Python linalg.cholesky函数代码示例

def balreal(sys):
    """Computes the balanced realization of sys and returns its eigenvalues.

    References:
        [1] http://www.mathworks.com/help/control/ref/balreal.html

        [2] Laub, A.J., M.T. Heath, C.C. Paige, and R.C. Ward, "Computation of
            System Balancing Transformations and Other Applications of
            Simultaneous Diagonalization Algorithms," *IEEE Trans. Automatic
            Control*, AC-32 (1987), pp. 115-122.
    """
    sys = LinearSystem(sys)  # cast first to memoize sys2ss
    if not sys.analog:
        raise NotImplementedError("balanced digital filters not supported")

    R = control_gram(sys)
    O = observe_gram(sys)

    LR = cholesky(R, lower=True)
    LO = cholesky(O, lower=True)

    U, S, V = svd(np.dot(LO.T, LR))

    T = np.dot(LR, V.T) * S ** (-1. / 2)
    Tinv = (S ** (-1. / 2))[:, None] * np.dot(U.T, LO.T)

    return similarity_transform(sys, T, Tinv), S

def log_mvnpdf(X, means, covars, min_covar=1.e-7):
    """Log probability for full covariance matrices."""
    n_samples, n_dim = X.shape
    nmix = len(means)
    log_prob = np.empty((n_samples, nmix))
    for c, (mu, cv) in enumerate(zip(means, covars)):
        try:
            cv_chol = linalg.cholesky(cv, lower=True)
        except linalg.LinAlgError:
            # The model is most probably stuck in a component with too
            # few observations, we need to reinitialize this components
            try:
                cv_chol = linalg.cholesky(cv + min_covar * np.eye(n_dim),
                                          lower=True)
            except linalg.LinAlgError:
                raise ValueError("'covars' must be symmetric, "
                                 "positive-definite")

        cv_log_det = 2 * np.sum(np.log(np.diagonal(cv_chol)))
        cv_sol = linalg.solve_triangular(cv_chol, (X - mu).T, 
lower=True).T
        log_prob[:, c] = - .5 * (np.sum(cv_sol ** 2, axis=1) +
                                 n_dim * np.log(2 * np.pi) + cv_log_det)

    return log_prob

    def update(self, ncov):
        """updates the covariance matrix and recalculates internals

        :Parameters:
            ncov : ndarray
                symetric matrix, noise covariance
        """

        # checks
        if ncov.ndim != 2 or ncov.shape[0] != ncov.shape[1]:
            raise ValueError('noise covariance is not a symmetric, '
                             'pos. definite matrix')

        # inits
        self.input_dim = ncov.shape[0]
        self._ncov = ncov
        self._chol_ncov = None
        self._inv_chol_ncov = None

        # compute cholesky decomposition
        try:
            self._chol_ncov = sp_la.cholesky(self._ncov)
        except:
            self._ncov = coloured_loading(self._ncov, 50)
            self._chol_ncov = sp_la.cholesky(self._ncov)
            # invert
        self._inv_chol_ncov = sp_la.inv(self._chol_ncov)

        # set ready flag
        self._is_ready = True

 def __init__(self, mean, sigma):
     self.mean = mean
     self.sigma = sigma
     self.sigmainv = sigmainv
     self.cholsigma = linalg.cholesky(sigma)
     # the following makes it lower triangular with increasing time
     self.cholsigmainv = linalg.cholesky(sigmainv)[::-1, ::-1]

    def LMLdebug(self):
        """
        LML function for debug
        """
        assert self.N*self.P<5000, 'gp2kronSum:: N*P>=5000'

        y = SP.reshape(self.Y,(self.N*self.P), order='F') 
        V = SP.kron(SP.eye(self.P),self.F)

        XX = SP.dot(self.Xr,self.Xr.T)
        K  = SP.kron(self.Cr.K(),XX)
        K += SP.kron(self.Cn.K()+self.offset*SP.eye(self.P),SP.eye(self.N))

        # inverse of K
        cholK = LA.cholesky(K)
        Ki = LA.cho_solve((cholK,False),SP.eye(self.N*self.P))

        # Areml and inverse
        Areml = SP.dot(V.T,SP.dot(Ki,V))
        cholAreml = LA.cholesky(Areml)
        Areml_i = LA.cho_solve((cholAreml,False),SP.eye(self.K*self.P))

        # effect sizes and z
        b = SP.dot(Areml_i,SP.dot(V.T,SP.dot(Ki,y)))
        z = y-SP.dot(V,b)
        Kiz = SP.dot(Ki,z)

        # lml
        lml  = y.shape[0]*SP.log(2*SP.pi)
        lml += 2*SP.log(SP.diag(cholK)).sum()
        lml += 2*SP.log(SP.diag(cholAreml)).sum()
        lml += SP.dot(z,Kiz)
        lml *= 0.5

        return lml

def fitPairwiseModel(Y,XX=None,S_XX=None,U_XX=None,verbose=False):
    N,P = Y.shape
    """ initilizes parameters """
    RV = fitSingleTraitModel(Y,XX=XX,S_XX=S_XX,U_XX=U_XX,verbose=verbose)
    Cg = covariance.freeform(2)
    Cn = covariance.freeform(2)
    gp = gp2kronSum(mean(Y[:,0:2]),Cg,Cn,XX=XX,S_XX=S_XX,U_XX=U_XX)
    conv2 = SP.ones((P,P),dtype=bool)
    rho_g = SP.ones((P,P))
    rho_n = SP.ones((P,P))
    for p1 in range(P):
        for p2 in range(p1):
            if verbose:
                print '.. fitting correlation (%d,%d)'%(p1,p2)
            gp.setY(Y[:,[p1,p2]])
            Cg_params0 = SP.array([SP.sqrt(RV['varST'][p1,0]),1e-6*SP.randn(),SP.sqrt(RV['varST'][p2,0])])
            Cn_params0 = SP.array([SP.sqrt(RV['varST'][p1,1]),1e-6*SP.randn(),SP.sqrt(RV['varST'][p2,1])])
            params0 = {'Cg':Cg_params0,'Cn':Cn_params0}
            conv2[p1,p2],info = OPT.opt_hyper(gp,params0,factr=1e3)
            rho_g[p1,p2] = Cg.K()[0,1]/SP.sqrt(Cg.K().diagonal().prod())
            rho_n[p1,p2] = Cn.K()[0,1]/SP.sqrt(Cn.K().diagonal().prod())
            conv2[p2,p1] = conv2[p1,p2]; rho_g[p2,p1] = rho_g[p1,p2]; rho_n[p2,p1] = rho_n[p1,p2]
    RV['Cg0'] = rho_g*SP.dot(SP.sqrt(RV['varST'][:,0:1]),SP.sqrt(RV['varST'][:,0:1].T))
    RV['Cn0'] = rho_n*SP.dot(SP.sqrt(RV['varST'][:,1:2]),SP.sqrt(RV['varST'][:,1:2].T))
    RV['conv2'] = conv2
    #3. regularizes covariance matrices
    offset_g = abs(SP.minimum(LA.eigh(RV['Cg0'])[0].min(),0))+1e-4
    offset_n = abs(SP.minimum(LA.eigh(RV['Cn0'])[0].min(),0))+1e-4
    RV['Cg0_reg'] = RV['Cg0']+offset_g*SP.eye(P)
    RV['Cn0_reg'] = RV['Cn0']+offset_n*SP.eye(P)
    RV['params0_Cg']=LA.cholesky(RV['Cg0_reg'])[SP.tril_indices(P)]
    RV['params0_Cn']=LA.cholesky(RV['Cn0_reg'])[SP.tril_indices(P)]
    return RV

def simulate_lu_decom(sim_locations,sample_locations,vmodel):
    c11 = fill_cova(sample_locations,None,vmodel)
    c21 = fill_cova(sim_locations,sample_locations,vmodel)
    c22 = fill_cova(sim_locations,None,vmodel)

    u11 = cholesky(c11)
    l11 = u11.T
    u11_inv = inv(u11)

    l21 = c21 @ u11_inv
    u12 = l21.T

    l22 = cholesky([email protected],lower=True)

    return u11_inv.T,l21,l22



    l11,u11 = lu(c11,permute_l= True)

    l11_inv = inv(l11)
    a21t = l11_inv @ c21.T
    a21 = a21t.T
    b12 = a21t

    l22,u22 = lu([email protected],permute_l= True)

    return a21,l11_inv,l22

def genBrownianMotion (n, tMax=10.0):
    tSeq = np.arange (tMax/float(500),
                    tMax*(1+1/float(500)), tMax/float(500));
    sig = np.zeros ((500,500), dtype='float64');
    for i in range (500):
        sig[i,0:i] = tSeq[0:i];
        sig[i,i:] = tSeq[i];
    sigSqrt = LA.cholesky (sig, lower=True);
    for j in xrange(n/500):
        z = np.dot (sigSqrt, nr.randn (500));
        if j == 0:
            zTot = np.insert (z, 0, 0);
        else:
            z = z + zTot[-1]
            zTot = np.append(zTot, z)
    m = n % 500  - 1
    tSeq = np.arange (tMax/float(m),
                    tMax*(1+1/float(m)), tMax/float(m));
    sig = np.zeros ((m,m), dtype='float64');
    for i in range (m):
        sig[i,0:i] = tSeq[0:i];
        sig[i,i:] = tSeq[i];
    print(sig)
    sigSqrt = LA.cholesky (sig, lower=True);
    z = np.dot (sigSqrt, nr.randn (m));
    z = z + zTot[-1]
    zTot = np.append(zTot, z)
    return zTot

 def test_check_finite(self):
     a = [[8, 2, 3], [2, 9, 3], [3, 3, 6]]
     c = cholesky(a, check_finite=False)
     assert_array_almost_equal(dot(transpose(c), c), a)
     c = transpose(c)
     a = dot(c, transpose(c))
     assert_array_almost_equal(cholesky(a, lower=1, check_finite=False), c)

def log_multivariate_normal_density(X, means, covars, min_covar=1.e-7):
    """Log probability for full covariance matrices. """
    if hasattr(linalg, 'solve_triangular'):
        # only in scipy since 0.9
        solve_triangular = linalg.solve_triangular
    else:
        # slower, but works
        solve_triangular = linalg.solve
    n_samples, n_dim = X.shape
    nmix = len(means)
    log_prob = np.empty((n_samples, nmix))
    for c, (mu, cv) in enumerate(itertools.izip(means, covars)):
        try:
            cv_chol = linalg.cholesky(cv, lower=True)
        except linalg.LinAlgError:
            # The model is most probabily stuck in a component with too
            # few observations, we need to reinitialize this components
            cv_chol = linalg.cholesky(cv + min_covar * np.eye(n_dim),
                                      lower=True)
        cv_log_det = 2 * np.sum(np.log(np.diagonal(cv_chol)))
        cv_sol = solve_triangular(cv_chol, (X - mu).T, lower=True).T
        log_prob[:, c] = - .5 * (np.sum(cv_sol ** 2, axis=1) + \
                                     n_dim * np.log(2 * np.pi) + cv_log_det)

    return log_prob

def choleskyjitter(A, overwrite_a = False, check_finite = True):

    """Add jitter stochastically until a positive definite matrix occurs"""
    # Avoid preparing for jittering if we can already find the cholesky 
    # with no problem
    try:
        return la.cholesky(A, lower = True, overwrite_a = overwrite_a, 
                check_finite = check_finite)
    except Exception:
        pass

    # Prepare for jittering (all the magic numbers here are arbitary...)
    n = A.shape[0]
    maxscale = 1e10
    minscale = 1e-4
    scale = minscale

    # Keep jittering stochastically, increasing the jitter magnitude along 
    # the way, until it's all good
    while scale < maxscale:

        try:
            jitA = scale * np.diag(np.random.rand(n))
            L = la.cholesky(A + jitA, lower = True, overwrite_a = overwrite_a, 
                check_finite = check_finite)
            return L
        except la.LinAlgError:
            scale *= 1.01
            log.warning('Jitter added stochastically. Scale: %f!' % scale)

    raise la.LinAlgError("Max value of jitter reached")

def isposdef(X):
    "Return if matrix is positive definite. Relies on cholesky decomp"
    try:
        la.cholesky(X)  # will raise LinAlgError if not positive def
        return True
    except la.LinAlgError:
        return False

def contour_2d(mu, cov=None, prec=None, 
        n=100, radius=[1, np.sqrt(6)]):
    """
    Assuming a bivariate normal
    distribution, draw contours,
    given 'radius' information.

    Note:
    sqrt(6) covers roughly 95% of probability
    mass (in 2d), given the fact that the mahalanobis
    distribution is chi-squared distributed.
    """
    mu = mu.reshape(2,1) 
    t = np.linspace(0, 2*np.pi, n)
    circle = np.array([np.cos(t), np.sin(t)])
    if prec is None:
        L = la.cholesky(cov)
        ellipse = np.dot(L, circle)
    else:
        L = la.cholesky(prec)
        ellipse = la.solve_triangular(L, circle)
        # FIXME: not correct yet
    plots = {}
    for r in radius:
        plots[r] = (r*ellipse[0,:] + mu[0], r*ellipse[1,:] + mu[1])
    return plots

    def _initialize(self, X, resp):
        """Initialization of the Gaussian mixture parameters.

        Parameters
        ----------
        X : array-like, shape (n_samples, n_features)

        resp : array-like, shape (n_samples, n_components)
        """
        n_samples, _ = X.shape

        weights, means, covariances = _estimate_gaussian_parameters(
            X, resp, self.reg_covar, self.covariance_type)
        weights /= n_samples

        self.weights_ = (weights if self.weights_init is None
                         else self.weights_init)
        self.means_ = means if self.means_init is None else self.means_init

        if self.precisions_init is None:
            self.covariances_ = covariances
            self.precisions_cholesky_ = _compute_precision_cholesky(
                covariances, self.covariance_type)
        elif self.covariance_type == 'full':
            self.precisions_cholesky_ = np.array(
                [linalg.cholesky(prec_init, lower=True)
                 for prec_init in self.precisions_init])
        elif self.covariance_type == 'tied':
            self.precisions_cholesky_ = linalg.cholesky(self.precisions_init,
                                                        lower=True)
        else:
            self.precisions_cholesky_ = self.precisions_init

def jitchol_old(A, maxtries=5):
    """
    :param A: An almost pd square matrix

    :rval L: the Cholesky decomposition of A

    .. note:

      Adds jitter to K, to enforce positive-definiteness
      if stuff breaks, please check:
      np.allclose(sp.linalg.cholesky(XXT, lower = True), np.triu(sp.linalg.cho_factor(XXT)[0]).T)

    """
    try:
        return linalg.cholesky(A, lower=True)
    except linalg.LinAlgError:
        diagA = np.diag(A)
        if np.any(diagA < 0.):
            raise linalg.LinAlgError, "not pd: negative diagonal elements"
        jitter = diagA.mean() * 1e-6
        for i in range(1, maxtries + 1):
            print '\rWarning: adding jitter of {:.10e}                        '.format(jitter),
            try:
                return linalg.cholesky(A + np.eye(A.shape[0]).T * jitter, lower=True)
            except:
                jitter *= 10

        raise linalg.LinAlgError, "not positive definite, even with jitter."