Spaces:
Running
Running
File size: 58,534 Bytes
b200bda |
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 259 260 261 262 263 264 265 266 267 268 269 270 271 272 273 274 275 276 277 278 279 280 281 282 283 284 285 286 287 288 289 290 291 292 293 294 295 296 297 298 299 300 301 302 303 304 305 306 307 308 309 310 311 312 313 314 315 316 317 318 319 320 321 322 323 324 325 326 327 328 329 330 331 332 333 334 335 336 337 338 339 340 341 342 343 344 345 346 347 348 349 350 351 352 353 354 355 356 357 358 359 360 361 362 363 364 365 366 367 368 369 370 371 372 373 374 375 376 377 378 379 380 381 382 383 384 385 386 387 388 389 390 391 392 393 394 395 396 397 398 399 400 401 402 403 404 405 406 407 408 409 410 411 412 413 414 415 416 417 418 419 420 421 422 423 424 425 426 427 428 429 430 431 432 433 434 435 436 437 438 439 440 441 442 443 444 445 446 447 448 449 450 451 452 453 454 455 456 457 458 459 460 461 462 463 464 465 466 467 468 469 470 471 472 473 474 475 476 477 478 479 480 481 482 483 484 485 486 487 488 489 490 491 492 493 494 495 496 497 498 499 500 501 502 503 504 505 506 507 508 509 510 511 512 513 514 515 516 517 518 519 520 521 522 523 524 525 526 527 528 529 530 531 532 533 534 535 536 537 538 539 540 541 542 543 544 545 546 547 548 549 550 551 552 553 554 555 556 557 558 559 560 561 562 563 564 565 566 567 568 569 570 571 572 573 574 575 576 577 578 579 580 581 582 583 584 585 586 587 588 589 590 591 592 593 594 595 596 597 598 599 600 601 602 603 604 605 606 607 608 609 610 611 612 613 614 615 616 617 618 619 620 621 622 623 624 625 626 627 628 629 630 631 632 633 634 635 636 637 638 639 640 641 642 643 644 645 646 647 648 649 650 651 652 653 654 655 656 657 658 659 660 661 662 663 664 665 666 667 668 669 670 671 672 673 674 675 676 677 678 679 680 681 682 683 684 685 686 687 688 689 690 691 692 693 694 695 696 697 698 699 700 701 702 703 704 705 706 707 708 709 710 711 712 713 714 715 716 717 718 719 720 721 722 723 724 725 726 727 728 729 730 731 732 733 734 735 736 737 738 739 740 741 742 743 744 745 746 747 748 749 750 751 752 753 754 755 756 757 758 759 760 761 762 763 764 765 766 767 768 769 770 771 772 773 774 775 776 777 778 779 780 781 782 783 784 785 786 787 788 789 790 791 792 793 794 795 796 797 798 799 800 801 802 803 804 805 806 807 808 809 810 811 812 813 814 815 816 817 818 819 820 821 822 823 824 825 826 827 828 829 830 831 832 833 834 835 836 837 838 839 840 841 842 843 844 845 846 847 848 849 850 851 852 853 854 855 856 857 858 859 860 861 862 863 864 865 866 867 868 869 870 871 872 873 874 875 876 877 878 879 880 881 882 883 884 885 886 887 888 889 890 891 892 893 894 895 896 897 898 899 900 901 902 903 904 905 906 907 908 909 910 911 912 913 914 915 916 917 918 919 920 921 922 923 924 925 926 927 928 929 930 931 932 933 934 935 936 937 938 939 940 941 942 943 944 945 946 947 948 949 950 951 952 953 954 955 956 957 958 959 960 961 962 963 964 965 966 967 968 969 970 971 972 973 974 975 976 977 978 979 980 981 982 983 984 985 986 987 988 989 990 991 992 993 994 995 996 997 998 999 1000 1001 1002 1003 1004 1005 1006 1007 1008 1009 1010 1011 1012 1013 1014 1015 1016 1017 1018 1019 1020 1021 1022 1023 1024 1025 1026 1027 1028 1029 1030 1031 1032 1033 1034 1035 1036 1037 1038 1039 1040 1041 1042 1043 1044 1045 1046 1047 1048 1049 1050 1051 1052 1053 1054 1055 1056 1057 1058 1059 1060 1061 1062 1063 1064 1065 1066 1067 1068 1069 1070 1071 1072 1073 1074 1075 1076 1077 1078 1079 1080 1081 1082 1083 1084 1085 1086 1087 1088 1089 1090 1091 1092 1093 1094 1095 1096 1097 1098 1099 1100 1101 1102 1103 1104 1105 1106 1107 1108 1109 1110 1111 1112 1113 1114 1115 1116 1117 1118 1119 1120 1121 1122 1123 1124 1125 1126 1127 1128 1129 1130 1131 1132 1133 1134 1135 1136 1137 1138 1139 1140 1141 1142 1143 1144 1145 1146 1147 1148 1149 1150 1151 1152 1153 1154 1155 1156 1157 1158 1159 1160 1161 1162 1163 1164 1165 1166 1167 1168 1169 1170 1171 1172 1173 1174 1175 1176 1177 1178 1179 1180 1181 1182 1183 1184 1185 1186 1187 1188 1189 1190 1191 1192 1193 1194 1195 1196 1197 1198 1199 1200 1201 1202 1203 1204 1205 1206 1207 1208 1209 1210 1211 1212 1213 1214 1215 1216 1217 1218 1219 1220 1221 1222 1223 1224 1225 1226 1227 1228 1229 1230 1231 1232 1233 1234 1235 1236 1237 1238 1239 1240 1241 1242 1243 1244 1245 1246 1247 1248 1249 1250 1251 1252 1253 1254 1255 1256 1257 1258 1259 1260 1261 1262 1263 1264 1265 1266 1267 1268 1269 1270 1271 1272 1273 1274 1275 1276 1277 1278 1279 1280 1281 1282 1283 1284 1285 1286 1287 1288 1289 1290 1291 1292 1293 1294 1295 1296 1297 1298 1299 1300 1301 1302 1303 1304 1305 1306 1307 1308 1309 1310 1311 1312 1313 1314 1315 1316 1317 1318 1319 1320 1321 1322 1323 1324 1325 1326 1327 1328 1329 1330 1331 1332 1333 1334 1335 1336 1337 1338 1339 1340 1341 1342 1343 1344 1345 1346 1347 1348 1349 1350 1351 1352 1353 1354 1355 1356 1357 1358 1359 1360 1361 1362 1363 1364 1365 1366 1367 1368 1369 1370 1371 1372 1373 1374 1375 1376 1377 1378 1379 1380 1381 1382 1383 1384 1385 1386 1387 1388 1389 1390 1391 1392 1393 1394 1395 1396 1397 1398 1399 1400 1401 1402 1403 1404 1405 1406 1407 1408 1409 1410 1411 1412 1413 1414 1415 1416 1417 1418 1419 1420 1421 1422 1423 1424 1425 1426 1427 1428 1429 1430 1431 1432 1433 1434 1435 1436 1437 1438 1439 1440 1441 1442 1443 1444 1445 1446 1447 1448 1449 1450 1451 1452 1453 1454 1455 1456 1457 1458 1459 1460 1461 1462 1463 1464 1465 1466 1467 1468 1469 1470 1471 1472 1473 1474 1475 1476 1477 1478 1479 1480 1481 1482 1483 1484 1485 1486 1487 1488 1489 1490 1491 1492 1493 1494 1495 1496 1497 1498 1499 1500 1501 1502 1503 1504 1505 1506 1507 1508 1509 1510 1511 1512 1513 1514 1515 1516 1517 1518 1519 1520 1521 1522 1523 1524 1525 1526 1527 1528 1529 1530 1531 1532 1533 1534 1535 1536 1537 1538 1539 1540 1541 1542 1543 1544 1545 1546 1547 1548 1549 1550 1551 1552 1553 1554 1555 1556 1557 1558 1559 1560 1561 1562 1563 1564 1565 1566 1567 1568 1569 1570 1571 1572 1573 1574 1575 1576 1577 1578 1579 1580 1581 1582 1583 1584 1585 1586 1587 1588 1589 1590 1591 1592 1593 1594 1595 1596 1597 1598 1599 1600 1601 1602 1603 1604 1605 1606 1607 1608 1609 1610 1611 1612 1613 1614 1615 1616 1617 1618 1619 1620 1621 1622 1623 1624 1625 1626 1627 1628 1629 1630 1631 1632 1633 1634 1635 1636 1637 1638 1639 1640 1641 1642 1643 1644 1645 1646 1647 1648 1649 1650 1651 1652 1653 1654 1655 1656 1657 1658 1659 1660 1661 1662 1663 1664 1665 1666 1667 1668 1669 1670 1671 1672 1673 1674 1675 1676 1677 1678 1679 1680 1681 1682 1683 1684 1685 1686 1687 1688 1689 1690 1691 1692 1693 1694 1695 1696 1697 1698 1699 1700 1701 1702 1703 1704 1705 1706 1707 1708 1709 1710 1711 1712 1713 1714 1715 1716 1717 1718 1719 1720 1721 1722 1723 1724 1725 1726 1727 1728 1729 1730 1731 1732 1733 1734 1735 1736 1737 1738 1739 1740 1741 1742 1743 1744 1745 1746 1747 1748 1749 1750 1751 1752 1753 1754 1755 1756 1757 1758 1759 1760 1761 1762 1763 1764 1765 1766 1767 1768 1769 1770 1771 1772 1773 1774 1775 1776 1777 1778 1779 1780 1781 1782 1783 1784 1785 1786 1787 1788 1789 1790 1791 1792 1793 1794 1795 1796 1797 1798 1799 1800 1801 1802 1803 1804 1805 1806 1807 1808 |
#!/usr/bin/python
# -*- coding: utf-8 -*-
##################################################################################################
# module for the symmetric eigenvalue problem
# Copyright 2013 Timo Hartmann (thartmann15 at gmail.com)
#
# todo:
# - implement balancing
#
##################################################################################################
"""
The symmetric eigenvalue problem.
---------------------------------
This file contains routines for the symmetric eigenvalue problem.
high level routines:
eigsy : real symmetric (ordinary) eigenvalue problem
eighe : complex hermitian (ordinary) eigenvalue problem
eigh : unified interface for eigsy and eighe
svd_r : singular value decomposition for real matrices
svd_c : singular value decomposition for complex matrices
svd : unified interface for svd_r and svd_c
low level routines:
r_sy_tridiag : reduction of real symmetric matrix to real symmetric tridiagonal matrix
c_he_tridiag_0 : reduction of complex hermitian matrix to real symmetric tridiagonal matrix
c_he_tridiag_1 : auxiliary routine to c_he_tridiag_0
c_he_tridiag_2 : auxiliary routine to c_he_tridiag_0
tridiag_eigen : solves the real symmetric tridiagonal matrix eigenvalue problem
svd_r_raw : raw singular value decomposition for real matrices
svd_c_raw : raw singular value decomposition for complex matrices
"""
from ..libmp.backend import xrange
from .eigen import defun
def r_sy_tridiag(ctx, A, D, E, calc_ev = True):
"""
This routine transforms a real symmetric matrix A to a real symmetric
tridiagonal matrix T using an orthogonal similarity transformation:
Q' * A * Q = T (here ' denotes the matrix transpose).
The orthogonal matrix Q is build up from Householder reflectors.
parameters:
A (input/output) On input, A contains the real symmetric matrix of
dimension (n,n). On output, if calc_ev is true, A contains the
orthogonal matrix Q, otherwise A is destroyed.
D (output) real array of length n, contains the diagonal elements
of the tridiagonal matrix
E (output) real array of length n, contains the offdiagonal elements
of the tridiagonal matrix in E[0:(n-1)] where is the dimension of
the matrix A. E[n-1] is undefined.
calc_ev (input) If calc_ev is true, this routine explicitly calculates the
orthogonal matrix Q which is then returned in A. If calc_ev is
false, Q is not explicitly calculated resulting in a shorter run time.
This routine is a python translation of the fortran routine tred2.f in the
software library EISPACK (see netlib.org) which itself is based on the algol
procedure tred2 described in:
- Num. Math. 11, p.181-195 (1968) by Martin, Reinsch and Wilkonson
- Handbook for auto. comp., Vol II, Linear Algebra, p.212-226 (1971)
For a good introduction to Householder reflections, see also
Stoer, Bulirsch - Introduction to Numerical Analysis.
"""
# note : the vector v of the i-th houshoulder reflector is stored in a[(i+1):,i]
# whereas v/<v,v> is stored in a[i,(i+1):]
n = A.rows
for i in xrange(n - 1, 0, -1):
# scale the vector
scale = 0
for k in xrange(0, i):
scale += abs(A[k,i])
scale_inv = 0
if scale != 0:
scale_inv = 1/scale
# sadly there are floating point numbers not equal to zero whose reciprocal is infinity
if i == 1 or scale == 0 or ctx.isinf(scale_inv):
E[i] = A[i-1,i] # nothing to do
D[i] = 0
continue
# calculate parameters for housholder transformation
H = 0
for k in xrange(0, i):
A[k,i] *= scale_inv
H += A[k,i] * A[k,i]
F = A[i-1,i]
G = ctx.sqrt(H)
if F > 0:
G = -G
E[i] = scale * G
H -= F * G
A[i-1,i] = F - G
F = 0
# apply housholder transformation
for j in xrange(0, i):
if calc_ev:
A[i,j] = A[j,i] / H
G = 0 # calculate A*U
for k in xrange(0, j + 1):
G += A[k,j] * A[k,i]
for k in xrange(j + 1, i):
G += A[j,k] * A[k,i]
E[j] = G / H # calculate P
F += E[j] * A[j,i]
HH = F / (2 * H)
for j in xrange(0, i): # calculate reduced A
F = A[j,i]
G = E[j] - HH * F # calculate Q
E[j] = G
for k in xrange(0, j + 1):
A[k,j] -= F * E[k] + G * A[k,i]
D[i] = H
for i in xrange(1, n): # better for compatibility
E[i-1] = E[i]
E[n-1] = 0
if calc_ev:
D[0] = 0
for i in xrange(0, n):
if D[i] != 0:
for j in xrange(0, i): # accumulate transformation matrices
G = 0
for k in xrange(0, i):
G += A[i,k] * A[k,j]
for k in xrange(0, i):
A[k,j] -= G * A[k,i]
D[i] = A[i,i]
A[i,i] = 1
for j in xrange(0, i):
A[j,i] = A[i,j] = 0
else:
for i in xrange(0, n):
D[i] = A[i,i]
def c_he_tridiag_0(ctx, A, D, E, T):
"""
This routine transforms a complex hermitian matrix A to a real symmetric
tridiagonal matrix T using an unitary similarity transformation:
Q' * A * Q = T (here ' denotes the hermitian matrix transpose,
i.e. transposition und conjugation).
The unitary matrix Q is build up from Householder reflectors and
an unitary diagonal matrix.
parameters:
A (input/output) On input, A contains the complex hermitian matrix
of dimension (n,n). On output, A contains the unitary matrix Q
in compressed form.
D (output) real array of length n, contains the diagonal elements
of the tridiagonal matrix.
E (output) real array of length n, contains the offdiagonal elements
of the tridiagonal matrix in E[0:(n-1)] where is the dimension of
the matrix A. E[n-1] is undefined.
T (output) complex array of length n, contains a unitary diagonal
matrix.
This routine is a python translation (in slightly modified form) of the fortran
routine htridi.f in the software library EISPACK (see netlib.org) which itself
is a complex version of the algol procedure tred1 described in:
- Num. Math. 11, p.181-195 (1968) by Martin, Reinsch and Wilkonson
- Handbook for auto. comp., Vol II, Linear Algebra, p.212-226 (1971)
For a good introduction to Householder reflections, see also
Stoer, Bulirsch - Introduction to Numerical Analysis.
"""
n = A.rows
T[n-1] = 1
for i in xrange(n - 1, 0, -1):
# scale the vector
scale = 0
for k in xrange(0, i):
scale += abs(ctx.re(A[k,i])) + abs(ctx.im(A[k,i]))
scale_inv = 0
if scale != 0:
scale_inv = 1 / scale
# sadly there are floating point numbers not equal to zero whose reciprocal is infinity
if scale == 0 or ctx.isinf(scale_inv):
E[i] = 0
D[i] = 0
T[i-1] = 1
continue
if i == 1:
F = A[i-1,i]
f = abs(F)
E[i] = f
D[i] = 0
if f != 0:
T[i-1] = T[i] * F / f
else:
T[i-1] = T[i]
continue
# calculate parameters for housholder transformation
H = 0
for k in xrange(0, i):
A[k,i] *= scale_inv
rr = ctx.re(A[k,i])
ii = ctx.im(A[k,i])
H += rr * rr + ii * ii
F = A[i-1,i]
f = abs(F)
G = ctx.sqrt(H)
H += G * f
E[i] = scale * G
if f != 0:
F = F / f
TZ = - T[i] * F # T[i-1]=-T[i]*F, but we need T[i-1] as temporary storage
G *= F
else:
TZ = -T[i] # T[i-1]=-T[i]
A[i-1,i] += G
F = 0
# apply housholder transformation
for j in xrange(0, i):
A[i,j] = A[j,i] / H
G = 0 # calculate A*U
for k in xrange(0, j + 1):
G += ctx.conj(A[k,j]) * A[k,i]
for k in xrange(j + 1, i):
G += A[j,k] * A[k,i]
T[j] = G / H # calculate P
F += ctx.conj(T[j]) * A[j,i]
HH = F / (2 * H)
for j in xrange(0, i): # calculate reduced A
F = A[j,i]
G = T[j] - HH * F # calculate Q
T[j] = G
for k in xrange(0, j + 1):
A[k,j] -= ctx.conj(F) * T[k] + ctx.conj(G) * A[k,i]
# as we use the lower left part for storage
# we have to use the transpose of the normal formula
T[i-1] = TZ
D[i] = H
for i in xrange(1, n): # better for compatibility
E[i-1] = E[i]
E[n-1] = 0
D[0] = 0
for i in xrange(0, n):
zw = D[i]
D[i] = ctx.re(A[i,i])
A[i,i] = zw
def c_he_tridiag_1(ctx, A, T):
"""
This routine forms the unitary matrix Q described in c_he_tridiag_0.
parameters:
A (input/output) On input, A is the same matrix as delivered by
c_he_tridiag_0. On output, A is set to Q.
T (input) On input, T is the same array as delivered by c_he_tridiag_0.
"""
n = A.rows
for i in xrange(0, n):
if A[i,i] != 0:
for j in xrange(0, i):
G = 0
for k in xrange(0, i):
G += ctx.conj(A[i,k]) * A[k,j]
for k in xrange(0, i):
A[k,j] -= G * A[k,i]
A[i,i] = 1
for j in xrange(0, i):
A[j,i] = A[i,j] = 0
for i in xrange(0, n):
for k in xrange(0, n):
A[i,k] *= T[k]
def c_he_tridiag_2(ctx, A, T, B):
"""
This routine applied the unitary matrix Q described in c_he_tridiag_0
onto the the matrix B, i.e. it forms Q*B.
parameters:
A (input) On input, A is the same matrix as delivered by c_he_tridiag_0.
T (input) On input, T is the same array as delivered by c_he_tridiag_0.
B (input/output) On input, B is a complex matrix. On output B is replaced
by Q*B.
This routine is a python translation of the fortran routine htribk.f in the
software library EISPACK (see netlib.org). See c_he_tridiag_0 for more
references.
"""
n = A.rows
for i in xrange(0, n):
for k in xrange(0, n):
B[k,i] *= T[k]
for i in xrange(0, n):
if A[i,i] != 0:
for j in xrange(0, n):
G = 0
for k in xrange(0, i):
G += ctx.conj(A[i,k]) * B[k,j]
for k in xrange(0, i):
B[k,j] -= G * A[k,i]
def tridiag_eigen(ctx, d, e, z = False):
"""
This subroutine find the eigenvalues and the first components of the
eigenvectors of a real symmetric tridiagonal matrix using the implicit
QL method.
parameters:
d (input/output) real array of length n. on input, d contains the diagonal
elements of the input matrix. on output, d contains the eigenvalues in
ascending order.
e (input) real array of length n. on input, e contains the offdiagonal
elements of the input matrix in e[0:(n-1)]. On output, e has been
destroyed.
z (input/output) If z is equal to False, no eigenvectors will be computed.
Otherwise on input z should have the format z[0:m,0:n] (i.e. a real or
complex matrix of dimension (m,n) ). On output this matrix will be
multiplied by the matrix of the eigenvectors (i.e. the columns of this
matrix are the eigenvectors): z --> z*EV
That means if z[i,j]={1 if j==j; 0 otherwise} on input, then on output
z will contain the first m components of the eigenvectors. That means
if m is equal to n, the i-th eigenvector will be z[:,i].
This routine is a python translation (in slightly modified form) of the
fortran routine imtql2.f in the software library EISPACK (see netlib.org)
which itself is based on the algol procudure imtql2 desribed in:
- num. math. 12, p. 377-383(1968) by matrin and wilkinson
- modified in num. math. 15, p. 450(1970) by dubrulle
- handbook for auto. comp., vol. II-linear algebra, p. 241-248 (1971)
See also the routine gaussq.f in netlog.org or acm algorithm 726.
"""
n = len(d)
e[n-1] = 0
iterlim = 2 * ctx.dps
for l in xrange(n):
j = 0
while 1:
m = l
while 1:
# look for a small subdiagonal element
if m + 1 == n:
break
if abs(e[m]) <= ctx.eps * (abs(d[m]) + abs(d[m + 1])):
break
m = m + 1
if m == l:
break
if j >= iterlim:
raise RuntimeError("tridiag_eigen: no convergence to an eigenvalue after %d iterations" % iterlim)
j += 1
# form shift
p = d[l]
g = (d[l + 1] - p) / (2 * e[l])
r = ctx.hypot(g, 1)
if g < 0:
s = g - r
else:
s = g + r
g = d[m] - p + e[l] / s
s, c, p = 1, 1, 0
for i in xrange(m - 1, l - 1, -1):
f = s * e[i]
b = c * e[i]
if abs(f) > abs(g): # this here is a slight improvement also used in gaussq.f or acm algorithm 726.
c = g / f
r = ctx.hypot(c, 1)
e[i + 1] = f * r
s = 1 / r
c = c * s
else:
s = f / g
r = ctx.hypot(s, 1)
e[i + 1] = g * r
c = 1 / r
s = s * c
g = d[i + 1] - p
r = (d[i] - g) * s + 2 * c * b
p = s * r
d[i + 1] = g + p
g = c * r - b
if not isinstance(z, bool):
# calculate eigenvectors
for w in xrange(z.rows):
f = z[w,i+1]
z[w,i+1] = s * z[w,i] + c * f
z[w,i ] = c * z[w,i] - s * f
d[l] = d[l] - p
e[l] = g
e[m] = 0
for ii in xrange(1, n):
# sort eigenvalues and eigenvectors (bubble-sort)
i = ii - 1
k = i
p = d[i]
for j in xrange(ii, n):
if d[j] >= p:
continue
k = j
p = d[k]
if k == i:
continue
d[k] = d[i]
d[i] = p
if not isinstance(z, bool):
for w in xrange(z.rows):
p = z[w,i]
z[w,i] = z[w,k]
z[w,k] = p
########################################################################################
@defun
def eigsy(ctx, A, eigvals_only = False, overwrite_a = False):
"""
This routine solves the (ordinary) eigenvalue problem for a real symmetric
square matrix A. Given A, an orthogonal matrix Q is calculated which
diagonalizes A:
Q' A Q = diag(E) and Q Q' = Q' Q = 1
Here diag(E) is a diagonal matrix whose diagonal is E.
' denotes the transpose.
The columns of Q are the eigenvectors of A and E contains the eigenvalues:
A Q[:,i] = E[i] Q[:,i]
input:
A: real matrix of format (n,n) which is symmetric
(i.e. A=A' or A[i,j]=A[j,i])
eigvals_only: if true, calculates only the eigenvalues E.
if false, calculates both eigenvectors and eigenvalues.
overwrite_a: if true, allows modification of A which may improve
performance. if false, A is not modified.
output:
E: vector of format (n). contains the eigenvalues of A in ascending order.
Q: orthogonal matrix of format (n,n). contains the eigenvectors
of A as columns.
return value:
E if eigvals_only is true
(E, Q) if eigvals_only is false
example:
>>> from mpmath import mp
>>> A = mp.matrix([[3, 2], [2, 0]])
>>> E = mp.eigsy(A, eigvals_only = True)
>>> print(E)
[-1.0]
[ 4.0]
>>> A = mp.matrix([[1, 2], [2, 3]])
>>> E, Q = mp.eigsy(A)
>>> print(mp.chop(A * Q[:,0] - E[0] * Q[:,0]))
[0.0]
[0.0]
see also: eighe, eigh, eig
"""
if not overwrite_a:
A = A.copy()
d = ctx.zeros(A.rows, 1)
e = ctx.zeros(A.rows, 1)
if eigvals_only:
r_sy_tridiag(ctx, A, d, e, calc_ev = False)
tridiag_eigen(ctx, d, e, False)
return d
else:
r_sy_tridiag(ctx, A, d, e, calc_ev = True)
tridiag_eigen(ctx, d, e, A)
return (d, A)
@defun
def eighe(ctx, A, eigvals_only = False, overwrite_a = False):
"""
This routine solves the (ordinary) eigenvalue problem for a complex
hermitian square matrix A. Given A, an unitary matrix Q is calculated which
diagonalizes A:
Q' A Q = diag(E) and Q Q' = Q' Q = 1
Here diag(E) a is diagonal matrix whose diagonal is E.
' denotes the hermitian transpose (i.e. ordinary transposition and
complex conjugation).
The columns of Q are the eigenvectors of A and E contains the eigenvalues:
A Q[:,i] = E[i] Q[:,i]
input:
A: complex matrix of format (n,n) which is hermitian
(i.e. A=A' or A[i,j]=conj(A[j,i]))
eigvals_only: if true, calculates only the eigenvalues E.
if false, calculates both eigenvectors and eigenvalues.
overwrite_a: if true, allows modification of A which may improve
performance. if false, A is not modified.
output:
E: vector of format (n). contains the eigenvalues of A in ascending order.
Q: unitary matrix of format (n,n). contains the eigenvectors
of A as columns.
return value:
E if eigvals_only is true
(E, Q) if eigvals_only is false
example:
>>> from mpmath import mp
>>> A = mp.matrix([[1, -3 - 1j], [-3 + 1j, -2]])
>>> E = mp.eighe(A, eigvals_only = True)
>>> print(E)
[-4.0]
[ 3.0]
>>> A = mp.matrix([[1, 2 + 5j], [2 - 5j, 3]])
>>> E, Q = mp.eighe(A)
>>> print(mp.chop(A * Q[:,0] - E[0] * Q[:,0]))
[0.0]
[0.0]
see also: eigsy, eigh, eig
"""
if not overwrite_a:
A = A.copy()
d = ctx.zeros(A.rows, 1)
e = ctx.zeros(A.rows, 1)
t = ctx.zeros(A.rows, 1)
if eigvals_only:
c_he_tridiag_0(ctx, A, d, e, t)
tridiag_eigen(ctx, d, e, False)
return d
else:
c_he_tridiag_0(ctx, A, d, e, t)
B = ctx.eye(A.rows)
tridiag_eigen(ctx, d, e, B)
c_he_tridiag_2(ctx, A, t, B)
return (d, B)
@defun
def eigh(ctx, A, eigvals_only = False, overwrite_a = False):
"""
"eigh" is a unified interface for "eigsy" and "eighe". Depending on
whether A is real or complex the appropriate function is called.
This routine solves the (ordinary) eigenvalue problem for a real symmetric
or complex hermitian square matrix A. Given A, an orthogonal (A real) or
unitary (A complex) matrix Q is calculated which diagonalizes A:
Q' A Q = diag(E) and Q Q' = Q' Q = 1
Here diag(E) a is diagonal matrix whose diagonal is E.
' denotes the hermitian transpose (i.e. ordinary transposition and
complex conjugation).
The columns of Q are the eigenvectors of A and E contains the eigenvalues:
A Q[:,i] = E[i] Q[:,i]
input:
A: a real or complex square matrix of format (n,n) which is symmetric
(i.e. A[i,j]=A[j,i]) or hermitian (i.e. A[i,j]=conj(A[j,i])).
eigvals_only: if true, calculates only the eigenvalues E.
if false, calculates both eigenvectors and eigenvalues.
overwrite_a: if true, allows modification of A which may improve
performance. if false, A is not modified.
output:
E: vector of format (n). contains the eigenvalues of A in ascending order.
Q: an orthogonal or unitary matrix of format (n,n). contains the
eigenvectors of A as columns.
return value:
E if eigvals_only is true
(E, Q) if eigvals_only is false
example:
>>> from mpmath import mp
>>> A = mp.matrix([[3, 2], [2, 0]])
>>> E = mp.eigh(A, eigvals_only = True)
>>> print(E)
[-1.0]
[ 4.0]
>>> A = mp.matrix([[1, 2], [2, 3]])
>>> E, Q = mp.eigh(A)
>>> print(mp.chop(A * Q[:,0] - E[0] * Q[:,0]))
[0.0]
[0.0]
>>> A = mp.matrix([[1, 2 + 5j], [2 - 5j, 3]])
>>> E, Q = mp.eigh(A)
>>> print(mp.chop(A * Q[:,0] - E[0] * Q[:,0]))
[0.0]
[0.0]
see also: eigsy, eighe, eig
"""
iscomplex = any(type(x) is ctx.mpc for x in A)
if iscomplex:
return ctx.eighe(A, eigvals_only = eigvals_only, overwrite_a = overwrite_a)
else:
return ctx.eigsy(A, eigvals_only = eigvals_only, overwrite_a = overwrite_a)
@defun
def gauss_quadrature(ctx, n, qtype = "legendre", alpha = 0, beta = 0):
"""
This routine calulates gaussian quadrature rules for different
families of orthogonal polynomials. Let (a, b) be an interval,
W(x) a positive weight function and n a positive integer.
Then the purpose of this routine is to calculate pairs (x_k, w_k)
for k=0, 1, 2, ... (n-1) which give
int(W(x) * F(x), x = a..b) = sum(w_k * F(x_k),k = 0..(n-1))
exact for all polynomials F(x) of degree (strictly) less than 2*n. For all
integrable functions F(x) the sum is a (more or less) good approximation to
the integral. The x_k are called nodes (which are the zeros of the
related orthogonal polynomials) and the w_k are called the weights.
parameters
n (input) The degree of the quadrature rule, i.e. its number of
nodes.
qtype (input) The family of orthogonal polynmomials for which to
compute the quadrature rule. See the list below.
alpha (input) real number, used as parameter for some orthogonal
polynomials
beta (input) real number, used as parameter for some orthogonal
polynomials.
return value
(X, W) a pair of two real arrays where x_k = X[k] and w_k = W[k].
orthogonal polynomials:
qtype polynomial
----- ----------
"legendre" Legendre polynomials, W(x)=1 on the interval (-1, +1)
"legendre01" shifted Legendre polynomials, W(x)=1 on the interval (0, +1)
"hermite" Hermite polynomials, W(x)=exp(-x*x) on (-infinity,+infinity)
"laguerre" Laguerre polynomials, W(x)=exp(-x) on (0,+infinity)
"glaguerre" generalized Laguerre polynomials, W(x)=exp(-x)*x**alpha
on (0, +infinity)
"chebyshev1" Chebyshev polynomials of the first kind, W(x)=1/sqrt(1-x*x)
on (-1, +1)
"chebyshev2" Chebyshev polynomials of the second kind, W(x)=sqrt(1-x*x)
on (-1, +1)
"jacobi" Jacobi polynomials, W(x)=(1-x)**alpha * (1+x)**beta on (-1, +1)
with alpha>-1 and beta>-1
examples:
>>> from mpmath import mp
>>> f = lambda x: x**8 + 2 * x**6 - 3 * x**4 + 5 * x**2 - 7
>>> X, W = mp.gauss_quadrature(5, "hermite")
>>> A = mp.fdot([(f(x), w) for x, w in zip(X, W)])
>>> B = mp.sqrt(mp.pi) * 57 / 16
>>> C = mp.quad(lambda x: mp.exp(- x * x) * f(x), [-mp.inf, +mp.inf])
>>> mp.nprint((mp.chop(A-B, tol = 1e-10), mp.chop(A-C, tol = 1e-10)))
(0.0, 0.0)
>>> f = lambda x: x**5 - 2 * x**4 + 3 * x**3 - 5 * x**2 + 7 * x - 11
>>> X, W = mp.gauss_quadrature(3, "laguerre")
>>> A = mp.fdot([(f(x), w) for x, w in zip(X, W)])
>>> B = 76
>>> C = mp.quad(lambda x: mp.exp(-x) * f(x), [0, +mp.inf])
>>> mp.nprint(mp.chop(A-B, tol = 1e-10), mp.chop(A-C, tol = 1e-10))
.0
# orthogonality of the chebyshev polynomials:
>>> f = lambda x: mp.chebyt(3, x) * mp.chebyt(2, x)
>>> X, W = mp.gauss_quadrature(3, "chebyshev1")
>>> A = mp.fdot([(f(x), w) for x, w in zip(X, W)])
>>> print(mp.chop(A, tol = 1e-10))
0.0
references:
- golub and welsch, "calculations of gaussian quadrature rules", mathematics of
computation 23, p. 221-230 (1969)
- golub, "some modified matrix eigenvalue problems", siam review 15, p. 318-334 (1973)
- stroud and secrest, "gaussian quadrature formulas", prentice-hall (1966)
See also the routine gaussq.f in netlog.org or ACM Transactions on
Mathematical Software algorithm 726.
"""
d = ctx.zeros(n, 1)
e = ctx.zeros(n, 1)
z = ctx.zeros(1, n)
z[0,0] = 1
if qtype == "legendre":
# legendre on the range -1 +1 , abramowitz, table 25.4, p.916
w = 2
for i in xrange(n):
j = i + 1
e[i] = ctx.sqrt(j * j / (4 * j * j - ctx.mpf(1)))
elif qtype == "legendre01":
# legendre shifted to 0 1 , abramowitz, table 25.8, p.921
w = 1
for i in xrange(n):
d[i] = 1 / ctx.mpf(2)
j = i + 1
e[i] = ctx.sqrt(j * j / (16 * j * j - ctx.mpf(4)))
elif qtype == "hermite":
# hermite on the range -inf +inf , abramowitz, table 25.10,p.924
w = ctx.sqrt(ctx.pi)
for i in xrange(n):
j = i + 1
e[i] = ctx.sqrt(j / ctx.mpf(2))
elif qtype == "laguerre":
# laguerre on the range 0 +inf , abramowitz, table 25.9, p. 923
w = 1
for i in xrange(n):
j = i + 1
d[i] = 2 * j - 1
e[i] = j
elif qtype=="chebyshev1":
# chebyshev polynimials of the first kind
w = ctx.pi
for i in xrange(n):
e[i] = 1 / ctx.mpf(2)
e[0] = ctx.sqrt(1 / ctx.mpf(2))
elif qtype == "chebyshev2":
# chebyshev polynimials of the second kind
w = ctx.pi / 2
for i in xrange(n):
e[i] = 1 / ctx.mpf(2)
elif qtype == "glaguerre":
# generalized laguerre on the range 0 +inf
w = ctx.gamma(1 + alpha)
for i in xrange(n):
j = i + 1
d[i] = 2 * j - 1 + alpha
e[i] = ctx.sqrt(j * (j + alpha))
elif qtype == "jacobi":
# jacobi polynomials
alpha = ctx.mpf(alpha)
beta = ctx.mpf(beta)
ab = alpha + beta
abi = ab + 2
w = (2**(ab+1)) * ctx.gamma(alpha + 1) * ctx.gamma(beta + 1) / ctx.gamma(abi)
d[0] = (beta - alpha) / abi
e[0] = ctx.sqrt(4 * (1 + alpha) * (1 + beta) / ((abi + 1) * (abi * abi)))
a2b2 = beta * beta - alpha * alpha
for i in xrange(1, n):
j = i + 1
abi = 2 * j + ab
d[i] = a2b2 / ((abi - 2) * abi)
e[i] = ctx.sqrt(4 * j * (j + alpha) * (j + beta) * (j + ab) / ((abi * abi - 1) * abi * abi))
elif isinstance(qtype, str):
raise ValueError("unknown quadrature rule \"%s\"" % qtype)
elif not isinstance(qtype, str):
w = qtype(d, e)
else:
assert 0
tridiag_eigen(ctx, d, e, z)
for i in xrange(len(z)):
z[i] *= z[i]
z = z.transpose()
return (d, w * z)
##################################################################################################
##################################################################################################
##################################################################################################
def svd_r_raw(ctx, A, V = False, calc_u = False):
"""
This routine computes the singular value decomposition of a matrix A.
Given A, two orthogonal matrices U and V are calculated such that
A = U S V
where S is a suitable shaped matrix whose off-diagonal elements are zero.
The diagonal elements of S are the singular values of A, i.e. the
squareroots of the eigenvalues of A' A or A A'. Here ' denotes the transpose.
Householder bidiagonalization and a variant of the QR algorithm is used.
overview of the matrices :
A : m*n A gets replaced by U
U : m*n U replaces A. If n>m then only the first m*m block of U is
non-zero. column-orthogonal: U' U = B
here B is a n*n matrix whose first min(m,n) diagonal
elements are 1 and all other elements are zero.
S : n*n diagonal matrix, only the diagonal elements are stored in
the array S. only the first min(m,n) diagonal elements are non-zero.
V : n*n orthogonal: V V' = V' V = 1
parameters:
A (input/output) On input, A contains a real matrix of shape m*n.
On output, if calc_u is true A contains the column-orthogonal
matrix U; otherwise A is simply used as workspace and thus destroyed.
V (input/output) if false, the matrix V is not calculated. otherwise
V must be a matrix of shape n*n.
calc_u (input) If true, the matrix U is calculated and replaces A.
if false, U is not calculated and A is simply destroyed
return value:
S an array of length n containing the singular values of A sorted by
decreasing magnitude. only the first min(m,n) elements are non-zero.
This routine is a python translation of the fortran routine svd.f in the
software library EISPACK (see netlib.org) which itself is based on the
algol procedure svd described in:
- num. math. 14, 403-420(1970) by golub and reinsch.
- wilkinson/reinsch: handbook for auto. comp., vol ii-linear algebra, 134-151(1971).
"""
m, n = A.rows, A.cols
S = ctx.zeros(n, 1)
# work is a temporary array of size n
work = ctx.zeros(n, 1)
g = scale = anorm = 0
maxits = 3 * ctx.dps
for i in xrange(n): # householder reduction to bidiagonal form
work[i] = scale*g
g = s = scale = 0
if i < m:
for k in xrange(i, m):
scale += ctx.fabs(A[k,i])
if scale != 0:
for k in xrange(i, m):
A[k,i] /= scale
s += A[k,i] * A[k,i]
f = A[i,i]
g = -ctx.sqrt(s)
if f < 0:
g = -g
h = f * g - s
A[i,i] = f - g
for j in xrange(i+1, n):
s = 0
for k in xrange(i, m):
s += A[k,i] * A[k,j]
f = s / h
for k in xrange(i, m):
A[k,j] += f * A[k,i]
for k in xrange(i,m):
A[k,i] *= scale
S[i] = scale * g
g = s = scale = 0
if i < m and i != n - 1:
for k in xrange(i+1, n):
scale += ctx.fabs(A[i,k])
if scale:
for k in xrange(i+1, n):
A[i,k] /= scale
s += A[i,k] * A[i,k]
f = A[i,i+1]
g = -ctx.sqrt(s)
if f < 0:
g = -g
h = f * g - s
A[i,i+1] = f - g
for k in xrange(i+1, n):
work[k] = A[i,k] / h
for j in xrange(i+1, m):
s = 0
for k in xrange(i+1, n):
s += A[j,k] * A[i,k]
for k in xrange(i+1, n):
A[j,k] += s * work[k]
for k in xrange(i+1, n):
A[i,k] *= scale
anorm = max(anorm, ctx.fabs(S[i]) + ctx.fabs(work[i]))
if not isinstance(V, bool):
for i in xrange(n-2, -1, -1): # accumulation of right hand transformations
V[i+1,i+1] = 1
if work[i+1] != 0:
for j in xrange(i+1, n):
V[i,j] = (A[i,j] / A[i,i+1]) / work[i+1]
for j in xrange(i+1, n):
s = 0
for k in xrange(i+1, n):
s += A[i,k] * V[j,k]
for k in xrange(i+1, n):
V[j,k] += s * V[i,k]
for j in xrange(i+1, n):
V[j,i] = V[i,j] = 0
V[0,0] = 1
if m<n : minnm = m
else : minnm = n
if calc_u:
for i in xrange(minnm-1, -1, -1): # accumulation of left hand transformations
g = S[i]
for j in xrange(i+1, n):
A[i,j] = 0
if g != 0:
g = 1 / g
for j in xrange(i+1, n):
s = 0
for k in xrange(i+1, m):
s += A[k,i] * A[k,j]
f = (s / A[i,i]) * g
for k in xrange(i, m):
A[k,j] += f * A[k,i]
for j in xrange(i, m):
A[j,i] *= g
else:
for j in xrange(i, m):
A[j,i] = 0
A[i,i] += 1
for k in xrange(n - 1, -1, -1):
# diagonalization of the bidiagonal form:
# loop over singular values, and over allowed itations
its = 0
while 1:
its += 1
flag = True
for l in xrange(k, -1, -1):
nm = l-1
if ctx.fabs(work[l]) + anorm == anorm:
flag = False
break
if ctx.fabs(S[nm]) + anorm == anorm:
break
if flag:
c = 0
s = 1
for i in xrange(l, k + 1):
f = s * work[i]
work[i] *= c
if ctx.fabs(f) + anorm == anorm:
break
g = S[i]
h = ctx.hypot(f, g)
S[i] = h
h = 1 / h
c = g * h
s = - f * h
if calc_u:
for j in xrange(m):
y = A[j,nm]
z = A[j,i]
A[j,nm] = y * c + z * s
A[j,i] = z * c - y * s
z = S[k]
if l == k: # convergence
if z < 0: # singular value is made nonnegative
S[k] = -z
if not isinstance(V, bool):
for j in xrange(n):
V[k,j] = -V[k,j]
break
if its >= maxits:
raise RuntimeError("svd: no convergence to an eigenvalue after %d iterations" % its)
x = S[l] # shift from bottom 2 by 2 minor
nm = k-1
y = S[nm]
g = work[nm]
h = work[k]
f = ((y - z) * (y + z) + (g - h) * (g + h))/(2 * h * y)
g = ctx.hypot(f, 1)
if f >= 0: f = ((x - z) * (x + z) + h * ((y / (f + g)) - h)) / x
else: f = ((x - z) * (x + z) + h * ((y / (f - g)) - h)) / x
c = s = 1 # next qt transformation
for j in xrange(l, nm + 1):
g = work[j+1]
y = S[j+1]
h = s * g
g = c * g
z = ctx.hypot(f, h)
work[j] = z
c = f / z
s = h / z
f = x * c + g * s
g = g * c - x * s
h = y * s
y *= c
if not isinstance(V, bool):
for jj in xrange(n):
x = V[j ,jj]
z = V[j+1,jj]
V[j ,jj]= x * c + z * s
V[j+1 ,jj]= z * c - x * s
z = ctx.hypot(f, h)
S[j] = z
if z != 0: # rotation can be arbitray if z=0
z = 1 / z
c = f * z
s = h * z
f = c * g + s * y
x = c * y - s * g
if calc_u:
for jj in xrange(m):
y = A[jj,j ]
z = A[jj,j+1]
A[jj,j ] = y * c + z * s
A[jj,j+1 ] = z * c - y * s
work[l] = 0
work[k] = f
S[k] = x
##########################
# Sort singular values into decreasing order (bubble-sort)
for i in xrange(n):
imax = i
s = ctx.fabs(S[i]) # s is the current maximal element
for j in xrange(i + 1, n):
c = ctx.fabs(S[j])
if c > s:
s = c
imax = j
if imax != i:
# swap singular values
z = S[i]
S[i] = S[imax]
S[imax] = z
if calc_u:
for j in xrange(m):
z = A[j,i]
A[j,i] = A[j,imax]
A[j,imax] = z
if not isinstance(V, bool):
for j in xrange(n):
z = V[i,j]
V[i,j] = V[imax,j]
V[imax,j] = z
return S
#######################
def svd_c_raw(ctx, A, V = False, calc_u = False):
"""
This routine computes the singular value decomposition of a matrix A.
Given A, two unitary matrices U and V are calculated such that
A = U S V
where S is a suitable shaped matrix whose off-diagonal elements are zero.
The diagonal elements of S are the singular values of A, i.e. the
squareroots of the eigenvalues of A' A or A A'. Here ' denotes the hermitian
transpose (i.e. transposition and conjugation). Householder bidiagonalization
and a variant of the QR algorithm is used.
overview of the matrices :
A : m*n A gets replaced by U
U : m*n U replaces A. If n>m then only the first m*m block of U is
non-zero. column-unitary: U' U = B
here B is a n*n matrix whose first min(m,n) diagonal
elements are 1 and all other elements are zero.
S : n*n diagonal matrix, only the diagonal elements are stored in
the array S. only the first min(m,n) diagonal elements are non-zero.
V : n*n unitary: V V' = V' V = 1
parameters:
A (input/output) On input, A contains a complex matrix of shape m*n.
On output, if calc_u is true A contains the column-unitary
matrix U; otherwise A is simply used as workspace and thus destroyed.
V (input/output) if false, the matrix V is not calculated. otherwise
V must be a matrix of shape n*n.
calc_u (input) If true, the matrix U is calculated and replaces A.
if false, U is not calculated and A is simply destroyed
return value:
S an array of length n containing the singular values of A sorted by
decreasing magnitude. only the first min(m,n) elements are non-zero.
This routine is a python translation of the fortran routine svd.f in the
software library EISPACK (see netlib.org) which itself is based on the
algol procedure svd described in:
- num. math. 14, 403-420(1970) by golub and reinsch.
- wilkinson/reinsch: handbook for auto. comp., vol ii-linear algebra, 134-151(1971).
"""
m, n = A.rows, A.cols
S = ctx.zeros(n, 1)
# work is a temporary array of size n
work = ctx.zeros(n, 1)
lbeta = ctx.zeros(n, 1)
rbeta = ctx.zeros(n, 1)
dwork = ctx.zeros(n, 1)
g = scale = anorm = 0
maxits = 3 * ctx.dps
for i in xrange(n): # householder reduction to bidiagonal form
dwork[i] = scale * g # dwork are the side-diagonal elements
g = s = scale = 0
if i < m:
for k in xrange(i, m):
scale += ctx.fabs(ctx.re(A[k,i])) + ctx.fabs(ctx.im(A[k,i]))
if scale != 0:
for k in xrange(i, m):
A[k,i] /= scale
ar = ctx.re(A[k,i])
ai = ctx.im(A[k,i])
s += ar * ar + ai * ai
f = A[i,i]
g = -ctx.sqrt(s)
if ctx.re(f) < 0:
beta = -g - ctx.conj(f)
g = -g
else:
beta = -g + ctx.conj(f)
beta /= ctx.conj(beta)
beta += 1
h = 2 * (ctx.re(f) * g - s)
A[i,i] = f - g
beta /= h
lbeta[i] = (beta / scale) / scale
for j in xrange(i+1, n):
s = 0
for k in xrange(i, m):
s += ctx.conj(A[k,i]) * A[k,j]
f = beta * s
for k in xrange(i, m):
A[k,j] += f * A[k,i]
for k in xrange(i, m):
A[k,i] *= scale
S[i] = scale * g # S are the diagonal elements
g = s = scale = 0
if i < m and i != n - 1:
for k in xrange(i+1, n):
scale += ctx.fabs(ctx.re(A[i,k])) + ctx.fabs(ctx.im(A[i,k]))
if scale:
for k in xrange(i+1, n):
A[i,k] /= scale
ar = ctx.re(A[i,k])
ai = ctx.im(A[i,k])
s += ar * ar + ai * ai
f = A[i,i+1]
g = -ctx.sqrt(s)
if ctx.re(f) < 0:
beta = -g - ctx.conj(f)
g = -g
else:
beta = -g + ctx.conj(f)
beta /= ctx.conj(beta)
beta += 1
h = 2 * (ctx.re(f) * g - s)
A[i,i+1] = f - g
beta /= h
rbeta[i] = (beta / scale) / scale
for k in xrange(i+1, n):
work[k] = A[i, k]
for j in xrange(i+1, m):
s = 0
for k in xrange(i+1, n):
s += ctx.conj(A[i,k]) * A[j,k]
f = s * beta
for k in xrange(i+1,n):
A[j,k] += f * work[k]
for k in xrange(i+1, n):
A[i,k] *= scale
anorm = max(anorm,ctx.fabs(S[i]) + ctx.fabs(dwork[i]))
if not isinstance(V, bool):
for i in xrange(n-2, -1, -1): # accumulation of right hand transformations
V[i+1,i+1] = 1
if dwork[i+1] != 0:
f = ctx.conj(rbeta[i])
for j in xrange(i+1, n):
V[i,j] = A[i,j] * f
for j in xrange(i+1, n):
s = 0
for k in xrange(i+1, n):
s += ctx.conj(A[i,k]) * V[j,k]
for k in xrange(i+1, n):
V[j,k] += s * V[i,k]
for j in xrange(i+1,n):
V[j,i] = V[i,j] = 0
V[0,0] = 1
if m < n : minnm = m
else : minnm = n
if calc_u:
for i in xrange(minnm-1, -1, -1): # accumulation of left hand transformations
g = S[i]
for j in xrange(i+1, n):
A[i,j] = 0
if g != 0:
g = 1 / g
for j in xrange(i+1, n):
s = 0
for k in xrange(i+1, m):
s += ctx.conj(A[k,i]) * A[k,j]
f = s * ctx.conj(lbeta[i])
for k in xrange(i, m):
A[k,j] += f * A[k,i]
for j in xrange(i, m):
A[j,i] *= g
else:
for j in xrange(i, m):
A[j,i] = 0
A[i,i] += 1
for k in xrange(n-1, -1, -1):
# diagonalization of the bidiagonal form:
# loop over singular values, and over allowed itations
its = 0
while 1:
its += 1
flag = True
for l in xrange(k, -1, -1):
nm = l - 1
if ctx.fabs(dwork[l]) + anorm == anorm:
flag = False
break
if ctx.fabs(S[nm]) + anorm == anorm:
break
if flag:
c = 0
s = 1
for i in xrange(l, k+1):
f = s * dwork[i]
dwork[i] *= c
if ctx.fabs(f) + anorm == anorm:
break
g = S[i]
h = ctx.hypot(f, g)
S[i] = h
h = 1 / h
c = g * h
s = -f * h
if calc_u:
for j in xrange(m):
y = A[j,nm]
z = A[j,i]
A[j,nm]= y * c + z * s
A[j,i] = z * c - y * s
z = S[k]
if l == k: # convergence
if z < 0: # singular value is made nonnegative
S[k] = -z
if not isinstance(V, bool):
for j in xrange(n):
V[k,j] = -V[k,j]
break
if its >= maxits:
raise RuntimeError("svd: no convergence to an eigenvalue after %d iterations" % its)
x = S[l] # shift from bottom 2 by 2 minor
nm = k-1
y = S[nm]
g = dwork[nm]
h = dwork[k]
f = ((y - z) * (y + z) + (g - h) * (g + h)) / (2 * h * y)
g = ctx.hypot(f, 1)
if f >=0: f = (( x - z) *( x + z) + h *((y / (f + g)) - h)) / x
else: f = (( x - z) *( x + z) + h *((y / (f - g)) - h)) / x
c = s = 1 # next qt transformation
for j in xrange(l, nm + 1):
g = dwork[j+1]
y = S[j+1]
h = s * g
g = c * g
z = ctx.hypot(f, h)
dwork[j] = z
c = f / z
s = h / z
f = x * c + g * s
g = g * c - x * s
h = y * s
y *= c
if not isinstance(V, bool):
for jj in xrange(n):
x = V[j ,jj]
z = V[j+1,jj]
V[j ,jj]= x * c + z * s
V[j+1,jj ]= z * c - x * s
z = ctx.hypot(f, h)
S[j] = z
if z != 0: # rotation can be arbitray if z=0
z = 1 / z
c = f * z
s = h * z
f = c * g + s * y
x = c * y - s * g
if calc_u:
for jj in xrange(m):
y = A[jj,j ]
z = A[jj,j+1]
A[jj,j ]= y * c + z * s
A[jj,j+1 ]= z * c - y * s
dwork[l] = 0
dwork[k] = f
S[k] = x
##########################
# Sort singular values into decreasing order (bubble-sort)
for i in xrange(n):
imax = i
s = ctx.fabs(S[i]) # s is the current maximal element
for j in xrange(i + 1, n):
c = ctx.fabs(S[j])
if c > s:
s = c
imax = j
if imax != i:
# swap singular values
z = S[i]
S[i] = S[imax]
S[imax] = z
if calc_u:
for j in xrange(m):
z = A[j,i]
A[j,i] = A[j,imax]
A[j,imax] = z
if not isinstance(V, bool):
for j in xrange(n):
z = V[i,j]
V[i,j] = V[imax,j]
V[imax,j] = z
return S
##################################################################################################
@defun
def svd_r(ctx, A, full_matrices = False, compute_uv = True, overwrite_a = False):
"""
This routine computes the singular value decomposition of a matrix A.
Given A, two orthogonal matrices U and V are calculated such that
A = U S V and U' U = 1 and V V' = 1
where S is a suitable shaped matrix whose off-diagonal elements are zero.
Here ' denotes the transpose. The diagonal elements of S are the singular
values of A, i.e. the squareroots of the eigenvalues of A' A or A A'.
input:
A : a real matrix of shape (m, n)
full_matrices : if true, U and V are of shape (m, m) and (n, n).
if false, U and V are of shape (m, min(m, n)) and (min(m, n), n).
compute_uv : if true, U and V are calculated. if false, only S is calculated.
overwrite_a : if true, allows modification of A which may improve
performance. if false, A is not modified.
output:
U : an orthogonal matrix: U' U = 1. if full_matrices is true, U is of
shape (m, m). ortherwise it is of shape (m, min(m, n)).
S : an array of length min(m, n) containing the singular values of A sorted by
decreasing magnitude.
V : an orthogonal matrix: V V' = 1. if full_matrices is true, V is of
shape (n, n). ortherwise it is of shape (min(m, n), n).
return value:
S if compute_uv is false
(U, S, V) if compute_uv is true
overview of the matrices:
full_matrices true:
A : m*n
U : m*m U' U = 1
S as matrix : m*n
V : n*n V V' = 1
full_matrices false:
A : m*n
U : m*min(n,m) U' U = 1
S as matrix : min(m,n)*min(m,n)
V : min(m,n)*n V V' = 1
examples:
>>> from mpmath import mp
>>> A = mp.matrix([[2, -2, -1], [3, 4, -2], [-2, -2, 0]])
>>> S = mp.svd_r(A, compute_uv = False)
>>> print(S)
[6.0]
[3.0]
[1.0]
>>> U, S, V = mp.svd_r(A)
>>> print(mp.chop(A - U * mp.diag(S) * V))
[0.0 0.0 0.0]
[0.0 0.0 0.0]
[0.0 0.0 0.0]
see also: svd, svd_c
"""
m, n = A.rows, A.cols
if not compute_uv:
if not overwrite_a:
A = A.copy()
S = svd_r_raw(ctx, A, V = False, calc_u = False)
S = S[:min(m,n)]
return S
if full_matrices and n < m:
V = ctx.zeros(m, m)
A0 = ctx.zeros(m, m)
A0[:,:n] = A
S = svd_r_raw(ctx, A0, V, calc_u = True)
S = S[:n]
V = V[:n,:n]
return (A0, S, V)
else:
if not overwrite_a:
A = A.copy()
V = ctx.zeros(n, n)
S = svd_r_raw(ctx, A, V, calc_u = True)
if n > m:
if full_matrices == False:
V = V[:m,:]
S = S[:m]
A = A[:,:m]
return (A, S, V)
##############################
@defun
def svd_c(ctx, A, full_matrices = False, compute_uv = True, overwrite_a = False):
"""
This routine computes the singular value decomposition of a matrix A.
Given A, two unitary matrices U and V are calculated such that
A = U S V and U' U = 1 and V V' = 1
where S is a suitable shaped matrix whose off-diagonal elements are zero.
Here ' denotes the hermitian transpose (i.e. transposition and complex
conjugation). The diagonal elements of S are the singular values of A,
i.e. the squareroots of the eigenvalues of A' A or A A'.
input:
A : a complex matrix of shape (m, n)
full_matrices : if true, U and V are of shape (m, m) and (n, n).
if false, U and V are of shape (m, min(m, n)) and (min(m, n), n).
compute_uv : if true, U and V are calculated. if false, only S is calculated.
overwrite_a : if true, allows modification of A which may improve
performance. if false, A is not modified.
output:
U : an unitary matrix: U' U = 1. if full_matrices is true, U is of
shape (m, m). ortherwise it is of shape (m, min(m, n)).
S : an array of length min(m, n) containing the singular values of A sorted by
decreasing magnitude.
V : an unitary matrix: V V' = 1. if full_matrices is true, V is of
shape (n, n). ortherwise it is of shape (min(m, n), n).
return value:
S if compute_uv is false
(U, S, V) if compute_uv is true
overview of the matrices:
full_matrices true:
A : m*n
U : m*m U' U = 1
S as matrix : m*n
V : n*n V V' = 1
full_matrices false:
A : m*n
U : m*min(n,m) U' U = 1
S as matrix : min(m,n)*min(m,n)
V : min(m,n)*n V V' = 1
example:
>>> from mpmath import mp
>>> A = mp.matrix([[-2j, -1-3j, -2+2j], [2-2j, -1-3j, 1], [-3+1j,-2j,0]])
>>> S = mp.svd_c(A, compute_uv = False)
>>> print(mp.chop(S - mp.matrix([mp.sqrt(34), mp.sqrt(15), mp.sqrt(6)])))
[0.0]
[0.0]
[0.0]
>>> U, S, V = mp.svd_c(A)
>>> print(mp.chop(A - U * mp.diag(S) * V))
[0.0 0.0 0.0]
[0.0 0.0 0.0]
[0.0 0.0 0.0]
see also: svd, svd_r
"""
m, n = A.rows, A.cols
if not compute_uv:
if not overwrite_a:
A = A.copy()
S = svd_c_raw(ctx, A, V = False, calc_u = False)
S = S[:min(m,n)]
return S
if full_matrices and n < m:
V = ctx.zeros(m, m)
A0 = ctx.zeros(m, m)
A0[:,:n] = A
S = svd_c_raw(ctx, A0, V, calc_u = True)
S = S[:n]
V = V[:n,:n]
return (A0, S, V)
else:
if not overwrite_a:
A = A.copy()
V = ctx.zeros(n, n)
S = svd_c_raw(ctx, A, V, calc_u = True)
if n > m:
if full_matrices == False:
V = V[:m,:]
S = S[:m]
A = A[:,:m]
return (A, S, V)
@defun
def svd(ctx, A, full_matrices = False, compute_uv = True, overwrite_a = False):
"""
"svd" is a unified interface for "svd_r" and "svd_c". Depending on
whether A is real or complex the appropriate function is called.
This routine computes the singular value decomposition of a matrix A.
Given A, two orthogonal (A real) or unitary (A complex) matrices U and V
are calculated such that
A = U S V and U' U = 1 and V V' = 1
where S is a suitable shaped matrix whose off-diagonal elements are zero.
Here ' denotes the hermitian transpose (i.e. transposition and complex
conjugation). The diagonal elements of S are the singular values of A,
i.e. the squareroots of the eigenvalues of A' A or A A'.
input:
A : a real or complex matrix of shape (m, n)
full_matrices : if true, U and V are of shape (m, m) and (n, n).
if false, U and V are of shape (m, min(m, n)) and (min(m, n), n).
compute_uv : if true, U and V are calculated. if false, only S is calculated.
overwrite_a : if true, allows modification of A which may improve
performance. if false, A is not modified.
output:
U : an orthogonal or unitary matrix: U' U = 1. if full_matrices is true, U is of
shape (m, m). ortherwise it is of shape (m, min(m, n)).
S : an array of length min(m, n) containing the singular values of A sorted by
decreasing magnitude.
V : an orthogonal or unitary matrix: V V' = 1. if full_matrices is true, V is of
shape (n, n). ortherwise it is of shape (min(m, n), n).
return value:
S if compute_uv is false
(U, S, V) if compute_uv is true
overview of the matrices:
full_matrices true:
A : m*n
U : m*m U' U = 1
S as matrix : m*n
V : n*n V V' = 1
full_matrices false:
A : m*n
U : m*min(n,m) U' U = 1
S as matrix : min(m,n)*min(m,n)
V : min(m,n)*n V V' = 1
examples:
>>> from mpmath import mp
>>> A = mp.matrix([[2, -2, -1], [3, 4, -2], [-2, -2, 0]])
>>> S = mp.svd(A, compute_uv = False)
>>> print(S)
[6.0]
[3.0]
[1.0]
>>> U, S, V = mp.svd(A)
>>> print(mp.chop(A - U * mp.diag(S) * V))
[0.0 0.0 0.0]
[0.0 0.0 0.0]
[0.0 0.0 0.0]
see also: svd_r, svd_c
"""
iscomplex = any(type(x) is ctx.mpc for x in A)
if iscomplex:
return ctx.svd_c(A, full_matrices = full_matrices, compute_uv = compute_uv, overwrite_a = overwrite_a)
else:
return ctx.svd_r(A, full_matrices = full_matrices, compute_uv = compute_uv, overwrite_a = overwrite_a)
|