863 lines
26 KiB
Python
863 lines
26 KiB
Python
"""
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Sparse matrix functions
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"""
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#
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# Authors: Travis Oliphant, March 2002
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# Anthony Scopatz, August 2012 (Sparse Updates)
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# Jake Vanderplas, August 2012 (Sparse Updates)
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#
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from __future__ import division, print_function, absolute_import
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__all__ = ['expm', 'inv']
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import math
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import numpy as np
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import scipy.special
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from scipy.linalg.basic import solve, solve_triangular
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from scipy.sparse.base import isspmatrix
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from scipy.sparse.construct import eye as speye
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from scipy.sparse.linalg import spsolve
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import scipy.sparse
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import scipy.sparse.linalg
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from scipy.sparse.linalg.interface import LinearOperator
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UPPER_TRIANGULAR = 'upper_triangular'
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def inv(A):
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"""
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Compute the inverse of a sparse matrix
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Parameters
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----------
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A : (M,M) ndarray or sparse matrix
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square matrix to be inverted
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Returns
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-------
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Ainv : (M,M) ndarray or sparse matrix
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inverse of `A`
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Notes
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-----
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This computes the sparse inverse of `A`. If the inverse of `A` is expected
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to be non-sparse, it will likely be faster to convert `A` to dense and use
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scipy.linalg.inv.
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Examples
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--------
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>>> from scipy.sparse import csc_matrix
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>>> from scipy.sparse.linalg import inv
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>>> A = csc_matrix([[1., 0.], [1., 2.]])
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>>> Ainv = inv(A)
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>>> Ainv
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<2x2 sparse matrix of type '<class 'numpy.float64'>'
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with 3 stored elements in Compressed Sparse Column format>
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>>> A.dot(Ainv)
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<2x2 sparse matrix of type '<class 'numpy.float64'>'
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with 2 stored elements in Compressed Sparse Column format>
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>>> A.dot(Ainv).todense()
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matrix([[ 1., 0.],
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[ 0., 1.]])
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.. versionadded:: 0.12.0
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"""
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#check input
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if not scipy.sparse.isspmatrix(A):
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raise TypeError('Input must be a sparse matrix')
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I = speye(A.shape[0], A.shape[1], dtype=A.dtype, format=A.format)
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Ainv = spsolve(A, I)
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return Ainv
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def _onenorm_matrix_power_nnm(A, p):
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"""
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Compute the 1-norm of a non-negative integer power of a non-negative matrix.
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Parameters
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----------
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A : a square ndarray or matrix or sparse matrix
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Input matrix with non-negative entries.
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p : non-negative integer
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The power to which the matrix is to be raised.
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Returns
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-------
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out : float
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The 1-norm of the matrix power p of A.
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"""
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# check input
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if int(p) != p or p < 0:
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raise ValueError('expected non-negative integer p')
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p = int(p)
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if len(A.shape) != 2 or A.shape[0] != A.shape[1]:
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raise ValueError('expected A to be like a square matrix')
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# Explicitly make a column vector so that this works when A is a
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# numpy matrix (in addition to ndarray and sparse matrix).
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v = np.ones((A.shape[0], 1), dtype=float)
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M = A.T
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for i in range(p):
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v = M.dot(v)
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return np.max(v)
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def _onenorm(A):
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# A compatibility function which should eventually disappear.
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# This is copypasted from expm_action.
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if scipy.sparse.isspmatrix(A):
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return max(abs(A).sum(axis=0).flat)
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else:
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return np.linalg.norm(A, 1)
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def _ident_like(A):
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# A compatibility function which should eventually disappear.
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# This is copypasted from expm_action.
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if scipy.sparse.isspmatrix(A):
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return scipy.sparse.construct.eye(A.shape[0], A.shape[1],
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dtype=A.dtype, format=A.format)
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else:
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return np.eye(A.shape[0], A.shape[1], dtype=A.dtype)
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def _is_upper_triangular(A):
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# This function could possibly be of wider interest.
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if isspmatrix(A):
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lower_part = scipy.sparse.tril(A, -1)
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# Check structural upper triangularity,
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# then coincidental upper triangularity if needed.
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return lower_part.nnz == 0 or lower_part.count_nonzero() == 0
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else:
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return not np.tril(A, -1).any()
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def _smart_matrix_product(A, B, alpha=None, structure=None):
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"""
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A matrix product that knows about sparse and structured matrices.
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Parameters
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----------
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A : 2d ndarray
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First matrix.
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B : 2d ndarray
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Second matrix.
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alpha : float
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The matrix product will be scaled by this constant.
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structure : str, optional
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A string describing the structure of both matrices `A` and `B`.
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Only `upper_triangular` is currently supported.
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Returns
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-------
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M : 2d ndarray
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Matrix product of A and B.
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"""
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if len(A.shape) != 2:
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raise ValueError('expected A to be a rectangular matrix')
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if len(B.shape) != 2:
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raise ValueError('expected B to be a rectangular matrix')
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f = None
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if structure == UPPER_TRIANGULAR:
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if not isspmatrix(A) and not isspmatrix(B):
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f, = scipy.linalg.get_blas_funcs(('trmm',), (A, B))
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if f is not None:
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if alpha is None:
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alpha = 1.
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out = f(alpha, A, B)
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else:
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if alpha is None:
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out = A.dot(B)
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else:
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out = alpha * A.dot(B)
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return out
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class MatrixPowerOperator(LinearOperator):
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def __init__(self, A, p, structure=None):
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if A.ndim != 2 or A.shape[0] != A.shape[1]:
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raise ValueError('expected A to be like a square matrix')
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if p < 0:
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raise ValueError('expected p to be a non-negative integer')
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self._A = A
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self._p = p
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self._structure = structure
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self.dtype = A.dtype
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self.ndim = A.ndim
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self.shape = A.shape
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def _matvec(self, x):
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for i in range(self._p):
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x = self._A.dot(x)
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return x
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def _rmatvec(self, x):
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A_T = self._A.T
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x = x.ravel()
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for i in range(self._p):
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x = A_T.dot(x)
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return x
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def _matmat(self, X):
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for i in range(self._p):
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X = _smart_matrix_product(self._A, X, structure=self._structure)
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return X
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@property
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def T(self):
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return MatrixPowerOperator(self._A.T, self._p)
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class ProductOperator(LinearOperator):
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"""
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For now, this is limited to products of multiple square matrices.
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"""
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def __init__(self, *args, **kwargs):
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self._structure = kwargs.get('structure', None)
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for A in args:
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if len(A.shape) != 2 or A.shape[0] != A.shape[1]:
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raise ValueError(
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'For now, the ProductOperator implementation is '
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'limited to the product of multiple square matrices.')
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if args:
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n = args[0].shape[0]
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for A in args:
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for d in A.shape:
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if d != n:
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raise ValueError(
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'The square matrices of the ProductOperator '
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'must all have the same shape.')
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self.shape = (n, n)
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self.ndim = len(self.shape)
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self.dtype = np.find_common_type([x.dtype for x in args], [])
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self._operator_sequence = args
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def _matvec(self, x):
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for A in reversed(self._operator_sequence):
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x = A.dot(x)
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return x
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def _rmatvec(self, x):
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x = x.ravel()
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for A in self._operator_sequence:
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x = A.T.dot(x)
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return x
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def _matmat(self, X):
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for A in reversed(self._operator_sequence):
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X = _smart_matrix_product(A, X, structure=self._structure)
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return X
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@property
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def T(self):
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T_args = [A.T for A in reversed(self._operator_sequence)]
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return ProductOperator(*T_args)
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def _onenormest_matrix_power(A, p,
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t=2, itmax=5, compute_v=False, compute_w=False, structure=None):
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"""
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Efficiently estimate the 1-norm of A^p.
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Parameters
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----------
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A : ndarray
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Matrix whose 1-norm of a power is to be computed.
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p : int
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Non-negative integer power.
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t : int, optional
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A positive parameter controlling the tradeoff between
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accuracy versus time and memory usage.
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Larger values take longer and use more memory
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but give more accurate output.
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itmax : int, optional
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Use at most this many iterations.
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compute_v : bool, optional
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Request a norm-maximizing linear operator input vector if True.
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compute_w : bool, optional
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Request a norm-maximizing linear operator output vector if True.
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Returns
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-------
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est : float
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An underestimate of the 1-norm of the sparse matrix.
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v : ndarray, optional
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The vector such that ||Av||_1 == est*||v||_1.
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It can be thought of as an input to the linear operator
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that gives an output with particularly large norm.
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w : ndarray, optional
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The vector Av which has relatively large 1-norm.
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It can be thought of as an output of the linear operator
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that is relatively large in norm compared to the input.
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"""
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return scipy.sparse.linalg.onenormest(
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MatrixPowerOperator(A, p, structure=structure))
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def _onenormest_product(operator_seq,
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t=2, itmax=5, compute_v=False, compute_w=False, structure=None):
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"""
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Efficiently estimate the 1-norm of the matrix product of the args.
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Parameters
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----------
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operator_seq : linear operator sequence
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Matrices whose 1-norm of product is to be computed.
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t : int, optional
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A positive parameter controlling the tradeoff between
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accuracy versus time and memory usage.
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Larger values take longer and use more memory
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but give more accurate output.
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itmax : int, optional
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Use at most this many iterations.
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compute_v : bool, optional
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Request a norm-maximizing linear operator input vector if True.
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compute_w : bool, optional
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Request a norm-maximizing linear operator output vector if True.
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structure : str, optional
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A string describing the structure of all operators.
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Only `upper_triangular` is currently supported.
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Returns
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-------
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est : float
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An underestimate of the 1-norm of the sparse matrix.
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v : ndarray, optional
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The vector such that ||Av||_1 == est*||v||_1.
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It can be thought of as an input to the linear operator
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that gives an output with particularly large norm.
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w : ndarray, optional
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The vector Av which has relatively large 1-norm.
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It can be thought of as an output of the linear operator
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that is relatively large in norm compared to the input.
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"""
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return scipy.sparse.linalg.onenormest(
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ProductOperator(*operator_seq, structure=structure))
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class _ExpmPadeHelper(object):
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"""
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Help lazily evaluate a matrix exponential.
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The idea is to not do more work than we need for high expm precision,
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so we lazily compute matrix powers and store or precompute
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other properties of the matrix.
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"""
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def __init__(self, A, structure=None, use_exact_onenorm=False):
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"""
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Initialize the object.
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Parameters
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----------
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A : a dense or sparse square numpy matrix or ndarray
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The matrix to be exponentiated.
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structure : str, optional
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A string describing the structure of matrix `A`.
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Only `upper_triangular` is currently supported.
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use_exact_onenorm : bool, optional
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If True then only the exact one-norm of matrix powers and products
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will be used. Otherwise, the one-norm of powers and products
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may initially be estimated.
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"""
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self.A = A
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self._A2 = None
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self._A4 = None
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self._A6 = None
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self._A8 = None
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self._A10 = None
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self._d4_exact = None
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self._d6_exact = None
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self._d8_exact = None
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self._d10_exact = None
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self._d4_approx = None
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self._d6_approx = None
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self._d8_approx = None
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self._d10_approx = None
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self.ident = _ident_like(A)
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self.structure = structure
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self.use_exact_onenorm = use_exact_onenorm
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@property
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def A2(self):
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if self._A2 is None:
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self._A2 = _smart_matrix_product(
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self.A, self.A, structure=self.structure)
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return self._A2
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@property
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def A4(self):
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if self._A4 is None:
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self._A4 = _smart_matrix_product(
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self.A2, self.A2, structure=self.structure)
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return self._A4
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@property
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def A6(self):
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if self._A6 is None:
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self._A6 = _smart_matrix_product(
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self.A4, self.A2, structure=self.structure)
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return self._A6
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@property
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def A8(self):
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if self._A8 is None:
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self._A8 = _smart_matrix_product(
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self.A6, self.A2, structure=self.structure)
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return self._A8
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@property
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def A10(self):
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if self._A10 is None:
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self._A10 = _smart_matrix_product(
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self.A4, self.A6, structure=self.structure)
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return self._A10
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@property
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def d4_tight(self):
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if self._d4_exact is None:
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self._d4_exact = _onenorm(self.A4)**(1/4.)
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return self._d4_exact
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@property
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def d6_tight(self):
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if self._d6_exact is None:
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self._d6_exact = _onenorm(self.A6)**(1/6.)
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return self._d6_exact
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@property
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def d8_tight(self):
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if self._d8_exact is None:
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self._d8_exact = _onenorm(self.A8)**(1/8.)
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return self._d8_exact
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@property
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def d10_tight(self):
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if self._d10_exact is None:
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self._d10_exact = _onenorm(self.A10)**(1/10.)
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return self._d10_exact
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@property
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def d4_loose(self):
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if self.use_exact_onenorm:
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return self.d4_tight
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if self._d4_exact is not None:
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return self._d4_exact
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else:
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if self._d4_approx is None:
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self._d4_approx = _onenormest_matrix_power(self.A2, 2,
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structure=self.structure)**(1/4.)
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return self._d4_approx
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@property
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def d6_loose(self):
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if self.use_exact_onenorm:
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return self.d6_tight
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if self._d6_exact is not None:
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return self._d6_exact
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else:
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if self._d6_approx is None:
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self._d6_approx = _onenormest_matrix_power(self.A2, 3,
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structure=self.structure)**(1/6.)
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return self._d6_approx
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@property
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def d8_loose(self):
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if self.use_exact_onenorm:
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return self.d8_tight
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if self._d8_exact is not None:
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return self._d8_exact
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else:
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if self._d8_approx is None:
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self._d8_approx = _onenormest_matrix_power(self.A4, 2,
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structure=self.structure)**(1/8.)
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return self._d8_approx
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@property
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def d10_loose(self):
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if self.use_exact_onenorm:
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return self.d10_tight
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if self._d10_exact is not None:
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return self._d10_exact
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else:
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if self._d10_approx is None:
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self._d10_approx = _onenormest_product((self.A4, self.A6),
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structure=self.structure)**(1/10.)
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return self._d10_approx
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def pade3(self):
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b = (120., 60., 12., 1.)
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U = _smart_matrix_product(self.A,
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b[3]*self.A2 + b[1]*self.ident,
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structure=self.structure)
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V = b[2]*self.A2 + b[0]*self.ident
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return U, V
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def pade5(self):
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b = (30240., 15120., 3360., 420., 30., 1.)
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U = _smart_matrix_product(self.A,
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b[5]*self.A4 + b[3]*self.A2 + b[1]*self.ident,
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structure=self.structure)
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V = b[4]*self.A4 + b[2]*self.A2 + b[0]*self.ident
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return U, V
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def pade7(self):
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b = (17297280., 8648640., 1995840., 277200., 25200., 1512., 56., 1.)
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U = _smart_matrix_product(self.A,
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b[7]*self.A6 + b[5]*self.A4 + b[3]*self.A2 + b[1]*self.ident,
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structure=self.structure)
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V = b[6]*self.A6 + b[4]*self.A4 + b[2]*self.A2 + b[0]*self.ident
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return U, V
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def pade9(self):
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b = (17643225600., 8821612800., 2075673600., 302702400., 30270240.,
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2162160., 110880., 3960., 90., 1.)
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U = _smart_matrix_product(self.A,
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(b[9]*self.A8 + b[7]*self.A6 + b[5]*self.A4 +
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b[3]*self.A2 + b[1]*self.ident),
|
|
structure=self.structure)
|
|
V = (b[8]*self.A8 + b[6]*self.A6 + b[4]*self.A4 +
|
|
b[2]*self.A2 + b[0]*self.ident)
|
|
return U, V
|
|
|
|
def pade13_scaled(self, s):
|
|
b = (64764752532480000., 32382376266240000., 7771770303897600.,
|
|
1187353796428800., 129060195264000., 10559470521600.,
|
|
670442572800., 33522128640., 1323241920., 40840800., 960960.,
|
|
16380., 182., 1.)
|
|
B = self.A * 2**-s
|
|
B2 = self.A2 * 2**(-2*s)
|
|
B4 = self.A4 * 2**(-4*s)
|
|
B6 = self.A6 * 2**(-6*s)
|
|
U2 = _smart_matrix_product(B6,
|
|
b[13]*B6 + b[11]*B4 + b[9]*B2,
|
|
structure=self.structure)
|
|
U = _smart_matrix_product(B,
|
|
(U2 + b[7]*B6 + b[5]*B4 +
|
|
b[3]*B2 + b[1]*self.ident),
|
|
structure=self.structure)
|
|
V2 = _smart_matrix_product(B6,
|
|
b[12]*B6 + b[10]*B4 + b[8]*B2,
|
|
structure=self.structure)
|
|
V = V2 + b[6]*B6 + b[4]*B4 + b[2]*B2 + b[0]*self.ident
|
|
return U, V
|
|
|
|
|
|
def expm(A):
|
|
"""
|
|
Compute the matrix exponential using Pade approximation.
|
|
|
|
Parameters
|
|
----------
|
|
A : (M,M) array_like or sparse matrix
|
|
2D Array or Matrix (sparse or dense) to be exponentiated
|
|
|
|
Returns
|
|
-------
|
|
expA : (M,M) ndarray
|
|
Matrix exponential of `A`
|
|
|
|
Notes
|
|
-----
|
|
This is algorithm (6.1) which is a simplification of algorithm (5.1).
|
|
|
|
.. versionadded:: 0.12.0
|
|
|
|
References
|
|
----------
|
|
.. [1] Awad H. Al-Mohy and Nicholas J. Higham (2009)
|
|
"A New Scaling and Squaring Algorithm for the Matrix Exponential."
|
|
SIAM Journal on Matrix Analysis and Applications.
|
|
31 (3). pp. 970-989. ISSN 1095-7162
|
|
|
|
Examples
|
|
--------
|
|
>>> from scipy.sparse import csc_matrix
|
|
>>> from scipy.sparse.linalg import expm
|
|
>>> A = csc_matrix([[1, 0, 0], [0, 2, 0], [0, 0, 3]])
|
|
>>> A.todense()
|
|
matrix([[1, 0, 0],
|
|
[0, 2, 0],
|
|
[0, 0, 3]], dtype=int64)
|
|
>>> Aexp = expm(A)
|
|
>>> Aexp
|
|
<3x3 sparse matrix of type '<class 'numpy.float64'>'
|
|
with 3 stored elements in Compressed Sparse Column format>
|
|
>>> Aexp.todense()
|
|
matrix([[ 2.71828183, 0. , 0. ],
|
|
[ 0. , 7.3890561 , 0. ],
|
|
[ 0. , 0. , 20.08553692]])
|
|
"""
|
|
return _expm(A, use_exact_onenorm='auto')
|
|
|
|
|
|
def _expm(A, use_exact_onenorm):
|
|
# Core of expm, separated to allow testing exact and approximate
|
|
# algorithms.
|
|
|
|
# Avoid indiscriminate asarray() to allow sparse or other strange arrays.
|
|
if isinstance(A, (list, tuple)):
|
|
A = np.asarray(A)
|
|
if len(A.shape) != 2 or A.shape[0] != A.shape[1]:
|
|
raise ValueError('expected a square matrix')
|
|
|
|
# Trivial case
|
|
if A.shape == (1, 1):
|
|
out = [[np.exp(A[0, 0])]]
|
|
|
|
# Avoid indiscriminate casting to ndarray to
|
|
# allow for sparse or other strange arrays
|
|
if isspmatrix(A):
|
|
return A.__class__(out)
|
|
|
|
return np.array(out)
|
|
|
|
# Detect upper triangularity.
|
|
structure = UPPER_TRIANGULAR if _is_upper_triangular(A) else None
|
|
|
|
if use_exact_onenorm == "auto":
|
|
# Hardcode a matrix order threshold for exact vs. estimated one-norms.
|
|
use_exact_onenorm = A.shape[0] < 200
|
|
|
|
# Track functions of A to help compute the matrix exponential.
|
|
h = _ExpmPadeHelper(
|
|
A, structure=structure, use_exact_onenorm=use_exact_onenorm)
|
|
|
|
# Try Pade order 3.
|
|
eta_1 = max(h.d4_loose, h.d6_loose)
|
|
if eta_1 < 1.495585217958292e-002 and _ell(h.A, 3) == 0:
|
|
U, V = h.pade3()
|
|
return _solve_P_Q(U, V, structure=structure)
|
|
|
|
# Try Pade order 5.
|
|
eta_2 = max(h.d4_tight, h.d6_loose)
|
|
if eta_2 < 2.539398330063230e-001 and _ell(h.A, 5) == 0:
|
|
U, V = h.pade5()
|
|
return _solve_P_Q(U, V, structure=structure)
|
|
|
|
# Try Pade orders 7 and 9.
|
|
eta_3 = max(h.d6_tight, h.d8_loose)
|
|
if eta_3 < 9.504178996162932e-001 and _ell(h.A, 7) == 0:
|
|
U, V = h.pade7()
|
|
return _solve_P_Q(U, V, structure=structure)
|
|
if eta_3 < 2.097847961257068e+000 and _ell(h.A, 9) == 0:
|
|
U, V = h.pade9()
|
|
return _solve_P_Q(U, V, structure=structure)
|
|
|
|
# Use Pade order 13.
|
|
eta_4 = max(h.d8_loose, h.d10_loose)
|
|
eta_5 = min(eta_3, eta_4)
|
|
theta_13 = 4.25
|
|
|
|
# Choose smallest s>=0 such that 2**(-s) eta_5 <= theta_13
|
|
if eta_5 == 0:
|
|
# Nilpotent special case
|
|
s = 0
|
|
else:
|
|
s = max(int(np.ceil(np.log2(eta_5 / theta_13))), 0)
|
|
s = s + _ell(2**-s * h.A, 13)
|
|
U, V = h.pade13_scaled(s)
|
|
X = _solve_P_Q(U, V, structure=structure)
|
|
if structure == UPPER_TRIANGULAR:
|
|
# Invoke Code Fragment 2.1.
|
|
X = _fragment_2_1(X, h.A, s)
|
|
else:
|
|
# X = r_13(A)^(2^s) by repeated squaring.
|
|
for i in range(s):
|
|
X = X.dot(X)
|
|
return X
|
|
|
|
|
|
def _solve_P_Q(U, V, structure=None):
|
|
"""
|
|
A helper function for expm_2009.
|
|
|
|
Parameters
|
|
----------
|
|
U : ndarray
|
|
Pade numerator.
|
|
V : ndarray
|
|
Pade denominator.
|
|
structure : str, optional
|
|
A string describing the structure of both matrices `U` and `V`.
|
|
Only `upper_triangular` is currently supported.
|
|
|
|
Notes
|
|
-----
|
|
The `structure` argument is inspired by similar args
|
|
for theano and cvxopt functions.
|
|
|
|
"""
|
|
P = U + V
|
|
Q = -U + V
|
|
if isspmatrix(U):
|
|
return spsolve(Q, P)
|
|
elif structure is None:
|
|
return solve(Q, P)
|
|
elif structure == UPPER_TRIANGULAR:
|
|
return solve_triangular(Q, P)
|
|
else:
|
|
raise ValueError('unsupported matrix structure: ' + str(structure))
|
|
|
|
|
|
def _sinch(x):
|
|
"""
|
|
Stably evaluate sinch.
|
|
|
|
Notes
|
|
-----
|
|
The strategy of falling back to a sixth order Taylor expansion
|
|
was suggested by the Spallation Neutron Source docs
|
|
which was found on the internet by google search.
|
|
http://www.ornl.gov/~t6p/resources/xal/javadoc/gov/sns/tools/math/ElementaryFunction.html
|
|
The details of the cutoff point and the Horner-like evaluation
|
|
was picked without reference to anything in particular.
|
|
|
|
Note that sinch is not currently implemented in scipy.special,
|
|
whereas the "engineer's" definition of sinc is implemented.
|
|
The implementation of sinc involves a scaling factor of pi
|
|
that distinguishes it from the "mathematician's" version of sinc.
|
|
|
|
"""
|
|
|
|
# If x is small then use sixth order Taylor expansion.
|
|
# How small is small? I am using the point where the relative error
|
|
# of the approximation is less than 1e-14.
|
|
# If x is large then directly evaluate sinh(x) / x.
|
|
x2 = x*x
|
|
if abs(x) < 0.0135:
|
|
return 1 + (x2/6.)*(1 + (x2/20.)*(1 + (x2/42.)))
|
|
else:
|
|
return np.sinh(x) / x
|
|
|
|
|
|
def _eq_10_42(lam_1, lam_2, t_12):
|
|
"""
|
|
Equation (10.42) of Functions of Matrices: Theory and Computation.
|
|
|
|
Notes
|
|
-----
|
|
This is a helper function for _fragment_2_1 of expm_2009.
|
|
Equation (10.42) is on page 251 in the section on Schur algorithms.
|
|
In particular, section 10.4.3 explains the Schur-Parlett algorithm.
|
|
expm([[lam_1, t_12], [0, lam_1])
|
|
=
|
|
[[exp(lam_1), t_12*exp((lam_1 + lam_2)/2)*sinch((lam_1 - lam_2)/2)],
|
|
[0, exp(lam_2)]
|
|
"""
|
|
|
|
# The plain formula t_12 * (exp(lam_2) - exp(lam_2)) / (lam_2 - lam_1)
|
|
# apparently suffers from cancellation, according to Higham's textbook.
|
|
# A nice implementation of sinch, defined as sinh(x)/x,
|
|
# will apparently work around the cancellation.
|
|
a = 0.5 * (lam_1 + lam_2)
|
|
b = 0.5 * (lam_1 - lam_2)
|
|
return t_12 * np.exp(a) * _sinch(b)
|
|
|
|
|
|
def _fragment_2_1(X, T, s):
|
|
"""
|
|
A helper function for expm_2009.
|
|
|
|
Notes
|
|
-----
|
|
The argument X is modified in-place, but this modification is not the same
|
|
as the returned value of the function.
|
|
This function also takes pains to do things in ways that are compatible
|
|
with sparse matrices, for example by avoiding fancy indexing
|
|
and by using methods of the matrices whenever possible instead of
|
|
using functions of the numpy or scipy libraries themselves.
|
|
|
|
"""
|
|
# Form X = r_m(2^-s T)
|
|
# Replace diag(X) by exp(2^-s diag(T)).
|
|
n = X.shape[0]
|
|
diag_T = np.ravel(T.diagonal().copy())
|
|
|
|
# Replace diag(X) by exp(2^-s diag(T)).
|
|
scale = 2 ** -s
|
|
exp_diag = np.exp(scale * diag_T)
|
|
for k in range(n):
|
|
X[k, k] = exp_diag[k]
|
|
|
|
for i in range(s-1, -1, -1):
|
|
X = X.dot(X)
|
|
|
|
# Replace diag(X) by exp(2^-i diag(T)).
|
|
scale = 2 ** -i
|
|
exp_diag = np.exp(scale * diag_T)
|
|
for k in range(n):
|
|
X[k, k] = exp_diag[k]
|
|
|
|
# Replace (first) superdiagonal of X by explicit formula
|
|
# for superdiagonal of exp(2^-i T) from Eq (10.42) of
|
|
# the author's 2008 textbook
|
|
# Functions of Matrices: Theory and Computation.
|
|
for k in range(n-1):
|
|
lam_1 = scale * diag_T[k]
|
|
lam_2 = scale * diag_T[k+1]
|
|
t_12 = scale * T[k, k+1]
|
|
value = _eq_10_42(lam_1, lam_2, t_12)
|
|
X[k, k+1] = value
|
|
|
|
# Return the updated X matrix.
|
|
return X
|
|
|
|
|
|
def _ell(A, m):
|
|
"""
|
|
A helper function for expm_2009.
|
|
|
|
Parameters
|
|
----------
|
|
A : linear operator
|
|
A linear operator whose norm of power we care about.
|
|
m : int
|
|
The power of the linear operator
|
|
|
|
Returns
|
|
-------
|
|
value : int
|
|
A value related to a bound.
|
|
|
|
"""
|
|
if len(A.shape) != 2 or A.shape[0] != A.shape[1]:
|
|
raise ValueError('expected A to be like a square matrix')
|
|
|
|
p = 2*m + 1
|
|
|
|
# The c_i are explained in (2.2) and (2.6) of the 2005 expm paper.
|
|
# They are coefficients of terms of a generating function series expansion.
|
|
choose_2p_p = scipy.special.comb(2*p, p, exact=True)
|
|
abs_c_recip = float(choose_2p_p * math.factorial(2*p + 1))
|
|
|
|
# This is explained after Eq. (1.2) of the 2009 expm paper.
|
|
# It is the "unit roundoff" of IEEE double precision arithmetic.
|
|
u = 2**-53
|
|
|
|
# Compute the one-norm of matrix power p of abs(A).
|
|
A_abs_onenorm = _onenorm_matrix_power_nnm(abs(A), p)
|
|
|
|
# Treat zero norm as a special case.
|
|
if not A_abs_onenorm:
|
|
return 0
|
|
|
|
alpha = A_abs_onenorm / (_onenorm(A) * abs_c_recip)
|
|
log2_alpha_div_u = np.log2(alpha/u)
|
|
value = int(np.ceil(log2_alpha_div_u / (2 * m)))
|
|
return max(value, 0)
|