File Exchange

image thumbnail

Eigenshuffle

version 2.0.0.0 (28.9 KB) by John D'Errico
Consistently sorted eigenvalue and eigenvector sequences

30 Downloads

Updated 05 Jun 2020

View Version History

View License

A problem that I've seen many times on the newsgroup is how eig returns its eigenvalues and eigenvectors. By itself, eig returns an arbitrary order for the eigenvalues and eigenvectors. They are often nearly sorted in order, but this is not assured. The other issue is the eigenvectors can have an arbitrary sign applied to them.

Worse, when you have a sequence of eigenvalue problems, the eigenvalues can sometimes cross over. One would like to sort the eigenvalues/eigenvectors so the sequence is consistent.

I've designed eigenshuffle.m to do exactly that. It takes a pxpxn array, where each page of the array is one matrix where we wish to compute the eigenvalues. Eigenshuffle tries to permute the eigenvalues and eigenvectors to be maximally consistent from one step in the sequence to the next. Eigenshuffle also chooses the sign to be applied to each eigenvector to be maximally consistent with the the vectors prior to it in the sequence of eigenproblems.

As an example, try this simple matrix function of a parameter t.

Efun = @(t) [1 2*t+1 t^2 t^3;2*t+1 2-t t^2 1-t^3; ...
t^2 t^2 3-2*t t^2;t^3 1-t^3 t^2 4-3*t];

Aseq = zeros(4,4,21);
for i = 1:21
Aseq(:,:,i) = Efun((i-11)/10);
end
[Vseq,Dseq] = eigenshuffle(Aseq);

To see that eigenshuffle has done its work correctly,
look at the eigenvalues in sequence after the shuffle.

t = (-1:.1:1)';
[t,Dseq']
ans =
-1 8.4535 5 2.3447 0.20181
-0.9 7.8121 4.7687 2.3728 0.44644
-0.8 7.2481 4.56 2.3413 0.65054
-0.7 6.7524 4.3648 2.2709 0.8118
-0.6 6.3156 4.1751 2.1857 0.92364
-0.5 5.9283 3.9855 2.1118 0.97445
-0.4 5.5816 3.7931 2.0727 0.95254
-0.3 5.2676 3.5976 2.0768 0.858
-0.2 4.9791 3.3995 2.1156 0.70581
-0.1 4.7109 3.2 2.1742 0.51494
0 4.4605 3 2.2391 0.30037
0.1 4.2302 2.8 2.2971 0.072689
0.2 4.0303 2.5997 2.3303 -0.16034
0.3 3.8817 2.4047 2.3064 -0.39272
0.4 3.8108 2.1464 2.2628 -0.62001
0.5 3.8302 1.8986 2.1111 -0.83992
0.6 3.9301 1.5937 1.9298 -1.0537
0.7 4.0927 1.2308 1.745 -1.2685
0.8 4.3042 0.82515 1.5729 -1.5023
0.9 4.5572 0.40389 1.4272 -1.7883
1 4.8482 -8.0012e-16 1.3273 -2.1755

Here, columns 2:5 are the shuffled eigenvalues. See that the second eigenvalue goes to zero, but the third eigenvalue remains positive. We can plot eigenvalues and see that they have crossed, near t = 0.35 in Efun.

plot(-1:.1:1,Dseq')

For a better appreciation of what eigenshuffle did, compare the result of eig directly on Efun(.3) and Efun(.4). Thus:

[V3,D3] = eig(Efun(.3))
V3 =
-0.74139 0.53464 -0.23551 0.3302
0.64781 0.4706 -0.16256 0.57659
0.0086542 -0.44236 -0.89119 0.10006
-0.17496 -0.54498 0.35197 0.74061

D3 =
-0.39272 0 0 0
0 2.3064 0 0
0 0 2.4047 0
0 0 0 3.8817

[V4,D4] = eig(Efun(.4))
V4 =
-0.73026 0.19752 0.49743 0.42459
0.66202 0.21373 0.35297 0.62567
0.013412 -0.95225 0.25513 0.16717
-0.16815 -0.092308 -0.75026 0.63271

D4 =
-0.62001 0 0 0
0 2.1464 0 0
0 0 2.2628 0
0 0 0 3.8108

With no sort or shuffle applied, look at V3(:,3). See that it is really closest to V4(:,2), but with a sign flip. Since the signs on the eigenvectors are arbitrary, the sign is changed, and the most consistent sequence will be chosen. By way of comparison, see how the eigenvectors in Vseq have been shuffled, the signs swapped appropriately.

Vseq(:,:,14)
ans =
0.3302 0.23551 -0.53464 0.74139
0.57659 0.16256 -0.4706 -0.64781
0.10006 0.89119 0.44236 -0.0086542
0.74061 -0.35197 0.54498 0.17496

Vseq(:,:,15)
ans =
0.42459 -0.19752 -0.49743 0.73026
0.62567 -0.21373 -0.35297 -0.66202
0.16717 0.95225 -0.25513 -0.013412
0.63271 0.092308 0.75026 0.16815

Note that sequences of generalized eigenvalue problems can now be solved too.

With many thanks to Yi Cao, I've included munkres by permission as a subfunction here.

http://www.mathworks.com/matlabcentral/fileexchange/20652

Cite As

John D'Errico (2021). Eigenshuffle (https://www.mathworks.com/matlabcentral/fileexchange/22885-eigenshuffle), MATLAB Central File Exchange. Retrieved .

Comments and Ratings (43)

Yisheng Zheng

Max Nusspickel

Is the implementation for generalized eigenvalue problems correct? It seems the B metric is only used in the eigensolver, but I would expect it also needs to be dotted between v1' and v2 in the distance matrix?

John D'Errico

I've updated the code to now allow a Bsequence array to be provided. If so, and if Bsequence is of the same size and shape as Asequence, then generalized eigenproblems will be solved. The code still works as before if Bsequence is not provided at all.

Jinpeng Guo

Thiago Burghi

Thank you!

Massimiliano Insinna

Yi Egol

Quite useful,thx a lot!

Bo Wei

thanks a lot!

shaojiang wu

John

Interesting approach, but appears to assume that the eigenvector element order isn't modified, essentially solving dxdt = A x, where the x sequence order is defined. A potential modification would be y = B x, dxdt = A x, then assume the sequence of y measurements are fixed, and not the unmeasured x states. Easy modification is to change V1, V2 to B * Vseq.

siyue liang

how to download this .m file.I can see the downloadzip ,but i can not downdload when i choose it. if anyone can help me ,could u please send the file which u have download to me ? my email is 1020784568@qq.com

Chris

Excellent code for solving arrays of eigenvalue problems with real solutions. Would like to see a better distance/cost function for systems with complex solutions. Would love to hear suggestions if others have them.

Jacob Lang

life saver. thanks for this.

Michael Chan

works great! thanks a lot.

Antonio Hortal

Qingyu

works great!

Jacopo Marconi

Genius! thanks a lot, I was going crazy

Mathieu Lachapelle

One thousand thanks (that's the number of time my program uses your function)

Juan Pablo

William

Works very well. Not only performs the eig function over arrays of matrices, but sorts the eigenvalues and eigenvectors in a rational way.

Megan

It was great, Thanks.

Laura

This is exactly what I needed. Unfortunately, it doesn't seem to work on eigenvalue problems where the crossings happen over a wide range, or where they cross and then cross back. For my system, this really only worked for small crossings.

Sandor Toth

Great code!

pushkarini

pushkarini

comfort.

A

Louie Lu

Louie Lu

A minor suggestion: could put the output argument Dseq in front of Vseq, so that Dseq=eigenshuffle(A) can be used when Vseq is not wanted.

Maurizio De Pitta'

Ondrej

I thought so, that it couldn't be any harder than eigenvalues, but then I looked here
http://www.math.uu.nl/publications/preprints/1180.ps

Actually the code there seems to work pretty well. So schurly, no need to reinvent schurshuffle

John D'Errico

For schur, I'd like to help. But schurly, then I would have to call the solution the schurshuffle.

http://www.youtube.com/watch?v=0V-VgRqsEcg

Seriously, it seems the same methodology would work. And with a name like the schurshuffle, I'd hate to pass up the opportunity.

Ondrej

Is it possible to write the same functionality but for schur decomposition? Schur function in matlab returns the eigenvalues on diagonal in same order as eig function..which is not always nice. Thanks.

Yi Cao

John,

This is novel. A possible application is for MIMO frequency response. The following example needs control system toolbox:

sys = rss(10,10,10);
w=logspace(-1,1,200);
H=freqresp(sys,w);
[V,D]=eigenshuffle(H);
semilogx(w,D)

Another thing you may consider is to alter the distance measure to the true distance between scaled eighenvectors of two permutations, i.e. define

y_i(k) = lambda_i(k) v_i(k) = lambda_i(k) A(k), for i = 1, ..., n

to pair the ith of A(k) with the jth of A(k-1), the distance

d_ij = |y_i(k)|^2 + |y_j(k-1)|^2 - 2 |y_i(k)| |y_j(k-1)| cos < y_i(k), y_j(k-1)

where
cos < y_i(k), y_j(k-1) = v_i(k)^T v_j(k-1)

Regards,
Yi

Chris

Fantastic program which does exactly what I needed - thanks!

DNF

If you check out the other ratings of this 'Xu Wings' you will see he has a thing in for D'Errico and possibly also Oliver Woodford. It seems possible that 'Xu Wings' is an alias for Shahab Anbarjafari.

Kenneth Eaton

Xu, I can only guess that you have very little experience with MATLAB and even less knowledge of whom you are criticizing.

Xu Wings

i found the level of the code very low, possibly a good high school boy in here can write such a programme!

Jonas Lundgren

And the updated rating.

John D'Errico

Jonas is absolutely correct, and I had even thought to offer munkres (once I learned of its existence) as the underlying permutation engine in this code, with a test to see if the user had downloaded munkres. Yi Cao was gracious to allow me to include munkres as a subfunction however, so I have included his current version.

The munkres powered version of eigenshuffle is now about 4 times faster for small (4x4) systems. For larger systems on the order of 15x15, I'd expect nearly a 20-1 speedup. Larger systems that that will be even faster compared to the previous release of this code.

Even better, the use of munkres as the permutation engine may sometimes provide a better choice of permutation than did my own minimum trace scheme, so the user wins in two ways here.

Many thanks to Yi Cao for munkres, and to Jonas Lundgren for his comments on the code.

Jonas Lundgren

I missed the comment. Eigenshuffle works very well on all the test problems I have tried. The distance measure is clever! If you replace MINTRACE by MUNKRES of Yi Cao, it will be fast as well.

Jonas Lundgren

John D'Errico

I've uploaded a new version that works better for complex problems.

MATLAB Release Compatibility
Created with R2007b
Compatible with any release
Platform Compatibility
Windows macOS Linux
Categories

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!