scipy 1.16.2__cp312-cp312-win_arm64.whl

scipy/sparse/linalg/_isolve/lsqr.py

@@ -0,0 +1,589 @@
+"""Sparse Equations and Least Squares.
+
+The original Fortran code was written by C. C. Paige and M. A. Saunders as
+described in
+
+C. C. Paige and M. A. Saunders, LSQR: An algorithm for sparse linear
+equations and sparse least squares, TOMS 8(1), 43--71 (1982).
+
+C. C. Paige and M. A. Saunders, Algorithm 583; LSQR: Sparse linear
+equations and least-squares problems, TOMS 8(2), 195--209 (1982).
+
+It is licensed under the following BSD license:
+
+Copyright (c) 2006, Systems Optimization Laboratory
+All rights reserved.
+
+Redistribution and use in source and binary forms, with or without
+modification, are permitted provided that the following conditions are
+met:
+
+    * Redistributions of source code must retain the above copyright
+      notice, this list of conditions and the following disclaimer.
+
+    * Redistributions in binary form must reproduce the above
+      copyright notice, this list of conditions and the following
+      disclaimer in the documentation and/or other materials provided
+      with the distribution.
+
+    * Neither the name of Stanford University nor the names of its
+      contributors may be used to endorse or promote products derived
+      from this software without specific prior written permission.
+
+THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS
+"AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT
+LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR
+A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT
+OWNER OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL,
+SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT
+LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE,
+DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY
+THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
+(INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
+OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
+
+The Fortran code was translated to Python for use in CVXOPT by Jeffery
+Kline with contributions by Mridul Aanjaneya and Bob Myhill.
+
+Adapted for SciPy by Stefan van der Walt.
+
+"""
+
+__all__ = ['lsqr']
+
+import numpy as np
+from math import sqrt
+from scipy.sparse.linalg._interface import aslinearoperator
+from scipy.sparse._sputils import convert_pydata_sparse_to_scipy
+
+eps = np.finfo(np.float64).eps
+
+
+def _sym_ortho(a, b):
+    """
+    Stable implementation of Givens rotation.
+
+    Notes
+    -----
+    The routine 'SymOrtho' was added for numerical stability. This is
+    recommended by S.-C. Choi in [1]_.  It removes the unpleasant potential of
+    ``1/eps`` in some important places (see, for example text following
+    "Compute the next plane rotation Qk" in minres.py).
+
+    References
+    ----------
+    .. [1] S.-C. Choi, "Iterative Methods for Singular Linear Equations
+           and Least-Squares Problems", Dissertation,
+           http://www.stanford.edu/group/SOL/dissertations/sou-cheng-choi-thesis.pdf
+
+    """
+    if b == 0:
+        return np.sign(a), 0, abs(a)
+    elif a == 0:
+        return 0, np.sign(b), abs(b)
+    elif abs(b) > abs(a):
+        tau = a / b
+        s = np.sign(b) / sqrt(1 + tau * tau)
+        c = s * tau
+        r = b / s
+    else:
+        tau = b / a
+        c = np.sign(a) / sqrt(1+tau*tau)
+        s = c * tau
+        r = a / c
+    return c, s, r
+
+
+def lsqr(A, b, damp=0.0, atol=1e-6, btol=1e-6, conlim=1e8,
+         iter_lim=None, show=False, calc_var=False, x0=None):
+    """Find the least-squares solution to a large, sparse, linear system
+    of equations.
+
+    The function solves ``Ax = b``  or  ``min ||Ax - b||^2`` or
+    ``min ||Ax - b||^2 + d^2 ||x - x0||^2``.
+
+    The matrix A may be square or rectangular (over-determined or
+    under-determined), and may have any rank.
+
+    ::
+
+      1. Unsymmetric equations --    solve  Ax = b
+
+      2. Linear least squares  --    solve  Ax = b
+                                     in the least-squares sense
+
+      3. Damped least squares  --    solve  (   A    )*x = (    b    )
+                                            ( damp*I )     ( damp*x0 )
+                                     in the least-squares sense
+
+    Parameters
+    ----------
+    A : {sparse array, ndarray, LinearOperator}
+        Representation of an m-by-n matrix.
+        Alternatively, ``A`` can be a linear operator which can
+        produce ``Ax`` and ``A^T x`` using, e.g.,
+        ``scipy.sparse.linalg.LinearOperator``.
+    b : array_like, shape (m,)
+        Right-hand side vector ``b``.
+    damp : float
+        Damping coefficient. Default is 0.
+    atol, btol : float, optional
+        Stopping tolerances. `lsqr` continues iterations until a
+        certain backward error estimate is smaller than some quantity
+        depending on atol and btol.  Let ``r = b - Ax`` be the
+        residual vector for the current approximate solution ``x``.
+        If ``Ax = b`` seems to be consistent, `lsqr` terminates
+        when ``norm(r) <= atol * norm(A) * norm(x) + btol * norm(b)``.
+        Otherwise, `lsqr` terminates when ``norm(A^H r) <=
+        atol * norm(A) * norm(r)``.  If both tolerances are 1.0e-6 (default),
+        the final ``norm(r)`` should be accurate to about 6
+        digits. (The final ``x`` will usually have fewer correct digits,
+        depending on ``cond(A)`` and the size of LAMBDA.)  If `atol`
+        or `btol` is None, a default value of 1.0e-6 will be used.
+        Ideally, they should be estimates of the relative error in the
+        entries of ``A`` and ``b`` respectively.  For example, if the entries
+        of ``A`` have 7 correct digits, set ``atol = 1e-7``. This prevents
+        the algorithm from doing unnecessary work beyond the
+        uncertainty of the input data.
+    conlim : float, optional
+        Another stopping tolerance.  lsqr terminates if an estimate of
+        ``cond(A)`` exceeds `conlim`.  For compatible systems ``Ax =
+        b``, `conlim` could be as large as 1.0e+12 (say).  For
+        least-squares problems, conlim should be less than 1.0e+8.
+        Maximum precision can be obtained by setting ``atol = btol =
+        conlim = zero``, but the number of iterations may then be
+        excessive. Default is 1e8.
+    iter_lim : int, optional
+        Explicit limitation on number of iterations (for safety).
+    show : bool, optional
+        Display an iteration log. Default is False.
+    calc_var : bool, optional
+        Whether to estimate diagonals of ``(A'A + damp^2*I)^{-1}``.
+    x0 : array_like, shape (n,), optional
+        Initial guess of x, if None zeros are used. Default is None.
+
+        .. versionadded:: 1.0.0
+
+    Returns
+    -------
+    x : ndarray of float
+        The final solution.
+    istop : int
+        Gives the reason for termination.
+        1 means x is an approximate solution to Ax = b.
+        2 means x approximately solves the least-squares problem.
+    itn : int
+        Iteration number upon termination.
+    r1norm : float
+        ``norm(r)``, where ``r = b - Ax``.
+    r2norm : float
+        ``sqrt( norm(r)^2  +  damp^2 * norm(x - x0)^2 )``.  Equal to `r1norm`
+        if ``damp == 0``.
+    anorm : float
+        Estimate of Frobenius norm of ``Abar = [[A]; [damp*I]]``.
+    acond : float
+        Estimate of ``cond(Abar)``.
+    arnorm : float
+        Estimate of ``norm(A'@r - damp^2*(x - x0))``.
+    xnorm : float
+        ``norm(x)``
+    var : ndarray of float
+        If ``calc_var`` is True, estimates all diagonals of
+        ``(A'A)^{-1}`` (if ``damp == 0``) or more generally ``(A'A +
+        damp^2*I)^{-1}``.  This is well defined if A has full column
+        rank or ``damp > 0``.  (Not sure what var means if ``rank(A)
+        < n`` and ``damp = 0.``)
+
+    Notes
+    -----
+    LSQR uses an iterative method to approximate the solution.  The
+    number of iterations required to reach a certain accuracy depends
+    strongly on the scaling of the problem.  Poor scaling of the rows
+    or columns of A should therefore be avoided where possible.
+
+    For example, in problem 1 the solution is unaltered by
+    row-scaling.  If a row of A is very small or large compared to
+    the other rows of A, the corresponding row of ( A  b ) should be
+    scaled up or down.
+
+    In problems 1 and 2, the solution x is easily recovered
+    following column-scaling.  Unless better information is known,
+    the nonzero columns of A should be scaled so that they all have
+    the same Euclidean norm (e.g., 1.0).
+
+    In problem 3, there is no freedom to re-scale if damp is
+    nonzero.  However, the value of damp should be assigned only
+    after attention has been paid to the scaling of A.
+
+    The parameter damp is intended to help regularize
+    ill-conditioned systems, by preventing the true solution from
+    being very large.  Another aid to regularization is provided by
+    the parameter acond, which may be used to terminate iterations
+    before the computed solution becomes very large.
+
+    If some initial estimate ``x0`` is known and if ``damp == 0``,
+    one could proceed as follows:
+
+      1. Compute a residual vector ``r0 = b - A@x0``.
+      2. Use LSQR to solve the system  ``A@dx = r0``.
+      3. Add the correction dx to obtain a final solution ``x = x0 + dx``.
+
+    This requires that ``x0`` be available before and after the call
+    to LSQR.  To judge the benefits, suppose LSQR takes k1 iterations
+    to solve A@x = b and k2 iterations to solve A@dx = r0.
+    If x0 is "good", norm(r0) will be smaller than norm(b).
+    If the same stopping tolerances atol and btol are used for each
+    system, k1 and k2 will be similar, but the final solution x0 + dx
+    should be more accurate.  The only way to reduce the total work
+    is to use a larger stopping tolerance for the second system.
+    If some value btol is suitable for A@x = b, the larger value
+    btol*norm(b)/norm(r0)  should be suitable for A@dx = r0.
+
+    Preconditioning is another way to reduce the number of iterations.
+    If it is possible to solve a related system ``M@x = b``
+    efficiently, where M approximates A in some helpful way (e.g. M -
+    A has low rank or its elements are small relative to those of A),
+    LSQR may converge more rapidly on the system ``A@M(inverse)@z =
+    b``, after which x can be recovered by solving M@x = z.
+
+    If A is symmetric, LSQR should not be used!
+
+    Alternatives are the symmetric conjugate-gradient method (cg)
+    and/or SYMMLQ.  SYMMLQ is an implementation of symmetric cg that
+    applies to any symmetric A and will converge more rapidly than
+    LSQR.  If A is positive definite, there are other implementations
+    of symmetric cg that require slightly less work per iteration than
+    SYMMLQ (but will take the same number of iterations).
+
+    References
+    ----------
+    .. [1] C. C. Paige and M. A. Saunders (1982a).
+           "LSQR: An algorithm for sparse linear equations and
+           sparse least squares", ACM TOMS 8(1), 43-71.
+    .. [2] C. C. Paige and M. A. Saunders (1982b).
+           "Algorithm 583.  LSQR: Sparse linear equations and least
+           squares problems", ACM TOMS 8(2), 195-209.
+    .. [3] M. A. Saunders (1995).  "Solution of sparse rectangular
+           systems using LSQR and CRAIG", BIT 35, 588-604.
+
+    Examples
+    --------
+    >>> import numpy as np
+    >>> from scipy.sparse import csc_array
+    >>> from scipy.sparse.linalg import lsqr
+    >>> A = csc_array([[1., 0.], [1., 1.], [0., 1.]], dtype=float)
+
+    The first example has the trivial solution ``[0, 0]``
+
+    >>> b = np.array([0., 0., 0.], dtype=float)
+    >>> x, istop, itn, normr = lsqr(A, b)[:4]
+    >>> istop
+    0
+    >>> x
+    array([ 0.,  0.])
+
+    The stopping code ``istop=0`` returned indicates that a vector of zeros was
+    found as a solution. The returned solution `x` indeed contains
+    ``[0., 0.]``. The next example has a non-trivial solution:
+
+    >>> b = np.array([1., 0., -1.], dtype=float)
+    >>> x, istop, itn, r1norm = lsqr(A, b)[:4]
+    >>> istop
+    1
+    >>> x
+    array([ 1., -1.])
+    >>> itn
+    1
+    >>> r1norm
+    4.440892098500627e-16
+
+    As indicated by ``istop=1``, `lsqr` found a solution obeying the tolerance
+    limits. The given solution ``[1., -1.]`` obviously solves the equation. The
+    remaining return values include information about the number of iterations
+    (`itn=1`) and the remaining difference of left and right side of the solved
+    equation.
+    The final example demonstrates the behavior in the case where there is no
+    solution for the equation:
+
+    >>> b = np.array([1., 0.01, -1.], dtype=float)
+    >>> x, istop, itn, r1norm = lsqr(A, b)[:4]
+    >>> istop
+    2
+    >>> x
+    array([ 1.00333333, -0.99666667])
+    >>> A.dot(x)-b
+    array([ 0.00333333, -0.00333333,  0.00333333])
+    >>> r1norm
+    0.005773502691896255
+
+    `istop` indicates that the system is inconsistent and thus `x` is rather an
+    approximate solution to the corresponding least-squares problem. `r1norm`
+    contains the norm of the minimal residual that was found.
+    """
+    A = convert_pydata_sparse_to_scipy(A)
+    A = aslinearoperator(A)
+    b = np.atleast_1d(b)
+    if b.ndim > 1:
+        b = b.squeeze()
+
+    m, n = A.shape
+    if iter_lim is None:
+        iter_lim = 2 * n
+    var = np.zeros(n)
+
+    msg = ('The exact solution is  x = 0                              ',
+           'Ax - b is small enough, given atol, btol                  ',
+           'The least-squares solution is good enough, given atol     ',
+           'The estimate of cond(Abar) has exceeded conlim            ',
+           'Ax - b is small enough for this machine                   ',
+           'The least-squares solution is good enough for this machine',
+           'Cond(Abar) seems to be too large for this machine         ',
+           'The iteration limit has been reached                      ')
+
+    if show:
+        print(' ')
+        print('LSQR            Least-squares solution of  Ax = b')
+        str1 = f'The matrix A has {m} rows and {n} columns'
+        str2 = f'damp = {damp:20.14e}   calc_var = {calc_var:8g}'
+        str3 = f'atol = {atol:8.2e}                 conlim = {conlim:8.2e}'
+        str4 = f'btol = {btol:8.2e}               iter_lim = {iter_lim:8g}'
+        print(str1)
+        print(str2)
+        print(str3)
+        print(str4)
+
+    itn = 0
+    istop = 0
+    ctol = 0
+    if conlim > 0:
+        ctol = 1/conlim
+    anorm = 0
+    acond = 0
+    dampsq = damp**2
+    ddnorm = 0
+    res2 = 0
+    xnorm = 0
+    xxnorm = 0
+    z = 0
+    cs2 = -1
+    sn2 = 0
+
+    # Set up the first vectors u and v for the bidiagonalization.
+    # These satisfy  beta*u = b - A@x,  alfa*v = A'@u.
+    u = b
+    bnorm = np.linalg.norm(b)
+
+    if x0 is None:
+        x = np.zeros(n)
+        beta = bnorm.copy()
+    else:
+        x = np.asarray(x0)
+        u = u - A.matvec(x)
+        beta = np.linalg.norm(u)
+
+    if beta > 0:
+        u = (1/beta) * u
+        v = A.rmatvec(u)
+        alfa = np.linalg.norm(v)
+    else:
+        v = x.copy()
+        alfa = 0
+
+    if alfa > 0:
+        v = (1/alfa) * v
+    w = v.copy()
+
+    rhobar = alfa
+    phibar = beta
+    rnorm = beta
+    r1norm = rnorm
+    r2norm = rnorm
+
+    # Reverse the order here from the original matlab code because
+    # there was an error on return when arnorm==0
+    arnorm = alfa * beta
+    if arnorm == 0:
+        if show:
+            print(msg[0])
+        return x, istop, itn, r1norm, r2norm, anorm, acond, arnorm, xnorm, var
+
+    head1 = '   Itn      x[0]       r1norm     r2norm '
+    head2 = ' Compatible    LS      Norm A   Cond A'
+
+    if show:
+        print(' ')
+        print(head1, head2)
+        test1 = 1
+        test2 = alfa / beta
+        str1 = f'{itn:6g} {x[0]:12.5e}'
+        str2 = f' {r1norm:10.3e} {r2norm:10.3e}'
+        str3 = f'  {test1:8.1e} {test2:8.1e}'
+        print(str1, str2, str3)
+
+    # Main iteration loop.
+    while itn < iter_lim:
+        itn = itn + 1
+        # Perform the next step of the bidiagonalization to obtain the
+        # next  beta, u, alfa, v. These satisfy the relations
+        #     beta*u  =  a@v   -  alfa*u,
+        #     alfa*v  =  A'@u  -  beta*v.
+        u = A.matvec(v) - alfa * u
+        beta = np.linalg.norm(u)
+
+        if beta > 0:
+            u = (1/beta) * u
+            anorm = sqrt(anorm**2 + alfa**2 + beta**2 + dampsq)
+            v = A.rmatvec(u) - beta * v
+            alfa = np.linalg.norm(v)
+            if alfa > 0:
+                v = (1 / alfa) * v
+
+        # Use a plane rotation to eliminate the damping parameter.
+        # This alters the diagonal (rhobar) of the lower-bidiagonal matrix.
+        if damp > 0:
+            rhobar1 = sqrt(rhobar**2 + dampsq)
+            cs1 = rhobar / rhobar1
+            sn1 = damp / rhobar1
+            psi = sn1 * phibar
+            phibar = cs1 * phibar
+        else:
+            # cs1 = 1 and sn1 = 0
+            rhobar1 = rhobar
+            psi = 0.
+
+        # Use a plane rotation to eliminate the subdiagonal element (beta)
+        # of the lower-bidiagonal matrix, giving an upper-bidiagonal matrix.
+        cs, sn, rho = _sym_ortho(rhobar1, beta)
+
+        theta = sn * alfa
+        rhobar = -cs * alfa
+        phi = cs * phibar
+        phibar = sn * phibar
+        tau = sn * phi
+
+        # Update x and w.
+        t1 = phi / rho
+        t2 = -theta / rho
+        dk = (1 / rho) * w
+
+        x = x + t1 * w
+        w = v + t2 * w
+        ddnorm = ddnorm + np.linalg.norm(dk)**2
+
+        if calc_var:
+            var = var + dk**2
+
+        # Use a plane rotation on the right to eliminate the
+        # super-diagonal element (theta) of the upper-bidiagonal matrix.
+        # Then use the result to estimate norm(x).
+        delta = sn2 * rho
+        gambar = -cs2 * rho
+        rhs = phi - delta * z
+        zbar = rhs / gambar
+        xnorm = sqrt(xxnorm + zbar**2)
+        gamma = sqrt(gambar**2 + theta**2)
+        cs2 = gambar / gamma
+        sn2 = theta / gamma
+        z = rhs / gamma
+        xxnorm = xxnorm + z**2
+
+        # Test for convergence.
+        # First, estimate the condition of the matrix  Abar,
+        # and the norms of  rbar  and  Abar'rbar.
+        acond = anorm * sqrt(ddnorm)
+        res1 = phibar**2
+        res2 = res2 + psi**2
+        rnorm = sqrt(res1 + res2)
+        arnorm = alfa * abs(tau)
+
+        # Distinguish between
+        #    r1norm = ||b - Ax|| and
+        #    r2norm = rnorm in current code
+        #           = sqrt(r1norm^2 + damp^2*||x - x0||^2).
+        #    Estimate r1norm from
+        #    r1norm = sqrt(r2norm^2 - damp^2*||x - x0||^2).
+        # Although there is cancellation, it might be accurate enough.
+        if damp > 0:
+            r1sq = rnorm**2 - dampsq * xxnorm
+            r1norm = sqrt(abs(r1sq))
+            if r1sq < 0:
+                r1norm = -r1norm
+        else:
+            r1norm = rnorm
+        r2norm = rnorm
+
+        # Now use these norms to estimate certain other quantities,
+        # some of which will be small near a solution.
+        test1 = rnorm / bnorm
+        test2 = arnorm / (anorm * rnorm + eps)
+        test3 = 1 / (acond + eps)
+        t1 = test1 / (1 + anorm * xnorm / bnorm)
+        rtol = btol + atol * anorm * xnorm / bnorm
+
+        # The following tests guard against extremely small values of
+        # atol, btol  or  ctol.  (The user may have set any or all of
+        # the parameters  atol, btol, conlim  to 0.)
+        # The effect is equivalent to the normal tests using
+        # atol = eps,  btol = eps,  conlim = 1/eps.
+        if itn >= iter_lim:
+            istop = 7
+        if 1 + test3 <= 1:
+            istop = 6
+        if 1 + test2 <= 1:
+            istop = 5
+        if 1 + t1 <= 1:
+            istop = 4
+
+        # Allow for tolerances set by the user.
+        if test3 <= ctol:
+            istop = 3
+        if test2 <= atol:
+            istop = 2
+        if test1 <= rtol:
+            istop = 1
+
+        if show:
+            # See if it is time to print something.
+            prnt = False
+            if n <= 40:
+                prnt = True
+            if itn <= 10:
+                prnt = True
+            if itn >= iter_lim-10:
+                prnt = True
+            # if itn%10 == 0: prnt = True
+            if test3 <= 2*ctol:
+                prnt = True
+            if test2 <= 10*atol:
+                prnt = True
+            if test1 <= 10*rtol:
+                prnt = True
+            if istop != 0:
+                prnt = True
+
+            if prnt:
+                str1 = f'{itn:6g} {x[0]:12.5e}'
+                str2 = f' {r1norm:10.3e} {r2norm:10.3e}'
+                str3 = f'  {test1:8.1e} {test2:8.1e}'
+                str4 = f' {anorm:8.1e} {acond:8.1e}'
+                print(str1, str2, str3, str4)
+
+        if istop != 0:
+            break
+
+    # End of iteration loop.
+    # Print the stopping condition.
+    if show:
+        print(' ')
+        print('LSQR finished')
+        print(msg[istop])
+        print(' ')
+        str1 = f'istop ={istop:8g}   r1norm ={r1norm:8.1e}'
+        str2 = f'anorm ={anorm:8.1e}   arnorm ={arnorm:8.1e}'
+        str3 = f'itn   ={itn:8g}   r2norm ={r2norm:8.1e}'
+        str4 = f'acond ={acond:8.1e}   xnorm  ={xnorm:8.1e}'
+        print(str1 + '   ' + str2)
+        print(str3 + '   ' + str4)
+        print(' ')
+
+    return x, istop, itn, r1norm, r2norm, anorm, acond, arnorm, xnorm, var