def triangular_solve_jvp_rule_a(g_a, ans, a, b, left_side, lower, transpose_a,
conjugate_a, unit_diagonal):
m, n = b.shape[-2:]
k = 1 if unit_diagonal else 0
g_a = jnp.tril(g_a, k=-k) if lower else jnp.triu(g_a, k=k)
g_a = lax.neg(g_a)
g_a = jnp.swapaxes(g_a, -1, -2) if transpose_a else g_a
g_a = jnp.conj(g_a) if conjugate_a else g_a
dot = partial(lax.dot if g_a.ndim == 2 else lax.batch_matmul,
precision=lax.Precision.HIGHEST)
def a_inverse(rhs):
return triangular_solve(a, rhs, left_side, lower, transpose_a,
conjugate_a, unit_diagonal)
# triangular_solve is about the same cost as matrix multplication (~n^2 FLOPs
# for matrix/vector inputs). Order these operations in whichever order is
# cheaper.
if left_side:
assert g_a.shape[-2:] == a.shape[-2:] == (m, m) and ans.shape[-2:] == (
m, n)
if m > n:
return a_inverse(dot(g_a, ans)) # A^{-1} (∂A X)
else:
return dot(a_inverse(g_a), ans) # (A^{-1} ∂A) X
else:
assert g_a.shape[-2:] == a.shape[-2:] == (n, n) and ans.shape[-2:] == (
m, n)
if m < n:
return a_inverse(dot(ans, g_a)) # (X ∂A) A^{-1}
else:
return dot(ans, a_inverse(g_a)) # X (∂A A^{-1})
def hfft(a, n=None, axis=-1, norm=None):
conj_a = jnp.conj(a)
_axis_check_1d('hfft', axis)
nn = (a.shape[axis] - 1) * 2 if n is None else n
return _fft_core_1d(
'hfft', xla_client.FftType.IRFFT, conj_a, n=n, axis=axis,
norm=norm) * nn
def ihfft(a, n=None, axis=-1, norm=None):
_axis_check_1d('ihfft', axis)
nn = a.shape[axis] if n is None else n
output = _fft_core_1d('ihfft',
xla_client.FftType.RFFT,
a,
n=n,
axis=axis,
norm=norm)
return jnp.conj(output) * (1 / nn)
def pinv(a, rcond=None):
# Uses same algorithm as
# https://github.com/numpy/numpy/blob/v1.17.0/numpy/linalg/linalg.py#L1890-L1979
a = jnp.conj(a)
if rcond is None:
max_rows_cols = max(a.shape[-2:])
rcond = 10. * max_rows_cols * jnp.finfo(a.dtype).eps
rcond = jnp.asarray(rcond)
u, s, vh = svd(a, full_matrices=False)
# Singular values less than or equal to ``rcond * largest_singular_value``
# are set to zero.
cutoff = rcond[..., jnp.newaxis] * jnp.amax(
s, axis=-1, keepdims=True, initial=-jnp.inf)
s = jnp.where(s > cutoff, s, jnp.inf)
res = jnp.matmul(_T(vh), jnp.divide(_T(u), s[..., jnp.newaxis]))
return lax.convert_element_type(res, a.dtype)
def norm(x,
ord=None,
axis: Union[None, Tuple[int, ...], int] = None,
keepdims=False):
x = _promote_arg_dtypes(jnp.asarray(x))
x_shape = jnp.shape(x)
ndim = len(x_shape)
if axis is None:
# NumPy has an undocumented behavior that admits arbitrary rank inputs if
# `ord` is None: https://github.com/numpy/numpy/issues/14215
if ord is None:
return jnp.sqrt(
jnp.sum(jnp.real(x * jnp.conj(x)), keepdims=keepdims))
axis = tuple(range(ndim))
elif isinstance(axis, tuple):
axis = tuple(canonicalize_axis(x, ndim) for x in axis)
else:
axis = (canonicalize_axis(axis, ndim), )
num_axes = len(axis)
if num_axes == 1:
if ord is None or ord == 2:
return jnp.sqrt(
jnp.sum(jnp.real(x * jnp.conj(x)),
axis=axis,
keepdims=keepdims))
elif ord == jnp.inf:
return jnp.amax(jnp.abs(x), axis=axis, keepdims=keepdims)
elif ord == -jnp.inf:
return jnp.amin(jnp.abs(x), axis=axis, keepdims=keepdims)
elif ord == 0:
return jnp.sum(x != 0,
dtype=jnp.finfo(lax.dtype(x)).dtype,
axis=axis,
keepdims=keepdims)
elif ord == 1:
# Numpy has a special case for ord == 1 as an optimization. We don't
# really need the optimization (XLA could do it for us), but the Numpy
# code has slightly different type promotion semantics, so we need a
# special case too.
return jnp.sum(jnp.abs(x), axis=axis, keepdims=keepdims)
else:
abs_x = jnp.abs(x)
ord = lax._const(abs_x, ord)
out = jnp.sum(abs_x**ord, axis=axis, keepdims=keepdims)
return jnp.power(out, 1. / ord)
elif num_axes == 2:
row_axis, col_axis = cast(Tuple[int, ...], axis)
if ord is None or ord in ('f', 'fro'):
return jnp.sqrt(
jnp.sum(jnp.real(x * jnp.conj(x)),
axis=axis,
keepdims=keepdims))
elif ord == 1:
if not keepdims and col_axis > row_axis:
col_axis -= 1
return jnp.amax(jnp.sum(jnp.abs(x),
axis=row_axis,
keepdims=keepdims),
axis=col_axis,
keepdims=keepdims)
elif ord == -1:
if not keepdims and col_axis > row_axis:
col_axis -= 1
return jnp.amin(jnp.sum(jnp.abs(x),
axis=row_axis,
keepdims=keepdims),
axis=col_axis,
keepdims=keepdims)
elif ord == jnp.inf:
if not keepdims and row_axis > col_axis:
row_axis -= 1
return jnp.amax(jnp.sum(jnp.abs(x),
axis=col_axis,
keepdims=keepdims),
axis=row_axis,
keepdims=keepdims)
elif ord == -jnp.inf:
if not keepdims and row_axis > col_axis:
row_axis -= 1
return jnp.amin(jnp.sum(jnp.abs(x),
axis=col_axis,
keepdims=keepdims),
axis=row_axis,
keepdims=keepdims)
elif ord in ('nuc', 2, -2):
x = jnp.moveaxis(x, axis, (-2, -1))
if ord == 2:
reducer = jnp.amax
elif ord == -2:
reducer = jnp.amin
else:
reducer = jnp.sum
y = reducer(svd(x, compute_uv=False), axis=-1)
if keepdims:
result_shape = list(x_shape)
result_shape[axis[0]] = 1
result_shape[axis[1]] = 1
y = jnp.reshape(y, result_shape)
return y
else:
raise ValueError("Invalid order '{}' for matrix norm.".format(ord))
else:
raise ValueError(
"Invalid axis values ({}) for jnp.linalg.norm.".format(axis))
def _sqrtm(A):
T, Z = schur(A, output='complex')
sqrt_T = _sqrtm_triu(T)
return jnp.matmul(jnp.matmul(Z, sqrt_T, precision=lax.Precision.HIGHEST),
jnp.conj(Z.T),
precision=lax.Precision.HIGHEST)
def eigh_tridiagonal(d,
e,
*,
eigvals_only=False,
select='a',
select_range=None,
tol=None):
if not eigvals_only:
raise NotImplementedError(
"Calculation of eigenvectors is not implemented")
def _sturm(alpha, beta_sq, pivmin, alpha0_perturbation, x):
"""Implements the Sturm sequence recurrence."""
n = alpha.shape[0]
zeros = jnp.zeros(x.shape, dtype=jnp.int32)
ones = jnp.ones(x.shape, dtype=jnp.int32)
# The first step in the Sturm sequence recurrence
# requires special care if x is equal to alpha[0].
def sturm_step0():
q = alpha[0] - x
count = jnp.where(q < 0, ones, zeros)
q = jnp.where(alpha[0] == x, alpha0_perturbation, q)
return q, count
# Subsequent steps all take this form:
def sturm_step(i, q, count):
q = alpha[i] - beta_sq[i - 1] / q - x
count = jnp.where(q <= pivmin, count + 1, count)
q = jnp.where(q <= pivmin, jnp.minimum(q, -pivmin), q)
return q, count
# The first step initializes q and count.
q, count = sturm_step0()
# Peel off ((n-1) % blocksize) steps from the main loop, so we can run
# the bulk of the iterations unrolled by a factor of blocksize.
blocksize = 16
i = 1
peel = (n - 1) % blocksize
unroll_cnt = peel
def unrolled_steps(args):
start, q, count = args
for j in range(unroll_cnt):
q, count = sturm_step(start + j, q, count)
return start + unroll_cnt, q, count
i, q, count = unrolled_steps((i, q, count))
# Run the remaining steps of the Sturm sequence using a partially
# unrolled while loop.
unroll_cnt = blocksize
def cond(iqc):
i, q, count = iqc
return jnp.less(i, n)
_, _, count = lax.while_loop(cond, unrolled_steps, (i, q, count))
return count
alpha = jnp.asarray(d)
beta = jnp.asarray(e)
supported_dtypes = (jnp.float32, jnp.float64, jnp.complex64,
jnp.complex128)
if alpha.dtype != beta.dtype:
raise TypeError(
"diagonal and off-diagonal values must have same dtype, "
f"got {alpha.dtype} and {beta.dtype}")
if alpha.dtype not in supported_dtypes or beta.dtype not in supported_dtypes:
raise TypeError(
"Only float32 and float64 inputs are supported as inputs "
"to jax.scipy.linalg.eigh_tridiagonal, got "
f"{alpha.dtype} and {beta.dtype}")
n = alpha.shape[0]
if n <= 1:
return jnp.real(alpha)
if jnp.issubdtype(alpha.dtype, jnp.complexfloating):
alpha = jnp.real(alpha)
beta_sq = jnp.real(beta * jnp.conj(beta))
beta_abs = jnp.sqrt(beta_sq)
else:
beta_abs = jnp.abs(beta)
beta_sq = jnp.square(beta)
# Estimate the largest and smallest eigenvalues of T using the Gershgorin
# circle theorem.
off_diag_abs_row_sum = jnp.concatenate(
[beta_abs[:1], beta_abs[:-1] + beta_abs[1:], beta_abs[-1:]], axis=0)
lambda_est_max = jnp.amax(alpha + off_diag_abs_row_sum)
lambda_est_min = jnp.amin(alpha - off_diag_abs_row_sum)
# Upper bound on 2-norm of T.
t_norm = jnp.maximum(jnp.abs(lambda_est_min), jnp.abs(lambda_est_max))
# Compute the smallest allowed pivot in the Sturm sequence to avoid
# overflow.
finfo = np.finfo(alpha.dtype)
one = np.ones([], dtype=alpha.dtype)
safemin = np.maximum(one / finfo.max, (one + finfo.eps) * finfo.tiny)
pivmin = safemin * jnp.maximum(1, jnp.amax(beta_sq))
alpha0_perturbation = jnp.square(finfo.eps * beta_abs[0])
abs_tol = finfo.eps * t_norm
if tol is not None:
abs_tol = jnp.maximum(tol, abs_tol)
# In the worst case, when the absolute tolerance is eps*lambda_est_max and
# lambda_est_max = -lambda_est_min, we have to take as many bisection steps
# as there are bits in the mantissa plus 1.
# The proof is left as an exercise to the reader.
max_it = finfo.nmant + 1
# Determine the indices of the desired eigenvalues, based on select and
# select_range.
if select == 'a':
target_counts = jnp.arange(n, dtype=jnp.int32)
elif select == 'i':
if select_range[0] > select_range[1]:
raise ValueError('Got empty index range in select_range.')
target_counts = jnp.arange(select_range[0],
select_range[1] + 1,
dtype=jnp.int32)
elif select == 'v':
# TODO(phawkins): requires dynamic shape support.
raise NotImplementedError("eigh_tridiagonal(..., select='v') is not "
"implemented")
else:
raise ValueError("'select must have a value in {'a', 'i', 'v'}.")
# Run binary search for all desired eigenvalues in parallel, starting from
# the interval lightly wider than the estimated
# [lambda_est_min, lambda_est_max].
fudge = 2.1 # We widen starting interval the Gershgorin interval a bit.
norm_slack = jnp.array(n, alpha.dtype) * fudge * finfo.eps * t_norm
lower = lambda_est_min - norm_slack - 2 * fudge * pivmin
upper = lambda_est_max + norm_slack + fudge * pivmin
# Pre-broadcast the scalars used in the Sturm sequence for improved
# performance.
target_shape = jnp.shape(target_counts)
lower = jnp.broadcast_to(lower, shape=target_shape)
upper = jnp.broadcast_to(upper, shape=target_shape)
mid = 0.5 * (upper + lower)
pivmin = jnp.broadcast_to(pivmin, target_shape)
alpha0_perturbation = jnp.broadcast_to(alpha0_perturbation, target_shape)
# Start parallel binary searches.
def cond(args):
i, lower, _, upper = args
return jnp.logical_and(jnp.less(i, max_it),
jnp.less(abs_tol, jnp.amax(upper - lower)))
def body(args):
i, lower, mid, upper = args
counts = _sturm(alpha, beta_sq, pivmin, alpha0_perturbation, mid)
lower = jnp.where(counts <= target_counts, mid, lower)
upper = jnp.where(counts > target_counts, mid, upper)
mid = 0.5 * (lower + upper)
return i + 1, lower, mid, upper
_, _, mid, _ = lax.while_loop(cond, body, (0, lower, mid, upper))
return mid
def _cholesky(a, lower):
a, = _promote_dtypes_inexact(jnp.asarray(a))
l = lax_linalg.cholesky(a if lower else jnp.conj(_T(a)),
symmetrize_input=False)
return l if lower else jnp.conj(_T(l))
def _H(x):
return jnp.conj(_T(x))
def _H(x): return jnp.conj(_T(x)) def symmetrize(x): return (x + _H(x)) / 2
