scipy 1.16.2__cp311-cp311-win_arm64.whl

scipy/sparse/linalg/_isolve/minres.py

@@ -0,0 +1,372 @@
+from numpy import inner, zeros, inf, finfo
+from numpy.linalg import norm
+from math import sqrt
+
+from .utils import make_system
+
+__all__ = ['minres']
+
+
+def minres(A, b, x0=None, *, rtol=1e-5, shift=0.0, maxiter=None,
+           M=None, callback=None, show=False, check=False):
+    """
+    Solve ``Ax = b`` with the MINimum RESidual method, for a symmetric `A`.
+
+    MINRES minimizes norm(Ax - b) for a real symmetric matrix A.  Unlike
+    the Conjugate Gradient method, A can be indefinite or singular.
+
+    If shift != 0 then the method solves (A - shift*I)x = b
+
+    Parameters
+    ----------
+    A : {sparse array, ndarray, LinearOperator}
+        The real symmetric N-by-N matrix of the linear system
+        Alternatively, ``A`` can be a linear operator which can
+        produce ``Ax`` using, e.g.,
+        ``scipy.sparse.linalg.LinearOperator``.
+    b : ndarray
+        Right hand side of the linear system. Has shape (N,) or (N,1).
+
+    Returns
+    -------
+    x : ndarray
+        The converged solution.
+    info : integer
+        Provides convergence information:
+            0  : successful exit
+            >0 : convergence to tolerance not achieved, number of iterations
+            <0 : illegal input or breakdown
+
+    Other Parameters
+    ----------------
+    x0 : ndarray
+        Starting guess for the solution.
+    shift : float
+        Value to apply to the system ``(A - shift * I)x = b``. Default is 0.
+    rtol : float
+        Tolerance to achieve. The algorithm terminates when the relative
+        residual is below ``rtol``.
+    maxiter : integer
+        Maximum number of iterations.  Iteration will stop after maxiter
+        steps even if the specified tolerance has not been achieved.
+    M : {sparse array, ndarray, LinearOperator}
+        Preconditioner for A.  The preconditioner should approximate the
+        inverse of A.  Effective preconditioning dramatically improves the
+        rate of convergence, which implies that fewer iterations are needed
+        to reach a given error tolerance.
+    callback : function
+        User-supplied function to call after each iteration.  It is called
+        as callback(xk), where xk is the current solution vector.
+    show : bool
+        If ``True``, print out a summary and metrics related to the solution
+        during iterations. Default is ``False``.
+    check : bool
+        If ``True``, run additional input validation to check that `A` and
+        `M` (if specified) are symmetric. Default is ``False``.
+
+    Examples
+    --------
+    >>> import numpy as np
+    >>> from scipy.sparse import csc_array
+    >>> from scipy.sparse.linalg import minres
+    >>> A = csc_array([[3, 2, 0], [1, -1, 0], [0, 5, 1]], dtype=float)
+    >>> A = A + A.T
+    >>> b = np.array([2, 4, -1], dtype=float)
+    >>> x, exitCode = minres(A, b)
+    >>> print(exitCode)            # 0 indicates successful convergence
+    0
+    >>> np.allclose(A.dot(x), b)
+    True
+
+    References
+    ----------
+    Solution of sparse indefinite systems of linear equations,
+        C. C. Paige and M. A. Saunders (1975),
+        SIAM J. Numer. Anal. 12(4), pp. 617-629.
+        https://web.stanford.edu/group/SOL/software/minres/
+
+    This file is a translation of the following MATLAB implementation:
+        https://web.stanford.edu/group/SOL/software/minres/minres-matlab.zip
+
+    """
+    A, M, x, b = make_system(A, M, x0, b)
+
+    matvec = A.matvec
+    psolve = M.matvec
+
+    first = 'Enter minres.   '
+    last = 'Exit  minres.   '
+
+    n = A.shape[0]
+
+    if maxiter is None:
+        maxiter = 5 * n
+
+    msg = [' beta2 = 0.  If M = I, b and x are eigenvectors    ',   # -1
+            ' beta1 = 0.  The exact solution is x0          ',   # 0
+            ' A solution to Ax = b was found, given rtol        ',   # 1
+            ' A least-squares solution was found, given rtol    ',   # 2
+            ' Reasonable accuracy achieved, given eps           ',   # 3
+            ' x has converged to an eigenvector                 ',   # 4
+            ' acond has exceeded 0.1/eps                        ',   # 5
+            ' The iteration limit was reached                   ',   # 6
+            ' A  does not define a symmetric matrix             ',   # 7
+            ' M  does not define a symmetric matrix             ',   # 8
+            ' M  does not define a pos-def preconditioner       ']   # 9
+
+    if show:
+        print(first + 'Solution of symmetric Ax = b')
+        print(first + f'n      =  {n:3g}     shift  =  {shift:23.14e}')
+        print(first + f'itnlim =  {maxiter:3g}     rtol   =  {rtol:11.2e}')
+        print()
+
+    istop = 0
+    itn = 0
+    Anorm = 0
+    Acond = 0
+    rnorm = 0
+    ynorm = 0
+
+    xtype = x.dtype
+
+    eps = finfo(xtype).eps
+
+    # Set up y and v for the first Lanczos vector v1.
+    # y  =  beta1 P' v1,  where  P = C**(-1).
+    # v is really P' v1.
+
+    if x0 is None:
+        r1 = b.copy()
+    else:
+        r1 = b - A@x
+    y = psolve(r1)
+
+    beta1 = inner(r1, y)
+
+    if beta1 < 0:
+        raise ValueError('indefinite preconditioner')
+    elif beta1 == 0:
+        return (x, 0)
+
+    bnorm = norm(b)
+    if bnorm == 0:
+        x = b
+        return (x, 0)
+
+    beta1 = sqrt(beta1)
+
+    if check:
+        # are these too strict?
+
+        # see if A is symmetric
+        w = matvec(y)
+        r2 = matvec(w)
+        s = inner(w,w)
+        t = inner(y,r2)
+        z = abs(s - t)
+        epsa = (s + eps) * eps**(1.0/3.0)
+        if z > epsa:
+            raise ValueError('non-symmetric matrix')
+
+        # see if M is symmetric
+        r2 = psolve(y)
+        s = inner(y,y)
+        t = inner(r1,r2)
+        z = abs(s - t)
+        epsa = (s + eps) * eps**(1.0/3.0)
+        if z > epsa:
+            raise ValueError('non-symmetric preconditioner')
+
+    # Initialize other quantities
+    oldb = 0
+    beta = beta1
+    dbar = 0
+    epsln = 0
+    qrnorm = beta1
+    phibar = beta1
+    rhs1 = beta1
+    rhs2 = 0
+    tnorm2 = 0
+    gmax = 0
+    gmin = finfo(xtype).max
+    cs = -1
+    sn = 0
+    w = zeros(n, dtype=xtype)
+    w2 = zeros(n, dtype=xtype)
+    r2 = r1
+
+    if show:
+        print()
+        print()
+        print('   Itn     x(1)     Compatible    LS       norm(A)  cond(A) gbar/|A|')
+
+    while itn < maxiter:
+        itn += 1
+
+        s = 1.0/beta
+        v = s*y
+
+        y = matvec(v)
+        y = y - shift * v
+
+        if itn >= 2:
+            y = y - (beta/oldb)*r1
+
+        alfa = inner(v,y)
+        y = y - (alfa/beta)*r2
+        r1 = r2
+        r2 = y
+        y = psolve(r2)
+        oldb = beta
+        beta = inner(r2,y)
+        if beta < 0:
+            raise ValueError('non-symmetric matrix')
+        beta = sqrt(beta)
+        tnorm2 += alfa**2 + oldb**2 + beta**2
+
+        if itn == 1:
+            if beta/beta1 <= 10*eps:
+                istop = -1  # Terminate later
+
+        # Apply previous rotation Qk-1 to get
+        #   [deltak epslnk+1] = [cs  sn][dbark    0   ]
+        #   [gbar k dbar k+1]   [sn -cs][alfak betak+1].
+
+        oldeps = epsln
+        delta = cs * dbar + sn * alfa   # delta1 = 0         deltak
+        gbar = sn * dbar - cs * alfa   # gbar 1 = alfa1     gbar k
+        epsln = sn * beta     # epsln2 = 0         epslnk+1
+        dbar = - cs * beta   # dbar 2 = beta2     dbar k+1
+        root = norm([gbar, dbar])
+        Arnorm = phibar * root
+
+        # Compute the next plane rotation Qk
+
+        gamma = norm([gbar, beta])       # gammak
+        gamma = max(gamma, eps)
+        cs = gbar / gamma             # ck
+        sn = beta / gamma             # sk
+        phi = cs * phibar              # phik
+        phibar = sn * phibar              # phibark+1
+
+        # Update  x.
+
+        denom = 1.0/gamma
+        w1 = w2
+        w2 = w
+        w = (v - oldeps*w1 - delta*w2) * denom
+        x = x + phi*w
+
+        # Go round again.
+
+        gmax = max(gmax, gamma)
+        gmin = min(gmin, gamma)
+        z = rhs1 / gamma
+        rhs1 = rhs2 - delta*z
+        rhs2 = - epsln*z
+
+        # Estimate various norms and test for convergence.
+
+        Anorm = sqrt(tnorm2)
+        ynorm = norm(x)
+        epsa = Anorm * eps
+        epsx = Anorm * ynorm * eps
+        epsr = Anorm * ynorm * rtol
+        diag = gbar
+
+        if diag == 0:
+            diag = epsa
+
+        qrnorm = phibar
+        rnorm = qrnorm
+        if ynorm == 0 or Anorm == 0:
+            test1 = inf
+        else:
+            test1 = rnorm / (Anorm*ynorm)    # ||r||  / (||A|| ||x||)
+        if Anorm == 0:
+            test2 = inf
+        else:
+            test2 = root / Anorm            # ||Ar|| / (||A|| ||r||)
+
+        # Estimate  cond(A).
+        # In this version we look at the diagonals of  R  in the
+        # factorization of the lower Hessenberg matrix,  Q @ H = R,
+        # where H is the tridiagonal matrix from Lanczos with one
+        # extra row, beta(k+1) e_k^T.
+
+        Acond = gmax/gmin
+
+        # See if any of the stopping criteria are satisfied.
+        # In rare cases, istop is already -1 from above (Abar = const*I).
+
+        if istop == 0:
+            t1 = 1 + test1      # These tests work if rtol < eps
+            t2 = 1 + test2
+            if t2 <= 1:
+                istop = 2
+            if t1 <= 1:
+                istop = 1
+
+            if itn >= maxiter:
+                istop = 6
+            if Acond >= 0.1/eps:
+                istop = 4
+            if epsx >= beta1:
+                istop = 3
+            # if rnorm <= epsx   : istop = 2
+            # if rnorm <= epsr   : istop = 1
+            if test2 <= rtol:
+                istop = 2
+            if test1 <= rtol:
+                istop = 1
+
+        # See if it is time to print something.
+
+        prnt = False
+        if n <= 40:
+            prnt = True
+        if itn <= 10:
+            prnt = True
+        if itn >= maxiter-10:
+            prnt = True
+        if itn % 10 == 0:
+            prnt = True
+        if qrnorm <= 10*epsx:
+            prnt = True
+        if qrnorm <= 10*epsr:
+            prnt = True
+        if Acond <= 1e-2/eps:
+            prnt = True
+        if istop != 0:
+            prnt = True
+
+        if show and prnt:
+            str1 = f'{itn:6g} {x[0]:12.5e} {test1:10.3e}'
+            str2 = f' {test2:10.3e}'
+            str3 = f' {Anorm:8.1e} {Acond:8.1e} {gbar/Anorm:8.1e}'
+
+            print(str1 + str2 + str3)
+
+            if itn % 10 == 0:
+                print()
+
+        if callback is not None:
+            callback(x)
+
+        if istop != 0:
+            break  # TODO check this
+
+    if show:
+        print()
+        print(last + f' istop   =  {istop:3g}               itn   ={itn:5g}')
+        print(last + f' Anorm   =  {Anorm:12.4e}      Acond =  {Acond:12.4e}')
+        print(last + f' rnorm   =  {rnorm:12.4e}      ynorm =  {ynorm:12.4e}')
+        print(last + f' Arnorm  =  {Arnorm:12.4e}')
+        print(last + msg[istop+1])
+
+    if istop == 6:
+        info = maxiter
+    else:
+        info = 0
+
+    return (x,info)

scipy/sparse/linalg/_isolve/tests/test_gcrotmk.py

@@ -0,0 +1,183 @@
+#!/usr/bin/env python
+"""Tests for the linalg._isolve.gcrotmk module
+"""
+
+import threading
+from numpy.testing import (assert_, assert_allclose, assert_equal,
+                           suppress_warnings)
+
+import numpy as np
+from numpy import zeros, array, allclose
+from scipy.linalg import norm
+from scipy.sparse import csr_array, eye_array, random_array
+
+from scipy.sparse.linalg._interface import LinearOperator
+from scipy.sparse.linalg import splu
+from scipy.sparse.linalg._isolve import gcrotmk, gmres
+
+
+Am = csr_array(array([[-2,1,0,0,0,9],
+                       [1,-2,1,0,5,0],
+                       [0,1,-2,1,0,0],
+                       [0,0,1,-2,1,0],
+                       [0,3,0,1,-2,1],
+                       [1,0,0,0,1,-2]]))
+b = array([1,2,3,4,5,6])
+count = threading.local()  # [0]
+niter = threading.local()  # [0]
+
+
+def matvec(v):
+    if not hasattr(count, 'c'):
+        count.c = [0]
+    count.c[0] += 1
+    return Am@v
+
+
+def cb(v):
+    if not hasattr(niter, 'n'):
+        niter.n = [0]
+    niter.n[0] += 1
+
+
+A = LinearOperator(matvec=matvec, shape=Am.shape, dtype=Am.dtype)
+
+
+def do_solve(**kw):
+    if not hasattr(niter, 'n'):
+        niter.n = [0]
+
+    if not hasattr(count, 'c'):
+        count.c = [0]
+
+    count.c[0] = 0
+    with suppress_warnings() as sup:
+        sup.filter(DeprecationWarning, ".*called without specifying.*")
+        x0, flag = gcrotmk(A, b, x0=zeros(A.shape[0]), rtol=1e-14, **kw)
+    count_0 = count.c[0]
+    assert_(allclose(A@x0, b, rtol=1e-12, atol=1e-12), norm(A@x0-b))
+    return x0, count_0
+
+
+class TestGCROTMK:
+    def test_preconditioner(self):
+        # Check that preconditioning works
+        pc = splu(Am.tocsc())
+        M = LinearOperator(matvec=pc.solve, shape=A.shape, dtype=A.dtype)
+
+        x0, count_0 = do_solve()
+        niter.n[0] = 0
+        x1, count_1 = do_solve(M=M, callback=cb)
+
+        assert_equal(count_1, 3)
+        assert count_1 < count_0/2
+        assert allclose(x1, x0, rtol=1e-14)
+        assert niter.n[0] < 3
+
+    def test_arnoldi(self):
+        rng = np.random.default_rng(1)
+
+        A = eye_array(2000) + random_array((2000, 2000), density=5e-4, rng=rng)
+        b = rng.random(2000)
+
+        # The inner arnoldi should be equivalent to gmres
+        with suppress_warnings() as sup:
+            sup.filter(DeprecationWarning, ".*called without specifying.*")
+            x0, flag0 = gcrotmk(A, b, x0=zeros(A.shape[0]), m=10, k=0, maxiter=1)
+            x1, flag1 = gmres(A, b, x0=zeros(A.shape[0]), restart=10, maxiter=1)
+
+        assert_equal(flag0, 1)
+        assert_equal(flag1, 1)
+        assert np.linalg.norm(A.dot(x0) - b) > 1e-4
+
+        assert_allclose(x0, x1)
+
+    def test_cornercase(self):
+        np.random.seed(1234)
+
+        # Rounding error may prevent convergence with tol=0 --- ensure
+        # that the return values in this case are correct, and no
+        # exceptions are raised
+
+        for n in [3, 5, 10, 100]:
+            A = 2*eye_array(n)
+
+            with suppress_warnings() as sup:
+                sup.filter(DeprecationWarning, ".*called without specifying.*")
+                b = np.ones(n)
+                x, info = gcrotmk(A, b, maxiter=10)
+                assert_equal(info, 0)
+                assert_allclose(A.dot(x) - b, 0, atol=1e-14)
+
+                x, info = gcrotmk(A, b, rtol=0, maxiter=10)
+                if info == 0:
+                    assert_allclose(A.dot(x) - b, 0, atol=1e-14)
+
+                b = np.random.rand(n)
+                x, info = gcrotmk(A, b, maxiter=10)
+                assert_equal(info, 0)
+                assert_allclose(A.dot(x) - b, 0, atol=1e-14)
+
+                x, info = gcrotmk(A, b, rtol=0, maxiter=10)
+                if info == 0:
+                    assert_allclose(A.dot(x) - b, 0, atol=1e-14)
+
+    def test_nans(self):
+        A = eye_array(3, format='lil')
+        A[1,1] = np.nan
+        b = np.ones(3)
+
+        with suppress_warnings() as sup:
+            sup.filter(DeprecationWarning, ".*called without specifying.*")
+            x, info = gcrotmk(A, b, rtol=0, maxiter=10)
+            assert_equal(info, 1)
+
+    def test_truncate(self):
+        np.random.seed(1234)
+        A = np.random.rand(30, 30) + np.eye(30)
+        b = np.random.rand(30)
+
+        for truncate in ['oldest', 'smallest']:
+            with suppress_warnings() as sup:
+                sup.filter(DeprecationWarning, ".*called without specifying.*")
+                x, info = gcrotmk(A, b, m=10, k=10, truncate=truncate,
+                                  rtol=1e-4, maxiter=200)
+            assert_equal(info, 0)
+            assert_allclose(A.dot(x) - b, 0, atol=1e-3)
+
+    def test_CU(self):
+        for discard_C in (True, False):
+            # Check that C,U behave as expected
+            CU = []
+            x0, count_0 = do_solve(CU=CU, discard_C=discard_C)
+            assert_(len(CU) > 0)
+            assert_(len(CU) <= 6)
+
+            if discard_C:
+                for c, u in CU:
+                    assert_(c is None)
+
+            # should converge immediately
+            x1, count_1 = do_solve(CU=CU, discard_C=discard_C)
+            if discard_C:
+                assert_equal(count_1, 2 + len(CU))
+            else:
+                assert_equal(count_1, 3)
+            assert_(count_1 <= count_0/2)
+            assert_allclose(x1, x0, atol=1e-14)
+
+    def test_denormals(self):
+        # Check that no warnings are emitted if the matrix contains
+        # numbers for which 1/x has no float representation, and that
+        # the solver behaves properly.
+        A = np.array([[1, 2], [3, 4]], dtype=float)
+        A *= 100 * np.nextafter(0, 1)
+
+        b = np.array([1, 1])
+
+        with suppress_warnings() as sup:
+            sup.filter(DeprecationWarning, ".*called without specifying.*")
+            xp, info = gcrotmk(A, b)
+
+        if info == 0:
+            assert_allclose(A.dot(xp), b)