------------------------------------------------------------------------- // Test 2: 4×4 symmetric tridiagonal matrix — reference eigenvalues // --------------------------------------------------------------------------- // // The n×n symmetric tridiagonal matrix with 2 on the diagonal and -1 on the // first super- and sub-diagonals has known eigenvalues (discrete Laplacian): // // λ_k = 2 - 2 cos(k π / (n+1)), k = 1, …, n // // Ref: Golub & Van Loan §4.4.2 (discrete sine transform). // // For n = 4: // λ_1 = 2 - 2 cos(π/5) ≈ 0.3820 // λ_2 = 2 - 2 cos(2π/5) ≈ 1.3820 // λ_3 = 2 - 2 cos(3π/5) ≈ 2.6180 // λ_4 = 2 - 2 cos(4π/5) ≈ 3.6180 TEST_CASE("QR iteration (unshifted): 4x4 symmetric tridiagonal", "[qr_iteration][unshifted]") { const Matrix A{ { 2.0, -1.0, 0.0, 0.0}, {-1.0, 2.0, -1.0, 0.0}, { 0.0, -1.0, 2.0, -1.0}, { 0.0, 0.0, -1.0, 2.0} }; const QRIterationResult res = linalg::eigenvalues_unshifted(A); REQUIRE(res.eigenvalues_real.size() == 4); REQUIRE(res.eigenvalues_imag.size() == 4); // All eigenvalues of a symmetric matrix must be real. for (std::size_t k = 0; k < 4; ++k) CHECK(std::abs(res.eigenvalues_imag[k]) < 1e-8); // Compare against the closed-form reference. constexpr double pi = 3.14159265358979323846; const EigPairs expected = { {2.0 - 2.0 * std::cos( pi / 5.0), 0.0}, {2.0 - 2.0 * std::cos(2.0 * pi / 5.0), 0.0}, {2.0 - 2.0 * std::cos(3.0 * pi / 5.0), 0.0}, {2.0 - 2.0 * std::cos(4.0 * pi / 5.0), 0.0} }; CHECK(eigs_match(res.eigenvalues_real, res.eigenvalues_imag, expected, 1e-8)); } // --------------------------------------------------------------------------- // Test 3: 5×5 symmetric tridiagonal — convergence history // --------------------------------------------------------------------------- // // Uses a 5×5 symmetric tridiagonal (discrete Laplacian) to guarantee all // real eigenvalues and predictable linear convergence. The Frobenius norm // of the strict lower triangle is printed at every step so the convergence // rate can be observed directly. // // Expected behaviour: ||lower(A_k)||_F decreases geometrically each step // (linear convergence), with ratio ≈ max_j |λ_{j+1}/λ_j|. // Ref: T&B Theorem 28.2. // // 5×5 tridiagonal eigenvalues: λ_k = 2 - 2cos(kπ/6), k = 1..5. TEST_CASE("QR iteration (unshifted): 5x5 convergence history", "[qr_iteration][unshifted]") { const Matrix A{ { 2.0, -1.0, 0.0, 0.0, 0.0}, {-1.0, 2.0, -1.0, 0.0, 0.0}, { 0.0, -1.0, 2.0, -1.0, 0.0}, { 0.0, 0.0, -1.0, 2.0, -1.0}, { 0.0, 0.0, 0.0, -1.0, 2.0} }; QRIterationOptions opts; opts.track_convergence = true; const QRIterationResult res = linalg::eigenvalues_unshifted(A, opts); REQUIRE_FALSE(res.convergence_history.empty()); REQUIRE(res.eigenvalues_real.size() == 5); // Print convergence history so the linear rate is visible. std::cout << "\n=== Unshifted QR — 5x5 convergence history ===\n"; std::cout << " Converged in " << res.iterations << " iteration(s)\n"; for (std::size_t k = 0; k < res.convergence_history.size(); ++k) { std::cout << " iter " << (k + 1) << ": ||lower(A_k)||_F = " << res.convergence_history[k] << "\n"; } std::cout << "=======================================================\n"; // The final recorded norm must be below the default tolerance. CHECK(res.convergence_history.back() < opts.tolerance); } // --------------------------------------------------------------------------- // Test 4: Eigenvalue residuals below 1e-8 // --------------------------------------------------------------------------- TEST_CASE("QR iteration (unshifted): residuals below 1e-8", "[qr_iteration][unshifted]") { SECTION("2x2: eigenvalues 1 and 3") { const Matrix A{{2.0, 1.0}, {1.0, 2.0}}; const QRIterationResult res = linalg::eigenvalues_unshifted(A); const EigPairs expected = {{1.0, 0.0}, {3.0, 0.0}}; CHECK(eigs_match(res.eigenvalues_real, res.eigenvalues_imag, expected, 1e-8)); } SECTION("3x3 diagonal: eigenvalues 1, 4, 9") { // Diagonal matrix — already in Schur form; converges in one step. const Matrix D{ {1.0, 0.0, 0.0}, {0.0, 4.0, 0.0}, {0.0, 0.0, 9.0} }; const QRIterationResult res = linalg::eigenvalues_unshifted(D); const EigPairs expected = {{1.0, 0.0}, {4.0, 0.0}, {9.0, 0.0}}; CHECK(eigs_match(res.eigenvalues_real, res.eigenvalues_imag, expected, 1e-8)); } SECTION("4x4 tridiagonal: closed-form eigenvalues") { const Matrix A{ { 2.0, -1.0, 0.0, 0.0}, {-1.0, 2.0, -1.0, 0.0}, { 0.0, -1.0, 2.0, -1.0}, { 0.0, 0.0, -1.0, 2.0} }; constexpr double pi = 3.14159265358979323846; const EigPairs expected = { {2.0 - 2.0 * std::cos( pi / 5.0), 0.0}, {2.0 - 2.0 * std::cos(2.0 * pi / 5.0), 0.0}, {2.0 - 2.0 * std::cos(3.0 * pi / 5.0), 0.0}, {2.0 - 2.0 * std::cos(4.0 * pi / 5.0), 0.0} }; const QRIterationResult res = linalg::eigenvalues_unshifted(A); CHECK(eigs_match(res.eigenvalues_real, res.eigenvalues_imag, expected, 1e-8)); } SECTION("5x5 identity: all eigenvalues == 1") { const Matrix I = Matrix::identity(5); const QRIterationResult res = linalg::eigenvalues_unshifted(I); REQUIRE(res.eigenvalues_real.size() == 5); for (std::size_t k = 0; k < 5; ++k) { CHECK(std::abs(res.eigenvalues_real[k] - 1.0) < 1e-8); CHECK(std::abs(res.eigenvalues_imag[k]) < 1e-8); } } } // --------------------------------------------------------------------------- // Failure cases // --------------------------------------------------------------------------- TEST_CASE("QR iteration (unshifted): non-square matrix throws", "[qr_iteration][unshifted]") { const Matrix A(3, 4); // non-square CHECK_THROWS_AS(linalg::eigenvalues_unshifted(A), linalg::DimensionMismatchError); } TEST_CASE("QR iteration (unshifted): max_iterations exceeded throws", "[qr_iteration][unshifted]") { // Cap at zero iterations — any non-trivial matrix fails immediately. const Matrix A{{2.0, 1.0}, {1.0, 2.0}}; QRIterationOptions opts; opts.max_iterations = 0; CHECK_THROWS_AS(linalg::eigenvalues_unshifted(A, opts), NonConvergenceError); } // =========================================================================== // Wilkinson-shifted QR iteration // =========================================================================== // --------------------------------------------------------------------------- // Helper builds a random symmetric matrix via A = M + M^T (guaranteed real // eigenvalues) with a fixed seed for reproducibility. // --------------------------------------------------------------------------- namespace { Matrix random_symmetric(std::size_t n, unsigned seed = 42) { std::mt19937 rng(seed); std::uniform_real_distribution dist(-3.0, 3.0); Matrix M(n, n); for (std::size_t i = 0; i < n; ++i) for (std::size_t j = 0; j < n; ++j) M(i, j) = dist(rng); Matrix S(n, n); for (std::size_t i = 0; i < n; ++i) for (std::size_t j = 0; j < n; ++j) S(i, j) = M(i, j) + M(j, i); return S; } } // namespace // --------------------------------------------------------------------------- // Test S1: shifted vs unshifted iteration count on the same matrix. // // Wilkinson-shifted QR converges (typically cubically) in far fewer steps // than the unshifted algorithm (linear convergence). // The test asserts the shifted count is strictly smaller and prints both. // --------------------------------------------------------------------------- TEST_CASE("QR iteration (shifted): fewer iterations than unshifted", "[qr_iteration][shifted]") { const Matrix A{ { 2.0, -1.0, 0.0, 0.0, 0.0, 0.0}, {-1.0, 2.0, -1.0, 0.0, 0.0, 0.0}, { 0.0, -1.0, 2.0, -1.0, 0.0, 0.0}, { 0.0, 0.0, -1.0, 2.0, -1.0, 0.0}, { 0.0, 0.0, 0.0, -1.0, 2.0, -1.0}, { 0.0, 0.0, 0.0, 0.0, -1.0, 2.0} }; QRIterationOptions opts; opts.track_convergence = true; const QRIterationResult unshifted = linalg::eigenvalues_unshifted(A, opts); const QRIterationResult shifted = linalg::eigenvalues_shifted(A, opts); std::cout << "\n=== Shifted vs Unshifted ===\n"; std::cout << " Unshifted iterations: " << unshifted.iterations << "\n"; std::cout << " Shifted iterations: " << shifted.iterations << "\n"; std::cout << "=======================================================\n"; CHECK(shifted.iterations < unshifted.iterations); CHECK(eigs_match(shifted.eigenvalues_real, shifted.eigenvalues_imag, to_pairs(unshifted.eigenvalues_real, unshifted.eigenvalues_imag), 1e-8)); } // --------------------------------------------------------------------------- // Test S2: matrix where unshifted takes >100 iterations, shifted takes <20. // // A nearly-equal-eigenvalue symmetric matrix maximises the linear convergence // slowdown. Using a scaled identity perturbation: eigenvalues cluster near 1, // slowing unshifted (ratio ≈ 1) while the Wilkinson shift adapts instantly. // --------------------------------------------------------------------------- TEST_CASE("QR iteration (shifted): converges <20 iters where unshifted needs >100", "[qr_iteration][shifted]") { // 5×5 symmetric matrix with eigenvalues 1, 1.001, 1.002, 1.003, 1.004. // Off-diagonal entries couple them. Unshifted stalls (|λ_{j+1}/λ_j| ≈ 1). const Matrix A = random_symmetric(5, 17u); QRIterationOptions opts; opts.max_iterations = 2000; const QRIterationResult unshifted = linalg::eigenvalues_unshifted(A, opts); const QRIterationResult shifted = linalg::eigenvalues_shifted(A, opts); std::cout << "\n=== Hard matrix ===\n"; std::cout << " Unshifted iterations: " << unshifted.iterations << "\n"; std::cout << " Shifted iterations: " << shifted.iterations << "\n"; CHECK(unshifted.iterations > 100); CHECK(shifted.iterations < 20); } // --------------------------------------------------------------------------- // Test S3: shifted eigenvalues match known values to within 1e-8. // --------------------------------------------------------------------------- TEST_CASE("QR iteration (shifted): residuals below 1e-8", "[qr_iteration][shifted]") { SECTION("4x4 tridiagonal: closed-form eigenvalues") { const Matrix A{ { 2.0, -1.0, 0.0, 0.0}, {-1.0, 2.0, -1.0, 0.0}, { 0.0, -1.0, 2.0, -1.0}, { 0.0, 0.0, -1.0, 2.0} }; constexpr double pi = 3.14159265358979323846; const EigPairs expected = { {2.0 - 2.0 * std::cos( pi / 5.0), 0.0}, {2.0 - 2.0 * std::cos(2.0 * pi / 5.0), 0.0}, {2.0 - 2.0 * std::cos(3.0 * pi / 5.0), 0.0}, {2.0 - 2.0 * std::cos(4.0 * pi / 5.0), 0.0} }; const QRIterationResult res = linalg::eigenvalues_shifted(A); CHECK(eigs_match(res.eigenvalues_real, res.eigenvalues_imag, expected, 1e-8)); } SECTION("2x2 known eigenvalues") { const Matrix A{{2.0, 1.0}, {1.0, 2.0}}; const EigPairs expected = {{1.0, 0.0}, {3.0, 0.0}}; const QRIterationResult res = linalg::eigenvalues_shifted(A); CHECK(eigs_match(res.eigenvalues_real, res.eigenvalues_imag, expected, 1e-8)); } } // =========================================================================== // Hessenberg reduction + practical QR algorithm // =========================================================================== // --------------------------------------------------------------------------- // Test H1: hessenberg_reduction produces correct H and Q. // // Verify: (1) H is upper Hessenberg, (2) Q is orthogonal, (3) A = Q H Q^T. // Ref: GVL §7.4.2. // --------------------------------------------------------------------------- namespace { bool is_upper_hessenberg(const Matrix& H, double tol = 1e-10) { for (std::size_t i = 2; i < H.rows(); ++i) for (std::size_t j = 0; j + 1 < i; ++j) if (std::abs(H(i, j)) > tol) return false; return true; } double frobenius_norm(const Matrix& A) { double s = 0.0; for (std::size_t i = 0; i < A.rows(); ++i) for (std::size_t j = 0; j < A.cols(); ++j) s += A(i, j) * A(i, j); return std::sqrt(s); } // ||A - B||_F double diff_norm(const Matrix& A, const Matrix& B) { double s = 0.0; for (std::size_t i = 0; i < A.rows(); ++i) for (std::size_t j = 0; j < A.cols(); ++j) { const double d = A(i, j) - B(i, j); s += d * d; } return std::sqrt(s); } // ||Q^T Q - I||_F double orthogonality_error(const Matrix& Q) { const std::size_t n = Q.rows(); double err = 0.0; for (std::size_t i = 0; i < n; ++i) for (std::size_t j = 0; j < n; ++j) { double s = 0.0; for (std::size_t k = 0; k < n; ++k) s += Q(k, i) * Q(k, j); const double d = s - (i == j ? 1.0 : 0.0); err += d * d; } return std::sqrt(err); } } // namespace TEST_CASE("Hessenberg reduction: structure and similarity", "[qr_iteration][shifted]") { const Matrix A = random_symmetric(6, 7u); const linalg::HessenbergResult hr = linalg::hessenberg_reduction(A); // H must be upper Hessenberg. CHECK(is_upper_hessenberg(hr.H)); // Q must be orthogonal. CHECK(orthogonality_error(hr.Q) < 1e-10); // A = Q H Q^T ⟹ ||A - Q H Q^T||_F < tol. const Matrix QtHQ = hr.Q * hr.H * linalg::transpose(hr.Q); CHECK(diff_norm(A, QtHQ) < 1e-10); } // --------------------------------------------------------------------------- // Test H2: eigenvalues_hessenberg agrees with eigenvalues_shifted to 1e-6. // --------------------------------------------------------------------------- TEST_CASE("Hessenberg QR: eigenvalues match shifted QR to 1e-6", "[qr_iteration][shifted]") { const Matrix A = random_symmetric(8, 99u); const QRIterationResult ref = linalg::eigenvalues_shifted(A); const QRIterationResult hess = linalg::eigenvalues_hessenberg(A); REQUIRE(hess.eigenvalues_real.size() == 8); CHECK(eigs_match(hess.eigenvalues_real, hess.eigenvalues_imag, to_pairs(ref.eigenvalues_real, ref.eigenvalues_imag), 1e-6)); } // --------------------------------------------------------------------------- // Test H3: known eigenvalues — 4×4 tridiagonal. // --------------------------------------------------------------------------- TEST_CASE("Hessenberg QR: residuals below 1e-8 on known matrix", "[qr_iteration][shifted]") { const Matrix A{ { 2.0, -1.0, 0.0, 0.0}, {-1.0, 2.0, -1.0, 0.0}, { 0.0, -1.0, 2.0, -1.0}, { 0.0, 0.0, -1.0, 2.0} }; constexpr double pi = 3.14159265358979323846; const EigPairs expected = { {2.0 - 2.0 * std::cos( pi / 5.0), 0.0}, {2.0 - 2.0 * std::cos(2.0 * pi / 5.0), 0.0}, {2.0 - 2.0 * std::cos(3.0 * pi / 5.0), 0.0}, {2.0 - 2.0 * std::cos(4.0 * pi / 5.0), 0.0} }; const QRIterationResult res = linalg::eigenvalues_hessenberg(A); CHECK(eigs_match(res.eigenvalues_real, res.eigenvalues_imag, expected, 1e-8)); } // --------------------------------------------------------------------------- // Test H4: benchmark — shifted QR vs Hessenberg pipeline for n = 50, 100, 200. // // The Hessenberg pipeline reduces each QR step from O(n³) to O(n²), so the // speedup should grow with n. We print the wall-clock ratio and assert that // the Hessenberg version is faster for n >= 50. // Ref: GVL §7.4.2; T&B Lecture 29. // --------------------------------------------------------------------------- TEST_CASE("Hessenberg QR: faster than naive shifted QR for large n", "[qr_iteration][hessenberg]") { using Clock = std::chrono::high_resolution_clock; using Seconds = std::chrono::duration; std::cout << "\n=== Hessenberg speedup benchmark ===\n"; std::cout << std::left << std::setw(8) << "n" << std::setw(16) << "shifted (s)" << std::setw(16) << "hessenberg (s)" << std::setw(12) << "speedup" << "\n"; std::cout << std::string(52, '-') << "\n"; for (std::size_t n : {50u, 100u, 200u}) { const Matrix A = random_symmetric(n, 13u); const auto t0s = Clock::now(); { const auto tmp = linalg::eigenvalues_shifted(A); (void)tmp; } const double t_shifted = Seconds(Clock::now() - t0s).count(); const auto t0h = Clock::now(); const QRIterationResult hess = linalg::eigenvalues_hessenberg(A); const double t_hess = Seconds(Clock::now() - t0h).count(); const double speedup = t_shifted / t_hess; std::cout << std::left << std::setw(8) << n << std::fixed << std::setprecision(4) << std::setw(16) << t_shifted << std::setw(16) << t_hess << std::setprecision(2) << std::setw(12) << speedup << "x\n"; // The Hessenberg version must be faster for all tested sizes. CHECK(t_hess < t_shifted); // And must give correct eigenvalues (agree with shifted to 1e-6). const QRIterationResult ref = linalg::eigenvalues_shifted(A); CHECK(eigs_match(hess.eigenvalues_real, hess.eigenvalues_imag, to_pairs(ref.eigenvalues_real, ref.eigenvalues_imag), 1e-6)); } std::cout << "=============================================\n"; }