"""Lite version of scipy.linalg. This module is a lite version of the linalg.py module in SciPy which contains high-level Python interface to the LAPACK library. The lite version only accesses the following LAPACK functions: dgesv, zgesv, dgeev, zgeev, dgesdd, zgesdd, dgelsd, zgelsd, dsyevd, zheevd, dgetrf, dpotrf. """ __all__ = ['solve', 'tensorsolve', 'tensorinv', 'inv', 'cholesky', 'eigvals', 'eigvalsh', 'pinv', 'det', 'svd', 'eig', 'eigh','lstsq', 'norm', 'qr', 'LinAlgError' ] from numpy.core import array, asarray, zeros, empty, transpose, \ intc, single, double, csingle, cdouble, inexact, complexfloating, \ newaxis, ravel, all, Inf, dot, add, multiply, identity, sqrt, \ maximum, flatnonzero, diagonal, arange, fastCopyAndTranspose, sum, \ isfinite, size from numpy.lib import triu from numpy.linalg import lapack_lite fortran_int = intc # Error object class LinAlgError(Exception): pass def _makearray(a): new = asarray(a) wrap = getattr(a, "__array_wrap__", new.__array_wrap__) return new, wrap def isComplexType(t): return issubclass(t, complexfloating) _real_types_map = {single : single, double : double, csingle : single, cdouble : double} _complex_types_map = {single : csingle, double : cdouble, csingle : csingle, cdouble : cdouble} def _realType(t, default=double): return _real_types_map.get(t, default) def _complexType(t, default=cdouble): return _complex_types_map.get(t, default) def _linalgRealType(t): """Cast the type t to either double or cdouble.""" return double _complex_types_map = {single : csingle, double : cdouble, csingle : csingle, cdouble : cdouble} def _commonType(*arrays): # in lite version, use higher precision (always double or cdouble) result_type = single is_complex = False for a in arrays: if issubclass(a.dtype.type, inexact): if isComplexType(a.dtype.type): is_complex = True rt = _realType(a.dtype.type, default=None) if rt is None: # unsupported inexact scalar raise TypeError("array type %s is unsupported in linalg" % (a.dtype.name,)) else: rt = double if rt is double: result_type = double if is_complex: t = cdouble result_type = _complex_types_map[result_type] else: t = double return t, result_type def _castCopyAndTranspose(type, *arrays): if len(arrays) == 1: return transpose(arrays[0]).astype(type) else: return [transpose(a).astype(type) for a in arrays] # _fastCopyAndTranpose is an optimized version of _castCopyAndTranspose. # It assumes the input is 2D (as all the calls in here are). _fastCT = fastCopyAndTranspose def _fastCopyAndTranspose(type, *arrays): cast_arrays = () for a in arrays: if a.dtype.type is type: cast_arrays = cast_arrays + (_fastCT(a),) else: cast_arrays = cast_arrays + (_fastCT(a.astype(type)),) if len(cast_arrays) == 1: return cast_arrays[0] else: return cast_arrays def _assertRank2(*arrays): for a in arrays: if len(a.shape) != 2: raise LinAlgError, '%d-dimensional array given. Array must be \ two-dimensional' % len(a.shape) def _assertSquareness(*arrays): for a in arrays: if max(a.shape) != min(a.shape): raise LinAlgError, 'Array must be square' def _assertFinite(*arrays): for a in arrays: if not (isfinite(a).all()): raise LinAlgError, "Array must not contain infs or NaNs" def _assertNonEmpty(*arrays): for a in arrays: if size(a) == 0: raise LinAlgError("Arrays cannot be empty") # Linear equations def tensorsolve(a, b, axes=None): """Solves the tensor equation a x = b for x where it is assumed that all the indices of x are summed over in the product. a can be N-dimensional. x will have the dimensions of A subtracted from the dimensions of b. """ a = asarray(a) b = asarray(b) an = a.ndim if axes is not None: allaxes = range(0, an) for k in axes: allaxes.remove(k) allaxes.insert(an, k) a = a.transpose(allaxes) oldshape = a.shape[-(an-b.ndim):] prod = 1 for k in oldshape: prod *= k a = a.reshape(-1, prod) b = b.ravel() res = solve(a, b) res.shape = oldshape return res def solve(a, b): """Return the solution of a*x = b """ one_eq = len(b.shape) == 1 if one_eq: b = b[:, newaxis] _assertRank2(a, b) _assertSquareness(a) n_eq = a.shape[0] n_rhs = b.shape[1] if n_eq != b.shape[0]: raise LinAlgError, 'Incompatible dimensions' t, result_t = _commonType(a, b) # lapack_routine = _findLapackRoutine('gesv', t) if isComplexType(t): lapack_routine = lapack_lite.zgesv else: lapack_routine = lapack_lite.dgesv a, b = _fastCopyAndTranspose(t, a, b) pivots = zeros(n_eq, fortran_int) results = lapack_routine(n_eq, n_rhs, a, n_eq, pivots, b, n_eq, 0) if results['info'] > 0: raise LinAlgError, 'Singular matrix' if one_eq: return b.ravel().astype(result_t) else: return b.transpose().astype(result_t) def tensorinv(a, ind=2): """Find the 'inverse' of a N-d array ind must be a positive integer specifying how many indices at the front of the array are involved in the inverse sum. the result is ainv with shape a.shape[ind:] + a.shape[:ind] tensordot(ainv, a, ind) is an identity operator and so is tensordot(a, ainv, a.shape-newind) Example: a = rand(4,6,8,3) ainv = tensorinv(a) # ainv.shape is (8,3,4,6) # suppose b has shape (4,6) tensordot(ainv, b) # produces same (8,3)-shaped output as tensorsolve(a, b) a = rand(24,8,3) ainv = tensorinv(a,1) # ainv.shape is (8,3,24) # suppose b has shape (24,) tensordot(ainv, b, 1) # produces the same (8,3)-shaped output as tensorsolve(a, b) """ a = asarray(a) oldshape = a.shape prod = 1 if ind > 0: invshape = oldshape[ind:] + oldshape[:ind] for k in oldshape[ind:]: prod *= k else: raise ValueError, "Invalid ind argument." a = a.reshape(prod, -1) ia = inv(a) return ia.reshape(*invshape) # Matrix inversion def inv(a): a, wrap = _makearray(a) return wrap(solve(a, identity(a.shape[0], dtype=a.dtype))) # Cholesky decomposition def cholesky(a): _assertRank2(a) _assertSquareness(a) t, result_t = _commonType(a) a = _fastCopyAndTranspose(t, a) m = a.shape[0] n = a.shape[1] if isComplexType(t): lapack_routine = lapack_lite.zpotrf else: lapack_routine = lapack_lite.dpotrf results = lapack_routine('L', n, a, m, 0) if results['info'] > 0: raise LinAlgError, 'Matrix is not positive definite - \ Cholesky decomposition cannot be computed' s = triu(a, k=0).transpose() if (s.dtype != result_t): return s.astype(result_t) return s # QR decompostion def qr(a, mode='full'): """cacluates A=QR, Q orthonormal, R upper triangular mode: 'full' --> (Q,R) 'r' --> R 'economic' --> A2 where the diagonal + upper triangle part of A2 is R. This is faster if you only need R """ _assertRank2(a) m, n = a.shape t, result_t = _commonType(a) a = _fastCopyAndTranspose(t, a) mn = min(m, n) tau = zeros((mn,), t) if isComplexType(t): lapack_routine = lapack_lite.zgeqrf routine_name = 'zgeqrf' else: lapack_routine = lapack_lite.dgeqrf routine_name = 'dgeqrf' # calculate optimal size of work data 'work' lwork = 1 work = zeros((lwork,), t) results = lapack_routine(m, n, a, m, tau, work, -1, 0) if results['info'] != 0: raise LinAlgError, '%s returns %d' % (routine_name, results['info']) # do qr decomposition lwork = int(abs(work[0])) work = zeros((lwork,), t) results = lapack_routine(m, n, a, m, tau, work, lwork, 0) if results['info'] != 0: raise LinAlgError, '%s returns %d' % (routine_name, results['info']) # economic mode. Isn't actually economic. if mode[0] == 'e': if t != result_t : a = a.astype(result_t) return a.T # generate r r = _fastCopyAndTranspose(result_t, a[:,:mn]) for i in range(mn): r[i,:i].fill(0.0) # 'r'-mode, that is, calculate only r if mode[0] == 'r': return r # from here on: build orthonormal matrix q from a if isComplexType(t): lapack_routine = lapack_lite.zungqr routine_name = 'zungqr' else: lapack_routine = lapack_lite.dorgqr routine_name = 'dorgqr' # determine optimal lwork lwork = 1 work = zeros((lwork,), t) results = lapack_routine(m, mn, mn, a, m, tau, work, -1, 0) if results['info'] != 0: raise LinAlgError, '%s returns %d' % (routine_name, results['info']) # compute q lwork = int(abs(work[0])) work = zeros((lwork,), t) results = lapack_routine(m, mn, mn, a, m, tau, work, lwork, 0) if results['info'] != 0: raise LinAlgError, '%s returns %d' % (routine_name, results['info']) q = _fastCopyAndTranspose(result_t, a[:mn,:]) return q, r # Eigenvalues def eigvals(a): """Compute the eigenvalues of the general 2-d array a. A simple interface to the LAPACK routines dgeev and zgeev that sets the flags to return only the eigenvalues of general real and complex arrays respectively. :Parameters: a : 2-d array A complex or real 2-d array whose eigenvalues and eigenvectors will be computed. :Returns: w : 1-d double or complex array The eigenvalues. The eigenvalues are not necessarily ordered, nor are they necessarily real for real matrices. :SeeAlso: - eig : eigenvalues and right eigenvectors of general arrays - eigvalsh : eigenvalues of symmetric or Hemitiean arrays. - eigh : eigenvalues and eigenvectors of symmetric/Hermitean arrays. :Notes: ------- The number w is an eigenvalue of a if there exists a vector v satisfying the equation dot(a,v) = w*v. Alternately, if w is a root of the characteristic equation det(a - w[i]*I) = 0, where det is the determinant and I is the identity matrix. """ _assertRank2(a) _assertSquareness(a) _assertFinite(a) t, result_t = _commonType(a) real_t = _linalgRealType(t) a = _fastCopyAndTranspose(t, a) n = a.shape[0] dummy = zeros((1,), t) if isComplexType(t): lapack_routine = lapack_lite.zgeev w = zeros((n,), t) rwork = zeros((n,), real_t) lwork = 1 work = zeros((lwork,), t) results = lapack_routine('N', 'N', n, a, n, w, dummy, 1, dummy, 1, work, -1, rwork, 0) lwork = int(abs(work[0])) work = zeros((lwork,), t) results = lapack_routine('N', 'N', n, a, n, w, dummy, 1, dummy, 1, work, lwork, rwork, 0) else: lapack_routine = lapack_lite.dgeev wr = zeros((n,), t) wi = zeros((n,), t) lwork = 1 work = zeros((lwork,), t) results = lapack_routine('N', 'N', n, a, n, wr, wi, dummy, 1, dummy, 1, work, -1, 0) lwork = int(work[0]) work = zeros((lwork,), t) results = lapack_routine('N', 'N', n, a, n, wr, wi, dummy, 1, dummy, 1, work, lwork, 0) if all(wi == 0.): w = wr result_t = _realType(result_t) else: w = wr+1j*wi result_t = _complexType(result_t) if results['info'] > 0: raise LinAlgError, 'Eigenvalues did not converge' return w.astype(result_t) def eigvalsh(a, UPLO='L'): """Compute the eigenvalues of the symmetric or Hermitean 2-d array a. A simple interface to the LAPACK routines dsyevd and zheevd that sets the flags to return only the eigenvalues of real symmetric and complex Hermetian arrays respectively. :Parameters: a : 2-d array A complex or real 2-d array whose eigenvalues and eigenvectors will be computed. UPLO : string Specifies whether the pertinent array date is taken from the upper or lower triangular part of a. Possible values are 'L', and 'U' for upper and lower respectively. Default is 'L'. :Returns: w : 1-d double array The eigenvalues. The eigenvalues are not necessarily ordered. :SeeAlso: - eigh : eigenvalues and eigenvectors of symmetric/Hermitean arrays. - eigvals : eigenvalues of general real or complex arrays. - eig : eigenvalues and eigenvectors of general real or complex arrays. :Notes: ------- The number w is an eigenvalue of a if there exists a vector v satisfying the equation dot(a,v) = w*v. Alternately, if w is a root of the characteristic equation det(a - w[i]*I) = 0, where det is the determinant and I is the identity matrix. The eigenvalues of real symmetric or complex Hermitean matrices are always real. """ _assertRank2(a) _assertSquareness(a) t, result_t = _commonType(a) real_t = _linalgRealType(t) a = _fastCopyAndTranspose(t, a) n = a.shape[0] liwork = 5*n+3 iwork = zeros((liwork,), fortran_int) if isComplexType(t): lapack_routine = lapack_lite.zheevd w = zeros((n,), real_t) lwork = 1 work = zeros((lwork,), t) lrwork = 1 rwork = zeros((lrwork,), real_t) results = lapack_routine('N', UPLO, n, a, n, w, work, -1, rwork, -1, iwork, liwork, 0) lwork = int(abs(work[0])) work = zeros((lwork,), t) lrwork = int(rwork[0]) rwork = zeros((lrwork,), real_t) results = lapack_routine('N', UPLO, n, a, n, w, work, lwork, rwork, lrwork, iwork, liwork, 0) else: lapack_routine = lapack_lite.dsyevd w = zeros((n,), t) lwork = 1 work = zeros((lwork,), t) results = lapack_routine('N', UPLO, n, a, n, w, work, -1, iwork, liwork, 0) lwork = int(work[0]) work = zeros((lwork,), t) results = lapack_routine('N', UPLO, n, a, n, w, work, lwork, iwork, liwork, 0) if results['info'] > 0: raise LinAlgError, 'Eigenvalues did not converge' return w.astype(result_t) def _convertarray(a): t, result_t = _commonType(a) a = _fastCT(a.astype(t)) return a, t, result_t # Eigenvectors def eig(a): """Eigenvalues and right eigenvectors of a general matrix. A simple interface to the LAPACK routines dgeev and zgeev that compute the eigenvalues and eigenvectors of general real and complex arrays respectively. :Parameters: a : 2-d array A complex or real 2-d array whose eigenvalues and eigenvectors will be computed. :Returns: w : 1-d double or complex array The eigenvalues. The eigenvalues are not necessarily ordered, nor are they necessarily real for real matrices. v : 2-d double or complex double array. The normalized eigenvector corresponding to the eigenvalue w[i] is the column v[:,i]. :SeeAlso: - eigvalsh : eigenvalues of symmetric or Hemitiean arrays. - eig : eigenvalues and right eigenvectors for non-symmetric arrays - eigvals : eigenvalues of non-symmetric array. :Notes: ------- The number w is an eigenvalue of a if there exists a vector v satisfying the equation dot(a,v) = w*v. Alternately, if w is a root of the characteristic equation det(a - w[i]*I) = 0, where det is the determinant and I is the identity matrix. The arrays a, w, and v satisfy the equation dot(a,v[i]) = w[i]*v[:,i]. The array v of eigenvectors may not be of maximum rank, that is, some of the columns may be dependent, although roundoff error may obscure that fact. If the eigenvalues are all different, then theoretically the eigenvectors are independent. Likewise, the matrix of eigenvectors is unitary if the matrix a is normal, i.e., if dot(a, a.H) = dot(a.H, a). The left and right eigenvectors are not necessarily the (Hemitian) transposes of each other. """ a, wrap = _makearray(a) _assertRank2(a) _assertSquareness(a) _assertFinite(a) a, t, result_t = _convertarray(a) # convert to double or cdouble type real_t = _linalgRealType(t) n = a.shape[0] dummy = zeros((1,), t) if isComplexType(t): # Complex routines take different arguments lapack_routine = lapack_lite.zgeev w = zeros((n,), t) v = zeros((n, n), t) lwork = 1 work = zeros((lwork,), t) rwork = zeros((2*n,), real_t) results = lapack_routine('N', 'V', n, a, n, w, dummy, 1, v, n, work, -1, rwork, 0) lwork = int(abs(work[0])) work = zeros((lwork,), t) results = lapack_routine('N', 'V', n, a, n, w, dummy, 1, v, n, work, lwork, rwork, 0) else: lapack_routine = lapack_lite.dgeev wr = zeros((n,), t) wi = zeros((n,), t) vr = zeros((n, n), t) lwork = 1 work = zeros((lwork,), t) results = lapack_routine('N', 'V', n, a, n, wr, wi, dummy, 1, vr, n, work, -1, 0) lwork = int(work[0]) work = zeros((lwork,), t) results = lapack_routine('N', 'V', n, a, n, wr, wi, dummy, 1, vr, n, work, lwork, 0) if all(wi == 0.0): w = wr v = vr result_t = _realType(result_t) else: w = wr+1j*wi v = array(vr, w.dtype) ind = flatnonzero(wi != 0.0) # indices of complex e-vals for i in range(len(ind)/2): v[ind[2*i]] = vr[ind[2*i]] + 1j*vr[ind[2*i+1]] v[ind[2*i+1]] = vr[ind[2*i]] - 1j*vr[ind[2*i+1]] result_t = _complexType(result_t) if results['info'] > 0: raise LinAlgError, 'Eigenvalues did not converge' vt = v.transpose().astype(result_t) return w.astype(result_t), wrap(vt) def eigh(a, UPLO='L'): """Compute eigenvalues for a Hermitian-symmetric matrix. A simple interface to the LAPACK routines dsyevd and zheevd that compute the eigenvalues and eigenvectors of real symmetric and complex Hermitian arrays respectively. :Parameters: a : 2-d array A complex Hermitian or symmetric real 2-d array whose eigenvalues and eigenvectors will be computed. UPLO : string Specifies whether the pertinent array date is taken from the upper or lower triangular part of a. Possible values are 'L', and 'U'. Default is 'L'. :Returns: w : 1-d double array The eigenvalues. The eigenvalues are not necessarily ordered. v : 2-d double or complex double array, depending on input array type The normalized eigenvector corresponding to the eigenvalue w[i] is the column v[:,i]. :SeeAlso: - eigvalsh : eigenvalues of symmetric or Hemitiean arrays. - eig : eigenvalues and right eigenvectors for non-symmetric arrays - eigvals : eigenvalues of non-symmetric array. :Notes: ------- The number w is an eigenvalue of a if there exists a vector v satisfying the equation dot(a,v) = w*v. Alternately, if w is a root of the characteristic equation det(a - w[i]*I) = 0, where det is the determinant and I is the identity matrix. The eigenvalues of real symmetric or complex Hermitean matrices are always real. The array v of eigenvectors is unitary and a, w, and v satisfy the equation dot(a,v[i]) = w[i]*v[:,i]. """ a, wrap = _makearray(a) _assertRank2(a) _assertSquareness(a) t, result_t = _commonType(a) real_t = _linalgRealType(t) a = _fastCopyAndTranspose(t, a) n = a.shape[0] liwork = 5*n+3 iwork = zeros((liwork,), fortran_int) if isComplexType(t): lapack_routine = lapack_lite.zheevd w = zeros((n,), real_t) lwork = 1 work = zeros((lwork,), t) lrwork = 1 rwork = zeros((lrwork,), real_t) results = lapack_routine('V', UPLO, n, a, n, w, work, -1, rwork, -1, iwork, liwork, 0) lwork = int(abs(work[0])) work = zeros((lwork,), t) lrwork = int(rwork[0]) rwork = zeros((lrwork,), real_t) results = lapack_routine('V', UPLO, n, a, n, w, work, lwork, rwork, lrwork, iwork, liwork, 0) else: lapack_routine = lapack_lite.dsyevd w = zeros((n,), t) lwork = 1 work = zeros((lwork,), t) results = lapack_routine('V', UPLO, n, a, n, w, work, -1, iwork, liwork, 0) lwork = int(work[0]) work = zeros((lwork,), t) results = lapack_routine('V', UPLO, n, a, n, w, work, lwork, iwork, liwork, 0) if results['info'] > 0: raise LinAlgError, 'Eigenvalues did not converge' at = a.transpose().astype(result_t) return w.astype(_realType(result_t)), wrap(at) # Singular value decomposition def svd(a, full_matrices=1, compute_uv=1): """Singular Value Decomposition. u,s,vh = svd(a) If a is an M x N array, then the svd produces a factoring of the array into two unitary (orthogonal) 2-d arrays u (MxM) and vh (NxN) and a min(M,N)-length array of singular values such that a == dot(u,dot(S,vh)) where S is an MxN array of zeros whose main diagonal is s. if compute_uv == 0, then return only the singular values if full_matrices == 0, then only part of either u or vh is returned so that it is MxN """ a, wrap = _makearray(a) _assertRank2(a) _assertNonEmpty(a) m, n = a.shape t, result_t = _commonType(a) real_t = _linalgRealType(t) a = _fastCopyAndTranspose(t, a) s = zeros((min(n, m),), real_t) if compute_uv: if full_matrices: nu = m nvt = n option = 'A' else: nu = min(n, m) nvt = min(n, m) option = 'S' u = zeros((nu, m), t) vt = zeros((n, nvt), t) else: option = 'N' nu = 1 nvt = 1 u = empty((1, 1), t) vt = empty((1, 1), t) iwork = zeros((8*min(m, n),), fortran_int) if isComplexType(t): lapack_routine = lapack_lite.zgesdd rwork = zeros((5*min(m, n)*min(m, n) + 5*min(m, n),), real_t) lwork = 1 work = zeros((lwork,), t) results = lapack_routine(option, m, n, a, m, s, u, m, vt, nvt, work, -1, rwork, iwork, 0) lwork = int(abs(work[0])) work = zeros((lwork,), t) results = lapack_routine(option, m, n, a, m, s, u, m, vt, nvt, work, lwork, rwork, iwork, 0) else: lapack_routine = lapack_lite.dgesdd lwork = 1 work = zeros((lwork,), t) results = lapack_routine(option, m, n, a, m, s, u, m, vt, nvt, work, -1, iwork, 0) lwork = int(work[0]) work = zeros((lwork,), t) results = lapack_routine(option, m, n, a, m, s, u, m, vt, nvt, work, lwork, iwork, 0) if results['info'] > 0: raise LinAlgError, 'SVD did not converge' s = s.astype(_realType(result_t)) if compute_uv: u = u.transpose().astype(result_t) vt = vt.transpose().astype(result_t) return wrap(u), s, wrap(vt) else: return s # Generalized inverse def pinv(a, rcond=1e-15 ): """Return the (Moore-Penrose) pseudo-inverse of a 2-d array This method computes the generalized inverse using the singular-value decomposition and all singular values larger than rcond of the largest. """ a, wrap = _makearray(a) _assertNonEmpty(a) a = a.conjugate() u, s, vt = svd(a, 0) m = u.shape[0] n = vt.shape[1] cutoff = rcond*maximum.reduce(s) for i in range(min(n, m)): if s[i] > cutoff: s[i] = 1./s[i] else: s[i] = 0.; return wrap(dot(transpose(vt), multiply(s[:, newaxis],transpose(u)))) # Determinant def det(a): "The determinant of the 2-d array a" a = asarray(a) _assertRank2(a) _assertSquareness(a) t, result_t = _commonType(a) a = _fastCopyAndTranspose(t, a) n = a.shape[0] if isComplexType(t): lapack_routine = lapack_lite.zgetrf else: lapack_routine = lapack_lite.dgetrf pivots = zeros((n,), fortran_int) results = lapack_routine(n, n, a, n, pivots, 0) info = results['info'] if (info < 0): raise TypeError, "Illegal input to Fortran routine" elif (info > 0): return 0.0 sign = add.reduce(pivots != arange(1, n+1)) % 2 return (1.-2.*sign)*multiply.reduce(diagonal(a), axis=-1) # Linear Least Squares def lstsq(a, b, rcond=-1): """returns x,resids,rank,s where x minimizes 2-norm(|b - Ax|) resids is the sum square residuals rank is the rank of A s is the rank of the singular values of A in descending order If b is a matrix then x is also a matrix with corresponding columns. If the rank of A is less than the number of columns of A or greater than the number of rows, then residuals will be returned as an empty array otherwise resids = sum((b-dot(A,x)**2). Singular values less than s[0]*rcond are treated as zero. """ import math a = asarray(a) b, wrap = _makearray(b) one_eq = len(b.shape) == 1 if one_eq: b = b[:, newaxis] _assertRank2(a, b) m = a.shape[0] n = a.shape[1] n_rhs = b.shape[1] ldb = max(n, m) if m != b.shape[0]: raise LinAlgError, 'Incompatible dimensions' t, result_t = _commonType(a, b) real_t = _linalgRealType(t) bstar = zeros((ldb, n_rhs), t) bstar[:b.shape[0],:n_rhs] = b.copy() a, bstar = _fastCopyAndTranspose(t, a, bstar) s = zeros((min(m, n),), real_t) nlvl = max( 0, int( math.log( float(min(m, n))/2. ) ) + 1 ) iwork = zeros((3*min(m, n)*nlvl+11*min(m, n),), fortran_int) if isComplexType(t): lapack_routine = lapack_lite.zgelsd lwork = 1 rwork = zeros((lwork,), real_t) work = zeros((lwork,), t) results = lapack_routine(m, n, n_rhs, a, m, bstar, ldb, s, rcond, 0, work, -1, rwork, iwork, 0) lwork = int(abs(work[0])) rwork = zeros((lwork,), real_t) a_real = zeros((m, n), real_t) bstar_real = zeros((ldb, n_rhs,), real_t) results = lapack_lite.dgelsd(m, n, n_rhs, a_real, m, bstar_real, ldb, s, rcond, 0, rwork, -1, iwork, 0) lrwork = int(rwork[0]) work = zeros((lwork,), t) rwork = zeros((lrwork,), real_t) results = lapack_routine(m, n, n_rhs, a, m, bstar, ldb, s, rcond, 0, work, lwork, rwork, iwork, 0) else: lapack_routine = lapack_lite.dgelsd lwork = 1 work = zeros((lwork,), t) results = lapack_routine(m, n, n_rhs, a, m, bstar, ldb, s, rcond, 0, work, -1, iwork, 0) lwork = int(work[0]) work = zeros((lwork,), t) results = lapack_routine(m, n, n_rhs, a, m, bstar, ldb, s, rcond, 0, work, lwork, iwork, 0) if results['info'] > 0: raise LinAlgError, 'SVD did not converge in Linear Least Squares' resids = array([], t) if one_eq: x = array(ravel(bstar)[:n], dtype=result_t, copy=True) if results['rank'] == n and m > n: resids = array([sum((ravel(bstar)[n:])**2)], dtype=result_t) else: x = array(transpose(bstar)[:n,:], dtype=result_t, copy=True) if results['rank'] == n and m > n: resids = sum((transpose(bstar)[n:,:])**2, axis=0).astype(result_t) st = s[:min(n, m)].copy().astype(_realType(result_t)) return wrap(x), resids, results['rank'], st def norm(x, ord=None): """ norm(x, ord=None) -> n Matrix or vector norm. Inputs: x -- a rank-1 (vector) or rank-2 (matrix) array ord -- the order of the norm. Comments: For arrays of any rank, if ord is None: calculate the square norm (Euclidean norm for vectors, Frobenius norm for matrices) For vectors ord can be any real number including Inf or -Inf. ord = Inf, computes the maximum of the magnitudes ord = -Inf, computes minimum of the magnitudes ord is finite, computes sum(abs(x)**ord,axis=0)**(1.0/ord) For matrices ord can only be one of the following values: ord = 2 computes the largest singular value ord = -2 computes the smallest singular value ord = 1 computes the largest column sum of absolute values ord = -1 computes the smallest column sum of absolute values ord = Inf computes the largest row sum of absolute values ord = -Inf computes the smallest row sum of absolute values ord = 'fro' computes the frobenius norm sqrt(sum(diag(X.H * X),axis=0)) For values ord < 0, the result is, strictly speaking, not a mathematical 'norm', but it may still be useful for numerical purposes. """ x = asarray(x) nd = len(x.shape) if ord is None: # check the default case first and handle it immediately return sqrt(add.reduce((x.conj() * x).ravel().real)) if nd == 1: if ord == Inf: return abs(x).max() elif ord == -Inf: return abs(x).min() elif ord == 1: return abs(x).sum() # special case for speedup elif ord == 2: return sqrt(((x.conj()*x).real).sum()) # special case for speedup else: return ((abs(x)**ord).sum())**(1.0/ord) elif nd == 2: if ord == 2: return svd(x, compute_uv=0).max() elif ord == -2: return svd(x, compute_uv=0).min() elif ord == 1: return abs(x).sum(axis=0).max() elif ord == Inf: return abs(x).sum(axis=1).max() elif ord == -1: return abs(x).sum(axis=0).min() elif ord == -Inf: return abs(x).sum(axis=1).min() elif ord in ['fro','f']: return sqrt(add.reduce((x.conj() * x).real.ravel())) else: raise ValueError, "Invalid norm order for matrices." else: raise ValueError, "Improper number of dimensions to norm."