Source code for ellalgo.oracles.ldlt_mgr

# -*- coding: utf-8 -*-
"""
LDLTMgr (LDLT Manager)

This code defines a class called LDLTMgr, which stands for LDLT Manager. The
purpose of this class is to perform a special kind of matrix factorization
called LDLT factorization on symmetric matrices. This factorization is useful
in various mathematical and engineering applications, especially when dealing
with linear systems and eigenvalue problems.

The main input for this class is a symmetric matrix, which can be provided
either as a NumPy array or through a function that returns individual matrix
elements. The primary output is a boolean value indicating whether the input
matrix is positive definite (a special property of matrices). Additionally, the
class can produce other outputs like a witness vector (if the matrix is not
positive definite) and a square root of the matrix (if it is positive definite).

An important aspect of this code is its use of "lazy evaluation". This means it
doesn't need the entire matrix upfront but can work with just a function that
provides matrix elements as needed. This can be more efficient for large matrices
or when the matrix is defined by a formula rather than stored values.

The class also includes methods to check if the matrix is positive definite
('is_spd'), calculate a witness vector if it's not ('witness'), and compute a
symmetric quadratic form ('sym_quad'). These additional functionalities make
the class versatile for various matrix-related tasks.

One of the key transformations happening in this code is the factorization
itself. It's breaking down the original matrix into simpler parts (L, D, and L
transpose), which can be used to solve problems more easily. This factorization
is done in a way that avoids using square roots, which can be computationally
expensive.

Overall, the LDLTMgr class provides a set of tools for working with symmetric
matrices, with a focus on determining their properties (like positive
definiteness) and performing useful calculations efficiently. It's designed to
be flexible and can handle both standard matrices and those defined by
functions, making it useful in a variety of mathematical and engineering
contexts.
"""

import math
from typing import Callable, Tuple

import numpy as np


[docs] class LDLTMgr: """ The `LDLTMgr` class implements a square-root-free version of the Cholesky decomposition, known as LDLT factorization. This method decomposes a symmetric matrix A into A = LDL^T, where L is a lower triangular matrix with ones on the diagonal, D is a diagonal matrix, and L^T is the transpose of L. This factorization is particularly useful for Linear Matrix Inequality (LMI) oracles in optimization problems. Its main advantages include: - **Numerical Stability**: By avoiding the computation of square roots, the LDLT factorization can be more numerically stable than the standard Cholesky decomposition. - **Efficiency**: The square-root-free nature of the algorithm can also lead to performance improvements. - **Lazy Evaluation**: The implementation supports lazy evaluation, allowing it to work with matrices that are not explicitly stored in memory. The class provides the following capabilities: - Check if a matrix is symmetric positive-definite (SPD). - Find a "witness" vector that certifies that a matrix is not SPD. - Compute the Cholesky factorization (R matrix such that A = R^T R) if the matrix is SPD. """ __slots__ = ("pos", "wit", "_ndim", "_storage") def __init__(self, ndim: int): """ Initializes the LDLT manager with given matrix dimension. Args: ndim: The dimension of the square matrix to be factorized. The initialization prepares all necessary storage to avoid repeated allocations during factorization, including position tracking, witness vector storage, and the factorization storage matrix. """ self.pos: Tuple[int, int] = (0, 0) self.wit: np.ndarray = np.zeros(ndim) self._ndim: int = ndim self._storage: np.ndarray = np.zeros((ndim, ndim)) # pre-allocate storage
[docs] def factorize(self, mat: np.ndarray) -> bool: """ Performs LDLT factorization on a NumPy array. This method is a convenience wrapper around the `factor` method. It allows you to perform the factorization directly on a NumPy array without needing to provide a custom element access function. Args: mat (np.ndarray): The symmetric matrix to be factorized. Returns: bool: `True` if the matrix is positive-definite, `False` otherwise. """ return self.factor(lambda i, j: mat[i, j])
[docs] def factor(self, get_elem: Callable[[int, int], float]) -> bool: """ Performs LDLT factorization using lazy element access. The factorization proceeds row by row, computing diagonal entries and off-diagonal multipliers. If any diagonal entry becomes non-positive, factorization stops early and records the failure position. Args: get_elem: Function that returns matrix element at (i,j) position Returns: bool: True if matrix is positive definite (all diagonal entries positive) The factorization stores results in _storage: - Diagonal entries (D matrix) are stored in _storage[i,i] - Off-diagonal entries (L matrix) are stored in _storage[i,j] for j < i Examples: >>> mat = np.array([[1.0, 0.5, 0.5], [0.5, 1.25, 0.75], [0.5, 0.75, 1.5]]) >>> ldl = LDLTMgr(3) >>> ldl.factor(lambda i, j: mat[i, j]) True """ start: int = 0 # range start self.pos = (0, 0) for i in range(self._ndim): diag = get_elem(i, start) for j in range(start, i): self._storage[j, i] = diag # keep it for later use self._storage[i, j] = diag / self._storage[j, j] # the L[i, j] stop = j + 1 diag = get_elem(i, stop) - self._storage[i, start:stop].dot( self._storage[start:stop, stop] ) self._storage[i, i] = diag if diag <= 0.0: self.pos = start, i + 1 break return self.is_spd()
[docs] def factor_with_allow_semidefinite( self, get_elem: Callable[[int, int], float] ) -> bool: """ Performs LDLT factorization allowing for positive semi-definite matrices. Similar to factor() but handles zero diagonal entries (indicating semi-definiteness) by restarting factorization from the next row. Args: get_elem: Function that returns matrix element at (i,j) position Returns: bool: True if matrix is positive semi-definite (no negative diagonal entries) This version is more tolerant of zero diagonal entries than factor(), which requires strictly positive entries for positive definiteness. Examples: >>> mat = np.array([[1.0, 0.5, 0.5], [0.5, 1.25, 0.75], [0.5, 0.75, 1.5]]) >>> ldl = LDLTMgr(3) >>> ldl.factor_with_allow_semidefinite(lambda i, j: mat[i, j]) True """ start: int = 0 # range start self.pos = (0, 0) for i in range(self._ndim): diag = get_elem(i, start) for j in range(start, i): self._storage[j, i] = diag # keep it for later use self._storage[i, j] = diag / self._storage[j, j] # the L[i, j] stop = j + 1 diag = get_elem(i, stop) - self._storage[i, start:stop].dot( self._storage[start:stop, stop] ) self._storage[i, i] = diag if diag < 0.0: self.pos = start, i + 1 break elif diag == 0: start = i + 1 # T[i, i] == 0 (very unlikely), restart at i+1 return self.is_spd()
[docs] def is_spd(self) -> bool: """ Checks if the matrix is symmetric positive definite (SPD). Returns: bool: True if the matrix is SPD (pos[1] == 0), False otherwise The check is based on whether any diagonal entry was non-positive during factorization, which would have set pos[1] to a non-zero value. Examples: >>> mat = np.array([[1.0, 0.5, 0.5], [0.5, 1.25, 0.75], [0.5, 0.75, 1.5]]) >>> ldl = LDLTMgr(3) >>> ldl.factorize(mat) True >>> ldl.is_spd() True """ return self.pos[1] == 0
[docs] def witness(self) -> float: """ Computes a witness vector proving the matrix is not positive definite. Returns: float: The negative eigenvalue (ep) showing v^T A v = -ep < 0 Raises: AssertionError: If called on a positive definite matrix The witness vector is stored in self.wit and can be accessed after calling this method. The vector satisfies v^T A v < 0 for the failed submatrix. Examples: >>> mat = np.array([[1.0, 2.0, 3.0], [2.0, 3.5, 5.0], [3.0, 5.0, 6.0]]) >>> ldl = LDLTMgr(3) >>> ldl.factorize(mat) False >>> ldl.witness() np.float64(0.5) """ if self.is_spd(): raise AssertionError() start, pos = self.pos m = pos - 1 self.wit[m] = 1.0 for i in range(m, start, -1): self.wit[i - 1] = -self._storage[i:pos, i - 1].dot(self.wit[i:pos]) return -self._storage[m, m]
[docs] def sym_quad(self, mat: np.ndarray) -> float: """ Computes the quadratic form v^T M v using the witness vector. Args: mat: The matrix M to compute the quadratic form with Returns: float: The value of v^T M v where v is the witness vector Note: witness() must be called first to set up the witness vector. The computation uses only the submatrix where positive definiteness failed. Examples: >>> mat = np.array([[1.0, 2.0, 3.0], [2.0, 3.5, 5.0], [3.0, 5.0, 6.0]]) >>> ldl = LDLTMgr(3) >>> ldl.factorize(mat) False >>> ldl.pos (0, 2) >>> ldl.witness() # call this before sym_quad() np.float64(0.5) >>> ldl.wit array([-2., 1., 0.]) >>> mat_b = np.array([[1.0, 0.5, 0.5], [0.5, 1.25, 0.75], [0.5, 0.75, 1.5]]) >>> ldl.sym_quad(mat_b) np.float64(3.25) """ start, ndim = self.pos wit = self.wit[start:ndim] return wit.dot(mat[start:ndim, start:ndim] @ wit)
[docs] def sqrt(self) -> np.ndarray: """ Computes the upper triangular square root matrix R where A = R^T R. Returns: np.ndarray: Upper triangular matrix R Raises: AssertionError: If matrix is not positive definite This is essentially the Cholesky decomposition, computed from the LDLT factors without directly computing square roots until the final step. Examples: >>> mat = np.array([[1.0, 0.5, 0.5], [0.5, 1.25, 0.75], [0.5, 0.75, 1.5]]) >>> ldl = LDLTMgr(3) >>> ldl.factorize(mat) True >>> ldl.sqrt() array([[1. , 0.5, 0.5], [0. , 1. , 0.5], [0. , 0. , 1. ]]) """ if not self.is_spd(): raise AssertionError() R = np.zeros((self._ndim, self._ndim)) for i in range(self._ndim): R[i, i] = math.sqrt(self._storage[i, i]) for j in range(i + 1, self._ndim): R[i, j] = self._storage[j, i] * R[i, i] return R