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"""
Find a few eigenvectors and eigenvalues of a matrix.
Uses ARPACK: http://www.caam.rice.edu/software/ARPACK/
"""
# Wrapper implementation notes
#
# ARPACK Entry Points
# -------------------
# The entry points to ARPACK are
# - (s,d)seupd : single and double precision symmetric matrix
# - (s,d,c,z)neupd: single,double,complex,double complex general matrix
# This wrapper puts the *neupd (general matrix) interfaces in eigen()
# and the *seupd (symmetric matrix) in eigen_symmetric().
# There is no Hermetian complex/double complex interface.
# To find eigenvalues of a Hermetian matrix you
# must use eigen() and not eigen_symmetric()
# It might be desirable to handle the Hermetian case differently
# and, for example, return real eigenvalues.
# Number of eigenvalues returned and complex eigenvalues
# ------------------------------------------------------
# The ARPACK nonsymmetric real and double interface (s,d)naupd return
# eigenvalues and eigenvectors in real (float,double) arrays.
# Since the eigenvalues and eigenvectors are, in general, complex
# ARPACK puts the real and imaginary parts in consecutive entries
# in real-valued arrays. This wrapper puts the real entries
# into complex data types and attempts to return the requested eigenvalues
# and eigenvectors.
# Solver modes
# ------------
# ARPACK and handle shifted and shift-inverse computations
# for eigenvalues by providing a shift (sigma) and a solver.
# This is currently not implemented
__docformat__ = "restructuredtext en"
__all___=['eigen','eigen_symmetric']
import warnings
import _arpack
import numpy as np
from scipy.sparse.linalg.interface import aslinearoperator
_type_conv = {'f':'s', 'd':'d', 'F':'c', 'D':'z'}
_ndigits = {'f':5, 'd':12, 'F':5, 'D':12}
def eigen(A, k=6, M=None, sigma=None, which='LM', v0=None,
ncv=None, maxiter=None, tol=0,
return_eigenvectors=True):
"""Find k eigenvalues and eigenvectors of the square matrix A.
Solves A * x[i] = w[i] * x[i], the standard eigenvalue problem for
w[i] eigenvalues with corresponding eigenvectors x[i].
Parameters
----------
A : matrix, array, or object with matvec(x) method
An N x N matrix, array, or an object with matvec(x) method to perform
the matrix vector product A * x. The sparse matrix formats
in scipy.sparse are appropriate for A.
k : integer
The number of eigenvalues and eigenvectors desired
Returns
-------
w : array
Array of k eigenvalues
v : array
An array of k eigenvectors
The v[i] is the eigenvector corresponding to the eigenvector w[i]
Other Parameters
----------------
M : matrix or array
(Not implemented)
A symmetric positive-definite matrix for the generalized
eigenvalue problem A * x = w * M * x
sigma : real or complex
(Not implemented)
Find eigenvalues near sigma. Shift spectrum by sigma.
v0 : array
Starting vector for iteration.
ncv : integer
The number of Lanczos vectors generated
ncv must be greater than k; it is recommended that ncv > 2*k
which : string
Which k eigenvectors and eigenvalues to find:
- 'LM' : largest magnitude
- 'SM' : smallest magnitude
- 'LR' : largest real part
- 'SR' : smallest real part
- 'LI' : largest imaginary part
- 'SI' : smallest imaginary part
maxiter : integer
Maximum number of Arnoldi update iterations allowed
tol : float
Relative accuracy for eigenvalues (stopping criterion)
return_eigenvectors : boolean
Return eigenvectors (True) in addition to eigenvalues
See Also
--------
eigen_symmetric : eigenvalues and eigenvectors for symmetric matrix A
Notes
-----
Examples
--------
"""
A = aslinearoperator(A)
if A.shape[0] != A.shape[1]:
raise ValueError('expected square matrix (shape=%s)' % shape)
n = A.shape[0]
# guess type
typ = A.dtype.char
if typ not in 'fdFD':
raise ValueError("matrix type must be 'f', 'd', 'F', or 'D'")
if M is not None:
raise NotImplementedError("generalized eigenproblem not supported yet")
if sigma is not None:
raise NotImplementedError("shifted eigenproblem not supported yet")
# some defaults
if ncv is None:
ncv=2*k+1
ncv=min(ncv,n)
if maxiter==None:
maxiter=n*10
# assign starting vector
if v0 is not None:
resid=v0
info=1
else:
resid = np.zeros(n,typ)
info=0
# some sanity checks
if k <= 0:
raise ValueError("k must be positive, k=%d"%k)
if k == n:
raise ValueError("k must be less than rank(A), k=%d"%k)
if maxiter <= 0:
raise ValueError("maxiter must be positive, maxiter=%d"%maxiter)
whiches=['LM','SM','LR','SR','LI','SI']
if which not in whiches:
raise ValueError("which must be one of %s"%' '.join(whiches))
if ncv > n or ncv < k:
raise ValueError("ncv must be k<=ncv<=n, ncv=%s"%ncv)
# assign solver and postprocessor
ltr = _type_conv[typ]
eigsolver = _arpack.__dict__[ltr+'naupd']
eigextract = _arpack.__dict__[ltr+'neupd']
v = np.zeros((n,ncv),typ) # holds Ritz vectors
workd = np.zeros(3*n,typ) # workspace
workl = np.zeros(3*ncv*ncv+6*ncv,typ) # workspace
iparam = np.zeros(11,'int') # problem parameters
ipntr = np.zeros(14,'int') # pointers into workspaces
ido = 0
if typ in 'FD':
rwork = np.zeros(ncv,typ.lower())
# set solver mode and parameters
# only supported mode is 1: Ax=lx
ishfts = 1
mode1 = 1
bmat = 'I'
iparam[0] = ishfts
iparam[2] = maxiter
iparam[6] = mode1
while True:
if typ in 'fd':
ido,resid,v,iparam,ipntr,info =\
eigsolver(ido,bmat,which,k,tol,resid,v,iparam,ipntr,
workd,workl,info)
else:
ido,resid,v,iparam,ipntr,info =\
eigsolver(ido,bmat,which,k,tol,resid,v,iparam,ipntr,
workd,workl,rwork,info)
xslice = slice(ipntr[0]-1, ipntr[0]-1+n)
yslice = slice(ipntr[1]-1, ipntr[1]-1+n)
if ido == -1:
# initialization
workd[yslice]=A.matvec(workd[xslice])
elif ido == 1:
# compute y=Ax
workd[yslice]=A.matvec(workd[xslice])
else:
break
if info < -1 :
raise RuntimeError("Error info=%d in arpack"%info)
return None
if info == -1:
warnings.warn("Maximum number of iterations taken: %s"%iparam[2])
# if iparam[3] != k:
# warnings.warn("Only %s eigenvalues converged"%iparam[3])
# now extract eigenvalues and (optionally) eigenvectors
rvec = return_eigenvectors
ierr = 0
howmny = 'A' # return all eigenvectors
sselect = np.zeros(ncv,'int') # unused
sigmai = 0.0 # no shifts, not implemented
sigmar = 0.0 # no shifts, not implemented
workev = np.zeros(3*ncv,typ)
if typ in 'fd':
dr=np.zeros(k+1,typ)
di=np.zeros(k+1,typ)
zr=np.zeros((n,k+1),typ)
dr,di,zr,info=\
eigextract(rvec,howmny,sselect,sigmar,sigmai,workev,
bmat,which,k,tol,resid,v,iparam,ipntr,
workd,workl,info)
# The ARPACK nonsymmetric real and double interface (s,d)naupd return
# eigenvalues and eigenvectors in real (float,double) arrays.
# Build complex eigenvalues from real and imaginary parts
d=dr+1.0j*di
# Arrange the eigenvectors: complex eigenvectors are stored as
# real,imaginary in consecutive columns
z=zr.astype(typ.upper())
eps=np.finfo(typ).eps
i=0
while i<=k:
# check if complex
if abs(d[i].imag)>eps:
# assume this is a complex conjugate pair with eigenvalues
# in consecutive columns
z[:,i]=zr[:,i]+1.0j*zr[:,i+1]
z[:,i+1]=z[:,i].conjugate()
i+=1
i+=1
# Now we have k+1 possible eigenvalues and eigenvectors
# Return the ones specified by the keyword "which"
nreturned=iparam[4] # number of good eigenvalues returned
if nreturned==k: # we got exactly how many eigenvalues we wanted
d=d[:k]
z=z[:,:k]
else: # we got one extra eigenvalue (likely a cc pair, but which?)
# cut at approx precision for sorting
rd=np.round(d,decimals=_ndigits[typ])
if which in ['LR','SR']:
ind=np.argsort(rd.real)
elif which in ['LI','SI']:
# for LI,SI ARPACK returns largest,smallest abs(imaginary) why?
ind=np.argsort(abs(rd.imag))
else:
ind=np.argsort(abs(rd))
if which in ['LR','LM','LI']:
d=d[ind[-k:]]
z=z[:,ind[-k:]]
if which in ['SR','SM','SI']:
d=d[ind[:k]]
z=z[:,ind[:k]]
else:
# complex is so much simpler...
d,z,info =\
eigextract(rvec,howmny,sselect,sigmar,workev,
bmat,which,k,tol,resid,v,iparam,ipntr,
workd,workl,rwork,ierr)
if ierr != 0:
raise RuntimeError("Error info=%d in arpack"%info)
return None
if return_eigenvectors:
return d,z
return d
def eigen_symmetric(A, k=6, M=None, sigma=None, which='LM', v0=None,
ncv=None, maxiter=None, tol=0,
return_eigenvectors=True):
"""Find k eigenvalues and eigenvectors of the real symmetric
square matrix A.
Solves A * x[i] = w[i] * x[i], the standard eigenvalue problem for
w[i] eigenvalues with corresponding eigenvectors x[i].
Parameters
----------
A : matrix or array with real entries or object with matvec(x) method
An N x N real symmetric matrix or array or an object with matvec(x)
method to perform the matrix vector product A * x. The sparse
matrix formats in scipy.sparse are appropriate for A.
k : integer
The number of eigenvalues and eigenvectors desired
Returns
-------
w : array
Array of k eigenvalues
v : array
An array of k eigenvectors
The v[i] is the eigenvector corresponding to the eigenvector w[i]
Other Parameters
----------------
M : matrix or array
(Not implemented)
A symmetric positive-definite matrix for the generalized
eigenvalue problem A * x = w * M * x
sigma : real
(Not implemented)
Find eigenvalues near sigma. Shift spectrum by sigma.
v0 : array
Starting vector for iteration.
ncv : integer
The number of Lanczos vectors generated
ncv must be greater than k; it is recommended that ncv > 2*k
which : string
Which k eigenvectors and eigenvalues to find:
- 'LA' : Largest (algebraic) eigenvalues
- 'SA' : Smallest (algebraic) eigenvalues
- 'LM' : Largest (in magnitude) eigenvalues
- 'SM' : Smallest (in magnitude) eigenvalues
- 'BE' : Half (k/2) from each end of the spectrum
When k is odd, return one more (k/2+1) from the high end
maxiter : integer
Maximum number of Arnoldi update iterations allowed
tol : float
Relative accuracy for eigenvalues (stopping criterion)
return_eigenvectors : boolean
Return eigenvectors (True) in addition to eigenvalues
See Also
--------
eigen : eigenvalues and eigenvectors for a general (nonsymmetric) matrix A
Notes
-----
Examples
--------
"""
A = aslinearoperator(A)
if A.shape[0] != A.shape[1]:
raise ValueError('expected square matrix (shape=%s)' % shape)
n = A.shape[0]
# guess type
typ = A.dtype.char
if typ not in 'fd':
raise ValueError("matrix must be real valued (type must be 'f' or 'd')")
if M is not None:
raise NotImplementedError("generalized eigenproblem not supported yet")
if sigma is not None:
raise NotImplementedError("shifted eigenproblem not supported yet")
if ncv is None:
ncv=2*k+1
ncv=min(ncv,n)
if maxiter==None:
maxiter=n*10
# assign starting vector
if v0 is not None:
resid=v0
info=1
else:
resid = np.zeros(n,typ)
info=0
# some sanity checks
if k <= 0:
raise ValueError("k must be positive, k=%d"%k)
if k == n:
raise ValueError("k must be less than rank(A), k=%d"%k)
if maxiter <= 0:
raise ValueError("maxiter must be positive, maxiter=%d"%maxiter)
whiches=['LM','SM','LA','SA','BE']
if which not in whiches:
raise ValueError("which must be one of %s"%' '.join(whiches))
if ncv > n or ncv < k:
raise ValueError("ncv must be k<=ncv<=n, ncv=%s"%ncv)
# assign solver and postprocessor
ltr = _type_conv[typ]
eigsolver = _arpack.__dict__[ltr+'saupd']
eigextract = _arpack.__dict__[ltr+'seupd']
# set output arrays, parameters, and workspace
v = np.zeros((n,ncv),typ)
workd = np.zeros(3*n,typ)
workl = np.zeros(ncv*(ncv+8),typ)
iparam = np.zeros(11,'int')
ipntr = np.zeros(11,'int')
ido = 0
# set solver mode and parameters
# only supported mode is 1: Ax=lx
ishfts = 1
mode1 = 1
bmat='I'
iparam[0] = ishfts
iparam[2] = maxiter
iparam[6] = mode1
while True:
ido,resid,v,iparam,ipntr,info =\
eigsolver(ido,bmat,which,k,tol,resid,v,
iparam,ipntr,workd,workl,info)
xslice = slice(ipntr[0]-1, ipntr[0]-1+n)
yslice = slice(ipntr[1]-1, ipntr[1]-1+n)
if ido == -1:
# initialization
workd[yslice]=A.matvec(workd[xslice])
elif ido == 1:
# compute y=Ax
workd[yslice]=A.matvec(workd[xslice])
else:
break
if info < -1 :
raise RuntimeError("Error info=%d in arpack" % info)
return None
if info == 1:
warnings.warn("Maximum number of iterations taken: %s" % iparam[2])
if iparam[4] < k:
warnings.warn("Only %d/%d eigenvectors converged" % (iparam[4], k))
# now extract eigenvalues and (optionally) eigenvectors
rvec = return_eigenvectors
ierr = 0
howmny = 'A' # return all eigenvectors
sselect = np.zeros(ncv,'int') # unused
sigma = 0.0 # no shifts, not implemented
d,z,info =\
eigextract(rvec,howmny,sselect,sigma,
bmat,which, k,tol,resid,v,iparam[0:7],ipntr,
workd[0:2*n],workl,ierr)
if ierr != 0:
raise RuntimeError("Error info=%d in arpack"%info)
return None
if return_eigenvectors:
return d,z
return d
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