def tanhm(A):
"""matrix hyperbolic tangent.
"""
A = asarray(A)
if A.dtype.char not in ['F','D']:
return toreal(solve(coshm(A), sinhm(A)))
else:
return solve(coshm(A), sinhm(A))
def tanm(A):
"""matrix tangent.
"""
A = asarray(A)
if A.dtype.char not in ['F','D','G']:
return toreal(solve(cosm(A), sinm(A)))
else:
return solve(cosm(A), sinm(A))
def solve_discrete_lyapunov(a, q):
"""Solves the Discrete Lyapunov Equation (A'XA-X=-Q) directly.
Parameters
----------
a : array_like
A square matrix
q : array_like
Right-hand side square matrix
Returns
-------
x : array_like
Solution to the continuous Lyapunov equation
Notes
-----
Algorithm is based on a direct analytical solution from:
Hamilton, James D. Time Series Analysis, Princeton: Princeton University
Press, 1994. 265. Print.
http://www.scribd.com/doc/20577138/Hamilton-1994-Time-Series-Analysis
"""
lhs = kron(a, a.conj())
lhs = np.eye(lhs.shape[0]) - lhs
x = solve(lhs, q.flatten())
return np.reshape(x, q.shape)
def logm(A,disp=1):
"""Matrix logarithm, inverse of expm."""
# Compute using general funm but then use better error estimator and
# make one step in improving estimate using a rotation matrix.
A = mat(asarray(A))
F, errest = funm(A,log,disp=0)
errtol = 1000*eps
# Only iterate if estimate of error is too large.
if errest >= errtol:
# Use better approximation of error
errest = norm(expm(F)-A,1) / norm(A,1)
if not isfinite(errest) or errest >= errtol:
N,N = A.shape
X,Y = ogrid[1:N+1,1:N+1]
R = mat(orth(eye(N,dtype='d')+X+Y))
F, dontcare = funm(R*A*R.H,log,disp=0)
F = R.H*F*R
if (norm(imag(F),1)<=1000*errtol*norm(F,1)):
F = mat(real(F))
E = mat(expm(F))
temp = mat(solve(E.T,(E-A).T))
F = F - temp.T
errest = norm(expm(F)-A,1) / norm(A,1)
if disp:
if not isfinite(errest) or errest >= errtol:
print "Result may be inaccurate, approximate err =", errest
return F
else:
return F, errest
def expm(A, q=False):
"""Compute the matrix exponential using Pade approximation.
Parameters
----------
A : array, shape(M,M)
Matrix to be exponentiated
Returns
-------
expA : array, shape(M,M)
Matrix exponential of A
References
----------
N. J. Higham,
"The Scaling and Squaring Method for the Matrix Exponential Revisited",
SIAM. J. Matrix Anal. & Appl. 26, 1179 (2005).
"""
if q: warnings.warn("argument q=... in scipy.linalg.expm is deprecated.")
A = asarray(A)
A_L1 = norm(A,1)
n_squarings = 0
if A.dtype == 'float64' or A.dtype == 'complex128':
if A_L1 < 1.495585217958292e-002:
U,V = _pade3(A)
elif A_L1 < 2.539398330063230e-001:
U,V = _pade5(A)
elif A_L1 < 9.504178996162932e-001:
U,V = _pade7(A)
elif A_L1 < 2.097847961257068e+000:
U,V = _pade9(A)
else:
maxnorm = 5.371920351148152
n_squarings = max(0, int(ceil(log2(A_L1 / maxnorm))))
A = A / 2**n_squarings
U,V = _pade13(A)
elif A.dtype == 'float32' or A.dtype == 'complex64':
if A_L1 < 4.258730016922831e-001:
U,V = _pade3(A)
elif A_L1 < 1.880152677804762e+000:
U,V = _pade5(A)
else:
maxnorm = 3.925724783138660
n_squarings = max(0, int(ceil(log2(A_L1 / maxnorm))))
A = A / 2**n_squarings
U,V = _pade7(A)
else:
raise ValueError("invalid type: "+str(A.dtype))
P = U + V # p_m(A) : numerator
Q = -U + V # q_m(A) : denominator
R = solve(Q,P)
# squaring step to undo scaling
for i in range(n_squarings):
R = dot(R,R)
return R
def tanhm(A):
"""Compute the hyperbolic matrix tangent.
This routine uses expm to compute the matrix exponentials.
Parameters
----------
A : array, shape(M,M)
Returns
-------
tanhA : array, shape(M,M)
Hyperbolic matrix tangent of A
"""
A = asarray(A)
if A.dtype.char not in ['F','D']:
return toreal(solve(coshm(A), sinhm(A)))
else:
return solve(coshm(A), sinhm(A))
def tanhm(A):
"""Compute the hyperbolic matrix tangent.
This routine uses expm to compute the matrix exponentials.
Parameters
----------
A : array, shape(M,M)
Returns
-------
tanhA : array, shape(M,M)
Hyperbolic matrix tangent of A
"""
A = asarray(A)
if A.dtype.char not in ['F','D']:
return toreal(solve(coshm(A), sinhm(A)))
else:
return solve(coshm(A), sinhm(A))
def expm(A,q=7):
"""Compute the matrix exponential using Pade approximation.
Parameters
----------
A : array, shape(M,M)
Matrix to be exponentiated
q : integer
Order of the Pade approximation
Returns
-------
expA : array, shape(M,M)
Matrix exponential of A
"""
A = asarray(A)
ss = True
if A.dtype.char in ['f', 'F']:
pass ## A.savespace(1)
else:
pass ## A.savespace(0)
# Scale A so that norm is < 1/2
nA = norm(A,Inf)
if nA==0:
return identity(len(A), A.dtype.char)
from numpy import log2
val = log2(nA)
e = int(floor(val))
j = max(0,e+1)
A = A / 2.0**j
# Pade Approximation for exp(A)
X = A
c = 1.0/2
N = eye(*A.shape) + c*A
D = eye(*A.shape) - c*A
for k in range(2,q+1):
c = c * (q-k+1) / (k*(2*q-k+1))
X = dot(A,X)
cX = c*X
N = N + cX
if not k % 2:
D = D + cX;
else:
D = D - cX;
F = solve(D,N)
for k in range(1,j+1):
F = dot(F,F)
pass ## A.savespace(ss)
return F
def logm(A, disp=True):
"""Compute matrix logarithm.
The matrix logarithm is the inverse of expm: expm(logm(A)) == A
Parameters
----------
A : array, shape(M,M)
Matrix whose logarithm to evaluate
disp : boolean
Print warning if error in the result is estimated large
instead of returning estimated error. (Default: True)
Returns
-------
logA : array, shape(M,M)
Matrix logarithm of A
(if disp == False)
errest : float
1-norm of the estimated error, ||err||_1 / ||A||_1
"""
# Compute using general funm but then use better error estimator and
# make one step in improving estimate using a rotation matrix.
A = mat(asarray(A))
F, errest = funm(A,log,disp=0)
errtol = 1000*eps
# Only iterate if estimate of error is too large.
if errest >= errtol:
# Use better approximation of error
errest = norm(expm(F)-A,1) / norm(A,1)
if not isfinite(errest) or errest >= errtol:
N,N = A.shape
X,Y = ogrid[1:N+1,1:N+1]
R = mat(orth(eye(N,dtype='d')+X+Y))
F, dontcare = funm(R*A*R.H,log,disp=0)
F = R.H*F*R
if (norm(imag(F),1)<=1000*errtol*norm(F,1)):
F = mat(real(F))
E = mat(expm(F))
temp = mat(solve(E.T,(E-A).T))
F = F - temp.T
errest = norm(expm(F)-A,1) / norm(A,1)
if disp:
if not isfinite(errest) or errest >= errtol:
print "Result may be inaccurate, approximate err =", errest
return F
else:
return F, errest
def logm(A, disp=True):
"""Compute matrix logarithm.
The matrix logarithm is the inverse of expm: expm(logm(A)) == A
Parameters
----------
A : array, shape(M,M)
Matrix whose logarithm to evaluate
disp : boolean
Print warning if error in the result is estimated large
instead of returning estimated error. (Default: True)
Returns
-------
logA : array, shape(M,M)
Matrix logarithm of A
(if disp == False)
errest : float
1-norm of the estimated error, ||err||_1 / ||A||_1
"""
# Compute using general funm but then use better error estimator and
# make one step in improving estimate using a rotation matrix.
A = mat(asarray(A))
F, errest = funm(A,log,disp=0)
errtol = 1000*eps
# Only iterate if estimate of error is too large.
if errest >= errtol:
# Use better approximation of error
errest = norm(expm(F)-A,1) / norm(A,1)
if not isfinite(errest) or errest >= errtol:
N,N = A.shape
X,Y = ogrid[1:N+1,1:N+1]
R = mat(orth(eye(N,dtype='d')+X+Y))
F, dontcare = funm(R*A*R.H,log,disp=0)
F = R.H*F*R
if (norm(imag(F),1)<=1000*errtol*norm(F,1)):
F = mat(real(F))
E = mat(expm(F))
temp = mat(solve(E.T,(E-A).T))
F = F - temp.T
errest = norm(expm(F)-A,1) / norm(A,1)
if disp:
if not isfinite(errest) or errest >= errtol:
print "Result may be inaccurate, approximate err =", errest
return F
else:
return F, errest