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## Automatically adapted for scipy Oct 18, 2005 by
#
# Author: Pearu Peterson, March 2002
#
# additions by Travis Oliphant, March 2002
# additions by Eric Jones, June 2002
# additions by Johannes Loehnert, June 2006
# additions by Bart Vandereycken, June 2006
# additions by Andrew D Straw, May 2007
# additions by Tiziano Zito, November 2008
__all__ = ['eig','eigh','eig_banded','eigvals','eigvalsh', 'eigvals_banded',
'lu','svd','svdvals','diagsvd','cholesky','qr','qr_old','rq',
'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, find_best_lapack_type
from blas import get_blas_funcs
from flinalg import get_flinalg_funcs
from scipy.linalg import calc_lwork
import numpy
from numpy import array, asarray_chkfinite, asarray, diag, zeros, ones, \
single, isfinite, inexact, complexfloating, nonzero, iscomplexobj
cast = numpy.cast
r_ = numpy.r_
_I = cast['F'](1j)
def _make_complex_eigvecs(w,vin,cmplx_tcode):
v = numpy.array(vin,dtype=cmplx_tcode)
#ind = numpy.flatnonzero(numpy.not_equal(w.imag,0.0))
ind = numpy.flatnonzero(numpy.logical_and(numpy.not_equal(w.imag,0.0),
numpy.isfinite(w)))
vnew = numpy.zeros((v.shape[0],len(ind)>>1),cmplx_tcode)
vnew.real = numpy.take(vin,ind[::2],1)
vnew.imag = numpy.take(vin,ind[1::2],1)
count = 0
conj = numpy.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 _datanotshared(a1,a):
if a1 is a:
return False
else:
#try comparing data pointers
try:
return a1.__array_interface__['data'][0] != a.__array_interface__['data'][0]
except:
return True
def _geneig(a1,b,left,right,overwrite_a,overwrite_b):
b1 = asarray(b)
overwrite_b = overwrite_b or _datanotshared(b1,b)
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 = numpy.logical_and.reduce(numpy.equal(w.imag,0.0))
if not (ggev.prefix in 'cz' or only_real):
t = w.dtype.char
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=False, right=True, overwrite_a=False, overwrite_b=False):
"""Solve an ordinary or generalized eigenvalue problem of a square matrix.
Find eigenvalues w and right or left eigenvectors of a general matrix::
a vr[:,i] = w[i] b vr[:,i]
a.H vl[:,i] = w[i].conj() b.H vl[:,i]
where .H is the Hermitean conjugation.
Parameters
----------
a : array, shape (M, M)
A complex or real matrix whose eigenvalues and eigenvectors
will be computed.
b : array, shape (M, M)
Right-hand side matrix in a generalized eigenvalue problem.
If omitted, identity matrix is assumed.
left : boolean
Whether to calculate and return left eigenvectors
right : boolean
Whether to calculate and return right eigenvectors
overwrite_a : boolean
Whether to overwrite data in a (may improve performance)
overwrite_b : boolean
Whether to overwrite data in b (may improve performance)
Returns
-------
w : double or complex array, shape (M,)
The eigenvalues, each repeated according to its multiplicity.
(if left == True)
vl : double or complex array, shape (M, M)
The normalized left eigenvector corresponding to the eigenvalue w[i]
is the column v[:,i].
(if right == True)
vr : double or complex array, shape (M, M)
The normalized right eigenvector corresponding to the eigenvalue w[i]
is the column vr[:,i].
Raises LinAlgError if eigenvalue computation does not converge
See Also
--------
eigh : eigenvalues and right eigenvectors for symmetric/Hermitian arrays
"""
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 (_datanotshared(a1,a))
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.dtype.char]
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.dtype.char]
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 = numpy.logical_and.reduce(numpy.equal(w.imag,0.0))
if not (geev.prefix in 'cz' or only_real):
t = w.dtype.char
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 eigh(a, b=None, lower=True, eigvals_only=False, overwrite_a=False,
overwrite_b=False, turbo=True, eigvals=None, type=1):
"""Solve an ordinary or generalized eigenvalue problem for a complex
Hermitian or real symmetric matrix.
Find eigenvalues w and optionally eigenvectors v of matrix a, where
b is positive definite::
a v[:,i] = w[i] b v[:,i]
v[i,:].conj() a v[:,i] = w[i]
v[i,:].conj() b v[:,i] = 1
Parameters
----------
a : array, shape (M, M)
A complex Hermitian or real symmetric matrix whose eigenvalues and
eigenvectors will be computed.
b : array, shape (M, M)
A complex Hermitian or real symmetric definite positive matrix in.
If omitted, identity matrix is assumed.
lower : boolean
Whether the pertinent array data is taken from the lower or upper
triangle of a. (Default: lower)
eigvals_only : boolean
Whether to calculate only eigenvalues and no eigenvectors.
(Default: both are calculated)
turbo : boolean
Use divide and conquer algorithm (faster but expensive in memory,
only for generalized eigenvalue problem and if eigvals=None)
eigvals : tuple (lo, hi)
Indexes of the smallest and largest (in ascending order) eigenvalues
and corresponding eigenvectors to be returned: 0 <= lo < hi <= M-1.
If omitted, all eigenvalues and eigenvectors are returned.
type: integer
Specifies the problem type to be solved:
type = 1: a v[:,i] = w[i] b v[:,i]
type = 2: a b v[:,i] = w[i] v[:,i]
type = 3: b a v[:,i] = w[i] v[:,i]
overwrite_a : boolean
Whether to overwrite data in a (may improve performance)
overwrite_b : boolean
Whether to overwrite data in b (may improve performance)
Returns
-------
w : real array, shape (N,)
The N (1<=N<=M) selected eigenvalues, in ascending order, each
repeated according to its multiplicity.
(if eigvals_only == False)
v : complex array, shape (M, N)
The normalized selected eigenvector corresponding to the
eigenvalue w[i] is the column v[:,i]. Normalization:
type 1 and 3: v.conj() a v = w
type 2: inv(v).conj() a inv(v) = w
type = 1 or 2: v.conj() b v = I
type = 3 : v.conj() inv(b) v = I
Raises LinAlgError if eigenvalue computation does not converge,
an error occurred, or b matrix is not definite positive. Note that
if input matrices are not symmetric or hermitian, no error is reported
but results will be wrong.
See Also
--------
eig : eigenvalues and right eigenvectors for non-symmetric arrays
"""
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 (_datanotshared(a1,a))
if iscomplexobj(a1):
cplx = True
else:
cplx = False
if b is not None:
b1 = asarray_chkfinite(b)
overwrite_b = overwrite_b or _datanotshared(b1,b)
if len(b1.shape) != 2 or b1.shape[0] != b1.shape[1]:
raise ValueError, 'expected square matrix'
if b1.shape != a1.shape:
raise ValueError("wrong b dimensions %s, should "
"be %s" % (str(b1.shape), str(a1.shape)))
if iscomplexobj(b1):
cplx = True
else:
cplx = cplx or False
else:
b1 = None
# Set job for fortran routines
_job = (eigvals_only and 'N') or 'V'
# port eigenvalue range from python to fortran convention
if eigvals is not None:
lo, hi = eigvals
if lo < 0 or hi >= a1.shape[0]:
raise ValueError('The eigenvalue range specified is not valid.\n'
'Valid range is [%s,%s]' % (0, a1.shape[0]-1))
lo += 1
hi += 1
eigvals = (lo, hi)
# set lower
if lower:
uplo = 'L'
else:
uplo = 'U'
# fix prefix for lapack routines
if cplx:
pfx = 'he'
else:
pfx = 'sy'
# Standard Eigenvalue Problem
# Use '*evr' routines
# FIXME: implement calculation of optimal lwork
# for all lapack routines
if b1 is None:
(evr,) = get_lapack_funcs((pfx+'evr',), (a1,))
if eigvals is None:
w, v, info = evr(a1, uplo=uplo, jobz=_job, range="A", il=1,
iu=a1.shape[0], overwrite_a=overwrite_a)
else:
(lo, hi)= eigvals
w_tot, v, info = evr(a1, uplo=uplo, jobz=_job, range="I",
il=lo, iu=hi, overwrite_a=overwrite_a)
w = w_tot[0:hi-lo+1]
# Generalized Eigenvalue Problem
else:
# Use '*gvx' routines if range is specified
if eigvals is not None:
(gvx,) = get_lapack_funcs((pfx+'gvx',), (a1,b1))
(lo, hi) = eigvals
w_tot, v, ifail, info = gvx(a1, b1, uplo=uplo, iu=hi,
itype=type,jobz=_job, il=lo,
overwrite_a=overwrite_a,
overwrite_b=overwrite_b)
w = w_tot[0:hi-lo+1]
# Use '*gvd' routine if turbo is on and no eigvals are specified
elif turbo:
(gvd,) = get_lapack_funcs((pfx+'gvd',), (a1,b1))
v, w, info = gvd(a1, b1, uplo=uplo, itype=type, jobz=_job,
overwrite_a=overwrite_a,
overwrite_b=overwrite_b)
# Use '*gv' routine if turbo is off and no eigvals are specified
else:
(gv,) = get_lapack_funcs((pfx+'gv',), (a1,b1))
v, w, info = gv(a1, b1, uplo=uplo, itype= type, jobz=_job,
overwrite_a=overwrite_a,
overwrite_b=overwrite_b)
# Check if we had a successful exit
if info == 0:
if eigvals_only:
return w
else:
return w, v
elif info < 0:
raise LinAlgError("illegal value in %i-th argument of internal"
" fortran routine." % (-info))
elif info > 0 and b1 is None:
raise LinAlgError("unrecoverable internal error.")
# The algorithm failed to converge.
elif info > 0 and info <= b1.shape[0]:
if eigvals is not None:
raise LinAlgError("the eigenvectors %s failed to"
" converge." % nonzero(ifail)-1)
else:
raise LinAlgError("internal fortran routine failed to converge: "
"%i off-diagonal elements of an "
"intermediate tridiagonal form did not converge"
" to zero." % info)
# This occurs when b is not positive definite
else:
raise LinAlgError("the leading minor of order %i"
" of 'b' is not positive definite. The"
" factorization of 'b' could not be completed"
" and no eigenvalues or eigenvectors were"
" computed." % (info-b1.shape[0]))
def eig_banded(a_band, lower=0, eigvals_only=0, overwrite_a_band=0,
select='a', select_range=None, max_ev = 0):
"""Solve real symmetric or complex hermetian band matrix eigenvalue problem.
Find eigenvalues w and optionally right eigenvectors v of a::
a v[:,i] = w[i] v[:,i]
v.H v = identity
The matrix a is stored in ab either in lower diagonal or upper
diagonal ordered form:
ab[u + i - j, j] == a[i,j] (if upper form; i <= j)
ab[ i - j, j] == a[i,j] (if lower form; i >= j)
Example of ab (shape of a is (6,6), u=2)::
upper form:
* * a02 a13 a24 a35
* a01 a12 a23 a34 a45
a00 a11 a22 a33 a44 a55
lower form:
a00 a11 a22 a33 a44 a55
a10 a21 a32 a43 a54 *
a20 a31 a42 a53 * *
Cells marked with * are not used.
Parameters
----------
a_band : array, shape (M, u+1)
Banded matrix whose eigenvalues to calculate
lower : boolean
Is the matrix in the lower form. (Default is upper form)
eigvals_only : boolean
Compute only the eigenvalues and no eigenvectors.
(Default: calculate also eigenvectors)
overwrite_a_band:
Discard data in a_band (may enhance performance)
select: {'a', 'v', 'i'}
Which eigenvalues to calculate
====== ========================================
select calculated
====== ========================================
'a' All eigenvalues
'v' Eigenvalues in the interval (min, max]
'i' Eigenvalues with indices min <= i <= max
====== ========================================
select_range : (min, max)
Range of selected eigenvalues
max_ev : integer
For select=='v', maximum number of eigenvalues expected.
For other values of select, has no meaning.
In doubt, leave this parameter untouched.
Returns
-------
w : array, shape (M,)
The eigenvalues, in ascending order, each repeated according to its
multiplicity.
v : double or complex double array, shape (M, M)
The normalized eigenvector corresponding to the eigenvalue w[i] is
the column v[:,i].
Raises LinAlgError if eigenvalue computation does not converge
"""
if eigvals_only or overwrite_a_band:
a1 = asarray_chkfinite(a_band)
overwrite_a_band = overwrite_a_band or (_datanotshared(a1,a_band))
else:
a1 = array(a_band)
if issubclass(a1.dtype.type, inexact) and not isfinite(a1).all():
raise ValueError, "array must not contain infs or NaNs"
overwrite_a_band = 1
if len(a1.shape) != 2:
raise ValueError, 'expected two-dimensional array'
if select.lower() not in [0, 1, 2, 'a', 'v', 'i', 'all', 'value', 'index']:
raise ValueError, 'invalid argument for select'
if select.lower() in [0, 'a', 'all']:
if a1.dtype.char in 'GFD':
bevd, = get_lapack_funcs(('hbevd',),(a1,))
# FIXME: implement this somewhen, for now go with builtin values
# FIXME: calc optimal lwork by calling ?hbevd(lwork=-1)
# or by using calc_lwork.f ???
# lwork = calc_lwork.hbevd(bevd.prefix, a1.shape[0], lower)
internal_name = 'hbevd'
else: # a1.dtype.char in 'fd':
bevd, = get_lapack_funcs(('sbevd',),(a1,))
# FIXME: implement this somewhen, for now go with builtin values
# see above
# lwork = calc_lwork.sbevd(bevd.prefix, a1.shape[0], lower)
internal_name = 'sbevd'
w,v,info = bevd(a1, compute_v = not eigvals_only,
lower = lower,
overwrite_ab = overwrite_a_band)
if select.lower() in [1, 2, 'i', 'v', 'index', 'value']:
# calculate certain range only
if select.lower() in [2, 'i', 'index']:
select = 2
vl, vu, il, iu = 0.0, 0.0, min(select_range), max(select_range)
if min(il, iu) < 0 or max(il, iu) >= a1.shape[1]:
raise ValueError, 'select_range out of bounds'
max_ev = iu - il + 1
else: # 1, 'v', 'value'
select = 1
vl, vu, il, iu = min(select_range), max(select_range), 0, 0
if max_ev == 0:
max_ev = a_band.shape[1]
if eigvals_only:
max_ev = 1
# calculate optimal abstol for dsbevx (see manpage)
if a1.dtype.char in 'fF': # single precision
lamch, = get_lapack_funcs(('lamch',),(array(0, dtype='f'),))
else:
lamch, = get_lapack_funcs(('lamch',),(array(0, dtype='d'),))
abstol = 2 * lamch('s')
if a1.dtype.char in 'GFD':
bevx, = get_lapack_funcs(('hbevx',),(a1,))
internal_name = 'hbevx'
else: # a1.dtype.char in 'gfd'
bevx, = get_lapack_funcs(('sbevx',),(a1,))
internal_name = 'sbevx'
# il+1, iu+1: translate python indexing (0 ... N-1) into Fortran
# indexing (1 ... N)
w, v, m, ifail, info = bevx(a1, vl, vu, il+1, iu+1,
compute_v = not eigvals_only,
mmax = max_ev,
range = select, lower = lower,
overwrite_ab = overwrite_a_band,
abstol=abstol)
# crop off w and v
w = w[:m]
if not eigvals_only:
v = v[:, :m]
if info<0: raise ValueError,\
'illegal value in %-th argument of internal %s'%(-info, internal_name)
if info>0: raise LinAlgError,"eig algorithm did not converge"
if eigvals_only:
return w
return w, v
def eigvals(a,b=None,overwrite_a=0):
"""Compute eigenvalues from an ordinary or generalized eigenvalue problem.
Find eigenvalues of a general matrix::
a vr[:,i] = w[i] b vr[:,i]
Parameters
----------
a : array, shape (M, M)
A complex or real matrix whose eigenvalues and eigenvectors
will be computed.
b : array, shape (M, M)
Right-hand side matrix in a generalized eigenvalue problem.
If omitted, identity matrix is assumed.
overwrite_a : boolean
Whether to overwrite data in a (may improve performance)
Returns
-------
w : double or complex array, shape (M,)
The eigenvalues, each repeated according to its multiplicity,
but not in any specific order.
Raises LinAlgError if eigenvalue computation does not converge
See Also
--------
eigvalsh : eigenvalues of symmetric or Hemitiean arrays
eig : eigenvalues and right eigenvectors of general arrays
eigh : eigenvalues and eigenvectors of symmetric/Hermitean arrays.
"""
return eig(a,b=b,left=0,right=0,overwrite_a=overwrite_a)
def eigvalsh(a, b=None, lower=True, overwrite_a=False,
overwrite_b=False, turbo=True, eigvals=None, type=1):
"""Solve an ordinary or generalized eigenvalue problem for a complex
Hermitian or real symmetric matrix.
Find eigenvalues w of matrix a, where b is positive definite::
a v[:,i] = w[i] b v[:,i]
v[i,:].conj() a v[:,i] = w[i]
v[i,:].conj() b v[:,i] = 1
Parameters
----------
a : array, shape (M, M)
A complex Hermitian or real symmetric matrix whose eigenvalues and
eigenvectors will be computed.
b : array, shape (M, M)
A complex Hermitian or real symmetric definite positive matrix in.
If omitted, identity matrix is assumed.
lower : boolean
Whether the pertinent array data is taken from the lower or upper
triangle of a. (Default: lower)
turbo : boolean
Use divide and conquer algorithm (faster but expensive in memory,
only for generalized eigenvalue problem and if eigvals=None)
eigvals : tuple (lo, hi)
Indexes of the smallest and largest (in ascending order) eigenvalues
and corresponding eigenvectors to be returned: 0 <= lo < hi <= M-1.
If omitted, all eigenvalues and eigenvectors are returned.
type: integer
Specifies the problem type to be solved:
type = 1: a v[:,i] = w[i] b v[:,i]
type = 2: a b v[:,i] = w[i] v[:,i]
type = 3: b a v[:,i] = w[i] v[:,i]
overwrite_a : boolean
Whether to overwrite data in a (may improve performance)
overwrite_b : boolean
Whether to overwrite data in b (may improve performance)
Returns
-------
w : real array, shape (N,)
The N (1<=N<=M) selected eigenvalues, in ascending order, each
repeated according to its multiplicity.
Raises LinAlgError if eigenvalue computation does not converge,
an error occurred, or b matrix is not definite positive. Note that
if input matrices are not symmetric or hermitian, no error is reported
but results will be wrong.
See Also
--------
eigvals : eigenvalues of general arrays
eigh : eigenvalues and right eigenvectors for symmetric/Hermitian arrays
eig : eigenvalues and right eigenvectors for non-symmetric arrays
"""
return eigh(a, b=b, lower=lower, eigvals_only=True,
overwrite_a=overwrite_a, overwrite_b=overwrite_b,
turbo=turbo, eigvals=eigvals, type=type)
def eigvals_banded(a_band,lower=0,overwrite_a_band=0,
select='a', select_range=None):
"""Solve real symmetric or complex hermitian band matrix eigenvalue problem.
Find eigenvalues w of a::
a v[:,i] = w[i] v[:,i]
v.H v = identity
The matrix a is stored in ab either in lower diagonal or upper
diagonal ordered form:
ab[u + i - j, j] == a[i,j] (if upper form; i <= j)
ab[ i - j, j] == a[i,j] (if lower form; i >= j)
Example of ab (shape of a is (6,6), u=2)::
upper form:
* * a02 a13 a24 a35
* a01 a12 a23 a34 a45
a00 a11 a22 a33 a44 a55
lower form:
a00 a11 a22 a33 a44 a55
a10 a21 a32 a43 a54 *
a20 a31 a42 a53 * *
Cells marked with * are not used.
Parameters
----------
a_band : array, shape (M, u+1)
Banded matrix whose eigenvalues to calculate
lower : boolean
Is the matrix in the lower form. (Default is upper form)
overwrite_a_band:
Discard data in a_band (may enhance performance)
select: {'a', 'v', 'i'}
Which eigenvalues to calculate
====== ========================================
select calculated
====== ========================================
'a' All eigenvalues
'v' Eigenvalues in the interval (min, max]
'i' Eigenvalues with indices min <= i <= max
====== ========================================
select_range : (min, max)
Range of selected eigenvalues
Returns
-------
w : array, shape (M,)
The eigenvalues, in ascending order, each repeated according to its
multiplicity.
Raises LinAlgError if eigenvalue computation does not converge
See Also
--------
eig_banded : eigenvalues and right eigenvectors for symmetric/Hermitian band matrices
eigvals : eigenvalues of general arrays
eigh : eigenvalues and right eigenvectors for symmetric/Hermitian arrays
eig : eigenvalues and right eigenvectors for non-symmetric arrays
"""
return eig_banded(a_band,lower=lower,eigvals_only=1,
overwrite_a_band=overwrite_a_band, select=select,
select_range=select_range)
def lu_factor(a, overwrite_a=0):
"""Compute pivoted LU decomposition of a matrix.
The decomposition is::
A = P L U
where P is a permutation matrix, L lower triangular with unit
diagonal elements, and U upper triangular.
Parameters
----------
a : array, shape (M, M)
Matrix to decompose
overwrite_a : boolean
Whether to overwrite data in A (may increase performance)
Returns
-------
lu : array, shape (N, N)
Matrix containing U in its upper triangle, and L in its lower triangle.
The unit diagonal elements of L are not stored.
piv : array, shape (N,)
Pivot indices representing the permutation matrix P:
row i of matrix was interchanged with row piv[i].
See also
--------
lu_solve : solve an equation system using the LU factorization of a matrix
Notes
-----
This is a wrapper to the *GETRF routines from LAPACK.
"""
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 (_datanotshared(a1,a))
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 an equation system, a x = b, given the LU factorization of a
Parameters
----------
(lu, piv)
Factorization of the coefficient matrix a, as given by lu_factor
b : array
Right-hand side
Returns
-------
x : array
Solution to the system
See also
--------
lu_factor : LU factorize a matrix
"""
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_lu,))
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):
"""Compute pivoted LU decompostion of a matrix.
The decomposition is::
A = P L U
where P is a permutation matrix, L lower triangular with unit
diagonal elements, and U upper triangular.
Parameters
----------
a : array, shape (M, N)
Array to decompose
permute_l : boolean
Perform the multiplication P*L (Default: do not permute)
overwrite_a : boolean
Whether to overwrite data in a (may improve performance)
Returns
-------
(If permute_l == False)
p : array, shape (M, M)
Permutation matrix
l : array, shape (M, K)
Lower triangular or trapezoidal matrix with unit diagonal.
K = min(M, N)
u : array, shape (K, N)
Upper triangular or trapezoidal matrix
(If permute_l == True)
pl : array, shape (M, K)
Permuted L matrix.
K = min(M, N)
u : array, shape (K, N)
Upper triangular or trapezoidal matrix
Notes
-----
This is a LU factorization routine written for Scipy.
"""
a1 = asarray_chkfinite(a)
if len(a1.shape) != 2:
raise ValueError, 'expected matrix'
overwrite_a = overwrite_a or (_datanotshared(a1,a))
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,full_matrices=1,compute_uv=1,overwrite_a=0):
"""Singular Value Decomposition.
Factorizes the matrix a into two unitary matrices U and Vh and
an 1d-array s of singular values (real, non-negative) such that
a == U S Vh if S is an suitably shaped matrix of zeros whose
main diagonal is s.
Parameters
----------
a : array, shape (M, N)
Matrix to decompose
full_matrices : boolean
If true, U, Vh are shaped (M,M), (N,N)
If false, the shapes are (M,K), (K,N) where K = min(M,N)
compute_uv : boolean
Whether to compute also U, Vh in addition to s (Default: true)
overwrite_a : boolean
Whether data in a is overwritten (may improve performance)
Returns
-------
U: array, shape (M,M) or (M,K) depending on full_matrices
s: array, shape (K,)
The singular values, sorted so that s[i] >= s[i+1]. K = min(M, N)
Vh: array, shape (N,N) or (K,N) depending on full_matrices
For compute_uv = False, only s is returned.
Raises LinAlgError if SVD computation does not converge
Examples
--------
>>> from scipy import random, linalg, allclose, dot
>>> a = random.randn(9, 6) + 1j*random.randn(9, 6)
>>> U, s, Vh = linalg.svd(a)
>>> U.shape, Vh.shape, s.shape
((9, 9), (6, 6), (6,))
>>> U, s, Vh = linalg.svd(a, full_matrices=False)
>>> U.shape, Vh.shape, s.shape
((9, 6), (6, 6), (6,))
>>> S = linalg.diagsvd(s, 6, 6)
>>> allclose(a, dot(U, dot(S, Vh)))
True
>>> s2 = linalg.svd(a, compute_uv=False)
>>> allclose(s, s2)
True
See also
--------
svdvals : return singular values of a matrix
diagsvd : return the Sigma matrix, given the vector s
"""
# A hack until full_matrices == 0 support is fixed here.
if full_matrices == 0:
import numpy.linalg
return numpy.linalg.svd(a, full_matrices=0, compute_uv=compute_uv)
a1 = asarray_chkfinite(a)
if len(a1.shape) != 2:
raise ValueError, 'expected matrix'
m,n = a1.shape
overwrite_a = overwrite_a or (_datanotshared(a1,a))
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):
"""Compute singular values of a matrix.
Parameters
----------
a : array, shape (M, N)
Matrix to decompose
overwrite_a : boolean
Whether data in a is overwritten (may improve performance)
Returns
-------
s: array, shape (K,)
The singular values, sorted so that s[i] >= s[i+1]. K = min(M, N)
Raises LinAlgError if SVD computation does not converge
See also
--------
svd : return the full singular value decomposition of a matrix
diagsvd : return the Sigma matrix, given the vector s
"""
return svd(a,compute_uv=0,overwrite_a=overwrite_a)
def diagsvd(s,M,N):
"""Construct the sigma matrix in SVD from singular values and size M,N.
Parameters
----------
s : array, shape (M,) or (N,)
Singular values
M : integer
N : integer
Size of the matrix whose singular values are s
Returns
-------
S : array, shape (M, N)
The S-matrix in the singular value decomposition
"""
part = diag(s)
typ = part.dtype.char
MorN = len(s)
if MorN == M:
return r_['-1',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 the Cholesky decomposition of a matrix.
Returns the Cholesky decomposition, :lm:`A = L L^*` or :lm:`A = U^* U`
of a Hermitian positive-definite matrix :lm:`A`.
Parameters
----------
a : array, shape (M, M)
Matrix to be decomposed
lower : boolean
Whether to compute the upper or lower triangular Cholesky factorization
(Default: upper-triangular)
overwrite_a : boolean
Whether to overwrite data in a (may improve performance)
Returns
-------
B : array, shape (M, M)
Upper- or lower-triangular Cholesky factor of A
Raises LinAlgError if decomposition fails
Examples
--------
>>> from scipy import array, linalg, dot
>>> a = array([[1,-2j],[2j,5]])
>>> L = linalg.cholesky(a, lower=True)
>>> L
array([[ 1.+0.j, 0.+0.j],
[ 0.+2.j, 1.+0.j]])
>>> dot(L, L.T.conj())
array([[ 1.+0.j, 0.-2.j],
[ 0.+2.j, 5.+0.j]])
"""
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 _datanotshared(a1,a)
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 the Cholesky decomposition of a matrix, to use in cho_solve
Returns a matrix containing the Cholesky decomposition,
``A = L L*`` or ``A = U* U`` of a Hermitian positive-definite matrix `a`.
The return value can be directly used as the first parameter to cho_solve.
.. warning::
The returned matrix also contains random data in the entries not
used by the Cholesky decomposition. If you need to zero these
entries, use the function `cholesky` instead.
Parameters
----------
a : array, shape (M, M)
Matrix to be decomposed
lower : boolean
Whether to compute the upper or lower triangular Cholesky factorization
(Default: upper-triangular)
overwrite_a : boolean
Whether to overwrite data in a (may improve performance)
Returns
-------
c : array, shape (M, M)
Matrix whose upper or lower triangle contains the Cholesky factor
of `a`. Other parts of the matrix contain random data.
lower : boolean
Flag indicating whether the factor is in the lower or upper triangle
Raises
------
LinAlgError
Raised if decomposition fails.
"""
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 (_datanotshared(a1,a))
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.
The equation system is
A x = b, A = U^H U = L L^H
and A is real symmetric or complex Hermitian.
Parameters
----------
clow : tuple (c, lower)
Cholesky factor and a flag indicating whether it is lower triangular.
The return value from cho_factor can be used.
b : array
Right-hand side of the equation system
First input is a tuple (LorU, lower) which is the output to cho_factor.
Second input is the right-hand side.
Returns
-------
x : array
Solution to the equation system
"""
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, econ=None, mode='qr'):
"""Compute QR decomposition of a matrix.
Calculate the decomposition :lm:`A = Q R` where Q is unitary/orthogonal
and R upper triangular.
Parameters
----------
a : array, shape (M, N)
Matrix to be decomposed
overwrite_a : boolean
Whether data in a is overwritten (may improve performance)
lwork : integer
Work array size, lwork >= a.shape[1]. If None or -1, an optimal size
is computed.
econ : boolean
Whether to compute the economy-size QR decomposition, making shapes
of Q and R (M, K) and (K, N) instead of (M,M) and (M,N). K=min(M,N).
Default is False.
mode : {'qr', 'r'}
Determines what information is to be returned: either both Q and R
or only R.
Returns
-------
(if mode == 'qr')
Q : double or complex array, shape (M, M) or (M, K) for econ==True
(for any mode)
R : double or complex array, shape (M, N) or (K, N) for econ==True
Size K = min(M, N)
Raises LinAlgError if decomposition fails
Notes
-----
This is an interface to the LAPACK routines dgeqrf, zgeqrf,
dorgqr, and zungqr.
Examples
--------
>>> from scipy import random, linalg, dot
>>> a = random.randn(9, 6)
>>> q, r = linalg.qr(a)
>>> allclose(a, dot(q, r))
True
>>> q.shape, r.shape
((9, 9), (9, 6))
>>> r2 = linalg.qr(a, mode='r')
>>> allclose(r, r2)
>>> q3, r3 = linalg.qr(a, econ=True)
>>> q3.shape, r3.shape
((9, 6), (6, 6))
"""
if econ is None:
econ = False
else:
warn("qr econ argument will be removed after scipy 0.7. "
"The economy transform will then be available through "
"the mode='economic' argument.", DeprecationWarning)
a1 = asarray_chkfinite(a)
if len(a1.shape) != 2:
raise ValueError("expected 2D array")
M, N = a1.shape
overwrite_a = overwrite_a or (_datanotshared(a1,a))
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)
if not econ or M<N:
R = basic.triu(qr)
else:
R = basic.triu(qr[0:N,0:N])
if mode=='r':
return R
if find_best_lapack_type((a1,))[0]=='s' or find_best_lapack_type((a1,))[0]=='d':
gor_un_gqr, = get_lapack_funcs(('orgqr',),(qr,))
else:
gor_un_gqr, = get_lapack_funcs(('ungqr',),(qr,))
if M<N:
# get optimal work array
Q,work,info = gor_un_gqr(qr[:,0:M],tau,lwork=-1,overwrite_a=1)
lwork = work[0]
Q,work,info = gor_un_gqr(qr[:,0:M],tau,lwork=lwork,overwrite_a=1)
elif econ:
# get optimal work array
Q,work,info = gor_un_gqr(qr,tau,lwork=-1,overwrite_a=1)
lwork = work[0]
Q,work,info = gor_un_gqr(qr,tau,lwork=lwork,overwrite_a=1)
else:
t = qr.dtype.char
qqr = numpy.empty((M,M),dtype=t)
qqr[:,0:N]=qr
# get optimal work array
Q,work,info = gor_un_gqr(qqr,tau,lwork=-1,overwrite_a=1)
lwork = work[0]
Q,work,info = gor_un_gqr(qqr,tau,lwork=lwork,overwrite_a=1)
if info < 0:
raise ValueError("illegal value in %-th argument of internal gorgqr"
% -info)
return Q, R
def qr_old(a,overwrite_a=0,lwork=None):
"""Compute QR decomposition of a matrix.
Calculate the decomposition :lm:`A = Q R` where Q is unitary/orthogonal
and R upper triangular.
Parameters
----------
a : array, shape (M, N)
Matrix to be decomposed
overwrite_a : boolean
Whether data in a is overwritten (may improve performance)
lwork : integer
Work array size, lwork >= a.shape[1]. If None or -1, an optimal size
is computed.
Returns
-------
Q : double or complex array, shape (M, M)
R : double or complex array, shape (M, N)
Size K = min(M, N)
Raises LinAlgError if decomposition fails
"""
a1 = asarray_chkfinite(a)
if len(a1.shape) != 2:
raise ValueError, 'expected matrix'
M,N = a1.shape
overwrite_a = overwrite_a or (_datanotshared(a1,a))
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.dtype.char
R = basic.triu(qr)
Q = numpy.identity(M,dtype=t)
ident = numpy.identity(M,dtype=t)
zeros = numpy.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
def rq(a,overwrite_a=0,lwork=None):
"""Compute RQ decomposition of a square real matrix.
Calculate the decomposition :lm:`A = R Q` where Q is unitary/orthogonal
and R upper triangular.
Parameters
----------
a : array, shape (M, M)
Square real matrix to be decomposed
overwrite_a : boolean
Whether data in a is overwritten (may improve performance)
lwork : integer
Work array size, lwork >= a.shape[1]. If None or -1, an optimal size
is computed.
econ : boolean
Returns
-------
R : double array, shape (M, N) or (K, N) for econ==True
Size K = min(M, N)
Q : double or complex array, shape (M, M) or (M, K) for econ==True
Raises LinAlgError if decomposition fails
"""
# TODO: implement support for non-square and complex arrays
a1 = asarray_chkfinite(a)
if len(a1.shape) != 2:
raise ValueError, 'expected matrix'
M,N = a1.shape
if M != N:
raise ValueError, 'expected square matrix'
if issubclass(a1.dtype.type,complexfloating):
raise ValueError, 'expected real (non-complex) matrix'
overwrite_a = overwrite_a or (_datanotshared(a1,a))
gerqf, = get_lapack_funcs(('gerqf',),(a1,))
if lwork is None or lwork == -1:
# get optimal work array
rq,tau,work,info = gerqf(a1,lwork=-1,overwrite_a=1)
lwork = work[0]
rq,tau,work,info = gerqf(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',),(rq,))
t = rq.dtype.char
R = basic.triu(rq)
Q = numpy.identity(M,dtype=t)
ident = numpy.identity(M,dtype=t)
zeros = numpy.zeros
k = min(M,N)
for i in range(k):
v = zeros((M,),t)
v[N-k+i] = 1
v[0:N-k+i] = rq[M-k+i,0:N-k+i]
H = gemm(-tau[i],v,v,1+0j,ident,trans_b=2)
Q = gemm(1,Q,H)
return R, Q
_double_precision = ['i','l','d']
def schur(a,output='real',lwork=None,overwrite_a=0):
"""Compute Schur decomposition of a matrix.
The Schur decomposition is
A = Z T Z^H
where Z is unitary and T is either upper-triangular, or for real
Schur decomposition (output='real'), quasi-upper triangular. In
the quasi-triangular form, 2x2 blocks describing complex-valued
eigenvalue pairs may extrude from the diagonal.
Parameters
----------
a : array, shape (M, M)
Matrix to decompose
output : {'real', 'complex'}
Construct the real or complex Schur decomposition (for real matrices).
lwork : integer
Work array size. If None or -1, it is automatically computed.
overwrite_a : boolean
Whether to overwrite data in a (may improve performance)
Returns
-------
T : array, shape (M, M)
Schur form of A. It is real-valued for the real Schur decomposition.
Z : array, shape (M, M)
An unitary Schur transformation matrix for A.
It is real-valued for the real Schur decomposition.
See also
--------
rsf2csf : Convert real Schur form to complex Schur form
"""
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'
typ = a1.dtype.char
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 (_datanotshared(a1,a))
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 = numpy.finfo(float).eps
feps = numpy.finfo(single).eps
_array_kind = {'b':0, 'h':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.dtype.char
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.dtype.char == 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.
Convert a quasi-diagonal real-valued Schur form to the upper triangular
complex-valued Schur form.
Parameters
----------
T : array, shape (M, M)
Real Schur form of the original matrix
Z : array, shape (M, M)
Schur transformation matrix
Returns
-------
T : array, shape (M, M)
Complex Schur form of the original matrix
Z : array, shape (M, M)
Schur transformation matrix corresponding to the complex form
See also
--------
schur : Schur decompose a matrix
"""
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 = numpy.array
t = _commonType(Z, T, arr([3.0],'F'))
Z, T = _castCopy(t, Z, T)
conj = numpy.conj
dot = numpy.dot
r_ = numpy.r_
transp = numpy.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]],dtype=t),arr([[-s,c]],dtype=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):
"""Construct an orthonormal basis for the range of A using SVD
Parameters
----------
A : array, shape (M, N)
Returns
-------
Q : array, shape (M, K)
Orthonormal basis for the range of A.
K = effective rank of A, as determined by automatic cutoff
See also
--------
svd : Singular value decomposition of a matrix
"""
u,s,vh = svd(A)
M,N = A.shape
tol = max(M,N)*numpy.amax(s)*eps
num = numpy.sum(s > tol,dtype=int)
Q = u[:,:num]
return Q
def hessenberg(a,calc_q=0,overwrite_a=0):
"""Compute Hessenberg form of a matrix.
The Hessenberg decomposition is
A = Q H Q^H
where Q is unitary/orthogonal and H has only zero elements below the first
subdiagonal.
Parameters
----------
a : array, shape (M,M)
Matrix to bring into Hessenberg form
calc_q : boolean
Whether to compute the transformation matrix
overwrite_a : boolean
Whether to ovewrite data in a (may improve performance)
Returns
-------
H : array, shape (M,M)
Hessenberg form of A
(If calc_q == True)
Q : array, shape (M,M)
Unitary/orthogonal similarity transformation matrix s.t. A = Q H Q^H
"""
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 (_datanotshared(a1,a))
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.dtype.char
q = None
for i in range(lo,hi):
if tau[i]==0.0:
continue
v = zeros(n,dtype=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,dtype=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,dtype=typecode))
return hq,q
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