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//! Krylov subspace methods
use crate::types::*;
use ndarray::*;
pub mod arnoldi;
pub mod householder;
pub mod mgs;
pub use arnoldi::{arnoldi_householder, arnoldi_mgs, Arnoldi};
pub use householder::{householder, Householder};
pub use mgs::{mgs, MGS};
/// Q-matrix
///
/// - Maybe **NOT** square
/// - Unitary for existing columns
///
pub type Q<A> = Array2<A>;
/// R-matrix
///
/// - Maybe **NOT** square
/// - Upper triangle
///
pub type R<A> = Array2<A>;
/// H-matrix
///
/// - Maybe **NOT** square
/// - Hessenberg matrix
///
pub type H<A> = Array2<A>;
/// Array type for coefficients to the current basis
///
/// - The length must be `self.len() + 1`
/// - Last component is the residual norm
///
pub type Coefficients<A> = Array1<A>;
/// Trait for creating orthogonal basis from iterator of arrays
///
/// Panic
/// -------
/// - if the size of the input array mismatches to the dimension
///
/// Example
/// -------
///
/// ```rust
/// # use ndarray::*;
/// # use ndarray_linalg::{krylov::*, *};
/// let mut mgs = MGS::new(3, 1e-9);
/// let coef = mgs.append(array![0.0, 1.0, 0.0]).into_coeff();
/// close_l2(&coef, &array![1.0], 1e-9);
///
/// let coef = mgs.append(array![1.0, 1.0, 0.0]).into_coeff();
/// close_l2(&coef, &array![1.0, 1.0], 1e-9);
///
/// // Fail if the vector is linearly dependent
/// assert!(mgs.append(array![1.0, 2.0, 0.0]).is_dependent());
///
/// // You can get coefficients of dependent vector
/// if let AppendResult::Dependent(coef) = mgs.append(array![1.0, 2.0, 0.0]) {
/// close_l2(&coef, &array![2.0, 1.0, 0.0], 1e-9);
/// }
/// ```
pub trait Orthogonalizer {
type Elem: Scalar;
/// Dimension of input array
fn dim(&self) -> usize;
/// Number of cached basis
fn len(&self) -> usize;
/// check if the basis spans entire space
fn is_full(&self) -> bool {
self.len() == self.dim()
}
fn is_empty(&self) -> bool {
self.len() == 0
}
fn tolerance(&self) -> <Self::Elem as Scalar>::Real;
/// Decompose given vector into the span of current basis and
/// its tangent space
///
/// - `a` becomes the tangent vector
/// - The Coefficients to the current basis is returned.
///
fn decompose<S>(&self, a: &mut ArrayBase<S, Ix1>) -> Coefficients<Self::Elem>
where
S: DataMut<Elem = Self::Elem>;
/// Calculate the coefficient to the current basis basis
///
/// - This will be faster than `decompose` because the construction of the residual vector may
/// requires more Calculation
///
fn coeff<S>(&self, a: ArrayBase<S, Ix1>) -> Coefficients<Self::Elem>
where
S: Data<Elem = Self::Elem>;
/// Add new vector if the residual is larger than relative tolerance
fn append<S>(&mut self, a: ArrayBase<S, Ix1>) -> AppendResult<Self::Elem>
where
S: Data<Elem = Self::Elem>;
/// Add new vector if the residual is larger than relative tolerance,
/// and return the residual vector
fn div_append<S>(&mut self, a: &mut ArrayBase<S, Ix1>) -> AppendResult<Self::Elem>
where
S: DataMut<Elem = Self::Elem>;
/// Get Q-matrix of generated basis
fn get_q(&self) -> Q<Self::Elem>;
}
pub enum AppendResult<A> {
Added(Coefficients<A>),
Dependent(Coefficients<A>),
}
impl<A: Scalar> AppendResult<A> {
pub fn into_coeff(self) -> Coefficients<A> {
match self {
AppendResult::Added(c) => c,
AppendResult::Dependent(c) => c,
}
}
pub fn is_dependent(&self) -> bool {
match self {
AppendResult::Added(_) => false,
AppendResult::Dependent(_) => true,
}
}
pub fn coeff(&self) -> &Coefficients<A> {
match self {
AppendResult::Added(c) => c,
AppendResult::Dependent(c) => c,
}
}
pub fn residual_norm(&self) -> A::Real {
let c = self.coeff();
c[c.len() - 1].abs()
}
}
/// Strategy for linearly dependent vectors appearing in iterative QR decomposition
#[derive(Clone, Copy, Debug, Eq, PartialEq)]
pub enum Strategy {
/// Terminate iteration if dependent vector comes
Terminate,
/// Skip dependent vector
Skip,
/// Orthogonalize dependent vector without adding to Q,
/// i.e. R must be non-square like following:
///
/// ```text
/// x x x x x
/// 0 x x x x
/// 0 0 0 x x
/// 0 0 0 0 x
/// ```
Full,
}
/// Online QR decomposition using arbitrary orthogonalizer
pub fn qr<A, S>(
iter: impl Iterator<Item = ArrayBase<S, Ix1>>,
mut ortho: impl Orthogonalizer<Elem = A>,
strategy: Strategy,
) -> (Q<A>, R<A>)
where
A: Scalar + Lapack,
S: Data<Elem = A>,
{
assert_eq!(ortho.len(), 0);
let mut coefs = Vec::new();
for a in iter {
match ortho.append(a.into_owned()) {
AppendResult::Added(coef) => coefs.push(coef),
AppendResult::Dependent(coef) => match strategy {
Strategy::Terminate => break,
Strategy::Skip => continue,
Strategy::Full => coefs.push(coef),
},
}
}
let n = ortho.len();
let m = coefs.len();
let mut r = Array2::zeros((n, m).f());
for j in 0..m {
for i in 0..n {
if i < coefs[j].len() {
r[(i, j)] = coefs[j][i];
}
}
}
(ortho.get_q(), r)
}