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
|
"""Basic linear factorizations needed by the solver."""
from __future__ import division, print_function, absolute_import
from scipy.sparse import (bmat, csc_matrix, eye, issparse)
from scipy.sparse.linalg import LinearOperator
import scipy.linalg
import scipy.sparse.linalg
try:
from sksparse.cholmod import cholesky_AAt
sksparse_available = True
except ImportError:
import warnings
sksparse_available = False
import numpy as np
from warnings import warn
__all__ = [
'orthogonality',
'projections',
]
def orthogonality(A, g):
"""Measure orthogonality between a vector and the null space of a matrix.
Compute a measure of orthogonality between the null space
of the (possibly sparse) matrix ``A`` and a given vector ``g``.
The formula is a simplified (and cheaper) version of formula (3.13)
from [1]_.
``orth = norm(A g, ord=2)/(norm(A, ord='fro')*norm(g, ord=2))``.
References
----------
.. [1] Gould, Nicholas IM, Mary E. Hribar, and Jorge Nocedal.
"On the solution of equality constrained quadratic
programming problems arising in optimization."
SIAM Journal on Scientific Computing 23.4 (2001): 1376-1395.
"""
# Compute vector norms
norm_g = np.linalg.norm(g)
# Compute Frobenius norm of the matrix A
if issparse(A):
norm_A = scipy.sparse.linalg.norm(A, ord='fro')
else:
norm_A = np.linalg.norm(A, ord='fro')
# Check if norms are zero
if norm_g == 0 or norm_A == 0:
return 0
norm_A_g = np.linalg.norm(A.dot(g))
# Orthogonality measure
orth = norm_A_g / (norm_A*norm_g)
return orth
def normal_equation_projections(A, m, n, orth_tol, max_refin, tol):
"""Return linear operators for matrix A using ``NormalEquation`` approach.
"""
# Cholesky factorization
factor = cholesky_AAt(A)
# z = x - A.T inv(A A.T) A x
def null_space(x):
v = factor(A.dot(x))
z = x - A.T.dot(v)
# Iterative refinement to improve roundoff
# errors described in [2]_, algorithm 5.1.
k = 0
while orthogonality(A, z) > orth_tol:
if k >= max_refin:
break
# z_next = z - A.T inv(A A.T) A z
v = factor(A.dot(z))
z = z - A.T.dot(v)
k += 1
return z
# z = inv(A A.T) A x
def least_squares(x):
return factor(A.dot(x))
# z = A.T inv(A A.T) x
def row_space(x):
return A.T.dot(factor(x))
return null_space, least_squares, row_space
def augmented_system_projections(A, m, n, orth_tol, max_refin, tol):
"""Return linear operators for matrix A - ``AugmentedSystem``."""
# Form augmented system
K = csc_matrix(bmat([[eye(n), A.T], [A, None]]))
# LU factorization
# TODO: Use a symmetric indefinite factorization
# to solve the system twice as fast (because
# of the symmetry).
try:
solve = scipy.sparse.linalg.factorized(K)
except RuntimeError:
warn("Singular Jacobian matrix. Using dense SVD decomposition to "
"perform the factorizations.")
return svd_factorization_projections(A.toarray(),
m, n, orth_tol,
max_refin, tol)
# z = x - A.T inv(A A.T) A x
# is computed solving the extended system:
# [I A.T] * [ z ] = [x]
# [A O ] [aux] [0]
def null_space(x):
# v = [x]
# [0]
v = np.hstack([x, np.zeros(m)])
# lu_sol = [ z ]
# [aux]
lu_sol = solve(v)
z = lu_sol[:n]
# Iterative refinement to improve roundoff
# errors described in [2]_, algorithm 5.2.
k = 0
while orthogonality(A, z) > orth_tol:
if k >= max_refin:
break
# new_v = [x] - [I A.T] * [ z ]
# [0] [A O ] [aux]
new_v = v - K.dot(lu_sol)
# [I A.T] * [delta z ] = new_v
# [A O ] [delta aux]
lu_update = solve(new_v)
# [ z ] += [delta z ]
# [aux] [delta aux]
lu_sol += lu_update
z = lu_sol[:n]
k += 1
# return z = x - A.T inv(A A.T) A x
return z
# z = inv(A A.T) A x
# is computed solving the extended system:
# [I A.T] * [aux] = [x]
# [A O ] [ z ] [0]
def least_squares(x):
# v = [x]
# [0]
v = np.hstack([x, np.zeros(m)])
# lu_sol = [aux]
# [ z ]
lu_sol = solve(v)
# return z = inv(A A.T) A x
return lu_sol[n:m+n]
# z = A.T inv(A A.T) x
# is computed solving the extended system:
# [I A.T] * [ z ] = [0]
# [A O ] [aux] [x]
def row_space(x):
# v = [0]
# [x]
v = np.hstack([np.zeros(n), x])
# lu_sol = [ z ]
# [aux]
lu_sol = solve(v)
# return z = A.T inv(A A.T) x
return lu_sol[:n]
return null_space, least_squares, row_space
def qr_factorization_projections(A, m, n, orth_tol, max_refin, tol):
"""Return linear operators for matrix A using ``QRFactorization`` approach.
"""
# QRFactorization
Q, R, P = scipy.linalg.qr(A.T, pivoting=True, mode='economic')
if np.linalg.norm(R[-1, :], np.inf) < tol:
warn('Singular Jacobian matrix. Using SVD decomposition to ' +
'perform the factorizations.')
return svd_factorization_projections(A, m, n,
orth_tol,
max_refin,
tol)
# z = x - A.T inv(A A.T) A x
def null_space(x):
# v = P inv(R) Q.T x
aux1 = Q.T.dot(x)
aux2 = scipy.linalg.solve_triangular(R, aux1, lower=False)
v = np.zeros(m)
v[P] = aux2
z = x - A.T.dot(v)
# Iterative refinement to improve roundoff
# errors described in [2]_, algorithm 5.1.
k = 0
while orthogonality(A, z) > orth_tol:
if k >= max_refin:
break
# v = P inv(R) Q.T x
aux1 = Q.T.dot(z)
aux2 = scipy.linalg.solve_triangular(R, aux1, lower=False)
v[P] = aux2
# z_next = z - A.T v
z = z - A.T.dot(v)
k += 1
return z
# z = inv(A A.T) A x
def least_squares(x):
# z = P inv(R) Q.T x
aux1 = Q.T.dot(x)
aux2 = scipy.linalg.solve_triangular(R, aux1, lower=False)
z = np.zeros(m)
z[P] = aux2
return z
# z = A.T inv(A A.T) x
def row_space(x):
# z = Q inv(R.T) P.T x
aux1 = x[P]
aux2 = scipy.linalg.solve_triangular(R, aux1,
lower=False,
trans='T')
z = Q.dot(aux2)
return z
return null_space, least_squares, row_space
def svd_factorization_projections(A, m, n, orth_tol, max_refin, tol):
"""Return linear operators for matrix A using ``SVDFactorization`` approach.
"""
# SVD Factorization
U, s, Vt = scipy.linalg.svd(A, full_matrices=False)
# Remove dimensions related with very small singular values
U = U[:, s > tol]
Vt = Vt[s > tol, :]
s = s[s > tol]
# z = x - A.T inv(A A.T) A x
def null_space(x):
# v = U 1/s V.T x = inv(A A.T) A x
aux1 = Vt.dot(x)
aux2 = 1/s*aux1
v = U.dot(aux2)
z = x - A.T.dot(v)
# Iterative refinement to improve roundoff
# errors described in [2]_, algorithm 5.1.
k = 0
while orthogonality(A, z) > orth_tol:
if k >= max_refin:
break
# v = U 1/s V.T x = inv(A A.T) A x
aux1 = Vt.dot(z)
aux2 = 1/s*aux1
v = U.dot(aux2)
# z_next = z - A.T v
z = z - A.T.dot(v)
k += 1
return z
# z = inv(A A.T) A x
def least_squares(x):
# z = U 1/s V.T x = inv(A A.T) A x
aux1 = Vt.dot(x)
aux2 = 1/s*aux1
z = U.dot(aux2)
return z
# z = A.T inv(A A.T) x
def row_space(x):
# z = V 1/s U.T x
aux1 = U.T.dot(x)
aux2 = 1/s*aux1
z = Vt.T.dot(aux2)
return z
return null_space, least_squares, row_space
def projections(A, method=None, orth_tol=1e-12, max_refin=3, tol=1e-15):
"""Return three linear operators related with a given matrix A.
Parameters
----------
A : sparse matrix (or ndarray), shape (m, n)
Matrix ``A`` used in the projection.
method : string, optional
Method used for compute the given linear
operators. Should be one of:
- 'NormalEquation': The operators
will be computed using the
so-called normal equation approach
explained in [1]_. In order to do
so the Cholesky factorization of
``(A A.T)`` is computed. Exclusive
for sparse matrices.
- 'AugmentedSystem': The operators
will be computed using the
so-called augmented system approach
explained in [1]_. Exclusive
for sparse matrices.
- 'QRFactorization': Compute projections
using QR factorization. Exclusive for
dense matrices.
- 'SVDFactorization': Compute projections
using SVD factorization. Exclusive for
dense matrices.
orth_tol : float, optional
Tolerance for iterative refinements.
max_refin : int, optional
Maximum number of iterative refinements
tol : float, optional
Tolerance for singular values
Returns
-------
Z : LinearOperator, shape (n, n)
Null-space operator. For a given vector ``x``,
the null space operator is equivalent to apply
a projection matrix ``P = I - A.T inv(A A.T) A``
to the vector. It can be shown that this is
equivalent to project ``x`` into the null space
of A.
LS : LinearOperator, shape (m, n)
Least-Square operator. For a given vector ``x``,
the least-square operator is equivalent to apply a
pseudoinverse matrix ``pinv(A.T) = inv(A A.T) A``
to the vector. It can be shown that this vector
``pinv(A.T) x`` is the least_square solution to
``A.T y = x``.
Y : LinearOperator, shape (n, m)
Row-space operator. For a given vector ``x``,
the row-space operator is equivalent to apply a
projection matrix ``Q = A.T inv(A A.T)``
to the vector. It can be shown that this
vector ``y = Q x`` the minimum norm solution
of ``A y = x``.
Notes
-----
Uses iterative refinements described in [1]
during the computation of ``Z`` in order to
cope with the possibility of large roundoff errors.
References
----------
.. [1] Gould, Nicholas IM, Mary E. Hribar, and Jorge Nocedal.
"On the solution of equality constrained quadratic
programming problems arising in optimization."
SIAM Journal on Scientific Computing 23.4 (2001): 1376-1395.
"""
m, n = np.shape(A)
# The factorization of an empty matrix
# only works for the sparse representation.
if m*n == 0:
A = csc_matrix(A)
# Check Argument
if issparse(A):
if method is None:
method = "AugmentedSystem"
if method not in ("NormalEquation", "AugmentedSystem"):
raise ValueError("Method not allowed for sparse matrix.")
if method == "NormalEquation" and not sksparse_available:
warnings.warn(("Only accepts 'NormalEquation' option when"
" scikit-sparse is available. Using "
"'AugmentedSystem' option instead."),
ImportWarning)
method = 'AugmentedSystem'
else:
if method is None:
method = "QRFactorization"
if method not in ("QRFactorization", "SVDFactorization"):
raise ValueError("Method not allowed for dense array.")
if method == 'NormalEquation':
null_space, least_squares, row_space \
= normal_equation_projections(A, m, n, orth_tol, max_refin, tol)
elif method == 'AugmentedSystem':
null_space, least_squares, row_space \
= augmented_system_projections(A, m, n, orth_tol, max_refin, tol)
elif method == "QRFactorization":
null_space, least_squares, row_space \
= qr_factorization_projections(A, m, n, orth_tol, max_refin, tol)
elif method == "SVDFactorization":
null_space, least_squares, row_space \
= svd_factorization_projections(A, m, n, orth_tol, max_refin, tol)
Z = LinearOperator((n, n), null_space)
LS = LinearOperator((m, n), least_squares)
Y = LinearOperator((n, m), row_space)
return Z, LS, Y
|