imate.InterpolateSchatten(kind=’rpf’)#
- class imate.InterpolateSchatten(A, B=None, p=0, options={}, verbose=False, ti=[], kind='rpf')
Interpolate Schatten norm (or anti-norm) of an affine matrix function using rational polynomial functions (RPF) method.
See also
This page describes only the rpf method. For other kinds, see
imate.InterpolateSchatten()
.- Parameters:
- Anumpy.ndarray, scipy.sparse matrix
Symmetric positive-definite matrix (positive-definite if p is non-positive). Matrix can be dense or sparse.
Warning
Symmetry and positive (semi-) definiteness of A will not be checked. Make sure A satisfies these conditions.
- Bnumpy.ndarray, scipy.sparse matrix, default=None
Symmetric positive-definite matrix (positive-definite if p is non-positive). Matrix can be dense or sparse. B should have the same size and type of A. If B is None (default value), it is assumed that B is the identity matrix.
Warning
Symmetry and positive (semi-) definiteness of B will not be checked. Make sure B satisfies these conditions.
- pfloat, default=2
The order \(p\) in the Schatten \(p\)-norm which can be real positive, negative or zero.
- optionsdict, default={}
At each interpolation point \(t_i\), the Schatten norm is computed using
imate.schatten()
function which itself calls either ofimate.logdet()
(if \(p=0\))imate.trace()
(if \(p>0\))imate.traceinv()
(if \(p < 0\)).
The
options
passes a dictionary of arguments to the above functions.- verbosebool, default=False
If True, it prints some information about the computation process.
- tifloat or array_like(float), default=None
Interpolation points, which can be a list or an array of interpolation points. The number of interpolation points should be even. The interpolator honors the exact function values at the interpolant points.
- Raises:
- ValueError
If the rational_polynomial has positive poles.
Notes
Schatten Norm:
In this class, the Schatten \(p\)-norm of the matrix \(\mathbf{A}\) is defined by
(1)#\[\begin{split}\Vert \mathbf{A} \Vert_p = \begin{cases} \left| \mathrm{det}(\mathbf{A}) \right|^{\frac{1}{n}}, & p=0, \\ \left| \frac{1}{n} \mathrm{trace}(\mathbf{A}^{p}) \right|^{\frac{1}{p}}, & p \neq 0, \end{cases}\end{split}\]where \(n\) is the size of the matrix. When \(p \geq 0\), the above definition is the Schatten norm, and when \(p < 0\), the above is the Schatten anti-norm.
Note
Conventionally, the Schatten norm is defined without the normalizing factor \(\frac{1}{n}\) in (1). However, this factor is justified by the continuity granted by
(2)#\[\lim_{p \to 0} \Vert \mathbf{A} \Vert_p = \Vert \mathbf{A} \Vert_0.\]See [1] (Section 2) and the examples in
imate.schatten()
for details.Interpolation of Affine Matrix Function:
This class interpolates the one-parameter matrix function:
\[t \mapsto \| \mathbf{A} + t \mathbf{B} \|_p,\]where the matrices \(\mathbf{A}\) and \(\mathbf{B}\) are symmetric and positive semi-definite (positive-definite if \(p < 0\)) and \(t \in [t_{\inf}, \infty)\) is a real parameter where \(t_{\inf}\) is the minimum \(t\) such that \(\mathbf{A} + t_{\inf} \mathbf{B}\) remains positive-definite.
Method of Interpolation:
Define the function
\[\tau(t) = \frac{\Vert \mathbf{A} + t \mathbf{B} \Vert_p}{ \Vert \mathbf{B} \Vert_p}\]and \(\tau_{p, 0} = \tau_p(0)\). Then, we approximate \(\tau_p(t)\) by
\[\tau(t) \approx \frac{t^q + a_{q-1} t^{q-1} + \cdots + a_1 t + a_0}{t^{q+1} + b_p t^q + \cdots + b_1 t + b_0}\]where \(a_0 = b_0 \tau_0\). The rest of coefficients are found by solving a linear system using the function value at the interpolant points \(\tau_{p, i} = \tau_p(t_i)\).
Interpolation Points:
The number of interpolation points should be even. Also, the best practice is to provide an array of interpolation points that are equally distanced on the logarithmic scale. For instance, to produce four interpolation points in the interval \([10^{-2}, 1]\):
>>> import numpy >>> ti = numpy.logspace(-2, 1, 4)
Note
Often, a
ValueError
occurs if the rational polynomial has positive poles. To resolve this issue, slightly relocate the interpolation points ti.References
[1]Ameli, S., and Shadden. S. C. (2022). Interpolating Log-Determinant and Trace of the Powers of Matrix \(\mathbf{A} + t \mathbf{B}\). Statistics and Computing 32, 108. https://doi.org/10.1007/s11222-022-10173-4.
Examples
Basic Usage:
Interpolate the Schatten 2-norm of the affine matrix function \(\mathbf{A} + t \mathbf{B}\) using
rpf
algorithm and the interpolating points \(t_i = [10^{-2}, 10^{-1}, 1, 10]\).>>> # Generate two sample matrices (symmetric and positive-definite) >>> from imate.sample_matrices import correlation_matrix >>> A = correlation_matrix(size=20, scale=1e-1) >>> B = correlation_matrix(size=20, scale=2e-2) >>> # Initialize interpolator object >>> from imate import InterpolateSchatten >>> ti = [1e-2, 1e-1, 1, 1e1] >>> f = InterpolateSchatten(A, B, p=2, kind='rpf', ti=ti) >>> # Interpolate at an inquiry point t = 0.4 >>> t = 4e-1 >>> f(t) 1.7374856624417623
Alternatively, call
imate.InterpolateSchatten.interpolate()
to interpolate at points t:>>> # This is the same as f(t) >>> f.interpolate(t) 1.737489512386539
To evaluate the exact value of the Schatten norm at point t without interpolation, call
imate.InterpolateSchatten.eval()
function:>>> # This evaluates the function value at t exactly (no interpolation) >>> f.eval(t) 1.7374809371539666
It can be seen that the relative error of interpolation compared to the exact solution in the above is \(0.00027 \%\) using only four interpolation points \(t_i\), which is a remarkable result.
Warning
Calling
imate.InterpolateSchatten.eval()
may take a longer time to compute as it computes the function exactly. Particularly, if t is a large array, it may take a very long time to return the exact values.Passing Options:
The above examples, the internal computation is passed to
imate.trace()
function since \(p=2\) is positive. You can pass arguments to the latter function usingoptions
argument. To do so, create a dictionary with the keys as the name of the argument. For instance, to use imate.trace(method=’slq’) method withmin_num_samples=20
andmax_num_samples=100
, create the following dictionary:>>> # Specify arguments as a dictionary >>> options = { ... 'method': 'slq', ... 'min_num_samples': 20, ... 'max_num_samples': 100 ... } >>> # Pass the options to the interpolator >>> f = InterpolateSchatten(A, B, p=2, options=options, kind='rpf', ... ti=ti) >>> f(t) 1.7876616607098839
You may get a different result than the above as the slq method is a randomized method.
Interpolate on Range of Points:
Once the interpolation object
f
in the above example is instantiated, callingimate.InterpolateSchatten.interpolate()
on a list of inquiry points t has almost no computational cost. The next example inquires interpolation on 1000 points t:Interpolate an array of inquiry points
t_array
:>>> # Create an interpolator object again >>> ti = [1e-2, 1e-1, 1, 1e1] >>> f = InterpolateSchatten(A, B, kind='rpf', ti=ti) >>> # Interpolate at an array of points >>> import numpy >>> t_array = numpy.logspace(-2, 1, 1000) >>> norm_array = f.interpolate(t_array)
Plotting Interpolation and Compare with Exact Solution:
To plot the interpolation results, call
imate.InterpolateSchatten.plot()
function. To compare with the true values (without interpolation), passcompare=True
to the above function.Warning
By setting
compare
to True, every point in the array t is evaluated both using interpolation and with the exact method (no interpolation). If the size of t is large, this may take a very long run time.>>> f.plot(t_array, normalize=True, compare=True)
From the error plot in the above, it can be seen that with only four interpolation points, the error of interpolation for a wide range of \(t\) is no more than \(0.002 \%\). Also, note that the error on the interpolant points \(t_i=[10^{-2}, 10^{-1}, 1, 10]\) is zero since the interpolation scheme honors the exact function value at the interpolation points.
- Attributes:
- kindstr
Method of interpolation. For this class,
kind
isrpf
.- verbosebool
Verbosity of the computation process
- nint
Size of the matrix
- qint
Number of interpolant points.
- pfloat
Order of Schatten \(p\)-norm
Methods
__call__
eval
interpolate
bound
upper_bound
plot