569 lines
19 KiB
Python
569 lines
19 KiB
Python
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"""
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Pure SciPy implementation of Locally Optimal Block Preconditioned Conjugate
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Gradient Method (LOBPCG), see
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https://bitbucket.org/joseroman/blopex
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License: BSD
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Authors: Robert Cimrman, Andrew Knyazev
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Examples in tests directory contributed by Nils Wagner.
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"""
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from __future__ import division, print_function, absolute_import
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import sys
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import numpy as np
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from numpy.testing import assert_allclose
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from scipy._lib.six import xrange
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from scipy.linalg import inv, eigh, cho_factor, cho_solve, cholesky
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from scipy.sparse.linalg import aslinearoperator, LinearOperator
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__all__ = ['lobpcg']
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def pause():
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# Used only when verbosity level > 10.
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input()
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def save(ar, fileName):
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# Used only when verbosity level > 10.
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from numpy import savetxt
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savetxt(fileName, ar, precision=8)
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def _assert_symmetric(M, rtol=1e-5, atol=1e-8):
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assert_allclose(M.T.conj(), M, rtol=rtol, atol=atol)
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##
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# 21.05.2007, c
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def as2d(ar):
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"""
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If the input array is 2D return it, if it is 1D, append a dimension,
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making it a column vector.
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"""
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if ar.ndim == 2:
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return ar
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else: # Assume 1!
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aux = np.array(ar, copy=False)
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aux.shape = (ar.shape[0], 1)
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return aux
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def _makeOperator(operatorInput, expectedShape):
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"""Takes a dense numpy array or a sparse matrix or
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a function and makes an operator performing matrix * blockvector
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products.
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Examples
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--------
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>>> A = _makeOperator( arrayA, (n, n) )
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>>> vectorB = A( vectorX )
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"""
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if operatorInput is None:
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def ident(x):
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return x
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operator = LinearOperator(expectedShape, ident, matmat=ident)
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else:
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operator = aslinearoperator(operatorInput)
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if operator.shape != expectedShape:
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raise ValueError('operator has invalid shape')
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return operator
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def _applyConstraints(blockVectorV, factYBY, blockVectorBY, blockVectorY):
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"""Changes blockVectorV in place."""
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gramYBV = np.dot(blockVectorBY.T.conj(), blockVectorV)
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tmp = cho_solve(factYBY, gramYBV)
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blockVectorV -= np.dot(blockVectorY, tmp)
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def _b_orthonormalize(B, blockVectorV, blockVectorBV=None, retInvR=False):
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if blockVectorBV is None:
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if B is not None:
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blockVectorBV = B(blockVectorV)
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else:
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blockVectorBV = blockVectorV # Shared data!!!
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gramVBV = np.dot(blockVectorV.T.conj(), blockVectorBV)
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gramVBV = cholesky(gramVBV)
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gramVBV = inv(gramVBV, overwrite_a=True)
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# gramVBV is now R^{-1}.
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blockVectorV = np.dot(blockVectorV, gramVBV)
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if B is not None:
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blockVectorBV = np.dot(blockVectorBV, gramVBV)
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if retInvR:
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return blockVectorV, blockVectorBV, gramVBV
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else:
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return blockVectorV, blockVectorBV
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def lobpcg(A, X,
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B=None, M=None, Y=None,
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tol=None, maxiter=20,
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largest=True, verbosityLevel=0,
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retLambdaHistory=False, retResidualNormsHistory=False):
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"""Locally Optimal Block Preconditioned Conjugate Gradient Method (LOBPCG)
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LOBPCG is a preconditioned eigensolver for large symmetric positive
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definite (SPD) generalized eigenproblems.
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Parameters
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----------
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A : {sparse matrix, dense matrix, LinearOperator}
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The symmetric linear operator of the problem, usually a
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sparse matrix. Often called the "stiffness matrix".
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X : array_like
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Initial approximation to the k eigenvectors. If A has
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shape=(n,n) then X should have shape shape=(n,k).
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B : {dense matrix, sparse matrix, LinearOperator}, optional
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the right hand side operator in a generalized eigenproblem.
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by default, B = Identity
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often called the "mass matrix"
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M : {dense matrix, sparse matrix, LinearOperator}, optional
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preconditioner to A; by default M = Identity
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M should approximate the inverse of A
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Y : array_like, optional
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n-by-sizeY matrix of constraints, sizeY < n
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The iterations will be performed in the B-orthogonal complement
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of the column-space of Y. Y must be full rank.
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Returns
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-------
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w : array
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Array of k eigenvalues
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v : array
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An array of k eigenvectors. V has the same shape as X.
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Other Parameters
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----------------
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tol : scalar, optional
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Solver tolerance (stopping criterion)
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by default: tol=n*sqrt(eps)
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maxiter : integer, optional
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maximum number of iterations
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by default: maxiter=min(n,20)
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largest : bool, optional
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when True, solve for the largest eigenvalues, otherwise the smallest
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verbosityLevel : integer, optional
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controls solver output. default: verbosityLevel = 0.
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retLambdaHistory : boolean, optional
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whether to return eigenvalue history
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retResidualNormsHistory : boolean, optional
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whether to return history of residual norms
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Examples
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--------
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Solve A x = lambda B x with constraints and preconditioning.
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>>> from scipy.sparse import spdiags, issparse
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>>> from scipy.sparse.linalg import lobpcg, LinearOperator
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>>> n = 100
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>>> vals = [np.arange(n, dtype=np.float64) + 1]
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>>> A = spdiags(vals, 0, n, n)
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>>> A.toarray()
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array([[ 1., 0., 0., ..., 0., 0., 0.],
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[ 0., 2., 0., ..., 0., 0., 0.],
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[ 0., 0., 3., ..., 0., 0., 0.],
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...,
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[ 0., 0., 0., ..., 98., 0., 0.],
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[ 0., 0., 0., ..., 0., 99., 0.],
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[ 0., 0., 0., ..., 0., 0., 100.]])
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Constraints.
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>>> Y = np.eye(n, 3)
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Initial guess for eigenvectors, should have linearly independent
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columns. Column dimension = number of requested eigenvalues.
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>>> X = np.random.rand(n, 3)
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Preconditioner -- inverse of A (as an abstract linear operator).
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>>> invA = spdiags([1./vals[0]], 0, n, n)
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>>> def precond( x ):
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... return invA * x
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>>> M = LinearOperator(matvec=precond, shape=(n, n), dtype=float)
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Here, ``invA`` could of course have been used directly as a preconditioner.
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Let us then solve the problem:
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>>> eigs, vecs = lobpcg(A, X, Y=Y, M=M, tol=1e-4, maxiter=40, largest=False)
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>>> eigs
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array([ 4., 5., 6.])
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Note that the vectors passed in Y are the eigenvectors of the 3 smallest
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eigenvalues. The results returned are orthogonal to those.
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Notes
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-----
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If both retLambdaHistory and retResidualNormsHistory are True,
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the return tuple has the following format
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(lambda, V, lambda history, residual norms history).
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In the following ``n`` denotes the matrix size and ``m`` the number
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of required eigenvalues (smallest or largest).
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The LOBPCG code internally solves eigenproblems of the size 3``m`` on every
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iteration by calling the "standard" dense eigensolver, so if ``m`` is not
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small enough compared to ``n``, it does not make sense to call the LOBPCG
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code, but rather one should use the "standard" eigensolver,
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e.g. numpy or scipy function in this case.
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If one calls the LOBPCG algorithm for 5``m``>``n``,
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it will most likely break internally, so the code tries to call the standard
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function instead.
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It is not that n should be large for the LOBPCG to work, but rather the
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ratio ``n``/``m`` should be large. It you call the LOBPCG code with ``m``=1
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and ``n``=10, it should work, though ``n`` is small. The method is intended
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for extremely large ``n``/``m``, see e.g., reference [28] in
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http://arxiv.org/abs/0705.2626
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The convergence speed depends basically on two factors:
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1. How well relatively separated the seeking eigenvalues are
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from the rest of the eigenvalues.
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One can try to vary ``m`` to make this better.
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2. How well conditioned the problem is. This can be changed by using proper
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preconditioning. For example, a rod vibration test problem (under tests
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directory) is ill-conditioned for large ``n``, so convergence will be
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slow, unless efficient preconditioning is used.
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For this specific problem, a good simple preconditioner function would
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be a linear solve for A, which is easy to code since A is tridiagonal.
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*Acknowledgements*
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lobpcg.py code was written by Robert Cimrman.
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Many thanks belong to Andrew Knyazev, the author of the algorithm,
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for lots of advice and support.
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References
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----------
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.. [1] A. V. Knyazev (2001),
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Toward the Optimal Preconditioned Eigensolver: Locally Optimal
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Block Preconditioned Conjugate Gradient Method.
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SIAM Journal on Scientific Computing 23, no. 2,
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pp. 517-541. http://dx.doi.org/10.1137/S1064827500366124
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.. [2] A. V. Knyazev, I. Lashuk, M. E. Argentati, and E. Ovchinnikov (2007),
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Block Locally Optimal Preconditioned Eigenvalue Xolvers (BLOPEX)
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in hypre and PETSc. http://arxiv.org/abs/0705.2626
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.. [3] A. V. Knyazev's C and MATLAB implementations:
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https://bitbucket.org/joseroman/blopex
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"""
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blockVectorX = X
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blockVectorY = Y
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residualTolerance = tol
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maxIterations = maxiter
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if blockVectorY is not None:
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sizeY = blockVectorY.shape[1]
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else:
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sizeY = 0
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# Block size.
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if len(blockVectorX.shape) != 2:
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raise ValueError('expected rank-2 array for argument X')
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n, sizeX = blockVectorX.shape
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if sizeX > n:
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raise ValueError('X column dimension exceeds the row dimension')
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A = _makeOperator(A, (n,n))
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B = _makeOperator(B, (n,n))
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M = _makeOperator(M, (n,n))
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if (n - sizeY) < (5 * sizeX):
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# warn('The problem size is small compared to the block size.' \
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# ' Using dense eigensolver instead of LOBPCG.')
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if blockVectorY is not None:
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raise NotImplementedError('The dense eigensolver '
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'does not support constraints.')
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# Define the closed range of indices of eigenvalues to return.
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if largest:
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eigvals = (n - sizeX, n-1)
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else:
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eigvals = (0, sizeX-1)
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A_dense = A(np.eye(n))
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B_dense = None if B is None else B(np.eye(n))
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return eigh(A_dense, B_dense, eigvals=eigvals, check_finite=False)
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if residualTolerance is None:
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residualTolerance = np.sqrt(1e-15) * n
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maxIterations = min(n, maxIterations)
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if verbosityLevel:
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aux = "Solving "
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if B is None:
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aux += "standard"
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else:
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aux += "generalized"
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aux += " eigenvalue problem with"
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if M is None:
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aux += "out"
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aux += " preconditioning\n\n"
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aux += "matrix size %d\n" % n
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aux += "block size %d\n\n" % sizeX
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if blockVectorY is None:
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aux += "No constraints\n\n"
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else:
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if sizeY > 1:
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aux += "%d constraints\n\n" % sizeY
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else:
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aux += "%d constraint\n\n" % sizeY
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print(aux)
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##
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# Apply constraints to X.
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if blockVectorY is not None:
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if B is not None:
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blockVectorBY = B(blockVectorY)
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else:
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blockVectorBY = blockVectorY
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# gramYBY is a dense array.
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gramYBY = np.dot(blockVectorY.T.conj(), blockVectorBY)
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try:
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# gramYBY is a Cholesky factor from now on...
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gramYBY = cho_factor(gramYBY)
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except:
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raise ValueError('cannot handle linearly dependent constraints')
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_applyConstraints(blockVectorX, gramYBY, blockVectorBY, blockVectorY)
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##
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# B-orthonormalize X.
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blockVectorX, blockVectorBX = _b_orthonormalize(B, blockVectorX)
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##
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# Compute the initial Ritz vectors: solve the eigenproblem.
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blockVectorAX = A(blockVectorX)
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gramXAX = np.dot(blockVectorX.T.conj(), blockVectorAX)
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_lambda, eigBlockVector = eigh(gramXAX, check_finite=False)
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ii = np.argsort(_lambda)[:sizeX]
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if largest:
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ii = ii[::-1]
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_lambda = _lambda[ii]
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eigBlockVector = np.asarray(eigBlockVector[:,ii])
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blockVectorX = np.dot(blockVectorX, eigBlockVector)
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blockVectorAX = np.dot(blockVectorAX, eigBlockVector)
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if B is not None:
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blockVectorBX = np.dot(blockVectorBX, eigBlockVector)
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##
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# Active index set.
|
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activeMask = np.ones((sizeX,), dtype=bool)
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||
|
|
|
||
|
|
lambdaHistory = [_lambda]
|
||
|
|
residualNormsHistory = []
|
||
|
|
|
||
|
|
previousBlockSize = sizeX
|
||
|
|
ident = np.eye(sizeX, dtype=A.dtype)
|
||
|
|
ident0 = np.eye(sizeX, dtype=A.dtype)
|
||
|
|
|
||
|
|
##
|
||
|
|
# Main iteration loop.
|
||
|
|
|
||
|
|
blockVectorP = None # set during iteration
|
||
|
|
blockVectorAP = None
|
||
|
|
blockVectorBP = None
|
||
|
|
|
||
|
|
for iterationNumber in xrange(maxIterations):
|
||
|
|
if verbosityLevel > 0:
|
||
|
|
print('iteration %d' % iterationNumber)
|
||
|
|
|
||
|
|
aux = blockVectorBX * _lambda[np.newaxis,:]
|
||
|
|
blockVectorR = blockVectorAX - aux
|
||
|
|
|
||
|
|
aux = np.sum(blockVectorR.conjugate() * blockVectorR, 0)
|
||
|
|
residualNorms = np.sqrt(aux)
|
||
|
|
|
||
|
|
residualNormsHistory.append(residualNorms)
|
||
|
|
|
||
|
|
ii = np.where(residualNorms > residualTolerance, True, False)
|
||
|
|
activeMask = activeMask & ii
|
||
|
|
if verbosityLevel > 2:
|
||
|
|
print(activeMask)
|
||
|
|
|
||
|
|
currentBlockSize = activeMask.sum()
|
||
|
|
if currentBlockSize != previousBlockSize:
|
||
|
|
previousBlockSize = currentBlockSize
|
||
|
|
ident = np.eye(currentBlockSize, dtype=A.dtype)
|
||
|
|
|
||
|
|
if currentBlockSize == 0:
|
||
|
|
break
|
||
|
|
|
||
|
|
if verbosityLevel > 0:
|
||
|
|
print('current block size:', currentBlockSize)
|
||
|
|
print('eigenvalue:', _lambda)
|
||
|
|
print('residual norms:', residualNorms)
|
||
|
|
if verbosityLevel > 10:
|
||
|
|
print(eigBlockVector)
|
||
|
|
|
||
|
|
activeBlockVectorR = as2d(blockVectorR[:,activeMask])
|
||
|
|
|
||
|
|
if iterationNumber > 0:
|
||
|
|
activeBlockVectorP = as2d(blockVectorP[:,activeMask])
|
||
|
|
activeBlockVectorAP = as2d(blockVectorAP[:,activeMask])
|
||
|
|
activeBlockVectorBP = as2d(blockVectorBP[:,activeMask])
|
||
|
|
|
||
|
|
if M is not None:
|
||
|
|
# Apply preconditioner T to the active residuals.
|
||
|
|
activeBlockVectorR = M(activeBlockVectorR)
|
||
|
|
|
||
|
|
##
|
||
|
|
# Apply constraints to the preconditioned residuals.
|
||
|
|
if blockVectorY is not None:
|
||
|
|
_applyConstraints(activeBlockVectorR,
|
||
|
|
gramYBY, blockVectorBY, blockVectorY)
|
||
|
|
|
||
|
|
##
|
||
|
|
# B-orthonormalize the preconditioned residuals.
|
||
|
|
|
||
|
|
aux = _b_orthonormalize(B, activeBlockVectorR)
|
||
|
|
activeBlockVectorR, activeBlockVectorBR = aux
|
||
|
|
|
||
|
|
activeBlockVectorAR = A(activeBlockVectorR)
|
||
|
|
|
||
|
|
if iterationNumber > 0:
|
||
|
|
aux = _b_orthonormalize(B, activeBlockVectorP,
|
||
|
|
activeBlockVectorBP, retInvR=True)
|
||
|
|
activeBlockVectorP, activeBlockVectorBP, invR = aux
|
||
|
|
activeBlockVectorAP = np.dot(activeBlockVectorAP, invR)
|
||
|
|
|
||
|
|
##
|
||
|
|
# Perform the Rayleigh Ritz Procedure:
|
||
|
|
# Compute symmetric Gram matrices:
|
||
|
|
|
||
|
|
xaw = np.dot(blockVectorX.T.conj(), activeBlockVectorAR)
|
||
|
|
waw = np.dot(activeBlockVectorR.T.conj(), activeBlockVectorAR)
|
||
|
|
xbw = np.dot(blockVectorX.T.conj(), activeBlockVectorBR)
|
||
|
|
|
||
|
|
if iterationNumber > 0:
|
||
|
|
xap = np.dot(blockVectorX.T.conj(), activeBlockVectorAP)
|
||
|
|
wap = np.dot(activeBlockVectorR.T.conj(), activeBlockVectorAP)
|
||
|
|
pap = np.dot(activeBlockVectorP.T.conj(), activeBlockVectorAP)
|
||
|
|
xbp = np.dot(blockVectorX.T.conj(), activeBlockVectorBP)
|
||
|
|
wbp = np.dot(activeBlockVectorR.T.conj(), activeBlockVectorBP)
|
||
|
|
|
||
|
|
gramA = np.bmat([[np.diag(_lambda), xaw, xap],
|
||
|
|
[xaw.T.conj(), waw, wap],
|
||
|
|
[xap.T.conj(), wap.T.conj(), pap]])
|
||
|
|
|
||
|
|
gramB = np.bmat([[ident0, xbw, xbp],
|
||
|
|
[xbw.T.conj(), ident, wbp],
|
||
|
|
[xbp.T.conj(), wbp.T.conj(), ident]])
|
||
|
|
else:
|
||
|
|
gramA = np.bmat([[np.diag(_lambda), xaw],
|
||
|
|
[xaw.T.conj(), waw]])
|
||
|
|
gramB = np.bmat([[ident0, xbw],
|
||
|
|
[xbw.T.conj(), ident]])
|
||
|
|
|
||
|
|
_assert_symmetric(gramA)
|
||
|
|
_assert_symmetric(gramB)
|
||
|
|
|
||
|
|
if verbosityLevel > 10:
|
||
|
|
save(gramA, 'gramA')
|
||
|
|
save(gramB, 'gramB')
|
||
|
|
|
||
|
|
# Solve the generalized eigenvalue problem.
|
||
|
|
_lambda, eigBlockVector = eigh(gramA, gramB, check_finite=False)
|
||
|
|
ii = np.argsort(_lambda)[:sizeX]
|
||
|
|
if largest:
|
||
|
|
ii = ii[::-1]
|
||
|
|
if verbosityLevel > 10:
|
||
|
|
print(ii)
|
||
|
|
|
||
|
|
_lambda = _lambda[ii]
|
||
|
|
eigBlockVector = eigBlockVector[:,ii]
|
||
|
|
|
||
|
|
lambdaHistory.append(_lambda)
|
||
|
|
|
||
|
|
if verbosityLevel > 10:
|
||
|
|
print('lambda:', _lambda)
|
||
|
|
## # Normalize eigenvectors!
|
||
|
|
## aux = np.sum( eigBlockVector.conjugate() * eigBlockVector, 0 )
|
||
|
|
## eigVecNorms = np.sqrt( aux )
|
||
|
|
## eigBlockVector = eigBlockVector / eigVecNorms[np.newaxis,:]
|
||
|
|
# eigBlockVector, aux = _b_orthonormalize( B, eigBlockVector )
|
||
|
|
|
||
|
|
if verbosityLevel > 10:
|
||
|
|
print(eigBlockVector)
|
||
|
|
pause()
|
||
|
|
|
||
|
|
##
|
||
|
|
# Compute Ritz vectors.
|
||
|
|
if iterationNumber > 0:
|
||
|
|
eigBlockVectorX = eigBlockVector[:sizeX]
|
||
|
|
eigBlockVectorR = eigBlockVector[sizeX:sizeX+currentBlockSize]
|
||
|
|
eigBlockVectorP = eigBlockVector[sizeX+currentBlockSize:]
|
||
|
|
|
||
|
|
pp = np.dot(activeBlockVectorR, eigBlockVectorR)
|
||
|
|
pp += np.dot(activeBlockVectorP, eigBlockVectorP)
|
||
|
|
|
||
|
|
app = np.dot(activeBlockVectorAR, eigBlockVectorR)
|
||
|
|
app += np.dot(activeBlockVectorAP, eigBlockVectorP)
|
||
|
|
|
||
|
|
bpp = np.dot(activeBlockVectorBR, eigBlockVectorR)
|
||
|
|
bpp += np.dot(activeBlockVectorBP, eigBlockVectorP)
|
||
|
|
else:
|
||
|
|
eigBlockVectorX = eigBlockVector[:sizeX]
|
||
|
|
eigBlockVectorR = eigBlockVector[sizeX:]
|
||
|
|
|
||
|
|
pp = np.dot(activeBlockVectorR, eigBlockVectorR)
|
||
|
|
app = np.dot(activeBlockVectorAR, eigBlockVectorR)
|
||
|
|
bpp = np.dot(activeBlockVectorBR, eigBlockVectorR)
|
||
|
|
|
||
|
|
if verbosityLevel > 10:
|
||
|
|
print(pp)
|
||
|
|
print(app)
|
||
|
|
print(bpp)
|
||
|
|
pause()
|
||
|
|
|
||
|
|
blockVectorX = np.dot(blockVectorX, eigBlockVectorX) + pp
|
||
|
|
blockVectorAX = np.dot(blockVectorAX, eigBlockVectorX) + app
|
||
|
|
blockVectorBX = np.dot(blockVectorBX, eigBlockVectorX) + bpp
|
||
|
|
|
||
|
|
blockVectorP, blockVectorAP, blockVectorBP = pp, app, bpp
|
||
|
|
|
||
|
|
aux = blockVectorBX * _lambda[np.newaxis,:]
|
||
|
|
blockVectorR = blockVectorAX - aux
|
||
|
|
|
||
|
|
aux = np.sum(blockVectorR.conjugate() * blockVectorR, 0)
|
||
|
|
residualNorms = np.sqrt(aux)
|
||
|
|
|
||
|
|
if verbosityLevel > 0:
|
||
|
|
print('final eigenvalue:', _lambda)
|
||
|
|
print('final residual norms:', residualNorms)
|
||
|
|
|
||
|
|
if retLambdaHistory:
|
||
|
|
if retResidualNormsHistory:
|
||
|
|
return _lambda, blockVectorX, lambdaHistory, residualNormsHistory
|
||
|
|
else:
|
||
|
|
return _lambda, blockVectorX, lambdaHistory
|
||
|
|
else:
|
||
|
|
if retResidualNormsHistory:
|
||
|
|
return _lambda, blockVectorX, residualNormsHistory
|
||
|
|
else:
|
||
|
|
return _lambda, blockVectorX
|