Revision aaae58cc70f03ac357af64aa1300ab00eaf9bb6d authored by JeanKossaifi on 23 October 2016, 18:50:41 UTC, committed by JeanKossaifi on 23 October 2016, 18:50:41 UTC
1 parent 1e94ea4
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_kronecker.py
import numpy as np


# Author: Jean Kossaifi


def kronecker(matrices, skip_matrix=None, reverse=False):
    """Kronecker product of a list of matrices

        For more details, see [1]_

    Parameters
    ----------
    matrices : ndarray list

    skip_matrix : None or int, optional, default is None
        if not None, index of a matrix to skip

    reverse : bool, optional
        if True, the order of the matrices is reversed

    Returns
    -------
    kronecker_product: matrix of shape `(prod(n_rows), prod(n_columns)`
        where `prod(n_rows) = prod([m.shape[0] for m in matrices])`
        and `prod(n_columns) = prod([m.shape[1] for m in matrices])`

    Notes
    -----
    Mathematically:

    .. math::
         \\text{If every matrix } U_k \\text{ is of size } (I_k \\times J_k),\\\\
         \\text{Then } \\left(U_1 \\otimes \\cdots \\otimes U_n \\right) \\text{ is of size } (\\prod_{k=1}^n I_k \\times \\prod_{k=1}^n J_k)

    References
    ----------
    .. [1] T.G.Kolda and B.W.Bader, "Tensor Decompositions and Applications",
       SIAM REVIEW, vol. 51, n. 3, pp. 455-500, 2009.
    """
    if skip_matrix is not None:
        matrices = [matrices[i] for i in range(len(matrices)) if i != skip_matrix]

    if reverse:
        order = -1
    else:
        order = 1

    for i, matrix in enumerate(matrices[::order]):
        if not i:
            res = matrix
        else:
            res = np.kron(res, matrix)
    return res


def inv_squared_kronecker(matrices, n_identity=0, mu=None):
    """Inverse of a transposed kronecker product times itself

    Computes effectively:
    ``inv(np.dot(kron_W.T, kron_W)/mu + (n_identity)*np.eye(kron_W.shape[1]))``
    with
    ``kron_W = kronecker(W)``.

    Parameters
    ----------
    matrices : 2D-array list
        factors of the kronecker product
    n_identity : int
        n_identity * Identity is added to kron_W.T.dot(kron_W)
    mu : float, optional
        kron_W.T.dot(kron_W) is divided by mu
    """
    from scipy.linalg import eigh

    if mu is None:
        mu = 1

    ## Decompose each of the terms in the kr product
    ## Inverse the diagonal part
    P = []
    S = []
    for i, U in enumerate(matrices):
        eigenvals, eigenvecs = eigh(U.T.dot(U))
        P.append(eigenvecs)
        if i:
            S = np.concatenate([s * eigenvals for s in S])
        else:
            S = eigenvals

    else:  # S + mu *(n*Identity)
        S += n_identity * mu

    # invert the diagonal part
    S = 1 / S

    kr = kronecker(P)
    return np.dot(kr, S[:, None] * kr.T) * mu
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