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Non-Square Jacobi SVD HDL Optimized

Fixed-point singular value decomposition

Since R2023b

  • Image of Non-Square Jacobi SVD HDL Optimized block.

Libraries:
Fixed-Point Designer HDL Support / Matrices and Linear Algebra / Matrix Factorizations

Description

Use the Non-Square Jacobi SVD HDL Optimized block to perform singular value decomposition (SVD) on non-square matrices using QR decomposition and the two-sided Jacobi algorithm. This block consists of a Real Partial-Systolic QR Decomposition or Complex Partial-Systolic QR Decomposition block, depending on your configuration, and a Square Jacobi SVD HDL Optimized. Given a matrix A with more rows than columns, the Non-Square Jacobi SVD HDL Optimized block uses QR decomposition to preprocess the input, then uses the two-sided Jacobi method to produce a vector s of nonnegative elements and unitary matrices U and V such that A = U*diag(s)*V'.

Note

For square matrices, use the Square Jacobi SVD HDL Optimized block.

Examples

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This example shows how to use the Non-Square Jacobi SVD HDL Optimized block to compute the singular value decomposition (SVD) of non-square matrices.

Non-Square Two-Sided Jacobi SVD

The Non-Square Jacobi HDL Optimized block uses the QR decomposition and two-sided Jacobi algorithm to perform singular value decomposition. Given an input matrix A with more rows than columns, the block first uses QR decomposition to preprocess the input, then uses the two-sided Jacobi method to perform singular value decomposition. Because the Jacobi algorithm can perform such computations in parallel, it is suitable for FPGA and ASIC applications. For more information, see Non-Square Jacobi SVD HDL Optimized.

Define Simulation Parameters

Specify the dimension of the sample matrices, the number of input sample matrices, and the number of iterations of the Jacobi algorithm.

m = 16;
n = 8;
rankA = 7;
numSamples = 3;
nIterations = 10;

Generate Input A Matrices

Use the specified simulation parameters to generate the input matrix A.

rng('default');

The Non-Square Jacobi SVD HDL Optimized block supports both real and complex inputs. Set the complexity of the input in the block mask accordingly.

complexity = "real";
A = zeros(m,n,numSamples);
for k = 1:numSamples
    switch complexity
        case 'complex'
            A(:,:,k) = fixed.example.complexRandomLowRankMatrix(m,n,rankA);
        case 'real'
            A(:,:,k) = fixed.example.realRandomLowRankMatrix(m,n,rankA);
        otherwise
            error("Complexity must be either 'real' or 'complex'")
    end
end

Select Fixed-Point Data Types

Define the desired word length.

wordLength = 25;

Use the upper bound on the singular values to define fixed-point types that will never overflow. First, use the fixed.singularValueUpperBound function to determine the upper bound on the singular values.

svdUpperBound = fixed.singularValueUpperBound(m,n,max(abs(A(:))));

Define the integer length based on the value of the upper bound, with one additional bit for the sign, another additional bit for intermediate CORDIC growth, and one more bit for intermediate growth to compute the Jacobi rotations.

additionalBitGrowth = 3;
integerLength = ceil(log2(svdUpperBound)) + additionalBitGrowth;

Compute the fraction length based on the integer length and the desired word length.

fractionLength = wordLength - integerLength;

Define the signed fixed-point data type to be 'Fixed' or 'ScaledDouble'. You can also define the type to be 'double' or 'single'.

dataType = 'Fixed';
T.A = fi([],1,wordLength,fractionLength,'DataType',dataType);
disp(T.A)
[]

          DataTypeMode: Fixed-point: binary point scaling
            Signedness: Signed
            WordLength: 25
        FractionLength: 18

Cast the matrix A to the signed fixed-point type.

A = cast(A,'like',T.A);

Configure Model Workspace and Run Simulation

model = 'NonSquareJacobiSVDModel';
load_system(model);
open_system(model);

modelScreenShot.PNG

Set the parameter for real or complex either using set_param, or from the dialog.

set_param('NonSquareJacobiSVDModel/Non-Square Jacobi SVD HDL Optimized','complexity',complexity);

maskScreenShot.PNG

Set the variables in the model workspace.

fixed.example.setModelWorkspace(model,'A',A,'m',m,'n',n,...
    'nIterations',nIterations,'numSamples',numSamples);
out = sim(model);

Verify Output Solutions

Verify the output solutions. In these steps, "identical" means within roundoff error.

  1. Verify that U*diag(s)*V' is identical to A. relativeErrorUSV represents the relative error between U*diag(s)*V' and A.

  2. Verify that the singular values s are identical to the floating-point SVD solution. relativeErrorS represents the relative error between s and the singular values calculated by the MATLAB® svd function.

  3. Verify that U and V are unitary matrices. relativeErrorUU represents the relative error between U'*U and the identity matrix. relativeErrorVV represents the relative error between V'*V and the identity matrix.

for i = 1:numSamples
    disp(['Sample #',num2str(i),':']);
    a = A(:,:,i);
    U = out.U(:,:,i);
    V = out.V(:,:,i);
    s = out.s(:,:,i);

    % Verify U*diag(s)*V'
    if norm(double(a)) > 1
        relativeErrorUSV = norm(double(U*diag(s)*V')-double(a))/norm(double(a));
    else
        relativeErrorUSV = norm(double(U*diag(s)*V')-double(a)); 
    end    
    relativeErrorUSV
    
    % Verify s
    s_expected = svd(double(a));
    normS = norm(s_expected);
    relativeErrorS = norm(double(s) - s_expected);
    if normS > 1
        relativeErrorS = relativeErrorS/normS;
    end
    relativeErrorS

    % Verify U'*U
    % U'*U will only be unitary up to the rank of A
    U = double(U);
    UU = U(:,1:rankA)'*U(:,1:rankA);
    relativeErrorUU = norm(UU - eye(size(UU)))
    
    % Verify V'*V
    V = double(V);
    VV = V'*V;
    relativeErrorVV = norm(VV - eye(size(VV)))

    disp('---------------');
end
Sample #1:
relativeErrorUSV = 
2.3251e-04
relativeErrorS = 
9.8161e-05
relativeErrorUU = 
3.5827e-05
relativeErrorVV = 
3.7335e-05
---------------
Sample #2:
relativeErrorUSV = 
3.3725e-04
relativeErrorS = 
6.5314e-05
relativeErrorUU = 
2.4210e-05
relativeErrorVV = 
3.5644e-05
---------------
Sample #3:
relativeErrorUSV = 
4.5802e-04
relativeErrorS = 
1.2924e-04
relativeErrorUU = 
4.2547e-05
relativeErrorVV = 
3.5511e-05
---------------

Extended Examples

Limitations

To optimize HDL efficiency, if the input matrix A is not full rank, then the output U matrix is orthonormal up to the rank of A. A=U*diag(s)*V' is still valid. V is always orthonormal regardless of the rank of A.

For example, if A=[1112223330.524], then A has rank 2 and U'U=[100010000.8940].

If the input matrix is full rank, then U'*U=I, where I = eye(n).

Ports

Input

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Row of matrix A, specified as a vector. A is a m-by-n matrix where m > 2, n ≥ 2, and m > n.

If A is a fixed-point data type, A must be signed and use binary-point scaling. Slope-bias representation is not supported for fixed-point data types.

Tips

The output U matrix is orthonormal up to the rank of input matrix A. For more information, see Limitations.

Data Types: single | double | fixed point
Complex Number Support: Yes

Whether input is valid, specified as a Boolean scalar. This control signal indicates when the data from the A input port is valid. When this value is 1 (true) and the value at ready is 1 (true), the block captures the values at the A input port. When this value is 0 (false), the block ignores the input samples.

Tips

After sending a true validIn signal, a delay may occur before the ready signal is false. To ensure all data is processed, you must wait until the ready signal is false before sending another true validIn signal.

Data Types: Boolean

Whether downstream block is ready, specified as a Boolean scalar. This control signal monitors the ready port of the downstream block. When the readyIn value is 1 (true), and the value at validOut is 1 (true), the block outputs data to the downstream block. When the readyIn value is 0 (false), the downstream block is not ready to accept data. The Non-Square Jacobi SVD HDL Optimized block pauses on the output stage and the ready signal remains 0 (false) until the readyIn signal is high.

Data Types: Boolean

Whether to clear internal states, specified as a Boolean scalar. When this value is 1 (true), the block stops the current calculation and clears all internal states. When this value is 0 (false) and the validIn value is 1 (true), the block begins a new subframe.

Data Types: Boolean

Output

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Singular values, returned as a column vector of length n. The Singular Values are nonnegative and returned in descending order such that s(1) >= s(2) >= ... >= s(n). Singular values are returned with the same data type as the input matrix A.

Data Types: single | double | fixed point

Left singular vectors, returned as a unitary n-by-n matrix.

For fixed-point and scaled-double inputs, U is returned as a signed fixed-point or scaled-double fi with the same word length as A and fraction length equal to two less than the word length. One of these integer bits is used for the sign. The other integer bit allows +1 to be represented exactly.

For floating-point input, U has the same data type as A.

Tips

The output U matrix is orthonormal up to the rank of input matrix A. For more information, see Limitations.

Dependencies

To enable this port, set the Select outputs parameter to UsV or Us.

Data Types: single | double | fixed point

Right singular vectors, returned as a unitary n-by-n matrix.

For fixed-point and scaled-double inputs, V is returned as a signed fixed-point or scaled-double fi with the same word length as A and fraction length equal to two less than the word length. One of these integer bits is used for the sign. The other integer bit allows +1 to be represented exactly.

For floating-point input, V has the same data type as A.

Dependencies

To enable this port, set the Select outputs parameter to UsV or sV.

Data Types: single | double | fixed point

Whether the output data is valid, returned as a Boolean scalar. This control signal indicates when the data at the output ports U, S, and V are valid. When this value is 1 (true), the output data is valid. When this value is 0 (false), the output data is not valid. Transfer of data to the downstream block occurs only when both the validOut and readyIn signals are high.

Data Types: Boolean

Whether the block is ready, returned as a Boolean scalar. This control signal indicates when the block is ready for new input data. When this value is 1 (true) and the validIn value is 1 (true), the block accepts input data in the next time step. When this value is 0 (false), the block ignores input data in the next time step.

Tips

After sending a true validIn signal, there may be some delay before the ready signal is false. To ensure all data is processed, you must wait until the ready signal is false before sending another true validIn signal.

Data Types: Boolean

Parameters

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To edit block parameters interactively, use the Property Inspector. From the Simulink® Toolstrip, on the Simulation tab, in the Prepare gallery, select Property Inspector.

Number of rows in m-by-n matrix A, specified as an integer-valued scalar where m > 2 and m > n.

Programmatic Use

To set the block parameter value programmatically, use the set_param function.

To get the block parameter value programmatically, use the get_param function.

Parameter: m
Values: 8 (default) | integer-valued scalar where m > 2 and m > n
Data Types: char | string

Number of columns in m-by-n matrix A, specified as an integer-valued scalar where n ≥ 2 and m > n.

Programmatic Use

To set the block parameter value programmatically, use the set_param function.

To get the block parameter value programmatically, use the get_param function.

Parameter: n
Values: 4 (default) | integer-valued scalar where n ≥ 2 and m > n
Data Types: char | string

Number of iterations of the Jacobi algorithm, specified as a positive integer.

Tips

  • Most sources indicate that 10 iterations is sufficient for the Jacobi algorithm to converge [7][8][9][10].

  • When the input is an m-by-2 matrix, the SVD has a closed-form solution and does not require iterative computation. In this case, set the Number of Jacobi iterations to 1 to minimize utilization and latency.

Programmatic Use

To set the block parameter value programmatically, use the set_param function.

To get the block parameter value programmatically, use the get_param function.

Parameter: nIterations
Values: 10 (default) | positive integer
Data Types: char | string

Block outputs, specified as UsV, Us, sV, or s.

Tips

This parameter determines the number of outputs on the block.

Programmatic Use

To set the block parameter value programmatically, use the set_param function.

To get the block parameter value programmatically, use the get_param function.

Parameter: outputOption
Values: UsV (default) | Us | sV | s
Data Types: char | string

Complexity of the input matrix A, specified as real, or complex.

Tips

This parameter determines whether the Non-Square Jacobi HDL Optimized block uses a Real Partial-Systolic QR Decomposition block or a Complex Partial-Systolic QR Decomposition block to preprocess the input.

Programmatic Use

To set the block parameter value programmatically, use the set_param function.

To get the block parameter value programmatically, use the get_param function.

Parameter: complexity
Values: real (default) | complex
Data Types: char | string

Tips

  • The behavior of the Non-Square Jacobi SVD HDL Optimized block is equivalent to [U,s,V] = fixed.jacobiSVD(A) when A is a non-square matrix. If the input data type is fixed point with binary-point scaling, the function and the block provide bit-exact results. However, if the input data type is floating point, small numerical differences may exist between the function and the block.

    The Number of Jacobi iterations block parameter is equivalent to the numberOfSweeps input argument for the fixed.jacobiSVD function.

Algorithms

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References

[2] Jacobi, Carl G. J., "Über ein leichtes Verfahren die in der Theorie der Säcularstörungen vorkommenden Gleichungen numerisch aufzulösen." Journal fur die reine und angewandte Mathematik 30 (1846): 51–94.

[3] Forsythe, George E. and Peter Henrici. "The Cyclic Jacobi Method for Computing the Principal Values of a Complex Matrix." Transactions of the American Mathematical Society 94, no. 1 (January 1960): 1-23.

[4] Shiri, Aidin and Ghader Khosroshahi. "An FPGA Implementation of Singular Value Decomposition", ICEE 2019: 27th Iranian Conference on Electrical Engineering, Yazd, Iran, April 30–May 2, 2019, 416-22, IEEE.

[5] Golub, Gene H. and Charles F. Van Loan. Matrix Computations, 4th ed. Baltimore, MD: Johns Hopkins University Press, 2013.

[6] Athi, Mrudula V., Seyed R. Zekavat, and Alan A. Struthers. "Real-Time Signal Processing of Massive Sensor Arrays via a Parallel Fast Converging SVD Algorithm: Latency, Throughput, and Resource Analysis." IEEE Sensors Journal 16, no. 18 (January 2016): 2519-26. https://doi.org/10.1109/JSEN.2016.2517040.

[7] Brent, Richard P., Franklin T. Luk, and Charles Van Loan. "Computation of the Singular Value Decomposition Using Mesh-Connected Processors." Journal of VLSI and Computer Systems 1, 3 (1985): 242–70.

[8] Hemkumar, Nariankadu D. A Systolic VLSI Architecture for Complex SVD. Master’s thesis, Rice University, 1991.

[9] Duryea, R. A. Finite Precision Arithmetic in Singular Value Decomposition Architectures. Ph.D. thesis, Cornell University, 1987.

[10] Cavallaro, Joseph R. and Franklin T. Luk. 1987. "CORDIC Arithmetic for an SVD Processor." 1987 IEEE 8th Symposium on Computer Arithmetic (ARITH), Como, Italy, May 18-21, 1987, 113-20. IEEE. https://doi.org/10.1109/ARITH.1987.6158686.

Extended Capabilities

Version History

Introduced in R2023b