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.CondaPkg/env/Lib/site-packages/scipy/sparse/linalg/_isolve/__init__.py
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.CondaPkg/env/Lib/site-packages/scipy/sparse/linalg/_isolve/__init__.py
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"Iterative Solvers for Sparse Linear Systems"
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#from info import __doc__
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from .iterative import *
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from .minres import minres
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from .lgmres import lgmres
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from .lsqr import lsqr
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from .lsmr import lsmr
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from ._gcrotmk import gcrotmk
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from .tfqmr import tfqmr
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__all__ = [
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'bicg', 'bicgstab', 'cg', 'cgs', 'gcrotmk', 'gmres',
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'lgmres', 'lsmr', 'lsqr',
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'minres', 'qmr', 'tfqmr'
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]
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from scipy._lib._testutils import PytestTester
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test = PytestTester(__name__)
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del PytestTester
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.CondaPkg/env/Lib/site-packages/scipy/sparse/linalg/_isolve/__pycache__/tfqmr.cpython-312.pyc
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.CondaPkg/env/Lib/site-packages/scipy/sparse/linalg/_isolve/__pycache__/utils.cpython-312.pyc
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.CondaPkg/env/Lib/site-packages/scipy/sparse/linalg/_isolve/_gcrotmk.py
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.CondaPkg/env/Lib/site-packages/scipy/sparse/linalg/_isolve/_gcrotmk.py
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# Copyright (C) 2015, Pauli Virtanen <pav@iki.fi>
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# Distributed under the same license as SciPy.
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import numpy as np
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from numpy.linalg import LinAlgError
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from scipy.linalg import (get_blas_funcs, qr, solve, svd, qr_insert, lstsq)
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from .iterative import _get_atol_rtol
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from scipy.sparse.linalg._isolve.utils import make_system
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__all__ = ['gcrotmk']
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def _fgmres(matvec, v0, m, atol, lpsolve=None, rpsolve=None, cs=(), outer_v=(),
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prepend_outer_v=False):
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"""
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FGMRES Arnoldi process, with optional projection or augmentation
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Parameters
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----------
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matvec : callable
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Operation A*x
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v0 : ndarray
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Initial vector, normalized to nrm2(v0) == 1
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m : int
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Number of GMRES rounds
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atol : float
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Absolute tolerance for early exit
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lpsolve : callable
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Left preconditioner L
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rpsolve : callable
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Right preconditioner R
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cs : list of (ndarray, ndarray)
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Columns of matrices C and U in GCROT
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outer_v : list of ndarrays
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Augmentation vectors in LGMRES
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prepend_outer_v : bool, optional
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Whether augmentation vectors come before or after
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Krylov iterates
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Raises
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------
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LinAlgError
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If nans encountered
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Returns
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-------
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Q, R : ndarray
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QR decomposition of the upper Hessenberg H=QR
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B : ndarray
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Projections corresponding to matrix C
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vs : list of ndarray
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Columns of matrix V
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zs : list of ndarray
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Columns of matrix Z
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y : ndarray
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Solution to ||H y - e_1||_2 = min!
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res : float
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The final (preconditioned) residual norm
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"""
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if lpsolve is None:
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def lpsolve(x):
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return x
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if rpsolve is None:
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def rpsolve(x):
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return x
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axpy, dot, scal, nrm2 = get_blas_funcs(['axpy', 'dot', 'scal', 'nrm2'], (v0,))
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vs = [v0]
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zs = []
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y = None
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res = np.nan
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m = m + len(outer_v)
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# Orthogonal projection coefficients
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B = np.zeros((len(cs), m), dtype=v0.dtype)
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# H is stored in QR factorized form
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Q = np.ones((1, 1), dtype=v0.dtype)
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R = np.zeros((1, 0), dtype=v0.dtype)
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eps = np.finfo(v0.dtype).eps
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breakdown = False
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# FGMRES Arnoldi process
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for j in range(m):
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# L A Z = C B + V H
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if prepend_outer_v and j < len(outer_v):
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z, w = outer_v[j]
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elif prepend_outer_v and j == len(outer_v):
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z = rpsolve(v0)
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w = None
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elif not prepend_outer_v and j >= m - len(outer_v):
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z, w = outer_v[j - (m - len(outer_v))]
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else:
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z = rpsolve(vs[-1])
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w = None
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if w is None:
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w = lpsolve(matvec(z))
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else:
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# w is clobbered below
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w = w.copy()
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w_norm = nrm2(w)
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# GCROT projection: L A -> (1 - C C^H) L A
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# i.e. orthogonalize against C
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for i, c in enumerate(cs):
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alpha = dot(c, w)
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B[i,j] = alpha
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w = axpy(c, w, c.shape[0], -alpha) # w -= alpha*c
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# Orthogonalize against V
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hcur = np.zeros(j+2, dtype=Q.dtype)
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for i, v in enumerate(vs):
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alpha = dot(v, w)
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hcur[i] = alpha
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w = axpy(v, w, v.shape[0], -alpha) # w -= alpha*v
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hcur[i+1] = nrm2(w)
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with np.errstate(over='ignore', divide='ignore'):
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# Careful with denormals
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alpha = 1/hcur[-1]
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if np.isfinite(alpha):
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w = scal(alpha, w)
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if not (hcur[-1] > eps * w_norm):
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# w essentially in the span of previous vectors,
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# or we have nans. Bail out after updating the QR
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# solution.
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breakdown = True
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vs.append(w)
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zs.append(z)
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# Arnoldi LSQ problem
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# Add new column to H=Q@R, padding other columns with zeros
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Q2 = np.zeros((j+2, j+2), dtype=Q.dtype, order='F')
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Q2[:j+1,:j+1] = Q
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Q2[j+1,j+1] = 1
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R2 = np.zeros((j+2, j), dtype=R.dtype, order='F')
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R2[:j+1,:] = R
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Q, R = qr_insert(Q2, R2, hcur, j, which='col',
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overwrite_qru=True, check_finite=False)
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# Transformed least squares problem
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# || Q R y - inner_res_0 * e_1 ||_2 = min!
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# Since R = [R'; 0], solution is y = inner_res_0 (R')^{-1} (Q^H)[:j,0]
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# Residual is immediately known
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res = abs(Q[0,-1])
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# Check for termination
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if res < atol or breakdown:
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break
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if not np.isfinite(R[j,j]):
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# nans encountered, bail out
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raise LinAlgError()
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# -- Get the LSQ problem solution
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# The problem is triangular, but the condition number may be
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# bad (or in case of breakdown the last diagonal entry may be
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# zero), so use lstsq instead of trtrs.
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y, _, _, _, = lstsq(R[:j+1,:j+1], Q[0,:j+1].conj())
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B = B[:,:j+1]
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return Q, R, B, vs, zs, y, res
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def gcrotmk(A, b, x0=None, *, rtol=1e-5, atol=0., maxiter=1000, M=None, callback=None,
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m=20, k=None, CU=None, discard_C=False, truncate='oldest'):
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"""
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Solve a matrix equation using flexible GCROT(m,k) algorithm.
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Parameters
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----------
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A : {sparse matrix, ndarray, LinearOperator}
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The real or complex N-by-N matrix of the linear system.
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Alternatively, ``A`` can be a linear operator which can
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produce ``Ax`` using, e.g.,
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``scipy.sparse.linalg.LinearOperator``.
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b : ndarray
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Right hand side of the linear system. Has shape (N,) or (N,1).
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x0 : ndarray
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Starting guess for the solution.
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rtol, atol : float, optional
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Parameters for the convergence test. For convergence,
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``norm(b - A @ x) <= max(rtol*norm(b), atol)`` should be satisfied.
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The default is ``rtol=1e-5``, the default for ``atol`` is ``0.0``.
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maxiter : int, optional
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Maximum number of iterations. Iteration will stop after maxiter
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steps even if the specified tolerance has not been achieved.
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M : {sparse matrix, ndarray, LinearOperator}, optional
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Preconditioner for A. The preconditioner should approximate the
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inverse of A. gcrotmk is a 'flexible' algorithm and the preconditioner
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can vary from iteration to iteration. Effective preconditioning
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dramatically improves the rate of convergence, which implies that
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fewer iterations are needed to reach a given error tolerance.
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callback : function, optional
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User-supplied function to call after each iteration. It is called
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as callback(xk), where xk is the current solution vector.
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m : int, optional
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Number of inner FGMRES iterations per each outer iteration.
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Default: 20
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k : int, optional
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Number of vectors to carry between inner FGMRES iterations.
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According to [2]_, good values are around m.
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Default: m
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CU : list of tuples, optional
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List of tuples ``(c, u)`` which contain the columns of the matrices
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C and U in the GCROT(m,k) algorithm. For details, see [2]_.
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The list given and vectors contained in it are modified in-place.
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If not given, start from empty matrices. The ``c`` elements in the
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tuples can be ``None``, in which case the vectors are recomputed
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via ``c = A u`` on start and orthogonalized as described in [3]_.
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discard_C : bool, optional
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Discard the C-vectors at the end. Useful if recycling Krylov subspaces
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for different linear systems.
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truncate : {'oldest', 'smallest'}, optional
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Truncation scheme to use. Drop: oldest vectors, or vectors with
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smallest singular values using the scheme discussed in [1,2].
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See [2]_ for detailed comparison.
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Default: 'oldest'
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Returns
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-------
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x : ndarray
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The solution found.
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info : int
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Provides convergence information:
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* 0 : successful exit
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* >0 : convergence to tolerance not achieved, number of iterations
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Examples
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--------
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>>> import numpy as np
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>>> from scipy.sparse import csc_matrix
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>>> from scipy.sparse.linalg import gcrotmk
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>>> R = np.random.randn(5, 5)
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>>> A = csc_matrix(R)
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>>> b = np.random.randn(5)
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>>> x, exit_code = gcrotmk(A, b, atol=1e-5)
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>>> print(exit_code)
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0
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>>> np.allclose(A.dot(x), b)
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True
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References
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----------
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.. [1] E. de Sturler, ''Truncation strategies for optimal Krylov subspace
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methods'', SIAM J. Numer. Anal. 36, 864 (1999).
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.. [2] J.E. Hicken and D.W. Zingg, ''A simplified and flexible variant
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of GCROT for solving nonsymmetric linear systems'',
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SIAM J. Sci. Comput. 32, 172 (2010).
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.. [3] M.L. Parks, E. de Sturler, G. Mackey, D.D. Johnson, S. Maiti,
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''Recycling Krylov subspaces for sequences of linear systems'',
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SIAM J. Sci. Comput. 28, 1651 (2006).
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"""
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A,M,x,b,postprocess = make_system(A,M,x0,b)
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if not np.isfinite(b).all():
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raise ValueError("RHS must contain only finite numbers")
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if truncate not in ('oldest', 'smallest'):
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raise ValueError(f"Invalid value for 'truncate': {truncate!r}")
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matvec = A.matvec
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psolve = M.matvec
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if CU is None:
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CU = []
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if k is None:
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k = m
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axpy, dot, scal = None, None, None
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if x0 is None:
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r = b.copy()
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else:
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r = b - matvec(x)
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axpy, dot, scal, nrm2 = get_blas_funcs(['axpy', 'dot', 'scal', 'nrm2'], (x, r))
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b_norm = nrm2(b)
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# we call this to get the right atol/rtol and raise errors as necessary
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atol, rtol = _get_atol_rtol('gcrotmk', b_norm, atol, rtol)
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if b_norm == 0:
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x = b
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return (postprocess(x), 0)
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if discard_C:
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CU[:] = [(None, u) for c, u in CU]
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# Reorthogonalize old vectors
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if CU:
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# Sort already existing vectors to the front
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CU.sort(key=lambda cu: cu[0] is not None)
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# Fill-in missing ones
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C = np.empty((A.shape[0], len(CU)), dtype=r.dtype, order='F')
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us = []
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j = 0
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while CU:
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# More memory-efficient: throw away old vectors as we go
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c, u = CU.pop(0)
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if c is None:
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c = matvec(u)
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C[:,j] = c
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j += 1
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us.append(u)
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# Orthogonalize
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Q, R, P = qr(C, overwrite_a=True, mode='economic', pivoting=True)
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del C
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# C := Q
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cs = list(Q.T)
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# U := U P R^-1, back-substitution
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new_us = []
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for j in range(len(cs)):
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u = us[P[j]]
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for i in range(j):
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u = axpy(us[P[i]], u, u.shape[0], -R[i,j])
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if abs(R[j,j]) < 1e-12 * abs(R[0,0]):
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# discard rest of the vectors
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break
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u = scal(1.0/R[j,j], u)
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new_us.append(u)
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# Form the new CU lists
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CU[:] = list(zip(cs, new_us))[::-1]
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if CU:
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axpy, dot = get_blas_funcs(['axpy', 'dot'], (r,))
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# Solve first the projection operation with respect to the CU
|
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# vectors. This corresponds to modifying the initial guess to
|
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# be
|
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#
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# x' = x + U y
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# y = argmin_y || b - A (x + U y) ||^2
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#
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# The solution is y = C^H (b - A x)
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for c, u in CU:
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yc = dot(c, r)
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x = axpy(u, x, x.shape[0], yc)
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r = axpy(c, r, r.shape[0], -yc)
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# GCROT main iteration
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for j_outer in range(maxiter):
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# -- callback
|
||||
if callback is not None:
|
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callback(x)
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||||
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||||
beta = nrm2(r)
|
||||
|
||||
# -- check stopping condition
|
||||
beta_tol = max(atol, rtol * b_norm)
|
||||
|
||||
if beta <= beta_tol and (j_outer > 0 or CU):
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# recompute residual to avoid rounding error
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r = b - matvec(x)
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beta = nrm2(r)
|
||||
|
||||
if beta <= beta_tol:
|
||||
j_outer = -1
|
||||
break
|
||||
|
||||
ml = m + max(k - len(CU), 0)
|
||||
|
||||
cs = [c for c, u in CU]
|
||||
|
||||
try:
|
||||
Q, R, B, vs, zs, y, pres = _fgmres(matvec,
|
||||
r/beta,
|
||||
ml,
|
||||
rpsolve=psolve,
|
||||
atol=max(atol, rtol*b_norm)/beta,
|
||||
cs=cs)
|
||||
y *= beta
|
||||
except LinAlgError:
|
||||
# Floating point over/underflow, non-finite result from
|
||||
# matmul etc. -- report failure.
|
||||
break
|
||||
|
||||
#
|
||||
# At this point,
|
||||
#
|
||||
# [A U, A Z] = [C, V] G; G = [ I B ]
|
||||
# [ 0 H ]
|
||||
#
|
||||
# where [C, V] has orthonormal columns, and r = beta v_0. Moreover,
|
||||
#
|
||||
# || b - A (x + Z y + U q) ||_2 = || r - C B y - V H y - C q ||_2 = min!
|
||||
#
|
||||
# from which y = argmin_y || beta e_1 - H y ||_2, and q = -B y
|
||||
#
|
||||
|
||||
#
|
||||
# GCROT(m,k) update
|
||||
#
|
||||
|
||||
# Define new outer vectors
|
||||
|
||||
# ux := (Z - U B) y
|
||||
ux = zs[0]*y[0]
|
||||
for z, yc in zip(zs[1:], y[1:]):
|
||||
ux = axpy(z, ux, ux.shape[0], yc) # ux += z*yc
|
||||
by = B.dot(y)
|
||||
for cu, byc in zip(CU, by):
|
||||
c, u = cu
|
||||
ux = axpy(u, ux, ux.shape[0], -byc) # ux -= u*byc
|
||||
|
||||
# cx := V H y
|
||||
hy = Q.dot(R.dot(y))
|
||||
cx = vs[0] * hy[0]
|
||||
for v, hyc in zip(vs[1:], hy[1:]):
|
||||
cx = axpy(v, cx, cx.shape[0], hyc) # cx += v*hyc
|
||||
|
||||
# Normalize cx, maintaining cx = A ux
|
||||
# This new cx is orthogonal to the previous C, by construction
|
||||
try:
|
||||
alpha = 1/nrm2(cx)
|
||||
if not np.isfinite(alpha):
|
||||
raise FloatingPointError()
|
||||
except (FloatingPointError, ZeroDivisionError):
|
||||
# Cannot update, so skip it
|
||||
continue
|
||||
|
||||
cx = scal(alpha, cx)
|
||||
ux = scal(alpha, ux)
|
||||
|
||||
# Update residual and solution
|
||||
gamma = dot(cx, r)
|
||||
r = axpy(cx, r, r.shape[0], -gamma) # r -= gamma*cx
|
||||
x = axpy(ux, x, x.shape[0], gamma) # x += gamma*ux
|
||||
|
||||
# Truncate CU
|
||||
if truncate == 'oldest':
|
||||
while len(CU) >= k and CU:
|
||||
del CU[0]
|
||||
elif truncate == 'smallest':
|
||||
if len(CU) >= k and CU:
|
||||
# cf. [1,2]
|
||||
D = solve(R[:-1,:].T, B.T).T
|
||||
W, sigma, V = svd(D)
|
||||
|
||||
# C := C W[:,:k-1], U := U W[:,:k-1]
|
||||
new_CU = []
|
||||
for j, w in enumerate(W[:,:k-1].T):
|
||||
c, u = CU[0]
|
||||
c = c * w[0]
|
||||
u = u * w[0]
|
||||
for cup, wp in zip(CU[1:], w[1:]):
|
||||
cp, up = cup
|
||||
c = axpy(cp, c, c.shape[0], wp)
|
||||
u = axpy(up, u, u.shape[0], wp)
|
||||
|
||||
# Reorthogonalize at the same time; not necessary
|
||||
# in exact arithmetic, but floating point error
|
||||
# tends to accumulate here
|
||||
for cp, up in new_CU:
|
||||
alpha = dot(cp, c)
|
||||
c = axpy(cp, c, c.shape[0], -alpha)
|
||||
u = axpy(up, u, u.shape[0], -alpha)
|
||||
alpha = nrm2(c)
|
||||
c = scal(1.0/alpha, c)
|
||||
u = scal(1.0/alpha, u)
|
||||
|
||||
new_CU.append((c, u))
|
||||
CU[:] = new_CU
|
||||
|
||||
# Add new vector to CU
|
||||
CU.append((cx, ux))
|
||||
|
||||
# Include the solution vector to the span
|
||||
CU.append((None, x.copy()))
|
||||
if discard_C:
|
||||
CU[:] = [(None, uz) for cz, uz in CU]
|
||||
|
||||
return postprocess(x), j_outer + 1
|
||||
1000
.CondaPkg/env/Lib/site-packages/scipy/sparse/linalg/_isolve/iterative.py
vendored
Normal file
1000
.CondaPkg/env/Lib/site-packages/scipy/sparse/linalg/_isolve/iterative.py
vendored
Normal file
File diff suppressed because it is too large
Load Diff
230
.CondaPkg/env/Lib/site-packages/scipy/sparse/linalg/_isolve/lgmres.py
vendored
Normal file
230
.CondaPkg/env/Lib/site-packages/scipy/sparse/linalg/_isolve/lgmres.py
vendored
Normal file
@@ -0,0 +1,230 @@
|
||||
# Copyright (C) 2009, Pauli Virtanen <pav@iki.fi>
|
||||
# Distributed under the same license as SciPy.
|
||||
|
||||
import numpy as np
|
||||
from numpy.linalg import LinAlgError
|
||||
from scipy.linalg import get_blas_funcs
|
||||
from .iterative import _get_atol_rtol
|
||||
from .utils import make_system
|
||||
|
||||
from ._gcrotmk import _fgmres
|
||||
|
||||
__all__ = ['lgmres']
|
||||
|
||||
|
||||
def lgmres(A, b, x0=None, *, rtol=1e-5, atol=0., maxiter=1000, M=None, callback=None,
|
||||
inner_m=30, outer_k=3, outer_v=None, store_outer_Av=True,
|
||||
prepend_outer_v=False):
|
||||
"""
|
||||
Solve a matrix equation using the LGMRES algorithm.
|
||||
|
||||
The LGMRES algorithm [1]_ [2]_ is designed to avoid some problems
|
||||
in the convergence in restarted GMRES, and often converges in fewer
|
||||
iterations.
|
||||
|
||||
Parameters
|
||||
----------
|
||||
A : {sparse matrix, ndarray, LinearOperator}
|
||||
The real or complex N-by-N matrix of the linear system.
|
||||
Alternatively, ``A`` can be a linear operator which can
|
||||
produce ``Ax`` using, e.g.,
|
||||
``scipy.sparse.linalg.LinearOperator``.
|
||||
b : ndarray
|
||||
Right hand side of the linear system. Has shape (N,) or (N,1).
|
||||
x0 : ndarray
|
||||
Starting guess for the solution.
|
||||
rtol, atol : float, optional
|
||||
Parameters for the convergence test. For convergence,
|
||||
``norm(b - A @ x) <= max(rtol*norm(b), atol)`` should be satisfied.
|
||||
The default is ``rtol=1e-5``, the default for ``atol`` is ``0.0``.
|
||||
maxiter : int, optional
|
||||
Maximum number of iterations. Iteration will stop after maxiter
|
||||
steps even if the specified tolerance has not been achieved.
|
||||
M : {sparse matrix, ndarray, LinearOperator}, optional
|
||||
Preconditioner for A. The preconditioner should approximate the
|
||||
inverse of A. Effective preconditioning dramatically improves the
|
||||
rate of convergence, which implies that fewer iterations are needed
|
||||
to reach a given error tolerance.
|
||||
callback : function, optional
|
||||
User-supplied function to call after each iteration. It is called
|
||||
as callback(xk), where xk is the current solution vector.
|
||||
inner_m : int, optional
|
||||
Number of inner GMRES iterations per each outer iteration.
|
||||
outer_k : int, optional
|
||||
Number of vectors to carry between inner GMRES iterations.
|
||||
According to [1]_, good values are in the range of 1...3.
|
||||
However, note that if you want to use the additional vectors to
|
||||
accelerate solving multiple similar problems, larger values may
|
||||
be beneficial.
|
||||
outer_v : list of tuples, optional
|
||||
List containing tuples ``(v, Av)`` of vectors and corresponding
|
||||
matrix-vector products, used to augment the Krylov subspace, and
|
||||
carried between inner GMRES iterations. The element ``Av`` can
|
||||
be `None` if the matrix-vector product should be re-evaluated.
|
||||
This parameter is modified in-place by `lgmres`, and can be used
|
||||
to pass "guess" vectors in and out of the algorithm when solving
|
||||
similar problems.
|
||||
store_outer_Av : bool, optional
|
||||
Whether LGMRES should store also A@v in addition to vectors `v`
|
||||
in the `outer_v` list. Default is True.
|
||||
prepend_outer_v : bool, optional
|
||||
Whether to put outer_v augmentation vectors before Krylov iterates.
|
||||
In standard LGMRES, prepend_outer_v=False.
|
||||
|
||||
Returns
|
||||
-------
|
||||
x : ndarray
|
||||
The converged solution.
|
||||
info : int
|
||||
Provides convergence information:
|
||||
|
||||
- 0 : successful exit
|
||||
- >0 : convergence to tolerance not achieved, number of iterations
|
||||
- <0 : illegal input or breakdown
|
||||
|
||||
Notes
|
||||
-----
|
||||
The LGMRES algorithm [1]_ [2]_ is designed to avoid the
|
||||
slowing of convergence in restarted GMRES, due to alternating
|
||||
residual vectors. Typically, it often outperforms GMRES(m) of
|
||||
comparable memory requirements by some measure, or at least is not
|
||||
much worse.
|
||||
|
||||
Another advantage in this algorithm is that you can supply it with
|
||||
'guess' vectors in the `outer_v` argument that augment the Krylov
|
||||
subspace. If the solution lies close to the span of these vectors,
|
||||
the algorithm converges faster. This can be useful if several very
|
||||
similar matrices need to be inverted one after another, such as in
|
||||
Newton-Krylov iteration where the Jacobian matrix often changes
|
||||
little in the nonlinear steps.
|
||||
|
||||
References
|
||||
----------
|
||||
.. [1] A.H. Baker and E.R. Jessup and T. Manteuffel, "A Technique for
|
||||
Accelerating the Convergence of Restarted GMRES", SIAM J. Matrix
|
||||
Anal. Appl. 26, 962 (2005).
|
||||
.. [2] A.H. Baker, "On Improving the Performance of the Linear Solver
|
||||
restarted GMRES", PhD thesis, University of Colorado (2003).
|
||||
|
||||
Examples
|
||||
--------
|
||||
>>> import numpy as np
|
||||
>>> from scipy.sparse import csc_matrix
|
||||
>>> from scipy.sparse.linalg import lgmres
|
||||
>>> A = csc_matrix([[3, 2, 0], [1, -1, 0], [0, 5, 1]], dtype=float)
|
||||
>>> b = np.array([2, 4, -1], dtype=float)
|
||||
>>> x, exitCode = lgmres(A, b, atol=1e-5)
|
||||
>>> print(exitCode) # 0 indicates successful convergence
|
||||
0
|
||||
>>> np.allclose(A.dot(x), b)
|
||||
True
|
||||
"""
|
||||
A,M,x,b,postprocess = make_system(A,M,x0,b)
|
||||
|
||||
if not np.isfinite(b).all():
|
||||
raise ValueError("RHS must contain only finite numbers")
|
||||
|
||||
matvec = A.matvec
|
||||
psolve = M.matvec
|
||||
|
||||
if outer_v is None:
|
||||
outer_v = []
|
||||
|
||||
axpy, dot, scal = None, None, None
|
||||
nrm2 = get_blas_funcs('nrm2', [b])
|
||||
|
||||
b_norm = nrm2(b)
|
||||
|
||||
# we call this to get the right atol/rtol and raise errors as necessary
|
||||
atol, rtol = _get_atol_rtol('lgmres', b_norm, atol, rtol)
|
||||
|
||||
if b_norm == 0:
|
||||
x = b
|
||||
return (postprocess(x), 0)
|
||||
|
||||
ptol_max_factor = 1.0
|
||||
|
||||
for k_outer in range(maxiter):
|
||||
r_outer = matvec(x) - b
|
||||
|
||||
# -- callback
|
||||
if callback is not None:
|
||||
callback(x)
|
||||
|
||||
# -- determine input type routines
|
||||
if axpy is None:
|
||||
if np.iscomplexobj(r_outer) and not np.iscomplexobj(x):
|
||||
x = x.astype(r_outer.dtype)
|
||||
axpy, dot, scal, nrm2 = get_blas_funcs(['axpy', 'dot', 'scal', 'nrm2'],
|
||||
(x, r_outer))
|
||||
|
||||
# -- check stopping condition
|
||||
r_norm = nrm2(r_outer)
|
||||
if r_norm <= max(atol, rtol * b_norm):
|
||||
break
|
||||
|
||||
# -- inner LGMRES iteration
|
||||
v0 = -psolve(r_outer)
|
||||
inner_res_0 = nrm2(v0)
|
||||
|
||||
if inner_res_0 == 0:
|
||||
rnorm = nrm2(r_outer)
|
||||
raise RuntimeError("Preconditioner returned a zero vector; "
|
||||
"|v| ~ %.1g, |M v| = 0" % rnorm)
|
||||
|
||||
v0 = scal(1.0/inner_res_0, v0)
|
||||
|
||||
ptol = min(ptol_max_factor, max(atol, rtol*b_norm)/r_norm)
|
||||
|
||||
try:
|
||||
Q, R, B, vs, zs, y, pres = _fgmres(matvec,
|
||||
v0,
|
||||
inner_m,
|
||||
lpsolve=psolve,
|
||||
atol=ptol,
|
||||
outer_v=outer_v,
|
||||
prepend_outer_v=prepend_outer_v)
|
||||
y *= inner_res_0
|
||||
if not np.isfinite(y).all():
|
||||
# Overflow etc. in computation. There's no way to
|
||||
# recover from this, so we have to bail out.
|
||||
raise LinAlgError()
|
||||
except LinAlgError:
|
||||
# Floating point over/underflow, non-finite result from
|
||||
# matmul etc. -- report failure.
|
||||
return postprocess(x), k_outer + 1
|
||||
|
||||
# Inner loop tolerance control
|
||||
if pres > ptol:
|
||||
ptol_max_factor = min(1.0, 1.5 * ptol_max_factor)
|
||||
else:
|
||||
ptol_max_factor = max(1e-16, 0.25 * ptol_max_factor)
|
||||
|
||||
# -- GMRES terminated: eval solution
|
||||
dx = zs[0]*y[0]
|
||||
for w, yc in zip(zs[1:], y[1:]):
|
||||
dx = axpy(w, dx, dx.shape[0], yc) # dx += w*yc
|
||||
|
||||
# -- Store LGMRES augmentation vectors
|
||||
nx = nrm2(dx)
|
||||
if nx > 0:
|
||||
if store_outer_Av:
|
||||
q = Q.dot(R.dot(y))
|
||||
ax = vs[0]*q[0]
|
||||
for v, qc in zip(vs[1:], q[1:]):
|
||||
ax = axpy(v, ax, ax.shape[0], qc)
|
||||
outer_v.append((dx/nx, ax/nx))
|
||||
else:
|
||||
outer_v.append((dx/nx, None))
|
||||
|
||||
# -- Retain only a finite number of augmentation vectors
|
||||
while len(outer_v) > outer_k:
|
||||
del outer_v[0]
|
||||
|
||||
# -- Apply step
|
||||
x += dx
|
||||
else:
|
||||
# didn't converge ...
|
||||
return postprocess(x), maxiter
|
||||
|
||||
return postprocess(x), 0
|
||||
486
.CondaPkg/env/Lib/site-packages/scipy/sparse/linalg/_isolve/lsmr.py
vendored
Normal file
486
.CondaPkg/env/Lib/site-packages/scipy/sparse/linalg/_isolve/lsmr.py
vendored
Normal file
@@ -0,0 +1,486 @@
|
||||
"""
|
||||
Copyright (C) 2010 David Fong and Michael Saunders
|
||||
|
||||
LSMR uses an iterative method.
|
||||
|
||||
07 Jun 2010: Documentation updated
|
||||
03 Jun 2010: First release version in Python
|
||||
|
||||
David Chin-lung Fong clfong@stanford.edu
|
||||
Institute for Computational and Mathematical Engineering
|
||||
Stanford University
|
||||
|
||||
Michael Saunders saunders@stanford.edu
|
||||
Systems Optimization Laboratory
|
||||
Dept of MS&E, Stanford University.
|
||||
|
||||
"""
|
||||
|
||||
__all__ = ['lsmr']
|
||||
|
||||
from numpy import zeros, inf, atleast_1d, result_type
|
||||
from numpy.linalg import norm
|
||||
from math import sqrt
|
||||
from scipy.sparse.linalg._interface import aslinearoperator
|
||||
|
||||
from scipy.sparse.linalg._isolve.lsqr import _sym_ortho
|
||||
|
||||
|
||||
def lsmr(A, b, damp=0.0, atol=1e-6, btol=1e-6, conlim=1e8,
|
||||
maxiter=None, show=False, x0=None):
|
||||
"""Iterative solver for least-squares problems.
|
||||
|
||||
lsmr solves the system of linear equations ``Ax = b``. If the system
|
||||
is inconsistent, it solves the least-squares problem ``min ||b - Ax||_2``.
|
||||
``A`` is a rectangular matrix of dimension m-by-n, where all cases are
|
||||
allowed: m = n, m > n, or m < n. ``b`` is a vector of length m.
|
||||
The matrix A may be dense or sparse (usually sparse).
|
||||
|
||||
Parameters
|
||||
----------
|
||||
A : {sparse matrix, ndarray, LinearOperator}
|
||||
Matrix A in the linear system.
|
||||
Alternatively, ``A`` can be a linear operator which can
|
||||
produce ``Ax`` and ``A^H x`` using, e.g.,
|
||||
``scipy.sparse.linalg.LinearOperator``.
|
||||
b : array_like, shape (m,)
|
||||
Vector ``b`` in the linear system.
|
||||
damp : float
|
||||
Damping factor for regularized least-squares. `lsmr` solves
|
||||
the regularized least-squares problem::
|
||||
|
||||
min ||(b) - ( A )x||
|
||||
||(0) (damp*I) ||_2
|
||||
|
||||
where damp is a scalar. If damp is None or 0, the system
|
||||
is solved without regularization. Default is 0.
|
||||
atol, btol : float, optional
|
||||
Stopping tolerances. `lsmr` continues iterations until a
|
||||
certain backward error estimate is smaller than some quantity
|
||||
depending on atol and btol. Let ``r = b - Ax`` be the
|
||||
residual vector for the current approximate solution ``x``.
|
||||
If ``Ax = b`` seems to be consistent, `lsmr` terminates
|
||||
when ``norm(r) <= atol * norm(A) * norm(x) + btol * norm(b)``.
|
||||
Otherwise, `lsmr` terminates when ``norm(A^H r) <=
|
||||
atol * norm(A) * norm(r)``. If both tolerances are 1.0e-6 (default),
|
||||
the final ``norm(r)`` should be accurate to about 6
|
||||
digits. (The final ``x`` will usually have fewer correct digits,
|
||||
depending on ``cond(A)`` and the size of LAMBDA.) If `atol`
|
||||
or `btol` is None, a default value of 1.0e-6 will be used.
|
||||
Ideally, they should be estimates of the relative error in the
|
||||
entries of ``A`` and ``b`` respectively. For example, if the entries
|
||||
of ``A`` have 7 correct digits, set ``atol = 1e-7``. This prevents
|
||||
the algorithm from doing unnecessary work beyond the
|
||||
uncertainty of the input data.
|
||||
conlim : float, optional
|
||||
`lsmr` terminates if an estimate of ``cond(A)`` exceeds
|
||||
`conlim`. For compatible systems ``Ax = b``, conlim could be
|
||||
as large as 1.0e+12 (say). For least-squares problems,
|
||||
`conlim` should be less than 1.0e+8. If `conlim` is None, the
|
||||
default value is 1e+8. Maximum precision can be obtained by
|
||||
setting ``atol = btol = conlim = 0``, but the number of
|
||||
iterations may then be excessive. Default is 1e8.
|
||||
maxiter : int, optional
|
||||
`lsmr` terminates if the number of iterations reaches
|
||||
`maxiter`. The default is ``maxiter = min(m, n)``. For
|
||||
ill-conditioned systems, a larger value of `maxiter` may be
|
||||
needed. Default is False.
|
||||
show : bool, optional
|
||||
Print iterations logs if ``show=True``. Default is False.
|
||||
x0 : array_like, shape (n,), optional
|
||||
Initial guess of ``x``, if None zeros are used. Default is None.
|
||||
|
||||
.. versionadded:: 1.0.0
|
||||
|
||||
Returns
|
||||
-------
|
||||
x : ndarray of float
|
||||
Least-square solution returned.
|
||||
istop : int
|
||||
istop gives the reason for stopping::
|
||||
|
||||
istop = 0 means x=0 is a solution. If x0 was given, then x=x0 is a
|
||||
solution.
|
||||
= 1 means x is an approximate solution to A@x = B,
|
||||
according to atol and btol.
|
||||
= 2 means x approximately solves the least-squares problem
|
||||
according to atol.
|
||||
= 3 means COND(A) seems to be greater than CONLIM.
|
||||
= 4 is the same as 1 with atol = btol = eps (machine
|
||||
precision)
|
||||
= 5 is the same as 2 with atol = eps.
|
||||
= 6 is the same as 3 with CONLIM = 1/eps.
|
||||
= 7 means ITN reached maxiter before the other stopping
|
||||
conditions were satisfied.
|
||||
|
||||
itn : int
|
||||
Number of iterations used.
|
||||
normr : float
|
||||
``norm(b-Ax)``
|
||||
normar : float
|
||||
``norm(A^H (b - Ax))``
|
||||
norma : float
|
||||
``norm(A)``
|
||||
conda : float
|
||||
Condition number of A.
|
||||
normx : float
|
||||
``norm(x)``
|
||||
|
||||
Notes
|
||||
-----
|
||||
|
||||
.. versionadded:: 0.11.0
|
||||
|
||||
References
|
||||
----------
|
||||
.. [1] D. C.-L. Fong and M. A. Saunders,
|
||||
"LSMR: An iterative algorithm for sparse least-squares problems",
|
||||
SIAM J. Sci. Comput., vol. 33, pp. 2950-2971, 2011.
|
||||
:arxiv:`1006.0758`
|
||||
.. [2] LSMR Software, https://web.stanford.edu/group/SOL/software/lsmr/
|
||||
|
||||
Examples
|
||||
--------
|
||||
>>> import numpy as np
|
||||
>>> from scipy.sparse import csc_matrix
|
||||
>>> from scipy.sparse.linalg import lsmr
|
||||
>>> A = csc_matrix([[1., 0.], [1., 1.], [0., 1.]], dtype=float)
|
||||
|
||||
The first example has the trivial solution ``[0, 0]``
|
||||
|
||||
>>> b = np.array([0., 0., 0.], dtype=float)
|
||||
>>> x, istop, itn, normr = lsmr(A, b)[:4]
|
||||
>>> istop
|
||||
0
|
||||
>>> x
|
||||
array([0., 0.])
|
||||
|
||||
The stopping code `istop=0` returned indicates that a vector of zeros was
|
||||
found as a solution. The returned solution `x` indeed contains
|
||||
``[0., 0.]``. The next example has a non-trivial solution:
|
||||
|
||||
>>> b = np.array([1., 0., -1.], dtype=float)
|
||||
>>> x, istop, itn, normr = lsmr(A, b)[:4]
|
||||
>>> istop
|
||||
1
|
||||
>>> x
|
||||
array([ 1., -1.])
|
||||
>>> itn
|
||||
1
|
||||
>>> normr
|
||||
4.440892098500627e-16
|
||||
|
||||
As indicated by `istop=1`, `lsmr` found a solution obeying the tolerance
|
||||
limits. The given solution ``[1., -1.]`` obviously solves the equation. The
|
||||
remaining return values include information about the number of iterations
|
||||
(`itn=1`) and the remaining difference of left and right side of the solved
|
||||
equation.
|
||||
The final example demonstrates the behavior in the case where there is no
|
||||
solution for the equation:
|
||||
|
||||
>>> b = np.array([1., 0.01, -1.], dtype=float)
|
||||
>>> x, istop, itn, normr = lsmr(A, b)[:4]
|
||||
>>> istop
|
||||
2
|
||||
>>> x
|
||||
array([ 1.00333333, -0.99666667])
|
||||
>>> A.dot(x)-b
|
||||
array([ 0.00333333, -0.00333333, 0.00333333])
|
||||
>>> normr
|
||||
0.005773502691896255
|
||||
|
||||
`istop` indicates that the system is inconsistent and thus `x` is rather an
|
||||
approximate solution to the corresponding least-squares problem. `normr`
|
||||
contains the minimal distance that was found.
|
||||
"""
|
||||
|
||||
A = aslinearoperator(A)
|
||||
b = atleast_1d(b)
|
||||
if b.ndim > 1:
|
||||
b = b.squeeze()
|
||||
|
||||
msg = ('The exact solution is x = 0, or x = x0, if x0 was given ',
|
||||
'Ax - b is small enough, given atol, btol ',
|
||||
'The least-squares solution is good enough, given atol ',
|
||||
'The estimate of cond(Abar) has exceeded conlim ',
|
||||
'Ax - b is small enough for this machine ',
|
||||
'The least-squares solution is good enough for this machine',
|
||||
'Cond(Abar) seems to be too large for this machine ',
|
||||
'The iteration limit has been reached ')
|
||||
|
||||
hdg1 = ' itn x(1) norm r norm Ar'
|
||||
hdg2 = ' compatible LS norm A cond A'
|
||||
pfreq = 20 # print frequency (for repeating the heading)
|
||||
pcount = 0 # print counter
|
||||
|
||||
m, n = A.shape
|
||||
|
||||
# stores the num of singular values
|
||||
minDim = min([m, n])
|
||||
|
||||
if maxiter is None:
|
||||
maxiter = minDim
|
||||
|
||||
if x0 is None:
|
||||
dtype = result_type(A, b, float)
|
||||
else:
|
||||
dtype = result_type(A, b, x0, float)
|
||||
|
||||
if show:
|
||||
print(' ')
|
||||
print('LSMR Least-squares solution of Ax = b\n')
|
||||
print(f'The matrix A has {m} rows and {n} columns')
|
||||
print('damp = %20.14e\n' % (damp))
|
||||
print(f'atol = {atol:8.2e} conlim = {conlim:8.2e}\n')
|
||||
print(f'btol = {btol:8.2e} maxiter = {maxiter:8g}\n')
|
||||
|
||||
u = b
|
||||
normb = norm(b)
|
||||
if x0 is None:
|
||||
x = zeros(n, dtype)
|
||||
beta = normb.copy()
|
||||
else:
|
||||
x = atleast_1d(x0.copy())
|
||||
u = u - A.matvec(x)
|
||||
beta = norm(u)
|
||||
|
||||
if beta > 0:
|
||||
u = (1 / beta) * u
|
||||
v = A.rmatvec(u)
|
||||
alpha = norm(v)
|
||||
else:
|
||||
v = zeros(n, dtype)
|
||||
alpha = 0
|
||||
|
||||
if alpha > 0:
|
||||
v = (1 / alpha) * v
|
||||
|
||||
# Initialize variables for 1st iteration.
|
||||
|
||||
itn = 0
|
||||
zetabar = alpha * beta
|
||||
alphabar = alpha
|
||||
rho = 1
|
||||
rhobar = 1
|
||||
cbar = 1
|
||||
sbar = 0
|
||||
|
||||
h = v.copy()
|
||||
hbar = zeros(n, dtype)
|
||||
|
||||
# Initialize variables for estimation of ||r||.
|
||||
|
||||
betadd = beta
|
||||
betad = 0
|
||||
rhodold = 1
|
||||
tautildeold = 0
|
||||
thetatilde = 0
|
||||
zeta = 0
|
||||
d = 0
|
||||
|
||||
# Initialize variables for estimation of ||A|| and cond(A)
|
||||
|
||||
normA2 = alpha * alpha
|
||||
maxrbar = 0
|
||||
minrbar = 1e+100
|
||||
normA = sqrt(normA2)
|
||||
condA = 1
|
||||
normx = 0
|
||||
|
||||
# Items for use in stopping rules, normb set earlier
|
||||
istop = 0
|
||||
ctol = 0
|
||||
if conlim > 0:
|
||||
ctol = 1 / conlim
|
||||
normr = beta
|
||||
|
||||
# Reverse the order here from the original matlab code because
|
||||
# there was an error on return when arnorm==0
|
||||
normar = alpha * beta
|
||||
if normar == 0:
|
||||
if show:
|
||||
print(msg[0])
|
||||
return x, istop, itn, normr, normar, normA, condA, normx
|
||||
|
||||
if normb == 0:
|
||||
x[()] = 0
|
||||
return x, istop, itn, normr, normar, normA, condA, normx
|
||||
|
||||
if show:
|
||||
print(' ')
|
||||
print(hdg1, hdg2)
|
||||
test1 = 1
|
||||
test2 = alpha / beta
|
||||
str1 = f'{itn:6g} {x[0]:12.5e}'
|
||||
str2 = f' {normr:10.3e} {normar:10.3e}'
|
||||
str3 = f' {test1:8.1e} {test2:8.1e}'
|
||||
print(''.join([str1, str2, str3]))
|
||||
|
||||
# Main iteration loop.
|
||||
while itn < maxiter:
|
||||
itn = itn + 1
|
||||
|
||||
# Perform the next step of the bidiagonalization to obtain the
|
||||
# next beta, u, alpha, v. These satisfy the relations
|
||||
# beta*u = A@v - alpha*u,
|
||||
# alpha*v = A'@u - beta*v.
|
||||
|
||||
u *= -alpha
|
||||
u += A.matvec(v)
|
||||
beta = norm(u)
|
||||
|
||||
if beta > 0:
|
||||
u *= (1 / beta)
|
||||
v *= -beta
|
||||
v += A.rmatvec(u)
|
||||
alpha = norm(v)
|
||||
if alpha > 0:
|
||||
v *= (1 / alpha)
|
||||
|
||||
# At this point, beta = beta_{k+1}, alpha = alpha_{k+1}.
|
||||
|
||||
# Construct rotation Qhat_{k,2k+1}.
|
||||
|
||||
chat, shat, alphahat = _sym_ortho(alphabar, damp)
|
||||
|
||||
# Use a plane rotation (Q_i) to turn B_i to R_i
|
||||
|
||||
rhoold = rho
|
||||
c, s, rho = _sym_ortho(alphahat, beta)
|
||||
thetanew = s*alpha
|
||||
alphabar = c*alpha
|
||||
|
||||
# Use a plane rotation (Qbar_i) to turn R_i^T to R_i^bar
|
||||
|
||||
rhobarold = rhobar
|
||||
zetaold = zeta
|
||||
thetabar = sbar * rho
|
||||
rhotemp = cbar * rho
|
||||
cbar, sbar, rhobar = _sym_ortho(cbar * rho, thetanew)
|
||||
zeta = cbar * zetabar
|
||||
zetabar = - sbar * zetabar
|
||||
|
||||
# Update h, h_hat, x.
|
||||
|
||||
hbar *= - (thetabar * rho / (rhoold * rhobarold))
|
||||
hbar += h
|
||||
x += (zeta / (rho * rhobar)) * hbar
|
||||
h *= - (thetanew / rho)
|
||||
h += v
|
||||
|
||||
# Estimate of ||r||.
|
||||
|
||||
# Apply rotation Qhat_{k,2k+1}.
|
||||
betaacute = chat * betadd
|
||||
betacheck = -shat * betadd
|
||||
|
||||
# Apply rotation Q_{k,k+1}.
|
||||
betahat = c * betaacute
|
||||
betadd = -s * betaacute
|
||||
|
||||
# Apply rotation Qtilde_{k-1}.
|
||||
# betad = betad_{k-1} here.
|
||||
|
||||
thetatildeold = thetatilde
|
||||
ctildeold, stildeold, rhotildeold = _sym_ortho(rhodold, thetabar)
|
||||
thetatilde = stildeold * rhobar
|
||||
rhodold = ctildeold * rhobar
|
||||
betad = - stildeold * betad + ctildeold * betahat
|
||||
|
||||
# betad = betad_k here.
|
||||
# rhodold = rhod_k here.
|
||||
|
||||
tautildeold = (zetaold - thetatildeold * tautildeold) / rhotildeold
|
||||
taud = (zeta - thetatilde * tautildeold) / rhodold
|
||||
d = d + betacheck * betacheck
|
||||
normr = sqrt(d + (betad - taud)**2 + betadd * betadd)
|
||||
|
||||
# Estimate ||A||.
|
||||
normA2 = normA2 + beta * beta
|
||||
normA = sqrt(normA2)
|
||||
normA2 = normA2 + alpha * alpha
|
||||
|
||||
# Estimate cond(A).
|
||||
maxrbar = max(maxrbar, rhobarold)
|
||||
if itn > 1:
|
||||
minrbar = min(minrbar, rhobarold)
|
||||
condA = max(maxrbar, rhotemp) / min(minrbar, rhotemp)
|
||||
|
||||
# Test for convergence.
|
||||
|
||||
# Compute norms for convergence testing.
|
||||
normar = abs(zetabar)
|
||||
normx = norm(x)
|
||||
|
||||
# Now use these norms to estimate certain other quantities,
|
||||
# some of which will be small near a solution.
|
||||
|
||||
test1 = normr / normb
|
||||
if (normA * normr) != 0:
|
||||
test2 = normar / (normA * normr)
|
||||
else:
|
||||
test2 = inf
|
||||
test3 = 1 / condA
|
||||
t1 = test1 / (1 + normA * normx / normb)
|
||||
rtol = btol + atol * normA * normx / normb
|
||||
|
||||
# The following tests guard against extremely small values of
|
||||
# atol, btol or ctol. (The user may have set any or all of
|
||||
# the parameters atol, btol, conlim to 0.)
|
||||
# The effect is equivalent to the normAl tests using
|
||||
# atol = eps, btol = eps, conlim = 1/eps.
|
||||
|
||||
if itn >= maxiter:
|
||||
istop = 7
|
||||
if 1 + test3 <= 1:
|
||||
istop = 6
|
||||
if 1 + test2 <= 1:
|
||||
istop = 5
|
||||
if 1 + t1 <= 1:
|
||||
istop = 4
|
||||
|
||||
# Allow for tolerances set by the user.
|
||||
|
||||
if test3 <= ctol:
|
||||
istop = 3
|
||||
if test2 <= atol:
|
||||
istop = 2
|
||||
if test1 <= rtol:
|
||||
istop = 1
|
||||
|
||||
# See if it is time to print something.
|
||||
|
||||
if show:
|
||||
if (n <= 40) or (itn <= 10) or (itn >= maxiter - 10) or \
|
||||
(itn % 10 == 0) or (test3 <= 1.1 * ctol) or \
|
||||
(test2 <= 1.1 * atol) or (test1 <= 1.1 * rtol) or \
|
||||
(istop != 0):
|
||||
|
||||
if pcount >= pfreq:
|
||||
pcount = 0
|
||||
print(' ')
|
||||
print(hdg1, hdg2)
|
||||
pcount = pcount + 1
|
||||
str1 = f'{itn:6g} {x[0]:12.5e}'
|
||||
str2 = f' {normr:10.3e} {normar:10.3e}'
|
||||
str3 = f' {test1:8.1e} {test2:8.1e}'
|
||||
str4 = f' {normA:8.1e} {condA:8.1e}'
|
||||
print(''.join([str1, str2, str3, str4]))
|
||||
|
||||
if istop > 0:
|
||||
break
|
||||
|
||||
# Print the stopping condition.
|
||||
|
||||
if show:
|
||||
print(' ')
|
||||
print('LSMR finished')
|
||||
print(msg[istop])
|
||||
print(f'istop ={istop:8g} normr ={normr:8.1e}')
|
||||
print(f' normA ={normA:8.1e} normAr ={normar:8.1e}')
|
||||
print(f'itn ={itn:8g} condA ={condA:8.1e}')
|
||||
print(' normx =%8.1e' % (normx))
|
||||
print(str1, str2)
|
||||
print(str3, str4)
|
||||
|
||||
return x, istop, itn, normr, normar, normA, condA, normx
|
||||
587
.CondaPkg/env/Lib/site-packages/scipy/sparse/linalg/_isolve/lsqr.py
vendored
Normal file
587
.CondaPkg/env/Lib/site-packages/scipy/sparse/linalg/_isolve/lsqr.py
vendored
Normal file
@@ -0,0 +1,587 @@
|
||||
"""Sparse Equations and Least Squares.
|
||||
|
||||
The original Fortran code was written by C. C. Paige and M. A. Saunders as
|
||||
described in
|
||||
|
||||
C. C. Paige and M. A. Saunders, LSQR: An algorithm for sparse linear
|
||||
equations and sparse least squares, TOMS 8(1), 43--71 (1982).
|
||||
|
||||
C. C. Paige and M. A. Saunders, Algorithm 583; LSQR: Sparse linear
|
||||
equations and least-squares problems, TOMS 8(2), 195--209 (1982).
|
||||
|
||||
It is licensed under the following BSD license:
|
||||
|
||||
Copyright (c) 2006, Systems Optimization Laboratory
|
||||
All rights reserved.
|
||||
|
||||
Redistribution and use in source and binary forms, with or without
|
||||
modification, are permitted provided that the following conditions are
|
||||
met:
|
||||
|
||||
* Redistributions of source code must retain the above copyright
|
||||
notice, this list of conditions and the following disclaimer.
|
||||
|
||||
* Redistributions in binary form must reproduce the above
|
||||
copyright notice, this list of conditions and the following
|
||||
disclaimer in the documentation and/or other materials provided
|
||||
with the distribution.
|
||||
|
||||
* Neither the name of Stanford University nor the names of its
|
||||
contributors may be used to endorse or promote products derived
|
||||
from this software without specific prior written permission.
|
||||
|
||||
THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS
|
||||
"AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT
|
||||
LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR
|
||||
A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT
|
||||
OWNER OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL,
|
||||
SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT
|
||||
LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE,
|
||||
DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY
|
||||
THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
|
||||
(INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
|
||||
OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
|
||||
|
||||
The Fortran code was translated to Python for use in CVXOPT by Jeffery
|
||||
Kline with contributions by Mridul Aanjaneya and Bob Myhill.
|
||||
|
||||
Adapted for SciPy by Stefan van der Walt.
|
||||
|
||||
"""
|
||||
|
||||
__all__ = ['lsqr']
|
||||
|
||||
import numpy as np
|
||||
from math import sqrt
|
||||
from scipy.sparse.linalg._interface import aslinearoperator
|
||||
|
||||
eps = np.finfo(np.float64).eps
|
||||
|
||||
|
||||
def _sym_ortho(a, b):
|
||||
"""
|
||||
Stable implementation of Givens rotation.
|
||||
|
||||
Notes
|
||||
-----
|
||||
The routine 'SymOrtho' was added for numerical stability. This is
|
||||
recommended by S.-C. Choi in [1]_. It removes the unpleasant potential of
|
||||
``1/eps`` in some important places (see, for example text following
|
||||
"Compute the next plane rotation Qk" in minres.py).
|
||||
|
||||
References
|
||||
----------
|
||||
.. [1] S.-C. Choi, "Iterative Methods for Singular Linear Equations
|
||||
and Least-Squares Problems", Dissertation,
|
||||
http://www.stanford.edu/group/SOL/dissertations/sou-cheng-choi-thesis.pdf
|
||||
|
||||
"""
|
||||
if b == 0:
|
||||
return np.sign(a), 0, abs(a)
|
||||
elif a == 0:
|
||||
return 0, np.sign(b), abs(b)
|
||||
elif abs(b) > abs(a):
|
||||
tau = a / b
|
||||
s = np.sign(b) / sqrt(1 + tau * tau)
|
||||
c = s * tau
|
||||
r = b / s
|
||||
else:
|
||||
tau = b / a
|
||||
c = np.sign(a) / sqrt(1+tau*tau)
|
||||
s = c * tau
|
||||
r = a / c
|
||||
return c, s, r
|
||||
|
||||
|
||||
def lsqr(A, b, damp=0.0, atol=1e-6, btol=1e-6, conlim=1e8,
|
||||
iter_lim=None, show=False, calc_var=False, x0=None):
|
||||
"""Find the least-squares solution to a large, sparse, linear system
|
||||
of equations.
|
||||
|
||||
The function solves ``Ax = b`` or ``min ||Ax - b||^2`` or
|
||||
``min ||Ax - b||^2 + d^2 ||x - x0||^2``.
|
||||
|
||||
The matrix A may be square or rectangular (over-determined or
|
||||
under-determined), and may have any rank.
|
||||
|
||||
::
|
||||
|
||||
1. Unsymmetric equations -- solve Ax = b
|
||||
|
||||
2. Linear least squares -- solve Ax = b
|
||||
in the least-squares sense
|
||||
|
||||
3. Damped least squares -- solve ( A )*x = ( b )
|
||||
( damp*I ) ( damp*x0 )
|
||||
in the least-squares sense
|
||||
|
||||
Parameters
|
||||
----------
|
||||
A : {sparse matrix, ndarray, LinearOperator}
|
||||
Representation of an m-by-n matrix.
|
||||
Alternatively, ``A`` can be a linear operator which can
|
||||
produce ``Ax`` and ``A^T x`` using, e.g.,
|
||||
``scipy.sparse.linalg.LinearOperator``.
|
||||
b : array_like, shape (m,)
|
||||
Right-hand side vector ``b``.
|
||||
damp : float
|
||||
Damping coefficient. Default is 0.
|
||||
atol, btol : float, optional
|
||||
Stopping tolerances. `lsqr` continues iterations until a
|
||||
certain backward error estimate is smaller than some quantity
|
||||
depending on atol and btol. Let ``r = b - Ax`` be the
|
||||
residual vector for the current approximate solution ``x``.
|
||||
If ``Ax = b`` seems to be consistent, `lsqr` terminates
|
||||
when ``norm(r) <= atol * norm(A) * norm(x) + btol * norm(b)``.
|
||||
Otherwise, `lsqr` terminates when ``norm(A^H r) <=
|
||||
atol * norm(A) * norm(r)``. If both tolerances are 1.0e-6 (default),
|
||||
the final ``norm(r)`` should be accurate to about 6
|
||||
digits. (The final ``x`` will usually have fewer correct digits,
|
||||
depending on ``cond(A)`` and the size of LAMBDA.) If `atol`
|
||||
or `btol` is None, a default value of 1.0e-6 will be used.
|
||||
Ideally, they should be estimates of the relative error in the
|
||||
entries of ``A`` and ``b`` respectively. For example, if the entries
|
||||
of ``A`` have 7 correct digits, set ``atol = 1e-7``. This prevents
|
||||
the algorithm from doing unnecessary work beyond the
|
||||
uncertainty of the input data.
|
||||
conlim : float, optional
|
||||
Another stopping tolerance. lsqr terminates if an estimate of
|
||||
``cond(A)`` exceeds `conlim`. For compatible systems ``Ax =
|
||||
b``, `conlim` could be as large as 1.0e+12 (say). For
|
||||
least-squares problems, conlim should be less than 1.0e+8.
|
||||
Maximum precision can be obtained by setting ``atol = btol =
|
||||
conlim = zero``, but the number of iterations may then be
|
||||
excessive. Default is 1e8.
|
||||
iter_lim : int, optional
|
||||
Explicit limitation on number of iterations (for safety).
|
||||
show : bool, optional
|
||||
Display an iteration log. Default is False.
|
||||
calc_var : bool, optional
|
||||
Whether to estimate diagonals of ``(A'A + damp^2*I)^{-1}``.
|
||||
x0 : array_like, shape (n,), optional
|
||||
Initial guess of x, if None zeros are used. Default is None.
|
||||
|
||||
.. versionadded:: 1.0.0
|
||||
|
||||
Returns
|
||||
-------
|
||||
x : ndarray of float
|
||||
The final solution.
|
||||
istop : int
|
||||
Gives the reason for termination.
|
||||
1 means x is an approximate solution to Ax = b.
|
||||
2 means x approximately solves the least-squares problem.
|
||||
itn : int
|
||||
Iteration number upon termination.
|
||||
r1norm : float
|
||||
``norm(r)``, where ``r = b - Ax``.
|
||||
r2norm : float
|
||||
``sqrt( norm(r)^2 + damp^2 * norm(x - x0)^2 )``. Equal to `r1norm`
|
||||
if ``damp == 0``.
|
||||
anorm : float
|
||||
Estimate of Frobenius norm of ``Abar = [[A]; [damp*I]]``.
|
||||
acond : float
|
||||
Estimate of ``cond(Abar)``.
|
||||
arnorm : float
|
||||
Estimate of ``norm(A'@r - damp^2*(x - x0))``.
|
||||
xnorm : float
|
||||
``norm(x)``
|
||||
var : ndarray of float
|
||||
If ``calc_var`` is True, estimates all diagonals of
|
||||
``(A'A)^{-1}`` (if ``damp == 0``) or more generally ``(A'A +
|
||||
damp^2*I)^{-1}``. This is well defined if A has full column
|
||||
rank or ``damp > 0``. (Not sure what var means if ``rank(A)
|
||||
< n`` and ``damp = 0.``)
|
||||
|
||||
Notes
|
||||
-----
|
||||
LSQR uses an iterative method to approximate the solution. The
|
||||
number of iterations required to reach a certain accuracy depends
|
||||
strongly on the scaling of the problem. Poor scaling of the rows
|
||||
or columns of A should therefore be avoided where possible.
|
||||
|
||||
For example, in problem 1 the solution is unaltered by
|
||||
row-scaling. If a row of A is very small or large compared to
|
||||
the other rows of A, the corresponding row of ( A b ) should be
|
||||
scaled up or down.
|
||||
|
||||
In problems 1 and 2, the solution x is easily recovered
|
||||
following column-scaling. Unless better information is known,
|
||||
the nonzero columns of A should be scaled so that they all have
|
||||
the same Euclidean norm (e.g., 1.0).
|
||||
|
||||
In problem 3, there is no freedom to re-scale if damp is
|
||||
nonzero. However, the value of damp should be assigned only
|
||||
after attention has been paid to the scaling of A.
|
||||
|
||||
The parameter damp is intended to help regularize
|
||||
ill-conditioned systems, by preventing the true solution from
|
||||
being very large. Another aid to regularization is provided by
|
||||
the parameter acond, which may be used to terminate iterations
|
||||
before the computed solution becomes very large.
|
||||
|
||||
If some initial estimate ``x0`` is known and if ``damp == 0``,
|
||||
one could proceed as follows:
|
||||
|
||||
1. Compute a residual vector ``r0 = b - A@x0``.
|
||||
2. Use LSQR to solve the system ``A@dx = r0``.
|
||||
3. Add the correction dx to obtain a final solution ``x = x0 + dx``.
|
||||
|
||||
This requires that ``x0`` be available before and after the call
|
||||
to LSQR. To judge the benefits, suppose LSQR takes k1 iterations
|
||||
to solve A@x = b and k2 iterations to solve A@dx = r0.
|
||||
If x0 is "good", norm(r0) will be smaller than norm(b).
|
||||
If the same stopping tolerances atol and btol are used for each
|
||||
system, k1 and k2 will be similar, but the final solution x0 + dx
|
||||
should be more accurate. The only way to reduce the total work
|
||||
is to use a larger stopping tolerance for the second system.
|
||||
If some value btol is suitable for A@x = b, the larger value
|
||||
btol*norm(b)/norm(r0) should be suitable for A@dx = r0.
|
||||
|
||||
Preconditioning is another way to reduce the number of iterations.
|
||||
If it is possible to solve a related system ``M@x = b``
|
||||
efficiently, where M approximates A in some helpful way (e.g. M -
|
||||
A has low rank or its elements are small relative to those of A),
|
||||
LSQR may converge more rapidly on the system ``A@M(inverse)@z =
|
||||
b``, after which x can be recovered by solving M@x = z.
|
||||
|
||||
If A is symmetric, LSQR should not be used!
|
||||
|
||||
Alternatives are the symmetric conjugate-gradient method (cg)
|
||||
and/or SYMMLQ. SYMMLQ is an implementation of symmetric cg that
|
||||
applies to any symmetric A and will converge more rapidly than
|
||||
LSQR. If A is positive definite, there are other implementations
|
||||
of symmetric cg that require slightly less work per iteration than
|
||||
SYMMLQ (but will take the same number of iterations).
|
||||
|
||||
References
|
||||
----------
|
||||
.. [1] C. C. Paige and M. A. Saunders (1982a).
|
||||
"LSQR: An algorithm for sparse linear equations and
|
||||
sparse least squares", ACM TOMS 8(1), 43-71.
|
||||
.. [2] C. C. Paige and M. A. Saunders (1982b).
|
||||
"Algorithm 583. LSQR: Sparse linear equations and least
|
||||
squares problems", ACM TOMS 8(2), 195-209.
|
||||
.. [3] M. A. Saunders (1995). "Solution of sparse rectangular
|
||||
systems using LSQR and CRAIG", BIT 35, 588-604.
|
||||
|
||||
Examples
|
||||
--------
|
||||
>>> import numpy as np
|
||||
>>> from scipy.sparse import csc_matrix
|
||||
>>> from scipy.sparse.linalg import lsqr
|
||||
>>> A = csc_matrix([[1., 0.], [1., 1.], [0., 1.]], dtype=float)
|
||||
|
||||
The first example has the trivial solution ``[0, 0]``
|
||||
|
||||
>>> b = np.array([0., 0., 0.], dtype=float)
|
||||
>>> x, istop, itn, normr = lsqr(A, b)[:4]
|
||||
>>> istop
|
||||
0
|
||||
>>> x
|
||||
array([ 0., 0.])
|
||||
|
||||
The stopping code `istop=0` returned indicates that a vector of zeros was
|
||||
found as a solution. The returned solution `x` indeed contains
|
||||
``[0., 0.]``. The next example has a non-trivial solution:
|
||||
|
||||
>>> b = np.array([1., 0., -1.], dtype=float)
|
||||
>>> x, istop, itn, r1norm = lsqr(A, b)[:4]
|
||||
>>> istop
|
||||
1
|
||||
>>> x
|
||||
array([ 1., -1.])
|
||||
>>> itn
|
||||
1
|
||||
>>> r1norm
|
||||
4.440892098500627e-16
|
||||
|
||||
As indicated by `istop=1`, `lsqr` found a solution obeying the tolerance
|
||||
limits. The given solution ``[1., -1.]`` obviously solves the equation. The
|
||||
remaining return values include information about the number of iterations
|
||||
(`itn=1`) and the remaining difference of left and right side of the solved
|
||||
equation.
|
||||
The final example demonstrates the behavior in the case where there is no
|
||||
solution for the equation:
|
||||
|
||||
>>> b = np.array([1., 0.01, -1.], dtype=float)
|
||||
>>> x, istop, itn, r1norm = lsqr(A, b)[:4]
|
||||
>>> istop
|
||||
2
|
||||
>>> x
|
||||
array([ 1.00333333, -0.99666667])
|
||||
>>> A.dot(x)-b
|
||||
array([ 0.00333333, -0.00333333, 0.00333333])
|
||||
>>> r1norm
|
||||
0.005773502691896255
|
||||
|
||||
`istop` indicates that the system is inconsistent and thus `x` is rather an
|
||||
approximate solution to the corresponding least-squares problem. `r1norm`
|
||||
contains the norm of the minimal residual that was found.
|
||||
"""
|
||||
A = aslinearoperator(A)
|
||||
b = np.atleast_1d(b)
|
||||
if b.ndim > 1:
|
||||
b = b.squeeze()
|
||||
|
||||
m, n = A.shape
|
||||
if iter_lim is None:
|
||||
iter_lim = 2 * n
|
||||
var = np.zeros(n)
|
||||
|
||||
msg = ('The exact solution is x = 0 ',
|
||||
'Ax - b is small enough, given atol, btol ',
|
||||
'The least-squares solution is good enough, given atol ',
|
||||
'The estimate of cond(Abar) has exceeded conlim ',
|
||||
'Ax - b is small enough for this machine ',
|
||||
'The least-squares solution is good enough for this machine',
|
||||
'Cond(Abar) seems to be too large for this machine ',
|
||||
'The iteration limit has been reached ')
|
||||
|
||||
if show:
|
||||
print(' ')
|
||||
print('LSQR Least-squares solution of Ax = b')
|
||||
str1 = f'The matrix A has {m} rows and {n} columns'
|
||||
str2 = f'damp = {damp:20.14e} calc_var = {calc_var:8g}'
|
||||
str3 = f'atol = {atol:8.2e} conlim = {conlim:8.2e}'
|
||||
str4 = f'btol = {btol:8.2e} iter_lim = {iter_lim:8g}'
|
||||
print(str1)
|
||||
print(str2)
|
||||
print(str3)
|
||||
print(str4)
|
||||
|
||||
itn = 0
|
||||
istop = 0
|
||||
ctol = 0
|
||||
if conlim > 0:
|
||||
ctol = 1/conlim
|
||||
anorm = 0
|
||||
acond = 0
|
||||
dampsq = damp**2
|
||||
ddnorm = 0
|
||||
res2 = 0
|
||||
xnorm = 0
|
||||
xxnorm = 0
|
||||
z = 0
|
||||
cs2 = -1
|
||||
sn2 = 0
|
||||
|
||||
# Set up the first vectors u and v for the bidiagonalization.
|
||||
# These satisfy beta*u = b - A@x, alfa*v = A'@u.
|
||||
u = b
|
||||
bnorm = np.linalg.norm(b)
|
||||
|
||||
if x0 is None:
|
||||
x = np.zeros(n)
|
||||
beta = bnorm.copy()
|
||||
else:
|
||||
x = np.asarray(x0)
|
||||
u = u - A.matvec(x)
|
||||
beta = np.linalg.norm(u)
|
||||
|
||||
if beta > 0:
|
||||
u = (1/beta) * u
|
||||
v = A.rmatvec(u)
|
||||
alfa = np.linalg.norm(v)
|
||||
else:
|
||||
v = x.copy()
|
||||
alfa = 0
|
||||
|
||||
if alfa > 0:
|
||||
v = (1/alfa) * v
|
||||
w = v.copy()
|
||||
|
||||
rhobar = alfa
|
||||
phibar = beta
|
||||
rnorm = beta
|
||||
r1norm = rnorm
|
||||
r2norm = rnorm
|
||||
|
||||
# Reverse the order here from the original matlab code because
|
||||
# there was an error on return when arnorm==0
|
||||
arnorm = alfa * beta
|
||||
if arnorm == 0:
|
||||
if show:
|
||||
print(msg[0])
|
||||
return x, istop, itn, r1norm, r2norm, anorm, acond, arnorm, xnorm, var
|
||||
|
||||
head1 = ' Itn x[0] r1norm r2norm '
|
||||
head2 = ' Compatible LS Norm A Cond A'
|
||||
|
||||
if show:
|
||||
print(' ')
|
||||
print(head1, head2)
|
||||
test1 = 1
|
||||
test2 = alfa / beta
|
||||
str1 = f'{itn:6g} {x[0]:12.5e}'
|
||||
str2 = f' {r1norm:10.3e} {r2norm:10.3e}'
|
||||
str3 = f' {test1:8.1e} {test2:8.1e}'
|
||||
print(str1, str2, str3)
|
||||
|
||||
# Main iteration loop.
|
||||
while itn < iter_lim:
|
||||
itn = itn + 1
|
||||
# Perform the next step of the bidiagonalization to obtain the
|
||||
# next beta, u, alfa, v. These satisfy the relations
|
||||
# beta*u = a@v - alfa*u,
|
||||
# alfa*v = A'@u - beta*v.
|
||||
u = A.matvec(v) - alfa * u
|
||||
beta = np.linalg.norm(u)
|
||||
|
||||
if beta > 0:
|
||||
u = (1/beta) * u
|
||||
anorm = sqrt(anorm**2 + alfa**2 + beta**2 + dampsq)
|
||||
v = A.rmatvec(u) - beta * v
|
||||
alfa = np.linalg.norm(v)
|
||||
if alfa > 0:
|
||||
v = (1 / alfa) * v
|
||||
|
||||
# Use a plane rotation to eliminate the damping parameter.
|
||||
# This alters the diagonal (rhobar) of the lower-bidiagonal matrix.
|
||||
if damp > 0:
|
||||
rhobar1 = sqrt(rhobar**2 + dampsq)
|
||||
cs1 = rhobar / rhobar1
|
||||
sn1 = damp / rhobar1
|
||||
psi = sn1 * phibar
|
||||
phibar = cs1 * phibar
|
||||
else:
|
||||
# cs1 = 1 and sn1 = 0
|
||||
rhobar1 = rhobar
|
||||
psi = 0.
|
||||
|
||||
# Use a plane rotation to eliminate the subdiagonal element (beta)
|
||||
# of the lower-bidiagonal matrix, giving an upper-bidiagonal matrix.
|
||||
cs, sn, rho = _sym_ortho(rhobar1, beta)
|
||||
|
||||
theta = sn * alfa
|
||||
rhobar = -cs * alfa
|
||||
phi = cs * phibar
|
||||
phibar = sn * phibar
|
||||
tau = sn * phi
|
||||
|
||||
# Update x and w.
|
||||
t1 = phi / rho
|
||||
t2 = -theta / rho
|
||||
dk = (1 / rho) * w
|
||||
|
||||
x = x + t1 * w
|
||||
w = v + t2 * w
|
||||
ddnorm = ddnorm + np.linalg.norm(dk)**2
|
||||
|
||||
if calc_var:
|
||||
var = var + dk**2
|
||||
|
||||
# Use a plane rotation on the right to eliminate the
|
||||
# super-diagonal element (theta) of the upper-bidiagonal matrix.
|
||||
# Then use the result to estimate norm(x).
|
||||
delta = sn2 * rho
|
||||
gambar = -cs2 * rho
|
||||
rhs = phi - delta * z
|
||||
zbar = rhs / gambar
|
||||
xnorm = sqrt(xxnorm + zbar**2)
|
||||
gamma = sqrt(gambar**2 + theta**2)
|
||||
cs2 = gambar / gamma
|
||||
sn2 = theta / gamma
|
||||
z = rhs / gamma
|
||||
xxnorm = xxnorm + z**2
|
||||
|
||||
# Test for convergence.
|
||||
# First, estimate the condition of the matrix Abar,
|
||||
# and the norms of rbar and Abar'rbar.
|
||||
acond = anorm * sqrt(ddnorm)
|
||||
res1 = phibar**2
|
||||
res2 = res2 + psi**2
|
||||
rnorm = sqrt(res1 + res2)
|
||||
arnorm = alfa * abs(tau)
|
||||
|
||||
# Distinguish between
|
||||
# r1norm = ||b - Ax|| and
|
||||
# r2norm = rnorm in current code
|
||||
# = sqrt(r1norm^2 + damp^2*||x - x0||^2).
|
||||
# Estimate r1norm from
|
||||
# r1norm = sqrt(r2norm^2 - damp^2*||x - x0||^2).
|
||||
# Although there is cancellation, it might be accurate enough.
|
||||
if damp > 0:
|
||||
r1sq = rnorm**2 - dampsq * xxnorm
|
||||
r1norm = sqrt(abs(r1sq))
|
||||
if r1sq < 0:
|
||||
r1norm = -r1norm
|
||||
else:
|
||||
r1norm = rnorm
|
||||
r2norm = rnorm
|
||||
|
||||
# Now use these norms to estimate certain other quantities,
|
||||
# some of which will be small near a solution.
|
||||
test1 = rnorm / bnorm
|
||||
test2 = arnorm / (anorm * rnorm + eps)
|
||||
test3 = 1 / (acond + eps)
|
||||
t1 = test1 / (1 + anorm * xnorm / bnorm)
|
||||
rtol = btol + atol * anorm * xnorm / bnorm
|
||||
|
||||
# The following tests guard against extremely small values of
|
||||
# atol, btol or ctol. (The user may have set any or all of
|
||||
# the parameters atol, btol, conlim to 0.)
|
||||
# The effect is equivalent to the normal tests using
|
||||
# atol = eps, btol = eps, conlim = 1/eps.
|
||||
if itn >= iter_lim:
|
||||
istop = 7
|
||||
if 1 + test3 <= 1:
|
||||
istop = 6
|
||||
if 1 + test2 <= 1:
|
||||
istop = 5
|
||||
if 1 + t1 <= 1:
|
||||
istop = 4
|
||||
|
||||
# Allow for tolerances set by the user.
|
||||
if test3 <= ctol:
|
||||
istop = 3
|
||||
if test2 <= atol:
|
||||
istop = 2
|
||||
if test1 <= rtol:
|
||||
istop = 1
|
||||
|
||||
if show:
|
||||
# See if it is time to print something.
|
||||
prnt = False
|
||||
if n <= 40:
|
||||
prnt = True
|
||||
if itn <= 10:
|
||||
prnt = True
|
||||
if itn >= iter_lim-10:
|
||||
prnt = True
|
||||
# if itn%10 == 0: prnt = True
|
||||
if test3 <= 2*ctol:
|
||||
prnt = True
|
||||
if test2 <= 10*atol:
|
||||
prnt = True
|
||||
if test1 <= 10*rtol:
|
||||
prnt = True
|
||||
if istop != 0:
|
||||
prnt = True
|
||||
|
||||
if prnt:
|
||||
str1 = f'{itn:6g} {x[0]:12.5e}'
|
||||
str2 = f' {r1norm:10.3e} {r2norm:10.3e}'
|
||||
str3 = f' {test1:8.1e} {test2:8.1e}'
|
||||
str4 = f' {anorm:8.1e} {acond:8.1e}'
|
||||
print(str1, str2, str3, str4)
|
||||
|
||||
if istop != 0:
|
||||
break
|
||||
|
||||
# End of iteration loop.
|
||||
# Print the stopping condition.
|
||||
if show:
|
||||
print(' ')
|
||||
print('LSQR finished')
|
||||
print(msg[istop])
|
||||
print(' ')
|
||||
str1 = f'istop ={istop:8g} r1norm ={r1norm:8.1e}'
|
||||
str2 = f'anorm ={anorm:8.1e} arnorm ={arnorm:8.1e}'
|
||||
str3 = f'itn ={itn:8g} r2norm ={r2norm:8.1e}'
|
||||
str4 = f'acond ={acond:8.1e} xnorm ={xnorm:8.1e}'
|
||||
print(str1 + ' ' + str2)
|
||||
print(str3 + ' ' + str4)
|
||||
print(' ')
|
||||
|
||||
return x, istop, itn, r1norm, r2norm, anorm, acond, arnorm, xnorm, var
|
||||
372
.CondaPkg/env/Lib/site-packages/scipy/sparse/linalg/_isolve/minres.py
vendored
Normal file
372
.CondaPkg/env/Lib/site-packages/scipy/sparse/linalg/_isolve/minres.py
vendored
Normal file
@@ -0,0 +1,372 @@
|
||||
from numpy import inner, zeros, inf, finfo
|
||||
from numpy.linalg import norm
|
||||
from math import sqrt
|
||||
|
||||
from .utils import make_system
|
||||
|
||||
__all__ = ['minres']
|
||||
|
||||
|
||||
def minres(A, b, x0=None, *, rtol=1e-5, shift=0.0, maxiter=None,
|
||||
M=None, callback=None, show=False, check=False):
|
||||
"""
|
||||
Use MINimum RESidual iteration to solve Ax=b
|
||||
|
||||
MINRES minimizes norm(Ax - b) for a real symmetric matrix A. Unlike
|
||||
the Conjugate Gradient method, A can be indefinite or singular.
|
||||
|
||||
If shift != 0 then the method solves (A - shift*I)x = b
|
||||
|
||||
Parameters
|
||||
----------
|
||||
A : {sparse matrix, ndarray, LinearOperator}
|
||||
The real symmetric N-by-N matrix of the linear system
|
||||
Alternatively, ``A`` can be a linear operator which can
|
||||
produce ``Ax`` using, e.g.,
|
||||
``scipy.sparse.linalg.LinearOperator``.
|
||||
b : ndarray
|
||||
Right hand side of the linear system. Has shape (N,) or (N,1).
|
||||
|
||||
Returns
|
||||
-------
|
||||
x : ndarray
|
||||
The converged solution.
|
||||
info : integer
|
||||
Provides convergence information:
|
||||
0 : successful exit
|
||||
>0 : convergence to tolerance not achieved, number of iterations
|
||||
<0 : illegal input or breakdown
|
||||
|
||||
Other Parameters
|
||||
----------------
|
||||
x0 : ndarray
|
||||
Starting guess for the solution.
|
||||
shift : float
|
||||
Value to apply to the system ``(A - shift * I)x = b``. Default is 0.
|
||||
rtol : float
|
||||
Tolerance to achieve. The algorithm terminates when the relative
|
||||
residual is below ``rtol``.
|
||||
maxiter : integer
|
||||
Maximum number of iterations. Iteration will stop after maxiter
|
||||
steps even if the specified tolerance has not been achieved.
|
||||
M : {sparse matrix, ndarray, LinearOperator}
|
||||
Preconditioner for A. The preconditioner should approximate the
|
||||
inverse of A. Effective preconditioning dramatically improves the
|
||||
rate of convergence, which implies that fewer iterations are needed
|
||||
to reach a given error tolerance.
|
||||
callback : function
|
||||
User-supplied function to call after each iteration. It is called
|
||||
as callback(xk), where xk is the current solution vector.
|
||||
show : bool
|
||||
If ``True``, print out a summary and metrics related to the solution
|
||||
during iterations. Default is ``False``.
|
||||
check : bool
|
||||
If ``True``, run additional input validation to check that `A` and
|
||||
`M` (if specified) are symmetric. Default is ``False``.
|
||||
|
||||
Examples
|
||||
--------
|
||||
>>> import numpy as np
|
||||
>>> from scipy.sparse import csc_matrix
|
||||
>>> from scipy.sparse.linalg import minres
|
||||
>>> A = csc_matrix([[3, 2, 0], [1, -1, 0], [0, 5, 1]], dtype=float)
|
||||
>>> A = A + A.T
|
||||
>>> b = np.array([2, 4, -1], dtype=float)
|
||||
>>> x, exitCode = minres(A, b)
|
||||
>>> print(exitCode) # 0 indicates successful convergence
|
||||
0
|
||||
>>> np.allclose(A.dot(x), b)
|
||||
True
|
||||
|
||||
References
|
||||
----------
|
||||
Solution of sparse indefinite systems of linear equations,
|
||||
C. C. Paige and M. A. Saunders (1975),
|
||||
SIAM J. Numer. Anal. 12(4), pp. 617-629.
|
||||
https://web.stanford.edu/group/SOL/software/minres/
|
||||
|
||||
This file is a translation of the following MATLAB implementation:
|
||||
https://web.stanford.edu/group/SOL/software/minres/minres-matlab.zip
|
||||
|
||||
"""
|
||||
A, M, x, b, postprocess = make_system(A, M, x0, b)
|
||||
|
||||
matvec = A.matvec
|
||||
psolve = M.matvec
|
||||
|
||||
first = 'Enter minres. '
|
||||
last = 'Exit minres. '
|
||||
|
||||
n = A.shape[0]
|
||||
|
||||
if maxiter is None:
|
||||
maxiter = 5 * n
|
||||
|
||||
msg = [' beta2 = 0. If M = I, b and x are eigenvectors ', # -1
|
||||
' beta1 = 0. The exact solution is x0 ', # 0
|
||||
' A solution to Ax = b was found, given rtol ', # 1
|
||||
' A least-squares solution was found, given rtol ', # 2
|
||||
' Reasonable accuracy achieved, given eps ', # 3
|
||||
' x has converged to an eigenvector ', # 4
|
||||
' acond has exceeded 0.1/eps ', # 5
|
||||
' The iteration limit was reached ', # 6
|
||||
' A does not define a symmetric matrix ', # 7
|
||||
' M does not define a symmetric matrix ', # 8
|
||||
' M does not define a pos-def preconditioner '] # 9
|
||||
|
||||
if show:
|
||||
print(first + 'Solution of symmetric Ax = b')
|
||||
print(first + f'n = {n:3g} shift = {shift:23.14e}')
|
||||
print(first + f'itnlim = {maxiter:3g} rtol = {rtol:11.2e}')
|
||||
print()
|
||||
|
||||
istop = 0
|
||||
itn = 0
|
||||
Anorm = 0
|
||||
Acond = 0
|
||||
rnorm = 0
|
||||
ynorm = 0
|
||||
|
||||
xtype = x.dtype
|
||||
|
||||
eps = finfo(xtype).eps
|
||||
|
||||
# Set up y and v for the first Lanczos vector v1.
|
||||
# y = beta1 P' v1, where P = C**(-1).
|
||||
# v is really P' v1.
|
||||
|
||||
if x0 is None:
|
||||
r1 = b.copy()
|
||||
else:
|
||||
r1 = b - A@x
|
||||
y = psolve(r1)
|
||||
|
||||
beta1 = inner(r1, y)
|
||||
|
||||
if beta1 < 0:
|
||||
raise ValueError('indefinite preconditioner')
|
||||
elif beta1 == 0:
|
||||
return (postprocess(x), 0)
|
||||
|
||||
bnorm = norm(b)
|
||||
if bnorm == 0:
|
||||
x = b
|
||||
return (postprocess(x), 0)
|
||||
|
||||
beta1 = sqrt(beta1)
|
||||
|
||||
if check:
|
||||
# are these too strict?
|
||||
|
||||
# see if A is symmetric
|
||||
w = matvec(y)
|
||||
r2 = matvec(w)
|
||||
s = inner(w,w)
|
||||
t = inner(y,r2)
|
||||
z = abs(s - t)
|
||||
epsa = (s + eps) * eps**(1.0/3.0)
|
||||
if z > epsa:
|
||||
raise ValueError('non-symmetric matrix')
|
||||
|
||||
# see if M is symmetric
|
||||
r2 = psolve(y)
|
||||
s = inner(y,y)
|
||||
t = inner(r1,r2)
|
||||
z = abs(s - t)
|
||||
epsa = (s + eps) * eps**(1.0/3.0)
|
||||
if z > epsa:
|
||||
raise ValueError('non-symmetric preconditioner')
|
||||
|
||||
# Initialize other quantities
|
||||
oldb = 0
|
||||
beta = beta1
|
||||
dbar = 0
|
||||
epsln = 0
|
||||
qrnorm = beta1
|
||||
phibar = beta1
|
||||
rhs1 = beta1
|
||||
rhs2 = 0
|
||||
tnorm2 = 0
|
||||
gmax = 0
|
||||
gmin = finfo(xtype).max
|
||||
cs = -1
|
||||
sn = 0
|
||||
w = zeros(n, dtype=xtype)
|
||||
w2 = zeros(n, dtype=xtype)
|
||||
r2 = r1
|
||||
|
||||
if show:
|
||||
print()
|
||||
print()
|
||||
print(' Itn x(1) Compatible LS norm(A) cond(A) gbar/|A|')
|
||||
|
||||
while itn < maxiter:
|
||||
itn += 1
|
||||
|
||||
s = 1.0/beta
|
||||
v = s*y
|
||||
|
||||
y = matvec(v)
|
||||
y = y - shift * v
|
||||
|
||||
if itn >= 2:
|
||||
y = y - (beta/oldb)*r1
|
||||
|
||||
alfa = inner(v,y)
|
||||
y = y - (alfa/beta)*r2
|
||||
r1 = r2
|
||||
r2 = y
|
||||
y = psolve(r2)
|
||||
oldb = beta
|
||||
beta = inner(r2,y)
|
||||
if beta < 0:
|
||||
raise ValueError('non-symmetric matrix')
|
||||
beta = sqrt(beta)
|
||||
tnorm2 += alfa**2 + oldb**2 + beta**2
|
||||
|
||||
if itn == 1:
|
||||
if beta/beta1 <= 10*eps:
|
||||
istop = -1 # Terminate later
|
||||
|
||||
# Apply previous rotation Qk-1 to get
|
||||
# [deltak epslnk+1] = [cs sn][dbark 0 ]
|
||||
# [gbar k dbar k+1] [sn -cs][alfak betak+1].
|
||||
|
||||
oldeps = epsln
|
||||
delta = cs * dbar + sn * alfa # delta1 = 0 deltak
|
||||
gbar = sn * dbar - cs * alfa # gbar 1 = alfa1 gbar k
|
||||
epsln = sn * beta # epsln2 = 0 epslnk+1
|
||||
dbar = - cs * beta # dbar 2 = beta2 dbar k+1
|
||||
root = norm([gbar, dbar])
|
||||
Arnorm = phibar * root
|
||||
|
||||
# Compute the next plane rotation Qk
|
||||
|
||||
gamma = norm([gbar, beta]) # gammak
|
||||
gamma = max(gamma, eps)
|
||||
cs = gbar / gamma # ck
|
||||
sn = beta / gamma # sk
|
||||
phi = cs * phibar # phik
|
||||
phibar = sn * phibar # phibark+1
|
||||
|
||||
# Update x.
|
||||
|
||||
denom = 1.0/gamma
|
||||
w1 = w2
|
||||
w2 = w
|
||||
w = (v - oldeps*w1 - delta*w2) * denom
|
||||
x = x + phi*w
|
||||
|
||||
# Go round again.
|
||||
|
||||
gmax = max(gmax, gamma)
|
||||
gmin = min(gmin, gamma)
|
||||
z = rhs1 / gamma
|
||||
rhs1 = rhs2 - delta*z
|
||||
rhs2 = - epsln*z
|
||||
|
||||
# Estimate various norms and test for convergence.
|
||||
|
||||
Anorm = sqrt(tnorm2)
|
||||
ynorm = norm(x)
|
||||
epsa = Anorm * eps
|
||||
epsx = Anorm * ynorm * eps
|
||||
epsr = Anorm * ynorm * rtol
|
||||
diag = gbar
|
||||
|
||||
if diag == 0:
|
||||
diag = epsa
|
||||
|
||||
qrnorm = phibar
|
||||
rnorm = qrnorm
|
||||
if ynorm == 0 or Anorm == 0:
|
||||
test1 = inf
|
||||
else:
|
||||
test1 = rnorm / (Anorm*ynorm) # ||r|| / (||A|| ||x||)
|
||||
if Anorm == 0:
|
||||
test2 = inf
|
||||
else:
|
||||
test2 = root / Anorm # ||Ar|| / (||A|| ||r||)
|
||||
|
||||
# Estimate cond(A).
|
||||
# In this version we look at the diagonals of R in the
|
||||
# factorization of the lower Hessenberg matrix, Q @ H = R,
|
||||
# where H is the tridiagonal matrix from Lanczos with one
|
||||
# extra row, beta(k+1) e_k^T.
|
||||
|
||||
Acond = gmax/gmin
|
||||
|
||||
# See if any of the stopping criteria are satisfied.
|
||||
# In rare cases, istop is already -1 from above (Abar = const*I).
|
||||
|
||||
if istop == 0:
|
||||
t1 = 1 + test1 # These tests work if rtol < eps
|
||||
t2 = 1 + test2
|
||||
if t2 <= 1:
|
||||
istop = 2
|
||||
if t1 <= 1:
|
||||
istop = 1
|
||||
|
||||
if itn >= maxiter:
|
||||
istop = 6
|
||||
if Acond >= 0.1/eps:
|
||||
istop = 4
|
||||
if epsx >= beta1:
|
||||
istop = 3
|
||||
# if rnorm <= epsx : istop = 2
|
||||
# if rnorm <= epsr : istop = 1
|
||||
if test2 <= rtol:
|
||||
istop = 2
|
||||
if test1 <= rtol:
|
||||
istop = 1
|
||||
|
||||
# See if it is time to print something.
|
||||
|
||||
prnt = False
|
||||
if n <= 40:
|
||||
prnt = True
|
||||
if itn <= 10:
|
||||
prnt = True
|
||||
if itn >= maxiter-10:
|
||||
prnt = True
|
||||
if itn % 10 == 0:
|
||||
prnt = True
|
||||
if qrnorm <= 10*epsx:
|
||||
prnt = True
|
||||
if qrnorm <= 10*epsr:
|
||||
prnt = True
|
||||
if Acond <= 1e-2/eps:
|
||||
prnt = True
|
||||
if istop != 0:
|
||||
prnt = True
|
||||
|
||||
if show and prnt:
|
||||
str1 = f'{itn:6g} {x[0]:12.5e} {test1:10.3e}'
|
||||
str2 = f' {test2:10.3e}'
|
||||
str3 = f' {Anorm:8.1e} {Acond:8.1e} {gbar/Anorm:8.1e}'
|
||||
|
||||
print(str1 + str2 + str3)
|
||||
|
||||
if itn % 10 == 0:
|
||||
print()
|
||||
|
||||
if callback is not None:
|
||||
callback(x)
|
||||
|
||||
if istop != 0:
|
||||
break # TODO check this
|
||||
|
||||
if show:
|
||||
print()
|
||||
print(last + f' istop = {istop:3g} itn ={itn:5g}')
|
||||
print(last + f' Anorm = {Anorm:12.4e} Acond = {Acond:12.4e}')
|
||||
print(last + f' rnorm = {rnorm:12.4e} ynorm = {ynorm:12.4e}')
|
||||
print(last + f' Arnorm = {Arnorm:12.4e}')
|
||||
print(last + msg[istop+1])
|
||||
|
||||
if istop == 6:
|
||||
info = maxiter
|
||||
else:
|
||||
info = 0
|
||||
|
||||
return (postprocess(x),info)
|
||||
0
.CondaPkg/env/Lib/site-packages/scipy/sparse/linalg/_isolve/tests/__init__.py
vendored
Normal file
0
.CondaPkg/env/Lib/site-packages/scipy/sparse/linalg/_isolve/tests/__init__.py
vendored
Normal file
Binary file not shown.
Binary file not shown.
Binary file not shown.
Binary file not shown.
Binary file not shown.
Binary file not shown.
Binary file not shown.
Binary file not shown.
165
.CondaPkg/env/Lib/site-packages/scipy/sparse/linalg/_isolve/tests/test_gcrotmk.py
vendored
Normal file
165
.CondaPkg/env/Lib/site-packages/scipy/sparse/linalg/_isolve/tests/test_gcrotmk.py
vendored
Normal file
@@ -0,0 +1,165 @@
|
||||
#!/usr/bin/env python
|
||||
"""Tests for the linalg._isolve.gcrotmk module
|
||||
"""
|
||||
|
||||
from numpy.testing import (assert_, assert_allclose, assert_equal,
|
||||
suppress_warnings)
|
||||
|
||||
import numpy as np
|
||||
from numpy import zeros, array, allclose
|
||||
from scipy.linalg import norm
|
||||
from scipy.sparse import csr_matrix, eye, rand
|
||||
|
||||
from scipy.sparse.linalg._interface import LinearOperator
|
||||
from scipy.sparse.linalg import splu
|
||||
from scipy.sparse.linalg._isolve import gcrotmk, gmres
|
||||
|
||||
|
||||
Am = csr_matrix(array([[-2,1,0,0,0,9],
|
||||
[1,-2,1,0,5,0],
|
||||
[0,1,-2,1,0,0],
|
||||
[0,0,1,-2,1,0],
|
||||
[0,3,0,1,-2,1],
|
||||
[1,0,0,0,1,-2]]))
|
||||
b = array([1,2,3,4,5,6])
|
||||
count = [0]
|
||||
|
||||
|
||||
def matvec(v):
|
||||
count[0] += 1
|
||||
return Am@v
|
||||
|
||||
|
||||
A = LinearOperator(matvec=matvec, shape=Am.shape, dtype=Am.dtype)
|
||||
|
||||
|
||||
def do_solve(**kw):
|
||||
count[0] = 0
|
||||
with suppress_warnings() as sup:
|
||||
sup.filter(DeprecationWarning, ".*called without specifying.*")
|
||||
x0, flag = gcrotmk(A, b, x0=zeros(A.shape[0]), rtol=1e-14, **kw)
|
||||
count_0 = count[0]
|
||||
assert_(allclose(A@x0, b, rtol=1e-12, atol=1e-12), norm(A@x0-b))
|
||||
return x0, count_0
|
||||
|
||||
|
||||
class TestGCROTMK:
|
||||
def test_preconditioner(self):
|
||||
# Check that preconditioning works
|
||||
pc = splu(Am.tocsc())
|
||||
M = LinearOperator(matvec=pc.solve, shape=A.shape, dtype=A.dtype)
|
||||
|
||||
x0, count_0 = do_solve()
|
||||
x1, count_1 = do_solve(M=M)
|
||||
|
||||
assert_equal(count_1, 3)
|
||||
assert_(count_1 < count_0/2)
|
||||
assert_(allclose(x1, x0, rtol=1e-14))
|
||||
|
||||
def test_arnoldi(self):
|
||||
np.random.seed(1)
|
||||
|
||||
A = eye(2000) + rand(2000, 2000, density=5e-4)
|
||||
b = np.random.rand(2000)
|
||||
|
||||
# The inner arnoldi should be equivalent to gmres
|
||||
with suppress_warnings() as sup:
|
||||
sup.filter(DeprecationWarning, ".*called without specifying.*")
|
||||
x0, flag0 = gcrotmk(A, b, x0=zeros(A.shape[0]), m=15, k=0, maxiter=1)
|
||||
x1, flag1 = gmres(A, b, x0=zeros(A.shape[0]), restart=15, maxiter=1)
|
||||
|
||||
assert_equal(flag0, 1)
|
||||
assert_equal(flag1, 1)
|
||||
assert np.linalg.norm(A.dot(x0) - b) > 1e-3
|
||||
|
||||
assert_allclose(x0, x1)
|
||||
|
||||
def test_cornercase(self):
|
||||
np.random.seed(1234)
|
||||
|
||||
# Rounding error may prevent convergence with tol=0 --- ensure
|
||||
# that the return values in this case are correct, and no
|
||||
# exceptions are raised
|
||||
|
||||
for n in [3, 5, 10, 100]:
|
||||
A = 2*eye(n)
|
||||
|
||||
with suppress_warnings() as sup:
|
||||
sup.filter(DeprecationWarning, ".*called without specifying.*")
|
||||
b = np.ones(n)
|
||||
x, info = gcrotmk(A, b, maxiter=10)
|
||||
assert_equal(info, 0)
|
||||
assert_allclose(A.dot(x) - b, 0, atol=1e-14)
|
||||
|
||||
x, info = gcrotmk(A, b, rtol=0, maxiter=10)
|
||||
if info == 0:
|
||||
assert_allclose(A.dot(x) - b, 0, atol=1e-14)
|
||||
|
||||
b = np.random.rand(n)
|
||||
x, info = gcrotmk(A, b, maxiter=10)
|
||||
assert_equal(info, 0)
|
||||
assert_allclose(A.dot(x) - b, 0, atol=1e-14)
|
||||
|
||||
x, info = gcrotmk(A, b, rtol=0, maxiter=10)
|
||||
if info == 0:
|
||||
assert_allclose(A.dot(x) - b, 0, atol=1e-14)
|
||||
|
||||
def test_nans(self):
|
||||
A = eye(3, format='lil')
|
||||
A[1,1] = np.nan
|
||||
b = np.ones(3)
|
||||
|
||||
with suppress_warnings() as sup:
|
||||
sup.filter(DeprecationWarning, ".*called without specifying.*")
|
||||
x, info = gcrotmk(A, b, rtol=0, maxiter=10)
|
||||
assert_equal(info, 1)
|
||||
|
||||
def test_truncate(self):
|
||||
np.random.seed(1234)
|
||||
A = np.random.rand(30, 30) + np.eye(30)
|
||||
b = np.random.rand(30)
|
||||
|
||||
for truncate in ['oldest', 'smallest']:
|
||||
with suppress_warnings() as sup:
|
||||
sup.filter(DeprecationWarning, ".*called without specifying.*")
|
||||
x, info = gcrotmk(A, b, m=10, k=10, truncate=truncate,
|
||||
rtol=1e-4, maxiter=200)
|
||||
assert_equal(info, 0)
|
||||
assert_allclose(A.dot(x) - b, 0, atol=1e-3)
|
||||
|
||||
def test_CU(self):
|
||||
for discard_C in (True, False):
|
||||
# Check that C,U behave as expected
|
||||
CU = []
|
||||
x0, count_0 = do_solve(CU=CU, discard_C=discard_C)
|
||||
assert_(len(CU) > 0)
|
||||
assert_(len(CU) <= 6)
|
||||
|
||||
if discard_C:
|
||||
for c, u in CU:
|
||||
assert_(c is None)
|
||||
|
||||
# should converge immediately
|
||||
x1, count_1 = do_solve(CU=CU, discard_C=discard_C)
|
||||
if discard_C:
|
||||
assert_equal(count_1, 2 + len(CU))
|
||||
else:
|
||||
assert_equal(count_1, 3)
|
||||
assert_(count_1 <= count_0/2)
|
||||
assert_allclose(x1, x0, atol=1e-14)
|
||||
|
||||
def test_denormals(self):
|
||||
# Check that no warnings are emitted if the matrix contains
|
||||
# numbers for which 1/x has no float representation, and that
|
||||
# the solver behaves properly.
|
||||
A = np.array([[1, 2], [3, 4]], dtype=float)
|
||||
A *= 100 * np.nextafter(0, 1)
|
||||
|
||||
b = np.array([1, 1])
|
||||
|
||||
with suppress_warnings() as sup:
|
||||
sup.filter(DeprecationWarning, ".*called without specifying.*")
|
||||
xp, info = gcrotmk(A, b)
|
||||
|
||||
if info == 0:
|
||||
assert_allclose(A.dot(xp), b)
|
||||
809
.CondaPkg/env/Lib/site-packages/scipy/sparse/linalg/_isolve/tests/test_iterative.py
vendored
Normal file
809
.CondaPkg/env/Lib/site-packages/scipy/sparse/linalg/_isolve/tests/test_iterative.py
vendored
Normal file
@@ -0,0 +1,809 @@
|
||||
""" Test functions for the sparse.linalg._isolve module
|
||||
"""
|
||||
|
||||
import itertools
|
||||
import platform
|
||||
import sys
|
||||
import pytest
|
||||
|
||||
import numpy as np
|
||||
from numpy.testing import assert_array_equal, assert_allclose
|
||||
from numpy import zeros, arange, array, ones, eye, iscomplexobj
|
||||
from numpy.linalg import norm
|
||||
|
||||
from scipy.sparse import spdiags, csr_matrix, kronsum
|
||||
|
||||
from scipy.sparse.linalg import LinearOperator, aslinearoperator
|
||||
from scipy.sparse.linalg._isolve import (bicg, bicgstab, cg, cgs,
|
||||
gcrotmk, gmres, lgmres,
|
||||
minres, qmr, tfqmr)
|
||||
|
||||
# TODO check that method preserve shape and type
|
||||
# TODO test both preconditioner methods
|
||||
|
||||
|
||||
# list of all solvers under test
|
||||
_SOLVERS = [bicg, bicgstab, cg, cgs, gcrotmk, gmres, lgmres,
|
||||
minres, qmr, tfqmr]
|
||||
|
||||
CB_TYPE_FILTER = ".*called without specifying `callback_type`.*"
|
||||
|
||||
|
||||
# create parametrized fixture for easy reuse in tests
|
||||
@pytest.fixture(params=_SOLVERS, scope="session")
|
||||
def solver(request):
|
||||
"""
|
||||
Fixture for all solvers in scipy.sparse.linalg._isolve
|
||||
"""
|
||||
return request.param
|
||||
|
||||
|
||||
class Case:
|
||||
def __init__(self, name, A, b=None, skip=None, nonconvergence=None):
|
||||
self.name = name
|
||||
self.A = A
|
||||
if b is None:
|
||||
self.b = arange(A.shape[0], dtype=float)
|
||||
else:
|
||||
self.b = b
|
||||
if skip is None:
|
||||
self.skip = []
|
||||
else:
|
||||
self.skip = skip
|
||||
if nonconvergence is None:
|
||||
self.nonconvergence = []
|
||||
else:
|
||||
self.nonconvergence = nonconvergence
|
||||
|
||||
|
||||
class SingleTest:
|
||||
def __init__(self, A, b, solver, casename, convergence=True):
|
||||
self.A = A
|
||||
self.b = b
|
||||
self.solver = solver
|
||||
self.name = casename + '-' + solver.__name__
|
||||
self.convergence = convergence
|
||||
|
||||
def __repr__(self):
|
||||
return f"<{self.name}>"
|
||||
|
||||
|
||||
class IterativeParams:
|
||||
def __init__(self):
|
||||
sym_solvers = [minres, cg]
|
||||
posdef_solvers = [cg]
|
||||
real_solvers = [minres]
|
||||
|
||||
# list of Cases
|
||||
self.cases = []
|
||||
|
||||
# Symmetric and Positive Definite
|
||||
N = 40
|
||||
data = ones((3, N))
|
||||
data[0, :] = 2
|
||||
data[1, :] = -1
|
||||
data[2, :] = -1
|
||||
Poisson1D = spdiags(data, [0, -1, 1], N, N, format='csr')
|
||||
self.cases.append(Case("poisson1d", Poisson1D))
|
||||
# note: minres fails for single precision
|
||||
self.cases.append(Case("poisson1d-F", Poisson1D.astype('f'),
|
||||
skip=[minres]))
|
||||
|
||||
# Symmetric and Negative Definite
|
||||
self.cases.append(Case("neg-poisson1d", -Poisson1D,
|
||||
skip=posdef_solvers))
|
||||
# note: minres fails for single precision
|
||||
self.cases.append(Case("neg-poisson1d-F", (-Poisson1D).astype('f'),
|
||||
skip=posdef_solvers + [minres]))
|
||||
|
||||
# 2-dimensional Poisson equations
|
||||
Poisson2D = kronsum(Poisson1D, Poisson1D)
|
||||
# note: minres fails for 2-d poisson problem,
|
||||
# it will be fixed in the future PR
|
||||
self.cases.append(Case("poisson2d", Poisson2D, skip=[minres]))
|
||||
# note: minres fails for single precision
|
||||
self.cases.append(Case("poisson2d-F", Poisson2D.astype('f'),
|
||||
skip=[minres]))
|
||||
|
||||
# Symmetric and Indefinite
|
||||
data = array([[6, -5, 2, 7, -1, 10, 4, -3, -8, 9]], dtype='d')
|
||||
RandDiag = spdiags(data, [0], 10, 10, format='csr')
|
||||
self.cases.append(Case("rand-diag", RandDiag, skip=posdef_solvers))
|
||||
self.cases.append(Case("rand-diag-F", RandDiag.astype('f'),
|
||||
skip=posdef_solvers))
|
||||
|
||||
# Random real-valued
|
||||
np.random.seed(1234)
|
||||
data = np.random.rand(4, 4)
|
||||
self.cases.append(Case("rand", data,
|
||||
skip=posdef_solvers + sym_solvers))
|
||||
self.cases.append(Case("rand-F", data.astype('f'),
|
||||
skip=posdef_solvers + sym_solvers))
|
||||
|
||||
# Random symmetric real-valued
|
||||
np.random.seed(1234)
|
||||
data = np.random.rand(4, 4)
|
||||
data = data + data.T
|
||||
self.cases.append(Case("rand-sym", data, skip=posdef_solvers))
|
||||
self.cases.append(Case("rand-sym-F", data.astype('f'),
|
||||
skip=posdef_solvers))
|
||||
|
||||
# Random pos-def symmetric real
|
||||
np.random.seed(1234)
|
||||
data = np.random.rand(9, 9)
|
||||
data = np.dot(data.conj(), data.T)
|
||||
self.cases.append(Case("rand-sym-pd", data))
|
||||
# note: minres fails for single precision
|
||||
self.cases.append(Case("rand-sym-pd-F", data.astype('f'),
|
||||
skip=[minres]))
|
||||
|
||||
# Random complex-valued
|
||||
np.random.seed(1234)
|
||||
data = np.random.rand(4, 4) + 1j * np.random.rand(4, 4)
|
||||
skip_cmplx = posdef_solvers + sym_solvers + real_solvers
|
||||
self.cases.append(Case("rand-cmplx", data, skip=skip_cmplx))
|
||||
self.cases.append(Case("rand-cmplx-F", data.astype('F'),
|
||||
skip=skip_cmplx))
|
||||
|
||||
# Random hermitian complex-valued
|
||||
np.random.seed(1234)
|
||||
data = np.random.rand(4, 4) + 1j * np.random.rand(4, 4)
|
||||
data = data + data.T.conj()
|
||||
self.cases.append(Case("rand-cmplx-herm", data,
|
||||
skip=posdef_solvers + real_solvers))
|
||||
self.cases.append(Case("rand-cmplx-herm-F", data.astype('F'),
|
||||
skip=posdef_solvers + real_solvers))
|
||||
|
||||
# Random pos-def hermitian complex-valued
|
||||
np.random.seed(1234)
|
||||
data = np.random.rand(9, 9) + 1j * np.random.rand(9, 9)
|
||||
data = np.dot(data.conj(), data.T)
|
||||
self.cases.append(Case("rand-cmplx-sym-pd", data, skip=real_solvers))
|
||||
self.cases.append(Case("rand-cmplx-sym-pd-F", data.astype('F'),
|
||||
skip=real_solvers))
|
||||
|
||||
# Non-symmetric and Positive Definite
|
||||
#
|
||||
# cgs, qmr, bicg and tfqmr fail to converge on this one
|
||||
# -- algorithmic limitation apparently
|
||||
data = ones((2, 10))
|
||||
data[0, :] = 2
|
||||
data[1, :] = -1
|
||||
A = spdiags(data, [0, -1], 10, 10, format='csr')
|
||||
self.cases.append(Case("nonsymposdef", A,
|
||||
skip=sym_solvers + [cgs, qmr, bicg, tfqmr]))
|
||||
self.cases.append(Case("nonsymposdef-F", A.astype('F'),
|
||||
skip=sym_solvers + [cgs, qmr, bicg, tfqmr]))
|
||||
|
||||
# Symmetric, non-pd, hitting cgs/bicg/bicgstab/qmr/tfqmr breakdown
|
||||
A = np.array([[0, 0, 0, 0, 0, 1, -1, -0, -0, -0, -0],
|
||||
[0, 0, 0, 0, 0, 2, -0, -1, -0, -0, -0],
|
||||
[0, 0, 0, 0, 0, 2, -0, -0, -1, -0, -0],
|
||||
[0, 0, 0, 0, 0, 2, -0, -0, -0, -1, -0],
|
||||
[0, 0, 0, 0, 0, 1, -0, -0, -0, -0, -1],
|
||||
[1, 2, 2, 2, 1, 0, -0, -0, -0, -0, -0],
|
||||
[-1, 0, 0, 0, 0, 0, -1, -0, -0, -0, -0],
|
||||
[0, -1, 0, 0, 0, 0, -0, -1, -0, -0, -0],
|
||||
[0, 0, -1, 0, 0, 0, -0, -0, -1, -0, -0],
|
||||
[0, 0, 0, -1, 0, 0, -0, -0, -0, -1, -0],
|
||||
[0, 0, 0, 0, -1, 0, -0, -0, -0, -0, -1]], dtype=float)
|
||||
b = np.array([0, 0, 0, 0, 0, 1, 0, 0, 0, 0, 0], dtype=float)
|
||||
assert (A == A.T).all()
|
||||
self.cases.append(Case("sym-nonpd", A, b,
|
||||
skip=posdef_solvers,
|
||||
nonconvergence=[cgs, bicg, bicgstab, qmr, tfqmr]
|
||||
)
|
||||
)
|
||||
|
||||
def generate_tests(self):
|
||||
# generate test cases with skips applied
|
||||
tests = []
|
||||
for case in self.cases:
|
||||
for solver in _SOLVERS:
|
||||
if (solver in case.skip):
|
||||
continue
|
||||
if solver in case.nonconvergence:
|
||||
tests += [SingleTest(case.A, case.b, solver, case.name,
|
||||
convergence=False)]
|
||||
else:
|
||||
tests += [SingleTest(case.A, case.b, solver, case.name)]
|
||||
return tests
|
||||
|
||||
|
||||
cases = IterativeParams().generate_tests()
|
||||
|
||||
|
||||
@pytest.fixture(params=cases, ids=[x.name for x in cases], scope="module")
|
||||
def case(request):
|
||||
"""
|
||||
Fixture for all cases in IterativeParams
|
||||
"""
|
||||
return request.param
|
||||
|
||||
|
||||
def test_maxiter(case):
|
||||
if not case.convergence:
|
||||
pytest.skip("Solver - Breakdown case, see gh-8829")
|
||||
A = case.A
|
||||
rtol = 1e-12
|
||||
|
||||
b = case.b
|
||||
x0 = 0 * b
|
||||
|
||||
residuals = []
|
||||
|
||||
def callback(x):
|
||||
residuals.append(norm(b - case.A * x))
|
||||
|
||||
if case.solver == gmres:
|
||||
with pytest.warns(DeprecationWarning, match=CB_TYPE_FILTER):
|
||||
x, info = case.solver(A, b, x0=x0, rtol=rtol, maxiter=1, callback=callback)
|
||||
else:
|
||||
x, info = case.solver(A, b, x0=x0, rtol=rtol, maxiter=1, callback=callback)
|
||||
|
||||
assert len(residuals) == 1
|
||||
assert info == 1
|
||||
|
||||
|
||||
def test_convergence(case):
|
||||
A = case.A
|
||||
|
||||
if A.dtype.char in "dD":
|
||||
rtol = 1e-8
|
||||
else:
|
||||
rtol = 1e-2
|
||||
|
||||
b = case.b
|
||||
x0 = 0 * b
|
||||
|
||||
x, info = case.solver(A, b, x0=x0, rtol=rtol)
|
||||
|
||||
assert_array_equal(x0, 0 * b) # ensure that x0 is not overwritten
|
||||
if case.convergence:
|
||||
assert info == 0
|
||||
assert norm(A @ x - b) <= norm(b) * rtol
|
||||
else:
|
||||
assert info != 0
|
||||
assert norm(A @ x - b) <= norm(b)
|
||||
|
||||
|
||||
def test_precond_dummy(case):
|
||||
if not case.convergence:
|
||||
pytest.skip("Solver - Breakdown case, see gh-8829")
|
||||
|
||||
rtol = 1e-8
|
||||
|
||||
def identity(b, which=None):
|
||||
"""trivial preconditioner"""
|
||||
return b
|
||||
|
||||
A = case.A
|
||||
|
||||
M, N = A.shape
|
||||
# Ensure the diagonal elements of A are non-zero before calculating
|
||||
# 1.0/A.diagonal()
|
||||
diagOfA = A.diagonal()
|
||||
if np.count_nonzero(diagOfA) == len(diagOfA):
|
||||
spdiags([1.0 / diagOfA], [0], M, N)
|
||||
|
||||
b = case.b
|
||||
x0 = 0 * b
|
||||
|
||||
precond = LinearOperator(A.shape, identity, rmatvec=identity)
|
||||
|
||||
if case.solver is qmr:
|
||||
x, info = case.solver(A, b, M1=precond, M2=precond, x0=x0, rtol=rtol)
|
||||
else:
|
||||
x, info = case.solver(A, b, M=precond, x0=x0, rtol=rtol)
|
||||
assert info == 0
|
||||
assert norm(A @ x - b) <= norm(b) * rtol
|
||||
|
||||
A = aslinearoperator(A)
|
||||
A.psolve = identity
|
||||
A.rpsolve = identity
|
||||
|
||||
x, info = case.solver(A, b, x0=x0, rtol=rtol)
|
||||
assert info == 0
|
||||
assert norm(A @ x - b) <= norm(b) * rtol
|
||||
|
||||
|
||||
# Specific test for poisson1d and poisson2d cases
|
||||
@pytest.mark.fail_slow(5)
|
||||
@pytest.mark.parametrize('case', [x for x in IterativeParams().cases
|
||||
if x.name in ('poisson1d', 'poisson2d')],
|
||||
ids=['poisson1d', 'poisson2d'])
|
||||
def test_precond_inverse(case):
|
||||
for solver in _SOLVERS:
|
||||
if solver in case.skip or solver is qmr:
|
||||
continue
|
||||
|
||||
rtol = 1e-8
|
||||
|
||||
def inverse(b, which=None):
|
||||
"""inverse preconditioner"""
|
||||
A = case.A
|
||||
if not isinstance(A, np.ndarray):
|
||||
A = A.toarray()
|
||||
return np.linalg.solve(A, b)
|
||||
|
||||
def rinverse(b, which=None):
|
||||
"""inverse preconditioner"""
|
||||
A = case.A
|
||||
if not isinstance(A, np.ndarray):
|
||||
A = A.toarray()
|
||||
return np.linalg.solve(A.T, b)
|
||||
|
||||
matvec_count = [0]
|
||||
|
||||
def matvec(b):
|
||||
matvec_count[0] += 1
|
||||
return case.A @ b
|
||||
|
||||
def rmatvec(b):
|
||||
matvec_count[0] += 1
|
||||
return case.A.T @ b
|
||||
|
||||
b = case.b
|
||||
x0 = 0 * b
|
||||
|
||||
A = LinearOperator(case.A.shape, matvec, rmatvec=rmatvec)
|
||||
precond = LinearOperator(case.A.shape, inverse, rmatvec=rinverse)
|
||||
|
||||
# Solve with preconditioner
|
||||
matvec_count = [0]
|
||||
x, info = solver(A, b, M=precond, x0=x0, rtol=rtol)
|
||||
|
||||
assert info == 0
|
||||
assert norm(case.A @ x - b) <= norm(b) * rtol
|
||||
|
||||
# Solution should be nearly instant
|
||||
assert matvec_count[0] <= 3
|
||||
|
||||
|
||||
def test_atol(solver):
|
||||
# TODO: minres / tfqmr. It didn't historically use absolute tolerances, so
|
||||
# fixing it is less urgent.
|
||||
if solver in (minres, tfqmr):
|
||||
pytest.skip("TODO: Add atol to minres/tfqmr")
|
||||
|
||||
# Historically this is tested as below, all pass but for some reason
|
||||
# gcrotmk is over-sensitive to difference between random.seed/rng.random
|
||||
# Hence tol lower bound is changed from -10 to -9
|
||||
# np.random.seed(1234)
|
||||
# A = np.random.rand(10, 10)
|
||||
# A = A @ A.T + 10 * np.eye(10)
|
||||
# b = 1e3*np.random.rand(10)
|
||||
|
||||
rng = np.random.default_rng(168441431005389)
|
||||
A = rng.uniform(size=[10, 10])
|
||||
A = A @ A.T + 10*np.eye(10)
|
||||
b = 1e3 * rng.uniform(size=10)
|
||||
|
||||
b_norm = np.linalg.norm(b)
|
||||
|
||||
tols = np.r_[0, np.logspace(-9, 2, 7), np.inf]
|
||||
|
||||
# Check effect of badly scaled preconditioners
|
||||
M0 = rng.standard_normal(size=(10, 10))
|
||||
M0 = M0 @ M0.T
|
||||
Ms = [None, 1e-6 * M0, 1e6 * M0]
|
||||
|
||||
for M, rtol, atol in itertools.product(Ms, tols, tols):
|
||||
if rtol == 0 and atol == 0:
|
||||
continue
|
||||
|
||||
if solver is qmr:
|
||||
if M is not None:
|
||||
M = aslinearoperator(M)
|
||||
M2 = aslinearoperator(np.eye(10))
|
||||
else:
|
||||
M2 = None
|
||||
x, info = solver(A, b, M1=M, M2=M2, rtol=rtol, atol=atol)
|
||||
else:
|
||||
x, info = solver(A, b, M=M, rtol=rtol, atol=atol)
|
||||
|
||||
assert info == 0
|
||||
residual = A @ x - b
|
||||
err = np.linalg.norm(residual)
|
||||
atol2 = rtol * b_norm
|
||||
# Added 1.00025 fudge factor because of `err` exceeding `atol` just
|
||||
# very slightly on s390x (see gh-17839)
|
||||
assert err <= 1.00025 * max(atol, atol2)
|
||||
|
||||
|
||||
def test_zero_rhs(solver):
|
||||
rng = np.random.default_rng(1684414984100503)
|
||||
A = rng.random(size=[10, 10])
|
||||
A = A @ A.T + 10 * np.eye(10)
|
||||
|
||||
b = np.zeros(10)
|
||||
tols = np.r_[np.logspace(-10, 2, 7)]
|
||||
|
||||
for tol in tols:
|
||||
x, info = solver(A, b, rtol=tol)
|
||||
assert info == 0
|
||||
assert_allclose(x, 0., atol=1e-15)
|
||||
|
||||
x, info = solver(A, b, rtol=tol, x0=ones(10))
|
||||
assert info == 0
|
||||
assert_allclose(x, 0., atol=tol)
|
||||
|
||||
if solver is not minres:
|
||||
x, info = solver(A, b, rtol=tol, atol=0, x0=ones(10))
|
||||
if info == 0:
|
||||
assert_allclose(x, 0)
|
||||
|
||||
x, info = solver(A, b, rtol=tol, atol=tol)
|
||||
assert info == 0
|
||||
assert_allclose(x, 0, atol=1e-300)
|
||||
|
||||
x, info = solver(A, b, rtol=tol, atol=0)
|
||||
assert info == 0
|
||||
assert_allclose(x, 0, atol=1e-300)
|
||||
|
||||
|
||||
@pytest.mark.xfail(reason="see gh-18697")
|
||||
def test_maxiter_worsening(solver):
|
||||
if solver not in (gmres, lgmres, qmr):
|
||||
# these were skipped from the very beginning, see gh-9201; gh-14160
|
||||
pytest.skip("Solver breakdown case")
|
||||
# Check error does not grow (boundlessly) with increasing maxiter.
|
||||
# This can occur due to the solvers hitting close to breakdown,
|
||||
# which they should detect and halt as necessary.
|
||||
# cf. gh-9100
|
||||
if (solver is gmres and platform.machine() == 'aarch64'
|
||||
and sys.version_info[1] == 9):
|
||||
pytest.xfail(reason="gh-13019")
|
||||
if (solver is lgmres and
|
||||
platform.machine() not in ['x86_64' 'x86', 'aarch64', 'arm64']):
|
||||
# see gh-17839
|
||||
pytest.xfail(reason="fails on at least ppc64le, ppc64 and riscv64")
|
||||
|
||||
# Singular matrix, rhs numerically not in range
|
||||
A = np.array([[-0.1112795288033378, 0, 0, 0.16127952880333685],
|
||||
[0, -0.13627952880333782 + 6.283185307179586j, 0, 0],
|
||||
[0, 0, -0.13627952880333782 - 6.283185307179586j, 0],
|
||||
[0.1112795288033368, 0j, 0j, -0.16127952880333785]])
|
||||
v = np.ones(4)
|
||||
best_error = np.inf
|
||||
|
||||
# Unable to match the Fortran code tolerance levels with this example
|
||||
# Original tolerance values
|
||||
|
||||
# slack_tol = 7 if platform.machine() == 'aarch64' else 5
|
||||
slack_tol = 9
|
||||
|
||||
for maxiter in range(1, 20):
|
||||
x, info = solver(A, v, maxiter=maxiter, rtol=1e-8, atol=0)
|
||||
|
||||
if info == 0:
|
||||
assert norm(A @ x - v) <= 1e-8 * norm(v)
|
||||
|
||||
error = np.linalg.norm(A @ x - v)
|
||||
best_error = min(best_error, error)
|
||||
|
||||
# Check with slack
|
||||
assert error <= slack_tol * best_error
|
||||
|
||||
|
||||
def test_x0_working(solver):
|
||||
# Easy problem
|
||||
rng = np.random.default_rng(1685363802304750)
|
||||
n = 10
|
||||
A = rng.random(size=[n, n])
|
||||
A = A @ A.T
|
||||
b = rng.random(n)
|
||||
x0 = rng.random(n)
|
||||
|
||||
if solver is minres:
|
||||
kw = dict(rtol=1e-6)
|
||||
else:
|
||||
kw = dict(atol=0, rtol=1e-6)
|
||||
|
||||
x, info = solver(A, b, **kw)
|
||||
assert info == 0
|
||||
assert norm(A @ x - b) <= 1e-6 * norm(b)
|
||||
|
||||
x, info = solver(A, b, x0=x0, **kw)
|
||||
assert info == 0
|
||||
assert norm(A @ x - b) <= 3e-6*norm(b)
|
||||
|
||||
|
||||
def test_x0_equals_Mb(case):
|
||||
if (case.solver is bicgstab) and (case.name == 'nonsymposdef-bicgstab'):
|
||||
pytest.skip("Solver fails due to numerical noise "
|
||||
"on some architectures (see gh-15533).")
|
||||
if case.solver is tfqmr:
|
||||
pytest.skip("Solver does not support x0='Mb'")
|
||||
|
||||
A = case.A
|
||||
b = case.b
|
||||
x0 = 'Mb'
|
||||
rtol = 1e-8
|
||||
x, info = case.solver(A, b, x0=x0, rtol=rtol)
|
||||
|
||||
assert_array_equal(x0, 'Mb') # ensure that x0 is not overwritten
|
||||
assert info == 0
|
||||
assert norm(A @ x - b) <= rtol * norm(b)
|
||||
|
||||
|
||||
@pytest.mark.parametrize('solver', _SOLVERS)
|
||||
def test_x0_solves_problem_exactly(solver):
|
||||
# See gh-19948
|
||||
mat = np.eye(2)
|
||||
rhs = np.array([-1., -1.])
|
||||
|
||||
sol, info = solver(mat, rhs, x0=rhs)
|
||||
assert_allclose(sol, rhs)
|
||||
assert info == 0
|
||||
|
||||
|
||||
# Specific tfqmr test
|
||||
@pytest.mark.parametrize('case', IterativeParams().cases)
|
||||
def test_show(case, capsys):
|
||||
def cb(x):
|
||||
pass
|
||||
|
||||
x, info = tfqmr(case.A, case.b, callback=cb, show=True)
|
||||
out, err = capsys.readouterr()
|
||||
|
||||
if case.name == "sym-nonpd":
|
||||
# no logs for some reason
|
||||
exp = ""
|
||||
elif case.name in ("nonsymposdef", "nonsymposdef-F"):
|
||||
# Asymmetric and Positive Definite
|
||||
exp = "TFQMR: Linear solve not converged due to reach MAXIT iterations"
|
||||
else: # all other cases
|
||||
exp = "TFQMR: Linear solve converged due to reach TOL iterations"
|
||||
|
||||
assert out.startswith(exp)
|
||||
assert err == ""
|
||||
|
||||
|
||||
def test_positional_error(solver):
|
||||
# from test_x0_working
|
||||
rng = np.random.default_rng(1685363802304750)
|
||||
n = 10
|
||||
A = rng.random(size=[n, n])
|
||||
A = A @ A.T
|
||||
b = rng.random(n)
|
||||
x0 = rng.random(n)
|
||||
with pytest.raises(TypeError):
|
||||
solver(A, b, x0, 1e-5)
|
||||
|
||||
|
||||
@pytest.mark.parametrize("atol", ["legacy", None, -1])
|
||||
def test_invalid_atol(solver, atol):
|
||||
if solver == minres:
|
||||
pytest.skip("minres has no `atol` argument")
|
||||
# from test_x0_working
|
||||
rng = np.random.default_rng(1685363802304750)
|
||||
n = 10
|
||||
A = rng.random(size=[n, n])
|
||||
A = A @ A.T
|
||||
b = rng.random(n)
|
||||
x0 = rng.random(n)
|
||||
with pytest.raises(ValueError):
|
||||
solver(A, b, x0, atol=atol)
|
||||
|
||||
|
||||
class TestQMR:
|
||||
@pytest.mark.filterwarnings('ignore::scipy.sparse.SparseEfficiencyWarning')
|
||||
def test_leftright_precond(self):
|
||||
"""Check that QMR works with left and right preconditioners"""
|
||||
|
||||
from scipy.sparse.linalg._dsolve import splu
|
||||
from scipy.sparse.linalg._interface import LinearOperator
|
||||
|
||||
n = 100
|
||||
|
||||
dat = ones(n)
|
||||
A = spdiags([-2 * dat, 4 * dat, -dat], [-1, 0, 1], n, n)
|
||||
b = arange(n, dtype='d')
|
||||
|
||||
L = spdiags([-dat / 2, dat], [-1, 0], n, n)
|
||||
U = spdiags([4 * dat, -dat], [0, 1], n, n)
|
||||
L_solver = splu(L)
|
||||
U_solver = splu(U)
|
||||
|
||||
def L_solve(b):
|
||||
return L_solver.solve(b)
|
||||
|
||||
def U_solve(b):
|
||||
return U_solver.solve(b)
|
||||
|
||||
def LT_solve(b):
|
||||
return L_solver.solve(b, 'T')
|
||||
|
||||
def UT_solve(b):
|
||||
return U_solver.solve(b, 'T')
|
||||
|
||||
M1 = LinearOperator((n, n), matvec=L_solve, rmatvec=LT_solve)
|
||||
M2 = LinearOperator((n, n), matvec=U_solve, rmatvec=UT_solve)
|
||||
|
||||
rtol = 1e-8
|
||||
x, info = qmr(A, b, rtol=rtol, maxiter=15, M1=M1, M2=M2)
|
||||
|
||||
assert info == 0
|
||||
assert norm(A @ x - b) <= rtol * norm(b)
|
||||
|
||||
|
||||
class TestGMRES:
|
||||
def test_basic(self):
|
||||
A = np.vander(np.arange(10) + 1)[:, ::-1]
|
||||
b = np.zeros(10)
|
||||
b[0] = 1
|
||||
|
||||
x_gm, err = gmres(A, b, restart=5, maxiter=1)
|
||||
|
||||
assert_allclose(x_gm[0], 0.359, rtol=1e-2)
|
||||
|
||||
@pytest.mark.filterwarnings(f"ignore:{CB_TYPE_FILTER}:DeprecationWarning")
|
||||
def test_callback(self):
|
||||
|
||||
def store_residual(r, rvec):
|
||||
rvec[rvec.nonzero()[0].max() + 1] = r
|
||||
|
||||
# Define, A,b
|
||||
A = csr_matrix(array([[-2, 1, 0, 0, 0, 0],
|
||||
[1, -2, 1, 0, 0, 0],
|
||||
[0, 1, -2, 1, 0, 0],
|
||||
[0, 0, 1, -2, 1, 0],
|
||||
[0, 0, 0, 1, -2, 1],
|
||||
[0, 0, 0, 0, 1, -2]]))
|
||||
b = ones((A.shape[0],))
|
||||
maxiter = 1
|
||||
rvec = zeros(maxiter + 1)
|
||||
rvec[0] = 1.0
|
||||
|
||||
def callback(r):
|
||||
return store_residual(r, rvec)
|
||||
|
||||
x, flag = gmres(A, b, x0=zeros(A.shape[0]), rtol=1e-16,
|
||||
maxiter=maxiter, callback=callback)
|
||||
|
||||
# Expected output from SciPy 1.0.0
|
||||
assert_allclose(rvec, array([1.0, 0.81649658092772603]), rtol=1e-10)
|
||||
|
||||
# Test preconditioned callback
|
||||
M = 1e-3 * np.eye(A.shape[0])
|
||||
rvec = zeros(maxiter + 1)
|
||||
rvec[0] = 1.0
|
||||
x, flag = gmres(A, b, M=M, rtol=1e-16, maxiter=maxiter,
|
||||
callback=callback)
|
||||
|
||||
# Expected output from SciPy 1.0.0
|
||||
# (callback has preconditioned residual!)
|
||||
assert_allclose(rvec, array([1.0, 1e-3 * 0.81649658092772603]),
|
||||
rtol=1e-10)
|
||||
|
||||
def test_abi(self):
|
||||
# Check we don't segfault on gmres with complex argument
|
||||
A = eye(2)
|
||||
b = ones(2)
|
||||
r_x, r_info = gmres(A, b)
|
||||
r_x = r_x.astype(complex)
|
||||
x, info = gmres(A.astype(complex), b.astype(complex))
|
||||
|
||||
assert iscomplexobj(x)
|
||||
assert_allclose(r_x, x)
|
||||
assert r_info == info
|
||||
|
||||
@pytest.mark.fail_slow(5)
|
||||
def test_atol_legacy(self):
|
||||
|
||||
A = eye(2)
|
||||
b = ones(2)
|
||||
x, info = gmres(A, b, rtol=1e-5)
|
||||
assert np.linalg.norm(A @ x - b) <= 1e-5 * np.linalg.norm(b)
|
||||
assert_allclose(x, b, atol=0, rtol=1e-8)
|
||||
|
||||
rndm = np.random.RandomState(12345)
|
||||
A = rndm.rand(30, 30)
|
||||
b = 1e-6 * ones(30)
|
||||
x, info = gmres(A, b, rtol=1e-7, restart=20)
|
||||
assert np.linalg.norm(A @ x - b) > 1e-7
|
||||
|
||||
A = eye(2)
|
||||
b = 1e-10 * ones(2)
|
||||
x, info = gmres(A, b, rtol=1e-8, atol=0)
|
||||
assert np.linalg.norm(A @ x - b) <= 1e-8 * np.linalg.norm(b)
|
||||
|
||||
def test_defective_precond_breakdown(self):
|
||||
# Breakdown due to defective preconditioner
|
||||
M = np.eye(3)
|
||||
M[2, 2] = 0
|
||||
|
||||
b = np.array([0, 1, 1])
|
||||
x = np.array([1, 0, 0])
|
||||
A = np.diag([2, 3, 4])
|
||||
|
||||
x, info = gmres(A, b, x0=x, M=M, rtol=1e-15, atol=0)
|
||||
|
||||
# Should not return nans, nor terminate with false success
|
||||
assert not np.isnan(x).any()
|
||||
if info == 0:
|
||||
assert np.linalg.norm(A @ x - b) <= 1e-15 * np.linalg.norm(b)
|
||||
|
||||
# The solution should be OK outside null space of M
|
||||
assert_allclose(M @ (A @ x), M @ b)
|
||||
|
||||
def test_defective_matrix_breakdown(self):
|
||||
# Breakdown due to defective matrix
|
||||
A = np.array([[0, 1, 0], [1, 0, 0], [0, 0, 0]])
|
||||
b = np.array([1, 0, 1])
|
||||
rtol = 1e-8
|
||||
x, info = gmres(A, b, rtol=rtol, atol=0)
|
||||
|
||||
# Should not return nans, nor terminate with false success
|
||||
assert not np.isnan(x).any()
|
||||
if info == 0:
|
||||
assert np.linalg.norm(A @ x - b) <= rtol * np.linalg.norm(b)
|
||||
|
||||
# The solution should be OK outside null space of A
|
||||
assert_allclose(A @ (A @ x), A @ b)
|
||||
|
||||
@pytest.mark.filterwarnings(f"ignore:{CB_TYPE_FILTER}:DeprecationWarning")
|
||||
def test_callback_type(self):
|
||||
# The legacy callback type changes meaning of 'maxiter'
|
||||
np.random.seed(1)
|
||||
A = np.random.rand(20, 20)
|
||||
b = np.random.rand(20)
|
||||
|
||||
cb_count = [0]
|
||||
|
||||
def pr_norm_cb(r):
|
||||
cb_count[0] += 1
|
||||
assert isinstance(r, float)
|
||||
|
||||
def x_cb(x):
|
||||
cb_count[0] += 1
|
||||
assert isinstance(x, np.ndarray)
|
||||
|
||||
# 2 iterations is not enough to solve the problem
|
||||
cb_count = [0]
|
||||
x, info = gmres(A, b, rtol=1e-6, atol=0, callback=pr_norm_cb,
|
||||
maxiter=2, restart=50)
|
||||
assert info == 2
|
||||
assert cb_count[0] == 2
|
||||
|
||||
# With `callback_type` specified, no warning should be raised
|
||||
cb_count = [0]
|
||||
x, info = gmres(A, b, rtol=1e-6, atol=0, callback=pr_norm_cb,
|
||||
maxiter=2, restart=50, callback_type='legacy')
|
||||
assert info == 2
|
||||
assert cb_count[0] == 2
|
||||
|
||||
# 2 restart cycles is enough to solve the problem
|
||||
cb_count = [0]
|
||||
x, info = gmres(A, b, rtol=1e-6, atol=0, callback=pr_norm_cb,
|
||||
maxiter=2, restart=50, callback_type='pr_norm')
|
||||
assert info == 0
|
||||
assert cb_count[0] > 2
|
||||
|
||||
# 2 restart cycles is enough to solve the problem
|
||||
cb_count = [0]
|
||||
x, info = gmres(A, b, rtol=1e-6, atol=0, callback=x_cb, maxiter=2,
|
||||
restart=50, callback_type='x')
|
||||
assert info == 0
|
||||
assert cb_count[0] == 1
|
||||
|
||||
def test_callback_x_monotonic(self):
|
||||
# Check that callback_type='x' gives monotonic norm decrease
|
||||
np.random.seed(1)
|
||||
A = np.random.rand(20, 20) + np.eye(20)
|
||||
b = np.random.rand(20)
|
||||
|
||||
prev_r = [np.inf]
|
||||
count = [0]
|
||||
|
||||
def x_cb(x):
|
||||
r = np.linalg.norm(A @ x - b)
|
||||
assert r <= prev_r[0]
|
||||
prev_r[0] = r
|
||||
count[0] += 1
|
||||
|
||||
x, info = gmres(A, b, rtol=1e-6, atol=0, callback=x_cb, maxiter=20,
|
||||
restart=10, callback_type='x')
|
||||
assert info == 20
|
||||
assert count[0] == 20
|
||||
211
.CondaPkg/env/Lib/site-packages/scipy/sparse/linalg/_isolve/tests/test_lgmres.py
vendored
Normal file
211
.CondaPkg/env/Lib/site-packages/scipy/sparse/linalg/_isolve/tests/test_lgmres.py
vendored
Normal file
@@ -0,0 +1,211 @@
|
||||
"""Tests for the linalg._isolve.lgmres module
|
||||
"""
|
||||
|
||||
from numpy.testing import (assert_, assert_allclose, assert_equal,
|
||||
suppress_warnings)
|
||||
|
||||
import pytest
|
||||
from platform import python_implementation
|
||||
|
||||
import numpy as np
|
||||
from numpy import zeros, array, allclose
|
||||
from scipy.linalg import norm
|
||||
from scipy.sparse import csr_matrix, eye, rand
|
||||
|
||||
from scipy.sparse.linalg._interface import LinearOperator
|
||||
from scipy.sparse.linalg import splu
|
||||
from scipy.sparse.linalg._isolve import lgmres, gmres
|
||||
|
||||
|
||||
Am = csr_matrix(array([[-2, 1, 0, 0, 0, 9],
|
||||
[1, -2, 1, 0, 5, 0],
|
||||
[0, 1, -2, 1, 0, 0],
|
||||
[0, 0, 1, -2, 1, 0],
|
||||
[0, 3, 0, 1, -2, 1],
|
||||
[1, 0, 0, 0, 1, -2]]))
|
||||
b = array([1, 2, 3, 4, 5, 6])
|
||||
count = [0]
|
||||
|
||||
|
||||
def matvec(v):
|
||||
count[0] += 1
|
||||
return Am@v
|
||||
|
||||
|
||||
A = LinearOperator(matvec=matvec, shape=Am.shape, dtype=Am.dtype)
|
||||
|
||||
|
||||
def do_solve(**kw):
|
||||
count[0] = 0
|
||||
with suppress_warnings() as sup:
|
||||
sup.filter(DeprecationWarning, ".*called without specifying.*")
|
||||
x0, flag = lgmres(A, b, x0=zeros(A.shape[0]),
|
||||
inner_m=6, rtol=1e-14, **kw)
|
||||
count_0 = count[0]
|
||||
assert_(allclose(A@x0, b, rtol=1e-12, atol=1e-12), norm(A@x0-b))
|
||||
return x0, count_0
|
||||
|
||||
|
||||
class TestLGMRES:
|
||||
def test_preconditioner(self):
|
||||
# Check that preconditioning works
|
||||
pc = splu(Am.tocsc())
|
||||
M = LinearOperator(matvec=pc.solve, shape=A.shape, dtype=A.dtype)
|
||||
|
||||
x0, count_0 = do_solve()
|
||||
x1, count_1 = do_solve(M=M)
|
||||
|
||||
assert_(count_1 == 3)
|
||||
assert_(count_1 < count_0/2)
|
||||
assert_(allclose(x1, x0, rtol=1e-14))
|
||||
|
||||
def test_outer_v(self):
|
||||
# Check that the augmentation vectors behave as expected
|
||||
|
||||
outer_v = []
|
||||
x0, count_0 = do_solve(outer_k=6, outer_v=outer_v)
|
||||
assert_(len(outer_v) > 0)
|
||||
assert_(len(outer_v) <= 6)
|
||||
|
||||
x1, count_1 = do_solve(outer_k=6, outer_v=outer_v,
|
||||
prepend_outer_v=True)
|
||||
assert_(count_1 == 2, count_1)
|
||||
assert_(count_1 < count_0/2)
|
||||
assert_(allclose(x1, x0, rtol=1e-14))
|
||||
|
||||
# ---
|
||||
|
||||
outer_v = []
|
||||
x0, count_0 = do_solve(outer_k=6, outer_v=outer_v,
|
||||
store_outer_Av=False)
|
||||
assert_(array([v[1] is None for v in outer_v]).all())
|
||||
assert_(len(outer_v) > 0)
|
||||
assert_(len(outer_v) <= 6)
|
||||
|
||||
x1, count_1 = do_solve(outer_k=6, outer_v=outer_v,
|
||||
prepend_outer_v=True)
|
||||
assert_(count_1 == 3, count_1)
|
||||
assert_(count_1 < count_0/2)
|
||||
assert_(allclose(x1, x0, rtol=1e-14))
|
||||
|
||||
@pytest.mark.skipif(python_implementation() == 'PyPy',
|
||||
reason="Fails on PyPy CI runs. See #9507")
|
||||
def test_arnoldi(self):
|
||||
np.random.seed(1234)
|
||||
|
||||
A = eye(2000) + rand(2000, 2000, density=5e-4)
|
||||
b = np.random.rand(2000)
|
||||
|
||||
# The inner arnoldi should be equivalent to gmres
|
||||
with suppress_warnings() as sup:
|
||||
sup.filter(DeprecationWarning, ".*called without specifying.*")
|
||||
x0, flag0 = lgmres(A, b, x0=zeros(A.shape[0]),
|
||||
inner_m=15, maxiter=1)
|
||||
x1, flag1 = gmres(A, b, x0=zeros(A.shape[0]),
|
||||
restart=15, maxiter=1)
|
||||
|
||||
assert_equal(flag0, 1)
|
||||
assert_equal(flag1, 1)
|
||||
norm = np.linalg.norm(A.dot(x0) - b)
|
||||
assert_(norm > 1e-4)
|
||||
assert_allclose(x0, x1)
|
||||
|
||||
def test_cornercase(self):
|
||||
np.random.seed(1234)
|
||||
|
||||
# Rounding error may prevent convergence with tol=0 --- ensure
|
||||
# that the return values in this case are correct, and no
|
||||
# exceptions are raised
|
||||
|
||||
for n in [3, 5, 10, 100]:
|
||||
A = 2*eye(n)
|
||||
|
||||
with suppress_warnings() as sup:
|
||||
sup.filter(DeprecationWarning, ".*called without specifying.*")
|
||||
|
||||
b = np.ones(n)
|
||||
x, info = lgmres(A, b, maxiter=10)
|
||||
assert_equal(info, 0)
|
||||
assert_allclose(A.dot(x) - b, 0, atol=1e-14)
|
||||
|
||||
x, info = lgmres(A, b, rtol=0, maxiter=10)
|
||||
if info == 0:
|
||||
assert_allclose(A.dot(x) - b, 0, atol=1e-14)
|
||||
|
||||
b = np.random.rand(n)
|
||||
x, info = lgmres(A, b, maxiter=10)
|
||||
assert_equal(info, 0)
|
||||
assert_allclose(A.dot(x) - b, 0, atol=1e-14)
|
||||
|
||||
x, info = lgmres(A, b, rtol=0, maxiter=10)
|
||||
if info == 0:
|
||||
assert_allclose(A.dot(x) - b, 0, atol=1e-14)
|
||||
|
||||
def test_nans(self):
|
||||
A = eye(3, format='lil')
|
||||
A[1, 1] = np.nan
|
||||
b = np.ones(3)
|
||||
|
||||
with suppress_warnings() as sup:
|
||||
sup.filter(DeprecationWarning, ".*called without specifying.*")
|
||||
x, info = lgmres(A, b, rtol=0, maxiter=10)
|
||||
assert_equal(info, 1)
|
||||
|
||||
def test_breakdown_with_outer_v(self):
|
||||
A = np.array([[1, 2], [3, 4]], dtype=float)
|
||||
b = np.array([1, 2])
|
||||
|
||||
x = np.linalg.solve(A, b)
|
||||
v0 = np.array([1, 0])
|
||||
|
||||
# The inner iteration should converge to the correct solution,
|
||||
# since it's in the outer vector list
|
||||
with suppress_warnings() as sup:
|
||||
sup.filter(DeprecationWarning, ".*called without specifying.*")
|
||||
xp, info = lgmres(A, b, outer_v=[(v0, None), (x, None)], maxiter=1)
|
||||
|
||||
assert_allclose(xp, x, atol=1e-12)
|
||||
|
||||
def test_breakdown_underdetermined(self):
|
||||
# Should find LSQ solution in the Krylov span in one inner
|
||||
# iteration, despite solver breakdown from nilpotent A.
|
||||
A = np.array([[0, 1, 1, 1],
|
||||
[0, 0, 1, 1],
|
||||
[0, 0, 0, 1],
|
||||
[0, 0, 0, 0]], dtype=float)
|
||||
|
||||
bs = [
|
||||
np.array([1, 1, 1, 1]),
|
||||
np.array([1, 1, 1, 0]),
|
||||
np.array([1, 1, 0, 0]),
|
||||
np.array([1, 0, 0, 0]),
|
||||
]
|
||||
|
||||
for b in bs:
|
||||
with suppress_warnings() as sup:
|
||||
sup.filter(DeprecationWarning, ".*called without specifying.*")
|
||||
xp, info = lgmres(A, b, maxiter=1)
|
||||
resp = np.linalg.norm(A.dot(xp) - b)
|
||||
|
||||
K = np.c_[b, A.dot(b), A.dot(A.dot(b)), A.dot(A.dot(A.dot(b)))]
|
||||
y, _, _, _ = np.linalg.lstsq(A.dot(K), b, rcond=-1)
|
||||
x = K.dot(y)
|
||||
res = np.linalg.norm(A.dot(x) - b)
|
||||
|
||||
assert_allclose(resp, res, err_msg=repr(b))
|
||||
|
||||
def test_denormals(self):
|
||||
# Check that no warnings are emitted if the matrix contains
|
||||
# numbers for which 1/x has no float representation, and that
|
||||
# the solver behaves properly.
|
||||
A = np.array([[1, 2], [3, 4]], dtype=float)
|
||||
A *= 100 * np.nextafter(0, 1)
|
||||
|
||||
b = np.array([1, 1])
|
||||
|
||||
with suppress_warnings() as sup:
|
||||
sup.filter(DeprecationWarning, ".*called without specifying.*")
|
||||
xp, info = lgmres(A, b)
|
||||
|
||||
if info == 0:
|
||||
assert_allclose(A.dot(xp), b)
|
||||
185
.CondaPkg/env/Lib/site-packages/scipy/sparse/linalg/_isolve/tests/test_lsmr.py
vendored
Normal file
185
.CondaPkg/env/Lib/site-packages/scipy/sparse/linalg/_isolve/tests/test_lsmr.py
vendored
Normal file
@@ -0,0 +1,185 @@
|
||||
"""
|
||||
Copyright (C) 2010 David Fong and Michael Saunders
|
||||
Distributed under the same license as SciPy
|
||||
|
||||
Testing Code for LSMR.
|
||||
|
||||
03 Jun 2010: First version release with lsmr.py
|
||||
|
||||
David Chin-lung Fong clfong@stanford.edu
|
||||
Institute for Computational and Mathematical Engineering
|
||||
Stanford University
|
||||
|
||||
Michael Saunders saunders@stanford.edu
|
||||
Systems Optimization Laboratory
|
||||
Dept of MS&E, Stanford University.
|
||||
|
||||
"""
|
||||
|
||||
from numpy import array, arange, eye, zeros, ones, transpose, hstack
|
||||
from numpy.linalg import norm
|
||||
from numpy.testing import assert_allclose
|
||||
import pytest
|
||||
from scipy.sparse import coo_matrix
|
||||
from scipy.sparse.linalg._interface import aslinearoperator
|
||||
from scipy.sparse.linalg import lsmr
|
||||
from .test_lsqr import G, b
|
||||
|
||||
|
||||
class TestLSMR:
|
||||
def setup_method(self):
|
||||
self.n = 10
|
||||
self.m = 10
|
||||
|
||||
def assertCompatibleSystem(self, A, xtrue):
|
||||
Afun = aslinearoperator(A)
|
||||
b = Afun.matvec(xtrue)
|
||||
x = lsmr(A, b)[0]
|
||||
assert norm(x - xtrue) == pytest.approx(0, abs=1e-5)
|
||||
|
||||
def testIdentityACase1(self):
|
||||
A = eye(self.n)
|
||||
xtrue = zeros((self.n, 1))
|
||||
self.assertCompatibleSystem(A, xtrue)
|
||||
|
||||
def testIdentityACase2(self):
|
||||
A = eye(self.n)
|
||||
xtrue = ones((self.n,1))
|
||||
self.assertCompatibleSystem(A, xtrue)
|
||||
|
||||
def testIdentityACase3(self):
|
||||
A = eye(self.n)
|
||||
xtrue = transpose(arange(self.n,0,-1))
|
||||
self.assertCompatibleSystem(A, xtrue)
|
||||
|
||||
def testBidiagonalA(self):
|
||||
A = lowerBidiagonalMatrix(20,self.n)
|
||||
xtrue = transpose(arange(self.n,0,-1))
|
||||
self.assertCompatibleSystem(A,xtrue)
|
||||
|
||||
def testScalarB(self):
|
||||
A = array([[1.0, 2.0]])
|
||||
b = 3.0
|
||||
x = lsmr(A, b)[0]
|
||||
assert norm(A.dot(x) - b) == pytest.approx(0)
|
||||
|
||||
def testComplexX(self):
|
||||
A = eye(self.n)
|
||||
xtrue = transpose(arange(self.n, 0, -1) * (1 + 1j))
|
||||
self.assertCompatibleSystem(A, xtrue)
|
||||
|
||||
def testComplexX0(self):
|
||||
A = 4 * eye(self.n) + ones((self.n, self.n))
|
||||
xtrue = transpose(arange(self.n, 0, -1))
|
||||
b = aslinearoperator(A).matvec(xtrue)
|
||||
x0 = zeros(self.n, dtype=complex)
|
||||
x = lsmr(A, b, x0=x0)[0]
|
||||
assert norm(x - xtrue) == pytest.approx(0, abs=1e-5)
|
||||
|
||||
def testComplexA(self):
|
||||
A = 4 * eye(self.n) + 1j * ones((self.n, self.n))
|
||||
xtrue = transpose(arange(self.n, 0, -1).astype(complex))
|
||||
self.assertCompatibleSystem(A, xtrue)
|
||||
|
||||
def testComplexB(self):
|
||||
A = 4 * eye(self.n) + ones((self.n, self.n))
|
||||
xtrue = transpose(arange(self.n, 0, -1) * (1 + 1j))
|
||||
b = aslinearoperator(A).matvec(xtrue)
|
||||
x = lsmr(A, b)[0]
|
||||
assert norm(x - xtrue) == pytest.approx(0, abs=1e-5)
|
||||
|
||||
def testColumnB(self):
|
||||
A = eye(self.n)
|
||||
b = ones((self.n, 1))
|
||||
x = lsmr(A, b)[0]
|
||||
assert norm(A.dot(x) - b.ravel()) == pytest.approx(0)
|
||||
|
||||
def testInitialization(self):
|
||||
# Test that the default setting is not modified
|
||||
x_ref, _, itn_ref, normr_ref, *_ = lsmr(G, b)
|
||||
assert_allclose(norm(b - G@x_ref), normr_ref, atol=1e-6)
|
||||
|
||||
# Test passing zeros yields similar result
|
||||
x0 = zeros(b.shape)
|
||||
x = lsmr(G, b, x0=x0)[0]
|
||||
assert_allclose(x, x_ref)
|
||||
|
||||
# Test warm-start with single iteration
|
||||
x0 = lsmr(G, b, maxiter=1)[0]
|
||||
|
||||
x, _, itn, normr, *_ = lsmr(G, b, x0=x0)
|
||||
assert_allclose(norm(b - G@x), normr, atol=1e-6)
|
||||
|
||||
# NOTE(gh-12139): This doesn't always converge to the same value as
|
||||
# ref because error estimates will be slightly different when calculated
|
||||
# from zeros vs x0 as a result only compare norm and itn (not x).
|
||||
|
||||
# x generally converges 1 iteration faster because it started at x0.
|
||||
# itn == itn_ref means that lsmr(x0) took an extra iteration see above.
|
||||
# -1 is technically possible but is rare (1 in 100000) so it's more
|
||||
# likely to be an error elsewhere.
|
||||
assert itn - itn_ref in (0, 1)
|
||||
|
||||
# If an extra iteration is performed normr may be 0, while normr_ref
|
||||
# may be much larger.
|
||||
assert normr < normr_ref * (1 + 1e-6)
|
||||
|
||||
|
||||
class TestLSMRReturns:
|
||||
def setup_method(self):
|
||||
self.n = 10
|
||||
self.A = lowerBidiagonalMatrix(20, self.n)
|
||||
self.xtrue = transpose(arange(self.n, 0, -1))
|
||||
self.Afun = aslinearoperator(self.A)
|
||||
self.b = self.Afun.matvec(self.xtrue)
|
||||
self.x0 = ones(self.n)
|
||||
self.x00 = self.x0.copy()
|
||||
self.returnValues = lsmr(self.A, self.b)
|
||||
self.returnValuesX0 = lsmr(self.A, self.b, x0=self.x0)
|
||||
|
||||
def test_unchanged_x0(self):
|
||||
x, istop, itn, normr, normar, normA, condA, normx = self.returnValuesX0
|
||||
assert_allclose(self.x00, self.x0)
|
||||
|
||||
def testNormr(self):
|
||||
x, istop, itn, normr, normar, normA, condA, normx = self.returnValues
|
||||
assert norm(self.b - self.Afun.matvec(x)) == pytest.approx(normr)
|
||||
|
||||
def testNormar(self):
|
||||
x, istop, itn, normr, normar, normA, condA, normx = self.returnValues
|
||||
assert (norm(self.Afun.rmatvec(self.b - self.Afun.matvec(x)))
|
||||
== pytest.approx(normar))
|
||||
|
||||
def testNormx(self):
|
||||
x, istop, itn, normr, normar, normA, condA, normx = self.returnValues
|
||||
assert norm(x) == pytest.approx(normx)
|
||||
|
||||
|
||||
def lowerBidiagonalMatrix(m, n):
|
||||
# This is a simple example for testing LSMR.
|
||||
# It uses the leading m*n submatrix from
|
||||
# A = [ 1
|
||||
# 1 2
|
||||
# 2 3
|
||||
# 3 4
|
||||
# ...
|
||||
# n ]
|
||||
# suitably padded by zeros.
|
||||
#
|
||||
# 04 Jun 2010: First version for distribution with lsmr.py
|
||||
if m <= n:
|
||||
row = hstack((arange(m, dtype=int),
|
||||
arange(1, m, dtype=int)))
|
||||
col = hstack((arange(m, dtype=int),
|
||||
arange(m-1, dtype=int)))
|
||||
data = hstack((arange(1, m+1, dtype=float),
|
||||
arange(1,m, dtype=float)))
|
||||
return coo_matrix((data, (row, col)), shape=(m,n))
|
||||
else:
|
||||
row = hstack((arange(n, dtype=int),
|
||||
arange(1, n+1, dtype=int)))
|
||||
col = hstack((arange(n, dtype=int),
|
||||
arange(n, dtype=int)))
|
||||
data = hstack((arange(1, n+1, dtype=float),
|
||||
arange(1,n+1, dtype=float)))
|
||||
return coo_matrix((data,(row, col)), shape=(m,n))
|
||||
120
.CondaPkg/env/Lib/site-packages/scipy/sparse/linalg/_isolve/tests/test_lsqr.py
vendored
Normal file
120
.CondaPkg/env/Lib/site-packages/scipy/sparse/linalg/_isolve/tests/test_lsqr.py
vendored
Normal file
@@ -0,0 +1,120 @@
|
||||
import numpy as np
|
||||
from numpy.testing import assert_allclose, assert_array_equal, assert_equal
|
||||
import pytest
|
||||
import scipy.sparse
|
||||
import scipy.sparse.linalg
|
||||
from scipy.sparse.linalg import lsqr
|
||||
|
||||
# Set up a test problem
|
||||
n = 35
|
||||
G = np.eye(n)
|
||||
normal = np.random.normal
|
||||
norm = np.linalg.norm
|
||||
|
||||
for jj in range(5):
|
||||
gg = normal(size=n)
|
||||
hh = gg * gg.T
|
||||
G += (hh + hh.T) * 0.5
|
||||
G += normal(size=n) * normal(size=n)
|
||||
|
||||
b = normal(size=n)
|
||||
|
||||
# tolerance for atol/btol keywords of lsqr()
|
||||
tol = 2e-10
|
||||
# tolerances for testing the results of the lsqr() call with assert_allclose
|
||||
# These tolerances are a bit fragile - see discussion in gh-15301.
|
||||
atol_test = 4e-10
|
||||
rtol_test = 2e-8
|
||||
show = False
|
||||
maxit = None
|
||||
|
||||
|
||||
def test_lsqr_basic():
|
||||
b_copy = b.copy()
|
||||
xo, *_ = lsqr(G, b, show=show, atol=tol, btol=tol, iter_lim=maxit)
|
||||
assert_array_equal(b_copy, b)
|
||||
|
||||
svx = np.linalg.solve(G, b)
|
||||
assert_allclose(xo, svx, atol=atol_test, rtol=rtol_test)
|
||||
|
||||
# Now the same but with damp > 0.
|
||||
# This is equivalent to solving the extended system:
|
||||
# ( G ) @ x = ( b )
|
||||
# ( damp*I ) ( 0 )
|
||||
damp = 1.5
|
||||
xo, *_ = lsqr(
|
||||
G, b, damp=damp, show=show, atol=tol, btol=tol, iter_lim=maxit)
|
||||
|
||||
Gext = np.r_[G, damp * np.eye(G.shape[1])]
|
||||
bext = np.r_[b, np.zeros(G.shape[1])]
|
||||
svx, *_ = np.linalg.lstsq(Gext, bext, rcond=None)
|
||||
assert_allclose(xo, svx, atol=atol_test, rtol=rtol_test)
|
||||
|
||||
|
||||
def test_gh_2466():
|
||||
row = np.array([0, 0])
|
||||
col = np.array([0, 1])
|
||||
val = np.array([1, -1])
|
||||
A = scipy.sparse.coo_matrix((val, (row, col)), shape=(1, 2))
|
||||
b = np.asarray([4])
|
||||
lsqr(A, b)
|
||||
|
||||
|
||||
def test_well_conditioned_problems():
|
||||
# Test that sparse the lsqr solver returns the right solution
|
||||
# on various problems with different random seeds.
|
||||
# This is a non-regression test for a potential ZeroDivisionError
|
||||
# raised when computing the `test2` & `test3` convergence conditions.
|
||||
n = 10
|
||||
A_sparse = scipy.sparse.eye(n, n)
|
||||
A_dense = A_sparse.toarray()
|
||||
|
||||
with np.errstate(invalid='raise'):
|
||||
for seed in range(30):
|
||||
rng = np.random.RandomState(seed + 10)
|
||||
beta = rng.rand(n)
|
||||
beta[beta == 0] = 0.00001 # ensure that all the betas are not null
|
||||
b = A_sparse @ beta[:, np.newaxis]
|
||||
output = lsqr(A_sparse, b, show=show)
|
||||
|
||||
# Check that the termination condition corresponds to an approximate
|
||||
# solution to Ax = b
|
||||
assert_equal(output[1], 1)
|
||||
solution = output[0]
|
||||
|
||||
# Check that we recover the ground truth solution
|
||||
assert_allclose(solution, beta)
|
||||
|
||||
# Sanity check: compare to the dense array solver
|
||||
reference_solution = np.linalg.solve(A_dense, b).ravel()
|
||||
assert_allclose(solution, reference_solution)
|
||||
|
||||
|
||||
def test_b_shapes():
|
||||
# Test b being a scalar.
|
||||
A = np.array([[1.0, 2.0]])
|
||||
b = 3.0
|
||||
x = lsqr(A, b)[0]
|
||||
assert norm(A.dot(x) - b) == pytest.approx(0)
|
||||
|
||||
# Test b being a column vector.
|
||||
A = np.eye(10)
|
||||
b = np.ones((10, 1))
|
||||
x = lsqr(A, b)[0]
|
||||
assert norm(A.dot(x) - b.ravel()) == pytest.approx(0)
|
||||
|
||||
|
||||
def test_initialization():
|
||||
# Test the default setting is the same as zeros
|
||||
b_copy = b.copy()
|
||||
x_ref = lsqr(G, b, show=show, atol=tol, btol=tol, iter_lim=maxit)
|
||||
x0 = np.zeros(x_ref[0].shape)
|
||||
x = lsqr(G, b, show=show, atol=tol, btol=tol, iter_lim=maxit, x0=x0)
|
||||
assert_array_equal(b_copy, b)
|
||||
assert_allclose(x_ref[0], x[0])
|
||||
|
||||
# Test warm-start with single iteration
|
||||
x0 = lsqr(G, b, show=show, atol=tol, btol=tol, iter_lim=1)[0]
|
||||
x = lsqr(G, b, show=show, atol=tol, btol=tol, iter_lim=maxit, x0=x0)
|
||||
assert_allclose(x_ref[0], x[0])
|
||||
assert_array_equal(b_copy, b)
|
||||
97
.CondaPkg/env/Lib/site-packages/scipy/sparse/linalg/_isolve/tests/test_minres.py
vendored
Normal file
97
.CondaPkg/env/Lib/site-packages/scipy/sparse/linalg/_isolve/tests/test_minres.py
vendored
Normal file
@@ -0,0 +1,97 @@
|
||||
import numpy as np
|
||||
from numpy.linalg import norm
|
||||
from numpy.testing import assert_equal, assert_allclose, assert_
|
||||
from scipy.sparse.linalg._isolve import minres
|
||||
|
||||
from pytest import raises as assert_raises
|
||||
|
||||
|
||||
def get_sample_problem():
|
||||
# A random 10 x 10 symmetric matrix
|
||||
np.random.seed(1234)
|
||||
matrix = np.random.rand(10, 10)
|
||||
matrix = matrix + matrix.T
|
||||
# A random vector of length 10
|
||||
vector = np.random.rand(10)
|
||||
return matrix, vector
|
||||
|
||||
|
||||
def test_singular():
|
||||
A, b = get_sample_problem()
|
||||
A[0, ] = 0
|
||||
b[0] = 0
|
||||
xp, info = minres(A, b)
|
||||
assert_equal(info, 0)
|
||||
assert norm(A @ xp - b) <= 1e-5 * norm(b)
|
||||
|
||||
|
||||
def test_x0_is_used_by():
|
||||
A, b = get_sample_problem()
|
||||
# Random x0 to feed minres
|
||||
np.random.seed(12345)
|
||||
x0 = np.random.rand(10)
|
||||
trace = []
|
||||
|
||||
def trace_iterates(xk):
|
||||
trace.append(xk)
|
||||
minres(A, b, x0=x0, callback=trace_iterates)
|
||||
trace_with_x0 = trace
|
||||
|
||||
trace = []
|
||||
minres(A, b, callback=trace_iterates)
|
||||
assert_(not np.array_equal(trace_with_x0[0], trace[0]))
|
||||
|
||||
|
||||
def test_shift():
|
||||
A, b = get_sample_problem()
|
||||
shift = 0.5
|
||||
shifted_A = A - shift * np.eye(10)
|
||||
x1, info1 = minres(A, b, shift=shift)
|
||||
x2, info2 = minres(shifted_A, b)
|
||||
assert_equal(info1, 0)
|
||||
assert_allclose(x1, x2, rtol=1e-5)
|
||||
|
||||
|
||||
def test_asymmetric_fail():
|
||||
"""Asymmetric matrix should raise `ValueError` when check=True"""
|
||||
A, b = get_sample_problem()
|
||||
A[1, 2] = 1
|
||||
A[2, 1] = 2
|
||||
with assert_raises(ValueError):
|
||||
xp, info = minres(A, b, check=True)
|
||||
|
||||
|
||||
def test_minres_non_default_x0():
|
||||
np.random.seed(1234)
|
||||
rtol = 1e-6
|
||||
a = np.random.randn(5, 5)
|
||||
a = np.dot(a, a.T)
|
||||
b = np.random.randn(5)
|
||||
c = np.random.randn(5)
|
||||
x = minres(a, b, x0=c, rtol=rtol)[0]
|
||||
assert norm(a @ x - b) <= rtol * norm(b)
|
||||
|
||||
|
||||
def test_minres_precond_non_default_x0():
|
||||
np.random.seed(12345)
|
||||
rtol = 1e-6
|
||||
a = np.random.randn(5, 5)
|
||||
a = np.dot(a, a.T)
|
||||
b = np.random.randn(5)
|
||||
c = np.random.randn(5)
|
||||
m = np.random.randn(5, 5)
|
||||
m = np.dot(m, m.T)
|
||||
x = minres(a, b, M=m, x0=c, rtol=rtol)[0]
|
||||
assert norm(a @ x - b) <= rtol * norm(b)
|
||||
|
||||
|
||||
def test_minres_precond_exact_x0():
|
||||
np.random.seed(1234)
|
||||
rtol = 1e-6
|
||||
a = np.eye(10)
|
||||
b = np.ones(10)
|
||||
c = np.ones(10)
|
||||
m = np.random.randn(10, 10)
|
||||
m = np.dot(m, m.T)
|
||||
x = minres(a, b, M=m, x0=c, rtol=rtol)[0]
|
||||
assert norm(a @ x - b) <= rtol * norm(b)
|
||||
9
.CondaPkg/env/Lib/site-packages/scipy/sparse/linalg/_isolve/tests/test_utils.py
vendored
Normal file
9
.CondaPkg/env/Lib/site-packages/scipy/sparse/linalg/_isolve/tests/test_utils.py
vendored
Normal file
@@ -0,0 +1,9 @@
|
||||
import numpy as np
|
||||
from pytest import raises as assert_raises
|
||||
|
||||
import scipy.sparse.linalg._isolve.utils as utils
|
||||
|
||||
|
||||
def test_make_system_bad_shape():
|
||||
assert_raises(ValueError,
|
||||
utils.make_system, np.zeros((5,3)), None, np.zeros(4), np.zeros(4))
|
||||
179
.CondaPkg/env/Lib/site-packages/scipy/sparse/linalg/_isolve/tfqmr.py
vendored
Normal file
179
.CondaPkg/env/Lib/site-packages/scipy/sparse/linalg/_isolve/tfqmr.py
vendored
Normal file
@@ -0,0 +1,179 @@
|
||||
import numpy as np
|
||||
from .iterative import _get_atol_rtol
|
||||
from .utils import make_system
|
||||
|
||||
|
||||
__all__ = ['tfqmr']
|
||||
|
||||
|
||||
def tfqmr(A, b, x0=None, *, rtol=1e-5, atol=0., maxiter=None, M=None,
|
||||
callback=None, show=False):
|
||||
"""
|
||||
Use Transpose-Free Quasi-Minimal Residual iteration to solve ``Ax = b``.
|
||||
|
||||
Parameters
|
||||
----------
|
||||
A : {sparse matrix, ndarray, LinearOperator}
|
||||
The real or complex N-by-N matrix of the linear system.
|
||||
Alternatively, `A` can be a linear operator which can
|
||||
produce ``Ax`` using, e.g.,
|
||||
`scipy.sparse.linalg.LinearOperator`.
|
||||
b : {ndarray}
|
||||
Right hand side of the linear system. Has shape (N,) or (N,1).
|
||||
x0 : {ndarray}
|
||||
Starting guess for the solution.
|
||||
rtol, atol : float, optional
|
||||
Parameters for the convergence test. For convergence,
|
||||
``norm(b - A @ x) <= max(rtol*norm(b), atol)`` should be satisfied.
|
||||
The default is ``rtol=1e-5``, the default for ``atol`` is ``0.0``.
|
||||
maxiter : int, optional
|
||||
Maximum number of iterations. Iteration will stop after maxiter
|
||||
steps even if the specified tolerance has not been achieved.
|
||||
Default is ``min(10000, ndofs * 10)``, where ``ndofs = A.shape[0]``.
|
||||
M : {sparse matrix, ndarray, LinearOperator}
|
||||
Inverse of the preconditioner of A. M should approximate the
|
||||
inverse of A and be easy to solve for (see Notes). Effective
|
||||
preconditioning dramatically improves the rate of convergence,
|
||||
which implies that fewer iterations are needed to reach a given
|
||||
error tolerance. By default, no preconditioner is used.
|
||||
callback : function, optional
|
||||
User-supplied function to call after each iteration. It is called
|
||||
as `callback(xk)`, where `xk` is the current solution vector.
|
||||
show : bool, optional
|
||||
Specify ``show = True`` to show the convergence, ``show = False`` is
|
||||
to close the output of the convergence.
|
||||
Default is `False`.
|
||||
|
||||
Returns
|
||||
-------
|
||||
x : ndarray
|
||||
The converged solution.
|
||||
info : int
|
||||
Provides convergence information:
|
||||
|
||||
- 0 : successful exit
|
||||
- >0 : convergence to tolerance not achieved, number of iterations
|
||||
- <0 : illegal input or breakdown
|
||||
|
||||
Notes
|
||||
-----
|
||||
The Transpose-Free QMR algorithm is derived from the CGS algorithm.
|
||||
However, unlike CGS, the convergence curves for the TFQMR method is
|
||||
smoothed by computing a quasi minimization of the residual norm. The
|
||||
implementation supports left preconditioner, and the "residual norm"
|
||||
to compute in convergence criterion is actually an upper bound on the
|
||||
actual residual norm ``||b - Axk||``.
|
||||
|
||||
References
|
||||
----------
|
||||
.. [1] R. W. Freund, A Transpose-Free Quasi-Minimal Residual Algorithm for
|
||||
Non-Hermitian Linear Systems, SIAM J. Sci. Comput., 14(2), 470-482,
|
||||
1993.
|
||||
.. [2] Y. Saad, Iterative Methods for Sparse Linear Systems, 2nd edition,
|
||||
SIAM, Philadelphia, 2003.
|
||||
.. [3] C. T. Kelley, Iterative Methods for Linear and Nonlinear Equations,
|
||||
number 16 in Frontiers in Applied Mathematics, SIAM, Philadelphia,
|
||||
1995.
|
||||
|
||||
Examples
|
||||
--------
|
||||
>>> import numpy as np
|
||||
>>> from scipy.sparse import csc_matrix
|
||||
>>> from scipy.sparse.linalg import tfqmr
|
||||
>>> A = csc_matrix([[3, 2, 0], [1, -1, 0], [0, 5, 1]], dtype=float)
|
||||
>>> b = np.array([2, 4, -1], dtype=float)
|
||||
>>> x, exitCode = tfqmr(A, b, atol=0.0)
|
||||
>>> print(exitCode) # 0 indicates successful convergence
|
||||
0
|
||||
>>> np.allclose(A.dot(x), b)
|
||||
True
|
||||
"""
|
||||
|
||||
# Check data type
|
||||
dtype = A.dtype
|
||||
if np.issubdtype(dtype, np.int64):
|
||||
dtype = float
|
||||
A = A.astype(dtype)
|
||||
if np.issubdtype(b.dtype, np.int64):
|
||||
b = b.astype(dtype)
|
||||
|
||||
A, M, x, b, postprocess = make_system(A, M, x0, b)
|
||||
|
||||
# Check if the R.H.S is a zero vector
|
||||
if np.linalg.norm(b) == 0.:
|
||||
x = b.copy()
|
||||
return (postprocess(x), 0)
|
||||
|
||||
ndofs = A.shape[0]
|
||||
if maxiter is None:
|
||||
maxiter = min(10000, ndofs * 10)
|
||||
|
||||
if x0 is None:
|
||||
r = b.copy()
|
||||
else:
|
||||
r = b - A.matvec(x)
|
||||
u = r
|
||||
w = r.copy()
|
||||
# Take rstar as b - Ax0, that is rstar := r = b - Ax0 mathematically
|
||||
rstar = r
|
||||
v = M.matvec(A.matvec(r))
|
||||
uhat = v
|
||||
d = theta = eta = 0.
|
||||
# at this point we know rstar == r, so rho is always real
|
||||
rho = np.inner(rstar.conjugate(), r).real
|
||||
rhoLast = rho
|
||||
r0norm = np.sqrt(rho)
|
||||
tau = r0norm
|
||||
if r0norm == 0:
|
||||
return (postprocess(x), 0)
|
||||
|
||||
# we call this to get the right atol and raise errors as necessary
|
||||
atol, _ = _get_atol_rtol('tfqmr', r0norm, atol, rtol)
|
||||
|
||||
for iter in range(maxiter):
|
||||
even = iter % 2 == 0
|
||||
if (even):
|
||||
vtrstar = np.inner(rstar.conjugate(), v)
|
||||
# Check breakdown
|
||||
if vtrstar == 0.:
|
||||
return (postprocess(x), -1)
|
||||
alpha = rho / vtrstar
|
||||
uNext = u - alpha * v # [1]-(5.6)
|
||||
w -= alpha * uhat # [1]-(5.8)
|
||||
d = u + (theta**2 / alpha) * eta * d # [1]-(5.5)
|
||||
# [1]-(5.2)
|
||||
theta = np.linalg.norm(w) / tau
|
||||
c = np.sqrt(1. / (1 + theta**2))
|
||||
tau *= theta * c
|
||||
# Calculate step and direction [1]-(5.4)
|
||||
eta = (c**2) * alpha
|
||||
z = M.matvec(d)
|
||||
x += eta * z
|
||||
|
||||
if callback is not None:
|
||||
callback(x)
|
||||
|
||||
# Convergence criterion
|
||||
if tau * np.sqrt(iter+1) < atol:
|
||||
if (show):
|
||||
print("TFQMR: Linear solve converged due to reach TOL "
|
||||
f"iterations {iter+1}")
|
||||
return (postprocess(x), 0)
|
||||
|
||||
if (not even):
|
||||
# [1]-(5.7)
|
||||
rho = np.inner(rstar.conjugate(), w)
|
||||
beta = rho / rhoLast
|
||||
u = w + beta * u
|
||||
v = beta * uhat + (beta**2) * v
|
||||
uhat = M.matvec(A.matvec(u))
|
||||
v += uhat
|
||||
else:
|
||||
uhat = M.matvec(A.matvec(uNext))
|
||||
u = uNext
|
||||
rhoLast = rho
|
||||
|
||||
if (show):
|
||||
print("TFQMR: Linear solve not converged due to reach MAXIT "
|
||||
f"iterations {iter+1}")
|
||||
return (postprocess(x), maxiter)
|
||||
127
.CondaPkg/env/Lib/site-packages/scipy/sparse/linalg/_isolve/utils.py
vendored
Normal file
127
.CondaPkg/env/Lib/site-packages/scipy/sparse/linalg/_isolve/utils.py
vendored
Normal file
@@ -0,0 +1,127 @@
|
||||
__docformat__ = "restructuredtext en"
|
||||
|
||||
__all__ = []
|
||||
|
||||
|
||||
from numpy import asanyarray, asarray, array, zeros
|
||||
|
||||
from scipy.sparse.linalg._interface import aslinearoperator, LinearOperator, \
|
||||
IdentityOperator
|
||||
|
||||
_coerce_rules = {('f','f'):'f', ('f','d'):'d', ('f','F'):'F',
|
||||
('f','D'):'D', ('d','f'):'d', ('d','d'):'d',
|
||||
('d','F'):'D', ('d','D'):'D', ('F','f'):'F',
|
||||
('F','d'):'D', ('F','F'):'F', ('F','D'):'D',
|
||||
('D','f'):'D', ('D','d'):'D', ('D','F'):'D',
|
||||
('D','D'):'D'}
|
||||
|
||||
|
||||
def coerce(x,y):
|
||||
if x not in 'fdFD':
|
||||
x = 'd'
|
||||
if y not in 'fdFD':
|
||||
y = 'd'
|
||||
return _coerce_rules[x,y]
|
||||
|
||||
|
||||
def id(x):
|
||||
return x
|
||||
|
||||
|
||||
def make_system(A, M, x0, b):
|
||||
"""Make a linear system Ax=b
|
||||
|
||||
Parameters
|
||||
----------
|
||||
A : LinearOperator
|
||||
sparse or dense matrix (or any valid input to aslinearoperator)
|
||||
M : {LinearOperator, Nones}
|
||||
preconditioner
|
||||
sparse or dense matrix (or any valid input to aslinearoperator)
|
||||
x0 : {array_like, str, None}
|
||||
initial guess to iterative method.
|
||||
``x0 = 'Mb'`` means using the nonzero initial guess ``M @ b``.
|
||||
Default is `None`, which means using the zero initial guess.
|
||||
b : array_like
|
||||
right hand side
|
||||
|
||||
Returns
|
||||
-------
|
||||
(A, M, x, b, postprocess)
|
||||
A : LinearOperator
|
||||
matrix of the linear system
|
||||
M : LinearOperator
|
||||
preconditioner
|
||||
x : rank 1 ndarray
|
||||
initial guess
|
||||
b : rank 1 ndarray
|
||||
right hand side
|
||||
postprocess : function
|
||||
converts the solution vector to the appropriate
|
||||
type and dimensions (e.g. (N,1) matrix)
|
||||
|
||||
"""
|
||||
A_ = A
|
||||
A = aslinearoperator(A)
|
||||
|
||||
if A.shape[0] != A.shape[1]:
|
||||
raise ValueError(f'expected square matrix, but got shape={(A.shape,)}')
|
||||
|
||||
N = A.shape[0]
|
||||
|
||||
b = asanyarray(b)
|
||||
|
||||
if not (b.shape == (N,1) or b.shape == (N,)):
|
||||
raise ValueError(f'shapes of A {A.shape} and b {b.shape} are '
|
||||
'incompatible')
|
||||
|
||||
if b.dtype.char not in 'fdFD':
|
||||
b = b.astype('d') # upcast non-FP types to double
|
||||
|
||||
def postprocess(x):
|
||||
return x
|
||||
|
||||
if hasattr(A,'dtype'):
|
||||
xtype = A.dtype.char
|
||||
else:
|
||||
xtype = A.matvec(b).dtype.char
|
||||
xtype = coerce(xtype, b.dtype.char)
|
||||
|
||||
b = asarray(b,dtype=xtype) # make b the same type as x
|
||||
b = b.ravel()
|
||||
|
||||
# process preconditioner
|
||||
if M is None:
|
||||
if hasattr(A_,'psolve'):
|
||||
psolve = A_.psolve
|
||||
else:
|
||||
psolve = id
|
||||
if hasattr(A_,'rpsolve'):
|
||||
rpsolve = A_.rpsolve
|
||||
else:
|
||||
rpsolve = id
|
||||
if psolve is id and rpsolve is id:
|
||||
M = IdentityOperator(shape=A.shape, dtype=A.dtype)
|
||||
else:
|
||||
M = LinearOperator(A.shape, matvec=psolve, rmatvec=rpsolve,
|
||||
dtype=A.dtype)
|
||||
else:
|
||||
M = aslinearoperator(M)
|
||||
if A.shape != M.shape:
|
||||
raise ValueError('matrix and preconditioner have different shapes')
|
||||
|
||||
# set initial guess
|
||||
if x0 is None:
|
||||
x = zeros(N, dtype=xtype)
|
||||
elif isinstance(x0, str):
|
||||
if x0 == 'Mb': # use nonzero initial guess ``M @ b``
|
||||
bCopy = b.copy()
|
||||
x = M.matvec(bCopy)
|
||||
else:
|
||||
x = array(x0, dtype=xtype)
|
||||
if not (x.shape == (N, 1) or x.shape == (N,)):
|
||||
raise ValueError(f'shapes of A {A.shape} and '
|
||||
f'x0 {x.shape} are incompatible')
|
||||
x = x.ravel()
|
||||
|
||||
return A, M, x, b, postprocess
|
||||
Reference in New Issue
Block a user