''' This module provides some Powell-style linear algebra procedures. Translated from Zaikun Zhang's modern-Fortran reference implementation in PRIMA. Dedicated to late Professor M. J. D. Powell FRS (1936--2015). Python translation by Nickolai Belakovski. ''' import numpy as np from .linalg import isminor, planerot, matprod, inprod, hypot from .consts import DEBUGGING, EPS def qradd_Rdiag(c, Q, Rdiag, n): ''' This function updates the QR factorization of an MxN matrix A of full column rank, attempting to add a new column C to this matrix as the LAST column while maintaining the full-rankness. Case 1. If C is not in range(A) (theoretically, it implies N < M), then the new matrix is np.hstack([A, C]) Case 2. If C is in range(A), then the new matrix is np.hstack([A[:, :n-1], C]) N.B.: 0. Instead of R, this subroutine updates Rdiag, which is np.diag(R), with a size at most M and at least min(m, n+1). The number is min(m, n+1) rather than min(m, n) as n may be augmented by 1 in the function. 1. With the two cases specified as above, this function does not need A as an input. 2. The function changes only Q[:, nsave:m] (nsave is the original value of n) and R[:, n-1] (n takes the updated value) 3. Indeed, when C is in range(A), Powell wrote in comments that "set iOUT to the index of the constraint (here, column of A --- Zaikun) to be deleted, but branch if no suitable index can be found". The idea is to replace a column of A by C so that the new matrix still has full rank (such a column must exist unless C = 0). But his code essentially sets iout=n always. Maybe he found this worked well enough in practice. Meanwhile, Powell's code includes a snippet that can never be reached, which was probably intended to deal with the case that IOUT != n ''' m = Q.shape[1] nsave = n # Needed for debugging (only) # As in Powell's COBYLA, CQ is set to 0 at the positions with CQ being negligible as per ISMINOR. # This may not be the best choice if the subroutine is used in other contexts, e.g. LINCOA. cq = matprod(c, Q) cqa = matprod(abs(c), abs(Q)) # The line below basically makes an element of cq 0 if adding it to the corresponding element of # cqa does not change the latter. cq = np.array([0 if isminor(cqi, cqai) else cqi for cqi, cqai in zip(cq, cqa)]) # Update Q so that the columns of Q[:, n+1:m] are orthogonal to C. This is done by applying a 2D # Givens rotation to Q[:, [k, k+1]] from the right to zero C' @ Q[:, k+1] out for K=n+1, ... m-1. # Nothing will be done if n >= m-1 for k in range(m-2, n-1, -1): if abs(cq[k+1]) > 0: # Powell wrote cq[k+1] != 0 instead of abs. The two differ if cq[k+1] is NaN. # If we apply the rotation below when cq[k+1] = 0, then cq[k] will get updated to |cq[k]|. G = planerot(cq[k:k+2]) Q[:, [k, k+1]] = matprod(Q[:, [k, k+1]], G.T) cq[k] = hypot(*cq[k:k+2]) # Augment n by 1 if C is not in range(A) if n < m: # Powell's condition for the following if: cq[n+1] != 0 if abs(cq[n]) > EPS**2 and not isminor(cq[n], cqa[n]): n += 1 # Update Rdiag so that Rdiag[n] = cq[n] = np.dot(c, q[:, n]). Note that N may be been augmented. if n - 1 >= 0 and n - 1 < m: # n >= m should not happen unless the input is wrong Rdiag[n - 1] = cq[n - 1] if DEBUGGING: assert nsave <= n <= min(nsave + 1, m) assert n <= len(Rdiag) <= m assert Q.shape == (m, m) return Q, Rdiag, n def qrexc_Rdiag(A, Q, Rdiag, i): # Used in COBYLA ''' This function updates the QR factorization for an MxN matrix A=Q@R so that the updated Q and R form a QR factorization of [A_0, ..., A_{I-1}, A_{I+1}, ..., A_{N-1}, A_I] which is the matrix obtained by rearranging columns [I, I+1, ... N-1] of A to [I+1, ..., N-1, I]. Here A is ASSUMED TO BE OF FULL COLUMN RANK, Q is a matrix whose columns are orthogonal, and R, which is not present, is an upper triangular matrix whose diagonal entries are nonzero. Q and R need not be square. N.B.: 0. Instead of R, this function updates Rdiag, which is np.diag(R), the size being n. 1. With L = Q.shape[1] = R.shape[0], we have M >= L >= N. Most often L = M or N. 2. This function changes only Q[:, i:] and Rdiag[i:] 3. (NDB 20230919) In Python, i is either icon or nact - 2, whereas in FORTRAN it is either icon or nact - 1. ''' # Sizes m, n = A.shape # Preconditions assert n >= 1 and n <= m assert i >= 0 and i < n assert len(Rdiag) == n assert Q.shape[0] == m and Q.shape[1] >= n and Q.shape[1] <= m # tol = max(1.0E-8, min(1.0E-1, 1.0E8 * EPS * m + 1)) # assert isorth(Q, tol) # Costly! if i < 0 or i >= n: return Q, Rdiag # Let R be the upper triangular matrix in the QR factorization, namely R = Q.T@A. # For each k, find the Givens rotation G with G@(R[k:k+2, :]) = [hypt, 0], and update Q[:, k:k+2] # to Q[:, k:k+2]@(G.T). Then R = Q.T@A is an upper triangular matrix as long as A[:, [k, k+1]] is # updated to A[:, [k+1, k]]. Indeed, this new upper triangular matrix can be obtained by first # updating R[[k, k+1], :] to G@(R[[k, k+1], :]) and then exchanging its columns K and K+1; at the same # time, entries k and k+1 of R's diagonal Rdiag become [hypt, -(Rdiag[k+1]/hypt)*RDiag[k]]. # After this is done for each k = 0, ..., n-2, we obtain the QR factorization of the matrix that # rearranges columns [i, i+1, ... n-1] of A as [i+1, ..., n-1, i]. # Powell's code, however, is slightly different: before everything, he first exchanged columns k and # k+1 of Q (as well as rows k and k+1 of R). This makes sure that the entries of the update Rdiag # are all positive if it is the case for the original Rdiag. for k in range(i, n-1): G = planerot([Rdiag[k+1], inprod(Q[:, k], A[:, k+1])]) Q[:, [k, k+1]] = matprod(Q[:, [k+1, k]], (G.T)) # Powell's code updates Rdiag in the following way: # hypt = np.sqrt(Rdiag[k+1]**2 + np.dot(Q[:, k], A[:, k+1])**2) # Rdiag[[k, k+1]] = [hypt, (Rdiag[k+1]/hypt)*Rdiag[k]] # Note that Rdiag[n-1] inherits all rounding in Rdiag[i:n-1] and Q[:, i:n-1] and hence contains # significant errors. Thus we may modify Powell's code to set only Rdiag[k] = hypt here and then # calculate Rdiag[n] by an inner product after the loop. Nevertheless, we simple calculate RDiag # from scratch below. # Calculate Rdiag(i:n) from scratch Rdiag[i:n-1] = [inprod(Q[:, k], A[:, k+1]) for k in range(i, n-1)] Rdiag[n-1] = inprod(Q[:, n-1], A[:, i]) return Q, Rdiag