def sqrtm(A,disp=1):
"""Matrix square root
If disp is non-zero display warning if singular matrix.
If disp is zero then return residual ||A-X*X||_F / ||A||_F
Uses algorithm by Nicholas J. Higham
"""
A = asarray(A)
if len(A.shape)!=2:
raise ValueError, "Non-matrix input to matrix function."
T, Z = schur(A)
T, Z = rsf2csf(T,Z)
n,n = T.shape
R = sb.zeros((n,n),T.dtype.char)
for j in range(n):
R[j,j] = sqrt(T[j,j])
for i in range(j-1,-1,-1):
s = 0
for k in range(i+1,j):
s = s + R[i,k]*R[k,j]
R[i,j] = (T[i,j] - s)/(R[i,i] + R[j,j])
R, Z = all_mat(R,Z)
X = (Z * R * Z.H)
if disp:
nzeig = sb.any(sb.diag(T)==0)
if nzeig:
print "Matrix is singular and may not have a square root."
return X.A
else:
arg2 = norm(X*X - A,'fro')**2 / norm(A,'fro')
return X.A, arg2
def sqrtm(A,disp=1):
"""Matrix square root.
Parameters
----------
A : array, shape(M,M)
Matrix whose square root to evaluate
disp : boolean
Print warning if error in the result is estimated large
instead of returning estimated error. (Default: True)
Returns
-------
sgnA : array, shape(M,M)
Value of the sign function at A
(if disp == False)
errest : float
Frobenius norm of the estimated error, ||err||_F / ||A||_F
Notes
-----
Uses algorithm by Nicholas J. Higham
"""
A = asarray(A)
if len(A.shape)!=2:
raise ValueError, "Non-matrix input to matrix function."
T, Z = schur(A)
T, Z = rsf2csf(T,Z)
n,n = T.shape
R = np.zeros((n,n),T.dtype.char)
for j in range(n):
R[j,j] = sqrt(T[j,j])
for i in range(j-1,-1,-1):
s = 0
for k in range(i+1,j):
s = s + R[i,k]*R[k,j]
R[i,j] = (T[i,j] - s)/(R[i,i] + R[j,j])
R, Z = all_mat(R,Z)
X = (Z * R * Z.H)
if disp:
nzeig = np.any(diag(T)==0)
if nzeig:
print "Matrix is singular and may not have a square root."
return X.A
else:
arg2 = norm(X*X - A,'fro')**2 / norm(A,'fro')
return X.A, arg2
def funm(A,func,disp=1):
"""matrix function for arbitrary callable object func.
"""
# func should take a vector of arguments (see vectorize if
# it needs wrapping.
# Perform Shur decomposition (lapack ?gees)
A = asarray(A)
if len(A.shape)!=2:
raise ValueError, "Non-matrix input to matrix function."
if A.dtype.char in ['F', 'D', 'G']:
cmplx_type = 1
else:
cmplx_type = 0
T, Z = schur(A)
T, Z = rsf2csf(T,Z)
n,n = T.shape
F = diag(func(diag(T))) # apply function to diagonal elements
F = F.astype(T.dtype.char) # e.g. when F is real but T is complex
minden = abs(T[0,0])
# implement Algorithm 11.1.1 from Golub and Van Loan
# "matrix Computations."
for p in range(1,n):
for i in range(1,n-p+1):
j = i + p
s = T[i-1,j-1] * (F[j-1,j-1] - F[i-1,i-1])
ksl = slice(i,j-1)
val = dot(T[i-1,ksl],F[ksl,j-1]) - dot(F[i-1,ksl],T[ksl,j-1])
s = s + val
den = T[j-1,j-1] - T[i-1,i-1]
if den != 0.0:
s = s / den
F[i-1,j-1] = s
minden = min(minden,abs(den))
F = dot(dot(Z, F),transpose(conjugate(Z)))
if not cmplx_type:
F = toreal(F)
tol = {0:feps, 1:eps}[_array_precision[F.dtype.char]]
if minden == 0.0:
minden = tol
err = min(1, max(tol,(tol/minden)*norm(triu(T,1),1)))
if product(ravel(logical_not(isfinite(F))),axis=0):
err = Inf
if disp:
if err > 1000*tol:
print "Result may be inaccurate, approximate err =", err
return F
else:
return F, err
def logm(A,disp=1):
"""Matrix logarithm, inverse of expm."""
# Compute using general funm but then use better error estimator and
# make one step in improving estimate using a rotation matrix.
A = mat(asarray(A))
F, errest = funm(A,log,disp=0)
errtol = 1000*eps
# Only iterate if estimate of error is too large.
if errest >= errtol:
# Use better approximation of error
errest = norm(expm(F)-A,1) / norm(A,1)
if not isfinite(errest) or errest >= errtol:
N,N = A.shape
X,Y = ogrid[1:N+1,1:N+1]
R = mat(orth(eye(N,dtype='d')+X+Y))
F, dontcare = funm(R*A*R.H,log,disp=0)
F = R.H*F*R
if (norm(imag(F),1)<=1000*errtol*norm(F,1)):
F = mat(real(F))
E = mat(expm(F))
temp = mat(solve(E.T,(E-A).T))
F = F - temp.T
errest = norm(expm(F)-A,1) / norm(A,1)
if disp:
if not isfinite(errest) or errest >= errtol:
print "Result may be inaccurate, approximate err =", errest
return F
else:
return F, errest
def expm(A,q=7):
"""Compute the matrix exponential using Pade approximation.
Parameters
----------
A : array, shape(M,M)
Matrix to be exponentiated
q : integer
Order of the Pade approximation
Returns
-------
expA : array, shape(M,M)
Matrix exponential of A
"""
A = asarray(A)
ss = True
if A.dtype.char in ['f', 'F']:
pass ## A.savespace(1)
else:
pass ## A.savespace(0)
# Scale A so that norm is < 1/2
nA = norm(A,Inf)
if nA==0:
return identity(len(A), A.dtype.char)
from numpy import log2
val = log2(nA)
e = int(floor(val))
j = max(0,e+1)
A = A / 2.0**j
# Pade Approximation for exp(A)
X = A
c = 1.0/2
N = eye(*A.shape) + c*A
D = eye(*A.shape) - c*A
for k in range(2,q+1):
c = c * (q-k+1) / (k*(2*q-k+1))
X = dot(A,X)
cX = c*X
N = N + cX
if not k % 2:
D = D + cX;
else:
D = D - cX;
F = solve(D,N)
for k in range(1,j+1):
F = dot(F,F)
pass ## A.savespace(ss)
return F
def signm(a,disp=1):
"""matrix sign"""
def rounded_sign(x):
rx = real(x)
if rx.dtype.char=='f':
c = 1e3*feps*amax(x)
else:
c = 1e3*eps*amax(x)
return sign( (absolute(rx) > c) * rx )
result,errest = funm(a, rounded_sign, disp=0)
errtol = {0:1e3*feps, 1:1e3*eps}[_array_precision[result.dtype.char]]
if errest < errtol:
return result
# Handle signm of defective matrices:
# See "E.D.Denman and J.Leyva-Ramos, Appl.Math.Comp.,
# 8:237-250,1981" for how to improve the following (currently a
# rather naive) iteration process:
a = asarray(a)
#a = result # sometimes iteration converges faster but where??
# Shifting to avoid zero eigenvalues. How to ensure that shifting does
# not change the spectrum too much?
vals = svd(a,compute_uv=0)
max_sv = sb.amax(vals)
#min_nonzero_sv = vals[(vals>max_sv*errtol).tolist().count(1)-1]
#c = 0.5/min_nonzero_sv
c = 0.5/max_sv
S0 = a + c*sb.identity(a.shape[0])
prev_errest = errest
for i in range(100):
iS0 = inv(S0)
S0 = 0.5*(S0 + iS0)
Pp=0.5*(dot(S0,S0)+S0)
errest = norm(dot(Pp,Pp)-Pp,1)
if errest < errtol or prev_errest==errest:
break
prev_errest = errest
if disp:
if not isfinite(errest) or errest >= errtol:
print "Result may be inaccurate, approximate err =", errest
return S0
else:
return S0, errest
def rsf2csf(T, Z):
"""Convert real schur form to complex schur form.
Description:
If A is a real-valued matrix, then the real schur form is
quasi-upper triangular. 2x2 blocks extrude from the main-diagonal
corresponding to any complex-valued eigenvalues.
This function converts this real schur form to a complex schur form
which is upper triangular.
"""
Z,T = map(asarray_chkfinite, (Z,T))
if len(Z.shape) !=2 or Z.shape[0] != Z.shape[1]:
raise ValueError, "matrix must be square."
if len(T.shape) !=2 or T.shape[0] != T.shape[1]:
raise ValueError, "matrix must be square."
if T.shape[0] != Z.shape[0]:
raise ValueError, "matrices must be same dimension."
N = T.shape[0]
arr = numpy.array
t = _commonType(Z, T, arr([3.0],'F'))
Z, T = _castCopy(t, Z, T)
conj = numpy.conj
dot = numpy.dot
r_ = numpy.r_
transp = numpy.transpose
for m in range(N-1,0,-1):
if abs(T[m,m-1]) > eps*(abs(T[m-1,m-1]) + abs(T[m,m])):
k = slice(m-1,m+1)
mu = eigvals(T[k,k]) - T[m,m]
r = basic.norm([mu[0], T[m,m-1]])
c = mu[0] / r
s = T[m,m-1] / r
G = r_[arr([[conj(c),s]],dtype=t),arr([[-s,c]],dtype=t)]
Gc = conj(transp(G))
j = slice(m-1,N)
T[k,j] = dot(G,T[k,j])
i = slice(0,m+1)
T[i,k] = dot(T[i,k], Gc)
i = slice(0,N)
Z[i,k] = dot(Z[i,k], Gc)
T[m,m-1] = 0.0;
return T, Z
def logm(A,disp=1):
"""Compute matrix logarithm.
The matrix logarithm is the inverse of expm: expm(logm(A)) == A
Parameters
----------
A : array, shape(M,M)
Matrix whose logarithm to evaluate
disp : boolean
Print warning if error in the result is estimated large
instead of returning estimated error. (Default: True)
Returns
-------
logA : array, shape(M,M)
Matrix logarithm of A
(if disp == False)
errest : float
1-norm of the estimated error, ||err||_1 / ||A||_1
"""
# Compute using general funm but then use better error estimator and
# make one step in improving estimate using a rotation matrix.
A = mat(asarray(A))
F, errest = funm(A,log,disp=0)
errtol = 1000*eps
# Only iterate if estimate of error is too large.
if errest >= errtol:
# Use better approximation of error
errest = norm(expm(F)-A,1) / norm(A,1)
if not isfinite(errest) or errest >= errtol:
N,N = A.shape
X,Y = ogrid[1:N+1,1:N+1]
R = mat(orth(eye(N,dtype='d')+X+Y))
F, dontcare = funm(R*A*R.H,log,disp=0)
F = R.H*F*R
if (norm(imag(F),1)<=1000*errtol*norm(F,1)):
F = mat(real(F))
E = mat(expm(F))
temp = mat(solve(E.T,(E-A).T))
F = F - temp.T
errest = norm(expm(F)-A,1) / norm(A,1)
if disp:
if not isfinite(errest) or errest >= errtol:
print "Result may be inaccurate, approximate err =", errest
return F
else:
return F, errest
def signm(a,disp=1):
"""Matrix sign function.
Extension of the scalar sign(x) to matrices.
Parameters
----------
A : array, shape(M,M)
Matrix at which to evaluate the sign function
disp : boolean
Print warning if error in the result is estimated large
instead of returning estimated error. (Default: True)
Returns
-------
sgnA : array, shape(M,M)
Value of the sign function at A
(if disp == False)
errest : float
1-norm of the estimated error, ||err||_1 / ||A||_1
Examples
--------
>>> from scipy.linalg import signm, eigvals
>>> a = [[1,2,3], [1,2,1], [1,1,1]]
>>> eigvals(a)
array([ 4.12488542+0.j, -0.76155718+0.j, 0.63667176+0.j])
>>> eigvals(signm(a))
array([-1.+0.j, 1.+0.j, 1.+0.j])
"""
def rounded_sign(x):
rx = real(x)
if rx.dtype.char=='f':
c = 1e3*feps*amax(x)
else:
c = 1e3*eps*amax(x)
return sign( (absolute(rx) > c) * rx )
result,errest = funm(a, rounded_sign, disp=0)
errtol = {0:1e3*feps, 1:1e3*eps}[_array_precision[result.dtype.char]]
if errest < errtol:
return result
# Handle signm of defective matrices:
# See "E.D.Denman and J.Leyva-Ramos, Appl.Math.Comp.,
# 8:237-250,1981" for how to improve the following (currently a
# rather naive) iteration process:
a = asarray(a)
#a = result # sometimes iteration converges faster but where??
# Shifting to avoid zero eigenvalues. How to ensure that shifting does
# not change the spectrum too much?
vals = svd(a,compute_uv=0)
max_sv = np.amax(vals)
#min_nonzero_sv = vals[(vals>max_sv*errtol).tolist().count(1)-1]
#c = 0.5/min_nonzero_sv
c = 0.5/max_sv
S0 = a + c*np.identity(a.shape[0])
prev_errest = errest
for i in range(100):
iS0 = inv(S0)
S0 = 0.5*(S0 + iS0)
Pp=0.5*(dot(S0,S0)+S0)
errest = norm(dot(Pp,Pp)-Pp,1)
if errest < errtol or prev_errest==errest:
break
prev_errest = errest
if disp:
if not isfinite(errest) or errest >= errtol:
print "Result may be inaccurate, approximate err =", errest
return S0
else:
return S0, errest
def funm(A,func,disp=1):
"""Evaluate a matrix function specified by a callable.
Returns the value of matrix-valued function f at A. The function f
is an extension of the scalar-valued function func to matrices.
Parameters
----------
A : array, shape(M,M)
Matrix at which to evaluate the function
func : callable
Callable object that evaluates a scalar function f.
Must be vectorized (eg. using vectorize).
disp : boolean
Print warning if error in the result is estimated large
instead of returning estimated error. (Default: True)
Returns
-------
fA : array, shape(M,M)
Value of the matrix function specified by func evaluated at A
(if disp == False)
errest : float
1-norm of the estimated error, ||err||_1 / ||A||_1
"""
# Perform Shur decomposition (lapack ?gees)
A = asarray(A)
if len(A.shape)!=2:
raise ValueError, "Non-matrix input to matrix function."
if A.dtype.char in ['F', 'D', 'G']:
cmplx_type = 1
else:
cmplx_type = 0
T, Z = schur(A)
T, Z = rsf2csf(T,Z)
n,n = T.shape
F = diag(func(diag(T))) # apply function to diagonal elements
F = F.astype(T.dtype.char) # e.g. when F is real but T is complex
minden = abs(T[0,0])
# implement Algorithm 11.1.1 from Golub and Van Loan
# "matrix Computations."
for p in range(1,n):
for i in range(1,n-p+1):
j = i + p
s = T[i-1,j-1] * (F[j-1,j-1] - F[i-1,i-1])
ksl = slice(i,j-1)
val = dot(T[i-1,ksl],F[ksl,j-1]) - dot(F[i-1,ksl],T[ksl,j-1])
s = s + val
den = T[j-1,j-1] - T[i-1,i-1]
if den != 0.0:
s = s / den
F[i-1,j-1] = s
minden = min(minden,abs(den))
F = dot(dot(Z, F),transpose(conjugate(Z)))
if not cmplx_type:
F = toreal(F)
tol = {0:feps, 1:eps}[_array_precision[F.dtype.char]]
if minden == 0.0:
minden = tol
err = min(1, max(tol,(tol/minden)*norm(triu(T,1),1)))
if product(ravel(logical_not(isfinite(F))),axis=0):
err = Inf
if disp:
if err > 1000*tol:
print "Result may be inaccurate, approximate err =", err
return F
else:
return F, err