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352 lines
11 KiB
352 lines
11 KiB
4 years ago
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"""Cholesky decomposition functions."""
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from numpy import asarray_chkfinite, asarray, atleast_2d
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# Local imports
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from .misc import LinAlgError, _datacopied
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from .lapack import get_lapack_funcs
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__all__ = ['cholesky', 'cho_factor', 'cho_solve', 'cholesky_banded',
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'cho_solve_banded']
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def _cholesky(a, lower=False, overwrite_a=False, clean=True,
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check_finite=True):
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"""Common code for cholesky() and cho_factor()."""
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a1 = asarray_chkfinite(a) if check_finite else asarray(a)
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a1 = atleast_2d(a1)
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# Dimension check
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if a1.ndim != 2:
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raise ValueError('Input array needs to be 2D but received '
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'a {}d-array.'.format(a1.ndim))
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# Squareness check
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if a1.shape[0] != a1.shape[1]:
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raise ValueError('Input array is expected to be square but has '
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'the shape: {}.'.format(a1.shape))
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# Quick return for square empty array
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if a1.size == 0:
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return a1.copy(), lower
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overwrite_a = overwrite_a or _datacopied(a1, a)
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potrf, = get_lapack_funcs(('potrf',), (a1,))
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c, info = potrf(a1, lower=lower, overwrite_a=overwrite_a, clean=clean)
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if info > 0:
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raise LinAlgError("%d-th leading minor of the array is not positive "
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"definite" % info)
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if info < 0:
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raise ValueError('LAPACK reported an illegal value in {}-th argument'
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'on entry to "POTRF".'.format(-info))
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return c, lower
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def cholesky(a, lower=False, overwrite_a=False, check_finite=True):
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"""
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Compute the Cholesky decomposition of a matrix.
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Returns the Cholesky decomposition, :math:`A = L L^*` or
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:math:`A = U^* U` of a Hermitian positive-definite matrix A.
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Parameters
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----------
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a : (M, M) array_like
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Matrix to be decomposed
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lower : bool, optional
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Whether to compute the upper- or lower-triangular Cholesky
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factorization. Default is upper-triangular.
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overwrite_a : bool, optional
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Whether to overwrite data in `a` (may improve performance).
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check_finite : bool, optional
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Whether to check that the input matrix contains only finite numbers.
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Disabling may give a performance gain, but may result in problems
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(crashes, non-termination) if the inputs do contain infinities or NaNs.
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Returns
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-------
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c : (M, M) ndarray
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Upper- or lower-triangular Cholesky factor of `a`.
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Raises
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------
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LinAlgError : if decomposition fails.
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Examples
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--------
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>>> from scipy.linalg import cholesky
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>>> a = np.array([[1,-2j],[2j,5]])
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>>> L = cholesky(a, lower=True)
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>>> L
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array([[ 1.+0.j, 0.+0.j],
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[ 0.+2.j, 1.+0.j]])
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>>> L @ L.T.conj()
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array([[ 1.+0.j, 0.-2.j],
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[ 0.+2.j, 5.+0.j]])
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"""
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c, lower = _cholesky(a, lower=lower, overwrite_a=overwrite_a, clean=True,
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check_finite=check_finite)
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return c
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def cho_factor(a, lower=False, overwrite_a=False, check_finite=True):
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"""
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Compute the Cholesky decomposition of a matrix, to use in cho_solve
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Returns a matrix containing the Cholesky decomposition,
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``A = L L*`` or ``A = U* U`` of a Hermitian positive-definite matrix `a`.
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The return value can be directly used as the first parameter to cho_solve.
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.. warning::
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The returned matrix also contains random data in the entries not
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used by the Cholesky decomposition. If you need to zero these
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entries, use the function `cholesky` instead.
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Parameters
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----------
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a : (M, M) array_like
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Matrix to be decomposed
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lower : bool, optional
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Whether to compute the upper or lower triangular Cholesky factorization
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(Default: upper-triangular)
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overwrite_a : bool, optional
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Whether to overwrite data in a (may improve performance)
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check_finite : bool, optional
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Whether to check that the input matrix contains only finite numbers.
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Disabling may give a performance gain, but may result in problems
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(crashes, non-termination) if the inputs do contain infinities or NaNs.
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Returns
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-------
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c : (M, M) ndarray
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Matrix whose upper or lower triangle contains the Cholesky factor
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of `a`. Other parts of the matrix contain random data.
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lower : bool
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Flag indicating whether the factor is in the lower or upper triangle
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Raises
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------
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LinAlgError
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Raised if decomposition fails.
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See also
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--------
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cho_solve : Solve a linear set equations using the Cholesky factorization
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of a matrix.
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Examples
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--------
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>>> from scipy.linalg import cho_factor
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>>> A = np.array([[9, 3, 1, 5], [3, 7, 5, 1], [1, 5, 9, 2], [5, 1, 2, 6]])
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>>> c, low = cho_factor(A)
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>>> c
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array([[3. , 1. , 0.33333333, 1.66666667],
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[3. , 2.44948974, 1.90515869, -0.27216553],
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[1. , 5. , 2.29330749, 0.8559528 ],
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[5. , 1. , 2. , 1.55418563]])
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>>> np.allclose(np.triu(c).T @ np. triu(c) - A, np.zeros((4, 4)))
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True
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"""
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c, lower = _cholesky(a, lower=lower, overwrite_a=overwrite_a, clean=False,
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check_finite=check_finite)
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return c, lower
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def cho_solve(c_and_lower, b, overwrite_b=False, check_finite=True):
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"""Solve the linear equations A x = b, given the Cholesky factorization of A.
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Parameters
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----------
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(c, lower) : tuple, (array, bool)
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Cholesky factorization of a, as given by cho_factor
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b : array
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Right-hand side
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overwrite_b : bool, optional
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Whether to overwrite data in b (may improve performance)
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check_finite : bool, optional
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Whether to check that the input matrices contain only finite numbers.
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Disabling may give a performance gain, but may result in problems
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(crashes, non-termination) if the inputs do contain infinities or NaNs.
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Returns
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-------
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x : array
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The solution to the system A x = b
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See also
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--------
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cho_factor : Cholesky factorization of a matrix
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Examples
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--------
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>>> from scipy.linalg import cho_factor, cho_solve
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>>> A = np.array([[9, 3, 1, 5], [3, 7, 5, 1], [1, 5, 9, 2], [5, 1, 2, 6]])
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>>> c, low = cho_factor(A)
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>>> x = cho_solve((c, low), [1, 1, 1, 1])
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>>> np.allclose(A @ x - [1, 1, 1, 1], np.zeros(4))
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True
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"""
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(c, lower) = c_and_lower
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if check_finite:
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b1 = asarray_chkfinite(b)
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c = asarray_chkfinite(c)
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else:
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b1 = asarray(b)
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c = asarray(c)
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if c.ndim != 2 or c.shape[0] != c.shape[1]:
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raise ValueError("The factored matrix c is not square.")
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if c.shape[1] != b1.shape[0]:
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raise ValueError("incompatible dimensions.")
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overwrite_b = overwrite_b or _datacopied(b1, b)
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potrs, = get_lapack_funcs(('potrs',), (c, b1))
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x, info = potrs(c, b1, lower=lower, overwrite_b=overwrite_b)
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if info != 0:
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raise ValueError('illegal value in %dth argument of internal potrs'
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% -info)
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return x
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def cholesky_banded(ab, overwrite_ab=False, lower=False, check_finite=True):
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"""
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Cholesky decompose a banded Hermitian positive-definite matrix
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The matrix a is stored in ab either in lower-diagonal or upper-
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diagonal ordered form::
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ab[u + i - j, j] == a[i,j] (if upper form; i <= j)
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ab[ i - j, j] == a[i,j] (if lower form; i >= j)
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Example of ab (shape of a is (6,6), u=2)::
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upper form:
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* * a02 a13 a24 a35
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* a01 a12 a23 a34 a45
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a00 a11 a22 a33 a44 a55
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lower form:
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a00 a11 a22 a33 a44 a55
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a10 a21 a32 a43 a54 *
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a20 a31 a42 a53 * *
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Parameters
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----------
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ab : (u + 1, M) array_like
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Banded matrix
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overwrite_ab : bool, optional
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Discard data in ab (may enhance performance)
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lower : bool, optional
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Is the matrix in the lower form. (Default is upper form)
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check_finite : bool, optional
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Whether to check that the input matrix contains only finite numbers.
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Disabling may give a performance gain, but may result in problems
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(crashes, non-termination) if the inputs do contain infinities or NaNs.
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Returns
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-------
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c : (u + 1, M) ndarray
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Cholesky factorization of a, in the same banded format as ab
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See also
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--------
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cho_solve_banded : Solve a linear set equations, given the Cholesky factorization
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of a banded hermitian.
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Examples
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--------
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>>> from scipy.linalg import cholesky_banded
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>>> from numpy import allclose, zeros, diag
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>>> Ab = np.array([[0, 0, 1j, 2, 3j], [0, -1, -2, 3, 4], [9, 8, 7, 6, 9]])
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>>> A = np.diag(Ab[0,2:], k=2) + np.diag(Ab[1,1:], k=1)
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>>> A = A + A.conj().T + np.diag(Ab[2, :])
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>>> c = cholesky_banded(Ab)
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>>> C = np.diag(c[0, 2:], k=2) + np.diag(c[1, 1:], k=1) + np.diag(c[2, :])
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>>> np.allclose(C.conj().T @ C - A, np.zeros((5, 5)))
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True
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"""
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if check_finite:
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ab = asarray_chkfinite(ab)
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else:
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ab = asarray(ab)
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pbtrf, = get_lapack_funcs(('pbtrf',), (ab,))
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c, info = pbtrf(ab, lower=lower, overwrite_ab=overwrite_ab)
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if info > 0:
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raise LinAlgError("%d-th leading minor not positive definite" % info)
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if info < 0:
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raise ValueError('illegal value in %d-th argument of internal pbtrf'
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% -info)
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return c
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def cho_solve_banded(cb_and_lower, b, overwrite_b=False, check_finite=True):
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"""
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Solve the linear equations ``A x = b``, given the Cholesky factorization of
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the banded hermitian ``A``.
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Parameters
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----------
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(cb, lower) : tuple, (ndarray, bool)
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`cb` is the Cholesky factorization of A, as given by cholesky_banded.
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`lower` must be the same value that was given to cholesky_banded.
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b : array_like
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Right-hand side
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overwrite_b : bool, optional
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If True, the function will overwrite the values in `b`.
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check_finite : bool, optional
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Whether to check that the input matrices contain only finite numbers.
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Disabling may give a performance gain, but may result in problems
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(crashes, non-termination) if the inputs do contain infinities or NaNs.
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Returns
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-------
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x : array
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The solution to the system A x = b
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See also
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--------
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cholesky_banded : Cholesky factorization of a banded matrix
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Notes
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-----
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.. versionadded:: 0.8.0
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Examples
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--------
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>>> from scipy.linalg import cholesky_banded, cho_solve_banded
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>>> Ab = np.array([[0, 0, 1j, 2, 3j], [0, -1, -2, 3, 4], [9, 8, 7, 6, 9]])
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>>> A = np.diag(Ab[0,2:], k=2) + np.diag(Ab[1,1:], k=1)
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>>> A = A + A.conj().T + np.diag(Ab[2, :])
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>>> c = cholesky_banded(Ab)
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>>> x = cho_solve_banded((c, False), np.ones(5))
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>>> np.allclose(A @ x - np.ones(5), np.zeros(5))
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True
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"""
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(cb, lower) = cb_and_lower
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if check_finite:
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cb = asarray_chkfinite(cb)
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b = asarray_chkfinite(b)
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else:
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cb = asarray(cb)
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b = asarray(b)
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# Validate shapes.
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if cb.shape[-1] != b.shape[0]:
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raise ValueError("shapes of cb and b are not compatible.")
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pbtrs, = get_lapack_funcs(('pbtrs',), (cb, b))
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x, info = pbtrs(cb, b, lower=lower, overwrite_b=overwrite_b)
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if info > 0:
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raise LinAlgError("%dth leading minor not positive definite" % info)
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if info < 0:
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raise ValueError('illegal value in %dth argument of internal pbtrs'
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% -info)
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return x
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