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annotate scripts/sparse/svds.m @ 12195:d25dfa9ed18b

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remove configure checks for ARPACK
author John W. Eaton <jwe@octave.org>
date Fri, 28 Jan 2011 14:05:09 -0500
parents b0084095098e
children 5f203b5bbf98
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1 ## Copyright (C) 2006-2011 David Bateman
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2 ##
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3 ## This file is part of Octave.
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4 ##
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5 ## Octave is free software; you can redistribute it and/or modify it
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6 ## under the terms of the GNU General Public License as published by
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7 ## the Free Software Foundation; either version 3 of the License, or (at
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8 ## your option) any later version.
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9 ##
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10 ## Octave is distributed in the hope that it will be useful, but
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11 ## WITHOUT ANY WARRANTY; without even the implied warranty of
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12 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
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13 ## General Public License for more details.
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14 ##
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15 ## You should have received a copy of the GNU General Public License
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16 ## along with Octave; see the file COPYING. If not, see
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17 ## <http://www.gnu.org/licenses/>.
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18
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19 ## -*- texinfo -*-
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20 ## @deftypefn {Function File} {@var{s} =} svds (@var{A})
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21 ## @deftypefnx {Function File} {@var{s} =} svds (@var{A}, @var{k})
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22 ## @deftypefnx {Function File} {@var{s} =} svds (@var{A}, @var{k}, @var{sigma})
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23 ## @deftypefnx {Function File} {@var{s} =} svds (@var{A}, @var{k}, @var{sigma}, @var{opts})
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24 ## @deftypefnx {Function File} {[@var{u}, @var{s}, @var{v}] =} svds (@dots{})
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25 ## @deftypefnx {Function File} {[@var{u}, @var{s}, @var{v}, @var{flag}] =} svds (@dots{})
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26 ##
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27 ## Find a few singular values of the matrix @var{A}. The singular values
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28 ## are calculated using
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29 ##
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30 ## @example
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31 ## @group
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32 ## [@var{m}, @var{n}] = size(@var{A})
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33 ## @var{s} = eigs([sparse(@var{m}, @var{m}), @var{A};
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34 ## @var{A}', sparse(@var{n}, @var{n})])
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35 ## @end group
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36 ## @end example
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37 ##
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38 ## The eigenvalues returned by @code{eigs} correspond to the singular values
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39 ## of @var{A}. The number of singular values to calculate is given by @var{k}
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40 ## and defaults to 6.
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41 ##
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42 ## The argument @var{sigma} specifies which singular values to find. When
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43 ## @var{sigma} is the string 'L', the default, the largest singular values of
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44 ## @var{A} are found. Otherwise, @var{sigma} must be a real scalar and the
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45 ## singular values closest to @var{sigma} are found. As a corollary,
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46 ## @code{@var{sigma} = 0} finds the smallest singular values. Note that for
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47 ## relatively small values of @var{sigma}, there is a chance that the requested
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48 ## number of singular values will not be found. In that case @var{sigma}
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49 ## should be increased.
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50 ##
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51 ## @var{opts} is a structure defining options that @code{svds} will pass
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52 ## to @code{eigs}. The possible fields of this structure are documented in
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53 ## @code{eigs}. By default, @code{svds} sets the following three fields:
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54 ##
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55 ## @table @code
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56 ## @item tol
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57 ## The required convergence tolerance for the singular values. The default
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58 ## value is 1e-10. @code{eigs} is passed @code{@var{tol} / sqrt(2)}.
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59 ##
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60 ## @item maxit
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61 ## The maximum number of iterations. The default is 300.
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62 ##
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63 ## @item disp
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64 ## The level of diagnostic printout (0|1|2). If @code{disp} is 0 then
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65 ## diagnostics are disabled. The default value is 0.
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66 ## @end table
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67 ##
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68 ## If more than one output is requested then @code{svds} will return an
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69 ## approximation of the singular value decomposition of @var{A}
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70 ##
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71 ## @example
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72 ## @var{A}_approx = @var{u}*@var{s}*@var{v}'
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73 ## @end example
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74 ##
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75 ## @noindent
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76 ## where @var{A}_approx is a matrix of size @var{A} but only rank @var{k}.
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77 ##
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78 ## @var{flag} returns 0 if the algorithm has succesfully converged, and 1
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79 ## otherwise. The test for convergence is
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80 ##
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81 ## @example
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82 ## @group
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83 ## norm (@var{A}*@var{v} - @var{u}*@var{s}, 1) <= @var{tol} * norm (@var{A}, 1)
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84 ## @end group
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85 ## @end example
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86 ##
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87 ## @code{svds} is best for finding only a few singular values from a large
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88 ## sparse matrix. Otherwise, @code{svd (full(@var{A}))} will likely be more
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89 ## efficient.
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90 ## @end deftypefn
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91 ## @seealso{svd, eigs}
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92
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93 function [u, s, v, flag] = svds (A, k, sigma, opts)
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94
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95 persistent root2 = sqrt (2);
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96
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97 if (nargin < 1 || nargin > 4)
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98 print_usage ();
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99 endif
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100
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101 if (ndims(A) > 2)
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102 error ("svds: A must be a 2D matrix");
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103 endif
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104
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105 if (nargin < 4)
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106 opts.tol = 1e-10 / root2;
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107 opts.disp = 0;
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108 opts.maxit = 300;
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109 else
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110 if (!isstruct (opts))
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111 error ("svds: OPTS must be a structure");
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112 endif
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113 if (!isfield (opts, "tol"))
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114 opts.tol = 1e-10 / root2;
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115 else
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116 opts.tol = opts.tol / root2;
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117 endif
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118 if (isfield (opts, "v0"))
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119 if (!isvector (opts.v0) || (length (opts.v0) != sum (size (A))))
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120 error ("svds: OPTS.v0 must be a vector with rows(A)+columns(A) entries");
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121 endif
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122 endif
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123 endif
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124
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125 if (nargin < 3 || strcmp (sigma, "L"))
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126 if (isreal (A))
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127 sigma = "LA";
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128 else
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129 sigma = "LR";
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130 endif
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131 elseif (isscalar (sigma) && isnumeric (sigma) && isreal (sigma))
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132 if (sigma < 0)
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133 error ("svds: SIGMA must be a positive real value");
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134 endif
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diff changeset
135 else
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136 error ("svds: SIGMA must be a positive real value or the string 'L'");
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137 endif
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diff changeset
138
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139 [m, n] = size (A);
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140 max_a = max (abs (A(:)));
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141 if (max_a == 0)
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142 s = zeros (k, 1); # special case of zero matrix
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143 else
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144 if (nargin < 2)
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145 k = min ([6, m, n]);
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146 else
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147 k = min ([k, m, n]);
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148 endif
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149
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150 ## Scale everything by the 1-norm to make things more stable.
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151 b = A / max_a;
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152 b_opts = opts;
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153 b_opts.tol = opts.tol / max_a;
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154 b_sigma = sigma;
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155 if (!ischar (b_sigma))
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156 b_sigma = b_sigma / max_a;
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157 endif
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158
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diff changeset
159 if (b_sigma == 0)
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160 ## Find the smallest eigenvalues
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161 ## The eigenvalues returns by eigs for sigma=0 are symmetric about 0.
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162 ## As we are only interested in the positive eigenvalues, we have to
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163 ## double k and then throw out the k negative eigenvalues.
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164 ## Separately, if sigma is non-zero, but smaller than the smallest
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165 ## singular value, ARPACK may not return k eigenvalues. However, as
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166 ## computation scales with k we'd like to avoid doubling k for all
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167 ## scalar values of sigma.
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168 b_k = 2 * k;
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169 else
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170 b_k = k; # Normal case, find just the k largest eigenvalues
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171 endif
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172
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173 if (nargout > 1)
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174 [V, s, flag] = eigs ([sparse(m,m), b; b', sparse(n,n)],
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diff changeset
175 b_k, b_sigma, b_opts);
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176 else
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177 s = eigs ([sparse(m,m), b; b', sparse(n,n)], b_k, b_sigma, b_opts);
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178 endif
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179 s = diag (s);
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180
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181 if (ischar (sigma))
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182 norma = max (s);
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183 else
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184 norma = normest (A);
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185 endif
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186 ## We wish to exclude all eigenvalues that are less than zero as these
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187 ## are artifacts of the way the matrix passed to eigs is formed. There
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188 ## is also the possibility that the value of sigma chosen is exactly
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189 ## a singular value, and in that case we're dead!! So have to rely on
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190 ## the warning from eigs. We exclude the singular values which are
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191 ## less than or equal to zero to within some tolerance scaled by the
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192 ## norm since if we don't we might end up with too many singular
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193 ## values.
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194 tol = norma * opts.tol;
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195 ind = find(s > tol);
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196 if (length (ind) < k)
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197 ## Too few eigenvalues returned. Add in any zero eigenvalues of B,
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198 ## including the nominally negative ones.
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199 zind = find (abs (s) <= tol);
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200 p = min (length (zind), k - length (ind));
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201 ind = [ind; zind(1:p)];
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202 elseif (length (ind) > k)
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203 ## Too many eigenvalues returned. Select according to criterium.
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204 if (b_sigma == 0)
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205 ind = ind(end+1-k:end); # smallest eigenvalues
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206 else
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207 ind = ind(1:k); # largest eigenvalues
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208 endif
8417
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209 endif
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diff changeset
210 s = s(ind);
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parents:
diff changeset
211
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212 if (length (s) < k)
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213 warning ("returning fewer singular values than requested");
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diff changeset
214 if (!ischar (sigma))
10549
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215 warning ("try increasing the value of sigma");
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216 endif
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217 endif
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diff changeset
218
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219 s = s * max_a;
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220 endif
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diff changeset
221
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diff changeset
222 if (nargout < 2)
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diff changeset
223 u = s;
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224 else
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225 if (max_a == 0)
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diff changeset
226 u = eye (m, k);
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227 s = diag(s);
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diff changeset
228 v = eye (n, k);
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diff changeset
229 else
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diff changeset
230 u = root2 * V(1:m,ind);
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diff changeset
231 s = diag(s);
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diff changeset
232 v = root2 * V(m+1:end,ind);
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233 endif
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diff changeset
234
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235 if (nargout > 3)
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diff changeset
236 flag = norm (A*v - u*s, 1) > root2 * opts.tol * norm (A, 1);
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237 endif
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diff changeset
238 endif
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diff changeset
239
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diff changeset
240 endfunction
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diff changeset
241
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242 %!shared n, k, A, u, s, v, opts
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243 %! n = 100;
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244 %! k = 7;
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245 %! A = sparse([3:n,1:n,1:(n-2)],[1:(n-2),1:n,3:n],[ones(1,n-2),0.4*n*ones(1,n),ones(1,n-2)]);
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246 %! [u,s,v] = svd(full(A));
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247 %! s = diag(s);
10660
4cdc43c095c5 Initialize ARPACK starting vector in svds test code. (bug #29721)
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248 %! [~, idx] = sort(abs(s));
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249 %! s = s(idx);
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250 %! u = u(:,idx);
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251 %! v = v(:,idx);
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252 %! randn('state',42); % Initialize to make normest function reproducible
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253 %! rand('state',42)
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254 %! opts.v0 = rand (2*n,1); % Initialize eigs ARPACK starting vector
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255 %! % to guarantee reproducible results
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256 %!test
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257 %! [u2,s2,v2,flag] = svds(A,k);
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258 %! s2 = diag(s2);
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259 %! assert(flag,!1);
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260 %! assert(s2, s(end:-1:end-k+1), 1e-10);
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261 %!test
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262 %! [u2,s2,v2,flag] = svds(A,k,0,opts);
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263 %! s2 = diag(s2);
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264 %! assert(flag,!1);
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265 %! assert(s2, s(k:-1:1), 1e-10);
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266 %!test
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267 %! idx = floor(n/2);
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268 %! % Don't put sigma right on a singular value or there are convergence issues
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269 %! sigma = 0.99*s(idx) + 0.01*s(idx+1);
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parents: 11104
diff changeset
270 %! [u2,s2,v2,flag] = svds(A,k,sigma,opts);
8417
654bcfb937bf Add the eigs and svds functions
David Bateman <dbateman@free.fr>
parents:
diff changeset
271 %! s2 = diag(s2);
654bcfb937bf Add the eigs and svds functions
David Bateman <dbateman@free.fr>
parents:
diff changeset
272 %! assert(flag,!1);
11587
c792872f8942 all script files: untabify and strip trailing whitespace
John W. Eaton <jwe@octave.org>
parents: 11523
diff changeset
273 %! assert(s2, s((idx+floor(k/2)):-1:(idx-floor(k/2))), 1e-10);
12195
d25dfa9ed18b remove configure checks for ARPACK
John W. Eaton <jwe@octave.org>
parents: 11589
diff changeset
274 %!test
10671
f5f9bc8e83fc svds.m: Overhaul code while fixing bug #29721.
Rik <octave@nomad.inbox5.com>
parents: 10663
diff changeset
275 %! [u2,s2,v2,flag] = svds(zeros (10), k);
f5f9bc8e83fc svds.m: Overhaul code while fixing bug #29721.
Rik <octave@nomad.inbox5.com>
parents: 10663
diff changeset
276 %! assert (isequal(u2, eye (10, k)) && isequal (s2, zeros(k)) && isequal (v2, eye(10, 7)))