def mnorm(A, p=1):
r"""
Gives the matrix (operator) `p`-norm of A. Currently ``p=1`` and ``p=inf``
are supported:
``p=1`` gives the 1-norm (maximal column sum)
``p=inf`` gives the `\infty`-norm (maximal row sum).
You can use the string 'inf' as well as float('inf') or mpf('inf')
``p=2`` (not implemented) for a square matrix is the usual spectral
matrix norm, i.e. the largest singular value.
``p='f'`` (or 'F', 'fro', 'Frobenius, 'frobenius') gives the
Frobenius norm, which is the elementwise 2-norm. The Frobenius norm is an
approximation of the spectral norm and satisfies
.. math ::
\frac{1}{\sqrt{\mathrm{rank}(A)}} \|A\|_F \le \|A\|_2 \le \|A\|_F
The Frobenius norm lacks some mathematical properties that might
be expected of a norm.
For general elementwise `p`-norms, use :func:`norm` instead.
**Examples**
>>> from mpmath import *
>>> mp.dps = 15
>>> A = matrix([[1, -1000], [100, 50]])
>>> mnorm(A, 1)
mpf('1050.0')
>>> mnorm(A, inf)
mpf('1001.0')
>>> mnorm(A, 'F')
mpf('1006.2310867787777')
"""
A = matrix(A)
if type(p) is not int:
if type(p) is str and 'frobenius'.startswith(p.lower()):
return norm(A, 2)
p = mpmathify(p)
m, n = A.rows, A.cols
if p == 1:
return max(
fsum((A[i, j] for i in xrange(m)), absolute=1) for j in xrange(n))
elif p == inf:
return max(
fsum((A[i, j] for j in xrange(n)), absolute=1) for i in xrange(m))
else:
raise NotImplementedError("matrix p-norm for arbitrary p")
def mnorm(A, p=1):
r"""
Gives the matrix (operator) `p`-norm of A. Currently ``p=1`` and ``p=inf``
are supported:
``p=1`` gives the 1-norm (maximal column sum)
``p=inf`` gives the `\infty`-norm (maximal row sum).
You can use the string 'inf' as well as float('inf') or mpf('inf')
``p=2`` (not implemented) for a square matrix is the usual spectral
matrix norm, i.e. the largest singular value.
``p='f'`` (or 'F', 'fro', 'Frobenius, 'frobenius') gives the
Frobenius norm, which is the elementwise 2-norm. The Frobenius norm is an
approximation of the spectral norm and satisfies
.. math ::
\frac{1}{\sqrt{\mathrm{rank}(A)}} \|A\|_F \le \|A\|_2 \le \|A\|_F
The Frobenius norm lacks some mathematical properties that might
be expected of a norm.
For general elementwise `p`-norms, use :func:`norm` instead.
**Examples**
>>> from mpmath import *
>>> mp.dps = 15
>>> A = matrix([[1, -1000], [100, 50]])
>>> mnorm(A, 1)
mpf('1050.0')
>>> mnorm(A, inf)
mpf('1001.0')
>>> mnorm(A, 'F')
mpf('1006.2310867787777')
"""
A = matrix(A)
if type(p) is not int:
if type(p) is str and 'frobenius'.startswith(p.lower()):
return norm(A, 2)
p = mpmathify(p)
m, n = A.rows, A.cols
if p == 1:
return max(fsum((A[i,j] for i in xrange(m)), absolute=1) for j in xrange(n))
elif p == inf:
return max(fsum((A[i,j] for j in xrange(n)), absolute=1) for i in xrange(m))
else:
raise NotImplementedError("matrix p-norm for arbitrary p")
def norm(x, p=2):
r"""
Gives the entrywise `p`-norm of an iterable *x*, i.e. the vector norm
`\left(\sum_k |x_k|^p\right)^{1/p}`, for any given `1 \le p \le \infty`.
Special cases:
If *x* is not iterable, this just returns ``absmax(x)``.
``p=1`` gives the sum of absolute values.
``p=2`` is the standard Euclidean vector norm.
``p=inf`` gives the magnitude of the largest element.
For *x* a matrix, ``p=2`` is the Frobenius norm.
For operator matrix norms, use :func:`mnorm` instead.
You can use the string 'inf' as well as float('inf') or mpf('inf')
to specify the infinity norm.
**Examples**
>>> from mpmath import *
>>> mp.dps = 15
>>> x = matrix([-10, 2, 100])
>>> norm(x, 1)
mpf('112.0')
>>> norm(x, 2)
mpf('100.5186549850325')
>>> norm(x, inf)
mpf('100.0')
"""
try:
iter(x)
except TypeError:
return absmax(x)
if type(p) is not int:
p = mpmathify(p)
if p == inf:
return max(absmax(i) for i in x)
elif p == 1:
return fsum(x, absolute=1)
elif p == 2:
return sqrt(fsum(x, absolute=1, squared=1))
elif p > 1:
return nthroot(fsum(abs(i)**p for i in x), p)
else:
raise ValueError('p has to be >= 1')
def norm(x, p=2):
r"""
Gives the entrywise `p`-norm of an iterable *x*, i.e. the vector norm
`\left(\sum_k |x_k|^p\right)^{1/p}`, for any given `1 \le p \le \infty`.
Special cases:
If *x* is not iterable, this just returns ``absmax(x)``.
``p=1`` gives the sum of absolute values.
``p=2`` is the standard Euclidean vector norm.
``p=inf`` gives the magnitude of the largest element.
For *x* a matrix, ``p=2`` is the Frobenius norm.
For operator matrix norms, use :func:`mnorm` instead.
You can use the string 'inf' as well as float('inf') or mpf('inf')
to specify the infinity norm.
**Examples**
>>> from mpmath import *
>>> mp.dps = 15
>>> x = matrix([-10, 2, 100])
>>> norm(x, 1)
mpf('112.0')
>>> norm(x, 2)
mpf('100.5186549850325')
>>> norm(x, inf)
mpf('100.0')
"""
try:
iter(x)
except TypeError:
return absmax(x)
if type(p) is not int:
p = mpmathify(p)
if p == inf:
return max(absmax(i) for i in x)
elif p == 1:
return fsum(x, absolute=1)
elif p == 2:
return sqrt(fsum(x, absolute=1, squared=1))
elif p > 1:
return nthroot(fsum(abs(i)**p for i in x), p)
else:
raise ValueError('p has to be >= 1')
def norm_p(x, p=2):
"""
Calculate the p-norm of a vector.
0 < p <= oo
Note: you may want to use float('inf') or mpmath's equivalent to specify oo.
"""
if p == inf:
return max(absmax(i) for i in x)
elif p > 1:
return nthroot(fsum(abs(i)**p for i in x), p)
elif p == 1:
return fsum(abs(i) for i in x)
else:
raise ValueError('p has to be an integer greater than 0')
def cholesky_solve(A, b, **kwargs):
"""
Ax = b => x
Solve a symmetric positive-definite linear equation system.
This is twice as efficient as lu_solve.
Typical use cases:
* A.T*A
* Hessian matrix
* differential equations
"""
# do not overwrite A nor b
A, b = matrix(A, **kwargs).copy(), matrix(b, **kwargs).copy()
if A.rows != A.cols:
raise ValueError('can only solve determined system')
# Cholesky factorization
L = cholesky(A)
# solve
n = L.rows
assert len(b) == n
for i in xrange(n):
b[i] -= fsum(L[i,j] * b[j] for j in xrange(i))
b[i] /= L[i,i]
x = U_solve(L.T, b)
return x
def mnorm_oo(A):
"""
Calculate the oo-norm (maximal row sum) of a matrix.
"""
assert isinstance(A, matrix)
m, n = A.rows, A.cols
return max(fsum(absmax(A[i,j]) for j in xrange(n)) for i in xrange(m))
def cholesky_solve(A, b, **kwargs):
"""
Ax = b => x
Solve a symmetric positive-definite linear equation system.
This is twice as efficient as lu_solve.
Typical use cases:
* A.T*A
* Hessian matrix
* differential equations
"""
# do not overwrite A nor b
A, b = matrix(A, **kwargs).copy(), matrix(b, **kwargs).copy()
if A.rows != A.cols:
raise ValueError('can only solve determined system')
# Cholesky factorization
L = cholesky(A)
# solve
n = L.rows
assert len(b) == n
for i in xrange(n):
b[i] -= fsum(L[i,j] * b[j] for j in xrange(i))
b[i] /= L[i,i]
x = U_solve(L.T, b)
return x
def householder(A):
"""
(A|b) -> H, p, x, res
(A|b) is the coefficient matrix with left hand side of an optionally
overdetermined linear equation system.
H and p contain all information about the transformation matrices.
x is the solution, res the residual.
"""
assert isinstance(A, matrix)
m = A.rows
n = A.cols
assert m >= n - 1
# calculate Householder matrix
p = []
for j in xrange(0, n - 1):
s = fsum((A[i,j])**2 for i in xrange(j, m))
if not abs(s) > eps:
raise ValueError('matrix is numerically singular')
p.append(-sign(A[j,j]) * sqrt(s))
kappa = s - p[j] * A[j,j]
A[j,j] -= p[j]
for k in xrange(j+1, n):
y = fsum(A[i,j] * A[i,k] for i in xrange(j, m)) / kappa
for i in xrange(j, m):
A[i,k] -= A[i,j] * y
# solve Rx = c1
x = [A[i,n - 1] for i in xrange(n - 1)]
for i in xrange(n - 2, -1, -1):
x[i] -= fsum(A[i,j] * x[j] for j in xrange(i + 1, n - 1))
x[i] /= p[i]
# calculate residual
if not m == n - 1:
r = [A[m-1-i, n-1] for i in xrange(m - n + 1)]
else:
# determined system, residual should be 0
r = [0]*m # maybe a bad idea, changing r[i] will change all elements
return A, p, x, r
def householder(A):
"""
(A|b) -> H, p, x, res
(A|b) is the coefficient matrix with left hand side of an optionally
overdetermined linear equation system.
H and p contain all information about the transformation matrices.
x is the solution, res the residual.
"""
assert isinstance(A, matrix)
m = A.rows
n = A.cols
assert m >= n - 1
# calculate Householder matrix
p = []
for j in xrange(0, n - 1):
s = fsum((A[i,j])**2 for i in xrange(j, m))
if not abs(s) > eps:
raise ValueError('matrix is numerically singular')
p.append(-sign(A[j,j]) * sqrt(s))
kappa = s - p[j] * A[j,j]
A[j,j] -= p[j]
for k in xrange(j+1, n):
y = fsum(A[i,j] * A[i,k] for i in xrange(j, m)) / kappa
for i in xrange(j, m):
A[i,k] -= A[i,j] * y
# solve Rx = c1
x = [A[i,n - 1] for i in xrange(n - 1)]
for i in xrange(n - 2, -1, -1):
x[i] -= fsum(A[i,j] * x[j] for j in xrange(i + 1, n - 1))
x[i] /= p[i]
# calculate residual
if not m == n - 1:
r = [A[m-1-i, n-1] for i in xrange(m - n + 1)]
else:
# determined system, residual should be 0
r = [0]*m # maybe a bad idea, changing r[i] will change all elements
return A, p, x, r
def cholesky(A):
"""
Cholesky decompositon of a symmetric positive-definite matrix.
Can be used to solve linear equation systems twice as efficient compared
to LU decomposition or to test whether A is positive-definite.
A = L * L.T
Only L (the lower part) is returned.
"""
assert isinstance(A, matrix)
if not A.rows == A.cols:
raise ValueError('need n*n matrix')
n = A.rows
L = matrix(n)
for j in xrange(n):
s = A[j,j] - fsum(L[j,k]**2 for k in xrange(j))
if s < eps:
raise ValueError('matrix not positive-definite')
L[j,j] = sqrt(s)
for i in xrange(j, n):
L[i,j] = (A[i,j] - fsum(L[i,k] * L[j,k] for k in xrange(j))) \
/ L[j,j]
return L
def cholesky(A):
"""
Cholesky decomposition of a symmetric positive-definite matrix.
Can be used to solve linear equation systems twice as efficient compared
to LU decomposition or to test whether A is positive-definite.
A = L * L.T
Only L (the lower part) is returned.
"""
assert isinstance(A, matrix)
if not A.rows == A.cols:
raise ValueError('need n*n matrix')
n = A.rows
L = matrix(n)
for j in xrange(n):
s = A[j,j] - fsum(L[j,k]**2 for k in xrange(j))
if s < eps:
raise ValueError('matrix not positive-definite')
L[j,j] = sqrt(s)
for i in xrange(j, n):
L[i,j] = (A[i,j] - fsum(L[i,k] * L[j,k] for k in xrange(j))) \
/ L[j,j]
return L
def LU_decomp(A, overwrite=False, use_cache=True):
"""
LU-factorization of a n*n matrix using the Gauss algorithm.
Returns L and U in one matrix and the pivot indices.
Use overwrite to specify whether A will be overwritten with L and U.
"""
if not A.rows == A.cols:
raise ValueError('need n*n matrix')
# get from cache if possible
if use_cache and isinstance(A, matrix) and A._LU:
return A._LU
if not overwrite:
orig = A
A = A.copy()
tol = absmin(mnorm(A,1) * eps) # each pivot element has to be bigger
n = A.rows
p = [None]*(n - 1)
for j in xrange(n - 1):
# pivoting, choose max(abs(reciprocal row sum)*abs(pivot element))
biggest = 0
for k in xrange(j, n):
s = fsum([absmin(A[k,l]) for l in xrange(j, n)])
if absmin(s) <= tol:
raise ZeroDivisionError('matrix is numerically singular')
current = 1/s * absmin(A[k,j])
if current > biggest: # TODO: what if equal?
biggest = current
p[j] = k
# swap rows according to p
swap_row(A, j, p[j])
if absmin(A[j,j]) <= tol:
raise ZeroDivisionError('matrix is numerically singular')
# calculate elimination factors and add rows
for i in xrange(j + 1, n):
A[i,j] /= A[j,j]
for k in xrange(j + 1, n):
A[i,k] -= A[i,j]*A[j,k]
if absmin(A[n - 1,n - 1]) <= tol:
raise ZeroDivisionError('matrix is numerically singular')
# cache decomposition
if not overwrite and isinstance(orig, matrix):
orig._LU = (A, p)
return A, p
def LU_decomp(A, overwrite=False, use_cache=True):
"""
LU-factorization of a n*n matrix using the Gauss algorithm.
Returns L and U in one matrix and the pivot indices.
Use overwrite to specify whether A will be overwritten with L and U.
"""
if not A.rows == A.cols:
raise ValueError('need n*n matrix')
# get from cache if possible
if use_cache and isinstance(A, matrix) and A._LU:
return A._LU
if not overwrite:
orig = A
A = A.copy()
tol = absmin(mnorm(A,1) * eps) # each pivot element has to be bigger
n = A.rows
p = [None]*(n - 1)
for j in xrange(n - 1):
# pivoting, choose max(abs(reciprocal row sum)*abs(pivot element))
biggest = 0
for k in xrange(j, n):
s = fsum([absmin(A[k,l]) for l in xrange(j, n)])
if absmin(s) <= tol:
raise ZeroDivisionError('matrix is numerically singular')
current = 1/s * absmin(A[k,j])
if current > biggest: # TODO: what if equal?
biggest = current
p[j] = k
# swap rows according to p
swap_row(A, j, p[j])
if absmin(A[j,j]) <= tol:
raise ZeroDivisionError('matrix is numerically singular')
# calculate elimination factors and add rows
for i in xrange(j + 1, n):
A[i,j] /= A[j,j]
for k in xrange(j + 1, n):
A[i,k] -= A[i,j]*A[j,k]
if absmin(A[n - 1,n - 1]) <= tol:
raise ZeroDivisionError('matrix is numerically singular')
# cache decomposition
if not overwrite and isinstance(orig, matrix):
orig._LU = (A, p)
return A, p
