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"""Lite version of scipy.linalg.
Notes
-----
This module is a lite version of the linalg.py module in SciPy which
contains high-level Python interface to the LAPACK library. The lite
version only accesses the following LAPACK functions: dgesv, zgesv,
dgeev, zgeev, dgesdd, zgesdd, dgelsd, zgelsd, dsyevd, zheevd, dgetrf,
zgetrf, dpotrf, zpotrf, dgeqrf, zgeqrf, zungqr, dorgqr.
"""
__all__ = ['solve', 'tensorsolve', 'tensorinv',
'inv', 'cholesky',
'eigvals',
'eigvalsh', 'pinv',
'det', 'svd',
'eig', 'eigh','lstsq', 'norm',
'qr',
'LinAlgError'
]
from numpy.core import array, asarray, zeros, empty, transpose, \
intc, single, double, csingle, cdouble, inexact, complexfloating, \
newaxis, ravel, all, Inf, dot, add, multiply, identity, sqrt, \
maximum, flatnonzero, diagonal, arange, fastCopyAndTranspose, sum, \
isfinite, size
from numpy.lib import triu
from numpy.linalg import lapack_lite
fortran_int = intc
# Error object
class LinAlgError(Exception):
pass
def _makearray(a):
new = asarray(a)
wrap = getattr(a, "__array_wrap__", new.__array_wrap__)
return new, wrap
def isComplexType(t):
return issubclass(t, complexfloating)
_real_types_map = {single : single,
double : double,
csingle : single,
cdouble : double}
_complex_types_map = {single : csingle,
double : cdouble,
csingle : csingle,
cdouble : cdouble}
def _realType(t, default=double):
return _real_types_map.get(t, default)
def _complexType(t, default=cdouble):
return _complex_types_map.get(t, default)
def _linalgRealType(t):
"""Cast the type t to either double or cdouble."""
return double
_complex_types_map = {single : csingle,
double : cdouble,
csingle : csingle,
cdouble : cdouble}
def _commonType(*arrays):
# in lite version, use higher precision (always double or cdouble)
result_type = single
is_complex = False
for a in arrays:
if issubclass(a.dtype.type, inexact):
if isComplexType(a.dtype.type):
is_complex = True
rt = _realType(a.dtype.type, default=None)
if rt is None:
# unsupported inexact scalar
raise TypeError("array type %s is unsupported in linalg" %
(a.dtype.name,))
else:
rt = double
if rt is double:
result_type = double
if is_complex:
t = cdouble
result_type = _complex_types_map[result_type]
else:
t = double
return t, result_type
def _castCopyAndTranspose(type, *arrays):
if len(arrays) == 1:
return transpose(arrays[0]).astype(type)
else:
return [transpose(a).astype(type) for a in arrays]
# _fastCopyAndTranpose is an optimized version of _castCopyAndTranspose.
# It assumes the input is 2D (as all the calls in here are).
_fastCT = fastCopyAndTranspose
def _fastCopyAndTranspose(type, *arrays):
cast_arrays = ()
for a in arrays:
if a.dtype.type is type:
cast_arrays = cast_arrays + (_fastCT(a),)
else:
cast_arrays = cast_arrays + (_fastCT(a.astype(type)),)
if len(cast_arrays) == 1:
return cast_arrays[0]
else:
return cast_arrays
def _assertRank2(*arrays):
for a in arrays:
if len(a.shape) != 2:
raise LinAlgError, '%d-dimensional array given. Array must be \
two-dimensional' % len(a.shape)
def _assertSquareness(*arrays):
for a in arrays:
if max(a.shape) != min(a.shape):
raise LinAlgError, 'Array must be square'
def _assertFinite(*arrays):
for a in arrays:
if not (isfinite(a).all()):
raise LinAlgError, "Array must not contain infs or NaNs"
def _assertNonEmpty(*arrays):
for a in arrays:
if size(a) == 0:
raise LinAlgError("Arrays cannot be empty")
# Linear equations
def tensorsolve(a, b, axes=None):
"""Solve the tensor equation a x = b for x
It is assumed that all indices of x are summed over in the product,
together with the rightmost indices of a, similarly as in
tensordot(a, x, axes=len(b.shape)).
Parameters
----------
a : array, shape b.shape+Q
Coefficient tensor. Shape Q of the rightmost indices of a must
be such that a is 'square', ie., prod(Q) == prod(b.shape).
b : array, any shape
Right-hand tensor.
axes : tuple of integers
Axes in a to reorder to the right, before inversion.
If None (default), no reordering is done.
Returns
-------
x : array, shape Q
Examples
--------
>>> from numpy import *
>>> a = eye(2*3*4)
>>> a.shape = (2*3,4, 2,3,4)
>>> b = random.randn(2*3,4)
>>> x = linalg.tensorsolve(a, b)
>>> x.shape
(2, 3, 4)
>>> allclose(tensordot(a, x, axes=3), b)
True
"""
a = asarray(a)
b = asarray(b)
an = a.ndim
if axes is not None:
allaxes = range(0, an)
for k in axes:
allaxes.remove(k)
allaxes.insert(an, k)
a = a.transpose(allaxes)
oldshape = a.shape[-(an-b.ndim):]
prod = 1
for k in oldshape:
prod *= k
a = a.reshape(-1, prod)
b = b.ravel()
res = solve(a, b)
res.shape = oldshape
return res
def solve(a, b):
"""Solve the equation a x = b
Parameters
----------
a : array, shape (M, M)
b : array, shape (M,)
Returns
-------
x : array, shape (M,)
Raises LinAlgError if a is singular or not square
"""
one_eq = len(b.shape) == 1
if one_eq:
b = b[:, newaxis]
_assertRank2(a, b)
_assertSquareness(a)
n_eq = a.shape[0]
n_rhs = b.shape[1]
if n_eq != b.shape[0]:
raise LinAlgError, 'Incompatible dimensions'
t, result_t = _commonType(a, b)
# lapack_routine = _findLapackRoutine('gesv', t)
if isComplexType(t):
lapack_routine = lapack_lite.zgesv
else:
lapack_routine = lapack_lite.dgesv
a, b = _fastCopyAndTranspose(t, a, b)
pivots = zeros(n_eq, fortran_int)
results = lapack_routine(n_eq, n_rhs, a, n_eq, pivots, b, n_eq, 0)
if results['info'] > 0:
raise LinAlgError, 'Singular matrix'
if one_eq:
return b.ravel().astype(result_t)
else:
return b.transpose().astype(result_t)
def tensorinv(a, ind=2):
"""Find the 'inverse' of a N-d array
The result is an inverse corresponding to the operation
tensordot(a, b, ind), ie.,
x == tensordot(tensordot(tensorinv(a), a, ind), x, ind)
== tensordot(tensordot(a, tensorinv(a), ind), x, ind)
for all x (up to floating-point accuracy).
Parameters
----------
a : array
Tensor to 'invert'. Its shape must 'square', ie.,
prod(a.shape[:ind]) == prod(a.shape[ind:])
ind : integer > 0
How many of the first indices are involved in the inverse sum.
Returns
-------
b : array, shape a.shape[:ind]+a.shape[ind:]
Raises LinAlgError if a is singular or not square
Examples
--------
>>> from numpy import *
>>> a = eye(4*6)
>>> a.shape = (4,6,8,3)
>>> ainv = linalg.tensorinv(a, ind=2)
>>> ainv.shape
(8, 3, 4, 6)
>>> b = random.randn(4,6)
>>> allclose(tensordot(ainv, b), linalg.tensorsolve(a, b))
True
>>> a = eye(4*6)
>>> a.shape = (24,8,3)
>>> ainv = linalg.tensorinv(a, ind=1)
>>> ainv.shape
(8, 3, 24)
>>> b = random.randn(24)
>>> allclose(tensordot(ainv, b, 1), linalg.tensorsolve(a, b))
True
"""
a = asarray(a)
oldshape = a.shape
prod = 1
if ind > 0:
invshape = oldshape[ind:] + oldshape[:ind]
for k in oldshape[ind:]:
prod *= k
else:
raise ValueError, "Invalid ind argument."
a = a.reshape(prod, -1)
ia = inv(a)
return ia.reshape(*invshape)
# Matrix inversion
def inv(a):
"""Compute the inverse of a matrix.
Parameters
----------
a : array-like, shape (M, M)
Matrix to be inverted
Returns
-------
ainv : array-like, shape (M, M)
Inverse of the matrix a
Raises LinAlgError if a is singular or not square
Examples
--------
>>> from numpy import array, inv, dot
>>> a = array([[1., 2.], [3., 4.]])
>>> inv(a)
array([[-2. , 1. ],
[ 1.5, -0.5]])
>>> dot(a, inv(a))
array([[ 1., 0.],
[ 0., 1.]])
"""
a, wrap = _makearray(a)
return wrap(solve(a, identity(a.shape[0], dtype=a.dtype)))
# Cholesky decomposition
def cholesky(a):
"""Compute the Cholesky decomposition of a matrix.
Returns the Cholesky decomposition, :lm:`A = L L^*` of a Hermitian
positive-definite matrix :lm:`A`.
Parameters
----------
a : array, shape (M, M)
Matrix to be decomposed
Returns
-------
L : array, shape (M, M)
Lower-triangular Cholesky factor of A
Raises LinAlgError if decomposition fails
Examples
--------
>>> from numpy import array, linalg
>>> a = array([[1,-2j],[2j,5]])
>>> L = linalg.cholesky(a)
>>> L
array([[ 1.+0.j, 0.+0.j],
[ 0.+2.j, 1.+0.j]])
>>> dot(L, L.T.conj())
array([[ 1.+0.j, 0.-2.j],
[ 0.+2.j, 5.+0.j]])
"""
_assertRank2(a)
_assertSquareness(a)
t, result_t = _commonType(a)
a = _fastCopyAndTranspose(t, a)
m = a.shape[0]
n = a.shape[1]
if isComplexType(t):
lapack_routine = lapack_lite.zpotrf
else:
lapack_routine = lapack_lite.dpotrf
results = lapack_routine('L', n, a, m, 0)
if results['info'] > 0:
raise LinAlgError, 'Matrix is not positive definite - \
Cholesky decomposition cannot be computed'
s = triu(a, k=0).transpose()
if (s.dtype != result_t):
return s.astype(result_t)
return s
# QR decompostion
def qr(a, mode='full'):
"""Compute QR decomposition of a matrix.
Calculate the decomposition :lm:`A = Q R` where Q is orthonormal
and R upper triangular.
Parameters
----------
a : array, shape (M, N)
Matrix to be decomposed
mode : {'full', 'r', 'economic'}
Determines what information is to be returned. 'full' is the default.
Economic mode is slightly faster if only R is needed.
Returns
-------
mode = 'full'
Q : double or complex array, shape (M, K)
R : double or complex array, shape (K, N)
Size K = min(M, N)
mode = 'r'
R : double or complex array, shape (K, N)
mode = 'economic'
A2 : double or complex array, shape (M, N)
The diagonal and the upper triangle of A2 contains R,
while the rest of the matrix is undefined.
Raises LinAlgError if decomposition fails
Notes
-----
This is an interface to the LAPACK routines dgeqrf, zgeqrf,
dorgqr, and zungqr.
Examples
--------
>>> from numpy import *
>>> a = random.randn(9, 6)
>>> q, r = linalg.qr(a)
>>> allclose(a, dot(q, r))
True
>>> r2 = linalg.qr(a, mode='r')
>>> r3 = linalg.qr(a, mode='economic')
>>> allclose(r, r2)
True
>>> allclose(r, triu(r3[:6,:6], k=0))
True
"""
_assertRank2(a)
m, n = a.shape
t, result_t = _commonType(a)
a = _fastCopyAndTranspose(t, a)
mn = min(m, n)
tau = zeros((mn,), t)
if isComplexType(t):
lapack_routine = lapack_lite.zgeqrf
routine_name = 'zgeqrf'
else:
lapack_routine = lapack_lite.dgeqrf
routine_name = 'dgeqrf'
# calculate optimal size of work data 'work'
lwork = 1
work = zeros((lwork,), t)
results = lapack_routine(m, n, a, m, tau, work, -1, 0)
if results['info'] != 0:
raise LinAlgError, '%s returns %d' % (routine_name, results['info'])
# do qr decomposition
lwork = int(abs(work[0]))
work = zeros((lwork,), t)
results = lapack_routine(m, n, a, m, tau, work, lwork, 0)
if results['info'] != 0:
raise LinAlgError, '%s returns %d' % (routine_name, results['info'])
# economic mode. Isn't actually economic.
if mode[0] == 'e':
if t != result_t :
a = a.astype(result_t)
return a.T
# generate r
r = _fastCopyAndTranspose(result_t, a[:,:mn])
for i in range(mn):
r[i,:i].fill(0.0)
# 'r'-mode, that is, calculate only r
if mode[0] == 'r':
return r
# from here on: build orthonormal matrix q from a
if isComplexType(t):
lapack_routine = lapack_lite.zungqr
routine_name = 'zungqr'
else:
lapack_routine = lapack_lite.dorgqr
routine_name = 'dorgqr'
# determine optimal lwork
lwork = 1
work = zeros((lwork,), t)
results = lapack_routine(m, mn, mn, a, m, tau, work, -1, 0)
if results['info'] != 0:
raise LinAlgError, '%s returns %d' % (routine_name, results['info'])
# compute q
lwork = int(abs(work[0]))
work = zeros((lwork,), t)
results = lapack_routine(m, mn, mn, a, m, tau, work, lwork, 0)
if results['info'] != 0:
raise LinAlgError, '%s returns %d' % (routine_name, results['info'])
q = _fastCopyAndTranspose(result_t, a[:mn,:])
return q, r
# Eigenvalues
def eigvals(a):
"""Compute the eigenvalues of a general matrix.
Parameters
----------
a : array, shape (M, M)
A complex or real matrix whose eigenvalues and eigenvectors
will be computed.
Returns
-------
w : double or complex array, shape (M,)
The eigenvalues, each repeated according to its multiplicity.
They are not necessarily ordered, nor are they necessarily
real for real matrices.
Raises LinAlgError if eigenvalue computation does not converge
See Also
--------
eig : eigenvalues and right eigenvectors of general arrays
eigvalsh : eigenvalues of symmetric or Hemitiean arrays.
eigh : eigenvalues and eigenvectors of symmetric/Hermitean arrays.
Notes
-----
This is a simple interface to the LAPACK routines dgeev and zgeev
that sets the flags to return only the eigenvalues of general real
and complex arrays respectively.
The number w is an eigenvalue of a if there exists a vector v
satisfying the equation dot(a,v) = w*v. Alternately, if w is a root of
the characteristic equation det(a - w[i]*I) = 0, where det is the
determinant and I is the identity matrix.
"""
_assertRank2(a)
_assertSquareness(a)
_assertFinite(a)
t, result_t = _commonType(a)
real_t = _linalgRealType(t)
a = _fastCopyAndTranspose(t, a)
n = a.shape[0]
dummy = zeros((1,), t)
if isComplexType(t):
lapack_routine = lapack_lite.zgeev
w = zeros((n,), t)
rwork = zeros((n,), real_t)
lwork = 1
work = zeros((lwork,), t)
results = lapack_routine('N', 'N', n, a, n, w,
dummy, 1, dummy, 1, work, -1, rwork, 0)
lwork = int(abs(work[0]))
work = zeros((lwork,), t)
results = lapack_routine('N', 'N', n, a, n, w,
dummy, 1, dummy, 1, work, lwork, rwork, 0)
else:
lapack_routine = lapack_lite.dgeev
wr = zeros((n,), t)
wi = zeros((n,), t)
lwork = 1
work = zeros((lwork,), t)
results = lapack_routine('N', 'N', n, a, n, wr, wi,
dummy, 1, dummy, 1, work, -1, 0)
lwork = int(work[0])
work = zeros((lwork,), t)
results = lapack_routine('N', 'N', n, a, n, wr, wi,
dummy, 1, dummy, 1, work, lwork, 0)
if all(wi == 0.):
w = wr
result_t = _realType(result_t)
else:
w = wr+1j*wi
result_t = _complexType(result_t)
if results['info'] > 0:
raise LinAlgError, 'Eigenvalues did not converge'
return w.astype(result_t)
def eigvalsh(a, UPLO='L'):
"""Compute the eigenvalues of a Hermitean or real symmetric matrix.
Parameters
----------
a : array, shape (M, M)
A complex or real matrix whose eigenvalues and eigenvectors
will be computed.
UPLO : {'L', 'U'}
Specifies whether the pertinent array data is taken from the upper
or lower triangular part of a. Possible values are 'L', and 'U' for
upper and lower respectively. Default is 'L'.
Returns
-------
w : double array, shape (M,)
The eigenvalues, each repeated according to its multiplicity.
They are not necessarily ordered.
Raises LinAlgError if eigenvalue computation does not converge
See Also
--------
eigh : eigenvalues and eigenvectors of symmetric/Hermitean arrays.
eigvals : eigenvalues of general real or complex arrays.
eig : eigenvalues and eigenvectors of general real or complex arrays.
Notes
-----
This is a simple interface to the LAPACK routines dsyevd and
zheevd that sets the flags to return only the eigenvalues of real
symmetric and complex Hermetian arrays respectively.
The number w is an eigenvalue of a if there exists a vector v
satisfying the equation dot(a,v) = w*v. Alternately, if w is a root of
the characteristic equation det(a - w[i]*I) = 0, where det is the
determinant and I is the identity matrix.
"""
_assertRank2(a)
_assertSquareness(a)
t, result_t = _commonType(a)
real_t = _linalgRealType(t)
a = _fastCopyAndTranspose(t, a)
n = a.shape[0]
liwork = 5*n+3
iwork = zeros((liwork,), fortran_int)
if isComplexType(t):
lapack_routine = lapack_lite.zheevd
w = zeros((n,), real_t)
lwork = 1
work = zeros((lwork,), t)
lrwork = 1
rwork = zeros((lrwork,), real_t)
results = lapack_routine('N', UPLO, n, a, n, w, work, -1,
rwork, -1, iwork, liwork, 0)
lwork = int(abs(work[0]))
work = zeros((lwork,), t)
lrwork = int(rwork[0])
rwork = zeros((lrwork,), real_t)
results = lapack_routine('N', UPLO, n, a, n, w, work, lwork,
rwork, lrwork, iwork, liwork, 0)
else:
lapack_routine = lapack_lite.dsyevd
w = zeros((n,), t)
lwork = 1
work = zeros((lwork,), t)
results = lapack_routine('N', UPLO, n, a, n, w, work, -1,
iwork, liwork, 0)
lwork = int(work[0])
work = zeros((lwork,), t)
results = lapack_routine('N', UPLO, n, a, n, w, work, lwork,
iwork, liwork, 0)
if results['info'] > 0:
raise LinAlgError, 'Eigenvalues did not converge'
return w.astype(result_t)
def _convertarray(a):
t, result_t = _commonType(a)
a = _fastCT(a.astype(t))
return a, t, result_t
# Eigenvectors
def eig(a):
"""Compute eigenvalues and right eigenvectors of a general matrix.
Parameters
----------
a : array, shape (M, M)
A complex or real 2-d array whose eigenvalues and eigenvectors
will be computed.
Returns
-------
w : double or complex array, shape (M,)
The eigenvalues, each repeated according to its multiplicity.
The eigenvalues are not necessarily ordered, nor are they
necessarily real for real matrices.
v : double or complex array, shape (M, M)
The normalized eigenvector corresponding to the eigenvalue w[i] is
the column v[:,i].
Raises LinAlgError if eigenvalue computation does not converge
See Also
--------
eigvalsh : eigenvalues of symmetric or Hemitiean arrays.
eig : eigenvalues and right eigenvectors for non-symmetric arrays
eigvals : eigenvalues of non-symmetric array.
Notes
-----
This is a simple interface to the LAPACK routines dgeev and zgeev
that compute the eigenvalues and eigenvectors of general real and
complex arrays respectively.
The number w is an eigenvalue of a if there exists a vector v
satisfying the equation dot(a,v) = w*v. Alternately, if w is a root of
the characteristic equation det(a - w[i]*I) = 0, where det is the
determinant and I is the identity matrix. The arrays a, w, and v
satisfy the equation dot(a,v[i]) = w[i]*v[:,i].
The array v of eigenvectors may not be of maximum rank, that is, some
of the columns may be dependent, although roundoff error may obscure
that fact. If the eigenvalues are all different, then theoretically the
eigenvectors are independent. Likewise, the matrix of eigenvectors is
unitary if the matrix a is normal, i.e., if dot(a, a.H) = dot(a.H, a).
The left and right eigenvectors are not necessarily the (Hermitian)
transposes of each other.
"""
a, wrap = _makearray(a)
_assertRank2(a)
_assertSquareness(a)
_assertFinite(a)
a, t, result_t = _convertarray(a) # convert to double or cdouble type
real_t = _linalgRealType(t)
n = a.shape[0]
dummy = zeros((1,), t)
if isComplexType(t):
# Complex routines take different arguments
lapack_routine = lapack_lite.zgeev
w = zeros((n,), t)
v = zeros((n, n), t)
lwork = 1
work = zeros((lwork,), t)
rwork = zeros((2*n,), real_t)
results = lapack_routine('N', 'V', n, a, n, w,
dummy, 1, v, n, work, -1, rwork, 0)
lwork = int(abs(work[0]))
work = zeros((lwork,), t)
results = lapack_routine('N', 'V', n, a, n, w,
dummy, 1, v, n, work, lwork, rwork, 0)
else:
lapack_routine = lapack_lite.dgeev
wr = zeros((n,), t)
wi = zeros((n,), t)
vr = zeros((n, n), t)
lwork = 1
work = zeros((lwork,), t)
results = lapack_routine('N', 'V', n, a, n, wr, wi,
dummy, 1, vr, n, work, -1, 0)
lwork = int(work[0])
work = zeros((lwork,), t)
results = lapack_routine('N', 'V', n, a, n, wr, wi,
dummy, 1, vr, n, work, lwork, 0)
if all(wi == 0.0):
w = wr
v = vr
result_t = _realType(result_t)
else:
w = wr+1j*wi
v = array(vr, w.dtype)
ind = flatnonzero(wi != 0.0) # indices of complex e-vals
for i in range(len(ind)/2):
v[ind[2*i]] = vr[ind[2*i]] + 1j*vr[ind[2*i+1]]
v[ind[2*i+1]] = vr[ind[2*i]] - 1j*vr[ind[2*i+1]]
result_t = _complexType(result_t)
if results['info'] > 0:
raise LinAlgError, 'Eigenvalues did not converge'
vt = v.transpose().astype(result_t)
return w.astype(result_t), wrap(vt)
def eigh(a, UPLO='L'):
"""Compute eigenvalues for a Hermitian or real symmetric matrix.
Parameters
----------
a : array, shape (M, M)
A complex Hermitian or symmetric real matrix whose eigenvalues
and eigenvectors will be computed.
UPLO : {'L', 'U'}
Specifies whether the pertinent array date is taken from the upper
or lower triangular part of a. Possible values are 'L', and 'U'.
Default is 'L'.
Returns
-------
w : double array, shape (M,)
The eigenvalues. The eigenvalues are not necessarily ordered.
v : double or complex double array, shape (M, M)
The normalized eigenvector corresponding to the eigenvalue w[i] is
the column v[:,i].
Raises LinAlgError if eigenvalue computation does not converge
See Also
--------
eigvalsh : eigenvalues of symmetric or Hemitiean arrays.
eig : eigenvalues and right eigenvectors for non-symmetric arrays
eigvals : eigenvalues of non-symmetric array.
Notes
-----
A simple interface to the LAPACK routines dsyevd and zheevd that compute
the eigenvalues and eigenvectors of real symmetric and complex Hermitian
arrays respectively.
The number w is an eigenvalue of a if there exists a vector v
satisfying the equation dot(a,v) = w*v. Alternately, if w is a root of
the characteristic equation det(a - w[i]*I) = 0, where det is the
determinant and I is the identity matrix. The eigenvalues of real
symmetric or complex Hermitean matrices are always real. The array v
of eigenvectors is unitary and a, w, and v satisfy the equation
dot(a,v[i]) = w[i]*v[:,i].
"""
a, wrap = _makearray(a)
_assertRank2(a)
_assertSquareness(a)
t, result_t = _commonType(a)
real_t = _linalgRealType(t)
a = _fastCopyAndTranspose(t, a)
n = a.shape[0]
liwork = 5*n+3
iwork = zeros((liwork,), fortran_int)
if isComplexType(t):
lapack_routine = lapack_lite.zheevd
w = zeros((n,), real_t)
lwork = 1
work = zeros((lwork,), t)
lrwork = 1
rwork = zeros((lrwork,), real_t)
results = lapack_routine('V', UPLO, n, a, n, w, work, -1,
rwork, -1, iwork, liwork, 0)
lwork = int(abs(work[0]))
work = zeros((lwork,), t)
lrwork = int(rwork[0])
rwork = zeros((lrwork,), real_t)
results = lapack_routine('V', UPLO, n, a, n, w, work, lwork,
rwork, lrwork, iwork, liwork, 0)
else:
lapack_routine = lapack_lite.dsyevd
w = zeros((n,), t)
lwork = 1
work = zeros((lwork,), t)
results = lapack_routine('V', UPLO, n, a, n, w, work, -1,
iwork, liwork, 0)
lwork = int(work[0])
work = zeros((lwork,), t)
results = lapack_routine('V', UPLO, n, a, n, w, work, lwork,
iwork, liwork, 0)
if results['info'] > 0:
raise LinAlgError, 'Eigenvalues did not converge'
at = a.transpose().astype(result_t)
return w.astype(_realType(result_t)), wrap(at)
# Singular value decomposition
def svd(a, full_matrices=1, compute_uv=1):
"""Singular Value Decomposition.
Factorizes the matrix a into two unitary matrices U and Vh and
an 1d-array s of singular values (real, non-negative) such that
a == U S Vh if S is an suitably shaped matrix of zeros whose
main diagonal is s.
Parameters
----------
a : array, shape (M, N)
Matrix to decompose
full_matrices : boolean
If true, U, Vh are shaped (M,M), (N,N)
If false, the shapes are (M,K), (K,N) where K = min(M,N)
compute_uv : boolean
Whether to compute also U, Vh in addition to s
Returns
-------
U: array, shape (M,M) or (M,K) depending on full_matrices
s: array, shape (K,)
The singular values, sorted so that s[i] >= s[i+1]
K = min(M, N)
Vh: array, shape (N,N) or (K,N) depending on full_matrices
For compute_uv = False, only s is returned.
Raises LinAlgError if SVD computation does not converge
Examples
--------
>>> a = random.randn(9, 6) + 1j*random.randn(9, 6)
>>> U, s, Vh = linalg.svd(a)
>>> U.shape, Vh.shape, s.shape
((9, 9), (6, 6), (6,))
>>> U, s, Vh = linalg.svd(a, full_matrices=False)
>>> U.shape, Vh.shape, s.shape
((9, 6), (6, 6), (6,))
>>> S = diag(s)
>>> allclose(a, dot(U, dot(S, Vh)))
True
>>> s2 = linalg.svd(a, compute_uv=False)
>>> allclose(s, s2)
True
"""
a, wrap = _makearray(a)
_assertRank2(a)
_assertNonEmpty(a)
m, n = a.shape
t, result_t = _commonType(a)
real_t = _linalgRealType(t)
a = _fastCopyAndTranspose(t, a)
s = zeros((min(n, m),), real_t)
if compute_uv:
if full_matrices:
nu = m
nvt = n
option = 'A'
else:
nu = min(n, m)
nvt = min(n, m)
option = 'S'
u = zeros((nu, m), t)
vt = zeros((n, nvt), t)
else:
option = 'N'
nu = 1
nvt = 1
u = empty((1, 1), t)
vt = empty((1, 1), t)
iwork = zeros((8*min(m, n),), fortran_int)
if isComplexType(t):
lapack_routine = lapack_lite.zgesdd
rwork = zeros((5*min(m, n)*min(m, n) + 5*min(m, n),), real_t)
lwork = 1
work = zeros((lwork,), t)
results = lapack_routine(option, m, n, a, m, s, u, m, vt, nvt,
work, -1, rwork, iwork, 0)
lwork = int(abs(work[0]))
work = zeros((lwork,), t)
results = lapack_routine(option, m, n, a, m, s, u, m, vt, nvt,
work, lwork, rwork, iwork, 0)
else:
lapack_routine = lapack_lite.dgesdd
lwork = 1
work = zeros((lwork,), t)
results = lapack_routine(option, m, n, a, m, s, u, m, vt, nvt,
work, -1, iwork, 0)
lwork = int(work[0])
work = zeros((lwork,), t)
results = lapack_routine(option, m, n, a, m, s, u, m, vt, nvt,
work, lwork, iwork, 0)
if results['info'] > 0:
raise LinAlgError, 'SVD did not converge'
s = s.astype(_realType(result_t))
if compute_uv:
u = u.transpose().astype(result_t)
vt = vt.transpose().astype(result_t)
return wrap(u), s, wrap(vt)
else:
return s
# Generalized inverse
def pinv(a, rcond=1e-15 ):
"""Compute the (Moore-Penrose) pseudo-inverse of a matrix.
Calculate a generalized inverse of a matrix using its
singular-value decomposition and including all 'large' singular
values.
Parameters
----------
a : array, shape (M, N)
Matrix to be pseudo-inverted
rcond : float
Cutoff for 'small' singular values.
Singular values smaller than rcond*largest_singular_value are
considered zero.
Returns
-------
B : array, shape (N, M)
Raises LinAlgError if SVD computation does not converge
Examples
--------
>>> from numpy import *
>>> a = random.randn(9, 6)
>>> B = linalg.pinv(a)
>>> allclose(a, dot(a, dot(B, a)))
True
>>> allclose(B, dot(B, dot(a, B)))
True
"""
a, wrap = _makearray(a)
_assertNonEmpty(a)
a = a.conjugate()
u, s, vt = svd(a, 0)
m = u.shape[0]
n = vt.shape[1]
cutoff = rcond*maximum.reduce(s)
for i in range(min(n, m)):
if s[i] > cutoff:
s[i] = 1./s[i]
else:
s[i] = 0.;
return wrap(dot(transpose(vt),
multiply(s[:, newaxis],transpose(u))))
# Determinant
def det(a):
"""Compute the determinant of a matrix
Parameters
----------
a : array, shape (M, M)
Returns
-------
det : float or complex
Determinant of a
Notes
-----
The determinant is computed via LU factorization, LAPACK routine z/dgetrf.
"""
a = asarray(a)
_assertRank2(a)
_assertSquareness(a)
t, result_t = _commonType(a)
a = _fastCopyAndTranspose(t, a)
n = a.shape[0]
if isComplexType(t):
lapack_routine = lapack_lite.zgetrf
else:
lapack_routine = lapack_lite.dgetrf
pivots = zeros((n,), fortran_int)
results = lapack_routine(n, n, a, n, pivots, 0)
info = results['info']
if (info < 0):
raise TypeError, "Illegal input to Fortran routine"
elif (info > 0):
return 0.0
sign = add.reduce(pivots != arange(1, n+1)) % 2
return (1.-2.*sign)*multiply.reduce(diagonal(a), axis=-1)
# Linear Least Squares
def lstsq(a, b, rcond=-1):
"""Compute least-squares solution to equation :m:`a x = b`
Compute a vector x such that the 2-norm :m:`|b - a x|` is minimised.
Parameters
----------
a : array, shape (M, N)
b : array, shape (M,) or (M, K)
rcond : float
Cutoff for 'small' singular values.
Singular values smaller than rcond*largest_singular_value are
considered zero.
Raises LinAlgError if computation does not converge
Returns
-------
x : array, shape (N,) or (N, K) depending on shape of b
Least-squares solution
residues : array, shape () or (1,) or (K,)
Sums of residues, squared 2-norm for each column in :m:`b - a x`
If rank of matrix a is < N or > M this is an empty array.
If b was 1-d, this is an (1,) shape array, otherwise the shape is (K,)
rank : integer
Rank of matrix a
s : array, shape (min(M,N),)
Singular values of a
"""
import math
a = asarray(a)
b, wrap = _makearray(b)
one_eq = len(b.shape) == 1
if one_eq:
b = b[:, newaxis]
_assertRank2(a, b)
m = a.shape[0]
n = a.shape[1]
n_rhs = b.shape[1]
ldb = max(n, m)
if m != b.shape[0]:
raise LinAlgError, 'Incompatible dimensions'
t, result_t = _commonType(a, b)
real_t = _linalgRealType(t)
bstar = zeros((ldb, n_rhs), t)
bstar[:b.shape[0],:n_rhs] = b.copy()
a, bstar = _fastCopyAndTranspose(t, a, bstar)
s = zeros((min(m, n),), real_t)
nlvl = max( 0, int( math.log( float(min(m, n))/2. ) ) + 1 )
iwork = zeros((3*min(m, n)*nlvl+11*min(m, n),), fortran_int)
if isComplexType(t):
lapack_routine = lapack_lite.zgelsd
lwork = 1
rwork = zeros((lwork,), real_t)
work = zeros((lwork,), t)
results = lapack_routine(m, n, n_rhs, a, m, bstar, ldb, s, rcond,
0, work, -1, rwork, iwork, 0)
lwork = int(abs(work[0]))
rwork = zeros((lwork,), real_t)
a_real = zeros((m, n), real_t)
bstar_real = zeros((ldb, n_rhs,), real_t)
results = lapack_lite.dgelsd(m, n, n_rhs, a_real, m,
bstar_real, ldb, s, rcond,
0, rwork, -1, iwork, 0)
lrwork = int(rwork[0])
work = zeros((lwork,), t)
rwork = zeros((lrwork,), real_t)
results = lapack_routine(m, n, n_rhs, a, m, bstar, ldb, s, rcond,
0, work, lwork, rwork, iwork, 0)
else:
lapack_routine = lapack_lite.dgelsd
lwork = 1
work = zeros((lwork,), t)
results = lapack_routine(m, n, n_rhs, a, m, bstar, ldb, s, rcond,
0, work, -1, iwork, 0)
lwork = int(work[0])
work = zeros((lwork,), t)
results = lapack_routine(m, n, n_rhs, a, m, bstar, ldb, s, rcond,
0, work, lwork, iwork, 0)
if results['info'] > 0:
raise LinAlgError, 'SVD did not converge in Linear Least Squares'
resids = array([], t)
if one_eq:
x = array(ravel(bstar)[:n], dtype=result_t, copy=True)
if results['rank'] == n and m > n:
resids = array([sum((ravel(bstar)[n:])**2)], dtype=result_t)
else:
x = array(transpose(bstar)[:n,:], dtype=result_t, copy=True)
if results['rank'] == n and m > n:
resids = sum((transpose(bstar)[n:,:])**2, axis=0).astype(result_t)
st = s[:min(n, m)].copy().astype(_realType(result_t))
return wrap(x), resids, results['rank'], st
def norm(x, ord=None):
"""Matrix or vector norm.
Parameters
----------
x : array, shape (M,) or (M, N)
ord : number, or {None, 1, -1, 2, -2, inf, -inf, 'fro'}
Order of the norm:
ord norm for matrices norm for vectors
===== ============================ ==========================
None Frobenius norm 2-norm
'fro' Frobenius norm -
inf max(sum(abs(x), axis=1)) max(abs(x))
-inf min(sum(abs(x), axis=1)) min(abs(x))
1 max(sum(abs(x), axis=0)) as below
-1 min(sum(abs(x), axis=0)) as below
2 2-norm (largest sing. value) as below
-2 smallest singular value as below
other - sum(abs(x)**ord)**(1./ord)
===== ============================ ==========================
Returns
-------
n : float
Norm of the matrix or vector
Notes
-----
For values ord < 0, the result is, strictly speaking, not a
mathematical 'norm', but it may still be useful for numerical
purposes.
"""
x = asarray(x)
nd = len(x.shape)
if ord is None: # check the default case first and handle it immediately
return sqrt(add.reduce((x.conj() * x).ravel().real))
if nd == 1:
if ord == Inf:
return abs(x).max()
elif ord == -Inf:
return abs(x).min()
elif ord == 1:
return abs(x).sum() # special case for speedup
elif ord == 2:
return sqrt(((x.conj()*x).real).sum()) # special case for speedup
else:
return ((abs(x)**ord).sum())**(1.0/ord)
elif nd == 2:
if ord == 2:
return svd(x, compute_uv=0).max()
elif ord == -2:
return svd(x, compute_uv=0).min()
elif ord == 1:
return abs(x).sum(axis=0).max()
elif ord == Inf:
return abs(x).sum(axis=1).max()
elif ord == -1:
return abs(x).sum(axis=0).min()
elif ord == -Inf:
return abs(x).sum(axis=1).min()
elif ord in ['fro','f']:
return sqrt(add.reduce((x.conj() * x).real.ravel()))
else:
raise ValueError, "Invalid norm order for matrices."
else:
raise ValueError, "Improper number of dimensions to norm."
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