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#
# Author: Pearu Peterson, March 2002
#
# additions by Travis Oliphant, March 2002
# additions by Eric Jones, June 2002
__all__ = ['eig','eigvals','lu','svd','svdvals','diagsvd','cholesky','qr',
'schur','rsf2csf','lu_factor','cho_factor','cho_solve','orth',
'hessenberg']
from basic import LinAlgError
import basic
from warnings import warn
from lapack import get_lapack_funcs
from blas import get_blas_funcs
from flinalg import get_flinalg_funcs
import calc_lwork
import scipy_base
from scipy_base import asarray_chkfinite, asarray, diag, zeros, ones, \
dot, transpose
cast = scipy_base.cast
r_ = scipy_base.r_
c_ = scipy_base.c_
_I = cast['F'](1j)
def _make_complex_eigvecs(w,vin,cmplx_tcode):
v = scipy_base.array(vin,typecode=cmplx_tcode)
ind = scipy_base.nonzero(scipy_base.not_equal(w.imag,0.0))
vnew = scipy_base.zeros((v.shape[0],len(ind)>>1),cmplx_tcode)
vnew.real = scipy_base.take(vin,ind[::2],1)
vnew.imag = scipy_base.take(vin,ind[1::2],1)
count = 0
conj = scipy_base.conjugate
for i in range(len(ind)/2):
v[:,ind[2*i]] = vnew[:,count]
v[:,ind[2*i+1]] = conj(vnew[:,count])
count += 1
return v
def _geneig(a1,b,left,right,overwrite_a,overwrite_b):
b1 = asarray(b)
overwrite_b = overwrite_b or (b1 is not b and not hasattry(b,'__array__'))
if len(b1.shape) != 2 or b1.shape[0] != b1.shape[1]:
raise ValueError, 'expected square matrix'
ggev, = get_lapack_funcs(('ggev',),(a1,b1))
cvl,cvr = left,right
if ggev.module_name[:7] == 'clapack':
raise NotImplementedError,'calling ggev from %s' % (ggev.module_name)
res = ggev(a1,b1,lwork=-1)
lwork = res[-2][0]
if ggev.prefix in 'cz':
alpha,beta,vl,vr,work,info = ggev(a1,b1,cvl,cvr,lwork,
overwrite_a,overwrite_b)
w = alpha / beta
else:
alphar,alphai,beta,vl,vr,work,info = ggev(a1,b1,cvl,cvr,lwork,
overwrite_a,overwrite_b)
w = (alphar+_I*alphai)/beta
if info<0: raise ValueError,\
'illegal value in %-th argument of internal ggev'%(-info)
if info>0: raise LinAlgError,"generalized eig algorithm did not converge"
only_real = scipy_base.logical_and.reduce(scipy_base.equal(w.imag,0.0))
if not (ggev.prefix in 'cz' or only_real):
t = w.typecode()
if left:
vl = _make_complex_eigvecs(w, vl, t)
if right:
vr = _make_complex_eigvecs(w, vr, t)
if not (left or right):
return w
if left:
if right:
return w, vl, vr
return w, vl
return w, vr
def eig(a,b=None,left=0,right=1,overwrite_a=0,overwrite_b=0):
""" Solve ordinary and generalized eigenvalue problem
of a square matrix.
Inputs:
a -- An N x N matrix.
b -- An N x N matrix [default is identity(N)].
left -- Return left eigenvectors [disabled].
right -- Return right eigenvectors [enabled].
Outputs:
w -- eigenvalues [left==right==0].
w,vr -- w and right eigenvectors [left==0,right=1].
w,vl -- w and left eigenvectors [left==1,right==0].
w,vl,vr -- [left==right==1].
Definitions:
a * vr[:,i] = w[i] * b * vr[:,i]
a^H * vl[:,i] = conjugate(w[i]) * b^H * vl[:,i]
where a^H denotes transpose(conjugate(a)).
"""
a1 = asarray_chkfinite(a)
if len(a1.shape) != 2 or a1.shape[0] != a1.shape[1]:
raise ValueError, 'expected square matrix'
overwrite_a = overwrite_a or (a1 is not a and not hasattr(a,'__array__'))
if b is not None:
b = asarray_chkfinite(b)
return _geneig(a1,b,left,right,overwrite_a,overwrite_b)
geev, = get_lapack_funcs(('geev',),(a1,))
compute_vl,compute_vr=left,right
if geev.module_name[:7] == 'flapack':
lwork = calc_lwork.geev(geev.prefix,a1.shape[0],
compute_vl,compute_vr)[1]
if geev.prefix in 'cz':
w,vl,vr,info = geev(a1,lwork = lwork,
compute_vl=compute_vl,
compute_vr=compute_vr,
overwrite_a=overwrite_a)
else:
wr,wi,vl,vr,info = geev(a1,lwork = lwork,
compute_vl=compute_vl,
compute_vr=compute_vr,
overwrite_a=overwrite_a)
t = {'f':'F','d':'D'}[wr.typecode()]
w = wr+_I*wi
else: # 'clapack'
if geev.prefix in 'cz':
w,vl,vr,info = geev(a1,
compute_vl=compute_vl,
compute_vr=compute_vr,
overwrite_a=overwrite_a)
else:
wr,wi,vl,vr,info = geev(a1,
compute_vl=compute_vl,
compute_vr=compute_vr,
overwrite_a=overwrite_a)
t = {'f':'F','d':'D'}[wr.typecode()]
w = wr+_I*wi
if info<0: raise ValueError,\
'illegal value in %-th argument of internal geev'%(-info)
if info>0: raise LinAlgError,"eig algorithm did not converge"
only_real = scipy_base.logical_and.reduce(scipy_base.equal(w.imag,0.0))
if not (geev.prefix in 'cz' or only_real):
t = w.typecode()
if left:
vl = _make_complex_eigvecs(w, vl, t)
if right:
vr = _make_complex_eigvecs(w, vr, t)
if not (left or right):
return w
if left:
if right:
return w, vl, vr
return w, vl
return w, vr
def eigvals(a,b=None,overwrite_a=0):
"""Return eigenvalues of square matrix."""
return eig(a,b=b,left=0,right=0,overwrite_a=overwrite_a)
def lu_factor(a, overwrite_a=0):
"""Return raw LU decomposition of a matrix and pivots, for use in solving
a system of linear equations.
Inputs:
a --- an NxN matrix
Outputs:
lu --- the lu factorization matrix
piv --- an array of pivots
"""
a1 = asarray(a)
if len(a1.shape) != 2 or (a1.shape[0] != a1.shape[1]):
raise ValueError, 'expected square matrix'
overwrite_a = overwrite_a or (a1 is not a and not hasattr(a,'__array__'))
getrf, = get_lapack_funcs(('getrf',),(a1,))
lu, piv, info = getrf(a,overwrite_a=overwrite_a)
if info<0: raise ValueError,\
'illegal value in %-th argument of internal getrf (lu_factor)'%(-info)
if info>0: warn("Diagonal number %d is exactly zero. Singular matrix." % info,
RuntimeWarning)
return lu, piv
def lu_solve(a_lu_pivots,b):
"""Solve a previously factored system. First input is a tuple (lu, pivots)
which is the output to lu_factor. Second input is the right hand side.
"""
a_lu, pivots = a_lu_pivots
a_lu = asarray_chkfinite(a_lu)
pivots = asarray_chkfinite(pivots)
b = asarray_chkfinite(b)
_assert_squareness(a_lu)
getrs, = get_lapack_funcs(('getrs',),(a,))
b, info = getrs(a_lu,pivots,b)
if info < 0:
msg = "Argument %d to lapack's ?getrs() has an illegal value." % info
raise TypeError, msg
if info > 0:
msg = "Unknown error occured int ?getrs(): error code = %d" % info
raise TypeError, msg
return b
def lu(a,permute_l=0,overwrite_a=0):
"""Return LU decompostion of a matrix.
Inputs:
a -- An M x N matrix.
permute_l -- Perform matrix multiplication p * l [disabled].
Outputs:
p,l,u -- LU decomposition matrices of a [permute_l=0]
pl,u -- LU decomposition matrices of a [permute_l=1]
Definitions:
a = p * l * u [permute_l=0]
a = pl * u [permute_l=1]
p - An M x M permutation matrix
l - An M x K lower triangular or trapezoidal matrix
with unit-diagonal
u - An K x N upper triangular or trapezoidal matrix
K = min(M,N)
"""
a1 = asarray_chkfinite(a)
if len(a1.shape) != 2:
raise ValueError, 'expected matrix'
m,n = a1.shape
overwrite_a = overwrite_a or (a1 is not a and not hasattr(a,'__array__'))
flu, = get_flinalg_funcs(('lu',),(a1,))
p,l,u,info = flu(a1,permute_l=permute_l,overwrite_a = overwrite_a)
if info<0: raise ValueError,\
'illegal value in %-th argument of internal lu.getrf'%(-info)
if permute_l:
return l,u
return p,l,u
def svd(a,compute_uv=1,overwrite_a=0):
"""Compute singular value decomposition (SVD) of matrix a.
Description:
Singular value decomposition of a matrix a is
a = u * sigma * v^H,
where v^H denotes conjugate(transpose(v)), u,v are unitary
matrices, sigma is zero matrix with a main diagonal containing
real non-negative singular values of the matrix a.
Inputs:
a -- An M x N matrix.
compute_uv -- If zero, then only the vector of singular values
is returned.
Outputs:
u -- An M x M unitary matrix [compute_uv=1].
s -- An min(M,N) vector of singular values in descending order,
sigma = diagsvd(s).
vh -- An N x N unitary matrix [compute_uv=1], vh = v^H.
"""
a1 = asarray_chkfinite(a)
if len(a1.shape) != 2:
raise ValueError, 'expected matrix'
m,n = a1.shape
overwrite_a = overwrite_a or (a1 is not a and not hasattr(a,'__array__'))
gesdd, = get_lapack_funcs(('gesdd',),(a1,))
if gesdd.module_name[:7] == 'flapack':
lwork = calc_lwork.gesdd(gesdd.prefix,m,n,compute_uv)[1]
u,s,v,info = gesdd(a1,compute_uv = compute_uv, lwork = lwork,
overwrite_a = overwrite_a)
else: # 'clapack'
raise NotImplementedError,'calling gesdd from %s' % (gesdd.module_name)
if info>0: raise LinAlgError, "SVD did not converge"
if info<0: raise ValueError,\
'illegal value in %-th argument of internal gesdd'%(-info)
if compute_uv:
return u,s,v
else:
return s
def svdvals(a,overwrite_a=0):
"""Return singular values of a matrix."""
return svd(a,compute_uv=0,overwrite_a=overwrite_a)
def diagsvd(s,M,N):
"""Return sigma from singular values and original size M,N."""
part = diag(s)
typ = part.typecode()
MorN = len(s)
if MorN == M:
return c_[part,zeros((M,N-M),typ)]
elif MorN == N:
return r_[part,zeros((M-N,N),typ)]
else:
raise ValueError, "Length of s must be M or N."
def cholesky(a,lower=0,overwrite_a=0):
"""Compute Cholesky decomposition of matrix.
Description:
For a hermitian positive-definite matrix a return the
upper-triangular (or lower-triangular if lower==1) matrix,
u such that u^H * u = a (or l * l^H = a).
"""
a1 = asarray_chkfinite(a)
if len(a1.shape) != 2 or a1.shape[0] != a1.shape[1]:
raise ValueError, 'expected square matrix'
overwrite_a = overwrite_a or (a1 is not a and not hasattr(a,'__array__'))
potrf, = get_lapack_funcs(('potrf',),(a1,))
c,info = potrf(a1,lower=lower,overwrite_a=overwrite_a,clean=1)
if info>0: raise LinAlgError, "matrix not positive definite"
if info<0: raise ValueError,\
'illegal value in %-th argument of internal potrf'%(-info)
return c
def cho_factor(a, lower=0, overwrite_a=0):
""" Compute Cholesky decomposition of matrix and return an object
to be used for solving a linear system using cho_solve.
"""
a1 = asarray_chkfinite(a)
if len(a1.shape) != 2 or a1.shape[0] != a1.shape[1]:
raise ValueError, 'expected square matrix'
overwrite_a = overwrite_a or (a1 is not a and not hasattr(a,'__array__'))
potrf, = get_lapack_funcs(('potrf',),(a1,))
c,info = potrf(a1,lower=lower,overwrite_a=overwrite_a,clean=0)
if info>0: raise LinAlgError, "matrix not positive definite"
if info<0: raise ValueError,\
'illegal value in %-th argument of internal potrf'%(-info)
return c, lower
def cho_solve(clow, b):
"""Solve a previously factored symmetric system of equations.
First input is a tuple (LorU, lower) which is the output to cho_factor.
Second input is the right-hand side.
"""
c, lower = clow
c = asarray_chkfinite(c)
_assert_squareness(c)
b = asarray_chkfinite(b)
potrs, = get_lapack_funcs(('potrs',),(c,))
b, info = potrs(c,b,lower)
if info < 0:
msg = "Argument %d to lapack's ?potrs() has an illegal value." % info
raise TypeError, msg
if info > 0:
msg = "Unknown error occured int ?potrs(): error code = %d" % info
raise TypeError, msg
return b
def qr(a,overwrite_a=0,lwork=None):
"""QR decomposition of an M x N matrix a.
Description:
Find a unitary matrix, q, and an upper-trapezoidal matrix r
such that q * r = a
Inputs:
a -- the matrix
overwrite_a=0 -- if non-zero then discard the contents of a,
i.e. a is used as a work array if possible.
lwork=None -- >= shape(a)[1]. If None (or -1) compute optimal
work array size.
Outputs:
q, r -- matrices such that q * r = a
"""
a1 = asarray_chkfinite(a)
if len(a1.shape) != 2:
raise ValueError, 'expected matrix'
M,N = a1.shape
overwrite_a = overwrite_a or (a1 is not a and not hasattr(a,'__array__'))
geqrf, = get_lapack_funcs(('geqrf',),(a1,))
if lwork is None or lwork == -1:
# get optimal work array
qr,tau,work,info = geqrf(a1,lwork=-1,overwrite_a=1)
lwork = work[0]
qr,tau,work,info = geqrf(a1,lwork=lwork,overwrite_a=overwrite_a)
if info<0: raise ValueError,\
'illegal value in %-th argument of internal geqrf'%(-info)
gemm, = get_blas_funcs(('gemm',),(qr,))
t = qr.typecode()
R = basic.triu(qr)
Q = scipy_base.identity(M,typecode=t)
ident = scipy_base.identity(M,typecode=t)
zeros = scipy_base.zeros
for i in range(min(M,N)):
v = zeros((M,),t)
v[i] = 1
v[i+1:M] = qr[i+1:M,i]
H = gemm(-tau[i],v,v,1+0j,ident,trans_b=2)
Q = gemm(1,Q,H)
return Q, R
_double_precision = ['i','l','d']
def schur(a,output='real',lwork=None,overwrite_a=0):
"""Compute Schur decomposition of matrix a.
Description:
Return T, Z such that a = Z * T * (Z**H) where Z is a
unitary matrix and T is either upper-triangular or quasi-upper
triangular for output='real'
"""
if not output in ['real','complex','r','c']:
raise ValueError, "argument must be 'real', or 'complex'"
a1 = asarray_chkfinite(a)
if len(a1.shape) != 2 or (a1.shape[0] != a1.shape[1]):
raise ValueError, 'expected square matrix'
N = a1.shape[0]
typ = a1.typecode()
if output in ['complex','c'] and typ not in ['F','D']:
if typ in _double_precision:
a1 = a1.astype('D')
typ = 'D'
else:
a1 = a1.astype('F')
typ = 'F'
overwrite_a = overwrite_a or (a1 is not a and not hasattr(a,'__array__'))
gees, = get_lapack_funcs(('gees',),(a1,))
if lwork is None or lwork == -1:
# get optimal work array
result = gees(lambda x: None,a,lwork=-1)
lwork = result[-2][0]
result = gees(lambda x: None,a,lwork=result[-2][0],overwrite_a=overwrite_a)
info = result[-1]
if info<0: raise ValueError,\
'illegal value in %-th argument of internal gees'%(-info)
elif info>0: raise LinAlgError, "Schur form not found. Possibly ill-conditioned."
return result[0], result[-3]
eps = scipy_base.limits.double_epsilon
feps = scipy_base.limits.float_epsilon
_array_kind = {'1':0, 's':0, 'b': 0, 'i':0, 'l': 0, 'f': 0, 'd': 0, 'F': 1, 'D': 1}
_array_precision = {'i': 1, 'l': 1, 'f': 0, 'd': 1, 'F': 0, 'D': 1}
_array_type = [['f', 'd'], ['F', 'D']]
def _commonType(*arrays):
kind = 0
precision = 0
for a in arrays:
t = a.typecode()
kind = max(kind, _array_kind[t])
precision = max(precision, _array_precision[t])
return _array_type[kind][precision]
def _castCopy(type, *arrays):
cast_arrays = ()
for a in arrays:
if a.typecode() == type:
cast_arrays = cast_arrays + (a.copy(),)
else:
cast_arrays = cast_arrays + (a.astype(type),)
if len(cast_arrays) == 1:
return cast_arrays[0]
else:
return cast_arrays
def _assert_squareness(*arrays):
for a in arrays:
if max(a.shape) != min(a.shape):
raise LinAlgError, 'Array must be square'
def rsf2csf(T, Z):
"""Convert real schur form to complex schur form.
Description:
If A is a real-valued matrix, then the real schur form is
quasi-upper triangular. 2x2 blocks extrude from the main-diagonal
corresponding to any complex-valued eigenvalues.
This function converts this real schur form to a complex schur form
which is upper triangular.
"""
Z,T = map(asarray_chkfinite, (Z,T))
if len(Z.shape) !=2 or Z.shape[0] != Z.shape[1]:
raise ValueError, "matrix must be square."
if len(T.shape) !=2 or T.shape[0] != T.shape[1]:
raise ValueError, "matrix must be square."
if T.shape[0] != Z.shape[0]:
raise ValueError, "matrices must be same dimension."
N = T.shape[0]
arr = scipy_base.array
t = _commonType(Z, T, arr([3.0],'F'))
Z, T = _castCopy(t, Z, T)
conj = scipy_base.conj
dot = scipy_base.dot
r_ = scipy_base.r_
transp = scipy_base.transpose
for m in range(N-1,0,-1):
if abs(T[m,m-1]) > eps*(abs(T[m-1,m-1]) + abs(T[m,m])):
k = slice(m-1,m+1)
mu = eigvals(T[k,k]) - T[m,m]
r = basic.norm([mu[0], T[m,m-1]])
c = mu[0] / r
s = T[m,m-1] / r
G = r_[arr([[conj(c),s]],typecode=t),arr([[-s,c]],typecode=t)]
Gc = conj(transp(G))
j = slice(m-1,N)
T[k,j] = dot(G,T[k,j])
i = slice(0,m+1)
T[i,k] = dot(T[i,k], Gc)
i = slice(0,N)
Z[i,k] = dot(Z[i,k], Gc)
T[m,m-1] = 0.0;
return T, Z
# Orthonormal decomposition
def orth(A):
"""Return an orthonormal basis for the range of A using svd"""
u,s,vh = svd(A)
M,N = A.shape
tol = max(M,N)*scipy_base.amax(s)*eps
num = scipy_base.sum(s > tol)
Q = u[:,:num]
return Q
def hessenberg(a,calc_q=0,overwrite_a=0):
""" Compute Hessenberg form of a matrix.
Inputs:
a -- the matrix
calc_q -- if non-zero then calculate unitary similarity
transformation matrix q.
overwrite_a=0 -- if non-zero then discard the contents of a,
i.e. a is used as a work array if possible.
Outputs:
h -- Hessenberg form of a [calc_q=0]
h, q -- matrices such that a = q * h * q^T [calc_q=1]
"""
a1 = asarray(a)
if len(a1.shape) != 2 or (a1.shape[0] != a1.shape[1]):
raise ValueError, 'expected square matrix'
overwrite_a = overwrite_a or (a1 is not a and not hasattr(a,'__array__'))
gehrd,gebal = get_lapack_funcs(('gehrd','gebal'),(a1,))
ba,lo,hi,pivscale,info = gebal(a,permute=1,overwrite_a = overwrite_a)
if info<0: raise ValueError,\
'illegal value in %-th argument of internal gebal (hessenberg)'%(-info)
n = len(a1)
lwork = calc_lwork.gehrd(gehrd.prefix,n,lo,hi)
hq,tau,info = gehrd(ba,lo=lo,hi=hi,lwork=lwork,overwrite_a=1)
if info<0: raise ValueError,\
'illegal value in %-th argument of internal gehrd (hessenberg)'%(-info)
if not calc_q:
for i in range(lo,hi):
hq[i+2:hi+1,i] = 0.0
return hq
# XXX: Use ORGHR routines to compute q.
ger,gemm = get_blas_funcs(('ger','gemm'),(hq,))
typecode = hq.typecode()
q = None
for i in range(lo,hi):
if tau[i]==0.0:
continue
v = zeros(n,typecode=typecode)
v[i+1] = 1.0
v[i+2:hi+1] = hq[i+2:hi+1,i]
hq[i+2:hi+1,i] = 0.0
h = ger(-tau[i],v,v,a=diag(ones(n,typecode=typecode)),overwrite_a=1)
if q is None:
q = h
else:
q = gemm(1.0,q,h)
if q is None:
q = diag(ones(n,typecode=typecode))
return hq,q
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