freealg 0.0.3__py3-none-any.whl → 0.1.1__py3-none-any.whl

freealg/distributions/wachter.py

@@ -0,0 +1,568 @@
+# SPDX-FileCopyrightText: Copyright 2025, Siavash Ameli <sameli@berkeley.edu>
+# 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
+from scipy.interpolate import interp1d
+from .._plot_util import plot_density, plot_hilbert, plot_stieltjes, \
+    plot_stieltjes_on_disk, plot_samples
+
+try:
+    from scipy.integrate import cumtrapz
+except ImportError:
+    from scipy.integrate import cumulative_trapezoid as cumtrapz
+
+__all__ = ['Wachter']
+
+
+# =======
+# Wachter
+# =======
+
+class Wachter(object):
+    """
+    Wachter distribution.
+
+    Parameters
+    ----------
+
+    a : float
+        Parameter :math:`a` of the distribution. See Notes.
+
+    b : float
+        Parameter :math:`b` of the distribution. See Notes.
+
+    Methods
+    -------
+
+    density
+        Spectral density of distribution.
+
+    hilbert
+        Hilbert transform of distribution.
+
+    stieltjes
+        Stieltjes transform of distribution.
+
+    sample
+        Sample from distribution.
+
+    matrix
+        Generate matrix with its empirical spectral density of distribution
+
+    Notes
+    -----
+
+    The Marchenko-Pastur distribution has the absolutely-continuous density
+
+    .. math::
+
+        \\mathrm{d} \\rho(x) =
+        \\frac{(a + b) )
+        \\sqrt{(\\lambda_{+} - x) (x - \\lambda_{-})}}{2 \\pi x (1 - x)}
+        \\mathbf{1}_{x \\in [\\lambda_{-}, \\lambda_{+}]} \\mathrm{d}{x}
+
+    where :math:`a, b` are the shape parameters of the distributon. The edges
+    of the support are
+
+    .. math::
+
+        \\lambda_{\\pm} = \\left( \\frac{\\sqrt{b} \\pm \\sqrt{a (a+b-1)}}
+        {a+b} \\right)^2.
+
+    References
+    ----------
+
+    .. [1] Wachter, K. W. (1978). The strong limits of random matrix spectra
+           for sample matrices of independent elements. The Annals of
+           Probability, 6(1), 1-18
+
+    Examples
+    --------
+
+    .. code-block:: python
+
+        >>> from freealg.distributions import Wachter
+        >>> wa = Wachter(2, 3)
+    """
+
+    # ====
+    # init
+    # ====
+
+    def __init__(self, a, b):
+        """
+        Initialization.
+        """
+
+        self.a = a
+        self.b = b
+        self.lam_p = ((numpy.sqrt(b) + numpy.sqrt(a * (a+b-1))) / (a + b))**2
+        self.lam_m = ((numpy.sqrt(b) - numpy.sqrt(a * (a+b-1))) / (a + b))**2
+        self.support = (self.lam_m, self.lam_p)
+
+    # =======
+    # density
+    # =======
+
+    def density(self, x=None, plot=False, latex=False, save=False):
+        """
+        Density of distribution.
+
+        Parameters
+        ----------
+
+        x : numpy.array, default=None
+            The locations where density is evaluated at. If `None`, an interval
+            slightly larger than the support interval of the spectral density
+            is used.
+
+        rho : numpy.array, default=None
+            Density. If `None`, it will be computed.
+
+        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
+            Density.
+
+        Examples
+        --------
+
+        .. code-block::python
+
+            >>> from freealg.distributions import Wachter
+            >>> wa = Wachter(2, 3)
+            >>> rho = wa.density(plot=True)
+
+        .. image:: ../_static/images/plots/wa_density.png
+            :align: center
+            :class: custom-dark
+        """
+
+        # Create x if not given
+        if x is None:
+            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 = numpy.zeros_like(x)
+        mask = numpy.logical_and(x > self.lam_m, x < self.lam_p)
+
+        rho[mask] = ((self.a + self.b) /
+                     (2.0 * numpy.pi * x[mask] * (1.0 - x[mask]))) * \
+            numpy.sqrt((self.lam_p - x[mask]) * (x[mask] - self.lam_m))
+
+        if plot:
+            plot_density(x, rho, label='', latex=latex, save=save)
+
+        return rho
+
+    # =======
+    # hilbert
+    # =======
+
+    def hilbert(self, x=None, plot=False, latex=False, save=False):
+        """
+        Hilbert transform of the distribution.
+
+        Parameters
+        ----------
+
+        x : numpy.array, default=None
+            The locations where Hilbert transform is evaluated at. If `None`,
+            an interval slightly larger than the support interval of the
+            spectral density is used.
+
+        plot : bool, default=False
+            If `True`, Hilbert transform 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
+        -------
+
+        hilb : numpy.array
+            Hilbert transform.
+
+        Examples
+        --------
+
+        .. code-block::python
+
+            >>> from freealg.distributions import Wachter
+            >>> wa = Wachter(2, 3)
+            >>> hilb = wa.hilbert(plot=True)
+
+        .. image:: ../_static/images/plots/wa_hilbert.png
+            :align: center
+            :class: custom-dark
+        """
+
+        # Create x if not given
+        if x is None:
+            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)
+
+        def _P(x):
+            return 1.0 - self.a + (self.a + self.b - 2.0) * x
+
+        def _Q(x):
+            return x * (1.0 - 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
+
+        if plot:
+            plot_hilbert(x, hilb, support=self.support, latex=latex, save=save)
+
+        return hilb
+
+    # =======================
+    # m mp numeric vectorized
+    # =======================
+
+    def _m_mp_numeric_vectorized(self, z, alt_branch=False, tol=1e-8):
+        """
+        Stieltjes transform (principal or secondary branch)
+        for Marchenko–Pastur distribution on upper half-plane.
+        """
+
+        sign = -1 if alt_branch else 1
+        A = z * (1.0 - z)
+        B = 1.0 - self.a + (self.a + self.b - 2.0) * z
+        D = B**2 - 4 * A
+        sqrtD = numpy.sqrt(D)
+        m1 = (-B + sqrtD) / (2 * A)
+        m2 = (-B - sqrtD) / (2 * A)
+
+        # pick correct branch only for non‑masked entries
+        upper = z.imag >= 0
+        branch = numpy.empty_like(m1)
+        branch[upper] = numpy.where(sign*m1[upper].imag > 0, m1[upper],
+                                    m2[upper])
+        branch[~upper] = numpy.where(sign*m1[~upper].imag < 0, m1[~upper],
+                                     m2[~upper])
+        m = branch
+
+        return m
+
+    # ============
+    # m mp reflect
+    # ============
+
+    def _m_mp_reflect(self, z, alt_branch=False):
+        """
+        Analytic continuation using Schwarz reflection.
+        """
+
+        mask_p = z.imag >= 0.0
+        mask_n = z.imag < 0.0
+
+        m = numpy.zeros_like(z)
+
+        f = self._m_mp_numeric_vectorized
+        m[mask_p] = f(z[mask_p], alt_branch=False)
+        m[mask_n] = f(z[mask_n], alt_branch=alt_branch)
+
+        return m
+
+    # =========
+    # stieltjes
+    # =========
+
+    def stieltjes(self, x=None, y=None, plot=False, on_disk=False, latex=False,
+                  save=False):
+        """
+        Stieltjes transform of distribution.
+
+        Parameters
+        ----------
+
+        x : numpy.array, default=None
+            The x axis of the grid where the Stieltjes transform is evaluated.
+            If `None`, an interval slightly larger than the support interval of
+            the spectral density is used.
+
+        y : numpy.array, default=None
+            The y axis of the grid where the Stieltjes transform is evaluated.
+            If `None`, a grid on the interval ``[-1, 1]`` is used.
+
+        plot : bool, default=False
+            If `True`, Stieltjes transform is plotted.
+
+        on_disk : bool, default=False
+            If `True`, the Stieltjes transform is mapped on unit disk. This
+            option relevant only if ``plot=True``.
+
+        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
+        -------
+
+        m1 : numpy.array
+            Stieltjes transform on principal branch.
+
+        m12 : numpy.array
+            Stieltjes transform on secondary branch.
+
+        Examples
+        --------
+
+        .. code-block:: python
+
+            >>> from freealg.distributions import Wachter
+            >>> wa = Wachter(2, 3)
+            >>> m1, m2 = wa.stieltjes(plot=True)
+
+        .. image:: ../_static/images/plots/wa_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/wa_stieltjes_disk.png
+            :align: center
+            :class: custom-dark
+        """
+
+        if (plot is True) and (on_disk is True):
+            n_r = 1000
+            n_t = 1000
+            r_min, r_max = 0, 2.5
+            t_min, t_max = 0, 2.0 * numpy.pi
+            r = numpy.linspace(r_min, r_max, n_r)
+            t = numpy.linspace(t_min, t_max, n_t + 1)[:-1]
+            grid_r, grid_t = numpy.meshgrid(r, t)
+
+            grid_x_D = grid_r * numpy.cos(grid_t)
+            grid_y_D = grid_r * numpy.sin(grid_t)
+            zeta = grid_x_D + 1j * grid_y_D
+
+            # Cayley transform mapping zeta on D to z on H
+            z_H = 1j * (1 + zeta) / (1 - zeta)
+
+            m1_D = self._m_mp_reflect(z_H, alt_branch=False)
+            m2_D = self._m_mp_reflect(z_H, alt_branch=True)
+
+            plot_stieltjes_on_disk(r, t, m1_D, m2_D, support=self.support,
+                                   latex=latex, save=save)
+
+            return m1_D, m2_D
+
+        # Create x if not given
+        if x is None:
+            radius = 0.5 * (self.lam_p - self.lam_m)
+            center = 0.5 * (self.lam_p + self.lam_m)
+            scale = 2.0
+            x_min = numpy.floor(2.0 * (center - 2.0 * radius * scale)) / 2.0
+            x_max = numpy.ceil(2.0 * (center + 2.0 * radius * scale)) / 2.0
+            x = numpy.linspace(x_min, x_max, 500)
+
+        # Create y if not given
+        if y is None:
+            y = numpy.linspace(-1, 1, 400)
+
+        x_grid, y_grid = numpy.meshgrid(x, y)
+        z = x_grid + 1j * y_grid              # shape (Ny, Nx)
+
+        m1 = self._m_mp_reflect(z, alt_branch=False)
+        m2 = self._m_mp_reflect(z, alt_branch=True)
+
+        if plot:
+            plot_stieltjes(x, y, m1, m2, support=self.support, latex=latex,
+                           save=save)
+
+        return m1, m2
+
+    # ======
+    # sample
+    # ======
+
+    def sample(self, size, x_min=None, x_max=None, plot=False, latex=False,
+               save=False):
+        """
+        Sample from distribution.
+
+        Parameters
+        ----------
+
+        size : int
+            Size of sample.
+
+        x_min : float, default=None
+            Minimum of sample values. If `None`, the left edge of the support
+            is used.
+
+        x_max : float, default=None
+            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
+        -------
+
+        s : numpy.ndarray
+            Samples.
+
+        Notes
+        -----
+
+        This method uses inverse transform sampling.
+
+        Examples
+        --------
+
+        .. code-block::python
+
+            >>> from freealg.distributions import Wachter
+            >>> wa = Wachter(2, 3)
+            >>> s = wa.sample(2000)
+
+        .. image:: ../_static/images/plots/wa_samples.png
+            :align: center
+            :class: custom-dark
+        """
+
+        if x_min is None:
+            x_min = self.lam_m
+
+        if x_max is None:
+            x_max = self.lam_p
+
+        # Grid and PDF
+        xs = numpy.linspace(x_min, x_max, size)
+        pdf = self.density(xs)
+
+        # CDF (using cumulative trapezoidal rule)
+        cdf = cumtrapz(pdf, xs, initial=0)
+        cdf /= cdf[-1]  # normalize CDF to 1
+
+        # Inverse CDF interpolator
+        inv_cdf = interp1d(cdf, xs, bounds_error=False,
+                           fill_value=(x_min, x_max))
+
+        # Sample and map
+        u = numpy.random.rand(size)
+        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
+    # ======
+
+    def matrix(self, size):
+        """
+        Generate matrix with the spectral density of the distribution.
+
+        Parameters
+        ----------
+
+        size : int
+            Size :math:`n` of the matrix.
+
+        Returns
+        -------
+
+        Sx : numpy.ndarray
+            A matrix of the size :math:`n \\times n`.
+
+        Sy : numpy.ndarray
+            A matrix of the size :math:`n \\times n`.
+
+        Examples
+        --------
+
+        .. code-block::python
+
+            >>> from freealg.distributions import Wachter
+            >>> wa = Wachter(2, 3)
+            >>> A = wa.matrix(2000)
+        """
+
+        n = size
+        m1 = int(self.a * n)
+        m2 = int(self.b * n)
+
+        X = numpy.random.randn(n, m1)
+        Y = numpy.random.randn(n, m2)
+
+        Sx = X @ X.T
+        Sy = Y @ Y.T
+
+        return Sx, Sy