Python slinalg.cholesky函数代码示例

 def return_output(self,Dif):
     #Dif is theano.Tensor.matrix type
     Frac = Dif/self.gamma
     Cov = self.v0*T.pow(Frac,self.alpha)
     L = sin.cholesky(T.exp(-Cov))
     eps = self.srng.normal(avg=0,std=0.001,size=(self.time,self.lsize))
     return T.dot(L,eps)

def blk_tridag_chol(A, B):
    '''
    Compute the cholesky decompoisition of a symmetric, positive definite
    block-tridiagonal matrix.

    Inputs:
    A - [T x n x n]   tensor, where each A[i,:,:] is the ith block diagonal matrix 
    B - [T-1 x n x n] tensor, where each B[i,:,:] is the ith (upper) 1st block 
        off-diagonal matrix

    Outputs: 
    R - python list with two elements
        * R[0] - [T x n x n] tensor of block diagonal elements of Cholesky decomposition
        * R[1] - [T-1 x n x n] tensor of (lower) 1st block off-diagonal elements of Cholesky

    '''

    # Code for computing the cholesky decomposition of a symmetric block tridiagonal matrix
    def compute_chol(Aip1, Bi, Li, Ci):
        Ci = T.dot(Bi.T, Tla.matrix_inverse(Li).T)
        Dii = Aip1 - T.dot(Ci, Ci.T)
        Lii = Tsla.cholesky(Dii)
        return [Lii,Ci]

    L1 = Tsla.cholesky(A[0])
    C1 = T.zeros_like(B[0])

    # this scan returns the diagonal and off-diagonal blocks of the cholesky decomposition
    mat, updates = theano.scan(fn=compute_chol, sequences=[A[1:], B], outputs_info=[L1,C1])

    mat[0] = T.concatenate([T.shape_padleft(L1), mat[0]])
    return mat

def psd_solve_with_chol(node):
    if node.op == solve:
        A, b = node.inputs  # result is solution Ax=b
        if is_psd(A):
            L = cholesky(A)  # assume lower triangular factor
            x = solve_cholesky(L, b)
            return [x]

def test_cholesky_grad_indef():
    x = theano.tensor.matrix()
    matrix = np.array([[1, 0.2], [0.2, -2]]).astype(config.floatX)
    cholesky = GpuCholesky(lower=True)
    chol_f = theano.function([x], theano.tensor.grad(cholesky(x).sum(), [x]))
    with assert_raises(LinAlgError):
        chol_f(matrix)

 def test_gpu_cholesky_opt(self):
     if not imported_scipy:
         self.skipTest('SciPy is not enabled, skipping test')
     A = theano.tensor.matrix("A", dtype="float64")
     fn = theano.function([A], cholesky(A), mode=mode_with_gpu)
     assert any([isinstance(node.op, GpuCholesky)
                 for node in fn.maker.fgraph.toposort()])

def psd_solve_with_chol(node):
    if node.op == solve:
        A, b = node.inputs  # result is solution Ax=b
        if is_psd(A):
            L = cholesky(A)
            # N.B. this can be further reduced to a yet-unwritten cho_solve Op
            #     __if__ no other Op makes use of the the L matrix during the
            #     stabilization
            Li_b = Solve('lower_triangular')(L, b)
            x = Solve('upper_triangular')(L.T, Li_b)
            return [x]

def test_local_lift_cholesky():
    if not cusolver_available:
        raise SkipTest('No cuSolver')
    A = tensor.fmatrix()
    o = slinalg.cholesky(A)
    f_cpu = theano.function([A], o, mode=mode_without_gpu)
    f_gpu = theano.function([A], o, mode=mode_with_gpu)
    assert not any(isinstance(n.op, slinalg.Cholesky)
                   for n in f_gpu.maker.fgraph.apply_nodes)
    # GpuCholesky op in this graph should be inplace (as his input is not reused by other op).
    assert any(isinstance(n.op, GpuCholesky) and n.op.inplace
               for n in f_gpu.maker.fgraph.apply_nodes)
    M_val = np.random.normal(size=(3, 3)).astype("float32")
    # A = M.dot(M) will be positive definite for all non-singular M
    A_val = M_val.dot(M_val.T)
    utt.assert_allclose(f_cpu(A_val), f_gpu(A_val))

 def setUp(self):
     super(test_MatrixInverseCholesky, self).setUp()
     self.op_class = MatrixInverseCholesky
     self.op = MatrixInverseCholesky(lower = True)
     self.dtype = config.floatX
     self.A = theano.tensor.matrix("A", self.dtype)
     self.L = cholesky(self.A)
     self.B = theano.tensor.matrix(self.dtype)
     self.dim = 5
     self.B_cols = 2
     
     self.rng = numpy.random.RandomState(utt.fetch_seed())
     self.A_mat = numpy.asarray(self.rng.rand(self.dim, self.dim), dtype=self.dtype)
     self.A_mat = self.A_mat.T.dot(self.A_mat)
     self.B_mat = numpy.asarray(self.rng.rand(self.dim, self.B_cols), dtype=self.dtype)
     self.L_mat = scipy.linalg.cholesky(self.A_mat, lower=True)

def test_gpu_cholesky_not_inplace():
    if not cusolver_available:
        raise SkipTest('No cuSolver')
    A = tensor.fmatrix()
    A_squared = A**2
    B = slinalg.cholesky(A_squared)
    D = B + A_squared
    f_cpu = theano.function([A], D, mode=mode_without_gpu)
    f_gpu = theano.function([A], D, mode=mode_with_gpu)
    # GpuCholesky op in this graph should NOT be inplace (as his input is reused in another op)
    count_cholesky_not_inplace = len([n.op for n in f_gpu.maker.fgraph.apply_nodes
                                      if isinstance(n.op, GpuCholesky) and not n.op.inplace])
    assert count_cholesky_not_inplace == 1, count_cholesky_not_inplace
    M_val = np.random.normal(size=(3, 3)).astype("float32")
    # A = M.dot(M) will be positive definite for all non-singular M
    A_val = M_val.dot(M_val.T)
    utt.assert_allclose(f_cpu(A_val), f_gpu(A_val))

 def setUp(self):
     super(test_SolveCholesky, self).setUp()
     self.op_class = SolveCholesky
     self.op = SolveCholesky()
     self.dtype = config.floatX
     self.A = theano.tensor.matrix(self.dtype)
     self.L = cholesky(self.A)
     self.B = theano.tensor.matrix(self.dtype)
     self.b = theano.tensor.vector(self.dtype)
     self.dim = 5
     
     rng = numpy.random.RandomState(utt.fetch_seed())
     self.A_mat = numpy.asarray(rng.rand(self.dim, self.dim), dtype=self.dtype)
     self.A_mat = self.A_mat.T.dot(self.A_mat)
     self.B_mat = numpy.asarray(rng.rand(self.dim, self.dim), dtype=self.dtype)
     self.b_vec = numpy.asarray(rng.rand(self.dim), dtype=self.dtype)
     self.L_mat = scipy.linalg.cholesky(self.A_mat, lower=True)

def test_cholesky_grad():
    if not imported_scipy:
        raise SkipTest("Scipy needed for the Cholesky op.")
    rng = np.random.RandomState(utt.fetch_seed())
    r = rng.randn(5, 5).astype(config.floatX)

    # The dots are inside the graph since Cholesky needs separable matrices

    # Check the default.
    yield (lambda: utt.verify_grad(lambda r: cholesky(r.dot(r.T)),
                                   [r], 3, rng))
    # Explicit lower-triangular.
    yield (lambda: utt.verify_grad(lambda r: Cholesky(lower=True)(r.dot(r.T)),
                                   [r], 3, rng))
    # Explicit upper-triangular.
    yield (lambda: utt.verify_grad(lambda r: Cholesky(lower=False)(r.dot(r.T)),
                                   [r], 3, rng))

def test_cholesky_and_cholesky_grad_shape():
    if not imported_scipy:
        raise SkipTest("Scipy needed for the Cholesky op.")

    rng = numpy.random.RandomState(utt.fetch_seed())
    x = tensor.matrix()
    for l in (cholesky(x), Cholesky(lower=True)(x), Cholesky(lower=False)(x)):
        f_chol = theano.function([x], l.shape)
        g = tensor.grad(l.sum(), x)
        f_cholgrad = theano.function([x], g.shape)
        topo_chol = f_chol.maker.fgraph.toposort()
        topo_cholgrad = f_cholgrad.maker.fgraph.toposort()
        if config.mode != "FAST_COMPILE":
            assert sum([node.op.__class__ == Cholesky for node in topo_chol]) == 0
            assert sum([node.op.__class__ == CholeskyGrad for node in topo_cholgrad]) == 0
        for shp in [2, 3, 5]:
            m = numpy.cov(rng.randn(shp, shp + 10)).astype(config.floatX)
            yield numpy.testing.assert_equal, f_chol(m), (shp, shp)
            yield numpy.testing.assert_equal, f_cholgrad(m), (shp, shp)

def test_cholesky():
    if not imported_scipy:
        raise SkipTest("Scipy needed for the Cholesky op.")

    rng = numpy.random.RandomState(utt.fetch_seed())
    r = rng.randn(5, 5).astype(config.floatX)
    pd = numpy.dot(r, r.T)
    x = tensor.matrix()
    chol = cholesky(x)
    # Check the default.
    ch_f = function([x], chol)
    yield check_lower_triangular, pd, ch_f
    # Explicit lower-triangular.
    chol = Cholesky(lower=True)(x)
    ch_f = function([x], chol)
    yield check_lower_triangular, pd, ch_f
    # Explicit upper-triangular.
    chol = Cholesky(lower=False)(x)
    ch_f = function([x], chol)
    yield check_upper_triangular, pd, ch_f

 def compute_chol(Aip1, Bi, Li, Ci):
     Ci = T.dot(Bi.T, Tla.matrix_inverse(Li).T)
     Dii = Aip1 - T.dot(Ci, Ci.T)
     Lii = Tsla.cholesky(Dii)
     return [Lii,Ci]

 def test_gpu_cholesky_opt(self):
     A = theano.tensor.matrix("A", dtype="float32")
     fn = theano.function([A], cholesky(A), mode=mode_with_gpu.excluding('cusolver'))
     assert any([isinstance(node.op, GpuMagmaCholesky)
                 for node in fn.maker.fgraph.toposort()])