using System; namespace LinearAlgebra { class QR { // QR Decomposition of a matrix A public static (Matrix2 Q, Matrix2 R) Decomposition(Matrix2 A) { int nRows = A.nRows; int nCols = A.nCols; float[,] Q = new float[nRows, nCols]; float[,] R = new float[nCols, nCols]; // Perform Gram-Schmidt orthogonalization for (uint colIx = 0; colIx < nCols; colIx++) { // Step 1: v = column(ix) of A float[] v = new float[nRows]; for (int rowIx = 0; rowIx < nRows; rowIx++) v[rowIx] = A.data[rowIx, colIx]; // Step 2: Subtract projections of v onto previous q's (orthogonalize) for (uint colIx2 = 0; colIx2 < colIx; colIx2++) { float dotProd = 0; for (int i = 0; i < nRows; i++) dotProd += Q[i, colIx2] * v[i]; for (int i = 0; i < nRows; i++) v[i] -= dotProd * Q[i, colIx2]; } // Step 3: Normalize v to get column(ix) of Q float norm = 0; for (int rowIx = 0; rowIx < nRows; rowIx++) norm += v[rowIx] * v[rowIx]; norm = (float)Math.Sqrt(norm); for (int rowIx = 0; rowIx < nRows; rowIx++) Q[rowIx, colIx] = v[rowIx] / norm; // Store the coefficients of R for (int colIx2 = 0; colIx2 <= colIx; colIx2++) { R[colIx2, colIx] = 0; for (int k = 0; k < nRows; k++) R[colIx2, colIx] += Q[k, colIx2] * A.data[k, colIx]; } } return (new Matrix2(Q), new Matrix2(R)); } // Reduced QR Decomposition of a matrix A public static (Matrix2 Q, Matrix2 R) ReducedDecomposition(Matrix2 A) { int nRows = A.nRows; int nCols = A.nCols; float[,] Q = new float[nRows, nCols]; float[,] R = new float[nCols, nCols]; // Perform Gram-Schmidt orthogonalization for (int colIx = 0; colIx < nCols; colIx++) { // Step 1: v = column(colIx) of A float[] columnIx = new float[nRows]; bool isZeroColumn = true; for (int rowIx = 0; rowIx < nRows; rowIx++) { columnIx[rowIx] = A.data[rowIx, colIx]; if (columnIx[rowIx] != 0) isZeroColumn = false; } if (isZeroColumn) { for (int rowIx = 0; rowIx < nRows; rowIx++) Q[rowIx, colIx] = 0; // Set corresponding R element to 0 R[colIx, colIx] = 0; Console.WriteLine($"zero column {colIx}"); continue; } // Step 2: Subtract projections of v onto previous q's (orthogonalize) for (int colIx2 = 0; colIx2 < colIx; colIx2++) { // Compute the dot product of v and column(colIx2) of Q float dotProduct = 0; for (int rowIx2 = 0; rowIx2 < nRows; rowIx2++) dotProduct += columnIx[rowIx2] * Q[rowIx2, colIx2]; // Subtract the projection from v for (int rowIx2 = 0; rowIx2 < nRows; rowIx2++) columnIx[rowIx2] -= dotProduct * Q[rowIx2, colIx2]; } // Step 3: Normalize v to get column(colIx) of Q float norm = 0; for (int rowIx = 0; rowIx < nRows; rowIx++) norm += columnIx[rowIx] * columnIx[rowIx]; if (norm == 0) throw new Exception("invalid value"); norm = (float)Math.Sqrt(norm); for (int rowIx = 0; rowIx < nRows; rowIx++) Q[rowIx, colIx] = columnIx[rowIx] / norm; // Here is where it deviates from the Full QR Decomposition ! // Step 4: Compute the row(colIx) of R for (int colIx2 = colIx; colIx2 < nCols; colIx2++) { float dotProduct = 0; for (int rowIx2 = 0; rowIx2 < nRows; rowIx2++) dotProduct += Q[rowIx2, colIx] * A.data[rowIx2, colIx2]; R[colIx, colIx2] = dotProduct; } } if (!float.IsFinite(R[0, 0])) throw new Exception("invalid value"); return (new Matrix2(Q), new Matrix2(R)); } } class SVD { // According to ChatGPT, Mathnet uses Golub-Reinsch SVD algorithm // 1. Bidiagonalization: The input matrix AA is reduced to a bidiagonal form using Golub-Kahan bidiagonalization. // This process involves applying a sequence of Householder reflections to AA to create a bidiagonal matrix. // This step reduces the complexity by making the matrix simpler while retaining the essential structure needed for SVD. // // 2. Diagonalization: Once the matrix is in bidiagonal form, // the singular values are computed using an iterative process // (typically involving QR factorization or Jacobi rotations) until convergence. // This process diagonalizes the bidiagonal matrix and allows extraction of the singular values. // // 3. Computing UU and VTVT: After obtaining the singular values, // the left singular vectors UU and right singular vectors VTVT are computed // using the accumulated transformations (such as Householder reflections) from the bidiagonalization step. // Bidiagnolizations through Householder transformations public static (Matrix2 U1, Matrix2 B, Matrix2 V1) Bidiagonalization(Matrix2 A) { int m = A.nRows; // Rows of A int n = A.nCols; // Columns of A float[,] U1 = new float[m, m]; // Left orthogonal matrix float[,] V1 = new float[n, n]; // Right orthogonal matrix float[,] B = A.Clone().data; // Copy A to B for transformation // Initialize U1 and V1 as identity matrices for (int i = 0; i < m; i++) U1[i, i] = 1; for (int i = 0; i < n; i++) V1[i, i] = 1; // Perform Householder reflections to create a bidiagonal matrix B for (int j = 0; j < n; j++) { // Step 1: Construct the Householder vector y float[] y = new float[m - j]; for (int i = j; i < m; i++) y[i - j] = B[i, j]; // Step 2: Compute the norm and scalar alpha float norm = 0; for (int i = 0; i < y.Length; i++) norm += y[i] * y[i]; norm = (float)Math.Sqrt(norm); if (B[j, j] > 0) norm = -norm; float alpha = (float)Math.Sqrt(0.5 * (norm * (norm - B[j, j]))); float r = (float)Math.Sqrt(0.5 * (norm * (norm + B[j, j]))); // Step 3: Apply the reflection to zero out below diagonal for (int k = j; k < n; k++) { float dot = 0; for (int i = j; i < m; i++) dot += y[i - j] * B[i, k]; dot /= r; for (int i = j; i < m; i++) B[i, k] -= 2 * dot * y[i - j]; } // Step 4: Update U1 with the Householder reflection (U1 * Householder) for (int i = j; i < m; i++) U1[i, j] = y[i - j] / alpha; // Step 5: Update V1 (storing the Householder vector y) // Correct indexing: we only need to store part of y in V1 from index j to n for (int i = j; i < n; i++) V1[j, i] = B[j, i]; // Repeat steps for further columns if necessary } return (new Matrix2(U1), new Matrix2(B), new Matrix2(V1)); } public static Matrix2 Bidiagonalize(Matrix2 A) { int m = A.nRows; // Rows of A int n = A.nCols; // Columns of A float[,] B = A.Clone().data; // Copy A to B for transformation // Perform Householder reflections to create a bidiagonal matrix B for (int j = 0; j < n; j++) { // Step 1: Construct the Householder vector y float[] y = new float[m - j]; for (int i = j; i < m; i++) y[i - j] = B[i, j]; // Step 2: Compute the norm and scalar alpha float norm = 0; for (int i = 0; i < y.Length; i++) norm += y[i] * y[i]; norm = (float)Math.Sqrt(norm); if (B[j, j] > 0) norm = -norm; float r = (float)Math.Sqrt(0.5 * (norm * (norm + B[j, j]))); // Step 3: Apply the reflection to zero out below diagonal for (int k = j; k < n; k++) { float dot = 0; for (int i = j; i < m; i++) dot += y[i - j] * B[i, k]; dot /= r; for (int i = j; i < m; i++) B[i, k] -= 2 * dot * y[i - j]; } // Repeat steps for further columns if necessary } return new Matrix2(B); } // QR Iteration for diagonalization of a bidiagonal matrix B public static (Matrix1 singularValues, Matrix2 U, Matrix2 Vt) QRIteration(Matrix2 B) { int m = B.nRows; int n = B.nCols; Matrix2 U = new(m, m); // Left singular vectors (U) Matrix2 Vt = new(n, n); // Right singular vectors (V^T) float[] singularValues = new float[Math.Min(m, n)]; // Singular values // Initialize U and Vt as identity matrices for (int i = 0; i < m; i++) U.data[i, i] = 1; for (int i = 0; i < n; i++) Vt.data[i, i] = 1; // Perform QR iterations float tolerance = 1e-7f; //1e-12f; for double bool converged = false; while (!converged) { // Perform QR decomposition on the matrix B (Matrix2 Q, Matrix2 R) = QR.Decomposition(B); // Update B to be the product Q * R //R * Q B = R * Q; // Accumulate the transformations in U and Vt U *= Q; Vt *= R; // Check convergence by looking at the off-diagonal elements of B converged = true; for (int i = 0; i < m - 1; i++) { for (int j = i + 1; j < n; j++) { if (Math.Abs(B.data[i, j]) > tolerance) { converged = false; break; } } } } // Extract singular values (diagonal elements of B) for (int i = 0; i < Math.Min(m, n); i++) singularValues[i] = B.data[i, i]; return (new Matrix1(singularValues), U, Vt); } public static (Matrix2 U, Matrix1 S, Matrix2 Vt) Decomposition(Matrix2 A) { if (A.nRows != A.nCols) throw new ArgumentException("SVD: matrix A has to be square."); Matrix2 B = Bidiagonalize(A); (Matrix1 S, Matrix2 U, Matrix2 Vt) = QRIteration(B); return (U, S, Vt); } } }