_matfuncs_sqrtm.py
5.67 KB
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
"""
Matrix square root for general matrices and for upper triangular matrices.
This module exists to avoid cyclic imports.
"""
__all__ = ['sqrtm']
import numpy as np
from scipy._lib._util import _asarray_validated
# Local imports
from .misc import norm
from .lapack import ztrsyl, dtrsyl
from .decomp_schur import schur, rsf2csf
class SqrtmError(np.linalg.LinAlgError):
pass
def _sqrtm_triu(T, blocksize=64):
"""
Matrix square root of an upper triangular matrix.
This is a helper function for `sqrtm` and `logm`.
Parameters
----------
T : (N, N) array_like upper triangular
Matrix whose square root to evaluate
blocksize : int, optional
If the blocksize is not degenerate with respect to the
size of the input array, then use a blocked algorithm. (Default: 64)
Returns
-------
sqrtm : (N, N) ndarray
Value of the sqrt function at `T`
References
----------
.. [1] Edvin Deadman, Nicholas J. Higham, Rui Ralha (2013)
"Blocked Schur Algorithms for Computing the Matrix Square Root,
Lecture Notes in Computer Science, 7782. pp. 171-182.
"""
T_diag = np.diag(T)
keep_it_real = np.isrealobj(T) and np.min(T_diag) >= 0
if not keep_it_real:
T_diag = T_diag.astype(complex)
R = np.diag(np.sqrt(T_diag))
# Compute the number of blocks to use; use at least one block.
n, n = T.shape
nblocks = max(n // blocksize, 1)
# Compute the smaller of the two sizes of blocks that
# we will actually use, and compute the number of large blocks.
bsmall, nlarge = divmod(n, nblocks)
blarge = bsmall + 1
nsmall = nblocks - nlarge
if nsmall * bsmall + nlarge * blarge != n:
raise Exception('internal inconsistency')
# Define the index range covered by each block.
start_stop_pairs = []
start = 0
for count, size in ((nsmall, bsmall), (nlarge, blarge)):
for i in range(count):
start_stop_pairs.append((start, start + size))
start += size
# Within-block interactions.
for start, stop in start_stop_pairs:
for j in range(start, stop):
for i in range(j-1, start-1, -1):
s = 0
if j - i > 1:
s = R[i, i+1:j].dot(R[i+1:j, j])
denom = R[i, i] + R[j, j]
num = T[i, j] - s
if denom != 0:
R[i, j] = (T[i, j] - s) / denom
elif denom == 0 and num == 0:
R[i, j] = 0
else:
raise SqrtmError('failed to find the matrix square root')
# Between-block interactions.
for j in range(nblocks):
jstart, jstop = start_stop_pairs[j]
for i in range(j-1, -1, -1):
istart, istop = start_stop_pairs[i]
S = T[istart:istop, jstart:jstop]
if j - i > 1:
S = S - R[istart:istop, istop:jstart].dot(R[istop:jstart,
jstart:jstop])
# Invoke LAPACK.
# For more details, see the solve_sylvester implemention
# and the fortran dtrsyl and ztrsyl docs.
Rii = R[istart:istop, istart:istop]
Rjj = R[jstart:jstop, jstart:jstop]
if keep_it_real:
x, scale, info = dtrsyl(Rii, Rjj, S)
else:
x, scale, info = ztrsyl(Rii, Rjj, S)
R[istart:istop, jstart:jstop] = x * scale
# Return the matrix square root.
return R
def sqrtm(A, disp=True, blocksize=64):
"""
Matrix square root.
Parameters
----------
A : (N, N) array_like
Matrix whose square root to evaluate
disp : bool, optional
Print warning if error in the result is estimated large
instead of returning estimated error. (Default: True)
blocksize : integer, optional
If the blocksize is not degenerate with respect to the
size of the input array, then use a blocked algorithm. (Default: 64)
Returns
-------
sqrtm : (N, N) ndarray
Value of the sqrt function at `A`
errest : float
(if disp == False)
Frobenius norm of the estimated error, ||err||_F / ||A||_F
References
----------
.. [1] Edvin Deadman, Nicholas J. Higham, Rui Ralha (2013)
"Blocked Schur Algorithms for Computing the Matrix Square Root,
Lecture Notes in Computer Science, 7782. pp. 171-182.
Examples
--------
>>> from scipy.linalg import sqrtm
>>> a = np.array([[1.0, 3.0], [1.0, 4.0]])
>>> r = sqrtm(a)
>>> r
array([[ 0.75592895, 1.13389342],
[ 0.37796447, 1.88982237]])
>>> r.dot(r)
array([[ 1., 3.],
[ 1., 4.]])
"""
A = _asarray_validated(A, check_finite=True, as_inexact=True)
if len(A.shape) != 2:
raise ValueError("Non-matrix input to matrix function.")
if blocksize < 1:
raise ValueError("The blocksize should be at least 1.")
keep_it_real = np.isrealobj(A)
if keep_it_real:
T, Z = schur(A)
if not np.array_equal(T, np.triu(T)):
T, Z = rsf2csf(T, Z)
else:
T, Z = schur(A, output='complex')
failflag = False
try:
R = _sqrtm_triu(T, blocksize=blocksize)
ZH = np.conjugate(Z).T
X = Z.dot(R).dot(ZH)
except SqrtmError:
failflag = True
X = np.empty_like(A)
X.fill(np.nan)
if disp:
if failflag:
print("Failed to find a square root.")
return X
else:
try:
arg2 = norm(X.dot(X) - A, 'fro')**2 / norm(A, 'fro')
except ValueError:
# NaNs in matrix
arg2 = np.inf
return X, arg2