LTLA / powerit

Lightweight C++ library for power iterations

Power iterations in C++

Overview

Not much to say here, this repository just contains a header-only C++ library to perform power iterations. It's a quick-and-dirty method of getting the first eigenvector from a diagonalizable matrix - most typically from a covariance matrix, to get the first principal component. Well, maybe it's not so quick, but it doesn't add any dependencies and it'll get the job done. And sometimes that's enough.

Quick start

This is a header-only library, so usage is pretty simple:

#include "powerit/powerit.hpp"
#include <random>

// Fill up the input matrix (row-major).
size_t ndim = 10;
std::vector<double> matrix(ndim * ndim);

// Compute the power iterations.
std::vector<double> eigenvector(ndim);
std::mt19937_64 rng(10);

auto info = powerit::compute(
    order, 
    matrix.data(), 
    /* row_major = */ true, 
    eigenvector.data(), 
    rng, 
    powerit::Options()
);

info.value; // estimate of the first eigenvalue
info.iterations; // number of iterations required for convergence.

Users can tune the number of iterations, tolerance, and number of threads via the Options argument. Check out the API reference for more information.

Building projects

CMake with FetchContent

If you're using CMake, you just need to add something like this to your CMakeLists.txt:

include(FetchContent)

FetchContent_Declare(
  powerit 
  GIT_REPOSITORY https://github.com/LTLA/powerit
  GIT_TAG master # or any version of interest
)

FetchContent_MakeAvailable(powerit)

Then you can link to powerit to make the headers available during compilation:

# For executables:
target_link_libraries(myexe ltla::powerit)

# For libaries
target_link_libraries(mylib INTERFACE ltla::powerit)

CMake with find_package()

To install the library, clone the desired version of this repository and run:

mkdir build && cd build
cmake .. -DPOWERIT_TESTS=OFF
cmake --build . --target install

Then, we can use find_package() as usual:

find_package(ltla_powerit CONFIG REQUIRED)
target_link_libraries(mylib INTERFACE ltla::powerit)

By default, this will use FetchContent to fetch all external dependencies (listed in extern/CMakeLists.txt). If you want to install them manually, use -DPOWERIT_FETCH_EXTERN=OFF.

Manual

If you're not using CMake, the simple approach is to just copy the files in include/ - either directly or with Git submodules - and include their path during compilation with, e.g., GCC's -I. This requires the external dependencies listed in extern/CMakeLists.txt, which also need to be made available during compilation.