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"""Matrix equation solver routines"""
# Author: Jeffrey Armstrong <jeff@approximatrix.com>
# February 24, 2012
from __future__ import division, print_function, absolute_import
import numpy as np
from numpy.linalg import inv, LinAlgError
from .basic import solve
from .lapack import get_lapack_funcs
from .decomp_schur import schur
from .special_matrices import kron
__all__ = ['solve_sylvester', 'solve_lyapunov', 'solve_discrete_lyapunov',
'solve_continuous_are', 'solve_discrete_are']
def solve_sylvester(a,b,q):
"""
Computes a solution (X) to the Sylvester equation (AX + XB = Q).
.. versionadded:: 0.11.0
Parameters
----------
a : (M, M) array_like
Leading matrix of the Sylvester equation
b : (N, N) array_like
Trailing matrix of the Sylvester equation
q : (M, N) array_like
Right-hand side
Returns
-------
x : (M, N) ndarray
The solution to the Sylvester equation.
Raises
------
LinAlgError
If solution was not found
Notes
-----
Computes a solution to the Sylvester matrix equation via the Bartels-
Stewart algorithm. The A and B matrices first undergo Schur
decompositions. The resulting matrices are used to construct an
alternative Sylvester equation (``RY + YS^T = F``) where the R and S
matrices are in quasi-triangular form (or, when R, S or F are complex,
triangular form). The simplified equation is then solved using
``*TRSYL`` from LAPACK directly.
"""
# Compute the Schur decomp form of a
r,u = schur(a, output='real')
# Compute the Schur decomp of b
s,v = schur(b.conj().transpose(), output='real')
# Construct f = u'*q*v
f = np.dot(np.dot(u.conj().transpose(), q), v)
# Call the Sylvester equation solver
trsyl, = get_lapack_funcs(('trsyl',), (r,s,f))
if trsyl is None:
raise RuntimeError('LAPACK implementation does not contain a proper Sylvester equation solver (TRSYL)')
y, scale, info = trsyl(r, s, f, tranb='C')
y = scale*y
if info < 0:
raise LinAlgError("Illegal value encountered in the %d term" % (-info,))
return np.dot(np.dot(u, y), v.conj().transpose())
def solve_lyapunov(a, q):
"""
Solves the continuous Lyapunov equation (AX + XA^H = Q) given the values
of A and Q using the Bartels-Stewart algorithm.
.. versionadded:: 0.11.0
Parameters
----------
a : array_like
A square matrix
q : array_like
Right-hand side square matrix
Returns
-------
x : array_like
Solution to the continuous Lyapunov equation
See Also
--------
solve_sylvester : computes the solution to the Sylvester equation
Notes
-----
Because the continuous Lyapunov equation is just a special form of the
Sylvester equation, this solver relies entirely on solve_sylvester for a
solution.
"""
return solve_sylvester(a, a.conj().transpose(), q)
def solve_discrete_lyapunov(a, q):
"""
Solves the Discrete Lyapunov Equation (A'XA-X=-Q) directly.
.. versionadded:: 0.11.0
Parameters
----------
a : (M, M) array_like
A square matrix
q : (M, M) array_like
Right-hand side square matrix
Returns
-------
x : ndarray
Solution to the continuous Lyapunov equation
Notes
-----
Algorithm is based on a direct analytical solution from:
Hamilton, James D. Time Series Analysis, Princeton: Princeton University
Press, 1994. 265. Print.
http://www.scribd.com/doc/20577138/Hamilton-1994-Time-Series-Analysis
"""
lhs = kron(a, a.conj())
lhs = np.eye(lhs.shape[0]) - lhs
x = solve(lhs, q.flatten())
return np.reshape(x, q.shape)
def solve_continuous_are(a, b, q, r):
"""
Solves the continuous algebraic Riccati equation, or CARE, defined
as (A'X + XA - XBR^-1B'X+Q=0) directly using a Schur decomposition
method.
.. versionadded:: 0.11.0
Parameters
----------
a : (M, M) array_like
Input
b : (M, N) array_like
Input
q : (M, M) array_like
Input
r : (N, N) array_like
Non-singular, square matrix
Returns
-------
x : (M, M) ndarray
Solution to the continuous algebraic Riccati equation
See Also
--------
solve_discrete_are : Solves the discrete algebraic Riccati equation
Notes
-----
Method taken from:
Laub, "A Schur Method for Solving Algebraic Riccati Equations."
U.S. Energy Research and Development Agency under contract
ERDA-E(49-18)-2087.
http://dspace.mit.edu/bitstream/handle/1721.1/1301/R-0859-05666488.pdf
"""
try:
g = inv(r)
except LinAlgError:
raise ValueError('Matrix R in the algebraic Riccati equation solver is ill-conditioned')
g = np.dot(np.dot(b, g), b.conj().transpose())
z11 = a
z12 = -1.0*g
z21 = -1.0*q
z22 = -1.0*a.conj().transpose()
z = np.vstack((np.hstack((z11, z12)), np.hstack((z21, z22))))
# Note: we need to sort the upper left of s to have negative real parts,
# while the lower right is positive real components (Laub, p. 7)
[s, u, sorted] = schur(z, sort='lhp')
(m, n) = u.shape
u11 = u[0:m//2, 0:n//2]
u21 = u[m//2:m, 0:n//2]
u11i = inv(u11)
return np.dot(u21, u11i)
def solve_discrete_are(a, b, q, r):
"""
Solves the disctrete algebraic Riccati equation, or DARE, defined as
(X = A'XA-(A'XB)(R+B'XB)^-1(B'XA)+Q), directly using a Schur decomposition
method.
.. versionadded:: 0.11.0
Parameters
----------
a : (M, M) array_like
Non-singular, square matrix
b : (M, N) array_like
Input
q : (M, M) array_like
Input
r : (N, N) array_like
Non-singular, square matrix
Returns
-------
x : ndarray
Solution to the continuous Lyapunov equation
See Also
--------
solve_continuous_are : Solves the continuous algebraic Riccati equation
Notes
-----
Method taken from:
Laub, "A Schur Method for Solving Algebraic Riccati Equations."
U.S. Energy Research and Development Agency under contract
ERDA-E(49-18)-2087.
http://dspace.mit.edu/bitstream/handle/1721.1/1301/R-0859-05666488.pdf
"""
try:
g = inv(r)
except LinAlgError:
raise ValueError('Matrix R in the algebraic Riccati equation solver is ill-conditioned')
g = np.dot(np.dot(b, g), b.conj().transpose())
try:
ait = inv(a).conj().transpose() # ait is "A inverse transpose"
except LinAlgError:
raise ValueError('Matrix A in the algebraic Riccati equation solver is ill-conditioned')
z11 = a+np.dot(np.dot(g, ait), q)
z12 = -1.0*np.dot(g, ait)
z21 = -1.0*np.dot(ait, q)
z22 = ait
z = np.vstack((np.hstack((z11, z12)), np.hstack((z21, z22))))
# Note: we need to sort the upper left of s to lie within the unit circle,
# while the lower right is outside (Laub, p. 7)
[s, u, sorted] = schur(z, sort='iuc')
(m,n) = u.shape
u11 = u[0:m//2, 0:n//2]
u21 = u[m//2:m, 0:n//2]
u11i = inv(u11)
return np.dot(u21, u11i)
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