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annotate scripts/sparse/svds.m @ 15535:fe159d11b864 stable

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increase tolerance for svds test * svds.m: Increase tolerance for svds (speye (10)) test.
author John W. Eaton <jwe@octave.org>
date Wed, 17 Oct 2012 10:46:15 -0400
parents 4d917a6a858b
children 94d21131fefd
Ignore whitespace changes - Everywhere: Within whitespace: At end of lines:
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1 ## Copyright (C) 2006-2012 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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diff changeset
133 error ("svds: SIGMA must be a positive real value");
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134 endif
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parents:
diff changeset
135 else
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diff changeset
136 error ("svds: SIGMA must be a positive real value or the string 'L'");
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parents:
diff changeset
137 endif
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parents:
diff changeset
138
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diff changeset
139 [m, n] = size (A);
994e2a93a8e2 Use uppercase 'A' to refer to matrix inputs in m-files.
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diff changeset
140 max_a = max (abs (A(:)));
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141 if (max_a == 0)
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diff changeset
142 s = zeros (k, 1); # special case of zero matrix
8417
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diff changeset
143 else
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parents:
diff changeset
144 if (nargin < 2)
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diff changeset
145 k = min ([6, m, n]);
8417
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parents:
diff changeset
146 else
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147 k = min ([k, m, n]);
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diff changeset
148 endif
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parents:
diff changeset
149
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parents:
diff changeset
150 ## Scale everything by the 1-norm to make things more stable.
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diff changeset
151 b = A / max_a;
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152 b_opts = opts;
12649
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153 ## Call to eigs is always a symmetric matrix by construction
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diff changeset
154 b_opts.issym = true;
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155 b_opts.tol = opts.tol / max_a;
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John W. Eaton <jwe@octave.org>
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diff changeset
156 b_sigma = sigma;
cadc73247d65 style fixes
John W. Eaton <jwe@octave.org>
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diff changeset
157 if (!ischar (b_sigma))
cadc73247d65 style fixes
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diff changeset
158 b_sigma = b_sigma / max_a;
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parents:
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159 endif
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parents:
diff changeset
160
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diff changeset
161 if (b_sigma == 0)
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162 ## Find the smallest eigenvalues
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163 ## The eigenvalues returns by eigs for sigma=0 are symmetric about 0.
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164 ## As we are only interested in the positive eigenvalues, we have to
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165 ## double k and then throw out the k negative eigenvalues.
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166 ## Separately, if sigma is non-zero, but smaller than the smallest
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167 ## singular value, ARPACK may not return k eigenvalues. However, as
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168 ## computation scales with k we'd like to avoid doubling k for all
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169 ## scalar values of sigma.
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170 b_k = 2 * k;
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parents:
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171 else
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diff changeset
172 b_k = k; # Normal case, find just the k largest eigenvalues
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diff changeset
173 endif
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parents: 10663
diff changeset
174
f5f9bc8e83fc svds.m: Overhaul code while fixing bug #29721.
Rik <octave@nomad.inbox5.com>
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diff changeset
175 if (nargout > 1)
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diff changeset
176 [V, s, flag] = eigs ([sparse(m,m), b; b', sparse(n,n)],
10671
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diff changeset
177 b_k, b_sigma, b_opts);
12517
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diff changeset
178 s = diag (s);
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diff changeset
179 else
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diff changeset
180 s = eigs ([sparse(m,m), b; b', sparse(n,n)], b_k, b_sigma, b_opts);
8417
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parents:
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181 endif
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parents:
diff changeset
182
8507
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diff changeset
183 if (ischar (sigma))
cadc73247d65 style fixes
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diff changeset
184 norma = max (s);
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185 else
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186 norma = normest (A);
8417
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187 endif
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parents:
diff changeset
188 ## We wish to exclude all eigenvalues that are less than zero as these
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189 ## are artifacts of the way the matrix passed to eigs is formed. There
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190 ## is also the possibility that the value of sigma chosen is exactly
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diff changeset
191 ## a singular value, and in that case we're dead!! So have to rely on
8417
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192 ## the warning from eigs. We exclude the singular values which are
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parents:
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193 ## less than or equal to zero to within some tolerance scaled by the
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194 ## norm since if we don't we might end up with too many singular
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diff changeset
195 ## values.
8417
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diff changeset
196 tol = norma * opts.tol;
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parents:
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197 ind = find(s > tol);
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198 if (length (ind) < k)
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199 ## Too few eigenvalues returned. Add in any zero eigenvalues of B,
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diff changeset
200 ## including the nominally negative ones.
8507
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diff changeset
201 zind = find (abs (s) <= tol);
cadc73247d65 style fixes
John W. Eaton <jwe@octave.org>
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diff changeset
202 p = min (length (zind), k - length (ind));
cadc73247d65 style fixes
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diff changeset
203 ind = [ind; zind(1:p)];
cadc73247d65 style fixes
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diff changeset
204 elseif (length (ind) > k)
10671
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diff changeset
205 ## Too many eigenvalues returned. Select according to criterium.
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diff changeset
206 if (b_sigma == 0)
f5f9bc8e83fc svds.m: Overhaul code while fixing bug #29721.
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diff changeset
207 ind = ind(end+1-k:end); # smallest eigenvalues
f5f9bc8e83fc svds.m: Overhaul code while fixing bug #29721.
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diff changeset
208 else
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diff changeset
209 ind = ind(1:k); # largest eigenvalues
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diff changeset
210 endif
8417
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parents:
diff changeset
211 endif
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parents:
diff changeset
212 s = s(ind);
654bcfb937bf Add the eigs and svds functions
David Bateman <dbateman@free.fr>
parents:
diff changeset
213
8507
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diff changeset
214 if (length (s) < k)
cadc73247d65 style fixes
John W. Eaton <jwe@octave.org>
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diff changeset
215 warning ("returning fewer singular values than requested");
cadc73247d65 style fixes
John W. Eaton <jwe@octave.org>
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diff changeset
216 if (!ischar (sigma))
10549
95c3e38098bf Untabify .m scripts
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diff changeset
217 warning ("try increasing the value of sigma");
8417
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218 endif
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parents:
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219 endif
654bcfb937bf Add the eigs and svds functions
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diff changeset
220
8507
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221 s = s * max_a;
8417
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222 endif
654bcfb937bf Add the eigs and svds functions
David Bateman <dbateman@free.fr>
parents:
diff changeset
223
654bcfb937bf Add the eigs and svds functions
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parents:
diff changeset
224 if (nargout < 2)
654bcfb937bf Add the eigs and svds functions
David Bateman <dbateman@free.fr>
parents:
diff changeset
225 u = s;
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parents:
diff changeset
226 else
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diff changeset
227 if (max_a == 0)
f5f9bc8e83fc svds.m: Overhaul code while fixing bug #29721.
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diff changeset
228 u = eye (m, k);
12517
c2e8c9d9e284 Fix bug #32818, nonconformant arguments in svds.
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diff changeset
229 s = diag (s);
10671
f5f9bc8e83fc svds.m: Overhaul code while fixing bug #29721.
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diff changeset
230 v = eye (n, k);
f5f9bc8e83fc svds.m: Overhaul code while fixing bug #29721.
Rik <octave@nomad.inbox5.com>
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diff changeset
231 else
f5f9bc8e83fc svds.m: Overhaul code while fixing bug #29721.
Rik <octave@nomad.inbox5.com>
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diff changeset
232 u = root2 * V(1:m,ind);
12517
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Rik <octave@nomad.inbox5.com>
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diff changeset
233 s = diag (s);
10671
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Rik <octave@nomad.inbox5.com>
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diff changeset
234 v = root2 * V(m+1:end,ind);
f5f9bc8e83fc svds.m: Overhaul code while fixing bug #29721.
Rik <octave@nomad.inbox5.com>
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diff changeset
235 endif
f5f9bc8e83fc svds.m: Overhaul code while fixing bug #29721.
Rik <octave@nomad.inbox5.com>
parents: 10663
diff changeset
236
8417
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diff changeset
237 if (nargout > 3)
11471
994e2a93a8e2 Use uppercase 'A' to refer to matrix inputs in m-files.
Rik <octave@nomad.inbox5.com>
parents: 11104
diff changeset
238 flag = norm (A*v - u*s, 1) > root2 * opts.tol * norm (A, 1);
8417
654bcfb937bf Add the eigs and svds functions
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parents:
diff changeset
239 endif
654bcfb937bf Add the eigs and svds functions
David Bateman <dbateman@free.fr>
parents:
diff changeset
240 endif
10671
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diff changeset
241
8417
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diff changeset
242 endfunction
654bcfb937bf Add the eigs and svds functions
David Bateman <dbateman@free.fr>
parents:
diff changeset
243
14041
6cb6e390e58c svds.m: Correctly restore random seed state after %!tests
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diff changeset
244 %!shared n, k, A, u, s, v, opts, rand_state, randn_state
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diff changeset
245 %! n = 100;
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246 %! k = 7;
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247 %! 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)]);
6cb6e390e58c svds.m: Correctly restore random seed state after %!tests
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diff changeset
248 %! [u,s,v] = svd (full (A));
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249 %! s = diag (s);
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250 %! [~, idx] = sort (abs(s));
8417
654bcfb937bf Add the eigs and svds functions
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251 %! s = s(idx);
14041
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diff changeset
252 %! u = u(:, idx);
6cb6e390e58c svds.m: Correctly restore random seed state after %!tests
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diff changeset
253 %! v = v(:, idx);
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diff changeset
254 %! randn_state = randn ("state");
6cb6e390e58c svds.m: Correctly restore random seed state after %!tests
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255 %! rand_state = rand ("state");
6cb6e390e58c svds.m: Correctly restore random seed state after %!tests
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diff changeset
256 %! randn ("state", 42); % Initialize to make normest function reproducible
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diff changeset
257 %! rand ("state", 42);
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258 %! opts.v0 = rand (2*n,1); % Initialize eigs ARPACK starting vector
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259 %! % to guarantee reproducible results
14041
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260 %!
14144
834df9f10963 remove ARPACK files from sources and restore configure checks for external ARPACK library
John W. Eaton <jwe@octave.org>
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diff changeset
261 %!testif HAVE_ARPACK
14041
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diff changeset
262 %! [u2,s2,v2,flag] = svds (A,k);
6cb6e390e58c svds.m: Correctly restore random seed state after %!tests
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diff changeset
263 %! s2 = diag (s2);
6cb6e390e58c svds.m: Correctly restore random seed state after %!tests
Rik <octave@nomad.inbox5.com>
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diff changeset
264 %! assert (flag, !1);
6cb6e390e58c svds.m: Correctly restore random seed state after %!tests
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diff changeset
265 %! assert (s2, s(end:-1:end-k+1), 1e-10);
6cb6e390e58c svds.m: Correctly restore random seed state after %!tests
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diff changeset
266 %!
14182
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diff changeset
267 %!testif HAVE_ARPACK, HAVE_UMFPACK
14041
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Rik <octave@nomad.inbox5.com>
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268 %! [u2,s2,v2,flag] = svds (A,k,0,opts);
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269 %! s2 = diag (s2);
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270 %! assert (flag, !1);
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271 %! assert (s2, s(k:-1:1), 1e-10);
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272 %!
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273 %!testif HAVE_ARPACK, HAVE_UMFPACK
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274 %! idx = floor(n/2);
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275 %! % Don't put sigma right on a singular value or there are convergence issues
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276 %! sigma = 0.99*s(idx) + 0.01*s(idx+1);
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277 %! [u2,s2,v2,flag] = svds (A,k,sigma,opts);
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278 %! s2 = diag (s2);
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279 %! assert (flag, !1);
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280 %! assert (s2, s((idx+floor(k/2)):-1:(idx-floor(k/2))), 1e-10);
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281 %!
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282 %!testif HAVE_ARPACK
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283 %! [u2,s2,v2,flag] = svds (zeros (10), k);
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284 %! assert (u2, eye (10, k));
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285 %! assert (s2, zeros (k));
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286 %! assert (v2, eye (10, 7));
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287 %!
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288 %!testif HAVE_ARPACK
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289 %! s = svds (speye (10));
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290 %! assert (s, ones (6, 1), 4*eps);
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291
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292 %!test
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293 %! ## Restore random number generator seeds at end of tests
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294 %! rand ("state", rand_state);
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295 %! randn ("state", randn_state);
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296