def eval_V(self, t, x):
if type(t) == float or type(t) == np.float64:
# print('t is float')
V = self.V[self.t_to_ind(t)]
add_fun_const = self.c_add_fun_list[self.t_to_ind(t)]
else:
# print('t is not float. t is', type(t))
V, add_fun_const = t
if len(x.shape) == 1:
ii, jj, kk = xe.indices(3)
feat = self.P(x)
temp = xe.Tensor([1])
comp = xe.Tensor()
temp[0] = 1
for iter_1 in range(self.r):
comp = V.get_component(iter_1)
temp(kk) << temp(ii) * comp(
ii, jj, kk) * xe.Tensor.from_buffer(feat[iter_1])(jj)
return temp[0] + add_fun_const * self.add_fun(t, x)
else:
feat = self.P_batch(x)
temp = np.ones(shape=(1, x.shape[1]))
for iter_1 in range(x.shape[0]):
comp = V.get_component(iter_1).to_ndarray()
temp = np.einsum('il,ijk,jl->kl', temp, comp, feat[iter_1])
return temp[0] + add_fun_const * self.add_fun(0, x)
def adapt_ranks(self, U, S, Vt, smin):
""" Add a new rank to S
Parameters
----------
U: xe.Tensor
left part of SVD
S: xe.Tensor
middle part of SVD, diagonal matrix
Vt: xe.Tensor
right part of SVD
smin: float
Threshold for smalles singluar values
Returns
-------
Unew: xe.Tensor
left part of SVD with one rank increased
Snew: xe.Tensor
middle part of SVD, diagonal matrix with one rank increased
Vtnew: xe.Tensor
right part of SVD with one rank increased
"""
i1, i2, i3, i4, i5, i6, j1, j2, j3, j4, k1, k2, k3 = xe.indices(13)
# print('adapt: U before', xe.frob_norm(U))
res = xe.Tensor()
#S
Snew = xe.Tensor([S.dimensions[0] + 1, S.dimensions[1] + 1])
Snew.offset_add(S, [0, 0])
Snew[S.dimensions[0], S.dimensions[1]] = 0.01 * smin
#U
onesU = xe.Tensor.ones([U.dimensions[0], U.dimensions[1]])
Unew = xe.Tensor(
[U.dimensions[0], U.dimensions[1], U.dimensions[2] + 1])
Unew.offset_add(U, [0, 0, 0])
res(i1, i2) << U(i1, i2, k1) * U(j1, j2, k1) * onesU(j1, j2)
onesU = onesU - res
res(i1, i2) << U(i1, i2, k1) * U(j1, j2, k1) * onesU(j1, j2)
onesU = onesU - res
onesU.reinterpret_dimensions([U.dimensions[0], U.dimensions[1], 1])
if xe.frob_norm(onesU) != 0:
onesU = onesU / xe.frob_norm(onesU)
Unew.offset_add(onesU, [0, 0, U.dimensions[2]])
#Vt
onesVt = xe.Tensor.ones([Vt.dimensions[1], Vt.dimensions[2]])
Vtnew = xe.Tensor(
[Vt.dimensions[0] + 1, Vt.dimensions[1], Vt.dimensions[2]])
Vtnew.offset_add(Vt, [0, 0, 0])
res(i1, i2) << Vt(k1, i1, i2) * Vt(k1, j1, j2) * onesVt(j1, j2)
onesVt = onesVt - res
res(i1, i2) << Vt(k1, i1, i2) * Vt(k1, j1, j2) * onesVt(j1, j2)
onesVt = onesVt - res
onesVt.reinterpret_dimensions([1, Vt.dimensions[1], Vt.dimensions[2]])
if xe.frob_norm(onesVt) != 0:
onesVt = onesVt / xe.frob_norm(onesVt)
Vtnew.offset_add(onesVt, [Vt.dimensions[0], 0, 0])
return Unew, Snew, Vtnew
def costs_component_gradient_fd(_tt, _mode, _measures, _values, _h=1e-8):
val0 = costs(_tt, _measures, _values)[0]
test = xe.TTTensor(_tt)
ret = xe.Tensor(_tt.get_component(_mode).dimensions)
for I in range(ret.size):
testCore = xe.Tensor(_tt.get_component(_mode))
testCore[I] += _h
test.set_component(_mode, testCore)
valI = costs(test, _measures, _values)[0]
ret[I] = (valI - val0) / _h
return ret.to_ndarray()
def contract_feat(self, T, feat_list):
# y = proj @ x
ii, jj, kk = xe.indices(3)
# x_T = xe.Tensor.from_ndarray(y)
comp = xe.Tensor()
temp = xe.Tensor([1])
temp[0] = 1
r = T.order()
for iter_1 in range(r):
comp = T.get_component(iter_1)
temp(kk) << temp(ii) * comp(ii, jj, kk) * xe.Tensor.from_ndarray(
feat_list[iter_1])(jj)
return temp[0]
def push_right_stack(self, pos) : i1,i2,i3, j1,j2,j3, k1,k2 = xe.indices(8) Ai = self.A.get_component(pos) xi = self.x.get_component(pos) bi = self.b.get_component(pos) tmpA = xe.Tensor() tmpB = xe.Tensor() tmpA(j1, j2, j3) << xi(j1, k1, i1)*Ai(j2, k1, k2, i2)*xi(j3, k2, i3) \ * self.rightAStack[-1](i1, i2, i3) self.rightAStack.append(tmpA) tmpB(j1, j2) << xi(j1, k1, i1)*bi(j2, k1, i2) \ * self.rightBStack[-1](i1, i2) self.rightBStack.append(tmpB)
def random_data_selection(Alist, C1ex, C2list, noo, nos):
"""Creates label data for the given solution C1ex
Parameters
----------
Alist: list of xerus tensors
Dictionary in CP format
C1ex: xerus TTOperator
Solution for which samples shall be constructed
C2list: list of xerus tensors
Selection operator in CP format
noo: int
number of dimensions
nos: int
number of samples
Returns
-------
Y: numpy array
nos times noo matrix containing the labels for the given solution
"""
i1, i2, i3, i4, i5, i6, j1, j2, j3, j4, k1, k2, k3, k4 = xerus.indices(14)
l = np.ones([nos, 1, noo])
r = np.ones([nos, 1, noo])
tmp1 = xerus.Tensor()
for i in range(noo):
t1 = C1ex.get_component(i)
t2 = C2list[i]
t3 = Alist[i]
tmp1(i1, i2, i3, i4) << t3(k1, i2) * t1(i1, k1, k2, i4) * t2(k2, i3)
tmp1np = tmp1.to_ndarray()
l = np.einsum('mid,imdj->mjd', l, tmp1np)
return np.einsum('mid,mid->dm', l, r)
def build_data_tensor_list2(noo, x, nos, psi, p):
"""Creates the dictionary for given basis functions and samples
Parameters
----------
noo: int
number of dimensions
x: numpy array
nooxnos containing the sample data
nos: int
number of samples
psi: list of functions
basisfunctions
p: int
number of basisfunctions
Returns
-------
Alist: list of xerus tensor
Dictionary operator in CP format
"""
AList = []
for i in range(noo):
tmp = xerus.Tensor([p, nos])
for k in range(nos):
for l in range(p):
tmp[l, k] = psi[l](x[i, k])
AList.append(tmp)
return AList
def solve(self) :
# build right stack
self.x.move_core(0, True)
for pos in reversed(xrange(1, self.d)) :
self.push_right_stack(pos)
i1,i2,i3, j1,j2,j3, k1,k2 = xe.indices(8)
residuals = [1000]*10
for itr in xrange(self.maxIterations) :
residuals.append(self.calc_residual_norm())
if residuals[-1]/residuals[-10] > 0.99 :
print("Done! Residual decreased from:", residuals[10], "to", residuals[-1], "in", len(residuals)-10, "sweeps")
return
print("Iteration:",itr, "Residual:", residuals[-1])
# sweep left -> right
for pos in xrange(self.d):
op = xe.Tensor()
rhs = xe.Tensor()
Ai = self.A.get_component(pos)
bi = self.b.get_component(pos)
op(i1, i2, i3, j1, j2, j3) << self.leftAStack[-1](i1, k1, j1)*Ai(k1, i2, j2, k2)*self.rightAStack[-1](i3, k2, j3)
rhs(i1, i2, i3) << self.leftBStack[-1](i1, k1) * bi(k1, i2, k2) * self.rightBStack[-1](i3, k2)
tmp = xe.Tensor()
tmp(i1&0) << rhs(j1&0) / op(j1/2, i1/2)
self.x.set_component(pos, tmp)
if pos+1 < self.d :
self.x.move_core(pos+1, True)
self.push_left_stack(pos)
self.rightAStack.pop()
self.rightBStack.pop()
# right -> left, only move core and update stack
self.x.move_core(0, True)
for pos in reversed(xrange(1,self.d)) :
self.push_right_stack(pos)
self.leftAStack.pop()
self.leftBStack.pop()
def build_choice_tensor2(noo):
"""Creates the Selection Tensor for the Fermi Pasta activation pattern
Parameters
----------
noo: int
number of dimensions
Returns
-------
Alist: list of xerus tensor
Selection tensor in CP format for the Fermi Pasta activation pattern
"""
C2list = []
tmp = xerus.Tensor([3, noo])
for j in range(noo):
if j == 0:
tmp[2, j] = 1
elif j == 1:
tmp[1, j] = 1
else:
tmp[0, j] = 1
C2list.append(tmp)
for i in range(1, noo - 1):
tmp = xerus.Tensor([4, noo])
for j in range(noo):
if j == i - 1:
tmp[3, j] = 1
elif j == i:
tmp[2, j] = 1
elif j == i + 1:
tmp[1, j] = 1
else:
tmp[0, j] = 1
C2list.append(tmp)
tmp = xerus.Tensor([3, noo])
for j in range(noo):
if j == noo - 2:
tmp[2, j] = 1
elif j == noo - 1:
tmp[1, j] = 1
else:
tmp[0, j] = 1
C2list.append(tmp)
return C2list
def create_S():
S = xe.Tensor([MAX_NUM_PER_SITE, MAX_NUM_PER_SITE])
# set diagonal
for i in xrange(MAX_NUM_PER_SITE):
S[[i, i]] = -i
# set offdiagonal
for i in xrange(MAX_NUM_PER_SITE - 1):
S[[i, i + 1]] = i + 1
return 0.07 * S
def contract_feat_batch(self, T, feat_list):
# y = proj @ x
ii, jj, kk, ll = xe.indices(4)
# x_T = xe.Tensor.from_ndarray(y)
comp = xe.Tensor()
temp = np.zeros([1, feat_list[0].shape[1]])
temp[0, :] = 1
r = T.order()
for iter_1 in range(r):
comp = T.get_component(iter_1).to_ndarray()
# temp(kk, ll) << temp(ii, ll)*comp(ii, jj, kk)*xe.Tensor.from_ndarray(feat_list[iter_1])(jj,ll )
temp = np.einsum('il,ijk,jl->kl', temp, comp, feat_list[iter_1])
return temp[0, :]
def create_operator(degree):
i, j, k, l = xe.indices(4)
# create matrices
M = create_M()
S = create_S()
L = create_L()
Sstar = 0.7 * M + S
I = xe.Tensor.identity([MAX_NUM_PER_SITE, MAX_NUM_PER_SITE])
# create empty TTOperator
A = xe.TTOperator(2 * degree)
# create first component
comp = xe.Tensor()
comp(i, j, k, l) << \
Sstar(j, k) * xe.Tensor.dirac([1, 3], 0)(i, l) \
+ L(j, k) * xe.Tensor.dirac([1, 3], 1)(i, l) \
+ I(j, k) * xe.Tensor.dirac([1, 3], 2)(i, l)
A.set_component(0, comp)
# create middle components
comp(i, j, k, l) << \
I(j, k) * xe.Tensor.dirac([3, 3], [0, 0])(i, l) \
+ M(j, k) * xe.Tensor.dirac([3, 3], [1, 0])(i, l) \
+ S(j, k) * xe.Tensor.dirac([3, 3], [2, 0])(i, l) \
+ L(j, k) * xe.Tensor.dirac([3, 3], [2, 1])(i, l) \
+ I(j, k) * xe.Tensor.dirac([3, 3], [2, 2])(i, l)
for c in xrange(1, degree - 1):
A.set_component(c, comp)
# create last component
comp(i, j, k, l) << \
I(j, k) * xe.Tensor.dirac([3, 1], 0)(i, l) \
+ M(j, k) * xe.Tensor.dirac([3, 1], 1)(i, l) \
+ S(j, k) * xe.Tensor.dirac([3, 1], 2)(i, l)
A.set_component(degree - 1, comp)
return A
def update_components_np(self, G, w, mat_list, rew_MC, n_sweep,
P_constraints_vec, smin, omega, kminor, adapt,
maxranks, add_fun_list, current_fun_c):
noo = G.order()
Smu_left, Gamma, Smu_right, Theta, U_left, U_right, Vt_left, Vt_right = (
xe.Tensor() for i in range(8))
p = mat_list[0].shape[0]
i1, i2, i3, i4, i5, i6, j1, j2, j3, j4, k1, k2, k3 = xe.indices(13)
constraints_constant = 0
num_constraints = P_constraints_vec[0].shape[1]
d = G.order()
# building Stacks for operators
lStack_x = [np.ones(shape=[1, rew_MC.size])]
rStack_x = [np.ones(shape=[1, rew_MC.size])]
G0_lStack = [np.ones(shape=(1, num_constraints))]
G0_rStack = [np.ones(shape=(1, num_constraints))]
if G.order() > 1:
G.move_core(1)
G.move_core(0)
for i0 in range(d - 1, 0, -1):
G_tmp = G.get_component(i0).to_ndarray()
A_tmp_x = mat_list[i0]
rStack_xnp = rStack_x[-1]
G_tmp_np_x = np.tensordot(G_tmp, A_tmp_x, axes=((1), (0)))
rStack_xnpres = np.einsum('jkm,km->jm', G_tmp_np_x, rStack_xnp)
rStack_x.append(rStack_xnpres)
rStack_G0_tmp = G0_rStack[-1]
G0_tmp_np = np.tensordot(G_tmp,
P_constraints_vec[i0],
axes=((1), (0)))
G0_tmp = np.einsum('jkm,km->jm', G0_tmp_np, rStack_G0_tmp)
# G0_tmp = np.einsum('ijk,jl,kl->il',G_tmp, P_constraints_vec[i0], rStack_G0_tmp)
G0_rStack.append(G0_tmp)
#loop over each component from left to right
for i0 in range(0, d):
# get singular values and orthogonalize wrt the next core mu
if i0 > 0:
# get left and middle component
Gmu_left = G.get_component(i0 - 1)
Gmu_middle = G.get_component(i0)
(U_left(i1, i2, k1), Smu_left(k1, k2), Vt_left(
k2, i3)) << xe.SVD(Gmu_left(i1, i2, i3))
Gmu_middle(i1, i2,
i3) << Vt_left(i1, k2) * Gmu_middle(k2, i2, i3)
if G.ranks()[i0-1] < maxranks[i0-1] and adapt \
and Smu_left[int(np.max([Smu_left.dimensions[0] - kminor,0])),int(np.max([int(Smu_left.dimensions[1] - kminor),0]))] > smin:
U_left, Smu_left, Gmu_middle = self.adapt_ranks(
U_left, Smu_left, Gmu_middle, smin)
sing = [Smu_left[i, i] for i in range(Smu_left.dimensions[0])]
# print('left', 'smin', smin, 'sing', sing)
Gmu_middle(i1, i2,
i3) << Smu_left(i1, k1) * Gmu_middle(k1, i2, i3)
G.set_component(i0 - 1, U_left)
G.set_component(i0, Gmu_middle)
Gamma = np.zeros(Smu_left.dimensions
) # build cut-off sing value matrix Gamma
for j in range(Smu_left.dimensions[0]):
Gamma[j, j] = 1 / np.max([smin, Smu_left[j, j]])
# print('Gamma', Gamma)
if i0 < d - 1:
# get middle and rightcomponent
Gmu_middle = G.get_component(i0)
Gmu_right = G.get_component(i0 + 1)
(U_right(i1, i2, k1), Smu_right(k1, k2), Vt_right(
k2, i3)) << xe.SVD(Gmu_middle(i1, i2, i3))
sing = [
Smu_right[i, i] for i in range(Smu_right.dimensions[0])
]
# print('right', 'smin', smin, 'sing', sing)
Gmu_right(i1, i2,
i3) << Vt_right(i1, k1) * Gmu_right(k1, i2, i3)
#if mu == d-2 and G.ranks()[mu] < maxranks[mu] and adapt and Smu_right[Smu_right.dimensions[0] - kminor,Smu_right.dimensions[1] - kminor] > smin:
# U_right, Smu_right, Gmu_right = adapt_ranks(U_right, Smu_right, Gmu_right,smin)
Gmu_middle(i1, i2,
i3) << U_right(i1, i2, k1) * Smu_right(k1, i3)
# G.set_component(i0, Gmu_middle)
# G.set_component(i0+1, Gmu_right)
Theta = np.zeros([G.ranks()[i0], G.ranks()[i0]
]) # build cut-off sing value matrix Theta
# Theta = np.zeros([Gmu_middle.dimensions[2],Gmu_middle.dimensions[2]]) # build cut-off sing value matrix Theta
for j in range(Theta.shape[0]):
if j >= Smu_right.dimensions[0]:
sing_val = 0
else:
singval = Smu_right[j, j]
Theta[j, j] = 1 / np.max([smin, singval])
# update Stacks
if i0 > 0:
G_tmp = G.get_component(i0 - 1).to_ndarray()
A_tmp_x = mat_list[i0 - 1]
# G_tmp_np = np.einsum('ijk,jl->ikl', G_tmp, A_tmp_x)
G_tmp_np_x = np.tensordot(G_tmp, A_tmp_x, axes=((1), (0)))
lStack_xnp = lStack_x[-1]
lStack_xnpres = np.einsum('jm,jkm->km', lStack_xnp, G_tmp_np_x)
lStack_x.append(lStack_xnpres)
del rStack_x[-1]
G0_lStack_tmp = G0_lStack[-1]
G0_tmp_np = np.tensordot(G_tmp,
P_constraints_vec[i0 - 1],
axes=((1), (0)))
G0_tmp = np.einsum('jm,jkm->km', G0_lStack_tmp, G0_tmp_np)
# G0_tmp = np.einsum('il,ijk,jl->kl',G0_lStack_tmp, G_tmp, P_constraints_vec[i0-1])
G0_lStack.append(G0_tmp)
del G0_rStack[-1]
Ai_x = mat_list[i0]
lStack_xnp = lStack_x[-1]
rStack_xnp = rStack_x[-1]
op_pre = np.einsum('il,jl,kl->ijkl', lStack_xnp, Ai_x, rStack_xnp)
# op = np.einsum('ijkl,mnol->ijkmno', op_pre, op_pre)
op_G0 = np.einsum('il,jl,kl->ijkl', G0_lStack[-1],
P_constraints_vec[i0], G0_rStack[-1])
op = np.zeros(op_pre.shape[:-1] + op_pre.shape[:-1])
op_dim = op.shape
Gi = G.get_component(i0)
id_reg_p = np.eye(p)
if i0 > 0:
id_reg_r = np.eye(Gi.dimensions[2])
# op_reg(i1,i2,i3,j1,j2,j3) << Gamma(i1,k1) * Gamma(k1,j1) * id_reg_r(i3,j3) * id_reg_p(i2,j2)
op_reg = np.einsum('ij,jk,lm,no->inlkom', Gamma, Gamma,
id_reg_r, id_reg_p)
# print('op_reg', op_reg)
op += w * w * op_reg
# input()
if i0 < d - 1:
id_reg_l = np.eye(Gi.dimensions[0])
# op_reg(i1,i2,i3,j1,j2,j3) << Theta(i3,k1) * Theta(k1,j3) * id_reg_l(i1,j1) * id_reg_p(i2,j2)
op_reg = np.einsum('ij,jk,lm,no->lnimok', Theta, Theta,
id_reg_l, id_reg_p)
op += w * w * op_reg
op = op.reshape((op_dim[0] * op_dim[1] * op_dim[2],
op_dim[3] * op_dim[4] * op_dim[5]))
op = np.vstack([op, np.zeros(op.shape[0])[None, :]])
op = np.hstack([op, np.zeros(op.shape[0])[:, None]])
rhs_dim = op_pre.shape[:-1]
op_pre = op_pre.reshape(op_dim[0] * op_dim[1] * op_dim[2],
op_pre.shape[-1])
op_pre = np.concatenate([op_pre, add_fun_list[None, :]], axis=0)
op += np.tensordot(op_pre, op_pre, axes=((1), (1)))
# op += 2*rew_MC.size*constraints_constant*np.tensordot(op_G0, op_G0, axes=((3),(3)))
# rhs = np.einsum('ijkl,l->ijk', op_pre, rew_MC)
rhs = np.tensordot(op_pre, rew_MC, axes=((1), (0)))
if (n_sweep == 1 and i0 == 0):
comp = G.get_component(i0).to_ndarray()
Ax = np.tensordot(op_pre[:-1, :].reshape(comp.shape +
(rew_MC.size, )),
comp,
axes=([0, 1, 2], [0, 1, 2]))
curr_const = np.einsum('il,jl,kl,ijk ->l', G0_lStack[-1],
P_constraints_vec[i0], G0_rStack[-1],
comp)
w = min(
np.linalg.norm(Ax + current_fun_c * add_fun_list - rew_MC)
**2 / rew_MC.size +
constraints_constant * np.linalg.norm(curr_const)**2,
10000)
# print('first_res', w, np.linalg.norm(Ax - rew_MC)**2/rew_MC.size, constraints_constant*np.linalg.norm(curr_const)**2)
op += 1e-4 * np.eye(op.shape[0])
rhs_reshape = rhs
# rhs_reshape = rhs.reshape((rhs_dim[0] * rhs_dim[1] * rhs_dim[2]))
sol_arr = np.linalg.solve(op, rhs_reshape)
current_fun_c = sol_arr[-1]
sol_arr = sol_arr[:-1]
sol_arr_reshape = sol_arr.reshape(
(rhs_dim[0], rhs_dim[1], rhs_dim[2]))
sol = xe.Tensor.from_buffer(sol_arr_reshape)
G.set_component(i0, sol)
# calculate residuum
# Ax = np.einsum('jkli,jkl->i', op_pre, sol_arr_reshape)
# print(i0)
comp = G.get_component(d - 1).to_ndarray()
Ax = np.tensordot(op_pre[:-1, :].reshape(comp.shape + (rew_MC.size, )),
comp,
axes=([0, 1, 2], [0, 1, 2]))
curr_const = np.einsum('il,jl,kl,ijk ->l', G0_lStack[-1],
P_constraints_vec[d - 1], G0_rStack[-1],
sol_arr_reshape)
# print(curr_const)
error1 = np.linalg.norm(Ax + current_fun_c * add_fun_list -
rew_MC)**2 / rew_MC.size
error2 = constraints_constant * np.linalg.norm(curr_const)**2
# print('after', error1, error2)
return w, error1 + error2, current_fun_c
def construct_exact_fermit_pasta(noo, p, beta):
"""Creates exact solution in selection format for the Fermi Pasta problems in the monomials basis,
for other basis functions this needs to be transformed!
Parameters
----------
noo: int
number of dimensions
p: int
number of basis functions
beta: float
coefficient of the fermit pasta equation
Returns
-------
C1ex: xerus TTOperator
Exact soulution of FPTU problem in monomials basis functions
"""
s = 3
rank = 4
dim = [p for i in range(0, noo)]
dim.extend([s + 1 for i in range(0, noo)])
dim[noo] = s
dim[2 * noo - 1] = s
C1ex = xerus.TTOperator(dim)
comp = xerus.Tensor([rank, p, s + 1, rank])
#s=0
comp[0, 0, 0, 0] = 1
#s=1
comp[0, 0, 1, 0] = 1
comp[0, 1, 1, 1] = 1
comp[0, 2, 1, 2] = 1
comp[0, 3, 1, 3] = 1
#s=2
comp[0, 1, 2, 0] = -2
comp[0, 3, 2, 0] = -2 * beta
comp[0, 2, 2, 1] = 3 * beta
comp[0, 0, 2, 1] = 1
comp[0, 1, 2, 2] = -3 * beta
comp[0, 0, 2, 3] = beta
comp[1, 2, 2, 0] = 3 * beta
comp[1, 0, 2, 0] = 1
comp[2, 1, 2, 0] = -3 * beta
comp[3, 0, 2, 0] = beta
#s=3
comp[0, 0, 3, 0] = 1
comp[1, 1, 3, 0] = 1
comp[2, 2, 3, 0] = 1
comp[3, 3, 3, 0] = 1
comp0 = xerus.Tensor([1, p, s, rank])
#s=0
comp0[0, 0, 0, 0] = 1
#s=1
comp0[0, 0, 1, 0] = 1
comp0[0, 1, 1, 1] = 1
comp0[0, 2, 1, 2] = 1
comp0[0, 3, 1, 3] = 1
#s=2
comp0[0, 1, 2, 0] = -2
comp0[0, 3, 2, 0] = -2 * beta
comp0[0, 2, 2, 1] = 3 * beta
comp0[0, 0, 2, 1] = 1
comp0[0, 1, 2, 2] = -3 * beta
comp0[0, 0, 2, 3] = beta
compd = xerus.Tensor([rank, p, s, 1])
#s=0
compd[0, 0, 0, 0] = 1
#s=1
compd[0, 1, 1, 0] = -2
compd[0, 3, 1, 0] = -2 * beta
compd[1, 2, 1, 0] = 3 * beta
compd[1, 0, 1, 0] = 1
compd[2, 1, 1, 0] = -3 * beta
compd[3, 0, 1, 0] = beta
#s=2
compd[0, 0, 2, 0] = 1
compd[1, 1, 2, 0] = 1
compd[2, 2, 2, 0] = 1
compd[3, 3, 2, 0] = 1
C1ex.set_component(0, comp0)
for i in range(1, noo - 1):
C1ex.set_component(i, comp)
C1ex.set_component(noo - 1, compd)
return C1ex
def calc_grad(self, t, x):
V = self.V[self.t_to_ind(t)]
# print('t, self.t_to_ind(t)', t, self.t_to_ind(t),'frob_norm(v)', xe.frob_norm(V))
if len(x.shape) == 1:
c1, c2, c3 = xe.indices(3)
feat = self.P(x)
dfeat = self.dP(x)
dV = np.zeros(shape=self.r)
temp = xe.Tensor([1])
comp = xe.Tensor()
temp_right = xe.Tensor.ones([1])
temp_left = xe.Tensor.ones([1])
list_right = [None] * (self.r)
list_right[self.r - 1] = xe.Tensor(temp_right)
for iter_0 in range(self.r - 1, 0, -1):
comp = V.get_component(iter_0)
temp_right(c1) << temp_right(c3) * comp(
c1, c2, c3) * xe.Tensor.from_buffer(feat[iter_0])(c2)
# temp_right = xe.contract(comp, False, temp_right, False, 1)
# temp_right = xe.contract(temp_right, False, xe.Tensor.from_buffer(feat[iter_0]), False, 1)
list_right[iter_0 - 1] = xe.Tensor(temp_right)
for iter_0 in range(self.r):
comp = V.get_component(iter_0)
temp() << temp_left(c1) * comp(
c1, c2, c3) * xe.Tensor.from_buffer(
dfeat[iter_0])(c2) * list_right[iter_0](c3)
# temp = xe.contract(comp, False, list_right[iter_0], False, 1)
# temp = xe.contract(temp, False, xe.Tensor.from_buffer(dfeat[iter_0]), False, 1)
# temp = xe.contract(temp, False, temp_left, False, 1)
temp_left(c3) << temp_left(c1) * comp(
c1, c2, c3) * xe.Tensor.from_buffer(feat[iter_0])(c2)
# temp_left = xe.contract(temp_left, False, comp, False, 1)
# temp_left = xe.contract(xe.Tensor.from_buffer(feat[iter_0]), False, temp_left, False, 1)
dV[iter_0] = temp[0]
return dV + self.grad_add_fun(t, x)
else:
nos = x.shape[1]
feat = self.P_batch(x)
dfeat = self.dP_batch(x)
dV_mat = np.zeros(shape=x.shape)
temp = np.zeros(1)
temp_right = np.ones(shape=(1, nos))
temp_left = np.ones(shape=(1, nos))
list_right = [None] * (self.r)
list_right[self.r - 1] = temp_right
for iter_0 in range(self.r - 1, 0, -1):
comp = V.get_component(iter_0).to_ndarray()
# temp_right(c1) << temp_right(c3) * comp(c1, c2, c3) * feat[iter_0](c2)
list_right[iter_0 - 1] = np.einsum('kl,ijk,jl->il',
list_right[iter_0], comp,
feat[iter_0])
for iter_0 in range(self.r):
comp = V.get_component(iter_0).to_ndarray()
# temp() << temp_left(c1) * comp(c1, c2, c3) * dfeat[iter_0](c2) \
# * list_right[iter_0](c3)
temp = np.einsum('il,ijk,jl,kl->l', temp_left, comp,
dfeat[iter_0], list_right[iter_0])
# temp(c3) << temp_left(c1) * comp(c1, c2, c3) * feat[iter_0](c2)
temp_left = np.einsum('il,ijk,jl->kl', temp_left, comp,
feat[iter_0])
dV_mat[iter_0, :] = temp
# _u = -gamma/lambd*np.dot(dV, B) - shift_TT
return dV_mat + self.grad_add_fun(t, x)
def construct_exact_fermit_pasta_random(noo, p, mean=False):
"""Creates exact solution in selection format for the Fermi Pasta problems
with random beta_i in the monomials basis with mean field,
for other basis functions this needs to be transformed!
Parameters
----------
noo: int
number of dimensions
p: int
number of basis functions
mean: bool
if mean field should be used
Returns
-------
C1ex: xerus TTOperator
Exact soulution of FPTU problem in monomials basis functions
m: np.array
the mean field coefficients
beta: the bet coeffcients
"""
s = 3
rank = 4
dim = [p for i in range(0, noo)]
dim.extend([s + 1 for i in range(0, noo)])
dim[noo] = s
dim[2 * noo - 1] = s
C1ex = xerus.TTOperator(dim)
beta = 2 * np.random.rand(noo) - 1
if mean:
m = 2 * np.random.rand(noo) - 1
else:
m = np.zeros(noo)
for i in range(1, noo - 1):
comp = xerus.Tensor([rank, p, s + 1, rank])
#s=0
comp[0, 0, 0, 0] = 1
comp[0, 1, 0, 1] = m[i]
comp[1, 0, 0, 1] = 1
#s=1
comp[0, 0, 1, 0] = 1
comp[0, 1, 1, 1] = 1
comp[0, 2, 1, 2] = 1
comp[0, 3, 1, 3] = 1
comp[1, 0, 1, 3] = 1 / beta[i + 1]
#s=2
comp[0, 1, 2, 0] = -2 + m[i]
comp[0, 3, 2, 0] = -2 * beta[i]
comp[0, 2, 2, 1] = 3 * beta[i]
comp[0, 0, 2, 1] = 1 + m[i + 1]
comp[0, 1, 2, 2] = -3 * beta[i]
comp[0, 0, 2, 3] = beta[i]
comp[1, 2, 2, 0] = 3 * beta[i]
comp[1, 0, 2, 0] = 1 + m[i - 1]
comp[2, 1, 2, 0] = -3 * beta[i]
comp[3, 0, 2, 0] = beta[i]
#s=3
comp[3, 0, 3, 0] = 1 / beta[i - 1]
comp[0, 0, 3, 1] = 1
comp[1, 1, 3, 1] = 1
comp[2, 2, 3, 1] = 1
comp[3, 3, 3, 1] = 1
C1ex.set_component(i, comp)
comp0 = xerus.Tensor([1, p, s, rank])
#s=0
comp0[0, 0, 0, 0] = 1
comp0[0, 1, 0, 1] = m[0]
#s=1
comp0[0, 0, 1, 0] = 1
comp0[0, 1, 1, 1] = 1
comp0[0, 2, 1, 2] = 1
comp0[0, 3, 1, 3] = 1
#s=2
comp0[0, 1, 2, 0] = -2 + m[0]
comp0[0, 3, 2, 0] = -2 * beta[0]
comp0[0, 2, 2, 1] = 3 * beta[0]
comp0[0, 0, 2, 1] = 1 + m[1]
comp0[0, 1, 2, 2] = -3 * beta[0]
comp0[0, 0, 2, 3] = beta[0]
compd = xerus.Tensor([rank, p, s, 1])
#s=0
compd[0, 1, 0, 0] = m[noo - 1]
compd[1, 0, 0, 0] = 1
#s=1
compd[0, 1, 1, 0] = -2 + m[noo - 1]
compd[0, 3, 1, 0] = -2 * beta[noo - 1]
compd[1, 2, 1, 0] = 3 * beta[noo - 1]
compd[1, 0, 1, 0] = 1 + m[noo - 2]
compd[2, 1, 1, 0] = -3 * beta[noo - 1]
compd[3, 0, 1, 0] = beta[noo - 1]
#s=2
compd[0, 0, 2, 0] = 1
compd[1, 1, 2, 0] = 1
compd[2, 2, 2, 0] = 1
compd[3, 3, 2, 0] = 1
C1ex.set_component(0, comp0)
C1ex.set_component(noo - 1, compd)
return C1ex, m, beta
def calc_laplace(self, t, x):
if type(t) == float or type(t) == np.float64 or type(t) == int:
# print('t is float')
V = self.V[self.t_to_ind(t)]
add_fun_const = self.c_add_fun_list[self.t_to_ind(t)]
else:
# print('t is not float. t is', type(t))
V, add_fun_const = t
V = t
# print('V in calc_grad', xe.Tensor(V))
# print('t, self.t_to_ind(t)', t, self.t_to_ind(t),'frob_norm(v)', xe.frob_norm(V))
if len(x.shape) == 1:
c1, c2, c3 = xe.indices(3)
feat = self.P(x)
dfeat = self.ddP(x)
dV = 0
temp = xe.Tensor([1])
comp = xe.Tensor()
temp_right = xe.Tensor.ones([1])
temp_left = xe.Tensor.ones([1])
list_right = [None] * (self.r)
list_right[self.r - 1] = xe.Tensor(temp_right)
for iter_0 in range(self.r - 1, 0, -1):
comp = V.get_component(iter_0)
temp_right(c1) << temp_right(c3) * comp(
c1, c2, c3) * xe.Tensor.from_buffer(feat[iter_0])(c2)
# temp_right = xe.contract(comp, False, temp_right, False, 1)
# temp_right = xe.contract(temp_right, False, xe.Tensor.from_buffer(feat[iter_0]), False, 1)
list_right[iter_0 - 1] = xe.Tensor(temp_right)
for iter_0 in range(self.r):
comp = V.get_component(iter_0)
temp() << temp_left(c1) * comp(
c1, c2, c3) * xe.Tensor.from_buffer(
dfeat[iter_0])(c2) * list_right[iter_0](c3)
# temp = xe.contract(comp, False, list_right[iter_0], False, 1)
# temp = xe.contract(temp, False, xe.Tensor.from_buffer(dfeat[iter_0]), False, 1)
# temp = xe.contract(temp, False, temp_left, False, 1)
temp_left(c3) << temp_left(c1) * comp(
c1, c2, c3) * xe.Tensor.from_buffer(feat[iter_0])(c2)
# temp_left = xe.contract(temp_left, False, comp, False, 1)
# temp_left = xe.contract(xe.Tensor.from_buffer(feat[iter_0]), False, temp_left, False, 1)
dV += temp[0]
return dV + add_fun_const * self.laplacian_add_fun(t, x)
else:
nos = x.shape[1]
feat = self.P_batch(x)
dfeat = self.ddP_batch(x)
dV_mat = np.zeros(shape=x.shape[-1])
temp = np.zeros(1)
temp_right = np.ones(shape=(1, nos))
temp_left = np.ones(shape=(1, nos))
list_right = [None] * (self.r)
list_right[self.r - 1] = temp_right
for iter_0 in range(self.r - 1, 0, -1):
comp = V.get_component(iter_0).to_ndarray()
# temp_right(c1) << temp_right(c3) * comp(c1, c2, c3) * feat[iter_0](c2)
list_right[iter_0 - 1] = np.einsum('kl,ijk,jl->il',
list_right[iter_0], comp,
feat[iter_0])
for iter_0 in range(self.r):
comp = V.get_component(iter_0).to_ndarray()
# temp() << temp_left(c1) * comp(c1, c2, c3) * dfeat[iter_0](c2) \
# * list_right[iter_0](c3)
temp = np.einsum('il,ijk,jl,kl->l', temp_left, comp,
dfeat[iter_0], list_right[iter_0])
# temp(c3) << temp_left(c1) * comp(c1, c2, c3) * feat[iter_0](c2)
temp_left = np.einsum('il,ijk,jl->kl', temp_left, comp,
feat[iter_0])
dV_mat += temp
# _u = -gamma/lambd*np.dot(dV, B) - shift_TT
return dV_mat + add_fun_const * self.laplacian_add_fun(t, x)
ttA = xe.TTOperator(A)
# and verify its rank
print("ttA ranks:", ttA.ranks())
# the right hand side of the equation both as Tensor and in (Q)TT format
b = xe.Tensor.ones([2,]*9)
ttb = xe.TTTensor.ones(b.dimensions)
# construct a random initial guess of rank 3 for the ALS algorithm
ttx = xe.TTTensor.random([2,]*9, [3,]*8)
# and solve the system with the default ALS algorithm for symmetric positive operators
xe.ALS_SPD(ttA, ttx, ttb)
# to perform arithmetic operations we need to define some indices
i,j,k = xe.indices(3)
# calculate the residual of the just solved system to evaluate its accuracy
# here i^9 denotes a multiindex named i of dimension 9 (ie. spanning 9 indices of the respective tensors)
residual = xe.frob_norm( ttA(i^9,j^9)*ttx(j^9) - ttb(i^9) )
print("residual:", residual)
# as an comparison solve the system exactly using the Tensor / operator
x = xe.Tensor()
x(j^9) << b(i^9) / A(i^9, j^9)
# and calculate the Frobenius norm of the difference
print("error:", xe.frob_norm(x - xe.Tensor(ttx)))
def construct_exact_fermit_pasta_single_TT(noo, p, beta):
"""Creates exact solution in single TT format for the Fermi Pasta problems in the monomials basis,
for other basis functions this needs to be transformed!
Parameters
----------
noo: int
number of dimensions
p: int
number of basis functions
beta: float
coefficient of the fermit pasta equation
Returns
-------
Solution: xerus TTOperator
Exact soulution of FPTU problem in monomials basis functions
"""
dim = [p for i in range(0, noo)]
dim.append(noo)
Solution = xerus.TTTensor(dim)
tmp = xerus.Tensor([1, 4, 4 * noo])
for eq in range(noo):
tmp[0, 0, 4 * eq] = 1
tmp[0, 0, 0] = 0
tmp[0, 1, 0] = -2
tmp[0, 3, 0] = -2 * beta
tmp[0, 0, 1] = 1
tmp[0, 2, 1] = 3 * beta
tmp[0, 1, 2] = -3 * beta
tmp[0, 0, 3] = beta
tmp[0, 0, 4] = 1
tmp[0, 1, 5] = 1
tmp[0, 2, 6] = 1
tmp[0, 3, 7] = 1
Solution.set_component(0, tmp)
for comp in range(1, Solution.order() - 1):
tmp = xerus.Tensor([4 * noo, 4, 4 * noo])
for eq in range(noo):
tmp[4 * eq, 0, 4 * eq] = 1
if (comp + 1) * 4 < 4 * noo:
tmp[4 * (comp + 1), 0, 4 * (comp + 1)] = 1
tmp[4 * (comp + 1), 1, 4 * (comp + 1) + 1] = 1
tmp[4 * (comp + 1), 2, 4 * (comp + 1) + 2] = 1
tmp[4 * (comp + 1), 3, 4 * (comp + 1) + 3] = 1
tmp[4 * comp, 0, 4 * comp] = 0
tmp[4 * comp, 1, 4 * comp] = -2
tmp[4 * comp, 3, 4 * comp] = -2 * beta
tmp[4 * comp + 1, 0, 4 * comp] = 1
tmp[4 * comp + 1, 2, 4 * comp] = 3 * beta
tmp[4 * comp + 2, 1, 4 * comp] = -3 * beta
tmp[4 * comp + 3, 0, 4 * comp] = beta
tmp[4 * comp, 0, 4 * comp + 1] = 1
tmp[4 * comp, 2, 4 * comp + 1] = 3 * beta
tmp[4 * comp, 1, 4 * comp + 2] = -3 * beta
tmp[4 * comp, 0, 4 * comp + 3] = beta
tmp[4 * (comp - 1), 0, 4 * (comp - 1)] = 1
tmp[4 * (comp - 1) + 1, 1, 4 * (comp - 1)] = 1
tmp[4 * (comp - 1) + 2, 2, 4 * (comp - 1)] = 1
tmp[4 * (comp - 1) + 3, 3, 4 * (comp - 1)] = 1
Solution.set_component(comp, tmp)
tmp = xerus.Tensor([4 * noo, noo, 1])
for eq in range(noo):
tmp[4 * eq, eq, 0] = 1
Solution.set_component(Solution.order() - 1, tmp)
Solution.round(0.0)
return Solution
def create_L():
L = xe.Tensor([MAX_NUM_PER_SITE, MAX_NUM_PER_SITE])
for i in xrange(MAX_NUM_PER_SITE):
L[[i, i]] = i / (i + 5.0)
return L
def runCostsTest():
print(
f"Number of samples: {num_samples:>{len(str(num_samples))}d}"
)
print(
f"Number of assets: {num_assets:>{len(str(num_samples))}d}"
)
print(
f"Number of exercise dates: {num_exercise_dates:>{len(str(num_samples))}d}"
)
print(
f"Chaos degree: {degree:>{len(str(num_samples))}d}"
)
print(
f"Dimension: {dimension:>{len(str(num_samples))}d}"
)
print(
f"Ranks: {rank:>{len(str(num_samples))}d}")
print(
f"Spot: {spot:>{len(str(num_samples))}.1f}"
)
print(
f"Strike: {strike:>{len(str(num_samples))}.1f}"
)
print()
# Compute the samples for Monte-Carlo integration.
increments, asset_values, values = compute_discounted_payoff_PutAmer(
num_assets=num_assets,
num_steps=num_exercise_dates - 1,
num_samples=num_samples,
spot=np.full(num_assets, spot),
strike=strike,
trend=np.zeros(num_assets),
volatility=np.full(num_assets, 0.2),
correlation=0.2)
measures = hermite_measures(increments, degree)
assert values.shape == (num_samples, num_exercise_dates)
assert measures.shape == (num_exercise_dates - 1, num_samples,
dimension)
# Define a random initial value.
tt = xe.TTTensor.random([dimension] * (num_exercise_dates - 1),
[rank] * (num_exercise_dates - 2))
arr = xe.Tensor(tt).to_ndarray()
arr[(0, ) * (num_exercise_dates - 1)] = 0
carr = costs_array(arr, measures, values)
print(
f"Costs[array]: {carr[0]:.2e} \u00B1 {np.sqrt(carr[1]/num_samples):.2e}"
)
for aexp in range(5):
ctt = costs(tt, measures, values, 10**aexp)
print(
f"Costs[tt|\u03b1=1e{aexp:02d}]: {ctt[0]:.2e} \u00B1 {np.sqrt(ctt[1]/num_samples):.2e}"
)
print(
f"Errors: {abs(carr[0]-ctt[0]):.2e} & {abs(np.sqrt(carr[1]/num_samples)-np.sqrt(ctt[1]/num_samples)):.2e}"
)
print()
def run_als(noo, nos, C1, C2list, Alist, C1ex, Y, max_iter, lam):
"""Perform the regularized ALS simulation
Parameters
----------
noo: int
number of dimension
nos: int
number of samples
C1: xerus TTTensor
iterate tensor
C2list: list of xerus tensor
selection tensor
Alist: list of xerus tensor
dictionary tensor
C1ex: xerus TTTensor
exact solution
Y: xerus Tensor
right hand side
max_iter: int
number of iterations
lam: float
regularization parameter
Returns
-------
errors: list of floats
list of relative error after each sweep
"""
i1, i2, i3, i4, i5, i6, j1, j2, j3, j4, k1, k2, k3, k4 = xerus.indices(14)
diff = C1ex - C1
tmp1 = xerus.Tensor()
l = np.ones([noo, 1, 1, noo])
r = np.ones([noo, 1, 1, noo])
for i in range(noo):
t1 = diff.get_component(i)
t2 = C2list[i]
tmp1(i1, i2, i3, j1, j2, j3) << t2(k1, i3) * t1(i1, k2, k1, j1) * t1(
i2, k2, k3, j2) * t2(k3, j3)
tmp1np = tmp1.to_ndarray()
l = np.einsum('dije,ijdkle->dkle', l, tmp1np)
lr = np.sqrt(np.einsum('ijkl,ijkl->', l, r)) / C1ex.frob_norm()
errors = [lr]
errors2 = [1]
lams = [lam]
# Initialize stacks
rStack = [xerus.Tensor.ones([noo, 1, nos])]
lStack = [xerus.Tensor.ones([noo, 1, nos])]
for ind in range(noo - 1, 0, -1):
C1_tmp = C1.get_component(ind)
C2_tmp = C2list[ind]
A_tmp = Alist[ind]
C1_tmp(i1, i2, i3,
i4) << C1_tmp(i1, k1, k2, i4) * A_tmp(k1, i2) * C2_tmp(k2, i3)
rstacknp = rStack[-1].to_ndarray()
C1_tmpnp = C1_tmp.to_ndarray()
rstacknpres = np.einsum('imdj,djm->dim', C1_tmpnp, rstacknp)
rStack.append(xerus.Tensor.from_ndarray(rstacknpres))
forward = True
mem = -1
for it in range(0, max_iter):
for pos in chain(range(0, noo), range(noo - 1, -1, -1)):
if mem == pos:
forward = not forward
op = xerus.Tensor()
rhs = xerus.Tensor()
C2i = C2list[pos]
Ai = Alist[pos]
Ainp = Ai.to_ndarray()
C2inp = C2i.to_ndarray()
lStacknp = lStack[-1].to_ndarray()
rStacknp = rStack[-1].to_ndarray()
op_pre_np = np.einsum('dim,pm,sd,djm->ipsjmd', lStacknp, Ainp,
C2inp, rStacknp)
op_pre = xerus.Tensor.from_ndarray(op_pre_np)
op(i1, i2, i3, i4, j1, j2, j3, j4) << op_pre(
i1, i2, i3, i4, k1, k2) * op_pre(j1, j2, j3, j4, k1, k2)
rhs(i1, i2, i3, i4) << op_pre(i1, i2, i3, i4, k1, k2) * Y(k2, k1)
op += lam * xerus.Tensor.identity(op.dimensions)
op_arr = op.to_ndarray()
rhs_arr = rhs.to_ndarray()
op_dim = op.dimensions
op_arr_reshape = op_arr.reshape(
(op_dim[0] * op_dim[1] * op_dim[2] * op_dim[3],
op_dim[4] * op_dim[5] * op_dim[6] * op_dim[7]))
rhs_dim = rhs.dimensions
rhs_arr_reshape = rhs_arr.reshape(
(rhs_dim[0] * rhs_dim[1] * rhs_dim[2] * rhs_dim[3]))
sol_arr = np.linalg.solve(op_arr_reshape, rhs_arr_reshape)
sol_arr_reshape = sol_arr.reshape(
(op.dimensions[0], op.dimensions[1], op.dimensions[2],
op.dimensions[3]))
sol = xerus.Tensor.from_ndarray(sol_arr_reshape)
C1.set_component(pos, sol)
Ax = xerus.Tensor()
Ax(i2, i1) << op_pre(j1, j2, j3, j4, i1, i2) * sol(j1, j2, j3, j4)
error = (Ax - Y).frob_norm() / (Y.frob_norm())
error2 = C1.frob_norm()
if forward and pos < noo - 1:
C1.move_core(pos + 1, True)
C1_tmp = C1.get_component(pos)
rStack = rStack[:-1]
C1_tmp(
i1, i2, i3,
i4) << C1_tmp(i1, k1, k2, i4) * Ai(k1, i2) * C2i(k2, i3)
lstacknp = lStack[-1].to_ndarray()
C1_tmpnp = C1_tmp.to_ndarray()
lstacknpres = np.einsum('dim,imdj->djm', lstacknp, C1_tmpnp)
lStack.append(xerus.Tensor.from_ndarray(lstacknpres))
if not forward and pos > 0:
C1.move_core(pos - 1, True)
C1_tmp = C1.get_component(pos)
lStack = lStack[:-1]
C1_tmp(
i1, i2, i3,
i4) << C1_tmp(i1, k1, k2, i4) * Ai(k1, i2) * C2i(k2, i3)
rstacknp = rStack[-1].to_ndarray()
C1_tmpnp = C1_tmp.to_ndarray()
rstacknpres = np.einsum('imdj,djm->dim', C1_tmpnp, rstacknp)
rStack.append(xerus.Tensor.from_ndarray(rstacknpres))
mem = pos
#end of iteration
#lam = lam/10
lam = np.max([np.min([0.1 * error / C1.frob_norm(), lam / 4]), 1e-14])
diff = C1ex - C1
tmp1 = xerus.Tensor()
l = np.ones([noo, 1, 1, noo])
r = np.ones([noo, 1, 1, noo])
for i in range(noo):
t1 = diff.get_component(i)
t2 = C2list[i]
tmp1(i1, i2, i3, j1, j2, j3) << t2(k1, i3) * t1(
i1, k2, k1, j1) * t1(i2, k2, k3, j2) * t2(k3, j3)
tmp1np = tmp1.to_ndarray()
l = np.einsum('dije,ijdkle->dkle', l, tmp1np)
lr = np.sqrt(np.einsum('ijkl,ijkl->', l, r)) / C1ex.frob_norm()
print("Iteration " + str(it) + ' Error: ' + str(lr) + " Residual: " +
str(error) + " Norm: " + str(C1.frob_norm()) + " Lambda: " +
str(lam))
errors.append(lr)
errors2.append(error)
lams.append(lam)
return errors
def update_components_salsa(G, noo, d, Alist, nos, Y, smin, w, kminor, adapt,
mR, maxranks):
"""Perform one SALSA sweep
Parameters
----------
G: xerus TTTensor
iterate tensor
noo: int
number of dimension
d: int
number of dimension plus 1
Alist: list of xerus tensor
dictionary tensor
nos: int
number of samples
Y: xerus Tensor
right hand side
smin: float
SALSA parameter smin
w: float
SALSA parameter omega
kminor: int
SALSA parameter number of additional ranks used in each simulation
adapt: bool
if adaption should be used if necessary
mR: list of int
list of maximal ranks overall
maxranks: int
maximal rank alowed
Returns
-------
error: float
Residuum of iterate
"""
p = Alist[0].dimensions[0]
Smu_left, Gamma, Smu_right, Theta, U_left, U_right, Vt_left, Vt_right = (
xerus.Tensor() for i in range(8))
i1, i2, i3, i4, i5, i6, j1, j2, j3, j4, k1, k2, k3 = xerus.indices(13)
tmp = xerus.Tensor()
# building Stacks for operators
lStack = [xerus.Tensor.ones([1, nos])]
rStack = [xerus.Tensor.ones([1, nos])]
G_tmp = G.get_component(noo)
tmp(i1, i2, i3) << G_tmp(i1, i3, k1) * rStack[-1](k1, i2)
rStack.append(tmp)
for ind in range(d - 2, 0, -1):
G_tmp = G.get_component(ind)
A_tmp = Alist[ind]
G_tmp(i1, i2, i3) << G_tmp(i1, k1, i3) * A_tmp(k1, i2)
rstacknp = rStack[-1].to_ndarray()
G_tmpnp = G_tmp.to_ndarray()
rstacknpres = np.einsum('jmk,kms->jms', G_tmpnp, rstacknp)
rStack.append(xerus.Tensor.from_ndarray(rstacknpres))
#loop over each component from left to right
for mu in range(0, d):
# get singular values and orthogonalize wrt the next core mu
if mu > 0:
# get left and middle component
Gmu_left = G.get_component(mu - 1)
Gmu_middle = G.get_component(mu)
(U_left(i1, i2, k1), Smu_left(k1, k2), Vt_left(
k2, i3)) << xerus.SVD(Gmu_left(i1, i2, i3))
Gmu_middle(i1, i2, i3) << Vt_left(i1, k2) * Gmu_middle(k2, i2, i3)
#for j in range(kmin):
if G.ranks()[mu-1] < np.min([maxranks[mu-1],mR]) and adapt \
and Smu_left[int(np.max([Smu_left.dimensions[0] - kminor,0])),int(np.max([int(Smu_left.dimensions[1] - kminor),0]))] > smin:
U_left, Smu_left, Gmu_middle = adapt_ranks(
U_left, Smu_left, Gmu_middle, smin)
sing = [Smu_left[i, i] for i in range(Smu_left.dimensions[0])]
Gmu_middle(i1, i2, i3) << Smu_left(i1, k1) * Gmu_middle(k1, i2, i3)
G.set_component(mu - 1, U_left)
G.set_component(mu, Gmu_middle)
Gamma = xerus.Tensor(
Smu_left.dimensions) # build cut-off sing value matrix Gamma
for j in range(Smu_left.dimensions[0]):
Gamma[j, j] = 1 / np.max([smin, Smu_left[j, j]])
if mu < d - 1:
# get middle and rightcomponent
Gmu_middle = G.get_component(mu)
Gmu_right = G.get_component(mu + 1)
(U_right(i1, i2, k1), Smu_right(k1, k2), Vt_right(
k2, i3)) << xerus.SVD(Gmu_middle(i1, i2, i3))
sing = [Smu_right[i, i] for i in range(Smu_right.dimensions[0])]
Gmu_right(i1, i2, i3) << Vt_right(i1, k1) * Gmu_right(k1, i2, i3)
#if mu == d-2 and G.ranks()[mu] < maxranks[mu] and adapt and Smu_right[Smu_right.dimensions[0] - kminor,Smu_right.dimensions[1] - kminor] > smin:
# U_right, Smu_right, Gmu_right = adapt_ranks(U_right, Smu_right, Gmu_right,smin)
Gmu_middle(i1, i2, i3) << U_right(i1, i2, k1) * Smu_right(k1, i3)
G.set_component(mu, Gmu_middle)
G.set_component(mu + 1, Gmu_right)
Theta = xerus.Tensor([
Gmu_middle.dimensions[2], Gmu_middle.dimensions[2]
]) # build cut-off sing value matrix Theta
for j in range(Theta.dimensions[0]):
if j >= Smu_right.dimensions[0]:
sing_val = 0
else:
singval = Smu_right[j, j]
Theta[j, j] = 1 / np.max([smin, singval])
#update Stacks
if mu > 0:
G_tmp = G.get_component(mu - 1)
A_tmp = Alist[mu - 1]
G_tmp(i1, i2, i3) << G_tmp(i1, k1, i3) * A_tmp(k1, i2)
lstacknp = lStack[-1].to_ndarray()
G_tmpnp = G_tmp.to_ndarray()
lstacknpres = np.einsum('jm,jmk->km', lstacknp, G_tmpnp)
lStack.append(xerus.Tensor.from_ndarray(lstacknpres))
rStack = rStack[:-1]
op = xerus.Tensor()
op_pre = xerus.Tensor()
op_reg = xerus.Tensor()
rhs = xerus.Tensor()
Gi = G.get_component(mu)
if mu != d - 1:
Ai = Alist[mu]
Ainp = Ai.to_ndarray()
lStacknp = lStack[-1].to_ndarray()
rStacknp = rStack[-1].to_ndarray()
op_pre_np = np.einsum('im,jm,kms->ijkms', lStacknp, Ainp, rStacknp)
op_pre = xerus.Tensor.from_ndarray(op_pre_np)
op(i1, i2, i3, j1, j2,
j3) << op_pre(i1, i2, i3, k1, k2) * op_pre(j1, j2, j3, k1, k2)
rhs(i1, i2, i3) << op_pre(i1, i2, i3, k1, k2) * Y(k2, k1)
else:
tmp_id = xerus.Tensor.identity([noo, 1, noo, 1])
tmp_ones = xerus.Tensor.ones([1])
op(i1, i2, i3, j1, j2, j3) << lStack[-1](i1, k1) * lStack[-1](
j1, k1) * tmp_id(i2, i3, j2, j3)
rhs(i1, i2, i3) << lStack[-1](i1, k1) * Y(i2, k1) * tmp_ones(i3)
if mu < d - 1:
id_reg_p = xerus.Tensor.identity([p, p])
else:
id_reg_p = xerus.Tensor.identity([noo, noo])
if mu > 0:
id_reg_r = xerus.Tensor.identity(
[Gi.dimensions[2], Gi.dimensions[2]])
op_reg(i1, i2, i3, j1, j2, j3) << Gamma(i1, k1) * Gamma(
k1, j1) * id_reg_r(i3, j3) * id_reg_p(i2, j2)
op += w * w * op_reg
if mu < d - 1:
id_reg_l = xerus.Tensor.identity(
[Gi.dimensions[0], Gi.dimensions[0]])
op_reg(i1, i2, i3, j1, j2, j3) << Theta(i3, k1) * Theta(
k1, j3) * id_reg_l(i1, j1) * id_reg_p(i2, j2)
op += w * w * op_reg
#if mu > 0 and mu < d - 1:
# op_reg(i1,i2,i3,j1,j2,j3) << Theta(i3,k1) * Theta(k1,j3) * Gamma(i1,k1) * Gamma(k1,j1) * id_reg_p(i2,j2)
# op += w*w *w*w* op_reg
op_arr = op.to_ndarray()
rhs_arr = rhs.to_ndarray()
gi_arr = Gi.to_ndarray()
op_dim = op.dimensions
op_arr_reshape = op_arr.reshape((op_dim[0] * op_dim[1] * op_dim[2],
op_dim[3] * op_dim[4] * op_dim[5]))
rhs_dim = rhs.dimensions
rhs_arr_reshape = rhs_arr.reshape(
(rhs_dim[0] * rhs_dim[1] * rhs_dim[2]))
gi_dim = Gi.dimensions
gi_arr_reshape = gi_arr.reshape((gi_dim[0] * gi_dim[1] * gi_dim[2]))
sol_arr = np.linalg.solve(op_arr_reshape, rhs_arr_reshape)
sol_arr_reshape = sol_arr.reshape((gi_dim[0], gi_dim[1], gi_dim[2]))
sol = xerus.Tensor.from_ndarray(sol_arr_reshape)
G.set_component(mu, sol)
if mu != d - 1:
Ax = xerus.Tensor()
Ax(i2, i1) << op_pre(j1, j2, j3, i1, i2) * sol(j1, j2, j3)
error = (Ax - Y).frob_norm() / Y.frob_norm()
#print("mu=" + str(mu) +'\033[1m'+" e=" + str(error) +'\033[0m'+ ' nG=' + str(G.frob_norm()) + ' sing ' + str(sing[-kmin]))
return error
