def run(backend=SUPPORTED_BACKENDS[0], quiet=True):
dimension = 3
num_samples = 200
num_components = 2
samples = np.random.randn(num_samples, dimension) @ np.diag([3, 2, 1])
samples -= samples.mean(axis=0)
cost, egrad, ehess = create_cost_egrad_ehess(backend, samples,
num_components)
manifold = Stiefel(dimension, num_components)
problem = pymanopt.Problem(manifold, cost, egrad=egrad, ehess=ehess)
if quiet:
problem.verbosity = 0
solver = TrustRegions()
# from pymanopt.solvers import ConjugateGradient
# solver = ConjugateGradient()
estimated_span_matrix = solver.solve(problem)
if quiet:
return
estimated_projector = estimated_span_matrix @ estimated_span_matrix.T
eigenvalues, eigenvectors = np.linalg.eig(samples.T @ samples)
indices = np.argsort(eigenvalues)[::-1][:num_components]
span_matrix = eigenvectors[:, indices]
projector = span_matrix @ span_matrix.T
print(
"Frobenius norm error between estimated and closed-form projection "
"matrix:", np.linalg.norm(projector - estimated_projector))
def run(backend=SUPPORTED_BACKENDS[0], quiet=True):
m = 5
n = 8
matrix = np.random.normal(size=(m, n))
manifold = Oblique(m, n)
cost, euclidean_gradient = create_cost_and_derivates(
manifold, matrix, backend)
problem = pymanopt.Problem(manifold,
cost,
euclidean_gradient=euclidean_gradient)
optimizer = ConjugateGradient(verbosity=2 * int(not quiet),
beta_rule="FletcherReeves")
Xopt = optimizer.run(problem).point
if quiet:
return
# Calculate the actual solution by normalizing the columns of matrix.
X = matrix / np.linalg.norm(matrix, axis=0)[np.newaxis, :]
# Print information about the solution.
print("Solution found:", np.allclose(X, Xopt, rtol=1e-3))
print("Frobenius-error:", np.linalg.norm(X - Xopt))
def run(backend=SUPPORTED_BACKENDS[0], quiet=True):
num_rows = 128
subspace_dimension = 3
matrix = np.random.normal(size=(
num_rows, num_rows)) + 1j * np.random.normal(size=(num_rows, num_rows))
matrix = 0.5 * (matrix + matrix.T.conj())
manifold = ComplexGrassmann(num_rows, subspace_dimension)
cost, euclidean_gradient, euclidean_hessian = create_cost_and_derivates(
manifold, matrix, backend)
problem = pymanopt.Problem(
manifold,
cost,
euclidean_gradient=euclidean_gradient,
euclidean_hessian=euclidean_hessian,
)
optimizer = TrustRegions(verbosity=2 * int(not quiet))
estimated_spanning_set = optimizer.run(problem,
Delta_bar=8 *
np.sqrt(subspace_dimension)).point
if quiet:
return
eigenvalues, eigenvectors = np.linalg.eig(matrix)
column_indices = np.argsort(eigenvalues)[-subspace_dimension:]
spanning_set = eigenvectors[:, column_indices]
print(
"Geodesic distance between true and estimated dominant complex "
"subspace:",
manifold.dist(spanning_set, estimated_spanning_set),
)
def run(backend=SUPPORTED_BACKENDS[0], quiet=True):
num_rows = 1000
rank = 5
low_rank_factor = np.random.normal(size=(num_rows, rank))
matrix = low_rank_factor @ low_rank_factor.T
manifold = PSDFixedRank(num_rows, rank)
cost, euclidean_gradient, euclidean_hessian = create_cost_and_derivates(
manifold, matrix, backend
)
problem = pymanopt.Problem(
manifold,
cost,
euclidean_gradient=euclidean_gradient,
euclidean_hessian=euclidean_hessian,
)
optimizer = TrustRegions(
max_iterations=500, min_step_size=1e-6, verbosity=2 * int(not quiet)
)
low_rank_factor_estimate = optimizer.run(problem).point
if quiet:
return
print("Rank of target matrix:", np.linalg.matrix_rank(matrix))
matrix_estimate = low_rank_factor_estimate @ low_rank_factor_estimate.T
print(
"Frobenius norm error of low-rank estimate:",
np.linalg.norm(matrix - matrix_estimate),
)
def run(backend=SUPPORTED_BACKENDS[0], quiet=True):
num_samples, num_weights = 200, 3
solver = TrustRegions()
manifold = Euclidean(3)
for k in range(5):
samples = rnd.randn(num_samples, num_weights)
targets = rnd.randn(num_samples)
cost, egrad, ehess = create_cost_egrad_ehess(backend, samples, targets)
problem = pymanopt.Problem(manifold,
cost,
egrad=egrad,
ehess=ehess,
verbosity=0)
estimated_weights = solver.solve(problem)
if not quiet:
print("Run {}".format(k + 1))
print("Weights found by pymanopt (top) / "
"closed form solution (bottom)")
print(estimated_weights)
print(la.pinv(samples) @ targets)
print("")
def compute_centroid(manifold, points):
"""Compute the centroid of `points` on the `manifold` as Karcher mean."""
num_points = len(points)
@pymanopt.function.Callable
def objective(y):
accumulator = 0
for i in range(num_points):
accumulator += manifold.dist(y, points[i]) ** 2
return accumulator / 2
@pymanopt.function.Callable
def gradient(y):
g = manifold.zerovec(y)
g = g.astype(points.dtype)
for i in range(num_points):
g -= manifold.log(y, points[i])
return g
# XXX: Manopt runs a few TR iterations here. For us to do this, we either
# need to work out the Hessian of the Karcher mean by hand or
# implement approximations for the Hessian to use in the TR solver as
# Manopt. This is because we cannot implement the Karcher mean with
# Theano, say, and compute the Hessian automatically due to dependence
# on the manifold-dependent distance function, which is written in
# numpy.
solver = SteepestDescent(maxiter=15)
problem = pymanopt.Problem(manifold, objective, grad=gradient, verbosity=0)
return solver.solve(problem)
def run(backend=SUPPORTED_BACKENDS[0], quiet=True):
n = 128
matrix = rnd.randn(n, n)
matrix = 0.5 * (matrix + matrix.T)
cost, egrad = create_cost_egrad(backend, matrix)
manifold = Sphere(n)
problem = pymanopt.Problem(manifold, cost=cost, egrad=egrad)
if quiet:
problem.verbosity = 0
solver = SteepestDescent()
estimated_dominant_eigenvector = solver.solve(problem)
if quiet:
return
# Calculate the actual solution by a conventional eigenvalue decomposition.
eigenvalues, eigenvectors = la.eig(matrix)
dominant_eigenvector = eigenvectors[:, np.argmax(eigenvalues)]
# Make sure both vectors have the same direction. Both are valid
# eigenvectors, but for comparison we need to get rid of the sign
# ambiguity.
if (np.sign(dominant_eigenvector[0]) != np.sign(
estimated_dominant_eigenvector[0])):
estimated_dominant_eigenvector = -estimated_dominant_eigenvector
# Print information about the solution.
print("l2-norm of x: %f" % la.norm(dominant_eigenvector))
print("l2-norm of xopt: %f" % la.norm(estimated_dominant_eigenvector))
print("Solution found: %s" % np.allclose(
dominant_eigenvector, estimated_dominant_eigenvector, rtol=1e-3))
error_norm = la.norm(dominant_eigenvector - estimated_dominant_eigenvector)
print("l2-error: %f" % error_norm)
def run(backend=SUPPORTED_BACKENDS[0], quiet=True):
m, n, rank = 5, 4, 2
matrix = rnd.randn(m, n)
cost, egrad = create_cost_egrad(backend, matrix, rank)
manifold = FixedRankEmbedded(m, n, rank)
problem = pymanopt.Problem(manifold, cost=cost, egrad=egrad)
if quiet:
problem.verbosity = 0
solver = ConjugateGradient()
left_singular_vectors, singular_values, right_singular_vectors = \
solver.solve(problem)
low_rank_approximation = (left_singular_vectors @ np.diag(singular_values)
@ right_singular_vectors)
if not quiet:
u, s, vt = la.svd(matrix, full_matrices=False)
indices = np.argsort(s)[-rank:]
low_rank_solution = (
u[:, indices] @ np.diag(s[indices]) @ vt[indices, :])
print("Analytic low-rank solution:")
print()
print(low_rank_solution)
print()
print("Rank-{} approximation:".format(rank))
print()
print(low_rank_approximation)
print()
print("Frobenius norm error:",
la.norm(low_rank_approximation - low_rank_solution))
print()
def test_complex_cost_problem(self):
# Solve the dominant invariant complex subspace problem.
num_rows = 32
subspace_dimension = 3
matrix = np.random.normal(
size=(num_rows,
num_rows)) + 1j * np.random.normal(size=(num_rows, num_rows))
matrix = 0.5 * (matrix + matrix.T.conj())
manifold = pymanopt.manifolds.ComplexGrassmann(num_rows,
subspace_dimension)
@pymanopt.function.autograd(manifold)
def cost(X):
return -np.real(np.trace(np.conj(X.T) @ matrix @ X))
problem = pymanopt.Problem(manifold, cost)
optimizer = ConjugateGradient(verbosity=0)
estimated_spanning_set = optimizer.run(problem).point
# True solution.
eigenvalues, eigenvectors = np.linalg.eig(matrix)
column_indices = np.argsort(eigenvalues)[-subspace_dimension:]
spanning_set = eigenvectors[:, column_indices]
np_testing.assert_allclose(manifold.dist(spanning_set,
estimated_spanning_set),
0,
atol=1e-6)
def run(backend=SUPPORTED_BACKENDS[0], quiet=True):
num_rows = 10
rank = 3
matrix = np.random.normal(size=(num_rows, num_rows))
matrix = 0.5 * (matrix + matrix.T)
# Solve the problem with pymanopt.
manifold = Oblique(rank, num_rows)
cost, euclidean_gradient, euclidean_hessian = create_cost_and_derivates(
manifold, matrix, backend
)
problem = pymanopt.Problem(
manifold,
cost,
euclidean_gradient=euclidean_gradient,
euclidean_hessian=euclidean_hessian,
)
optimizer = TrustRegions(verbosity=2 * int(not quiet))
X = optimizer.run(problem).point
if quiet:
return
C = X.T @ X
print("Diagonal elements:", np.diag(C))
print("Eigenvalues:", np.sort(np.linalg.eig(C)[0].real)[::-1])
def run(backend=SUPPORTED_BACKENDS[0], quiet=True):
dimension = 3 # Dimension of the embedding space, i.e. R^k
num_points = 24 # Points on the sphere
# This value should be as close to 0 as affordable. If it is too close to
# zero, optimization first becomes much slower, than simply doesn't work
# anymore because of floating point overflow errors (NaN's and Inf's start
# to appear). If it is too large, then log-sum-exp is a poor approximation
# of the max function, and the spread will be less uniform. An okay value
# seems to be 0.01 or 0.001 for example. Note that a better strategy than
# using a small epsilon straightaway is to reduce epsilon bit by bit and to
# warm-start subsequent optimization in that way. Trustregions will be more
# appropriate for these fine tunings.
epsilon = 0.0015
cost = create_cost(backend, dimension, num_points, epsilon)
manifold = Elliptope(num_points, dimension)
problem = pymanopt.Problem(manifold, cost)
if quiet:
problem.verbosity = 0
solver = ConjugateGradient(mingradnorm=1e-8, maxiter=1e5)
Yopt = solver.solve(problem)
if quiet:
return
Xopt = Yopt @ Yopt.T
maxdot = np.triu(Xopt, 1).max()
print("Maximum angle between any two points:", maxdot)
def run(backend=SUPPORTED_BACKENDS[0], quiet=True):
num_samples, num_weights = 200, 3
optimizer = TrustRegions(verbosity=0)
manifold = Euclidean(3)
for k in range(5):
samples = np.random.normal(size=(num_samples, num_weights))
targets = np.random.normal(size=num_samples)
(
cost,
euclidean_gradient,
euclidean_hessian,
) = create_cost_and_derivates(manifold, samples, targets, backend)
problem = pymanopt.Problem(
manifold,
cost,
euclidean_gradient=euclidean_gradient,
euclidean_hessian=euclidean_hessian,
)
estimated_weights = optimizer.run(problem).point
if not quiet:
print(f"Run {k + 1}")
print(
"Weights found by pymanopt (top) / "
"closed form solution (bottom)"
)
print(estimated_weights)
print(np.linalg.pinv(samples) @ targets)
print("")
def run(backend=SUPPORTED_BACKENDS[0], quiet=True):
"""This example generates a random 128 x 128 symmetric matrix and finds the
dominant invariant 3 dimensional subspace for this matrix, i.e., it finds
the subspace spanned by the three eigenvectors with the largest
eigenvalues.
"""
num_rows = 128
subspace_dimension = 3
matrix = rnd.randn(num_rows, num_rows)
matrix = 0.5 * (matrix + matrix.T)
cost, egrad, ehess = create_cost_egrad_ehess(
backend, matrix, subspace_dimension)
manifold = Grassmann(num_rows, subspace_dimension)
problem = pymanopt.Problem(manifold, cost=cost, egrad=egrad, ehess=ehess)
if quiet:
problem.verbosity = 0
solver = TrustRegions()
estimated_spanning_set = solver.solve(
problem, Delta_bar=8*np.sqrt(subspace_dimension))
if quiet:
return
eigenvalues, eigenvectors = la.eig(matrix)
column_indices = np.argsort(eigenvalues)[-subspace_dimension:]
spanning_set = eigenvectors[:, column_indices]
print("Geodesic distance between true and estimated dominant subspace:",
manifold.dist(spanning_set, estimated_spanning_set))
def run(quiet=True):
dimension = 3
num_samples = 200
num_components = 2
samples = np.random.randn(num_samples, dimension) @ np.diag([3, 2, 1])
samples -= samples.mean(axis=0)
samples_ = torch.from_numpy(samples)
@pymanopt.function.PyTorch
def cost(w):
projector = torch.matmul(w, torch.transpose(w, 1, 0))
return torch.norm(samples_ - torch.matmul(samples_, projector)) ** 2
manifold = Stiefel(dimension, num_components)
problem = pymanopt.Problem(manifold, cost, egrad=None, ehess=None)
if quiet:
problem.verbosity = 0
solver = TrustRegions()
# from pymanopt.solvers import ConjugateGradient
# solver = ConjugateGradient()
estimated_span_matrix = solver.solve(problem)
if quiet:
return
estimated_projector = estimated_span_matrix @ estimated_span_matrix.T
eigenvalues, eigenvectors = np.linalg.eig(samples.T @ samples)
indices = np.argsort(eigenvalues)[::-1][:num_components]
span_matrix = eigenvectors[:, indices]
projector = span_matrix @ span_matrix.T
print("Frobenius norm error between estimated and closed-form projection "
"matrix:", np.linalg.norm(projector - estimated_projector))
def test_attribute_override(self):
problem = pymanopt.Problem(self.man, self.cost)
with self.assertRaises(ValueError):
problem.verbosity = "0"
with self.assertRaises(ValueError):
problem.verbosity = -1
problem.verbosity = 2
with self.assertRaises(AttributeError):
problem.manifold = None
def setUp(self):
n = 32
matrix = np.random.normal(size=(n, n))
self.manifold = manifold = Sphere(n)
self.max_iterations = 50
@pymanopt.function.autograd(manifold)
def cost(point):
return -point.T @ matrix @ point
self.problem = pymanopt.Problem(manifold, cost)
def test_vararg_cost_on_product(self):
shape = (3, 3)
manifold = Product([Stiefel(*shape)] * 2)
@pymanopt.function.tensorflow(manifold)
def cost(*args):
X, Y = args
return tf.reduce_sum(X) + tf.reduce_sum(Y)
problem = pymanopt.Problem(manifold, cost)
optimizer = TrustRegions(max_iterations=1)
Xopt, Yopt = optimizer.run(problem).point
self.assertEqual(Xopt.shape, (3, 3))
self.assertEqual(Yopt.shape, (3, 3))
def cp_mds_reg(X, D, lam=1.0, v=1, maxiter=1000):
"""Version of MDS in which "signs" are also an optimization parameter.
Rather than performing a full optimization and then resetting the
sign matrix, here we treat the signs as a parameter `A = [a_ij]` and
minimize the cost function
F(X,A) = ||W*(X^H(A*X) - cos(D))||^2 + lambda*||A - X^HX/|X^HX| ||^2
Lambda is a regularization parameter we can experiment with. The
collection of data, `X`, is treated as a point on the `Oblique`
manifold, consisting of `k*n` matrices with unit-norm columns. Since
we are working on a sphere in complex space we require `k` to be
even. The first `k/2` entries of each column are the real components
and the last `k/2` entries are the imaginary parts.
Parameters
----------
X : ndarray (k, n)
Initial guess for data.
D : ndarray (k, k)
Goal distance matrix.
lam : float, optional
Weight to give regularization term.
v : int, optional
Verbosity
Returns
-------
X_opt : ndarray (k, n)
Collection of points optimizing cost.
"""
dim = X.shape[0]
num_points = X.shape[1]
W = distance_to_weights(D)
Sreal, Simag = norm_rotations(X)
A = np.vstack(
(np.reshape(Sreal,
(1, num_points**2)), np.reshape(Simag, num_points**2)))
cp_manifold = Oblique(dim, num_points)
a_manifold = Oblique(2, num_points**2)
manifold = Product((cp_manifold, a_manifold))
solver = ConjugateGradient(maxiter=maxiter, maxtime=float('inf'))
cost = setup_reg_autograd_cost(D, int(dim / 2), num_points, lam=lam)
problem = pymanopt.Problem(cost=cost, manifold=manifold)
Xopt, Aopt = solver.solve(problem, x=(X, A))
Areal = np.reshape(Aopt[0, :], (num_points, num_points))
Aimag = np.reshape(Aopt[1, :], (num_points, num_points))
return Xopt, Areal, Aimag
def setUp(self):
n = 32
matrix = np.random.normal(size=(n, n))
matrix = 0.5 * (matrix + matrix.T)
eigenvalues, eigenvectors = np.linalg.eig(matrix)
self.dominant_eigenvector = eigenvectors[:, np.argmax(eigenvalues)]
self.manifold = manifold = pymanopt.manifolds.Sphere(n)
@pymanopt.function.autograd(manifold)
def cost(point):
return -point.T @ matrix @ point
self.problem = pymanopt.Problem(manifold, cost)
def setUp(self):
self.m = m = 20
self.n = n = 10
self.rank = rank = 3
A = np.random.randn(m, n)
@pymanopt.function.Autograd
def cost(u, s, vt, x):
return np.linalg.norm(((u * s) @ vt - A) @ x)**2
self.cost = cost
self.gradient = self.cost.compute_gradient()
self.hvp = self.cost.compute_hessian_vector_product()
self.manifold = Product([FixedRankEmbedded(m, n, rank), Euclidean(n)])
self.problem = pymanopt.Problem(self.manifold, self.cost)
def setUp(self):
self.m = m = 20
self.n = n = 10
self.rank = rank = 3
A = np.random.normal(size=(m, n))
self.manifold = Product([FixedRankEmbedded(m, n, rank), Euclidean(n)])
@pymanopt.function.autograd(self.manifold)
def cost(u, s, vt, x):
return np.linalg.norm(((u * s) @ vt - A) @ x) ** 2
self.cost = cost
self.gradient = self.cost.get_gradient_operator()
self.hessian = self.cost.get_hessian_operator()
self.problem = pymanopt.Problem(self.manifold, self.cost)
def run(backend=SUPPORTED_BACKENDS[0], quiet=True):
m, n, rank = 5, 4, 2
matrix = np.random.normal(size=(m, n))
manifold = FixedRankEmbedded(m, n, rank)
cost, euclidean_gradient = create_cost_and_derivates(
manifold, matrix, backend
)
problem = pymanopt.Problem(
manifold, cost, euclidean_gradient=euclidean_gradient
)
optimizer = ConjugateGradient(
verbosity=2 * int(not quiet), beta_rule="PolakRibiere"
)
(
left_singular_vectors,
singular_values,
right_singular_vectors,
) = optimizer.run(problem).point
low_rank_approximation = (
left_singular_vectors
@ np.diag(singular_values)
@ right_singular_vectors
)
if not quiet:
u, s, vt = np.linalg.svd(matrix, full_matrices=False)
indices = np.argsort(s)[-rank:]
low_rank_solution = (
u[:, indices] @ np.diag(s[indices]) @ vt[indices, :]
)
print("Analytic low-rank solution:")
print()
print(low_rank_solution)
print()
print(f"Rank-{rank} approximation:")
print()
print(low_rank_approximation)
print()
print(
"Frobenius norm error:",
np.linalg.norm(low_rank_approximation - low_rank_solution),
)
print()
def run(backend=SUPPORTED_BACKENDS[0], quiet=True):
n = 128
matrix = np.random.normal(size=(n, n))
matrix = 0.5 * (matrix + matrix.T)
manifold = Sphere(n)
cost, euclidean_gradient = create_cost_and_derivates(
manifold, matrix, backend
)
problem = pymanopt.Problem(
manifold, cost, euclidean_gradient=euclidean_gradient
)
optimizer = SteepestDescent(verbosity=2 * int(not quiet))
estimated_dominant_eigenvector = optimizer.run(problem).point
if quiet:
return
# Calculate the actual solution by a conventional eigenvalue decomposition.
eigenvalues, eigenvectors = np.linalg.eig(matrix)
dominant_eigenvector = eigenvectors[:, np.argmax(eigenvalues)]
# Make sure both vectors have the same direction. Both are valid
# eigenvectors, but for comparison we need to get rid of the sign
# ambiguity.
if np.sign(dominant_eigenvector[0]) != np.sign(
estimated_dominant_eigenvector[0]
):
estimated_dominant_eigenvector = -estimated_dominant_eigenvector
# Print information about the solution.
print("l2-norm of x:", np.linalg.norm(dominant_eigenvector))
print("l2-norm of xopt:", np.linalg.norm(estimated_dominant_eigenvector))
print(
"Solution found:",
np.allclose(
dominant_eigenvector, estimated_dominant_eigenvector, atol=1e-6
),
)
error_norm = np.linalg.norm(
dominant_eigenvector - estimated_dominant_eigenvector
)
print("l2-error:", error_norm)
def run_minimization(self, a, b, Y0 = None, testing=True):
"""
Optimizes the problem a*tr(Y) + b*neg(Y)
If Y0 is given then this runs gradient descent starting from Y0,
otherwise it starts from a random point.
Returns the Y value, together with the log information from the solver.
if testing=True then it also prints the number of iterations needed for convergence,
which is nice for watching the algorithm run and understanding its difficulties.
"""
cst = self.fn_weighted(a,b)
grad = self.gr_weighted(a,b)
pblm = mo.Problem(manifold = self.M,
cost = self.fn_weighted(a,b),
egrad = self.gr_weighted(a,b),
verbosity = 0)
Y,log = self.solver.solve(pblm, x=Y0)
print("Number of Iterations: " + str(log['final_values']['iterations']))
return Y,log
def main_mds(D, dim, X=None, space='real'):
"""MDS via gradient descent with the chordal metric.
Parameters
----------
D : ndarray (n, n)
Goal distance matrix.
dim : int
Goal dimension (of ambient Euclidean space).
X : ndarray (dim, n), optional
Initial value for gradient descent. `n` points in dimension `dim`. If
both a dimension and an initial condition are specified, the initial
condition overrides the dimension.
field : str
Choice of real or complex version. Options 'real', 'complex'. If
'complex' dim must be even.
"""
n = D.shape[0]
max_d = np.max(D)
if max_d > np.pi / 2:
print('WARNING: maximum value in distance matrix exceeds diameter of '\
'projective space. Max value in distance matrix = %2.4f.' %max_d)
manifold = pymanopt.manifolds.Oblique(dim, n)
solver = pymanopt.solvers.ConjugateGradient()
if space == 'real':
# Set return_grad=False to use auto gradient. Testing shows they are
# identical, but analytic grad significantly faster.
cost, egrad = setup_RPn_cost(D, return_grad=True)
elif space == 'complex':
cost, egrad = setup_CPn_cost(D, int(dim / 2), return_grad=False)
problem = pymanopt.Problem(manifold=manifold, cost=cost, egrad=egrad)
if X is None:
X_out = solver.solve(problem)
else:
if X.shape[0] != dim:
print('WARNING: initial condition does not match specified goal '\
'dimension. Finding optimum in dimension %d' %X.shape[0])
X_out = solver.solve(problem, x=X)
return X_out
def minneg_in_SOk(self, Y0):
"""
Minimizes the negative part of $Y_0 Q$ over $Q \in SO(k)$.
"""
def cost(Q):
Y = Y0.dot(Q)
return self.neg(Y)
def cost_grad(Q):
Y = Y0.dot(Q)
return Y0.transpose().dot(Y*(Y<0))
k = Y0.shape[1]
SOk = Stiefel(k,k)
pblm = mo.Problem(manifold = SOk,
cost = cost,
egrad = cost_grad,
verbosity=0)
Q,log = self.solver.solve(pblm)
return Y0.dot(Q)
def run(backend=SUPPORTED_BACKENDS[0], quiet=True):
n = 3
m = 10
k = 10
A = np.random.randn(k, n, m)
B = np.random.randn(k, n, m)
ABt = np.array([Ak @ Bk.T for Ak, Bk in zip(A, B)])
cost, egrad = create_cost_egrad(backend, ABt)
manifold = SpecialOrthogonalGroup(n, k)
problem = pymanopt.Problem(manifold, cost, egrad=egrad)
if quiet:
problem.verbosity = 0
solver = SteepestDescent()
X = solver.solve(problem)
if not quiet:
Xopt = np.array([compute_optimal_solution(ABtk) for ABtk in ABt])
print("Frobenius norm error:", np.linalg.norm(Xopt - X))
def run(backend=SUPPORTED_BACKENDS[0], quiet=True):
num_rows = 10
rank = 3
matrix = rnd.randn(num_rows, num_rows)
matrix = 0.5 * (matrix + matrix.T)
# Solve the problem with pymanopt.
cost, egrad, ehess = create_cost_egrad_ehess(backend, matrix, rank)
manifold = Oblique(rank, num_rows)
problem = pymanopt.Problem(manifold, cost, egrad=egrad, ehess=ehess)
if quiet:
problem.verbosity = 0
solver = TrustRegions()
X = solver.solve(problem)
if quiet:
return
C = X.T @ X
print("Diagonal elements:", np.diag(C))
print("Eigenvalues:", np.sort(la.eig(C)[0].real)[::-1])
def estimate_dominant_eigenvector(matrix):
"""Returns the dominant eigenvector of the symmetric matrix A by minimizing
the Rayleigh quotient -x' * A * x / (x' * x).
"""
num_rows, num_columns = gs.shape(matrix)
if num_rows != num_columns:
raise ValueError('Matrix must be square.')
if not gs.allclose(gs.sum(matrix - gs.transpose(matrix)), 0.0):
raise ValueError('Matrix must be symmetric.')
@pymanopt.function.Callable
def cost(vector):
return -gs.dot(vector, gs.dot(matrix, vector))
@pymanopt.function.Callable
def egrad(vector):
return -2 * gs.dot(matrix, vector)
sphere = GeomstatsSphere(num_columns)
problem = pymanopt.Problem(manifold=sphere, cost=cost, egrad=egrad)
solver = SteepestDescent()
return solver.solve(problem)
def run(backend=SUPPORTED_BACKENDS[0], quiet=True):
num_rows = 1000
rank = 5
low_rank_factor = rnd.randn(num_rows, rank)
matrix = low_rank_factor @ low_rank_factor.T
cost, egrad, ehess = create_cost_egrad_ehess(backend, matrix, rank)
manifold = PSDFixedRank(num_rows, rank)
problem = pymanopt.Problem(manifold, cost=cost, egrad=egrad, ehess=ehess)
if quiet:
problem.verbosity = 0
solver = TrustRegions(maxiter=500, minstepsize=1e-6)
low_rank_factor_estimate = solver.solve(problem)
if quiet:
return
print("Rank of target matrix:", la.matrix_rank(matrix))
matrix_estimate = low_rank_factor_estimate @ low_rank_factor_estimate.T
print("Frobenius norm error of low-rank estimate:",
la.norm(matrix - matrix_estimate))
