mathjs-min 11.7.2

package/lib/esm/function/matrix/eigs/complexEigs.js

@@ -0,0 +1,693 @@
+import { clone } from '../../../utils/object.js';
+export function createComplexEigs(_ref) {
+  var {
+    addScalar,
+    subtract,
+    flatten,
+    multiply,
+    multiplyScalar,
+    divideScalar,
+    sqrt,
+    abs,
+    bignumber,
+    diag,
+    inv,
+    qr,
+    usolve,
+    usolveAll,
+    equal,
+    complex,
+    larger,
+    smaller,
+    matrixFromColumns,
+    dot
+  } = _ref;
+  /**
+   * @param {number[][]} arr the matrix to find eigenvalues of
+   * @param {number} N size of the matrix
+   * @param {number|BigNumber} prec precision, anything lower will be considered zero
+   * @param {'number'|'BigNumber'|'Complex'} type
+   * @param {boolean} findVectors should we find eigenvectors?
+   *
+   * @returns {{ values: number[], vectors: number[][] }}
+   */
+  function complexEigs(arr, N, prec, type, findVectors) {
+    if (findVectors === undefined) {
+      findVectors = true;
+    }
+
+    // TODO check if any row/col are zero except the diagonal
+
+    // make sure corresponding rows and columns have similar magnitude
+    // important because of numerical stability
+    // MODIFIES arr by side effect!
+    var R = balance(arr, N, prec, type, findVectors);
+
+    // R is the row transformation matrix
+    // arr = A' = R A R⁻¹, A is the original matrix
+    // (if findVectors is false, R is undefined)
+    // (And so to return to original matrix: A = R⁻¹ arr R)
+
+    // TODO if magnitudes of elements vary over many orders,
+    // move greatest elements to the top left corner
+
+    // using similarity transformations, reduce the matrix
+    // to Hessenberg form (upper triangular plus one subdiagonal row)
+    // updates the transformation matrix R with new row operationsq
+    // MODIFIES arr by side effect!
+    reduceToHessenberg(arr, N, prec, type, findVectors, R);
+    // still true that original A = R⁻¹ arr R)
+
+    // find eigenvalues
+    var {
+      values,
+      C
+    } = iterateUntilTriangular(arr, N, prec, type, findVectors);
+
+    // values is the list of eigenvalues, C is the column
+    // transformation matrix that transforms arr, the hessenberg
+    // matrix, to upper triangular
+    // (So U = C⁻¹ arr C and the relationship between current arr
+    // and original A is unchanged.)
+
+    var vectors;
+    if (findVectors) {
+      vectors = findEigenvectors(arr, N, C, R, values, prec, type);
+      vectors = matrixFromColumns(...vectors);
+    }
+    return {
+      values,
+      vectors
+    };
+  }
+
+  /**
+   * @param {number[][]} arr
+   * @param {number} N
+   * @param {number} prec
+   * @param {'number'|'BigNumber'|'Complex'} type
+   * @returns {number[][]}
+   */
+  function balance(arr, N, prec, type, findVectors) {
+    var big = type === 'BigNumber';
+    var cplx = type === 'Complex';
+    var realzero = big ? bignumber(0) : 0;
+    var one = big ? bignumber(1) : cplx ? complex(1) : 1;
+    var realone = big ? bignumber(1) : 1;
+
+    // base of the floating-point arithmetic
+    var radix = big ? bignumber(10) : 2;
+    var radixSq = multiplyScalar(radix, radix);
+
+    // the diagonal transformation matrix R
+    var Rdiag;
+    if (findVectors) {
+      Rdiag = Array(N).fill(one);
+    }
+
+    // this isn't the only time we loop thru the matrix...
+    var last = false;
+    while (!last) {
+      // ...haha I'm joking! unless...
+      last = true;
+      for (var i = 0; i < N; i++) {
+        // compute the taxicab norm of i-th column and row
+        // TODO optimize for complex numbers
+        var colNorm = realzero;
+        var rowNorm = realzero;
+        for (var j = 0; j < N; j++) {
+          if (i === j) continue;
+          var c = abs(arr[i][j]); // should be real
+          colNorm = addScalar(colNorm, c);
+          rowNorm = addScalar(rowNorm, c);
+        }
+        if (!equal(colNorm, 0) && !equal(rowNorm, 0)) {
+          // find integer power closest to balancing the matrix
+          // (we want to scale only by integer powers of radix,
+          // so that we don't lose any precision due to round-off)
+
+          var f = realone;
+          var _c = colNorm;
+          var rowDivRadix = divideScalar(rowNorm, radix);
+          var rowMulRadix = multiplyScalar(rowNorm, radix);
+          while (smaller(_c, rowDivRadix)) {
+            _c = multiplyScalar(_c, radixSq);
+            f = multiplyScalar(f, radix);
+          }
+          while (larger(_c, rowMulRadix)) {
+            _c = divideScalar(_c, radixSq);
+            f = divideScalar(f, radix);
+          }
+
+          // check whether balancing is needed
+          // condition = (c + rowNorm) / f < 0.95 * (colNorm + rowNorm)
+          var condition = smaller(divideScalar(addScalar(_c, rowNorm), f), multiplyScalar(addScalar(colNorm, rowNorm), 0.95));
+
+          // apply balancing similarity transformation
+          if (condition) {
+            // we should loop once again to check whether
+            // another rebalancing is needed
+            last = false;
+            var g = divideScalar(1, f);
+            for (var _j = 0; _j < N; _j++) {
+              if (i === _j) {
+                continue;
+              }
+              arr[i][_j] = multiplyScalar(arr[i][_j], f);
+              arr[_j][i] = multiplyScalar(arr[_j][i], g);
+            }
+
+            // keep track of transformations
+            if (findVectors) {
+              Rdiag[i] = multiplyScalar(Rdiag[i], f);
+            }
+          }
+        }
+      }
+    }
+
+    // return the diagonal row transformation matrix
+    return diag(Rdiag);
+  }
+
+  /**
+   * @param {number[][]} arr
+   * @param {number} N
+   * @param {number} prec
+   * @param {'number'|'BigNumber'|'Complex'} type
+   * @param {boolean} findVectors
+   * @param {number[][]} R the row transformation matrix that will be modified
+   */
+  function reduceToHessenberg(arr, N, prec, type, findVectors, R) {
+    var big = type === 'BigNumber';
+    var cplx = type === 'Complex';
+    var zero = big ? bignumber(0) : cplx ? complex(0) : 0;
+    if (big) {
+      prec = bignumber(prec);
+    }
+    for (var i = 0; i < N - 2; i++) {
+      // Find the largest subdiag element in the i-th col
+
+      var maxIndex = 0;
+      var max = zero;
+      for (var j = i + 1; j < N; j++) {
+        var el = arr[j][i];
+        if (smaller(abs(max), abs(el))) {
+          max = el;
+          maxIndex = j;
+        }
+      }
+
+      // This col is pivoted, no need to do anything
+      if (smaller(abs(max), prec)) {
+        continue;
+      }
+      if (maxIndex !== i + 1) {
+        // Interchange maxIndex-th and (i+1)-th row
+        var tmp1 = arr[maxIndex];
+        arr[maxIndex] = arr[i + 1];
+        arr[i + 1] = tmp1;
+
+        // Interchange maxIndex-th and (i+1)-th column
+        for (var _j2 = 0; _j2 < N; _j2++) {
+          var tmp2 = arr[_j2][maxIndex];
+          arr[_j2][maxIndex] = arr[_j2][i + 1];
+          arr[_j2][i + 1] = tmp2;
+        }
+
+        // keep track of transformations
+        if (findVectors) {
+          var tmp3 = R[maxIndex];
+          R[maxIndex] = R[i + 1];
+          R[i + 1] = tmp3;
+        }
+      }
+
+      // Reduce following rows and columns
+      for (var _j3 = i + 2; _j3 < N; _j3++) {
+        var n = divideScalar(arr[_j3][i], max);
+        if (n === 0) {
+          continue;
+        }
+
+        // from j-th row subtract n-times (i+1)th row
+        for (var k = 0; k < N; k++) {
+          arr[_j3][k] = subtract(arr[_j3][k], multiplyScalar(n, arr[i + 1][k]));
+        }
+
+        // to (i+1)th column add n-times j-th column
+        for (var _k = 0; _k < N; _k++) {
+          arr[_k][i + 1] = addScalar(arr[_k][i + 1], multiplyScalar(n, arr[_k][_j3]));
+        }
+
+        // keep track of transformations
+        if (findVectors) {
+          for (var _k2 = 0; _k2 < N; _k2++) {
+            R[_j3][_k2] = subtract(R[_j3][_k2], multiplyScalar(n, R[i + 1][_k2]));
+          }
+        }
+      }
+    }
+    return R;
+  }
+
+  /**
+   * @returns {{values: values, C: Matrix}}
+   * @see Press, Wiliams: Numerical recipes in Fortran 77
+   * @see https://en.wikipedia.org/wiki/QR_algorithm
+   */
+  function iterateUntilTriangular(A, N, prec, type, findVectors) {
+    var big = type === 'BigNumber';
+    var cplx = type === 'Complex';
+    var one = big ? bignumber(1) : cplx ? complex(1) : 1;
+    if (big) {
+      prec = bignumber(prec);
+    }
+
+    // The Francis Algorithm
+    // The core idea of this algorithm is that doing successive
+    // A' = Q⁺AQ transformations will eventually converge to block-
+    // upper-triangular with diagonal blocks either 1x1 or 2x2.
+    // The Q here is the one from the QR decomposition, A = QR.
+    // Since the eigenvalues of a block-upper-triangular matrix are
+    // the eigenvalues of its diagonal blocks and we know how to find
+    // eigenvalues of a 2x2 matrix, we know the eigenvalues of A.
+
+    var arr = clone(A);
+
+    // the list of converged eigenvalues
+    var lambdas = [];
+
+    // size of arr, which will get smaller as eigenvalues converge
+    var n = N;
+
+    // the diagonal of the block-diagonal matrix that turns
+    // converged 2x2 matrices into upper triangular matrices
+    var Sdiag = [];
+
+    // N×N matrix describing the overall transformation done during the QR algorithm
+    var Qtotal = findVectors ? diag(Array(N).fill(one)) : undefined;
+
+    // n×n matrix describing the QR transformations done since last convergence
+    var Qpartial = findVectors ? diag(Array(n).fill(one)) : undefined;
+
+    // last eigenvalue converged before this many steps
+    var lastConvergenceBefore = 0;
+    while (lastConvergenceBefore <= 100) {
+      lastConvergenceBefore += 1;
+
+      // TODO if the convergence is slow, do something clever
+
+      // Perform the factorization
+
+      var k = 0; // TODO set close to an eigenvalue
+
+      for (var i = 0; i < n; i++) {
+        arr[i][i] = subtract(arr[i][i], k);
+      }
+
+      // TODO do an implicit QR transformation
+      var {
+        Q,
+        R
+      } = qr(arr);
+      arr = multiply(R, Q);
+      for (var _i = 0; _i < n; _i++) {
+        arr[_i][_i] = addScalar(arr[_i][_i], k);
+      }
+
+      // keep track of transformations
+      if (findVectors) {
+        Qpartial = multiply(Qpartial, Q);
+      }
+
+      // The rightmost diagonal element converged to an eigenvalue
+      if (n === 1 || smaller(abs(arr[n - 1][n - 2]), prec)) {
+        lastConvergenceBefore = 0;
+        lambdas.push(arr[n - 1][n - 1]);
+
+        // keep track of transformations
+        if (findVectors) {
+          Sdiag.unshift([[1]]);
+          inflateMatrix(Qpartial, N);
+          Qtotal = multiply(Qtotal, Qpartial);
+          if (n > 1) {
+            Qpartial = diag(Array(n - 1).fill(one));
+          }
+        }
+
+        // reduce the matrix size
+        n -= 1;
+        arr.pop();
+        for (var _i2 = 0; _i2 < n; _i2++) {
+          arr[_i2].pop();
+        }
+
+        // The rightmost diagonal 2x2 block converged
+      } else if (n === 2 || smaller(abs(arr[n - 2][n - 3]), prec)) {
+        lastConvergenceBefore = 0;
+        var ll = eigenvalues2x2(arr[n - 2][n - 2], arr[n - 2][n - 1], arr[n - 1][n - 2], arr[n - 1][n - 1]);
+        lambdas.push(...ll);
+
+        // keep track of transformations
+        if (findVectors) {
+          Sdiag.unshift(jordanBase2x2(arr[n - 2][n - 2], arr[n - 2][n - 1], arr[n - 1][n - 2], arr[n - 1][n - 1], ll[0], ll[1], prec, type));
+          inflateMatrix(Qpartial, N);
+          Qtotal = multiply(Qtotal, Qpartial);
+          if (n > 2) {
+            Qpartial = diag(Array(n - 2).fill(one));
+          }
+        }
+
+        // reduce the matrix size
+        n -= 2;
+        arr.pop();
+        arr.pop();
+        for (var _i3 = 0; _i3 < n; _i3++) {
+          arr[_i3].pop();
+          arr[_i3].pop();
+        }
+      }
+      if (n === 0) {
+        break;
+      }
+    }
+
+    // standard sorting
+    lambdas.sort((a, b) => +subtract(abs(a), abs(b)));
+
+    // the algorithm didn't converge
+    if (lastConvergenceBefore > 100) {
+      var err = Error('The eigenvalues failed to converge. Only found these eigenvalues: ' + lambdas.join(', '));
+      err.values = lambdas;
+      err.vectors = [];
+      throw err;
+    }
+
+    // combine the overall QR transformation Qtotal with the subsequent
+    // transformation S that turns the diagonal 2x2 blocks to upper triangular
+    var C = findVectors ? multiply(Qtotal, blockDiag(Sdiag, N)) : undefined;
+    return {
+      values: lambdas,
+      C
+    };
+  }
+
+  /**
+   * @param {Matrix} A hessenberg-form matrix
+   * @param {number} N size of A
+   * @param {Matrix} C column transformation matrix that turns A into upper triangular
+   * @param {Matrix} R similarity that turns original matrix into A
+   * @param {number[]} values array of eigenvalues of A
+   * @param {'number'|'BigNumber'|'Complex'} type
+   * @returns {number[][]} eigenvalues
+   */
+  function findEigenvectors(A, N, C, R, values, prec, type) {
+    var Cinv = inv(C);
+    var U = multiply(Cinv, A, C);
+    var big = type === 'BigNumber';
+    var cplx = type === 'Complex';
+    var zero = big ? bignumber(0) : cplx ? complex(0) : 0;
+    var one = big ? bignumber(1) : cplx ? complex(1) : 1;
+
+    // turn values into a kind of "multiset"
+    // this way it is easier to find eigenvectors
+    var uniqueValues = [];
+    var multiplicities = [];
+    for (var λ of values) {
+      var i = indexOf(uniqueValues, λ, equal);
+      if (i === -1) {
+        uniqueValues.push(λ);
+        multiplicities.push(1);
+      } else {
+        multiplicities[i] += 1;
+      }
+    }
+
+    // find eigenvectors by solving U − λE = 0
+    // TODO replace with an iterative eigenvector algorithm
+    // (this one might fail for imprecise eigenvalues)
+
+    var vectors = [];
+    var len = uniqueValues.length;
+    var b = Array(N).fill(zero);
+    var E = diag(Array(N).fill(one));
+
+    // eigenvalues for which usolve failed (due to numerical error)
+    var failedLambdas = [];
+    var _loop = function _loop(_i4) {
+      var λ = uniqueValues[_i4];
+      var S = subtract(U, multiply(λ, E)); // the characteristic matrix
+
+      var solutions = usolveAll(S, b);
+      solutions.shift(); // ignore the null vector
+
+      // looks like we missed something, try inverse iteration
+      while (solutions.length < multiplicities[_i4]) {
+        var approxVec = inverseIterate(S, N, solutions, prec, type);
+        if (approxVec == null) {
+          // no more vectors were found
+          failedLambdas.push(λ);
+          break;
+        }
+        solutions.push(approxVec);
+      }
+
+      // Transform back into original array coordinates
+      var correction = multiply(inv(R), C);
+      solutions = solutions.map(v => multiply(correction, v));
+      vectors.push(...solutions.map(v => flatten(v)));
+    };
+    for (var _i4 = 0; _i4 < len; _i4++) {
+      _loop(_i4);
+    }
+    if (failedLambdas.length !== 0) {
+      var err = new Error('Failed to find eigenvectors for the following eigenvalues: ' + failedLambdas.join(', '));
+      err.values = values;
+      err.vectors = vectors;
+      throw err;
+    }
+    return vectors;
+  }
+
+  /**
+   * Compute the eigenvalues of an 2x2 matrix
+   * @return {[number,number]}
+   */
+  function eigenvalues2x2(a, b, c, d) {
+    // λ± = ½ trA ± ½ √( tr²A - 4 detA )
+    var trA = addScalar(a, d);
+    var detA = subtract(multiplyScalar(a, d), multiplyScalar(b, c));
+    var x = multiplyScalar(trA, 0.5);
+    var y = multiplyScalar(sqrt(subtract(multiplyScalar(trA, trA), multiplyScalar(4, detA))), 0.5);
+    return [addScalar(x, y), subtract(x, y)];
+  }
+
+  /**
+   * For an 2x2 matrix compute the transformation matrix S,
+   * so that SAS⁻¹ is an upper triangular matrix
+   * @return {[[number,number],[number,number]]}
+   * @see https://math.berkeley.edu/~ogus/old/Math_54-05/webfoils/jordan.pdf
+   * @see http://people.math.harvard.edu/~knill/teaching/math21b2004/exhibits/2dmatrices/index.html
+   */
+  function jordanBase2x2(a, b, c, d, l1, l2, prec, type) {
+    var big = type === 'BigNumber';
+    var cplx = type === 'Complex';
+    var zero = big ? bignumber(0) : cplx ? complex(0) : 0;
+    var one = big ? bignumber(1) : cplx ? complex(1) : 1;
+
+    // matrix is already upper triangular
+    // return an identity matrix
+    if (smaller(abs(c), prec)) {
+      return [[one, zero], [zero, one]];
+    }
+
+    // matrix is diagonalizable
+    // return its eigenvectors as columns
+    if (larger(abs(subtract(l1, l2)), prec)) {
+      return [[subtract(l1, d), subtract(l2, d)], [c, c]];
+    }
+
+    // matrix is not diagonalizable
+    // compute off-diagonal elements of N = A - λI
+    // N₁₂ = 0 ⇒ S = ( N⃗₁, I⃗₁ )
+    // N₁₂ ≠ 0 ⇒ S = ( N⃗₂, I⃗₂ )
+
+    var na = subtract(a, l1);
+    var nb = subtract(b, l1);
+    var nc = subtract(c, l1);
+    var nd = subtract(d, l1);
+    if (smaller(abs(nb), prec)) {
+      return [[na, one], [nc, zero]];
+    } else {
+      return [[nb, zero], [nd, one]];
+    }
+  }
+
+  /**
+   * Enlarge the matrix from n×n to N×N, setting the new
+   * elements to 1 on diagonal and 0 elsewhere
+   */
+  function inflateMatrix(arr, N) {
+    // add columns
+    for (var i = 0; i < arr.length; i++) {
+      arr[i].push(...Array(N - arr[i].length).fill(0));
+    }
+
+    // add rows
+    for (var _i5 = arr.length; _i5 < N; _i5++) {
+      arr.push(Array(N).fill(0));
+      arr[_i5][_i5] = 1;
+    }
+    return arr;
+  }
+
+  /**
+   * Create a block-diagonal matrix with the given square matrices on the diagonal
+   * @param {Matrix[] | number[][][]} arr array of matrices to be placed on the diagonal
+   * @param {number} N the size of the resulting matrix
+   */
+  function blockDiag(arr, N) {
+    var M = [];
+    for (var i = 0; i < N; i++) {
+      M[i] = Array(N).fill(0);
+    }
+    var I = 0;
+    for (var sub of arr) {
+      var n = sub.length;
+      for (var _i6 = 0; _i6 < n; _i6++) {
+        for (var j = 0; j < n; j++) {
+          M[I + _i6][I + j] = sub[_i6][j];
+        }
+      }
+      I += n;
+    }
+    return M;
+  }
+
+  /**
+   * Finds the index of an element in an array using a custom equality function
+   * @template T
+   * @param {Array<T>} arr array in which to search
+   * @param {T} el the element to find
+   * @param {function(T, T): boolean} fn the equality function, first argument is an element of `arr`, the second is always `el`
+   * @returns {number} the index of `el`, or -1 when it's not in `arr`
+   */
+  function indexOf(arr, el, fn) {
+    for (var i = 0; i < arr.length; i++) {
+      if (fn(arr[i], el)) {
+        return i;
+      }
+    }
+    return -1;
+  }
+
+  /**
+   * Provided a near-singular upper-triangular matrix A and a list of vectors,
+   * finds an eigenvector of A with the smallest eigenvalue, which is orthogonal
+   * to each vector in the list
+   * @template T
+   * @param {T[][]} A near-singular square matrix
+   * @param {number} N dimension
+   * @param {T[][]} orthog list of vectors
+   * @param {number} prec epsilon
+   * @param {'number'|'BigNumber'|'Complex'} type
+   * @return {T[] | null} eigenvector
+   *
+   * @see Numerical Recipes for Fortran 77 – 11.7 Eigenvalues or Eigenvectors by Inverse Iteration
+   */
+  function inverseIterate(A, N, orthog, prec, type) {
+    var largeNum = type === 'BigNumber' ? bignumber(1000) : 1000;
+    var b; // the vector
+
+    // you better choose a random vector before I count to five
+    var i = 0;
+    while (true) {
+      b = randomOrthogonalVector(N, orthog, type);
+      b = usolve(A, b);
+      if (larger(norm(b), largeNum)) {
+        break;
+      }
+      if (++i >= 5) {
+        return null;
+      }
+    }
+
+    // you better converge before I count to ten
+    i = 0;
+    while (true) {
+      var c = usolve(A, b);
+      if (smaller(norm(orthogonalComplement(b, [c])), prec)) {
+        break;
+      }
+      if (++i >= 10) {
+        return null;
+      }
+      b = normalize(c);
+    }
+    return b;
+  }
+
+  /**
+   * Generates a random unit vector of dimension N, orthogonal to each vector in the list
+   * @template T
+   * @param {number} N dimension
+   * @param {T[][]} orthog list of vectors
+   * @param {'number'|'BigNumber'|'Complex'} type
+   * @returns {T[]} random vector
+   */
+  function randomOrthogonalVector(N, orthog, type) {
+    var big = type === 'BigNumber';
+    var cplx = type === 'Complex';
+
+    // generate random vector with the correct type
+    var v = Array(N).fill(0).map(_ => 2 * Math.random() - 1);
+    if (big) {
+      v = v.map(n => bignumber(n));
+    }
+    if (cplx) {
+      v = v.map(n => complex(n));
+    }
+
+    // project to orthogonal complement
+    v = orthogonalComplement(v, orthog);
+
+    // normalize
+    return normalize(v, type);
+  }
+
+  /**
+   * Project vector v to the orthogonal complement of an array of vectors
+   */
+  function orthogonalComplement(v, orthog) {
+    for (var w of orthog) {
+      // v := v − (w, v)/∥w∥² w
+      v = subtract(v, multiply(divideScalar(dot(w, v), dot(w, w)), w));
+    }
+    return v;
+  }
+
+  /**
+   * Calculate the norm of a vector.
+   * We can't use math.norm because factory can't handle circular dependency.
+   * Seriously, I'm really fed up with factory.
+   */
+  function norm(v) {
+    return abs(sqrt(dot(v, v)));
+  }
+
+  /**
+   * Normalize a vector
+   * @template T
+   * @param {T[]} v
+   * @param {'number'|'BigNumber'|'Complex'} type
+   * @returns {T[]} normalized vec
+   */
+  function normalize(v, type) {
+    var big = type === 'BigNumber';
+    var cplx = type === 'Complex';
+    var one = big ? bignumber(1) : cplx ? complex(1) : 1;
+    return multiply(divideScalar(one, norm(v)), v);
+  }
+  return complexEigs;
+}