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
|
##' Find a Specified Number of Eigenvalues/vectors of a Square Matrix
##'
##' @description
##' Given an \eqn{n} by \eqn{n} matrix \eqn{A},
##' function \code{eigs()} can calculate a specified
##' number of eigenvalues and eigenvectors of \eqn{A}.
##' Users can specify the selection criterion by argument
##' \code{which}, e.g., choosing the \eqn{k} largest or smallest
##' eigenvalues and the corresponding eigenvectors.
##'
##' Currently \code{eigs()} supports matrices of the following classes:
##'
##' \tabular{ll}{
##' \code{matrix} \tab The most commonly used matrix type,
##' defined in the \strong{base} package.\cr
##' \code{dgeMatrix} \tab General matrix, equivalent to \code{matrix},
##' defined in the \strong{Matrix} package.\cr
##' \code{dgCMatrix} \tab Column oriented sparse matrix, defined in
##' the \strong{Matrix} package.\cr
##' \code{dgRMatrix} \tab Row oriented sparse matrix, defined in
##' the \strong{Matrix} package.\cr
##' \code{dsyMatrix} \tab Symmetric matrix, defined in the \strong{Matrix}
##' package.\cr
##' \code{dsCMatrix} \tab Symmetric column oriented sparse matrix, defined in
##' the \strong{Matrix} package.\cr
##' \code{dsRMatrix} \tab Symmetric row oriented sparse matrix, defined in
##' the \strong{Matrix} package.\cr
##' \code{function} \tab Implicitly specify the matrix through a
##' function that has the effect of calculating
##' \eqn{f(x)=Ax}{f(x) = A * x}. See section
##' \strong{Function Interface} for details.
##' }
##'
##' \code{eigs_sym()} assumes the matrix is symmetric,
##' and only the lower triangle (or upper triangle, which is
##' controlled by the argument \code{lower}) is used for
##' computation, which guarantees that the eigenvalues and eigenvectors are
##' real, and in general results in faster and more stable computation.
##' One exception is when \code{A} is a function, in which case the user is
##' responsible for the symmetry of the operator.
##'
##' \code{eigs_sym()} supports "matrix", "dgeMatrix", "dgCMatrix", "dgRMatrix"
##' and "function" typed matrices.
##'
##' @param A The matrix whose eigenvalues/vectors are to be computed.
##' It can also be a function which receives a vector \eqn{x}
##' and calculates \eqn{Ax}{A * x}.
##' See section \strong{Function Interface} for details.
##' @param k Number of eigenvalues requested.
##' @param which Selection criterion. See \strong{Details} below.
##' @param sigma Shift parameter. See section \strong{Shift-And-Invert Mode}.
##' @param opts Control parameters related to the computing
##' algorithm. See \strong{Details} below.
##' @param \dots Arguments for specialized S3 function calls, for example
##' \code{lower}, \code{n} and \code{args}.
##' @param lower For symmetric matrices, should the lower triangle
##' or upper triangle be used.
##' @param n Only used when \code{A} is a function, to specify the
##' dimension of the implicit matrix. See section
##' \strong{Function Interface} for details.
##' @param args Only used when \code{A} is a function. This argument
##' will be passed to the \code{A} function when it is called.
##' See section \strong{Function Interface} for details.
##'
##' @details The \code{which} argument is a character string
##' that specifies the type of eigenvalues to be computed.
##' Possible values are:
##'
##' \tabular{ll}{
##' "LM" \tab The \eqn{k} eigenvalues with largest magnitude. Here the
##' magnitude means the Euclidean norm of complex numbers.\cr
##' "SM" \tab The \eqn{k} eigenvalues with smallest magnitude.\cr
##' "LR" \tab The \eqn{k} eigenvalues with largest real part.\cr
##' "SR" \tab The \eqn{k} eigenvalues with smallest real part.\cr
##' "LI" \tab The \eqn{k} eigenvalues with largest imaginary part.\cr
##' "SI" \tab The \eqn{k} eigenvalues with smallest imaginary part.\cr
##' "LA" \tab The \eqn{k} largest (algebraic) eigenvalues, considering any
##' negative sign.\cr
##' "SA" \tab The \eqn{k} smallest (algebraic) eigenvalues, considering any
##' negative sign.\cr
##' "BE" \tab Compute \eqn{k} eigenvalues, half from each end of the
##' spectrum. When \eqn{k} is odd, compute more from the high
##' and then from the low end.
##' }
##'
##' \code{eigs()} with matrix types "matrix", "dgeMatrix", "dgCMatrix"
##' and "dgRMatrix" can use "LM", "SM", "LR", "SR", "LI" and "SI".
##'
##' \code{eigs_sym()} with all supported matrix types,
##' and \code{eigs()} with symmetric matrix types
##' ("dsyMatrix", "dsCMatrix", and "dsRMatrix") can use "LM", "SM", "LA", "SA" and "BE".
##'
##' The \code{opts} argument is a list that can supply any of the
##' following parameters:
##'
##' \describe{
##' \item{\code{ncv}}{Number of Lanzcos basis vectors to use. More vectors
##' will result in faster convergence, but with greater
##' memory use. For general matrix, \code{ncv} must satisfy
##' \eqn{k+2\le ncv \le n}{k+2 <= ncv <= n}, and
##' for symmetric matrix, the constraint is
##' \eqn{k < ncv \le n}{k < ncv <= n}.
##' Default is \code{min(n, max(2*k+1, 20))}.}
##' \item{\code{tol}}{Precision parameter. Default is 1e-10.}
##' \item{\code{maxitr}}{Maximum number of iterations. Default is 1000.}
##' \item{\code{retvec}}{Whether to compute eigenvectors. If FALSE,
##' only calculate and return eigenvalues.}
##' \item{\code{initvec}}{Initial vector of length \eqn{n} supplied to the
##' Arnoldi/Lanczos iteration. It may speed up the convergence
##' if \code{initvec} is close to an eigenvector of \eqn{A}.}
##' }
##'
##' @section Shift-And-Invert Mode:
##' The \code{sigma} argument is used in the shift-and-invert mode.
##'
##' When \code{sigma} is not \code{NULL}, the selection criteria specified
##' by argument \code{which} will apply to
##'
##' \deqn{\frac{1}{\lambda-\sigma}}{1/(\lambda-\sigma)}
##'
##' where \eqn{\lambda}'s are the eigenvalues of \eqn{A}. This mode is useful
##' when user wants to find eigenvalues closest to a given number.
##' For example, if \eqn{\sigma=0}, then \code{which = "LM"} will select the
##' largest values of \eqn{1/|\lambda|}, which turns out to select
##' eigenvalues of \eqn{A} that have the smallest magnitude. The result of
##' using \code{which = "LM", sigma = 0} will be the same as
##' \code{which = "SM"}, but the former one is preferable
##' in that \code{eigs()} is good at finding large
##' eigenvalues rather than small ones. More explanation of the
##' shift-and-invert mode can be found in the SciPy document,
##' \url{https://docs.scipy.org/doc/scipy/tutorial/arpack.html}.
##'
##' @section Function Interface:
##' The matrix \eqn{A} can be specified through a function with
##' the definition
##'
##' \preformatted{function(x, args)
##' {
##' ## should return A \%*\% x
##' }}
##'
##' which receives a vector \code{x} as an argument and returns a vector
##' of the same length. The function should have the effect of calculating
##' \eqn{Ax}{A * x}, and extra arguments can be passed in through the
##' \code{args} parameter. In \code{eigs()}, user should also provide
##' the dimension of the implicit matrix through the argument \code{n}.
##'
##' @return A list of converged eigenvalues and eigenvectors.
##' \item{values}{Computed eigenvalues.}
##' \item{vectors}{Computed eigenvectors. \code{vectors[, j]} corresponds to \code{values[j]}.}
##' \item{nconv}{Number of converged eigenvalues.}
##' \item{niter}{Number of iterations used in the computation.}
##' \item{nops}{Number of matrix operations used in the computation.}
##' @author Yixuan Qiu \url{https://statr.me}
##'
##' Jiali Mei \email{vermouthmjl@@gmail.com}
##' @seealso \code{\link[base]{eigen}()}, \code{\link[base]{svd}()},
##' \code{\link[RSpectra]{svds}()}
##'
##' @export
##' @rdname eigs
##' @keywords array
##' @examples
##' library(Matrix)
##' n = 20
##' k = 5
##'
##' ## general matrices have complex eigenvalues
##' set.seed(111)
##' A1 = matrix(rnorm(n^2), n) ## class "matrix"
##' A2 = Matrix(A1) ## class "dgeMatrix"
##'
##' eigs(A1, k)
##' eigs(A2, k, opts = list(retvec = FALSE)) ## eigenvalues only
##'
##' ## Sparse matrices
##' A1[sample(n^2, n^2 / 2)] = 0
##' A3 = as(A1, "dgCMatrix")
##' A4 = as(A1, "dgRMatrix")
##'
##' eigs(A3, k)
##' eigs(A4, k)
##'
##' ## Function interface
##' f = function(x, args)
##' {
##' as.numeric(args %*% x)
##' }
##' eigs(f, k, n = n, args = A3)
##'
##' ## Symmetric matrices have real eigenvalues
##' A5 = crossprod(A1)
##' eigs_sym(A5, k)
##'
##' ## Find the smallest (in absolute value) k eigenvalues of A5
##' eigs_sym(A5, k, which = "SM")
##'
##' ## Another way to do this: use the sigma argument
##' eigs_sym(A5, k, sigma = 0)
##'
##' ## The results should be the same,
##' ## but the latter method is far more stable on large matrices
eigs <- function(A, k, which = "LM", sigma = NULL, opts = list(), ...)
UseMethod("eigs")
##' @rdname eigs
##' @export
eigs.matrix <- function(A, k, which = "LM", sigma = NULL, opts = list(), ...)
{
if (is_sym(A) &&
which %in% c("LM", "SM", "LR", "SR") &&
(is.null(sigma) || Im(sigma) == 0)
) {
if(which == "LR") which = "LA"
if(which == "SR") which = "SA"
## `sym_matrix` is a "fake" matrix type we use in C++. It means we view
## the matrix as a symmetric one. The extra argument `use_lower`
## indicates whether it uses the lower or upper triangular part.
eigs_real_sym(A, nrow(A), k, which, sigma, opts, mattype = "sym_matrix",
extra_args = list(use_lower = TRUE))
} else {
eigs_real_gen(A, nrow(A), k, which, sigma, opts, mattype = "matrix")
}
}
##' @rdname eigs
##' @export
eigs.dgeMatrix <- function(A, k, which = "LM", sigma = NULL, opts = list(), ...)
{
if (is_sym(A) &&
which %in% c("LM", "SM", "LR", "SR") &&
(is.null(sigma) || Im(sigma) == 0)
) {
if (which == "LR") which = "LA"
if (which == "SR") which = "SA"
## `sym_dgeMatrix` is a "fake" matrix type we use in C++. It means the matrix
## can be treated as a `dgeMatrix`, but we view it as a symmetric matrix.
## The extra argument `use_lower` indicates whether it uses the lower or
## upper triangular part.
eigs_real_sym(A, nrow(A), k, which, sigma, opts, mattype = "sym_dgeMatrix",
extra_args = list(use_lower = TRUE))
} else {
eigs_real_gen(A, nrow(A), k, which, sigma, opts, mattype = "dgeMatrix")
}
}
##' @rdname eigs
##' @export
eigs.dsyMatrix <- function(A, k, which = "LM", sigma = NULL, opts = list(), ...)
eigs_real_sym(A, nrow(A), k, which, sigma, opts, mattype = "dsyMatrix",
extra_args = list(use_lower = (A@uplo == "L")))
##' @rdname eigs
##' @export
eigs.dgCMatrix <- function(A, k, which = "LM", sigma = NULL, opts = list(), ...)
{
if (is_sym(A) &&
which %in% c("LM", "SM", "LR", "SR") &&
(is.null(sigma) || Im(sigma) == 0)
) {
if (which == "LR") which = "LA"
if (which == "SR") which = "SA"
## `sym_dgCMatrix` is a "fake" matrix type we use in C++. It means the matrix
## can be treated as a `dgCMatrix`, but we view it as a symmetric matrix.
## The extra argument `use_lower` indicates whether it uses the lower or
## upper triangular part.
eigs_real_sym(A, nrow(A), k, which, sigma, opts, mattype = "sym_dgCMatrix",
extra_args = list(use_lower = TRUE))
} else {
eigs_real_gen(A, nrow(A), k, which, sigma, opts, mattype = "dgCMatrix")
}
}
##' @rdname eigs
##' @export
eigs.dsCMatrix <- function(A, k, which = "LM", sigma = NULL, opts = list(), ...)
{
## `dsCMatrix` is always symmetric.
## It can be treated as a `sym_dgCMatrix`, but not vice versa, since
## `dgCMatrix` does not have an `uplo` slot.
eigs_real_sym(A, nrow(A), k, which, sigma, opts, mattype = "sym_dgCMatrix",
extra_args = list(use_lower = (A@uplo == "L")))
}
##' @rdname eigs
##' @export
eigs.dgRMatrix <- function(A, k, which = "LM", sigma = NULL, opts = list(), ...)
{
if (is_sym(A) &&
which %in% c("LM", "SM", "LR", "SR") &&
(is.null(sigma) || Im(sigma) == 0)
) {
if (which == "LR") which = "LA"
if (which == "SR") which = "SA"
## `sym_dgRMatrix` is a "fake" matrix type we use in C++. It means the matrix
## can be treated as a `dgRMatrix`, but we view it as a symmetric matrix.
## The extra argument `use_lower` indicates whether it uses the lower or
## upper triangular part.
eigs_real_sym(A, nrow(A), k, which, sigma, opts, mattype = "sym_dgRMatrix",
extra_args = list(use_lower = TRUE))
} else {
eigs_real_gen(A, nrow(A), k, which, sigma, opts, mattype = "dgRMatrix")
}
}
##' @rdname eigs
##' @export
eigs.dsRMatrix <- function(A, k, which = "LM", sigma = NULL, opts = list(), ...)
{
## `dsRMatrix` is always symmetric.
## It can be treated as a `sym_dgRMatrix`, but not vice versa, since
## `dgRMatrix` does not have an `uplo` slot.
eigs_real_sym(A, nrow(A), k, which, sigma, opts, mattype = "sym_dgRMatrix",
extra_args = list(use_lower = (A@uplo == "L")))
}
##' @rdname eigs
##' @export
eigs.function <- function(A, k, which = "LM", sigma = NULL, opts = list(), ...,
n = NULL, args = NULL)
eigs_real_gen(A, as.integer(n), k, which, sigma, opts, mattype = "function",
extra_args = list(Atrans = function() NULL, fun_args = args))
## Atrans is just a fake function here since it is only used in svds()
##' @rdname eigs
##' @usage eigs_sym(A, k, which = "LM", sigma = NULL, opts = list(),
##' lower = TRUE, ...)
##' @export
eigs_sym <- function(A, k, which = "LM", sigma = NULL, opts = list(),
lower = TRUE, ...)
UseMethod("eigs_sym")
eigs_sym.matrix <- function(A, k, which = "LM", sigma = NULL, opts = list(),
lower = TRUE, ...)
{
eigs_real_sym(A, nrow(A), k, which, sigma, opts, mattype = "sym_matrix",
extra_args = list(use_lower = as.logical(lower)))
}
eigs_sym.dgeMatrix <- function(A, k, which = "LM", sigma = NULL, opts = list(),
lower = TRUE, ...)
{
eigs_real_sym(A, nrow(A), k, which, sigma, opts, mattype = "sym_dgeMatrix",
extra_args = list(use_lower = as.logical(lower)))
}
eigs_sym.dgCMatrix <- function(A, k, which = "LM", sigma = NULL, opts = list(),
lower = TRUE, ...)
{
eigs_real_sym(A, nrow(A), k, which, sigma, opts, mattype = "sym_dgCMatrix",
extra_args = list(use_lower = as.logical(lower)))
}
eigs_sym.dgRMatrix <- function(A, k, which = "LM", sigma = NULL, opts = list(),
lower = TRUE, ...)
{
eigs_real_sym(A, nrow(A), k, which, sigma, opts, mattype = "sym_dgRMatrix",
extra_args = list(use_lower = as.logical(lower)))
}
##' @rdname eigs
##' @export
eigs_sym.function <- function(A, k, which = "LM", sigma = NULL, opts = list(),
lower = TRUE, ..., n = NULL, args = NULL)
{
eigs_real_sym(A, as.integer(n), k, which, sigma, opts, mattype = "function",
extra_args = list(Atrans = function() NULL, fun_args = args))
## Atrans is just a fake function here since it is only used in svds()
}
## Some enumerations
# Matrix types
MAT_TYPE = c("matrix" = 0L, "sym_matrix" = 1L,
"dgeMatrix" = 2L, "sym_dgeMatrix" = 3L,
"dsyMatrix" = 4L,
"dgCMatrix" = 5L, "sym_dgCMatrix" = 6L,
"dgRMatrix" = 7L, "sym_dgRMatrix" = 8L,
"function" = 9L)
# Solver types
SOLVER_TYPE = c("regular" = 0L, "real_shift" = 1L, "complex_shift" = 2L)
# Selection rules
EIGS_RULE = c("LM" = 0L, "LR" = 1L, "LI" = 2L, "LA" = 3L, "SM" = 4L,
"SR" = 5L, "SI" = 6L, "SA" = 7L, "BE" = 8L)
|