"""Utility functions to speed up linear algebraic operations. In general, things like np.dot and linalg.svd should be used directly because they are smart about checking for bad values. However, in cases where things are done repeatedly (e.g., thousands of times on tiny matrices), the overhead can become problematic from a performance standpoint. Examples: - Optimization routines: - Dipole fitting - Sparse solving - cHPI fitting - Inverse computation - Beamformers (LCMV/DICS) - eLORETA minimum norm Significant performance gains can be achieved by ensuring that inputs are Fortran contiguous because that's what LAPACK requires. Without this, inputs will be memcopied. """ # Authors: The MNE-Python contributors. # License: BSD-3-Clause # Copyright the MNE-Python contributors. import functools import numpy as np from scipy import linalg from scipy._lib._util import _asarray_validated from ..fixes import _safe_svd # For efficiency, names should be str or tuple of str, dtype a builtin # NumPy dtype @functools.lru_cache(None) def _get_blas_funcs(dtype, names): return linalg.get_blas_funcs(names, (np.empty(0, dtype),)) @functools.lru_cache(None) def _get_lapack_funcs(dtype, names): assert dtype in (np.float64, np.complex128) x = np.empty(0, dtype) return linalg.get_lapack_funcs(names, (x,)) ############################################################################### # linalg.svd and linalg.pinv2 def _svd_lwork(shape, dtype=np.float64): """Set up SVD calculations on identical-shape float64/complex128 arrays.""" try: ds = linalg._decomp_svd except AttributeError: # < 1.8.0 ds = linalg.decomp_svd gesdd_lwork, gesvd_lwork = _get_lapack_funcs(dtype, ("gesdd_lwork", "gesvd_lwork")) sdd_lwork = ds._compute_lwork( gesdd_lwork, *shape, compute_uv=True, full_matrices=False ) svd_lwork = ds._compute_lwork( gesvd_lwork, *shape, compute_uv=True, full_matrices=False ) return sdd_lwork, svd_lwork def _repeated_svd(x, lwork, overwrite_a=False): """Mimic scipy.linalg.svd, avoid lwork and get_lapack_funcs overhead.""" gesdd, gesvd = _get_lapack_funcs(x.dtype, ("gesdd", "gesvd")) # this has to use overwrite_a=False in case we need to fall back to gesvd u, s, v, info = gesdd( x, compute_uv=True, lwork=lwork[0], full_matrices=False, overwrite_a=False ) if info > 0: # Fall back to slower gesvd, sometimes gesdd fails u, s, v, info = gesvd( x, compute_uv=True, lwork=lwork[1], full_matrices=False, overwrite_a=overwrite_a, ) if info > 0: raise np.linalg.LinAlgError("SVD did not converge") if info < 0: raise ValueError(f"illegal value in {-info}-th argument of internal gesdd") return u, s, v ############################################################################### # linalg.eigh @functools.lru_cache(None) def _get_evd(dtype): x = np.empty(0, dtype) if dtype == np.float64: driver = "syevd" else: assert dtype == np.complex128 driver = "heevd" (evr,) = linalg.get_lapack_funcs((driver,), (x,)) return evr, driver def eigh(a, overwrite_a=False, check_finite=True): """Efficient wrapper for eigh. Parameters ---------- a : ndarray, shape (n_components, n_components) The symmetric array operate on. overwrite_a : bool If True, the contents of a can be overwritten for efficiency. check_finite : bool If True, check that all elements are finite. Returns ------- w : ndarray, shape (n_components,) The N eigenvalues, in ascending order, each repeated according to its multiplicity. v : ndarray, shape (n_components, n_components) The normalized eigenvector corresponding to the eigenvalue ``w[i]`` is the column ``v[:, i]``. """ # We use SYEVD, see https://github.com/scipy/scipy/issues/9212 if check_finite: a = _asarray_validated(a, check_finite=check_finite) evd, driver = _get_evd(a.dtype) w, v, info = evd(a, lower=1, overwrite_a=overwrite_a) if info == 0: return w, v if info < 0: raise ValueError(f"illegal value in argument {-info} of internal {driver}") else: raise linalg.LinAlgError( "internal fortran routine failed to converge: " f"{info} off-diagonal elements of an " "intermediate tridiagonal form did not converge" " to zero." ) def sqrtm_sym(A, rcond=1e-7, inv=False): """Compute the sqrt of a positive, semi-definite matrix (or its inverse). Parameters ---------- A : ndarray, shape (..., n, n) The array to take the square root of. rcond : float The relative condition number used during reconstruction. inv : bool If True, compute the inverse of the square root rather than the square root itself. Returns ------- A_sqrt : ndarray, shape (..., n, n) The (possibly inverted) square root of A. s : ndarray, shape (..., n) The original square root singular values (not inverted). """ # Same as linalg.sqrtm(C) but faster, also yields the eigenvalues return _sym_mat_pow(A, -0.5 if inv else 0.5, rcond, return_s=True) def _sym_mat_pow(A, power, rcond=1e-7, reduce_rank=False, return_s=False): """Exponentiate Hermitian matrices with optional rank reduction.""" assert power in (-1, 0.5, -0.5) # only used internally s, u = np.linalg.eigh(A) # eigenvalues in ascending order # Is it positive semi-defidite? If so, keep real limit = s[..., -1:] * rcond if not (s >= -limit).all(): # allow some tiny small negative ones raise ValueError("Matrix is not positive semi-definite") s[s <= limit] = np.inf if power < 0 else 0 if reduce_rank: # These are ordered smallest to largest, so we set the first one # to inf -- then the 1. / s below will turn this to zero, as needed. s[..., 0] = np.inf if power in (-0.5, 0.5): np.sqrt(s, out=s) use_s = 1.0 / s if power < 0 else s out = np.matmul(u * use_s[..., np.newaxis, :], u.swapaxes(-2, -1).conj()) if return_s: out = (out, s) return out # SciPy deprecation of pinv + pinvh rcond (never worked properly anyway) def pinvh(a, rtol=None): """Compute a pseudo-inverse of a Hermitian matrix. Parameters ---------- a : ndarray, shape (n, n) The Hermitian array to invert. rtol : float | None The relative tolerance. Returns ------- a_pinv : ndarray, shape (n, n) The pseudo-inverse of a. """ s, u = np.linalg.eigh(a) del a if rtol is None: rtol = s.size * np.finfo(s.dtype).eps maxS = np.max(np.abs(s)) above_cutoff = abs(s) > maxS * rtol psigma_diag = 1.0 / s[above_cutoff] u = u[:, above_cutoff] return (u * psigma_diag) @ u.conj().T def pinv(a, rtol=None): """Compute a pseudo-inverse of a matrix. Parameters ---------- a : ndarray, shape (n, m) The array to invert. rtol : float | None The relative tolerance. Returns ------- a_pinv : ndarray, shape (m, n) The pseudo-inverse of a. """ u, s, vh = _safe_svd(a, full_matrices=False) del a maxS = np.max(s) if rtol is None: rtol = max(vh.shape + u.shape) * np.finfo(u.dtype).eps rank = np.sum(s > maxS * rtol) u = u[:, :rank] u /= s[:rank] return (u @ vh[:rank]).conj().T