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pod_engine.py
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# Copyright (C) 2018-2020 by the RROMPy authors
#
# This file is part of RROMPy.
#
# RROMPy is free software: you can redistribute it and/or modify
# it under the terms of the GNU Lesser General Public License as published by
# the Free Software Foundation, either version 3 of the License, or
# (at your option) any later version.
#
# RROMPy is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU Lesser General Public License for more details.
#
# You should have received a copy of the GNU Lesser General Public License
# along with RROMPy. If not, see <http://www.gnu.org/licenses/>.
#
import numpy as np
from copy import deepcopy as copy
from warnings import catch_warnings
from rrompy.utilities.base.types import Np1D, Np2D, Tuple, HFEng, sampList
from rrompy.sampling import sampleList
__all__ = ['PODEngine']
class PODEngine:
"""
POD engine for general matrix orthogonalization.
"""
def __init__(self, HFEngine:HFEng):
self.HFEngine = HFEngine
def name(self) -> str:
return self.__class__.__name__
def __str__(self) -> str:
return self.name()
def __repr__(self) -> str:
return self.__str__() + " at " + hex(id(self))
def normalize(self, A:Np2D, is_state : bool = True) -> Tuple[Np1D, Np1D]:
"""
Normalize column-wise by norm.
Args:
A: matrix to be normalized;
is_state: whether state-norm should be used.
Returns:
Resulting normalized matrix, column-wise norm.
"""
r = self.HFEngine.norm(A, is_state = is_state)
return A / r, r
def GS(self, a:Np1D, Q:sampList, n : int = -1,
is_state : bool = True) -> Tuple[Np1D, Np1D, bool]:
"""
Compute 1 Gram-Schmidt step with given projector.
Args:
a: vector to be projected;
Q: orthogonal projection matrix;
n: number of columns of Q to be considered;
is_state: whether state-norm should be used.
Returns:
Resulting normalized vector, coefficients of a wrt the updated
basis, whether computation is ill-conditioned.
"""
if n == -1:
n = Q.shape[1]
r = np.zeros((n + 1,), dtype = Q.dtype)
if n > 0:
from rrompy.utilities.numerical import dot
Q = Q[: n]
for j in range(2): # twice is enough!
nu = self.HFEngine.innerProduct(a, Q, is_state = is_state)
a = a - dot(Q, nu)
r[:-1] = r[:-1] + nu.flatten()
r[-1] = self.HFEngine.norm(a, is_state = is_state)
ill_cond = False
with catch_warnings(record = True) as w:
snr = np.abs(r[-1]) / np.linalg.norm(r)
if len(w) > 0 or snr < np.finfo(np.complex).eps * len(r):
ill_cond = True
r[-1] = 1.
a = a / r[-1]
return a, r, ill_cond
def generalizedQR(self, A:sampList, Q0 : sampList = None,
only_R : bool = False, genTrials : int = 10,
is_state : bool = True) -> Tuple[sampList, Np2D]:
"""
Compute generalized QR decomposition of a matrix through Householder
method; see Trefethen, IMA J.N.A., 2010.
Args:
A: matrix to be decomposed;
Q0(optional): initial orthogonal guess for Q; defaults to random;
only_R(optional): whether to skip reconstruction of Q; defaults to
False.
genTrials(optional): number of trials of generation of linearly
independent vector; defaults to 10.
is_state(optional): whether state-norm should be used; defaults to
True.
Returns:
Resulting (orthogonal and )upper-triangular factor(s).
"""
Nh, N = A.shape
B = copy(A)
V = sampleList(np.zeros(A.shape, dtype = A.dtype))
R = np.zeros((N, N), dtype = A.dtype)
Q = copy(V) if Q0 is None else sampleList(Q0)
for k in range(N):
a = B[k]
R[k, k] = self.HFEngine.norm(a, is_state = is_state)
if Q0 is None and k < Nh:
for _ in range(genTrials):
Q[k], _, illC = self.GS(np.random.randn(Nh), Q, k,
is_state)
if not illC: break
else:
illC = k >= Nh
if illC:
if Q0 is not None or k < Nh: Q[k] = 0.
else:
alpha = self.HFEngine.innerProduct(a, Q[k],
is_state = is_state)
if np.isclose(np.abs(alpha), 0., atol = 1e-15): s = 1.
else: s = - alpha / np.abs(alpha)
Q[k] = s * Q[k]
V[k], _, _ = self.GS(R[k, k] * Q[k] - a, Q, k, is_state)
J = np.arange(k + 1, N)
vtB = self.HFEngine.innerProduct(B[J], V[k], is_state = is_state)
B[J] = (B[J] - 2 * np.outer(V[k], vtB)).T
if not illC:
R[k, J] = self.HFEngine.innerProduct(B[J], Q[k],
is_state = is_state)
B[J] = (B[J] - np.outer(Q[k], R[k, J])).T
if only_R:
return R
for k in range(min(Nh, N) - 1, -1, -1):
J = np.arange(k, min(Nh, N))
vtQ = self.HFEngine.innerProduct(Q[J], V[k], is_state = is_state)
Q[J] = (Q[J] - 2 * np.outer(V[k], vtQ)).T
return Q, R

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