qoro-divi 0.2.0b1__py3-none-any.whl

divi/exp/scipy/pyprima/common/linalg.py

@@ -0,0 +1,452 @@
+"""
+This module provides some basic linear algebra procedures.
+
+Translated from Zaikun Zhang's modern-Fortran reference implementation in PRIMA.
+
+Dedicated to late Professor M. J. D. Powell FRS (1936--2015).
+
+Python translation by Nickolai Belakovski.
+"""
+
+import numpy as np
+
+from .consts import DEBUGGING, EPS, REALMAX, REALMIN
+from .present import present
+
+# We use naive implementations of matrix multiplication and other routines for two
+# reasons:
+# 1. When Fortran is compiled in debug mode, and Python is using these routines, we
+#    can get bit for bit identical results as compared to Fortran. This is helpful
+#    for comparing the two implementations. It will be particularly helpful when porting
+#    the other implementations like LINCOA, etc.
+# 2. On some problems this algorithm is very sensitive to errors in finite precision
+#    arithmetic. Switching to naive implementation will slow down the algorithm, but
+#    may be more stable.
+USE_NAIVE_MATH = False
+
+
+def inprod(x, y):
+    if not USE_NAIVE_MATH:
+        return np.dot(x, y)
+    result = 0
+    for i in range(len(x)):
+        result += x[i] * y[i]
+    return result
+
+
+def matprod12(x, y):
+    result = np.zeros(y.shape[1])
+    for i in range(y.shape[1]):
+        result[i] = inprod(x, y[:, i])
+    return result
+
+
+def matprod21(x, y):
+    result = np.zeros(x.shape[0])
+    for i in range(x.shape[1]):
+        result += x[:, i] * y[i]
+    return result
+
+
+def matprod22(x, y):
+    result = np.zeros((x.shape[0], y.shape[1]))
+    for i in range(y.shape[1]):
+        for j in range(x.shape[1]):
+            result[:, j] += x[:, i] * y[i, j]
+    return result
+
+
+def matprod(x, y):
+    if not USE_NAIVE_MATH:
+        return x @ y
+    if len(x.shape) == 1 and len(y.shape) == 1:
+        return inprod(x, y)
+    elif len(x.shape) == 1 and len(y.shape) == 2:
+        return matprod12(x, y)
+    elif len(x.shape) == 2 and len(y.shape) == 1:
+        return matprod21(x, y)
+    elif len(x.shape) == 2 and len(y.shape) == 2:
+        return matprod22(x, y)
+    else:
+        raise ValueError(f"Invalid shapes for x and y: {x.shape} and {y.shape}")
+
+
+def outprod(x, y):
+    if not USE_NAIVE_MATH:
+        return np.outer(x, y)
+    result = np.zeros((len(x), len(y)))
+    for i in range(len(x)):
+        result[:, i] = x * y[i]
+    return result
+
+
+def lsqr(A, b, Q, Rdiag):
+    if not USE_NAIVE_MATH:
+        return np.linalg.lstsq(A, b, rcond=None)[0]
+
+    m = A.shape[0]
+    n = A.shape[1]
+
+    rank = min(m, n)
+
+    x = np.zeros(n)
+    y = b.copy()
+
+    for i in range(rank - 1, -1, -1):
+        yq = inprod(y, Q[:, i])
+        yqa = inprod(np.abs(y), np.abs(Q[:, i]))
+        if isminor(yq, yqa):
+            x[i] = 0
+        else:
+            x[i] = yq / Rdiag[i]
+            y = y - x[i] * A[:, i]
+    return x
+
+
+def hypot(x1, x2):
+    if not USE_NAIVE_MATH:
+        return np.hypot(x1, x2)
+    if not np.isfinite(x1):
+        r = abs(x1)
+    elif not np.isfinite(x2):
+        r = abs(x2)
+    else:
+        y = abs(np.array([x1, x2]))
+        y = np.array([min(y), max(y)])
+        if y[0] > np.sqrt(REALMIN) and y[1] < np.sqrt(REALMAX / 2.1):
+            r = np.sqrt(sum(y * y))
+        elif y[1] > 0:
+            r = y[1] * np.sqrt((y[0] / y[1]) * (y[0] / y[1]) + 1)
+        else:
+            r = 0
+    return r
+
+
+def norm(x):
+    if not USE_NAIVE_MATH:
+        return np.linalg.norm(x)
+    # NOTE: Avoid np.pow! And exponentiation in general!
+    # It appears that in Fortran, x*x and x**2 are the same, but in Python they are not!
+    # Try it with x = 5 - 1e-15
+    result = np.sqrt(sum([xi * xi for xi in x]))
+    return result
+
+
+def istril(A, tol=0):
+    return primasum(abs(A) - np.tril(abs(A))) <= tol
+
+
+def istriu(A, tol=0):
+    return primasum(abs(A) - np.triu(abs(A))) <= tol
+
+
+def inv(A):
+    if not USE_NAIVE_MATH:
+        return np.linalg.inv(A)
+    A = A.copy()
+    n = A.shape[0]
+    if istril(A):
+        # This case is invoked in COBYLA.
+        R = A.T
+        B = np.zeros((n, n))
+        for i in range(n):
+            B[i, i] = 1 / R[i, i]
+            B[:i, i] = -matprod(B[:i, :i], R[:i, i]) / R[i, i]
+        return B.T
+    elif istriu(A):
+        B = np.zeros((n, n))
+        for i in range(n):
+            B[i, i] = 1 / A[i, i]
+            B[:i, i] = -matprod(B[:i, :i], A[:i, i]) / A[i, i]
+    else:
+        # This is NOT the best algorithm for the inverse, but since the QR subroutine is available ...
+        Q, R, P = qr(A)
+        R = R.T
+        B = np.zeros((n, n))
+        for i in range(n - 1, -1, -1):
+            B[:, i] = (Q[:, i] - matprod(B[:, i + 1 : n], R[i + 1 : n, i])) / R[i, i]
+        InvP = np.zeros(n, dtype=int)
+        InvP[P] = np.linspace(0, n - 1, n)
+        B = B[:, InvP].T
+    return B
+
+
+def qr(A):
+    m = A.shape[0]
+    n = A.shape[1]
+
+    Q = np.eye(m)
+    T = A.T
+    P = np.linspace(0, n - 1, n, dtype=int)
+
+    for j in range(n):
+        k = np.argmax(primasum(primapow2(T[j : n + 1, j : m + 1]), axis=1), axis=0)
+        if k > 0 and k <= n - j - 1:
+            k += j
+            P[j], P[k] = P[k], P[j]
+            T[[j, k], :] = T[[k, j], :]
+        for i in range(m - 1, j, -1):
+            G = planerot(T[j, [j, i]]).T
+            T[j, [j, i]] = np.append(hypot(T[j, j], T[j, i]), 0)
+            T[j + 1 : n + 1, [j, i]] = matprod(T[j + 1 : n + 1, [j, i]], G)
+            Q[:, [j, i]] = matprod(Q[:, [j, i]], G)
+
+    R = T.T
+
+    return Q, R, P
+
+
+def primasum(x, axis=None):
+    """
+    According to its documentation, np.sum will sometimes do partial pairwise summation.
+    For our purposes, when comparing, we want don't want to do anything fancy, and we
+    just want to add things up one at a time.
+    """
+    if not USE_NAIVE_MATH:
+        return np.sum(x, axis=axis)
+    if axis is None:
+        if x.ndim == 2:
+            # Sum columns first, then sum the result
+            return sum(primasum(x, axis=0))
+        else:
+            return sum(x)
+    elif axis == 0:
+        result = np.zeros(x.shape[1])
+        for i in range(x.shape[1]):
+            result[i] = sum(x[:, i])
+        return result
+    elif axis == 1:
+        result = np.zeros(x.shape[0])
+        for i in range(x.shape[0]):
+            result[i] = sum(x[i, :])
+        return result
+
+
+def primapow2(x):
+    """
+    Believe it or now, x**2 is not always the same as x*x in Python. In Fortran they
+    appear to be identical. Here's a quick one-line to find an example on your system
+    (well, two liner after importing numpy):
+    list(filter(lambda x: x[1], [(x:=np.random.random(), x**2 - x*x != 0) for _ in range(10000)]))
+    """
+    return x * x
+
+
+def planerot(x):
+    """
+    As in MATLAB, planerot(x) returns a 2x2 Givens matrix G for x in R2 so that Y=G@x has Y[1] = 0.
+    Roughly speaking, G = np.array([[x[0]/R, x[1]/R], [-x[1]/R, x[0]/R]]), where R = np.linalg.norm(x).
+    0. We need to take care of the possibilities of R=0, Inf, NaN, and over/underflow.
+    1. The G defined above is continuous with respect to X except at 0. Following this definition,
+    G = np.array([[np.sign(x[0]), 0], [0, np.sign(x[0])]]) if x[1] == 0,
+    G = np.array([[0, np.sign(x[1])], [np.sign(x[1]), 0]]) if x[0] == 0
+    Yet some implementations ignore the signs, leading to discontinuity and numerical instability.
+    2. Difference from MATLAB: if x contains NaN of consists of only Inf, MATLAB returns a NaN matrix,
+    but we return an identity matrix or a matrix of +/-np.sqrt(2). We intend to keep G always orthogonal.
+    """
+
+    # Preconditions
+    if DEBUGGING:
+        assert len(x) == 2, "x must be a 2-vector"
+
+    # ==================
+    # Calculation starts
+    # ==================
+
+    # Define C = X(1) / R and S = X(2) / R with R = HYPOT(X(1), X(2)). Handle Inf/NaN, over/underflow.
+    if any(np.isnan(x)):
+        # In this case, MATLAB sets G to NaN(2, 2). We refrain from doing so to keep G orthogonal.
+        c = 1
+        s = 0
+    elif all(np.isinf(x)):
+        # In this case, MATLAB sets G to NaN(2, 2). We refrain from doing so to keep G orthogonal.
+        c = 1 / np.sqrt(2) * np.sign(x[0])
+        s = 1 / np.sqrt(2) * np.sign(x[1])
+    elif abs(x[0]) <= 0 and abs(x[1]) <= 0:  # X(1) == 0 == X(2).
+        c = 1
+        s = 0
+    elif abs(x[1]) <= EPS * abs(x[0]):
+        # N.B.:
+        # 0. With <= instead of <, this case covers X(1) == 0 == X(2), which is treated above separately
+        # to avoid the confusing SIGN(., 0) (see 1).
+        # 1. SIGN(A, 0) = ABS(A) in Fortran but sign(0) = 0 in MATLAB, Python, Julia, and R#
+        # 2. Taking SIGN(X(1)) into account ensures the continuity of G with respect to X except at 0.
+        c = np.sign(x[0])
+        s = 0
+    elif abs(x[0]) <= EPS * abs(x[1]):
+        # N.B.: SIGN(A, X) = ABS(A) * sign of X /= A * sign of X # Therefore, it is WRONG to define G
+        # as SIGN(RESHAPE([ZERO, -ONE, ONE, ZERO], [2, 2]), X(2)). This mistake was committed on
+        # 20211206 and took a whole day to debug! NEVER use SIGN on arrays unless you are really sure.
+        c = 0
+        s = np.sign(x[1])
+    else:
+        # Here is the normal case. It implements the Givens rotation in a stable & continuous way as in:
+        # Bindel, D., Demmel, J., Kahan, W., and Marques, O. (2002). On computing Givens rotations
+        # reliably and efficiently. ACM Transactions on Mathematical Software (TOMS), 28(2), 206-238.
+        # N.B.: 1. Modern compilers compute SQRT(REALMIN) and SQRT(REALMAX/2.1) at compilation time.
+        # 2. The direct calculation without involving T and U seems to work better; use it if possible.
+        if all(
+            np.logical_and(
+                np.sqrt(REALMIN) < np.abs(x), np.abs(x) < np.sqrt(REALMAX / 2.1)
+            )
+        ):
+            # Do NOT use HYPOTENUSE here; the best implementation for one may be suboptimal for the other
+            r = norm(x)
+            c = x[0] / r
+            s = x[1] / r
+        elif abs(x[0]) > abs(x[1]):
+            t = x[1] / x[0]
+            u = max(
+                1, abs(t), np.sqrt(1 + t * t)
+            )  # MAXVAL: precaution against rounding error.
+            u *= np.sign(x[0])  ##MATLAB: u = sign(x(1))*sqrt(1 + t**2)
+            c = 1 / u
+            s = t / u
+        else:
+            t = x[0] / x[1]
+            u = max(
+                [1, abs(t), np.sqrt(1 + t * t)]
+            )  # MAXVAL: precaution against rounding error.
+            u *= np.sign(x[1])  ##MATLAB: u = sign(x(2))*sqrt(1 + t**2)
+            c = t / u
+            s = 1 / u
+
+    G = np.array([[c, s], [-s, c]])  #  MATLAB: G = [c, s; -s, c]
+
+    # ====================#
+    #  Calculation ends  #
+    # ====================#
+
+    # Postconditions
+    if DEBUGGING:
+        assert G.shape == (2, 2)
+        assert np.all(np.isfinite(G))
+        assert abs(G[0, 0] - G[1, 1]) + abs(G[0, 1] + G[1, 0]) <= 0
+        tol = np.maximum(1.0e-10, np.minimum(1.0e-1, 1.0e6 * EPS))
+        assert isorth(G, tol)
+        if all(np.logical_and(np.isfinite(x), np.abs(x) < np.sqrt(REALMAX / 2.1))):
+            r = np.linalg.norm(x)
+            assert max(abs(G @ x - [r, 0])) <= max(tol, tol * r), "G @ X = [||X||, 0]"
+
+    return G
+
+
+def isminor(x, ref):
+    """
+    This function tests whether x is minor compared to ref. It is used by Powell, e.g., in COBYLA.
+    In precise arithmetic, isminor(x, ref) is true if and only if x == 0; in floating point
+    arithmetic, isminor(x, ref) is true if x is 0 or its nonzero value can be attributed to
+    computer rounding errors according to ref.
+    Larger sensitivity means the function is more strict/precise, the value 0.1 being due to Powell.
+
+    For example:
+    isminor(1e-20, 1e300) -> True, because in floating point arithmetic 1e-20 cannot be added to
+    1e300 without being rounded to 1e300.
+    isminor(1e300, 1e-20) -> False, because in floating point arithmetic adding 1e300 to 1e-20
+    dominates the latter number.
+    isminor(3, 4) -> False, because 3 can be added to 4 without being rounded off
+    """
+
+    sensitivity = 0.1
+    refa = abs(ref) + sensitivity * abs(x)
+    refb = abs(ref) + 2 * sensitivity * abs(x)
+    return np.logical_or(abs(ref) >= refa, refa >= refb)
+
+
+def isinv(A, B, tol=None):
+    """
+    This procedure tests whether A = B^{-1} up to the tolerance TOL.
+    """
+
+    # Sizes
+    n = np.size(A, 0)
+
+    # Preconditions
+    if DEBUGGING:
+        assert np.size(A, 0) == np.size(A, 1)
+        assert np.size(B, 0) == np.size(B, 1)
+        assert np.size(A, 0) == np.size(B, 0)
+        if present(tol):
+            assert tol >= 0
+
+    # ====================#
+    # Calculation starts #
+    # ====================#
+
+    tol = (
+        tol
+        if present(tol)
+        else np.minimum(1e-3, 1e2 * EPS * np.maximum(np.size(A, 0), np.size(A, 1)))
+    )
+    tol = np.max([tol, tol * np.max(abs(A)), tol * np.max(abs(B))])
+    is_inv = ((abs(matprod(A, B)) - np.eye(n)) <= tol).all() or (
+        (abs(matprod(B, A) - np.eye(n))) <= tol
+    ).all()
+
+    # ===================#
+    #  Calculation ends #
+    # ===================#
+    return is_inv
+
+
+def isorth(A, tol=None):
+    """
+    This function tests whether the matrix A has orthonormal columns up to the tolerance TOL.
+    """
+
+    # Preconditions
+    if DEBUGGING:
+        if present(tol):
+            assert tol >= 0
+
+    # ====================#
+    # Calculation starts #
+    # ====================#
+
+    num_vars = np.size(A, 1)
+
+    if num_vars > np.size(A, 0):
+        is_orth = False
+    elif np.isnan(primasum(abs(A))):
+        is_orth = False
+    else:
+        if present(tol):
+            is_orth = (
+                abs(matprod(A.T, A) - np.eye(num_vars))
+                <= np.maximum(tol, tol * np.max(abs(A)))
+            ).all()
+        else:
+            is_orth = (abs(matprod(A.T, A) - np.eye(num_vars)) <= 0).all()
+
+    # ====================#
+    #  Calculation ends  #
+    # ====================#
+    return is_orth
+
+
+def get_arrays_tol(*arrays):
+    """
+    Get a relative tolerance for a set of arrays. Borrowed from COBYQA
+
+    Parameters
+    ----------
+    *arrays: tuple
+        Set of `numpy.ndarray` to get the tolerance for.
+
+    Returns
+    -------
+    float
+        Relative tolerance for the set of arrays.
+
+    Raises
+    ------
+    ValueError
+        If no array is provided.
+    """
+    if len(arrays) == 0:
+        raise ValueError("At least one array must be provided.")
+    size = max(array.size for array in arrays)
+    weight = max(
+        np.max(np.abs(array[np.isfinite(array)]), initial=1.0) for array in arrays
+    )
+    return 10.0 * EPS * max(size, 1.0) * weight