void setZero(Eigen::MatrixBase<Derived>& cov, const T& type)
{
cov.setZero();
}
// typename DerivedA::Scalar
void pseudo_inverse_svd(const Eigen::MatrixBase<DerivedA>& M,
Eigen::MatrixBase<OutputMatrixType>& Minv,
typename DerivedA::Scalar epsilon = 1e-6)//std::numeric_limits<typename DerivedA::Scalar>::epsilon())
{
// CONTROLIT_INFO << "Method called!\n epsilon = " << epsilon << ", M = \n" << M;
// Ensure matrix Minv has the correct size. Its size should be equal to M.transpose().
assert_msg(M.rows() == Minv.cols(), "Minv has invalid number of columns. Expected " << M.rows() << " got " << Minv.cols());
assert_msg(M.cols() == Minv.rows(), "Minv has invalid number of rows. Expected " << M.cols() << " got " << Minv.rows());
// According to Eigen documentation, "If the input matrix has inf or nan coefficients, the result of the
// computation is undefined, but the computation is guaranteed to terminate in finite (and reasonable) time."
Eigen::JacobiSVD<DerivedA> svd = M.jacobiSvd(Eigen::ComputeFullU | Eigen::ComputeFullV);
// Get the max singular value
typename DerivedA::Scalar maxSingularValue = svd.singularValues().array().abs().maxCoeff();
// Use Minv to temporarily hold sigma
Minv.setZero();
typename DerivedA::Scalar tolerance = 0;
// Only compute sigma if the max singular value is greater than zero.
if (maxSingularValue > epsilon)
{
tolerance = epsilon * std::max(M.cols(), M.rows()) * maxSingularValue;
// For each singular value of matrix M's SVD decomposition, check if it is greater than
// the tolerance value. If it is, save 1/(singular value) in the sigma vector.
// Otherwise save zero in the sigma vector.
DerivedA sigmaVector = DerivedA( (svd.singularValues().array().abs() > tolerance).select(svd.singularValues().array().inverse(), 0) );
// DerivedA zeroSVs = DerivedA( (svd.singularValues().array().abs() <= tolerance).select(svd.singularValues().array().inverse(), 0) );
// CONTROLIT_INFO << "epsilon: " << epsilon << ", std::max(M.cols(), M.rows()): " << std::max(M.cols(), M.rows()) << ", maxSingularValue: " << maxSingularValue << ", tolerance: " << tolerance;
// CONTROLIT_INFO << "sigmaVector = " << sigmaVector.transpose();
// CONTROLIT_INFO << "zeroSigmaVector : "<< zeroSVs.transpose();
Minv.block(0, 0, sigmaVector.rows(), sigmaVector.rows()) = sigmaVector.asDiagonal();
}
// Double check to make sure the matrices have the correct dimensions
assert_msg(svd.matrixV().cols() == Minv.rows(),
"Matrix dimension mismatch, svd.matrixV().cols() = " << svd.matrixV().cols() << ", Minv.rows() = " << Minv.rows() << ".");
assert_msg(Minv.cols() == svd.matrixU().adjoint().rows(),
"Matrix dimension mismatch, Minv.cols() = " << Minv.cols() << ", svd.matrixU().adjoint().rows() = " << svd.matrixU().adjoint().rows() << ".");
Minv = svd.matrixV() *
Minv *
svd.matrixU().adjoint(); // take the transpose of matrix U
// CONTROLIT_INFO << "Done method call! Minv = " << Minv;
// typename DerivedA::Scalar errorNorm = std::abs((M * Minv - DerivedA::Identity(M.rows(), Minv.cols())).norm());
// if (tolerance != 0 && errorNorm > tolerance * 10)
// {
// CONTROLIT_WARN << "Problems computing pseudoinverse. Perhaps the tolerance is too high?\n"
// << " - epsilon: " << epsilon << "\n"
// << " - tolerance: " << tolerance << "\n"
// << " - maxSingularValue: " << maxSingularValue << "\n"
// << " - errorNorm: " << errorNorm << "\n"
// << " - M:\n" << M << "\n"
// << " - Minv:\n" << Minv;
// }
// return errorNorm;
}
void clear(Eigen::MatrixBase<T> &x) {
x.setZero();
}
