swh:1:snp:39d5aa88ec19187d5f6c7d91d5a7e02d6ac7c2c2
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Tip revision: 241bf7ad2b806f6677a5e23534247f35f3a70f10 authored by rballester on 19 February 2023, 19:35:27 UTC
Exact method for moments
Tip revision: 241bf7a
maxvol.py
# Copyright (c) 2015
# Alexander Mikhalev

# Permission is hereby granted, free of charge, to any person obtaining a copy
# of this software and associated documentation files (the "Software"), to deal
# in the Software without restriction, including without limitation the rights
# to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
# copies of the Software, and to permit persons to whom the Software is
# furnished to do so, subject to the following conditions:

# The above copyright notice and this permission notice shall be included in
# all copies or substantial portions of the Software.

# THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
# IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
# FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
# AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
# LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
# OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
# SOFTWARE.

# This code was shamelessly taken from https://bitbucket.org/muxas/maxvolpy
# in order to make the dependency optional. It is till recommended to install
# the original package as it has faster cython based implementations.

import numpy as np
from scipy.linalg import get_lapack_funcs, get_blas_funcs

def py_rect_maxvol(A, tol=1., maxK=None, min_add_K=None, minK=None,
        start_maxvol_iters=10, identity_submatrix=True, top_k_index=-1):
    """
    Python implementation of rectangular 2-volume maximization.
    See Also
    --------
    rect_maxvol
    """
    # tol2 - square of parameter tol
    tol2 = tol**2
    # N - number of rows, r - number of columns of matrix A
    N, r = A.shape
    # some work on parameters
    if N <= r:
        return np.arange(N, dtype=np.int32), np.eye(N, dtype=A.dtype)
    if maxK is None or maxK > N:
        maxK = N
    if maxK < r:
        maxK = r
    if minK is None or minK < r:
        minK = r
    if minK > N:
        minK = N
    if min_add_K is not None:
        minK = max(minK, r + min_add_K) 
    if minK > maxK:
        minK = maxK
        #raise ValueError('minK value cannot be greater than maxK value')
    if top_k_index == -1 or top_k_index > N:
        top_k_index = N
    if top_k_index < r:
        top_k_index = r
    # choose initial submatrix and coefficients according to maxvol
    # algorithm
    index = np.zeros(N, dtype=np.int32)
    chosen = np.ones(top_k_index)
    tmp_index, C = py_maxvol(A, 1.05, start_maxvol_iters, top_k_index)
    index[:r] = tmp_index
    chosen[tmp_index] = 0
    C = np.asfortranarray(C)
    # compute square 2-norms of each row in coefficients matrix C
    row_norm_sqr = np.array([chosen[i]*np.linalg.norm(C[i], 2)**2 for
        i in range(top_k_index)])
    # find maximum value in row_norm_sqr
    i = np.argmax(row_norm_sqr)
    K = r
    # set cgeru or zgeru for complex numbers and dger or sger
    # for float numbers
    try:
        ger = get_blas_funcs('geru', [C])
    except:
        ger = get_blas_funcs('ger', [C])
    # augment maxvol submatrix with each iteration
    while (row_norm_sqr[i] > tol2 and K < maxK) or K < minK:
        # add i to index and recompute C and square norms of each row
        # by SVM-formula
        index[K] = i
        chosen[i] = 0
        c = C[i].copy()
        v = C.dot(c.conj())
        l = 1.0/(1+v[i])
        ger(-l,v,c,a=C,overwrite_a=1)
        C = np.hstack([C, l*v.reshape(-1,1)])
        row_norm_sqr -= (l*v[:top_k_index]*v[:top_k_index].conj()).real
        row_norm_sqr *= chosen
        # find maximum value in row_norm_sqr
        i = row_norm_sqr.argmax()
        K += 1
    # parameter identity_submatrix is True, set submatrix,
    # corresponding to maxvol rows, equal to identity matrix
    if identity_submatrix:
        C[index[:K]] = np.eye(K, dtype=C.dtype)
    return index[:K].copy(), C

def py_maxvol(A, tol=1.05, max_iters=100, top_k_index=-1):
    """
    Python implementation of 1-volume maximization.
    See Also
    --------
    maxvol
    """
    # some work on parameters
    if tol < 1:
        tol = 1.0
    N, r = A.shape
    if N <= r:
        return np.arange(N, dtype=np.int32), np.eye(N, dtype=A.dtype)
    if top_k_index == -1 or top_k_index > N:
        top_k_index = N
    if top_k_index < r:
        top_k_index = r
    # set auxiliary matrices and get corresponding *GETRF function
    # from lapack
    B = np.copy(A[:top_k_index], order='F')
    C = np.copy(A.T, order='F')
    H, ipiv, info = get_lapack_funcs('getrf', [B])(B, overwrite_a=1)
    # compute pivots from ipiv (result of *GETRF)
    index = np.arange(N, dtype=np.int32)
    for i in range(r):
        tmp = index[i]
        index[i] = index[ipiv[i]]
        index[ipiv[i]] = tmp
    # solve A = CH, H is in LU format
    B = H[:r]
    # It will be much faster to use *TRSM instead of *TRTRS
    trtrs = get_lapack_funcs('trtrs', [B])
    trtrs(B, C, trans=1, lower=0, unitdiag=0, overwrite_b=1)
    trtrs(B, C, trans=1, lower=1, unitdiag=1, overwrite_b=1)
    # C has shape (r, N) -- it is stored transposed
    # find max value in C
    i, j = divmod(abs(C[:,:top_k_index]).argmax(), top_k_index)
    # set cgeru or zgeru for complex numbers and dger or sger for
    # float numbers
    try:
        ger = get_blas_funcs('geru', [C])
    except:
        ger = get_blas_funcs('ger', [C])
    # set number of iters to 0
    iters = 0
    # check if need to swap rows
    while abs(C[i,j]) > tol and iters < max_iters:
        # add j to index and recompute C by SVM-formula
        index[i] = j
        tmp_row = C[i].copy()
        tmp_column = C[:,j].copy()
        tmp_column[i] -= 1.
        alpha = -1./C[i,j]
        ger(alpha, tmp_column, tmp_row, a=C, overwrite_a=1)
        iters += 1
        i, j = divmod(abs(C[:,:top_k_index]).argmax(), top_k_index)
    return index[:r].copy(), C.T
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