def test_tridi_inverse_iteration():
import scipy.linalg as la
from scipy.sparse import spdiags
# set up a spectral concentration eigenvalue problem for testing
N = 2000
NW = 4
K = 8
W = float(NW) / N
nidx = np.arange(N, dtype='d')
ab = np.zeros((2, N), 'd')
# store this separately for tridisolve later
sup_diag = np.zeros((N, ), 'd')
sup_diag[:-1] = nidx[1:] * (N - nidx[1:]) / 2.
ab[0, 1:] = sup_diag[:-1]
ab[1] = ((N - 1 - 2 * nidx) / 2.)**2 * np.cos(2 * np.pi * W)
# only calculate the highest Kmax-1 eigenvalues
w = la.eigvals_banded(ab, select='i', select_range=(N - K, N - 1))
w = w[::-1]
E = np.zeros((K, N), 'd')
t = np.linspace(0, np.pi, N)
# make sparse tridiagonal matrix for eigenvector check
sp_data = np.zeros((3, N), 'd')
sp_data[0, :-1] = sup_diag[:-1]
sp_data[1] = ab[1]
sp_data[2, 1:] = sup_diag[:-1]
A = spdiags(sp_data, [-1, 0, 1], N, N)
E = np.zeros((K, N), 'd')
for j in xrange(K):
e = utils.tridi_inverse_iteration(ab[1],
sup_diag,
w[j],
x0=np.sin((j + 1) * t))
b = A * e
nt.assert_true(
np.linalg.norm(np.abs(b) - np.abs(w[j]*e)) < 1e-8,
'Inverse iteration eigenvector solution is inconsistent with '\
'given eigenvalue'
)
E[j] = e
# also test orthonormality of the eigenvectors
ident = np.dot(E, E.T)
npt.assert_almost_equal(ident, np.eye(K))
def test_tridi_inverse_iteration():
import scipy.linalg as la
from scipy.sparse import spdiags
# set up a spectral concentration eigenvalue problem for testing
N = 2000
NW = 4
K = 8
W = float(NW) / N
nidx = np.arange(N, dtype='d')
ab = np.zeros((2, N), 'd')
# store this separately for tridisolve later
sup_diag = np.zeros((N,), 'd')
sup_diag[:-1] = nidx[1:] * (N - nidx[1:]) / 2.
ab[0, 1:] = sup_diag[:-1]
ab[1] = ((N - 1 - 2 * nidx) / 2.) ** 2 * np.cos(2 * np.pi * W)
# only calculate the highest Kmax-1 eigenvalues
w = la.eigvals_banded(ab, select='i', select_range=(N - K, N - 1))
w = w[::-1]
E = np.zeros((K, N), 'd')
t = np.linspace(0, np.pi, N)
# make sparse tridiagonal matrix for eigenvector check
sp_data = np.zeros((3,N), 'd')
sp_data[0, :-1] = sup_diag[:-1]
sp_data[1] = ab[1]
sp_data[2, 1:] = sup_diag[:-1]
A = spdiags(sp_data, [-1, 0, 1], N, N)
E = np.zeros((K,N), 'd')
for j in xrange(K):
e = utils.tridi_inverse_iteration(
ab[1], sup_diag, w[j], x0=np.sin((j+1)*t)
)
b = A*e
nt.assert_true(
np.linalg.norm(np.abs(b) - np.abs(w[j]*e)) < 1e-8,
'Inverse iteration eigenvector solution is inconsistent with '\
'given eigenvalue'
)
E[j] = e
# also test orthonormality of the eigenvectors
ident = np.dot(E, E.T)
npt.assert_almost_equal(ident, np.eye(K))
def dpss_windows(N, NW, Kmax, interp_from=None, interp_kind='linear'):
"""
Returns the Discrete Prolate Spheroidal Sequences of orders [0,Kmax-1]
for a given frequency-spacing multiple NW and sequence length N.
Paramters
---------
N : int
sequence length
NW : float, unitless
standardized half bandwidth corresponding to 2NW = BW*f0 = BW*N/dt
but with dt taken as 1
Kmax : int
number of DPSS windows to return is Kmax (orders 0 through Kmax-1)
interp_from: int (optional)
The dpss will can calculated using interpolation from a set of dpss
with the same NW and Kmax, but shorter N. This is the length of this
shorter set of dpss windows.
interp_kind: str (optional)
This input variable is passed to scipy.interpolate.interp1d and
specifies the kind of interpolation as a string ('linear', 'nearest',
'zero', 'slinear', 'quadratic, 'cubic') or as an integer specifying the
order of the spline interpolator to use.
Returns
-------
v, e : tuple,
v is an array of DPSS windows shaped (Kmax, N)
e are the eigenvalues
Notes
-----
Tridiagonal form of DPSS calculation from:
Slepian, D. Prolate spheroidal wave functions, Fourier analysis, and
uncertainty V: The discrete case. Bell System Technical Journal,
Volume 57 (1978), 1371430
"""
Kmax = int(Kmax)
W = float(NW) / N
nidx = np.arange(N, dtype='d')
# In this case, we create the dpss windows of the smaller size
# (interp_from) and then interpolate to the larger size (N)
if interp_from is not None:
if interp_from > N:
e_s = 'In dpss_windows, interp_from is: %s ' % interp_from
e_s += 'and N is: %s. ' % N
e_s += 'Please enter interp_from smaller than N.'
raise ValueError(e_s)
dpss = []
d, e = dpss_windows(interp_from, NW, Kmax)
for this_d in d:
x = np.arange(this_d.shape[-1])
I = interpolate.interp1d(x, this_d, kind=interp_kind)
d_temp = I(np.arange(0, this_d.shape[-1] - 1,
float(this_d.shape[-1] - 1) / N))
# Rescale:
d_temp = d_temp / np.sqrt(np.sum(d_temp ** 2))
dpss.append(d_temp)
dpss = np.array(dpss)
else:
# here we want to set up an optimization problem to find a sequence
# whose energy is maximally concentrated within band [-W,W].
# Thus, the measure lambda(T,W) is the ratio between the energy within
# that band, and the total energy. This leads to the eigen-system
# (A - (l1)I)v = 0, where the eigenvector corresponding to the largest
# eigenvalue is the sequence with maximally concentrated energy. The
# collection of eigenvectors of this system are called Slepian
# sequences, or discrete prolate spheroidal sequences (DPSS). Only the
# first K, K = 2NW/dt orders of DPSS will exhibit good spectral
# concentration
# [see http://en.wikipedia.org/wiki/Spectral_concentration_problem]
# Here I set up an alternative symmetric tri-diagonal eigenvalue
# problem such that
# (B - (l2)I)v = 0, and v are our DPSS (but eigenvalues l2 != l1)
# the main diagonal = ([N-1-2*t]/2)**2 cos(2PIW), t=[0,1,2,...,N-1]
# and the first off-diagonal = t(N-t)/2, t=[1,2,...,N-1]
# [see Percival and Walden, 1993]
diagonal = ((N - 1 - 2 * nidx) / 2.) ** 2 * np.cos(2 * np.pi * W)
off_diag = np.zeros_like(nidx)
off_diag[:-1] = nidx[1:] * (N - nidx[1:]) / 2.
# put the diagonals in LAPACK "packed" storage
ab = np.zeros((2, N), 'd')
ab[1] = diagonal
ab[0, 1:] = off_diag[:-1]
# only calculate the highest Kmax eigenvalues
w = linalg.eigvals_banded(ab, select='i',
select_range=(N - Kmax, N - 1))
w = w[::-1]
# find the corresponding eigenvectors via inverse iteration
t = np.linspace(0, np.pi, N)
dpss = np.zeros((Kmax, N), 'd')
for k in xrange(Kmax):
dpss[k] = utils.tridi_inverse_iteration(
diagonal, off_diag, w[k], x0=np.sin((k + 1) * t)
)
# By convention (Percival and Walden, 1993 pg 379)
# * symmetric tapers (k=0,2,4,...) should have a positive average.
# * antisymmetric tapers should begin with a positive lobe
fix_symmetric = (dpss[0::2].sum(axis=1) < 0)
for i, f in enumerate(fix_symmetric):
if f:
dpss[2 * i] *= -1
fix_skew = (dpss[1::2, 1] < 0)
for i, f in enumerate(fix_skew):
if f:
dpss[2 * i + 1] *= -1
# Now find the eigenvalues of the original spectral concentration problem
# Use the autocorr sequence technique from Percival and Walden, 1993 pg 390
dpss_rxx = utils.autocorr(dpss) * N
r = 4 * W * np.sinc(2 * W * nidx)
r[0] = 2 * W
eigvals = np.dot(dpss_rxx, r)
return dpss, eigvals