freealg 0.1.11__tar.gz → 0.1.13__tar.gz

{freealg-0.1.11 → freealg-0.1.13}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: freealg
-Version: 0.1.11
+Version: 0.1.13
 Summary: Free probability for large matrices
 Keywords: leaderboard bot chat
 Platform: Linux
@@ -31,6 +31,7 @@ Requires-Dist: texplot
 Requires-Dist: matplotlib
 Requires-Dist: colorcet
 Requires-Dist: statsmodels
+Requires-Dist: numba
 Provides-Extra: test
 Requires-Dist: tox; extra == "test"
 Requires-Dist: pytest-cov; extra == "test"
@@ -108,7 +109,7 @@ smaller Wishart matrix.
     >>> A = mp.matrix(1000)                         # Sample a 1000 x 1000 Wishart matrix
     >>> eigs = fa.eigfree(A, 100_000)               # Estimate the eigenvalues of 100000 x 100000
 
-For more details on how to interface with *freealg* check out the `Quick Start Guide <https://github.com/ameli/freealg/blob/main/notebooks/quick_start.ipynb>`.
+For more details on how to interface with *freealg* check out the `Quick Start Guide <https://github.com/ameli/freealg/blob/main/notebooks/quick_start.ipynb>`__.
 
 
 Test

{freealg-0.1.11 → freealg-0.1.13}/README.rst

@@ -42,7 +42,7 @@ smaller Wishart matrix.
     >>> A = mp.matrix(1000)                         # Sample a 1000 x 1000 Wishart matrix
     >>> eigs = fa.eigfree(A, 100_000)               # Estimate the eigenvalues of 100000 x 100000
 
-For more details on how to interface with *freealg* check out the `Quick Start Guide <https://github.com/ameli/freealg/blob/main/notebooks/quick_start.ipynb>`.
+For more details on how to interface with *freealg* check out the `Quick Start Guide <https://github.com/ameli/freealg/blob/main/notebooks/quick_start.ipynb>`__.
 
 
 Test

freealg-0.1.13/freealg/__version__.py

@@ -0,0 +1 @@
+__version__ = "0.1.13"

freealg-0.1.13/freealg/_decompress.py

@@ -0,0 +1,288 @@
+# 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.integrate import solve_ivp
+
+__all__ = ['decompress', 'reverse_characteristics']
+
+def secant_complex(f, z0, z1, a=0+0j, tol=1e-12, max_iter=100,
+    alpha=0.5, max_bt=12, eps=1e-30, verbose=False):
+    """
+    Solves :math:``f(z) = a`` for many starting points simultaneously
+    using the secant method in the complex plane.
+
+    Parameters
+    ----------
+    f : callable
+        Function that accepts and returns complex `ndarray`s.
+
+    z0, z1 : array_like
+        Two initial guesses. ``z1`` may be broadcast to ``z0``.
+
+    a : complex or array_like, optional
+        Right‑hand‑side targets (broadcasted to ``z0``). Defaults to ``0+0j``.
+
+    tol : float, optional
+        Convergence criterion on ``|f(z) - a|``. Defaults to ``1e-12``.
+
+    max_iter : int, optional
+        Maximum number of secant iterations. Defaults to ``100``.
+
+    alpha : float, optional
+        Back‑tracking shrink factor (``0 < alpha < 1``). Defaults to ``0.5``.
+
+    max_bt : int, optional
+        Maximum back‑tracking trials per iteration. Defaults to ``12``.
+
+    eps : float, optional
+        Safeguard added to tiny denominators. Defaults to ``1e-30``.
+
+    verbose : bool, optional
+        If *True*, prints progress every 10 iterations.
+
+    Returns
+    -------
+    roots : ndarray
+        Estimated roots, shaped like the broadcast inputs.
+    residuals : ndarray
+        Final residuals ``|f(root) - a|``.
+    iterations : ndarray
+        Iteration count for each point.
+    """
+
+    # Broadcast inputs
+    z0, z1, a = numpy.broadcast_arrays(
+        numpy.asarray(z0, numpy.complex128),
+        numpy.asarray(z1, numpy.complex128),
+        numpy.asarray(a,  numpy.complex128),
+    )
+    orig_shape = z0.shape
+    z0, z1, a = (x.ravel() for x in (z0, z1, a))
+
+    n_points   = z0.size
+    roots      = z1.copy()
+    iterations = numpy.zeros(n_points, dtype=int)
+
+    f0 = f(z0) - a
+    f1 = f(z1) - a
+    residuals = numpy.abs(f1)
+    converged = residuals < tol
+
+    # Entering main loop
+    for k in range(max_iter):
+        active = ~converged
+        if not active.any():
+            break
+
+        # Secant step
+        denom = f1 - f0
+        denom = numpy.where(numpy.abs(denom) < eps, denom + eps, denom)
+        dz    = (z1 - z0) * f1 / denom
+        z2    = z1 - dz
+        f2    = f(z2) - a
+
+        # Line search by backtracking
+        worse = (numpy.abs(f2) >= numpy.abs(f1)) & active
+        if worse.any():
+            shrink = numpy.ones_like(dz)
+            for _ in range(max_bt):
+                shrink[worse] *= alpha
+                z_try = z1[worse] - shrink[worse] * dz[worse]
+                f_try = f(z_try) - a[worse]
+
+                improved = numpy.abs(f_try) < numpy.abs(f1[worse])
+                if not improved.any():
+                    continue
+
+                idx = numpy.flatnonzero(worse)[improved]
+                z2[idx], f2[idx] = z_try[improved], f_try[improved]
+                worse[idx] = False
+                if not worse.any():
+                    break
+
+        # Book‑keeping
+        newly_conv = (numpy.abs(f2) < tol) & active
+        converged[newly_conv] = True
+        iterations[newly_conv] = k + 1
+        roots[newly_conv] = z2[newly_conv]
+        residuals[newly_conv] = numpy.abs(f2[newly_conv])
+
+        still = active & ~newly_conv
+        z0[still], z1[still] = z1[still], z2[still]
+        f0[still], f1[still] = f1[still], f2[still]
+
+        if verbose and k % 10 == 0:
+            print(f"Iter {k}: {converged.sum()} / {n_points} converged")
+
+    # Non‑converged points
+    remaining = ~converged
+    roots[remaining] = z1[remaining]
+    residuals[remaining] = numpy.abs(f1[remaining])
+    iterations[remaining] = max_iter
+
+    return (
+        roots.reshape(orig_shape),
+        residuals.reshape(orig_shape),
+        iterations.reshape(orig_shape),
+    )
+
+# ==========
+# decompress
+# ==========
+
+def decompress(freeform, size, x=None, delta=1e-6, max_iter=500,
+               tolerance=1e-12):
+    """
+    Free decompression of spectral density.
+
+    Parameters
+    ----------
+
+    freeform : FreeForm
+        The initial freeform object of 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.
+
+    max_iter: int, default=500
+        Maximum number of secant method iterations.
+
+    tolerance: float, default=1e-12
+        Tolerance for the solution obtained by the secant method solver.
+
+    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 / freeform.n
+    m = freeform._eval_stieltjes
+    # Lower and upper bound on new support
+    hilb_lb = (1 / m(freeform.lam_m + delta * 1j)[1]).real
+    hilb_ub = (1 / m(freeform.lam_p + delta * 1j)[1]).real
+    lb = freeform.lam_m - (alpha - 1) * hilb_lb
+    ub = freeform.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)
+
+    # Ensure that input is an array
+    x = numpy.asarray(x)
+    target = x + delta * 1j
+    if numpy.isclose(alpha, 1.0):
+        return freeform.density(x), x, freeform.support
+
+    # Characteristic curve map
+    def _char_z(z):
+        return z + (1 / m(z)[1]) * (1 - alpha)
+
+    z0 = numpy.full(target.shape, numpy.mean(freeform.support) + delta*1j,
+                    dtype=numpy.complex128)
+    z1 = z0 - numpy.log(alpha) * 1j
+    
+    roots, _, _ = secant_complex(
+        _char_z, z0, z1,
+        a=target,
+        tol=tolerance,
+        max_iter=max_iter
+    )
+
+    # Plemelj's formula
+    z = roots
+    char_s = m(z)[1] / alpha
+    rho = numpy.maximum(0, char_s.imag / numpy.pi)
+    rho[numpy.isnan(rho) | numpy.isinf(rho)] = 0
+
+    return rho.reshape(*x.shape), x, (lb, ub)
+
+
+# =======================
+# reverse characteristics
+# =======================
+
+def reverse_characteristics(freeform, z_inits, T, iterations=500,
+                            step_size=0.1, tolerance=1e-8):
+    """
+    """
+
+    t_span = (0, T)
+    t_eval = numpy.linspace(t_span[0], t_span[1], 50)
+
+    m = freeform._eval_stieltjes
+
+    def _char_z(z, t):
+        return z + (1 / m(z)[1]) * (1 - numpy.exp(t))
+
+    target_z, target_t = numpy.meshgrid(z_inits, t_eval)
+
+    z = numpy.full(target_z.shape, numpy.mean(freeform.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_t) - target_z
+            mask = numpy.abs(objective) >= tolerance
+            if not numpy.any(mask):
+                break
+            z_m = z[mask]
+            t_m = target_t[mask]
+
+            # Perform finite difference approximation
+            dfdz = _char_z(z_m+tolerance, t_m) - _char_z(z_m-tolerance, t_m)
+            dfdz /= 2*tolerance
+            dfdz[dfdz == 0] = 1.0
+
+            # Perform Newton step
+            z[mask] = z_m - step_size * objective[mask] / dfdz
+
+    return z

{freealg-0.1.11 → freealg-0.1.13}/freealg/freeform.py

@@ -783,8 +783,8 @@ class FreeForm(object):
     # decompress
     # ==========
 
-    def decompress(self, size, x=None, iterations=500, eigvals=True,
-                   step_size=0.1, tolerance=1e-6, seed=None, plot=False,
+    def decompress(self, size, x=None, max_iter=500, eigvals=True,
+                   step_size=0.1, tolerance=1e-9, seed=None, plot=False,
                    latex=False, save=False):
         """
         Free decompression of spectral density.
@@ -799,8 +799,8 @@ class FreeForm(object):
             Positions where density to be evaluated at. If `None`, an interval
             slightly larger than the support interval will be used.
 
-        iterations: int, default=500
-            Maximum number of Newton iterations.
+        max_iter: int, default=500
+            Maximum number of secant method iterations.
 
         eigvals: bool, default=True
             Return estimated (sampled) eigenvalues as well as the density.
@@ -808,7 +808,7 @@ class FreeForm(object):
         step_size: float, default=0.1
             Step size for Newton iterations.
 
-        tolerance: float, default=1e-6
+        tolerance: float, default=1e-9
             Tolerance for the solution obtained by the Newton solver. Also
             used for the finite difference approximation to the derivative.
 
@@ -867,8 +867,7 @@ class FreeForm(object):
         size = int(size)
 
         rho, x, (lb, ub) = decompress(self, size, x=x, delta=self.delta,
-                                      iterations=iterations,
-                                      step_size=step_size, tolerance=tolerance)
+                                      max_iter=max_iter, tolerance=tolerance)
         x, rho = x.ravel(), rho.ravel()
 
         if plot:
@@ -956,12 +955,13 @@ def eigfree(A, N = None, psd = None):
     ff.n = n_s
 
     # Perform fit and estimate eigenvalues
-    order = 1 + int(len(samples)**.25)
+    order = 1 + int(len(samples)**.2)
     ff.fit(method='chebyshev', K=order, projection='sample', damp='jackson', 
-           force=True, plot=False, latex=False, save=False, reg=0.01)
+           force=True, plot=False, latex=False, save=False, reg=0.05)
     _, _, eigs = ff.decompress(N)
 
     if psd:
         eigs = numpy.abs(eigs)
+        eigs.sort()
 
     return eigs

{freealg-0.1.11 → freealg-0.1.13}/freealg.egg-info/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: freealg
-Version: 0.1.11
+Version: 0.1.13
 Summary: Free probability for large matrices
 Keywords: leaderboard bot chat
 Platform: Linux
@@ -31,6 +31,7 @@ Requires-Dist: texplot
 Requires-Dist: matplotlib
 Requires-Dist: colorcet
 Requires-Dist: statsmodels
+Requires-Dist: numba
 Provides-Extra: test
 Requires-Dist: tox; extra == "test"
 Requires-Dist: pytest-cov; extra == "test"
@@ -108,7 +109,7 @@ smaller Wishart matrix.
     >>> A = mp.matrix(1000)                         # Sample a 1000 x 1000 Wishart matrix
     >>> eigs = fa.eigfree(A, 100_000)               # Estimate the eigenvalues of 100000 x 100000
 
-For more details on how to interface with *freealg* check out the `Quick Start Guide <https://github.com/ameli/freealg/blob/main/notebooks/quick_start.ipynb>`.
+For more details on how to interface with *freealg* check out the `Quick Start Guide <https://github.com/ameli/freealg/blob/main/notebooks/quick_start.ipynb>`__.
 
 
 Test

{freealg-0.1.11 → freealg-0.1.13}/freealg.egg-info/requires.txt

@@ -4,6 +4,7 @@ texplot
 matplotlib
 colorcet
 statsmodels
+numba
 
 [docs]
 sphinx

{freealg-0.1.11 → freealg-0.1.13}/requirements.txt

@@ -4,3 +4,4 @@ texplot
 matplotlib
 colorcet
 statsmodels
+numba

freealg-0.1.11/freealg/__version__.py

@@ -1 +0,0 @@
-__version__ = "0.1.11"

freealg-0.1.11/freealg/_decompress.py

@@ -1,180 +0,0 @@
-# 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.integrate import solve_ivp
-
-__all__ = ['decompress', 'reverse_characteristics']
-
-
-# ==========
-# decompress
-# ==========
-
-def decompress(freeform, size, x=None, delta=1e-4, iterations=500,
-               step_size=0.1, tolerance=1e-4):
-    """
-    Free decompression of spectral density.
-
-    Parameters
-    ----------
-
-    freeform : FreeForm
-        The initial freeform object of 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 / freeform.n
-    m = freeform._eval_stieltjes
-    # Lower and upper bound on new support
-    hilb_lb = (1 / m(freeform.lam_m + delta * 1j)[1]).real
-    hilb_ub = (1 / m(freeform.lam_p + delta * 1j)[1]).real
-    lb = freeform.lam_m - (alpha - 1) * hilb_lb
-    ub = freeform.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(freeform.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)
-
-
-# =======================
-# reverse characteristics
-# =======================
-
-def reverse_characteristics(freeform, z_inits, T, iterations=500,
-                            step_size=0.1, tolerance=1e-8):
-    """
-    """
-
-    t_span = (0, T)
-    t_eval = numpy.linspace(t_span[0], t_span[1], 50)
-
-    m = freeform._eval_stieltjes
-
-    def _char_z(z, t):
-        return z + (1 / m(z)[1]) * (1 - numpy.exp(t))
-
-    target_z, target_t = numpy.meshgrid(z_inits, t_eval)
-
-    z = numpy.full(target_z.shape, numpy.mean(freeform.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_t) - target_z
-            mask = numpy.abs(objective) >= tolerance
-            if not numpy.any(mask):
-                break
-            z_m = z[mask]
-            t_m = target_t[mask]
-
-            # Perform finite difference approximation
-            dfdz = _char_z(z_m+tolerance, t_m) - _char_z(z_m-tolerance, t_m)
-            dfdz /= 2*tolerance
-            dfdz[dfdz == 0] = 1.0
-
-            # Perform Newton step
-            z[mask] = z_m - step_size * objective[mask] / dfdz
-
-    return z