File: matfuncs.py

package info (click to toggle)
python-scipy 0.14.0-2
  • links: PTS, VCS
  • area: main
  • in suites: jessie, jessie-kfreebsd
  • size: 52,228 kB
  • ctags: 63,719
  • sloc: python: 112,726; fortran: 88,685; cpp: 86,979; ansic: 85,860; makefile: 530; sh: 236
file content (520 lines) | stat: -rw-r--r-- 13,333 bytes parent folder | download
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
#
# Author: Travis Oliphant, March 2002
#

from __future__ import division, print_function, absolute_import

__all__ = ['expm','expm2','expm3','cosm','sinm','tanm','coshm','sinhm',
           'tanhm','logm','funm','signm','sqrtm',
           'expm_frechet', 'expm_cond', 'fractional_matrix_power']

from numpy import (Inf, dot, diag, exp, product, logical_not, cast, ravel,
        transpose, conjugate, absolute, amax, sign, isfinite, sqrt, single)
import numpy as np
import warnings

# Local imports
from .misc import norm
from .basic import solve, inv
from .special_matrices import triu
from .decomp import eig
from .decomp_svd import svd
from .decomp_schur import schur, rsf2csf
from ._expm_frechet import expm_frechet, expm_cond
from ._matfuncs_sqrtm import sqrtm

eps = np.finfo(float).eps
feps = np.finfo(single).eps

_array_precision = {'i': 1, 'l': 1, 'f': 0, 'd': 1, 'F': 0, 'D': 1}


###############################################################################
# Utility functions.


def _asarray_square(A):
    """
    Wraps asarray with the extra requirement that the input be a square matrix.

    The motivation is that the matfuncs module has real functions that have
    been lifted to square matrix functions.

    Parameters
    ----------
    A : array_like
        A square matrix.

    Returns
    -------
    out : ndarray
        An ndarray copy or view or other representation of A.

    """
    A = np.asarray(A)
    if len(A.shape) != 2 or A.shape[0] != A.shape[1]:
        raise ValueError('expected square array_like input')
    return A


def _maybe_real(A, B, tol=None):
    """
    Return either B or the real part of B, depending on properties of A and B.

    The motivation is that B has been computed as a complicated function of A,
    and B may be perturbed by negligible imaginary components.
    If A is real and B is complex with small imaginary components,
    then return a real copy of B.  The assumption in that case would be that
    the imaginary components of B are numerical artifacts.

    Parameters
    ----------
    A : ndarray
        Input array whose type is to be checked as real vs. complex.
    B : ndarray
        Array to be returned, possibly without its imaginary part.
    tol : float
        Absolute tolerance.

    Returns
    -------
    out : real or complex array
        Either the input array B or only the real part of the input array B.

    """
    # Note that booleans and integers compare as real.
    if np.isrealobj(A) and np.iscomplexobj(B):
        if tol is None:
            tol = {0:feps*1e3, 1:eps*1e6}[_array_precision[B.dtype.char]]
        if np.allclose(B.imag, 0.0, atol=tol):
            B = B.real
    return B


###############################################################################
# Matrix functions.


def fractional_matrix_power(A, t):
    # This fixes some issue with imports;
    # this function calls onenormest which is in scipy.sparse.
    A = _asarray_square(A)
    import scipy.linalg._matfuncs_inv_ssq
    return scipy.linalg._matfuncs_inv_ssq.fractional_matrix_power(A, t)


def logm(A, disp=True):
    """
    Compute matrix logarithm.

    The matrix logarithm is the inverse of
    expm: expm(logm(`A`)) == `A`

    Parameters
    ----------
    A : (N, N) array_like
        Matrix whose logarithm to evaluate
    disp : bool, optional
        Print warning if error in the result is estimated large
        instead of returning estimated error. (Default: True)

    Returns
    -------
    logm : (N, N) ndarray
        Matrix logarithm of `A`
    errest : float
        (if disp == False)

        1-norm of the estimated error, ||err||_1 / ||A||_1

    """
    A = _asarray_square(A)
    # Avoid circular import ... this is OK, right?
    import scipy.linalg._matfuncs_inv_ssq
    F = scipy.linalg._matfuncs_inv_ssq.logm(A)
    errtol = 1000*eps
    #TODO use a better error approximation
    errest = norm(expm(F)-A,1) / norm(A,1)
    if disp:
        if not isfinite(errest) or errest >= errtol:
            print("logm result may be inaccurate, approximate err =", errest)
        return F
    else:
        return F, errest


def expm(A, q=None):
    """
    Compute the matrix exponential using Pade approximation.

    Parameters
    ----------
    A : (N, N) array_like or sparse matrix
        Matrix to be exponentiated.

    Returns
    -------
    expm : (N, N) ndarray
        Matrix exponential of `A`.

    References
    ----------
    .. [1] Awad H. Al-Mohy and Nicholas J. Higham (2009)
           "A New Scaling and Squaring Algorithm for the Matrix Exponential."
           SIAM Journal on Matrix Analysis and Applications.
           31 (3). pp. 970-989. ISSN 1095-7162

    """
    if q is not None:
        msg = "argument q=... in scipy.linalg.expm is deprecated." 
        warnings.warn(msg, DeprecationWarning)
    # Input checking and conversion is provided by sparse.linalg.expm().
    import scipy.sparse.linalg
    return scipy.sparse.linalg.expm(A)


# deprecated, but probably should be left there in the long term
@np.deprecate(new_name="expm")
def expm2(A):
    """
    Compute the matrix exponential using eigenvalue decomposition.

    Parameters
    ----------
    A : (N, N) array_like
        Matrix to be exponentiated

    Returns
    -------
    expm2 : (N, N) ndarray
        Matrix exponential of `A`

    """
    A = _asarray_square(A)
    t = A.dtype.char
    if t not in ['f','F','d','D']:
        A = A.astype('d')
        t = 'd'
    s, vr = eig(A)
    vri = inv(vr)
    r = dot(dot(vr, diag(exp(s))), vri)
    if t in ['f', 'd']:
        return r.real.astype(t)
    else:
        return r.astype(t)


# deprecated, but probably should be left there in the long term
@np.deprecate(new_name="expm")
def expm3(A, q=20):
    """
    Compute the matrix exponential using Taylor series.

    Parameters
    ----------
    A : (N, N) array_like
        Matrix to be exponentiated
    q : int
        Order of the Taylor series used is `q-1`

    Returns
    -------
    expm3 : (N, N) ndarray
        Matrix exponential of `A`

    """
    A = _asarray_square(A)
    n = A.shape[0]
    t = A.dtype.char
    if t not in ['f','F','d','D']:
        A = A.astype('d')
        t = 'd'
    eA = np.identity(n, dtype=t)
    trm = np.identity(n, dtype=t)
    castfunc = cast[t]
    for k in range(1, q):
        trm[:] = trm.dot(A) / castfunc(k)
        eA += trm
    return eA


def cosm(A):
    """
    Compute the matrix cosine.

    This routine uses expm to compute the matrix exponentials.

    Parameters
    ----------
    A : (N, N) array_like
        Input array

    Returns
    -------
    cosm : (N, N) ndarray
        Matrix cosine of A

    """
    A = _asarray_square(A)
    if np.iscomplexobj(A):
        return 0.5*(expm(1j*A) + expm(-1j*A))
    else:
        return expm(1j*A).real


def sinm(A):
    """
    Compute the matrix sine.

    This routine uses expm to compute the matrix exponentials.

    Parameters
    ----------
    A : (N, N) array_like
        Input array.

    Returns
    -------
    sinm : (N, N) ndarray
        Matrix cosine of `A`

    """
    A = _asarray_square(A)
    if np.iscomplexobj(A):
        return -0.5j*(expm(1j*A) - expm(-1j*A))
    else:
        return expm(1j*A).imag


def tanm(A):
    """
    Compute the matrix tangent.

    This routine uses expm to compute the matrix exponentials.

    Parameters
    ----------
    A : (N, N) array_like
        Input array.

    Returns
    -------
    tanm : (N, N) ndarray
        Matrix tangent of `A`

    """
    A = _asarray_square(A)
    return _maybe_real(A, solve(cosm(A), sinm(A)))


def coshm(A):
    """
    Compute the hyperbolic matrix cosine.

    This routine uses expm to compute the matrix exponentials.

    Parameters
    ----------
    A : (N, N) array_like
        Input array.

    Returns
    -------
    coshm : (N, N) ndarray
        Hyperbolic matrix cosine of `A`

    """
    A = _asarray_square(A)
    return _maybe_real(A, 0.5 * (expm(A) + expm(-A)))


def sinhm(A):
    """
    Compute the hyperbolic matrix sine.

    This routine uses expm to compute the matrix exponentials.

    Parameters
    ----------
    A : (N, N) array_like
        Input array.

    Returns
    -------
    sinhm : (N, N) ndarray
        Hyperbolic matrix sine of `A`

    """
    A = _asarray_square(A)
    return _maybe_real(A, 0.5 * (expm(A) - expm(-A)))


def tanhm(A):
    """
    Compute the hyperbolic matrix tangent.

    This routine uses expm to compute the matrix exponentials.

    Parameters
    ----------
    A : (N, N) array_like
        Input array

    Returns
    -------
    tanhm : (N, N) ndarray
        Hyperbolic matrix tangent of `A`

    """
    A = _asarray_square(A)
    return _maybe_real(A, solve(coshm(A), sinhm(A)))


def funm(A, func, disp=True):
    """
    Evaluate a matrix function specified by a callable.

    Returns the value of matrix-valued function ``f`` at `A`. The
    function ``f`` is an extension of the scalar-valued function `func`
    to matrices.

    Parameters
    ----------
    A : (N, N) array_like
        Matrix at which to evaluate the function
    func : callable
        Callable object that evaluates a scalar function f.
        Must be vectorized (eg. using vectorize).
    disp : bool, optional
        Print warning if error in the result is estimated large
        instead of returning estimated error. (Default: True)

    Returns
    -------
    funm : (N, N) ndarray
        Value of the matrix function specified by func evaluated at `A`
    errest : float
        (if disp == False)

        1-norm of the estimated error, ||err||_1 / ||A||_1

    """
    A = _asarray_square(A)
    # Perform Shur decomposition (lapack ?gees)
    T, Z = schur(A)
    T, Z = rsf2csf(T,Z)
    n,n = T.shape
    F = diag(func(diag(T)))  # apply function to diagonal elements
    F = F.astype(T.dtype.char)  # e.g. when F is real but T is complex

    minden = abs(T[0,0])

    # implement Algorithm 11.1.1 from Golub and Van Loan
    #                 "matrix Computations."
    for p in range(1,n):
        for i in range(1,n-p+1):
            j = i + p
            s = T[i-1,j-1] * (F[j-1,j-1] - F[i-1,i-1])
            ksl = slice(i,j-1)
            val = dot(T[i-1,ksl],F[ksl,j-1]) - dot(F[i-1,ksl],T[ksl,j-1])
            s = s + val
            den = T[j-1,j-1] - T[i-1,i-1]
            if den != 0.0:
                s = s / den
            F[i-1,j-1] = s
            minden = min(minden,abs(den))

    F = dot(dot(Z, F), transpose(conjugate(Z)))
    F = _maybe_real(A, F)

    tol = {0:feps, 1:eps}[_array_precision[F.dtype.char]]
    if minden == 0.0:
        minden = tol
    err = min(1, max(tol,(tol/minden)*norm(triu(T,1),1)))
    if product(ravel(logical_not(isfinite(F))),axis=0):
        err = Inf
    if disp:
        if err > 1000*tol:
            print("funm result may be inaccurate, approximate err =", err)
        return F
    else:
        return F, err


def signm(A, disp=True):
    """
    Matrix sign function.

    Extension of the scalar sign(x) to matrices.

    Parameters
    ----------
    A : (N, N) array_like
        Matrix at which to evaluate the sign function
    disp : bool, optional
        Print warning if error in the result is estimated large
        instead of returning estimated error. (Default: True)

    Returns
    -------
    signm : (N, N) ndarray
        Value of the sign function at `A`
    errest : float
        (if disp == False)

        1-norm of the estimated error, ||err||_1 / ||A||_1

    Examples
    --------
    >>> from scipy.linalg import signm, eigvals
    >>> a = [[1,2,3], [1,2,1], [1,1,1]]
    >>> eigvals(a)
    array([ 4.12488542+0.j, -0.76155718+0.j,  0.63667176+0.j])
    >>> eigvals(signm(a))
    array([-1.+0.j,  1.+0.j,  1.+0.j])

    """
    A = _asarray_square(A)
    def rounded_sign(x):
        rx = np.real(x)
        if rx.dtype.char == 'f':
            c = 1e3*feps*amax(x)
        else:
            c = 1e3*eps*amax(x)
        return sign((absolute(rx) > c) * rx)
    result, errest = funm(A, rounded_sign, disp=0)
    errtol = {0:1e3*feps, 1:1e3*eps}[_array_precision[result.dtype.char]]
    if errest < errtol:
        return result

    # Handle signm of defective matrices:

    # See "E.D.Denman and J.Leyva-Ramos, Appl.Math.Comp.,
    # 8:237-250,1981" for how to improve the following (currently a
    # rather naive) iteration process:

    # a = result # sometimes iteration converges faster but where??

    # Shifting to avoid zero eigenvalues. How to ensure that shifting does
    # not change the spectrum too much?
    vals = svd(A, compute_uv=0)
    max_sv = np.amax(vals)
    # min_nonzero_sv = vals[(vals>max_sv*errtol).tolist().count(1)-1]
    # c = 0.5/min_nonzero_sv
    c = 0.5/max_sv
    S0 = A + c*np.identity(A.shape[0])
    prev_errest = errest
    for i in range(100):
        iS0 = inv(S0)
        S0 = 0.5*(S0 + iS0)
        Pp = 0.5*(dot(S0,S0)+S0)
        errest = norm(dot(Pp,Pp)-Pp,1)
        if errest < errtol or prev_errest == errest:
            break
        prev_errest = errest
    if disp:
        if not isfinite(errest) or errest >= errtol:
            print("signm result may be inaccurate, approximate err =", errest)
        return S0
    else:
        return S0, errest