Viewing file:  linalg.py (53.96 KB) -rw-r--r--
Select action/file-type:
 (+) |  (+) |  (+) | Code (+) | Session (+) |  (+) | SDB (+) |  (+) |  (+) |  (+) |  (+) |  (+) |
"""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__ = ['matrix_power', 'solve', 'tensorsolve', 'tensorinv', 'inv',
'cholesky', 'eigvals', 'eigvalsh', 'pinv', 'det', 'svd',
'eig', 'eigh','lstsq', 'norm', 'qr', 'cond', '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
from numpy.matrixlib.defmatrix import matrix_power
fortran_int = intc
# Error object
class LinAlgError(Exception):
"""
Generic Python-exception-derived object raised by linalg functions.
General purpose exception class, derived from Python's exception.Exception
class, programmatically raised in linalg functions when a Linear
Algebra-related condition would prevent further correct execution of the
function.
Parameters
----------
None
Examples
--------
>>> from numpy import linalg as LA
>>> LA.inv(np.zeros((2,2)))
Traceback (most recent call last):
File "<stdin>", line 1, in <module>
File "...linalg.py", line 350,
in inv return wrap(solve(a, identity(a.shape[0], dtype=a.dtype)))
File "...linalg.py", line 249,
in solve
raise LinAlgError, 'Singular matrix'
numpy.linalg.linalg.LinAlgError: Singular matrix
"""
pass
def _makearray(a):
new = asarray(a)
wrap = getattr(a, "__array_prepare__", 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
# _fastCopyAndTranpose 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`, as is done in, for example,
``tensordot(a, x, axes=len(b.shape))``.
Parameters
----------
a : array_like
Coefficient tensor, of shape ``b.shape + Q``. `Q`, a tuple, equals
the shape of that sub-tensor of `a` consisting of the appropriate
number of its rightmost indices, and must be such that
``prod(Q) == prod(b.shape)`` (in which sense `a` is said to be
'square').
b : array_like
Right-hand tensor, which can be of any shape.
axes : tuple of ints, optional
Axes in `a` to reorder to the right, before inversion.
If None (default), no reordering is done.
Returns
-------
x : ndarray, shape Q
Raises
------
LinAlgError
If `a` is singular or not 'square' (in the above sense).
See Also
--------
tensordot, tensorinv
Examples
--------
>>> a = np.eye(2*3*4)
>>> a.shape = (2*3, 4, 2, 3, 4)
>>> b = np.random.randn(2*3, 4)
>>> x = np.linalg.tensorsolve(a, b)
>>> x.shape
(2, 3, 4)
>>> np.allclose(np.tensordot(a, x, axes=3), b)
True
"""
a,wrap = _makearray(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 = wrap(solve(a, b))
res.shape = oldshape
return res
def solve(a, b):
"""
Solve a linear matrix equation, or system of linear scalar equations.
Computes the "exact" solution, `x`, of the well-determined, i.e., full
rank, linear matrix equation `ax = b`.
Parameters
----------
a : array_like, shape (M, M)
Coefficient matrix.
b : array_like, shape (M,) or (M, N)
Ordinate or "dependent variable" values.
Returns
-------
x : ndarray, shape (M,) or (M, N) depending on b
Solution to the system a x = b
Raises
------
LinAlgError
If `a` is singular or not square.
Notes
-----
`solve` is a wrapper for the LAPACK routines `dgesv`_ and
`zgesv`_, the former being used if `a` is real-valued, the latter if
it is complex-valued. The solution to the system of linear equations
is computed using an LU decomposition [1]_ with partial pivoting and
row interchanges.
.. _dgesv: http://www.netlib.org/lapack/double/dgesv.f
.. _zgesv: http://www.netlib.org/lapack/complex16/zgesv.f
`a` must be square and of full-rank, i.e., all rows (or, equivalently,
columns) must be linearly independent; if either is not true, use
`lstsq` for the least-squares best "solution" of the
system/equation.
References
----------
.. [1] G. Strang, *Linear Algebra and Its Applications*, 2nd Ed., Orlando,
FL, Academic Press, Inc., 1980, pg. 22.
Examples
--------
Solve the system of equations ``3 * x0 + x1 = 9`` and ``x0 + 2 * x1 = 8``:
>>> a = np.array([[3,1], [1,2]])
>>> b = np.array([9,8])
>>> x = np.linalg.solve(a, b)
>>> x
array([ 2., 3.])
Check that the solution is correct:
>>> (np.dot(a, x) == b).all()
True
"""
a, _ = _makearray(a)
b, wrap = _makearray(b)
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 wrap(b.ravel().astype(result_t))
else:
return wrap(b.transpose().astype(result_t))
def tensorinv(a, ind=2):
"""
Compute the 'inverse' of an N-dimensional array.
The result is an inverse for `a` relative to the tensordot operation
``tensordot(a, b, ind)``, i. e., up to floating-point accuracy,
``tensordot(tensorinv(a), a, ind)`` is the "identity" tensor for the
tensordot operation.
Parameters
----------
a : array_like
Tensor to 'invert'. Its shape must be 'square', i. e.,
``prod(a.shape[:ind]) == prod(a.shape[ind:])``.
ind : int, optional
Number of first indices that are involved in the inverse sum.
Must be a positive integer, default is 2.
Returns
-------
b : ndarray
`a`'s tensordot inverse, shape ``a.shape[:ind] + a.shape[ind:]``.
Raises
------
LinAlgError
If `a` is singular or not 'square' (in the above sense).
See Also
--------
tensordot, tensorsolve
Examples
--------
>>> a = np.eye(4*6)
>>> a.shape = (4, 6, 8, 3)
>>> ainv = np.linalg.tensorinv(a, ind=2)
>>> ainv.shape
(8, 3, 4, 6)
>>> b = np.random.randn(4, 6)
>>> np.allclose(np.tensordot(ainv, b), np.linalg.tensorsolve(a, b))
True
>>> a = np.eye(4*6)
>>> a.shape = (24, 8, 3)
>>> ainv = np.linalg.tensorinv(a, ind=1)
>>> ainv.shape
(8, 3, 24)
>>> b = np.random.randn(24)
>>> np.allclose(np.tensordot(ainv, b, 1), np.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 (multiplicative) inverse of a matrix.
Given a square matrix `a`, return the matrix `ainv` satisfying
``dot(a, ainv) = dot(ainv, a) = eye(a.shape[0])``.
Parameters
----------
a : array_like, shape (M, M)
Matrix to be inverted.
Returns
-------
ainv : ndarray or matrix, shape (M, M)
(Multiplicative) inverse of the matrix `a`.
Raises
------
LinAlgError
If `a` is singular or not square.
Examples
--------
>>> from numpy import linalg as LA
>>> a = np.array([[1., 2.], [3., 4.]])
>>> ainv = LA.inv(a)
>>> np.allclose(np.dot(a, ainv), np.eye(2))
True
>>> np.allclose(np.dot(ainv, a), np.eye(2))
True
If a is a matrix object, then the return value is a matrix as well:
>>> ainv = LA.inv(np.matrix(a))
>>> ainv
matrix([[-2. , 1. ],
[ 1.5, -0.5]])
"""
a, wrap = _makearray(a)
return wrap(solve(a, identity(a.shape[0], dtype=a.dtype)))
# Cholesky decomposition
def cholesky(a):
"""
Cholesky decomposition.
Return the Cholesky decomposition, `L * L.H`, of the square matrix `a`,
where `L` is lower-triangular and .H is the conjugate transpose operator
(which is the ordinary transpose if `a` is real-valued). `a` must be
Hermitian (symmetric if real-valued) and positive-definite. Only `L` is
actually returned.
Parameters
----------
a : array_like, shape (M, M)
Hermitian (symmetric if all elements are real), positive-definite
input matrix.
Returns
-------
L : ndarray, or matrix object if `a` is, shape (M, M)
Lower-triangular Cholesky factor of a.
Raises
------
LinAlgError
If the decomposition fails, for example, if `a` is not
positive-definite.
Notes
-----
The Cholesky decomposition is often used as a fast way of solving
.. math:: A \\mathbf{x} = \\mathbf{b}
(when `A` is both Hermitian/symmetric and positive-definite).
First, we solve for :math:`\\mathbf{y}` in
.. math:: L \\mathbf{y} = \\mathbf{b},
and then for :math:`\\mathbf{x}` in
.. math:: L.H \\mathbf{x} = \\mathbf{y}.
Examples
--------
>>> A = np.array([[1,-2j],[2j,5]])
>>> A
array([[ 1.+0.j, 0.-2.j],
[ 0.+2.j, 5.+0.j]])
>>> L = np.linalg.cholesky(A)
>>> L
array([[ 1.+0.j, 0.+0.j],
[ 0.+2.j, 1.+0.j]])
>>> np.dot(L, L.T.conj()) # verify that L * L.H = A
array([[ 1.+0.j, 0.-2.j],
[ 0.+2.j, 5.+0.j]])
>>> A = [[1,-2j],[2j,5]] # what happens if A is only array_like?
>>> np.linalg.cholesky(A) # an ndarray object is returned
array([[ 1.+0.j, 0.+0.j],
[ 0.+2.j, 1.+0.j]])
>>> # But a matrix object is returned if A is a matrix object
>>> LA.cholesky(np.matrix(A))
matrix([[ 1.+0.j, 0.+0.j],
[ 0.+2.j, 1.+0.j]])
"""
a, wrap = _makearray(a)
_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):
s = s.astype(result_t)
return wrap(s)
# QR decompostion
def qr(a, mode='full'):
"""
Compute the qr factorization of a matrix.
Factor the matrix `a` as `qr`, where `q` is orthonormal
(:math:`dot( q_{:,i}, q_{:,j}) = \\delta_{ij}`, the Kronecker delta) and
`r` is upper-triangular.
Parameters
----------
a : array_like, shape (M, N)
Matrix to be factored.
mode : {'full', 'r', 'economic'}
Specifies the information to be returned. 'full' is the default.
mode='r' returns a "true" `r`, while 'economic' returns a "polluted"
`r` (albeit slightly faster; see Returns below).
Returns
-------
* If mode = 'full':
* q : ndarray of float or complex, shape (M, K)
* r : ndarray of float or complex, shape (K, N)
Size K = min(M, N)
* If mode = 'r':
* r : ndarray of float or complex, shape (K, N)
* If mode = 'economic':
* a2 : ndarray of float or complex, shape (M, N)
The diagonal and the upper triangle of a2 contains r,
while the rest of the matrix is undefined.
Raises
------
LinAlgError
If factoring fails.
Notes
-----
This is an interface to the LAPACK routines dgeqrf, zgeqrf,
dorgqr, and zungqr.
For more information on the qr factorization, see for example:
http://en.wikipedia.org/wiki/QR_factorization
Subclasses of `ndarray` are preserved, so if `a` is of type `matrix`,
all the return values will be matrices too.
Examples
--------
>>> a = np.random.randn(9, 6)
>>> q, r = np.linalg.qr(a)
>>> np.allclose(a, np.dot(q, r)) # a does equal qr
True
>>> r2 = np.linalg.qr(a, mode='r')
>>> r3 = np.linalg.qr(a, mode='economic')
>>> np.allclose(r, r2) # mode='r' returns the same r as mode='full'
True
>>> # But only triu parts are guaranteed equal when mode='economic'
>>> np.allclose(r, np.triu(r3[:6,:6], k=0))
True
Example illustrating a common use of `qr`: solving of least squares
problems
What are the least-squares-best `m` and `y0` in ``y = y0 + mx`` for
the following data: {(0,1), (1,0), (1,2), (2,1)}. (Graph the points
and you'll see that it should be y0 = 0, m = 1.) The answer is provided
by solving the over-determined matrix equation ``Ax = b``, where::
A = array([[0, 1], [1, 1], [1, 1], [2, 1]])
x = array([[y0], [m]])
b = array([[1], [0], [2], [1]])
If A = qr such that q is orthonormal (which is always possible via
Gram-Schmidt), then ``x = inv(r) * (q.T) * b``. (In numpy practice,
however, we simply use `lstsq`.)
>>> A = np.array([[0, 1], [1, 1], [1, 1], [2, 1]])
>>> A
array([[0, 1],
[1, 1],
[1, 1],
[2, 1]])
>>> b = np.array([1, 0, 2, 1])
>>> q, r = LA.qr(A)
>>> p = np.dot(q.T, b)
>>> np.dot(LA.inv(r), p)
array([ 1.1e-16, 1.0e+00])
"""
a, wrap = _makearray(a)
_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 wrap(q), wrap(r)
# Eigenvalues
def eigvals(a):
"""
Compute the eigenvalues of a general matrix.
Main difference between `eigvals` and `eig`: the eigenvectors aren't
returned.
Parameters
----------
a : array_like, shape (M, M)
A complex- or real-valued matrix whose eigenvalues will be computed.
Returns
-------
w : ndarray, 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 the eigenvalue computation does not converge.
See Also
--------
eig : eigenvalues and right eigenvectors of general arrays
eigvalsh : eigenvalues of symmetric or Hermitian arrays.
eigh : eigenvalues and eigenvectors of symmetric/Hermitian arrays.
Notes
-----
This is a simple interface to the LAPACK routines dgeev and zgeev
that sets those routines' flags to return only the eigenvalues of
general real and complex arrays, respectively.
Examples
--------
Illustration, using the fact that the eigenvalues of a diagonal matrix
are its diagonal elements, that multiplying a matrix on the left
by an orthogonal matrix, `Q`, and on the right by `Q.T` (the transpose
of `Q`), preserves the eigenvalues of the "middle" matrix. In other words,
if `Q` is orthogonal, then ``Q * A * Q.T`` has the same eigenvalues as
``A``:
>>> from numpy import linalg as LA
>>> x = np.random.random()
>>> Q = np.array([[np.cos(x), -np.sin(x)], [np.sin(x), np.cos(x)]])
>>> LA.norm(Q[0, :]), LA.norm(Q[1, :]), np.dot(Q[0, :],Q[1, :])
(1.0, 1.0, 0.0)
Now multiply a diagonal matrix by Q on one side and by Q.T on the other:
>>> D = np.diag((-1,1))
>>> LA.eigvals(D)
array([-1., 1.])
>>> A = np.dot(Q, D)
>>> A = np.dot(A, Q.T)
>>> LA.eigvals(A)
array([ 1., -1.])
"""
a, wrap = _makearray(a)
_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 Hermitian or real symmetric matrix.
Main difference from eigh: the eigenvectors are not computed.
Parameters
----------
a : array_like, shape (M, M)
A complex- or real-valued matrix whose eigenvalues are to be
computed.
UPLO : {'L', 'U'}, optional
Specifies whether the calculation is done with the lower triangular
part of `a` ('L', default) or the upper triangular part ('U').
Returns
-------
w : ndarray, shape (M,)
The eigenvalues, not necessarily ordered, each repeated according to
its multiplicity.
Raises
------
LinAlgError
If the eigenvalue computation does not converge.
See Also
--------
eigh : eigenvalues and eigenvectors of symmetric/Hermitian arrays.
eigvals : eigenvalues of general real or complex arrays.
eig : eigenvalues and right eigenvectors of general real or complex
arrays.
Notes
-----
This is a simple interface to the LAPACK routines dsyevd and zheevd
that sets those routines' flags to return only the eigenvalues of
real symmetric and complex Hermitian arrays, respectively.
Examples
--------
>>> from numpy import linalg as LA
>>> a = np.array([[1, -2j], [2j, 5]])
>>> LA.eigvalsh(a)
array([ 0.17157288+0.j, 5.82842712+0.j])
"""
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('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 the eigenvalues and right eigenvectors of a square array.
Parameters
----------
a : array_like, shape (M, M)
A square array of real or complex elements.
Returns
-------
w : ndarray, shape (M,)
The eigenvalues, each repeated according to its multiplicity.
The eigenvalues are not necessarily ordered, nor are they
necessarily real for real arrays (though for real arrays
complex-valued eigenvalues should occur in conjugate pairs).
v : ndarray, shape (M, M)
The normalized (unit "length") eigenvectors, such that the
column ``v[:,i]`` is the eigenvector corresponding to the
eigenvalue ``w[i]``.
Raises
------
LinAlgError
If the eigenvalue computation does not converge.
See Also
--------
eigvalsh : eigenvalues of a symmetric or Hermitian (conjugate symmetric)
array.
eigvals : eigenvalues of a non-symmetric array.
Notes
-----
This is a simple interface to the LAPACK routines dgeev and zgeev
which compute the eigenvalues and eigenvectors of, respectively,
general real- and complex-valued square arrays.
The number `w` is an eigenvalue of `a` if there exists a vector
`v` such that ``dot(a,v) = w * v``. Thus, the arrays `a`, `w`, and
`v` satisfy the equations ``dot(a[i,:], v[i]) = w[i] * v[:,i]``
for :math:`i \\in \\{0,...,M-1\\}`.
The array `v` of eigenvectors may not be of maximum rank, that is, some
of the columns may be linearly dependent, although round-off error may
obscure that fact. If the eigenvalues are all different, then theoretically
the eigenvectors are linearly independent. Likewise, the (complex-valued)
matrix of eigenvectors `v` is unitary if the matrix `a` is normal, i.e.,
if ``dot(a, a.H) = dot(a.H, a)``, where `a.H` denotes the conjugate
transpose of `a`.
Finally, it is emphasized that `v` consists of the *right* (as in
right-hand side) eigenvectors of `a`. A vector `y` satisfying
``dot(y.T, a) = z * y.T`` for some number `z` is called a *left*
eigenvector of `a`, and, in general, the left and right eigenvectors
of a matrix are not necessarily the (perhaps conjugate) transposes
of each other.
References
----------
G. Strang, *Linear Algebra and Its Applications*, 2nd Ed., Orlando, FL,
Academic Press, Inc., 1980, Various pp.
Examples
--------
>>> from numpy import linalg as LA
(Almost) trivial example with real e-values and e-vectors.
>>> w, v = LA.eig(np.diag((1, 2, 3)))
>>> w; v
array([ 1., 2., 3.])
array([[ 1., 0., 0.],
[ 0., 1., 0.],
[ 0., 0., 1.]])
Real matrix possessing complex e-values and e-vectors; note that the
e-values are complex conjugates of each other.
>>> w, v = LA.eig(np.array([[1, -1], [1, 1]]))
>>> w; v
array([ 1. + 1.j, 1. - 1.j])
array([[ 0.70710678+0.j , 0.70710678+0.j ],
[ 0.00000000-0.70710678j, 0.00000000+0.70710678j]])
Complex-valued matrix with real e-values (but complex-valued e-vectors);
note that a.conj().T = a, i.e., a is Hermitian.
>>> a = np.array([[1, 1j], [-1j, 1]])
>>> w, v = LA.eig(a)
>>> w; v
array([ 2.00000000e+00+0.j, 5.98651912e-36+0.j]) # i.e., {2, 0}
array([[ 0.00000000+0.70710678j, 0.70710678+0.j ],
[ 0.70710678+0.j , 0.00000000+0.70710678j]])
Be careful about round-off error!
>>> a = np.array([[1 + 1e-9, 0], [0, 1 - 1e-9]])
>>> # Theor. e-values are 1 +/- 1e-9
>>> w, v = LA.eig(a)
>>> w; v
array([ 1., 1.])
array([[ 1., 0.],
[ 0., 1.]])
"""
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'):
"""
Return the eigenvalues and eigenvectors of a Hermitian or symmetric matrix.
Returns two objects, a 1-D array containing the eigenvalues of `a`, and
a 2-D square array or matrix (depending on the input type) of the
corresponding eigenvectors (in columns).
Parameters
----------
a : array_like, shape (M, M)
A complex Hermitian or real symmetric matrix.
UPLO : {'L', 'U'}, optional
Specifies whether the calculation is done with the lower triangular
part of `a` ('L', default) or the upper triangular part ('U').
Returns
-------
w : ndarray, shape (M,)
The eigenvalues, not necessarily ordered.
v : ndarray, or matrix object if `a` is, shape (M, M)
The column ``v[:, i]`` is the normalized eigenvector corresponding
to the eigenvalue ``w[i]``.
Raises
------
LinAlgError
If the eigenvalue computation does not converge.
See Also
--------
eigvalsh : eigenvalues of symmetric or Hermitian arrays.
eig : eigenvalues and right eigenvectors for non-symmetric arrays.
eigvals : eigenvalues of non-symmetric arrays.
Notes
-----
This is a simple interface to the LAPACK routines dsyevd and zheevd,
which compute the eigenvalues and eigenvectors of real symmetric and
complex Hermitian arrays, respectively.
The eigenvalues of real symmetric or complex Hermitian matrices are
always real. [1]_ The array `v` of (column) eigenvectors is unitary
and `a`, `w`, and `v` satisfy the equations
``dot(a, v[:, i]) = w[i] * v[:, i]``.
References
----------
.. [1] G. Strang, *Linear Algebra and Its Applications*, 2nd Ed., Orlando,
FL, Academic Press, Inc., 1980, pg. 222.
Examples
--------
>>> from numpy import linalg as LA
>>> a = np.array([[1, -2j], [2j, 5]])
>>> a
array([[ 1.+0.j, 0.-2.j],
[ 0.+2.j, 5.+0.j]])
>>> w, v = LA.eigh(a)
>>> w; v
array([ 0.17157288, 5.82842712])
array([[-0.92387953+0.j , -0.38268343+0.j ],
[ 0.00000000+0.38268343j, 0.00000000-0.92387953j]])
>>> np.dot(a, v[:, 0]) - w[0] * v[:, 0] # verify 1st e-val/vec pair
array([2.77555756e-17 + 0.j, 0. + 1.38777878e-16j])
>>> np.dot(a, v[:, 1]) - w[1] * v[:, 1] # verify 2nd e-val/vec pair
array([ 0.+0.j, 0.+0.j])
>>> A = np.matrix(a) # what happens if input is a matrix object
>>> A
matrix([[ 1.+0.j, 0.-2.j],
[ 0.+2.j, 5.+0.j]])
>>> w, v = LA.eigh(A)
>>> w; v
array([ 0.17157288, 5.82842712])
matrix([[-0.92387953+0.j , -0.38268343+0.j ],
[ 0.00000000+0.38268343j, 0.00000000-0.92387953j]])
"""
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.
Factors the matrix `a` into ``u * np.diag(s) * v.H``, where `u` and `v`
are unitary (i.e., ``u.H = inv(u)`` and similarly for `v`), ``.H`` is the
conjugate transpose operator (which is the ordinary transpose for
real-valued matrices), and `s` is a 1-D array of `a`'s singular values.
Parameters
----------
a : array_like
Matrix of shape ``(M, N)`` to decompose.
full_matrices : bool, optional
If True (default), ``u`` and ``v.H`` have the shapes
``(M, M)`` and ``(N, N)``, respectively. Otherwise, the shapes
are ``(M, K)`` and ``(K, N)``, resp., where ``K = min(M, N)``.
compute_uv : bool, optional
Whether or not to compute ``u`` and ``v.H`` in addition to ``s``.
True by default.
Returns
-------
u : ndarray
Unitary matrix. The shape of `U` is ``(M, M)`` or ``(M, K)``
depending on value of `full_matrices`.
s : ndarray
The singular values, sorted so that ``s[i] >= s[i+1]``.
`S` is a 1-D array of length ``min(M, N)``
v.H : ndarray
Unitary matrix of shape ``(N, N)`` or ``(K, N)``, depending
on `full_matrices`.
Raises
------
LinAlgError
If SVD computation does not converge.
Notes
-----
If `a` is a matrix object (as opposed to an `ndarray`), then so are all
the return values.
Examples
--------
>>> a = np.random.randn(9, 6) + 1j*np.random.randn(9, 6)
>>> U, s, Vh = np.linalg.svd(a)
>>> U.shape, Vh.shape, s.shape
((9, 9), (6, 6), (6,))
>>> U, s, Vh = np.linalg.svd(a, full_matrices=False)
>>> U.shape, Vh.shape, s.shape
((9, 6), (6, 6), (6,))
>>> S = np.diag(s)
>>> np.allclose(a, np.dot(U, np.dot(S, Vh)))
True
>>> s2 = np.linalg.svd(a, compute_uv=False)
>>> np.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
def cond(x, p=None):
"""
Compute the condition number of a matrix.
This function is capable of returning the condition number using
one of seven different norms, depending on the value of `p` (see
Parameters below).
Parameters
----------
x : array_like, shape (M, N)
The matrix whose condition number is sought.
p : {None, 1, -1, 2, -2, inf, -inf, 'fro'}, optional
Order of the norm:
===== ============================
p norm for matrices
===== ============================
None 2-norm, computed directly using the ``SVD``
'fro' Frobenius norm
inf max(sum(abs(x), axis=1))
-inf min(sum(abs(x), axis=1))
1 max(sum(abs(x), axis=0))
-1 min(sum(abs(x), axis=0))
2 2-norm (largest sing. value)
-2 smallest singular value
===== ============================
inf means the numpy.inf object, and the Frobenius norm is
the root-of-sum-of-squares norm.
Returns
-------
c : {float, inf}
The condition number of the matrix. May be infinite.
See Also
--------
numpy.linalg.linalg.norm
Notes
-----
The condition number of `x` is defined as the norm of `x` times the
norm of the inverse of `x` [1]_; the norm can be the usual L2-norm
(root-of-sum-of-squares) or one of a number of other matrix norms.
References
----------
.. [1] G. Strang, *Linear Algebra and Its Applications*, Orlando, FL,
Academic Press, Inc., 1980, pg. 285.
Examples
--------
>>> from numpy import linalg as LA
>>> a = np.array([[1, 0, -1], [0, 1, 0], [1, 0, 1]])
>>> a
array([[ 1, 0, -1],
[ 0, 1, 0],
[ 1, 0, 1]])
>>> LA.cond(a)
1.4142135623730951
>>> LA.cond(a, 'fro')
3.1622776601683795
>>> LA.cond(a, np.inf)
2.0
>>> LA.cond(a, -np.inf)
1.0
>>> LA.cond(a, 1)
2.0
>>> LA.cond(a, -1)
1.0
>>> LA.cond(a, 2)
1.4142135623730951
>>> LA.cond(a, -2)
0.70710678118654746
>>> min(LA.svd(a, compute_uv=0))*min(LA.svd(LA.inv(a), compute_uv=0))
0.70710678118654746
"""
x = asarray(x) # in case we have a matrix
if p is None:
s = svd(x,compute_uv=False)
return s[0]/s[-1]
else:
return norm(x,p)*norm(inv(x),p)
# Generalized inverse
def pinv(a, rcond=1e-15 ):
"""
Compute the (Moore-Penrose) pseudo-inverse of a matrix.
Calculate the generalized inverse of a matrix using its
singular-value decomposition (SVD) and including all
*large* singular values.
Parameters
----------
a : array_like, shape (M, N)
Matrix to be pseudo-inverted.
rcond : float
Cutoff for small singular values.
Singular values smaller (in modulus) than
`rcond` * largest_singular_value (again, in modulus)
are set to zero.
Returns
-------
B : ndarray, shape (N, M)
The pseudo-inverse of `a`. If `a` is a `matrix` instance, then so
is `B`.
Raises
------
LinAlgError
If the SVD computation does not converge.
Notes
-----
The pseudo-inverse of a matrix A, denoted :math:`A^+`, is
defined as: "the matrix that 'solves' [the least-squares problem]
:math:`Ax = b`," i.e., if :math:`\\bar{x}` is said solution, then
:math:`A^+` is that matrix such that :math:`\\bar{x} = A^+b`.
It can be shown that if :math:`Q_1 \\Sigma Q_2^T = A` is the singular
value decomposition of A, then
:math:`A^+ = Q_2 \\Sigma^+ Q_1^T`, where :math:`Q_{1,2}` are
orthogonal matrices, :math:`\\Sigma` is a diagonal matrix consisting
of A's so-called singular values, (followed, typically, by
zeros), and then :math:`\\Sigma^+` is simply the diagonal matrix
consisting of the reciprocals of A's singular values
(again, followed by zeros). [1]_
References
----------
.. [1] G. Strang, *Linear Algebra and Its Applications*, 2nd Ed., Orlando,
FL, Academic Press, Inc., 1980, pp. 139-142.
Examples
--------
The following example checks that ``a * a+ * a == a`` and
``a+ * a * a+ == a+``:
>>> a = np.random.randn(9, 6)
>>> B = np.linalg.pinv(a)
>>> np.allclose(a, np.dot(a, np.dot(B, a)))
True
>>> np.allclose(B, np.dot(B, np.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.;
res = dot(transpose(vt), multiply(s[:, newaxis],transpose(u)))
return wrap(res)
# Determinant
def det(a):
"""
Compute the determinant of an array.
Parameters
----------
a : array_like, shape (M, M)
Input array.
Returns
-------
det : ndarray
Determinant of `a`.
Notes
-----
The determinant is computed via LU factorization using the LAPACK
routine z/dgetrf.
Examples
--------
The determinant of a 2-D array [[a, b], [c, d]] is ad - bc:
>>> a = np.array([[1, 2], [3, 4]])
>>> np.linalg.det(a)
-2.0
"""
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):
"""
Return the least-squares solution to a linear matrix equation.
Solves the equation `a x = b` by computing a vector `x` that minimizes
the norm `|| b - a x ||`. The equation may be under-, well-, or over-
determined (i.e., the number of linearly independent rows of `a` can be
less than, equal to, or greater than its number of linearly independent
columns). If `a` is square and of full rank, then `x` (but for round-off
error) is the "exact" solution of the equation.
Parameters
----------
a : array_like, shape (M, N)
"Coefficient" matrix.
b : array_like, shape (M,) or (M, K)
Ordinate or "dependent variable" values. If `b` is two-dimensional,
the least-squares solution is calculated for each of the `K` columns
of `b`.
rcond : float, optional
Cut-off ratio for small singular values of `a`.
Singular values are set to zero if they are smaller than `rcond`
times the largest singular value of `a`.
Returns
-------
x : ndarray, shape (N,) or (N, K)
Least-squares solution. The shape of `x` depends on the shape of
`b`.
residues : ndarray, shape (), (1,), or (K,)
Sums of residues; squared Euclidean norm for each column in
``b - a*x``.
If the rank of `a` is < N or > M, this is an empty array.
If `b` is 1-dimensional, this is a (1,) shape array.
Otherwise the shape is (K,).
rank : int
Rank of matrix `a`.
s : ndarray, shape (min(M,N),)
Singular values of `a`.
Raises
------
LinAlgError
If computation does not converge.
Notes
-----
If `b` is a matrix, then all array results are returned as matrices.
Examples
--------
Fit a line, ``y = mx + c``, through some noisy data-points:
>>> x = np.array([0, 1, 2, 3])
>>> y = np.array([-1, 0.2, 0.9, 2.1])
By examining the coefficients, we see that the line should have a
gradient of roughly 1 and cut the y-axis at, more or less, -1.
We can rewrite the line equation as ``y = Ap``, where ``A = [[x 1]]``
and ``p = [[m], [c]]``. Now use `lstsq` to solve for `p`:
>>> A = np.vstack([x, np.ones(len(x))]).T
>>> A
array([[ 0., 1.],
[ 1., 1.],
[ 2., 1.],
[ 3., 1.]])
>>> m, c = np.linalg.lstsq(A, y)[0]
>>> print m, c
1.0 -0.95
Plot the data along with the fitted line:
>>> import matplotlib.pyplot as plt
>>> plt.plot(x, y, 'o', label='Original data', markersize=10)
>>> plt.plot(x, m*x + c, 'r', label='Fitted line')
>>> plt.legend()
>>> plt.show()
"""
import math
a, _ = _makearray(a)
b, wrap = _makearray(b)
is_1d = len(b.shape) == 1
if is_1d:
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 is_1d:
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), wrap(resids), results['rank'], st
def norm(x, ord=None):
"""
Matrix or vector norm.
This function is able to return one of seven different matrix norms,
or one of an infinite number of vector norms (described below), depending
on the value of the ``ord`` parameter.
Parameters
----------
x : array_like, shape (M,) or (M, N)
Input array.
ord : {non-zero int, inf, -inf, 'fro'}, optional
Order of the norm (see table under ``Notes``). inf means numpy's
`inf` object.
Returns
-------
n : float
Norm of the matrix or vector.
Notes
-----
For values of ``ord <= 0``, the result is, strictly speaking, not a
mathematical 'norm', but it may still be useful for various numerical
purposes.
The following norms can be calculated:
===== ============================ ==========================
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))
0 -- sum(x != 0)
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)
===== ============================ ==========================
The Frobenius norm is given by [1]_:
:math:`||A||_F = [\\sum_{i,j} abs(a_{i,j})^2]^{1/2}`
References
----------
.. [1] G. H. Golub and C. F. Van Loan, *Matrix Computations*,
Baltimore, MD, Johns Hopkins University Press, 1985, pg. 15
Examples
--------
>>> from numpy import linalg as LA
>>> a = np.arange(9) - 4
>>> a
array([-4, -3, -2, -1, 0, 1, 2, 3, 4])
>>> b = a.reshape((3, 3))
>>> b
array([[-4, -3, -2],
[-1, 0, 1],
[ 2, 3, 4]])
>>> LA.norm(a)
7.745966692414834
>>> LA.norm(b)
7.745966692414834
>>> LA.norm(b, 'fro')
7.745966692414834
>>> LA.norm(a, np.inf)
4
>>> LA.norm(b, np.inf)
9
>>> LA.norm(a, -np.inf)
0
>>> LA.norm(b, -np.inf)
2
>>> LA.norm(a, 1)
20
>>> LA.norm(b, 1)
7
>>> LA.norm(a, -1)
-4.6566128774142013e-010
>>> LA.norm(b, -1)
6
>>> LA.norm(a, 2)
7.745966692414834
>>> LA.norm(b, 2)
7.3484692283495345
>>> LA.norm(a, -2)
nan
>>> LA.norm(b, -2)
1.8570331885190563e-016
>>> LA.norm(a, 3)
5.8480354764257312
>>> LA.norm(a, -3)
nan
"""
x = asarray(x)
if ord is None: # check the default case first and handle it immediately
return sqrt(add.reduce((x.conj() * x).ravel().real))
nd = x.ndim
if nd == 1:
if ord == Inf:
return abs(x).max()
elif ord == -Inf:
return abs(x).min()
elif ord == 0:
return (x != 0).sum() # Zero norm
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:
try:
ord + 1
except TypeError:
raise ValueError, "Invalid norm order for vectors."
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."
|