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/PowerIterations.hpp"
#include <random>

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

// Compute the power iterations.
powerit::PowerIterations runner;
std::vector<double> eigenvector(ndim);
std::mt19937_64 rng(10);
runner.run(order, matrix.data(), eigenvector.data(), rng);

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()`

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

To install the library, use:

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

By default, this will use FetchContent to fetch all external dependencies. If you want to install them manually, use -DPOWERIT_FETCH_EXTERN=OFF. See the commit hashes in extern/CMakeLists.txt to find compatible versions of each dependency.

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.

moritz-h/powerit