freealg 0.0.1__tar.gz → 0.0.3__tar.gz

{freealg-0.0.1/freealg.egg-info → freealg-0.0.3}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: freealg
-Version: 0.0.1
+Version: 0.0.3
 Summary: Free probability for large matrices
 Keywords: leaderboard bot chat
 Platform: Linux

freealg-0.0.3/freealg/__version__.py

@@ -0,0 +1 @@
+__version__ = "0.0.3"

freealg-0.0.3/freealg/_decompress.py

@@ -0,0 +1,136 @@
+# SPDX-License-Identifier: BSD-3-Clause
+# SPDX-FileType: SOURCE
+#
+# This program is free software: you can redistribute it and/or modify it under
+# the terms of the license found in the LICENSE.txt file in the root directory
+# of this source tree.
+
+
+# =======
+# Imports
+# =======
+
+import numpy
+
+__all__ = ['decompress']
+
+
+# ==========
+# decompress
+# ==========
+
+def decompress(matrix, size, x=None, delta=1e-4, iterations=500, step_size=0.1,
+               tolerance=1e-4):
+    """
+    Free decompression of spectral density.
+
+    Parameters
+    ----------
+
+    matrix : FreeForm
+        The initial matrix to be decompressed
+
+    size : int
+        Size of the decompressed matrix.
+
+    x : numpy.array, default=None
+        Positions where density to be evaluated at. If `None`, an interval
+        slightly larger than the support interval will be used.
+
+    delta: float, default=1e-4
+        Size of the perturbation into the upper half plane for Plemelj's
+        formula.
+
+    iterations: int, default=500
+        Maximum number of Newton iterations.
+
+    step_size: float, default=0.1
+        Step size for Newton iterations.
+
+    tolerance: float, default=1e-4
+        Tolerance for the solution obtained by the Newton solver. Also
+        used for the finite difference approximation to the derivative.
+
+    Returns
+    -------
+
+    rho : numpy.array
+        Spectral density
+
+    See Also
+    --------
+
+    density
+    stieltjes
+
+    Notes
+    -----
+
+    Work in progress.
+
+    References
+    ----------
+
+    .. [1] tbd
+
+    Examples
+    --------
+
+    .. code-block:: python
+
+        >>> from freealg import FreeForm
+    """
+
+    alpha = size / matrix.n
+    m = matrix._eval_stieltjes
+    # Lower and upper bound on new support
+    hilb_lb = (1 / m(matrix.lam_m + delta * 1j)[1]).real
+    hilb_ub = (1 / m(matrix.lam_p + delta * 1j)[1]).real
+    lb = matrix.lam_m - (alpha - 1) * hilb_lb
+    ub = matrix.lam_p - (alpha - 1) * hilb_ub
+
+    # Create x if not given
+    if x is None:
+        radius = 0.5 * (ub - lb)
+        center = 0.5 * (ub + lb)
+        scale = 1.25
+        x_min = numpy.floor(center - radius * scale)
+        x_max = numpy.ceil(center + radius * scale)
+        x = numpy.linspace(x_min, x_max, 500)
+
+    def _char_z(z):
+        return z + (1 / m(z)[1]) * (1 - alpha)
+
+    # Ensure that input is an array
+    x = numpy.asarray(x)
+
+    target = x + delta * 1j
+
+    z = numpy.full(target.shape, numpy.mean(matrix.support) - .1j,
+                   dtype=numpy.complex128)
+
+    # Broken Newton steps can produce a lot of warnings. Removing them
+    # for now.
+    with numpy.errstate(all='ignore'):
+        for _ in range(iterations):
+            objective = _char_z(z) - target
+            mask = numpy.abs(objective) >= tolerance
+            if not numpy.any(mask):
+                break
+            z_m = z[mask]
+
+            # Perform finite difference approximation
+            dfdz = _char_z(z_m+tolerance) - _char_z(z_m-tolerance)
+            dfdz /= 2*tolerance
+            dfdz[dfdz == 0] = 1.0
+
+            # Perform Newton step
+            z[mask] = z_m - step_size * objective[mask] / dfdz
+
+    # Plemelj's formula
+    char_s = m(z)[1] / alpha
+    rho = numpy.maximum(0, char_s.imag / numpy.pi)
+    rho[numpy.isnan(rho) | numpy.isinf(rho)] = 0
+    rho = rho.reshape(*x.shape)
+
+    return rho, x, (lb, ub)

{freealg-0.0.1 → freealg-0.0.3}/freealg/_jacobi.py

@@ -174,9 +174,7 @@ def jacobi_stieltjes(z, psi, support, alpha=0.0, beta=0.0, n_base=40):
         integrand = w_nodes * P_k_nodes                      # (n_quad,)
 
         # Broadcast over z: shape (n_quad, ...) / ...
-        # diff = u_z[None, ...] - t_nodes[:, None]           # (n_quad, ...)
         diff = u_z[None, ...] - t_nodes[:, None, None]       # (n_quad, Ny, Nx)
-        # m_k  = (integrand[:, None] / diff).sum(axis=0)     # shape like z
         m_k = (integrand[:, None, None] / diff).sum(axis=0)
 
         # Accumulate with factor 2/span

{freealg-0.0.1 → freealg-0.0.3}/freealg/_plot_util.py

@@ -19,28 +19,21 @@ import colorsys
 import matplotlib.ticker as ticker
 import matplotlib.gridspec as gridspec
 
-__all__ = ['plot_coeff', 'plot_density', 'plot_hilbert', 'plot_stieltjes',
-           'plot_stieltjes_on_disk', 'plot_glue_fit']
+__all__ = ['plot_fit', 'plot_density', 'plot_hilbert', 'plot_stieltjes',
+           'plot_stieltjes_on_disk']
 
 
-# ==========
-# plot coeff
-# ==========
+# ==============
+# plot coeff fit
+# ==============
 
-def plot_coeff(psi, latex=False, save=False):
+def plot_coeff_fit(psi, latex=False, save=False):
     """
     """
 
     with texplot.theme(use_latex=latex):
 
         fig, ax = plt.subplots(figsize=(6, 2.7))
-        n = numpy.arange(1, 1+psi.size)
-        ax.plot(n, psi**2, '-o', markersize=3, color='black')
-        ax.set_xlim([n[0]-1e-3, n[-1]+1e-3])
-        ax.set_xlabel(r'$k$')
-        ax.set_ylabel(r'$\vert \psi_k \vert^2$')
-        ax.set_title('Spectral Energy per Mode')
-        ax.set_yscale('log')
 
         # Save
         if save is False:
@@ -54,7 +47,65 @@ def plot_coeff(psi, latex=False, save=False):
                 save_filename = 'energy.pdf'
 
         texplot.show_or_save_plot(plt, default_filename=save_filename,
-                                  transparent_background=True, dpi=200,
+                                  transparent_background=True, dpi=400,
+                                  show_and_save=save_status, verbose=True)
+
+
+# ========
+# plot fit
+# ========
+
+def plot_fit(psi, x_supp, g_supp, g_supp_approx, support, latex=False,
+             save=False):
+    """
+    """
+
+    with texplot.theme(use_latex=latex):
+
+        fig, ax = plt.subplots(figsize=(9, 3), ncols=2)
+
+        # Plot psi
+        n = numpy.arange(1, 1+psi.size)
+        ax[0].plot(n, psi**2, '-o', markersize=3, color='black')
+        ax[0].set_xlim([n[0]-1e-3, n[-1]+1e-3])
+        ax[0].set_xlabel(r'$k$')
+        ax[0].set_ylabel(r'$\vert \psi_k \vert^2$')
+        ax[0].set_title('Spectral Energy per Mode')
+        ax[0].set_yscale('log')
+
+        # Plot pade
+        lam_m, lam_p = support
+        g_supp_min = numpy.min(g_supp)
+        g_supp_max = numpy.max(g_supp)
+        g_supp_dif = g_supp_max - g_supp_min
+        g_min = g_supp_min - g_supp_dif * 1.1
+        g_max = g_supp_max + g_supp_dif * 1.1
+
+        ax[1].plot(x_supp, g_supp, color='firebrick',
+                   label=r'$2 \pi \times $ Hilbert Transform')
+        ax[1].plot(x_supp, g_supp_approx, color='black', label='Pade estimate')
+        ax[1].legend(fontsize='small')
+        ax[1].set_xlim([lam_m, lam_p])
+        ax[1].set_ylim([g_min, g_max])
+        ax[1].set_title('Approximation of Glue Function')
+        ax[1].set_xlabel(r'$x$')
+        ax[1].set_ylabel(r'$G(x)$')
+
+        plt.tight_layout()
+
+        # Save
+        if save is False:
+            save_status = False
+            save_filename = ''
+        else:
+            save_status = True
+            if isinstance(save, str):
+                save_filename = save
+            else:
+                save_filename = 'fit.pdf'
+
+        texplot.show_or_save_plot(plt, default_filename=save_filename,
+                                  transparent_background=True, dpi=400,
                                   show_and_save=save_status, verbose=True)
 
 
@@ -76,6 +127,8 @@ def plot_density(x, rho, eig=None, support=None, label='',
             bins = numpy.linspace(lam_m, lam_p, 250)
             _ = ax.hist(eig, bins, density=True, color='silver',
                         edgecolor='none', label='Histogram')
+        else:
+            plt.fill_between(x, y1=rho, y2=0, color='silver', zorder=-1)
 
         ax.plot(x, rho, color='black', label=label, zorder=3)
         ax.set_xlabel(r'$\lambda$')
@@ -99,7 +152,7 @@ def plot_density(x, rho, eig=None, support=None, label='',
                 save_filename = 'density.pdf'
 
         texplot.show_or_save_plot(plt, default_filename=save_filename,
-                                  transparent_background=True, dpi=200,
+                                  transparent_background=True, dpi=400,
                                   show_and_save=save_status, verbose=True)
 
 
@@ -149,7 +202,7 @@ def plot_hilbert(x, hilb, support=None, latex=False, save=False):
                 save_filename = 'hilbert.pdf'
 
         texplot.show_or_save_plot(plt, default_filename=save_filename,
-                                  transparent_background=True, dpi=200,
+                                  transparent_background=True, dpi=400,
                                   show_and_save=save_status, verbose=True)
 
 
@@ -327,7 +380,7 @@ def plot_stieltjes(x, y, m1, m2, support, latex=False, save=False):
                 save_filename = 'stieltjes.pdf'
 
         texplot.show_or_save_plot(plt, default_filename=save_filename,
-                                  transparent_background=True, dpi=200,
+                                  transparent_background=True, dpi=400,
                                   show_and_save=save_status, verbose=True)
 
 
@@ -456,16 +509,15 @@ def plot_stieltjes_on_disk(r, t, m1_D, m2_D, support, latex=False, save=False):
                 save_filename = 'stieltjes_disk.pdf'
 
         texplot.show_or_save_plot(plt, default_filename=save_filename,
-                                  transparent_background=True, dpi=200,
+                                  transparent_background=True, dpi=400,
                                   show_and_save=save_status, verbose=True)
 
 
-# =============
-# plot glue fit
-# =============
+# ============
+# plot samples
+# ============
 
-def plot_glue_fit(x_supp, g_supp, g_supp_approx, support, latex=False,
-                  save=False):
+def plot_samples(x, rho, x_min, x_max, samples, latex=False, save=False):
     """
     """
 
@@ -473,15 +525,16 @@ def plot_glue_fit(x_supp, g_supp, g_supp_approx, support, latex=False,
 
         fig, ax = plt.subplots(figsize=(6, 3))
 
-        lam_m, lam_p = support
-        ax.plot(x_supp, g_supp, color='black', label='Glue target')
-        ax.plot(x_supp, g_supp_approx, color='firebrick',
-                label='Glue estimate')
+        bins = numpy.linspace(x_min, x_max, samples.size // 10)
+        _ = ax.hist(samples, bins, density=True, color='silver',
+                    label='Samples histogram')
+        ax.plot(x, rho, color='black', label='Exact density')
         ax.legend(fontsize='small')
-        ax.set_xlim([lam_m, lam_p])
-        ax.set_title('Approximation of Glue function on real axis')
-        ax.set_xlabel(r'$x$')
-        ax.set_ylabel(r'$G(x)$')
+        ax.set_ylim(bottom=0)
+        ax.set_xlim([x[0], x[-1]])
+        ax.set_xlabel(r'$\lambda$')
+        ax.set_ylabel(r'$\rho(\lambda)$''')
+        ax.set_title('Histogram of Samples from Distribution')
 
         # Save
         if save is False:
@@ -492,8 +545,8 @@ def plot_glue_fit(x_supp, g_supp, g_supp_approx, support, latex=False,
             if isinstance(save, str):
                 save_filename = save
             else:
-                save_filename = 'glue_fit.pdf'
+                save_filename = 'samples.pdf'
 
         texplot.show_or_save_plot(plt, default_filename=save_filename,
-                                  transparent_background=True, dpi=200,
+                                  transparent_background=True, dpi=400,
                                   show_and_save=save_status, verbose=True)

{freealg-0.0.1 → freealg-0.0.3}/freealg/distributions/marchenko_pastur.py

@@ -14,7 +14,7 @@
 import numpy
 from scipy.interpolate import interp1d
 from .._plot_util import plot_density, plot_hilbert, plot_stieltjes, \
-    plot_stieltjes_on_disk
+    plot_stieltjes_on_disk, plot_samples
 
 try:
     from scipy.integrate import cumtrapz
@@ -77,9 +77,7 @@ class MarchenkoPastur(object):
 
     .. [1] Marcenko, V. A., Pastur, L. A. (1967). Distribution of eigenvalues
            for some sets of random matrices. Mathematics of the USSR-Sbornik,
-           1(4), 457 (`DOI<
-           https://iopscience.iop.org/article/10.1070/SM1967v001n04ABEH001994
-           >`__)
+           1(4), 457
 
     Examples
     --------
@@ -149,6 +147,10 @@ class MarchenkoPastur(object):
             >>> from freealg.distributions import MarchenkoPastur
             >>> mp = MarchenkoPastur(1/50)
             >>> rho = mp.density(plot=True)
+
+        .. image:: ../_static/images/plots/mp_density.png
+            :align: center
+            :class: custom-dark
         """
 
         # Create x if not given
@@ -167,8 +169,7 @@ class MarchenkoPastur(object):
             numpy.sqrt((self.lam_p - x[mask]) * (x[mask] - self.lam_m))
 
         if plot:
-            plot_density(x, rho, support=self.support, label='', latex=latex,
-                         save=save)
+            plot_density(x, rho, label='', latex=latex, save=save)
 
         return rho
 
@@ -189,7 +190,7 @@ class MarchenkoPastur(object):
             spectral density is used.
 
         plot : bool, default=False
-            If `True`, density is plotted.
+            If `True`, Hilbert transform is plotted.
 
         latex : bool, default=False
             If `True`, the plot is rendered using LaTeX. This option is
@@ -214,6 +215,10 @@ class MarchenkoPastur(object):
             >>> from freealg.distributions import MarchenkoPastur
             >>> mp = MarchenkoPastur(1/50)
             >>> hilb = mp.hilbert(plot=True)
+
+        .. image:: ../_static/images/plots/mp_hilbert.png
+            :align: center
+            :class: custom-dark
         """
 
         # Create x if not given
@@ -225,9 +230,18 @@ class MarchenkoPastur(object):
             x_max = numpy.ceil(center + radius * scale)
             x = numpy.linspace(x_min, x_max, 500)
 
-        hilb = numpy.zeros_like(x)
-        mask = numpy.logical_and(x >= self.lam_m, x <= self.lam_p)
-        hilb[mask] = (x[mask] - 1 - self.lam) / (self.lam * x[mask])
+        def _P(x):
+            return x - 1 + self.lam
+
+        def _Q(x):
+            return self.lam * x
+
+        P = _P(x)
+        Q = _Q(x)
+        Delta2 = P**2 - 4.0 * Q
+        Delta = numpy.sqrt(numpy.maximum(Delta2, 0))
+        sign = numpy.sign(P)
+        hilb = (P - sign * Delta) / (2.0 * Q)
 
         # using negative sign convention
         hilb = -hilb
@@ -319,7 +333,7 @@ class MarchenkoPastur(object):
             If `None`, a grid on the interval ``[-1, 1]`` is used.
 
         plot : bool, default=False
-            If `True`, density is plotted.
+            If `True`, Stieltjes transform is plotted.
 
         on_disk : bool, default=False
             If `True`, the Stieltjes transform is mapped on unit disk. This
@@ -346,12 +360,25 @@ class MarchenkoPastur(object):
         Examples
         --------
 
-        .. code-block::python
+        .. code-block:: python
 
             >>> from freealg.distributions import MarchenkoPastur
             >>> mp = MarchenkoPastur(1/50)
             >>> m1, m2 = mp.stieltjes(plot=True)
 
+        .. image:: ../_static/images/plots/mp_stieltjes.png
+            :align: center
+            :class: custom-dark
+
+        Plot on unit disk using Cayley transform:
+
+        .. code-block:: python
+
+            >>> m1, m2 = mp.stieltjes(plot=True, on_disk=True)
+
+        .. image:: ../_static/images/plots/mp_stieltjes_disk.png
+            :align: center
+            :class: custom-dark
         """
 
         if (plot is True) and (on_disk is True):
@@ -407,7 +434,8 @@ class MarchenkoPastur(object):
     # sample
     # ======
 
-    def sample(self, size, x_min=None, x_max=None):
+    def sample(self, size, x_min=None, x_max=None, plot=False, latex=False,
+               save=False):
         """
         Sample from distribution.
 
@@ -425,6 +453,18 @@ class MarchenkoPastur(object):
             Maximum of sample values. If `None`, the right edge of the support
             is used.
 
+        plot : bool, default=False
+            If `True`, samples histogram is plotted.
+
+        latex : bool, default=False
+            If `True`, the plot is rendered using LaTeX. This option is
+            relevant only if ``plot=True``.
+
+        save : bool, default=False
+            If not `False`, the plot is saved. If a string is given, it is
+            assumed to the save filename (with the file extension). This option
+            is relevant only if ``plot=True``.
+
         Returns
         -------
 
@@ -443,7 +483,11 @@ class MarchenkoPastur(object):
 
             >>> from freealg.distributions import MarchenkoPastur
             >>> mp = MarchenkoPastur(1/50)
-            >>> s = mp.sample(2000)
+
+         >>> s = mp.sample(2000)
+        .. image:: ../_static/images/plots/mp_samples.png
+            :align: center
+            :class: custom-dark
         """
 
         if x_min is None:
@@ -466,7 +510,19 @@ class MarchenkoPastur(object):
 
         # Sample and map
         u = numpy.random.rand(size)
-        return inv_cdf(u)
+        samples = inv_cdf(u)
+
+        if plot:
+            radius = 0.5 * (self.lam_p - self.lam_m)
+            center = 0.5 * (self.lam_p + self.lam_m)
+            scale = 1.25
+            x_min = numpy.floor(center - radius * scale)
+            x_max = numpy.ceil(center + radius * scale)
+            x = numpy.linspace(x_min, x_max, 500)
+            rho = self.density(x)
+            plot_samples(x, rho, x_min, x_max, samples, latex=latex, save=save)
+
+        return samples
 
     # ======
     # matrix

{freealg-0.0.1 → freealg-0.0.3}/freealg/freeform.py

@@ -12,15 +12,16 @@
 # =======
 
 import numpy
+from scipy.stats import gaussian_kde
 from functools import partial
 from ._util import compute_eig, force_density
 from ._jacobi import jacobi_proj, jacobi_approx, jacobi_stieltjes
 from ._chebyshev import chebyshev_proj, chebyshev_approx, chebyshev_stieltjes
 from ._damp import jackson_damping, lanczos_damping, fejer_damping, \
     exponential_damping, parzen_damping
-from ._plot_util import plot_coeff, plot_density, plot_hilbert, \
-    plot_stieltjes, plot_glue_fit
+from ._plot_util import plot_fit, plot_density, plot_hilbert, plot_stieltjes
 from ._pade import fit_pade, eval_pade
+from ._decompress import decompress
 
 __all__ = ['FreeForm']
 
@@ -45,6 +46,13 @@ class FreeForm(object):
         The support of the density of :math:`\\mathbf{A}`. If `None`, it is
         estimated from the minimum and maximum of the eigenvalues.
 
+    p : float, default=0.001
+        The edges of the support of the distribution is detected by the
+        :math:`p`-quantile on the left and :math:`(1-p)`-quantile on the right.
+        If the argument ``support`` is directly provided, this option is
+        ignored. This value should be between 0 and 1, ideally a small
+        number close to zero.
+
     Notes
     -----
 
@@ -64,6 +72,10 @@ class FreeForm(object):
     psi : numpy.array
         Jacobi coefficients.
 
+    n   : int
+        Initial array size (assuming a square matrix when :math:`\\mathbf{A}`
+        is 2D)
+
     Methods
     -------
 
@@ -94,7 +106,7 @@ class FreeForm(object):
     # init
     # ====
 
-    def __init__(self, A, support=None):
+    def __init__(self, A, support=None, p=0.001):
         """
         Initialization.
         """
@@ -106,16 +118,20 @@ class FreeForm(object):
         if A.ndim == 1:
             # When A is a 1D array, it is assumed A is the eigenvalue array.
             self.eig = A
+            self.n = len(A)
         elif A.ndim == 2:
             # When A is a 2D array, it is assumed A is the actual array,
             # and its eigenvalues will be computed.
             self.A = A
+            self.n = A.shape[0]
+            assert A.shape[0] == A.shape[1], \
+                'Only square matrices are permitted.'
             self.eig = compute_eig(A)
 
         # Support
         if support is None:
-            self.lam_m = self.eig.min()
-            self.lam_p = self.eig.max()
+            self.lam_m, self.lam_p = self._detect_support(self.eig, p,
+                                                          smoothen=True)
         else:
             self.lam_m = support[0]
             self.lam_p = support[1]
@@ -126,20 +142,46 @@ class FreeForm(object):
         self.psi = None
         self.alpha = None
         self.beta = None
+        self._pade_sol = None
+
+    # ==============
+    # detect support
+    # ==============
+
+    def _detect_support(self, eig, p, smoothen=True):
+        """
+        """
+
+        # Using quantile directly.
+        if smoothen:
+            kde = gaussian_kde(eig)
+            xs = numpy.linspace(eig.min(), eig.max(), 1000)
+            fs = kde(xs)
+
+            cdf = numpy.cumsum(fs)
+            cdf /= cdf[-1]
+
+            lam_m = numpy.interp(p, cdf, xs)
+            lam_p = numpy.interp(1-p, cdf, xs)
+        else:
+            lam_m, lam_p = numpy.quantile(eig, [p, 1-p])
+
+        return lam_m, lam_p
 
     # ===
     # fit
     # ===
 
     def fit(self, method='jacobi', K=10, alpha=0.0, beta=0.0, reg=0.0,
-            damp=None, force=False, plot=False, latex=False, save=False):
+            damp=None, force=False, pade_p=1, pade_q=1, plot=False,
+            latex=False, save=False):
         """
         Fit model to eigenvalues.
 
         Parameters
         ----------
 
-        method : {``'jacobi'``, ``'chebyshev'``}, default=``'jacobi'``
+        method : {``'jacobi'``, ``'chebyshev'``}, default= ``'jacobi'``
             Method of approximation, either by Jacobi polynomials or Chebyshev
             polynomials of the second kind.
 
@@ -167,8 +209,15 @@ class FreeForm(object):
             If `True`, it forces the density to have unit mass and to be
             strictly positive.
 
+        pade_p : int, default=1
+            Degree of polynomial :math:`P(z)`. See notes below.
+
+        pade_q : int, default=1
+            Degree of polynomial :math:`Q(z)`. See notes below.
+
         plot : bool, default=False
-            If `True`, density is plotted.
+            If `True`, the approximation coefficients and pade approximaton to
+            the Hilbert traosnform are plotted.
 
         latex : bool, default=False
             If `True`, the plot is rendered using LaTeX. This option is
@@ -245,8 +294,24 @@ class FreeForm(object):
         self.alpha = alpha
         self.beta = beta
 
+        # For holomorphic continuation for the lower half-plane
+        x_supp = numpy.linspace(self.lam_m, self.lam_p, 1000)
+        g_supp = 2.0 * numpy.pi * self.hilbert(x_supp)
+
+        # Fit a pade approximation
+        self._pade_sol = fit_pade(x_supp, g_supp, self.lam_m,
+                                  self.lam_p, pade_p, pade_q, delta=1e-8,
+                                  B=numpy.inf, S=numpy.inf)
+
         if plot:
-            plot_coeff(psi, latex=latex, save=save)
+            # Unpack optimized parameters
+            s = self._pade_sol['s']
+            a = self._pade_sol['a']
+            b = self._pade_sol['b']
+
+            g_supp_approx = eval_pade(x_supp[None, :], s, a, b)[0, :]
+            plot_fit(psi, x_supp, g_supp, g_supp_approx, support=self.support,
+                     latex=latex, save=save)
 
         return self.psi
 
@@ -444,41 +509,28 @@ class FreeForm(object):
     # glue
     # ====
 
-    def _glue(self, z, p, q, plot_glue=False, latex=False, save=False):
+    def _glue(self, z):
         """
         """
 
-        # Holomorphic continuation for the lower half-plane
-        x_supp = numpy.linspace(self.lam_m, self.lam_p, 1000)
-        g_supp = 2.0 * numpy.pi * self.hilbert(x_supp)
-
-        # Fit a pade approximation
-        sol = fit_pade(x_supp, g_supp, self.lam_m, self.lam_p, p, q,
-                       delta=1e-8, B=numpy.inf, S=numpy.inf)
-
         # Unpack optimized parameters
-        s = sol['s']
-        a = sol['a']
-        b = sol['b']
+        s = self._pade_sol['s']
+        a = self._pade_sol['a']
+        b = self._pade_sol['b']
 
         # Glue function
         g = eval_pade(z, s, a, b)
 
-        if plot_glue:
-            g_supp_approx = eval_pade(x_supp[None, :], s, a, b)[0, :]
-            plot_glue_fit(x_supp, g_supp, g_supp_approx, support=self.support,
-                          latex=latex, save=save)
-
         return g
 
     # =========
     # stieltjes
     # =========
 
-    def stieltjes(self, x, y, p=1, q=2, plot=False, plot_glue=False,
-                  latex=False, save=False):
+    def stieltjes(self, x, y, plot=False, latex=False, save=False):
         """
-        Compute Stieltjes transform of the spectral density.
+        Compute Stieltjes transform of the spectral density over a 2D Cartesian
+        grid on the complex plane.
 
         Parameters
         ----------
@@ -492,19 +544,9 @@ class FreeForm(object):
             The y axis of the grid where the Stieltjes transform is evaluated.
             If `None`, a grid on the interval ``[-1, 1]`` is used.
 
-        p : int, default=1
-            Degree of polynomial :math:`P(z)`. See notes below.
-
-        q : int, default=1
-            Degree of polynomial :math:`Q(z)`. See notes below.
-
         plot : bool, default=False
             If `True`, density is plotted.
 
-        plot_glue : bool, default=False
-            If `True`, the fit of glue function to Hilbert transform is
-            plotted.
-
         latex : bool, default=False
             If `True`, the plot is rendered using LaTeX. This option is
             relevant only if ``plot=True``.
@@ -536,7 +578,7 @@ class FreeForm(object):
         References
         ----------
 
-        .. [1] rbd
+        .. [1] tbd
 
         Examples
         --------
@@ -591,46 +633,165 @@ class FreeForm(object):
         m1[mask_m, :] = numpy.conjugate(
             stieltjes(numpy.conjugate(z[mask_m, :])))
 
+        # Second Reimann sheet
         m2[mask_p, :] = m1[mask_p, :]
-        m2[mask_m, :] = -m1[mask_m, :] + self._glue(
-                z[mask_m, :], p, q, plot_glue=plot_glue, latex=latex,
-                save=save)
+        m2[mask_m, :] = -m1[mask_m, :] + self._glue(z[mask_m, :])
 
         if plot:
             plot_stieltjes(x, y, m1, m2, self.support, latex=latex, save=save)
 
         return m1, m2
 
+    # ==============
+    # eval stieltjes
+    # ==============
+
+    def _eval_stieltjes(self, z):
+        """
+        Compute Stieltjes transform of the spectral density.
+
+        Parameters
+        ----------
+
+        z : numpy.array
+            The z values in the complex plan where the Stieltjes transform is
+            evaluated.
+
+
+        Returns
+        -------
+
+        m_p : numpy.ndarray
+            The Stieltjes transform on the principal branch.
+
+        m_m : numpy.ndarray
+            The Stieltjes transform continued to the secondary branch.
+
+        See Also
+        --------
+        density
+        hilbert
+
+        Notes
+        -----
+
+        Notes.
+
+        References
+        ----------
+
+        .. [1] tbd
+
+        Examples
+        --------
+
+        .. code-block:: python
+
+            >>> from freealg import FreeForm
+        """
+
+        if self.psi is None:
+            raise RuntimeError('"fit" the model first.')
+
+        z = numpy.asarray(z)
+        shape = z.shape
+        if len(shape) == 0:
+            shape = (1,)
+        z = z.reshape(-1, 1)
+
+        # Stieltjes function
+        if self.method == 'jacobi':
+            stieltjes = partial(jacobi_stieltjes, psi=self.psi,
+                                support=self.support, alpha=self.alpha,
+                                beta=self.beta)
+        elif self.method == 'chebyshev':
+            stieltjes = partial(chebyshev_stieltjes, psi=self.psi,
+                                support=self.support)
+
+        mask_p = z.imag >= 0.0
+        mask_m = z.imag < 0.0
+
+        m1 = numpy.zeros_like(z)
+        m2 = numpy.zeros_like(z)
+
+        # Upper half-plane
+        m1[mask_p] = stieltjes(z[mask_p].reshape(-1, 1)).reshape(-1)
+
+        # Lower half-plane, use Schwarz reflection
+        m1[mask_m] = numpy.conjugate(
+            stieltjes(numpy.conjugate(z[mask_m].reshape(-1, 1)))).reshape(-1)
+
+        # Second Reimann sheet
+        m2[mask_p] = m1[mask_p]
+        m2[mask_m] = -m1[mask_m] + self._glue(
+            z[mask_m].reshape(-1, 1)).reshape(-1)
+
+        m1, m2 = m1.reshape(*shape), m2.reshape(*shape)
+
+        return m1, m2
+
     # ==========
     # decompress
     # ==========
 
-    def decompress(self, n):
+    def decompress(self, size, x=None, delta=1e-4, iterations=500,
+                   step_size=0.1, tolerance=1e-4, plot=False, latex=False,
+                   save=False):
         """
         Free decompression of spectral density.
 
         Parameters
         ----------
 
-        n : int
-            Size of the matrix.
+        size : int
+            Size of the decompressed matrix.
+
+        x : numpy.array, default=None
+            Positions where density to be evaluated at. If `None`, an interval
+            slightly larger than the support interval will be used.
+
+        delta: float, default=1e-4
+            Size of the perturbation into the upper half plane for Plemelj's
+            formula.
+
+        iterations: int, default=500
+            Maximum number of Newton iterations.
+
+        step_size: float, default=0.1
+            Step size for Newton iterations.
+
+        tolerance: float, default=1e-4
+            Tolerance for the solution obtained by the Newton solver. Also
+            used for the finite difference approximation to the derivative.
+
+        plot : bool, default=False
+            If `True`, density is plotted.
+
+        latex : bool, default=False
+            If `True`, the plot is rendered using LaTeX. This option is
+            relevant only if ``plot=True``.
+
+        save : bool, default=False
+            If not `False`, the plot is saved. If a string is given, it is
+            assumed to the save filename (with the file extension). This option
+            is relevant only if ``plot=True``.
 
         Returns
         -------
 
         rho : numpy.array
-            Spenctral density
+            Spectral density
 
         See Also
         --------
 
         density
-        stiletjes
+        stieltjes
 
         Notes
         -----
 
-        Not implemented.
+        Work in progress.
 
         References
         ----------
@@ -645,4 +806,12 @@ class FreeForm(object):
             >>> from freealg import FreeForm
         """
 
-        pass
+        rho, x, (lb, ub) = decompress(self, size, x=x, delta=delta,
+                                      iterations=iterations,
+                                      step_size=step_size, tolerance=tolerance)
+
+        if plot:
+            plot_density(x.reshape(-1), rho.reshape(-1), support=(lb, ub),
+                         label='Decompression', latex=latex, save=save)
+
+        return rho

{freealg-0.0.1 → freealg-0.0.3/freealg.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: freealg
-Version: 0.0.1
+Version: 0.0.3
 Summary: Free probability for large matrices
 Keywords: leaderboard bot chat
 Platform: Linux

{freealg-0.0.1 → freealg-0.0.3}/freealg.egg-info/SOURCES.txt

@@ -10,6 +10,7 @@ freealg/__init__.py
 freealg/__version__.py
 freealg/_chebyshev.py
 freealg/_damp.py
+freealg/_decompress.py
 freealg/_jacobi.py
 freealg/_pade.py
 freealg/_plot_util.py

freealg-0.0.1/freealg/__version__.py

@@ -1 +0,0 @@
-__version__ = "0.0.1"