def precondition(x_mat, sketch_type='srft', sketch_size=3):
'''
Compute A Preconditioning Matrix
Input
x_mat: n-by-d NumPy matrix X;
sketch_type: 'srft' or 'count';
sketch_size: real number larger than 1;
it should be set as a small number, e.g. 3;
big sketch_size leads to good condition number, but costs more time to compute.
Output
t_mat: d-by-d Numpy matrix T such that X * T is well-conditioned.
'''
n_int, d_int = x_mat.shape
s_int = int(sketch_size * d_int)
if sketch_type == 'srft':
b_mat = srft.srft(x_mat.T, s_int)
elif sketch_type == 'count':
b_mat = cs.countsketch(x_mat.T, s_int)
u_mat, sig_vec, _ = numpy.linalg.svd(b_mat, full_matrices=False)
t_mat = u_mat / sig_vec.reshape(1, len(sig_vec))
return t_mat
def test_size(self):
s_int = 39
c_mat = srft.srft(x_mat, s_int)
self.assertEqual(c_mat.shape[0], m_int)
self.assertEqual(c_mat.shape[1], s_int)
c_mat, d_mat = srft.srft2(x_mat, y_mat, s_int)
self.assertEqual(c_mat.shape[0], m_int)
self.assertEqual(c_mat.shape[1], s_int)
self.assertEqual(d_mat.shape[0], d_int)
self.assertEqual(d_mat.shape[1], s_int)
def test_multiply_error(self):
'''
Test the function "srft"
As the sketch size s_int increases, the approximation error should decrease.
If the test fails, say twice in 10 tests, it is fine.
'''
repeat = 10
s_int1 = 150
err1 = 0
for i in range(repeat):
c_mat = srft.srft(x_mat, s_int1)
err1 += numpy.linalg.norm(xx_mat - numpy.dot(c_mat, c_mat.T),
ord='fro') / xx_norm
err1 /= repeat
s_int2 = 400
err2 = 0
for i in range(repeat):
c_mat = srft.srft(x_mat, s_int2)
err2 += numpy.linalg.norm(xx_mat - numpy.dot(c_mat, c_mat.T),
ord='fro') / xx_norm
err2 /= repeat
s_int3 = 1500
err3 = 0
for i in range(repeat):
c_mat = srft.srft(x_mat, s_int3)
err3 += numpy.linalg.norm(xx_mat - numpy.dot(c_mat, c_mat.T),
ord='fro') / xx_norm
err3 /= repeat
print('Approximation error for s=' + str(s_int1) + ': ' + str(err1))
print('Approximation error for s=' + str(s_int2) + ': ' + str(err2))
print('Approximation error for s=' + str(s_int3) + ': ' + str(err3))
self.assertTrue(err2 < err1)
self.assertTrue(err3 < err2)
def lev_approx_fast(a_mat, sketch_size=5, sketch_type='count', speedup=2):
'''
Compute Approximate Exact Column Leverage Scores
This algorithm is useful only if m_int is big
Input
a_mat: m-by-n dense matrix A (n >> m);
sketch_size: a real number bigger than 1 (s = sketch_size * m)
sketch_type: 'count' or 'srft';
'count' for count sketch;
'srft' for subsampled randomized Fourier transform;
speedup: a real number bigger than 1.
Output
lev_vec: n-dim vector containing the approximate leverage scores
Procedure
1. sketch size: s_int = m_int * sketch_size
2. draw m-by-s sketch B = A * S, where S is n-by-s count sketch matrix
3. compute the SVD B = U * Sig * V
4. let T = Sig^{-1} * U^T
5. let p = m / speedup and generate p-by-m Gaussian projection matrix P
5. Y = (P * T) * A
6. return the n column leverage scores of Y
'''
m_int, n_int = a_mat.shape
# p_int must be smaller than m_int
p_int = int(m_int / speedup)
s_int = min(m_int * sketch_size, int(n_int / 2))
if sketch_type == 'count':
b_mat = cs.countsketch(a_mat, s_int)
elif sketch_type == 'srft':
b_mat = srft.srft(a_mat, s_int)
u_mat, sig_vec, _ = numpy.linalg.svd(b_mat, full_matrices=False)
t_mat = u_mat.T / sig_vec.reshape(len(sig_vec), 1)
p_mat = numpy.random.randn(p_int, m_int) / numpy.sqrt(p_int)
t_mat = numpy.dot(p_mat, t_mat)
y_mat = numpy.dot(t_mat, a_mat)
lev_vec = numpy.sum(y_mat**2, axis=0)
return lev_vec
def lev_approx(a_mat, sketch_size=5, sketch_type='count'):
'''
Compute Approximate Column Leverage Scores
Input
a_mat: m-by-n dense matrix A (n >> m);
sketch_size: a real number bigger than 1 (s = sketch_size * m)
sketch_type: 'count' or 'srft';
'count' for count sketch;
'srft' for subsampled randomized Fourier transform;
'uniform' for uniform sampling.
Output
lev_vec: n-dim vector containing the approximate leverage scores
Procedure
1. sketch size: s_int = m_int * sketch_size
2. draw m-by-s sketch B = A * S, where S is n-by-s sketching matrix
3. compute the SVD B = U * Sig * V
4. let T = Sig^{-1} * U^T
5. Y = T * A
6. return the n column leverage scores of Y
'''
m_int, n_int = a_mat.shape
s_int = int(m_int * sketch_size)
if sketch_type == 'count':
b_mat = cs.countsketch(a_mat, s_int)
elif sketch_type == 'srft':
b_mat = srft.srft(a_mat, s_int)
elif sketch_type == 'uniform':
idx_vec = numpy.random.choice(n_int, s_int, replace=False)
b_mat = a_mat[:, idx_vec] * (n_int / s_int)
u_mat, sig_vec, _ = numpy.linalg.svd(b_mat, full_matrices=False)
t_mat = u_mat.T / sig_vec.reshape(len(sig_vec), 1)
y_mat = numpy.dot(t_mat, a_mat)
lev_vec = numpy.sum(y_mat**2, axis=0)
return lev_vec