1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 259 260 261 262 263 264 265 266 267 268 269 270 271 272 273 274 275 276 277 278 279 280 281 282 283 284 285 286 287 288 289 290 291 292 293 294 295 296 297 298 299 300 301 302 303 304 305 306 307 308 309 310 311 312 313 314 315 316 317 318 319 320 321 322 323 324 325 326 327 328 329 330 331 332 333 334 335 336 337 338 339 340 341 342 343 344 345 346 347 348 349 350 351 352 353 354 355 356 357 358 359 360 361 362 363 364 365 366 367 368 369 370 371 372 373 374 375 376 377 378 379 380 381 382 383 384 385 386 387 388 389 390 391 392 393 394 395 396 397 398 399 400 401 402 403 404 405 406 407 408 409 410 411 412 413 414 415 416 417 418 419 420 421 422 423 424 425 426 427 428 429 430 431 432 433 434 435 436 437 438 439 440 441 442 443 444 445 446 447 448 449 450 451 452 453 454 455 456 457 458 459 460 461 462 463 464 465 466 467 468 469 470 471 472 473 474 475 476 477 478 479 480 481 482 483 484 485 486 487 488 489 490 491 492 493 494 495 496 497 498 499 500 501 502 503 504 505 506 507 508 509 510 511 512 513 514 515 516 517 518 519 520 521 522 523 524 525 526 527 528 529 530 531 532 533 534 535 536 537 538 539 540 541 542 543 544 545 546 547 548 549 550 551 552 553 554 555 556 557 558 559 560 561 562 563 564 565 566 567 568 569 570 571 572 573 574 575 576 577 578 579 580 581 582 583 584 585 586 587 588 589 590 591 592 593 594 595 596 597 598 599 600 601 602 603 604 605 606 607 608 609 610 611 612 613 614 615 616 617 618 619 620 621 622 623 624 625 626 627 628 629 630 631 632 633 634 635 636 637 638 639 640 641 642 643 644 645 646 647 648 649 650 651 652 653 654 655 656 657 658 659 660 661 662 663 664 665 666 667 668 669 670 671 672 673 674 675 676 677 678 679 680 681 682 683 684 685 686 687 688 689 690 691 692 693 694 695 696 697 698 699 700 701 702 703 704 705 706 707 708 709 710 711 712 713 714 715 716 717 718 719 720 721 722 723 724 725 726 727 728 729 730 731 732 733 734 735 736 737 738 739 740 741 742 743 744 745 746 747 748 749 750 751 752 753 754 755 756 757 758 759 760 761 762 763 764 765 766 767 768 769 770 771 772 773 774 775 776 777 778 779 780 781 782 783 784 785 786 787 788 789 790 791 792 793 794 795 796 797 798 799 800 801 802 803 804 805 806 807 808 809 810 811 812 813 814 815 816 817 818 819 820 821 822 823 824 825 826 827 828 829 830 831 832 833 834 835 836 837 838 839 840 841 842 843 844 845 846 847 848 849 850 851 852 853 854 855 856 857 858 859 860 861 862 863 864 865 866 867 868 869 870 871 872 873 874 875 876 877 878 879 880 881 882 883 884 885 886 887 888 889 890 891 892 893 894 895 896 897 898 899 900 901 902 903 904 905 906 907 908 909 910 911 912 913 914 915 916 917 918 919 920 921 922 923 924 925 926 927 928 929 930 931 932 933 934 935 936 937 938 939 940 941 942 943 944 945 946 947 948 949 950 951 952 953 954 955 956 957 958 959 960 961 962 963 964 965 966 967 968 969 970 971 972 973 974 975 976 977 978 979 980 981 982 983 984 985 986 987 988 989 990 991 992 993 994 995 996 997 998 999 1000 1001 1002 1003 1004 1005 1006 1007 1008 1009 1010 1011 1012 1013 1014 1015 1016 1017 1018 1019 1020 1021 1022 1023 1024 1025 1026 1027 1028 1029 1030 1031 1032 1033 1034 1035 1036 1037 1038 1039 1040 1041 1042 1043 1044 1045 1046 1047 1048 1049 1050 1051 1052 1053 1054 1055 1056 1057 1058 1059 1060 1061 1062 1063 1064 1065 1066 1067 1068 1069 1070 1071 1072 1073 1074 1075 1076 1077 1078 1079 1080 1081 1082 1083 1084 1085 1086 1087 1088 1089 1090 1091 1092 1093 1094 1095 1096 1097 1098 1099 1100 1101 1102 1103 1104 1105 1106 1107 1108 1109 1110 1111 1112 1113 1114 1115 1116 1117 1118 1119 1120 1121 1122 1123 1124 1125 1126 1127 1128 1129 1130 1131 1132 1133 1134 1135 1136 1137 1138 1139 1140 1141 1142 1143 1144 1145 1146 1147 1148 1149 1150 1151 1152 1153 1154 1155 1156 1157 1158 1159 1160 1161 1162 1163 1164 1165 1166 1167 1168 1169 1170 1171 1172 1173 1174 1175 1176 1177 1178 1179 1180 1181 1182 1183 1184 1185 1186 1187 1188 1189 1190 1191 1192 1193 1194 1195 1196 1197 1198 1199 1200 1201 1202 1203 1204 1205 1206 1207 1208 1209 1210 1211 1212 1213 1214 1215 1216 1217 1218 1219 1220 1221 1222 1223 1224 1225 1226 1227 1228 1229 1230 1231 1232 1233 1234 1235 1236 1237 1238 1239 1240 1241 1242 1243 1244 1245 1246 1247 1248 1249 1250 1251 1252 1253 1254 1255 1256 1257 1258 1259 1260 1261 1262 1263 1264 1265 1266 1267 1268 1269 1270 1271 1272 1273 1274 1275 1276 1277 1278 1279 1280 1281 1282 1283 1284 1285 1286 1287 1288 1289 1290 1291 1292 1293 1294 1295 1296 1297 1298 1299 1300 1301 1302 1303 1304 1305 1306 1307 1308 1309 1310 1311 1312 1313 1314 1315 1316 1317 1318 1319 1320 1321 1322 1323 1324 1325 1326 1327 1328 1329 1330 1331 1332 1333 1334 1335 1336 1337 1338 1339 1340 1341 1342 1343 1344 1345 1346 1347 1348 1349 1350 1351 1352 1353 1354 1355 1356 1357 1358 1359 1360 1361 1362 1363 1364 1365 1366 1367 1368 1369 1370 1371 1372 1373 1374 1375 1376 1377 1378 1379 1380 1381 1382 1383 1384 1385 1386 1387 1388 1389 1390 1391 1392 1393 1394 1395 1396 1397 1398 1399 1400 1401 1402 1403 1404 1405 1406 1407 1408 1409 1410 1411 1412 1413 1414 1415 1416 1417 1418 1419 1420 1421 1422 1423 1424 1425 1426 1427 1428 1429 1430 1431 1432 1433 1434 1435 1436 1437 1438 1439 1440 1441 1442 1443 1444 1445 1446 1447 1448 1449 1450 1451 1452 1453 1454 1455 1456 1457 1458 1459 1460 1461 1462 1463 1464 1465 1466 1467 1468 1469 1470 1471 1472 1473 1474 1475 1476 1477 1478 1479 1480 1481 1482 1483 1484 1485 1486 1487 1488 1489 1490 1491 1492 1493 1494 1495 1496 1497 1498 1499 1500 1501 1502 1503 1504 1505 1506 1507 1508 1509 1510 1511 1512 1513 1514 1515 1516 1517 1518 1519 1520 1521 1522 1523 1524 1525 1526 1527 1528 1529 1530 1531 1532 1533 1534 1535 1536 1537 1538 1539 1540 1541 1542 1543 1544 1545 1546 1547 1548 1549 1550
/*!
* Linear algebra algorithms on numbers and matrices
*
* Note that many of these functions are also exposed as corresponding methods on the Matrix type,
* and the Tensor type, but in depth documentation is only presented here.
*
* It is recommended to favor the corresponding methods on the Matrix and Tensor types as the
* Rust compiler can get confused with the generics on these functions if you use
* these methods without turbofish syntax.
*
* Nearly all of these functions are generic over [Numeric](super::numeric) types,
* unfortunately, when using these functions the compiler may get confused about what
* type `T` should be and you will get the error:
* > overflow evaluating the requirement `&'a _: easy_ml::numeric::NumericByValue<_, _>`
*
* In this case you need to manually specify the type of T by using the
* turbofish syntax like:
* `linear_algebra::inverse::<f32>(&matrix)`
*
* You might be working with a generic type of T, in which case specify that
* `linear_algebra::inverse::<T>(&matrix)`
*
* ## Generics
*
* For the tensor variants of these functions, the generics allow very flexible input types.
*
* A function like
* ```ignore
* pub fn inverse_tensor<T, S, I>(tensor: I) -> Option<Tensor<T, 2>> where
* T: Numeric,
* for<'a> &'a T: NumericRef<T>,
* I: Into<TensorView<T, S, 2>>,
* S: TensorRef<T, 2>,
* ```
* Means it takes any type that can be converted to a TensorView, which includes Tensor, &Tensor,
* &mut Tensor as well as references to a TensorView.
*/
use crate::matrices::{Column, Matrix, Row};
use crate::numeric::extra::{Real, RealRef, Sqrt};
use crate::numeric::{Numeric, NumericRef};
use crate::tensors::views::{TensorRef, TensorView};
use crate::tensors::{Dimension, Tensor};
/**
* Computes the inverse of a matrix provided that it exists. To have an inverse
* a matrix must be square (same number of rows and columns) and it must also
* have a non zero determinant.
*
* The inverse of a matrix `A` is the matrix `A^-1` which when multiplied by `A`
* in either order yields the identity matrix `I`.
*
* `A(A^-1) == (A^-1)A == I`.
*
*The inverse is like the reciprocal of a number, except for matrices instead of scalars.
* With scalars, there is no inverse for `0` because `1 / 0` is not defined. Similarly
* to compute the inverse of a matrix we divide by the determinant, so matrices
* with a determinant of 0 have no inverse, even if they are square.
*
* This algorithm performs the analytic solution described by
* [wikipedia](https://en.wikipedia.org/wiki/Invertible_matrix#Analytic_solution)
* and should compute the inverse for any size of square matrix if it exists, but
* is inefficient for large matrices.
*
* # Warning
*
* With some uses of this function the Rust compiler gets confused about what type `T`
* should be and you will get the error:
* > overflow evaluating the requirement `&'a _: easy_ml::numeric::NumericByValue<_, _>`
*
* In this case you need to manually specify the type of T by using the
* turbofish syntax like:
* `linear_algebra::inverse::<f32>(&matrix)`
*
* Alternatively, the compiler doesn't seem to run into this problem if you
* use the equivalent methods on the matrix type like so:
* `matrix.inverse()`
*/
pub fn inverse<T: Numeric>(matrix: &Matrix<T>) -> Option<Matrix<T>>
where
for<'a> &'a T: NumericRef<T>,
{
if matrix.rows() != matrix.columns() {
return None;
}
// inverse of a 1 x 1 matrix is a special case
if matrix.rows() == 1 {
// determinant of a 1 x 1 matrix is the single element
let element = matrix.scalar();
if element == T::zero() {
return None;
}
return Some(Matrix::from_scalar(T::one() / element));
}
// compute the general case for a N x N matrix where N >= 2
match determinant::<T>(matrix) {
Some(det) => {
if det == T::zero() {
return None;
}
let determinant_reciprocal = T::one() / det;
let mut cofactor_matrix = Matrix::empty(T::zero(), matrix.size());
for i in 0..matrix.rows() {
for j in 0..matrix.columns() {
// this should always return Some due to the earlier checks
let ij_minor = minor::<T>(matrix, i, j)?;
// i and j may each be up to the maximum value for usize but
// we only need to know if they are even or odd as
// -1 ^ (i + j) == -1 ^ ((i % 2) + (j % 2))
// by taking modulo of both before adding we ensure there
// is no overflow
let sign = i8::pow(-1, (i.rem_euclid(2) + j.rem_euclid(2)) as u32);
// convert sign into type T
let sign = if sign == 1 {
T::one()
} else {
T::zero() - T::one()
};
// each element of the cofactor matrix is -1^(i+j) * M_ij
// for M_ij equal to the ij minor of the matrix
cofactor_matrix.set(i, j, sign * ij_minor);
}
}
// tranposing the cofactor matrix yields the adjugate matrix
cofactor_matrix.transpose_mut();
// finally to compute the inverse we need to multiply each element by 1 / |A|
cofactor_matrix.map_mut(|element| element * determinant_reciprocal.clone());
Some(cofactor_matrix)
}
None => None,
}
}
/**
* Computes the inverse of a matrix provided that it exists. To have an inverse
* a matrix must be square (same number of rows and columns) and it must also
* have a non zero determinant.
*
* The first dimension in the Tensor's shape will be taken as the rows of the matrix, and the
* second dimension as the columns. If you instead have columns and then rows for the Tensor's
* shape, you should reorder the Tensor before calling this function to get the appropriate
* matrix.
*
* The inverse of a matrix `A` is the matrix `A^-1` which when multiplied by `A`
* in either order yields the identity matrix `I`.
*
* `A(A^-1) == (A^-1)A == I`.
*
*The inverse is like the reciprocal of a number, except for matrices instead of scalars.
* With scalars, there is no inverse for `0` because `1 / 0` is not defined. Similarly
* to compute the inverse of a matrix we divide by the determinant, so matrices
* with a determinant of 0 have no inverse, even if they are square.
*
* This algorithm performs the analytic solution described by
* [wikipedia](https://en.wikipedia.org/wiki/Invertible_matrix#Analytic_solution)
* and should compute the inverse for any size of square matrix if it exists, but
* is inefficient for large matrices.
*
* # Warning
*
* With some uses of this function the Rust compiler gets confused about what type `T`
* should be and you will get the error:
* > overflow evaluating the requirement `&'a _: easy_ml::numeric::NumericByValue<_, _>`
*
* In this case you need to manually specify the type of T by using the
* turbofish syntax like:
* `linear_algebra::inverse:_tensor:<f32>(&tensor)`
*
* Alternatively, the compiler doesn't seem to run into this problem if you
* use the equivalent methods on the tensor type like so:
* `tensor.inverse()`
*/
pub fn inverse_tensor<T, S, I>(tensor: I) -> Option<Tensor<T, 2>>
where
T: Numeric,
for<'a> &'a T: NumericRef<T>,
I: Into<TensorView<T, S, 2>>,
S: TensorRef<T, 2>,
{
inverse_less_generic::<T, S>(tensor.into())
}
fn inverse_less_generic<T, S>(tensor: TensorView<T, S, 2>) -> Option<Tensor<T, 2>>
where
T: Numeric,
for<'a> &'a T: NumericRef<T>,
S: TensorRef<T, 2>,
{
let shape = tensor.shape();
if !crate::tensors::dimensions::is_square(&shape) {
return None;
}
// inverse of a 1 x 1 matrix is a special case
if shape[0].1 == 1 {
// determinant of a 1 x 1 matrix is the single element
let element = tensor
.iter()
.next()
.expect("1x1 tensor must have a single element");
if element == T::zero() {
return None;
}
return Some(Tensor::from(shape, vec![T::one() / element]));
}
// compute the general case for a N x N matrix where N >= 2
match determinant_less_generic::<T, _>(&tensor) {
Some(det) => {
if det == T::zero() {
return None;
}
let determinant_reciprocal = T::one() / det;
let mut cofactor_matrix = Tensor::empty(shape, T::zero());
for ([i, j], x) in cofactor_matrix.iter_reference_mut().with_index() {
// this should always return Some due to the earlier checks
let ij_minor = minor_tensor::<T, _>(&tensor, i, j)?;
// i and j may each be up to the maximum value for usize but
// we only need to know if they are even or odd as
// -1 ^ (i + j) == -1 ^ ((i % 2) + (j % 2))
// by taking modulo of both before adding we ensure there
// is no overflow
let sign = i8::pow(-1, (i.rem_euclid(2) + j.rem_euclid(2)) as u32);
// convert sign into type T
let sign = if sign == 1 {
T::one()
} else {
T::zero() - T::one()
};
// each element of the cofactor matrix is -1^(i+j) * M_ij
// for M_ij equal to the ij minor of the matrix
*x = sign * ij_minor;
}
// tranposing the cofactor matrix yields the adjugate matrix
cofactor_matrix.transpose_mut([shape[1].0, shape[0].0]);
// finally to compute the inverse we need to multiply each element by 1 / |A|
cofactor_matrix.map_mut(|element| element * determinant_reciprocal.clone());
Some(cofactor_matrix)
}
None => None,
}
}
// TODO: expose these minor methods and test them directly
// https://www.teachoo.com/9780/1204/Minor-and-Cofactor-of-a-determinant/category/Finding-Minors-and-cofactors/
/*
* Computes the (i,j) minor of a matrix by copying it. This is the
* determinant of the matrix after deleting the ith row and the jth column.
*
* Minors can only be taken on matrices which have a determinant and rows and
* columns to remove. Hence for non square matrices or 1 x 1 matrices this returns
* None.
*/
fn minor<T: Numeric>(matrix: &Matrix<T>, i: Row, j: Column) -> Option<T>
where
for<'a> &'a T: NumericRef<T>,
{
minor_mut::<T>(&mut matrix.clone(), i, j)
}
/**
* Computes the (i,j) minor of a matrix by modifying it in place. This is
* the determinant of the matrix after deleting the ith row and the jth column.
*
* Minors can only be taken on matrices which have a determinant and rows and
* columns to remove. Hence for non square matrices or 1 x 1 matrices this returns
* None and does not modify the matrix.
*/
fn minor_mut<T: Numeric>(matrix: &mut Matrix<T>, i: Row, j: Column) -> Option<T>
where
for<'a> &'a T: NumericRef<T>,
{
if matrix.rows() == 1 || matrix.columns() == 1 {
// nothing to delete
return None;
}
if matrix.rows() != matrix.columns() {
// no determinant
return None;
}
matrix.remove_row(i);
matrix.remove_column(j);
determinant::<T>(matrix)
}
fn minor_tensor<T, S>(tensor: &TensorView<T, S, 2>, i: usize, j: usize) -> Option<T>
where
T: Numeric,
for<'a> &'a T: NumericRef<T>,
S: TensorRef<T, 2>,
{
use crate::tensors::views::{IndexRange, TensorMask};
let shape = tensor.shape();
if shape[0].1 == 1 || shape[1].1 == 1 {
// nothing to delete
return None;
}
if !crate::tensors::dimensions::is_square(&shape) {
// no determinant
return None;
}
let minored = TensorView::from(
TensorMask::from_all(
tensor.source_ref(),
[Some(IndexRange::new(i, 1)), Some(IndexRange::new(j, 1))],
)
.expect("Having just checked tensor is at least 2x2 we should be able to take a mask"),
);
determinant_less_generic::<T, _>(&minored)
}
/**
* Computes the determinant of a square matrix. For a 2 x 2 matrix this is given by
* `ad - bc` for:
* ```ignore
* [
* a, b
* c, d
* ]
* ```
*
* This function will return the determinant only if it exists. Non square matrices
* do not have a determinant. A determinant is a scalar value computed from the
* elements of a square matrix and often corresponds to matrices with special properties.
*
* Note that the determinant of a 1 x 1 matrix is just the element in the matrix.
*
* This function computes the determinant using the same type as that of the Matrix,
* hence if the input type is unsigned (such as Wrapping<u8>) the value computed
* is likely to not make any sense because a determinant may be negative.
*
* [https://en.wikipedia.org/wiki/Determinant](https://en.wikipedia.org/wiki/Determinant)
*
* # Warning
*
* With some uses of this function the Rust compiler gets confused about what type `T`
* should be and you will get the error:
* > overflow evaluating the requirement `&'a _: easy_ml::numeric::NumericByValue<_, _>`
*
* In this case you need to manually specify the type of T by using the
* turbofish syntax like:
* `linear_algebra::determinant::<f32>(&matrix)`
*
* Alternatively, the compiler doesn't seem to run into this problem if you
* use the equivalent methods on the matrix type like so:
* [`matrix.determinant()`](Matrix::determinant)
*/
pub fn determinant<T: Numeric>(matrix: &Matrix<T>) -> Option<T>
where
for<'a> &'a T: NumericRef<T>,
{
if matrix.rows() != matrix.columns() {
return None;
}
let length = matrix.rows();
match length {
0 => return None,
1 => return Some(matrix.scalar()),
_ => (),
};
determinant_less_generic::<T, _>(&TensorView::from(
crate::interop::TensorRefMatrix::from(matrix).ok()?,
))
}
/**
* Computes the determinant of a square matrix. For a 2 x 2 matrix this is given by
* `ad - bc` for:
* ```ignore
* [
* a, b
* c, d
* ]
* ```
*
* This function will return the determinant only if it exists. Non square matrices
* do not have a determinant. A determinant is a scalar value computed from the
* elements of a square matrix and often corresponds to matrices with special properties.
*
* The first dimension in the Tensor's shape will be taken as the rows of the matrix, and the
* second dimension as the columns. If you instead have columns and then rows for the Tensor's
* shape, you should reorder the Tensor before calling this function to get the appropriate
* matrix.
*
* Note that the determinant of a 1 x 1 matrix is just the element in the matrix.
*
* This function computes the determinant using the same type as that of the Tensor,
* hence if the input type is unsigned (such as Wrapping<u8>) the value computed
* is likely to not make any sense because a determinant may be negative.
*
* [https://en.wikipedia.org/wiki/Determinant](https://en.wikipedia.org/wiki/Determinant)
*
* # Warning
*
* With some uses of this function the Rust compiler gets confused about what type `T`
* should be and you will get the error:
* > overflow evaluating the requirement `&'a _: easy_ml::numeric::NumericByValue<_, _>`
*
* In this case you need to manually specify the type of T by using the
* turbofish syntax like:
* `linear_algebra::determinant_tensor::<f32, _, _>(&tensor)`
*
* Alternatively, the compiler doesn't seem to run into this problem if you
* use the equivalent methods on the tensor type like so:
* [`tensor.determinant()`](Tensor::determinant)
*/
pub fn determinant_tensor<T, S, I>(tensor: I) -> Option<T>
where
T: Numeric,
for<'a> &'a T: NumericRef<T>,
I: Into<TensorView<T, S, 2>>,
S: TensorRef<T, 2>,
{
determinant_less_generic::<T, S>(&tensor.into())
}
fn determinant_less_generic<T, S>(tensor: &TensorView<T, S, 2>) -> Option<T>
where
T: Numeric,
for<'a> &'a T: NumericRef<T>,
S: TensorRef<T, 2>,
{
let shape = tensor.shape();
if !crate::tensors::dimensions::is_square(&shape) {
return None;
}
let length = shape[0].1;
if length == 0 {
return None;
}
let matrix = tensor.index();
if length == 1 {
return Some(matrix.get([0, 0]));
}
// compute the general case for the determinant of an N x N matrix with
// N >= 2
let mut sum = T::zero();
// iterate through all permutations of the numbers in the range from 0 to N - 1
// which we will use for indexing
with_each_permutation(&mut (0..length).collect(), &mut |permutation, even_swap| {
// Compute the signature for this permutation, such that we
// have +1 for an even number and -1 for an odd number of swaps
let signature = if even_swap {
T::one()
} else {
T::zero() - T::one()
};
let mut product = T::one();
for (n, i) in permutation.iter().enumerate() {
// Get the element at the index corresponding to n and the n'th
// element in the permutation list.
let element = matrix.get_ref([n, *i]);
product = product * element;
}
// copying the sum to prevent a move that stops us from returning it
// still massively reduces the amount of copies compared to using
// generate_permutations which would instead require copying the
// permutation list N! times though allow to not copy the sum.
sum = sum.clone() + (signature * product);
});
Some(sum)
}
/*
* Computes the factorial of a number.
* eg for an input of 5 computes 1 * 2 * 3 * 4 * 5
* which is equal to 120
*/
#[allow(dead_code)] // used in testing
fn factorial(n: usize) -> usize {
(1..=n).product()
}
/**
* Performs repeated swaps on the provided mutable reference to a list, swapping
* exactly 1 pair each time before calling the consumer as defined by Heap's Algorithm
* https://en.wikipedia.org/wiki/Heap%27s_algorithm
*/
fn heaps_permutations<T: Clone, F>(k: usize, list: &mut Vec<T>, consumer: &mut F)
where
F: FnMut(&mut Vec<T>),
{
if k == 1 {
consumer(list);
return;
}
for i in 0..k {
heaps_permutations(k - 1, list, consumer);
// avoid redundant swaps
if i < k - 1 {
// Swap on the even/oddness of k
if k % 2 == 0 {
// if k is even swap final and the index
list.swap(i, k - 1);
} else {
// if k is odd swap final and first
list.swap(0, k - 1);
}
}
}
}
/**
* Generates a list of all possible permutations of a list, with each
* sublist one swap different from the last and correspondingly alternating
* in even and odd swaps required to obtain the reordering.
*/
#[allow(dead_code)] // used in testing
fn generate_permutations<T: Clone>(list: &mut Vec<T>) -> Vec<(Vec<T>, bool)> {
let mut permutations = Vec::with_capacity(factorial(list.len()));
let mut even_swaps = true;
heaps_permutations(list.len(), list, &mut |permuted| {
permutations.push((permuted.clone(), even_swaps));
even_swaps = !even_swaps;
});
permutations
}
/*
* In place version of generate_permutations which calls the consumer on
* each permuted list without performing any copies (ie each permuted list
* is the same list before and after permutation).
*/
fn with_each_permutation<T: Clone, F>(list: &mut Vec<T>, consumer: &mut F)
where
F: FnMut(&mut Vec<T>, bool),
{
let mut even_swaps = true;
heaps_permutations(list.len(), list, &mut |permuted| {
consumer(permuted, even_swaps);
even_swaps = !even_swaps;
});
}
#[cfg(test)]
#[test]
fn test_permutations() {
// Exhaustively test permutation even/oddness for an input
// of length 3
let mut list = vec![1, 2, 3];
let permutations = generate_permutations(&mut list);
assert!(permutations.contains(&(vec![1, 2, 3], true)));
assert!(permutations.contains(&(vec![3, 2, 1], false)));
assert!(permutations.contains(&(vec![2, 3, 1], true)));
assert!(permutations.contains(&(vec![1, 3, 2], false)));
assert!(permutations.contains(&(vec![2, 1, 3], false)));
assert!(permutations.contains(&(vec![3, 1, 2], true)));
assert_eq!(permutations.len(), 6);
// Test a larger input non exhaustively to make sure it
// generalises.
let mut list = vec![1, 2, 3, 4, 5];
let permuted = generate_permutations(&mut list);
assert!(permuted.contains(&(vec![1, 2, 3, 4, 5], true)));
assert!(permuted.contains(&(vec![1, 2, 3, 5, 4], false)));
assert!(permuted.contains(&(vec![1, 2, 5, 3, 4], true)));
// Test a length 2 input as well
let mut list = vec![0, 1];
let permuted = generate_permutations(&mut list);
assert!(permuted.contains(&(vec![0, 1], true)));
assert!(permuted.contains(&(vec![1, 0], false)));
assert_eq!(permuted.len(), 2);
}
/**
* Computes the covariance matrix for an NxM feature matrix, in which
* each N'th row has M features to find the covariance and variance of.
*
* The covariance matrix is a matrix of how each feature varies with itself
* (along the diagonal) and all the other features (symmetrically above and below
* the diagonal).
*
* Each element in the covariance matrix at (i, j) will be the variance of the
* ith and jth features from the feature matrix, defined as the zero meaned
* dot product of the two feature vectors divided by the number of samples.
*
* If all the features in the input have a variance of one then the covariance matrix
* returned by this function will be equivalent to the correlation matrix of the input
*
* This function does not perform [Bessel's correction](https://en.wikipedia.org/wiki/Bessel%27s_correction)
*
* # Panics
*
* If the numeric type is unable to represent the number of samples
* for each feature (ie if `T: i8` and you have 1000 samples) then this function
* will panic.
*
* # Warning
*
* With some uses of this function the Rust compiler gets confused about what type `T`
* should be and you will get the error:
* > overflow evaluating the requirement `&'a _: easy_ml::numeric::NumericByValue<_, _>`
*
* In this case you need to manually specify the type of T by using the
* turbofish syntax like:
* `linear_algebra::covariance_column_features::<f32>(&matrix)`
*
* Alternatively, the compiler doesn't seem to run into this problem if you
* use the equivalent methods on the matrix type like so:
* `matrix.covariance_column_features()`
*/
pub fn covariance_column_features<T: Numeric>(matrix: &Matrix<T>) -> Matrix<T>
where
for<'a> &'a T: NumericRef<T>,
{
let features = matrix.columns();
let samples = T::from_usize(matrix.rows())
.expect("The maximum value of the matrix type T cannot represent this many samples");
let mut covariance_matrix = Matrix::empty(T::zero(), (features, features));
covariance_matrix.map_mut_with_index(|_, i, j| {
// set each element of the covariance matrix to the variance
// of features i and j
let feature_i_mean: T = matrix.column_iter(i).sum::<T>() / &samples;
let feature_j_mean: T = matrix.column_iter(j).sum::<T>() / &samples;
matrix
.column_reference_iter(i)
.map(|x| x - &feature_i_mean)
.zip(matrix.column_reference_iter(j).map(|y| y - &feature_j_mean))
.map(|(x, y)| x * y)
.sum::<T>()
/ &samples
});
covariance_matrix
}
/**
* Computes the covariance matrix for an NxM feature matrix, in which
* each M'th column has N features to find the covariance and variance of.
*
* The covariance matrix is a matrix of how each feature varies with itself
* (along the diagonal) and all the other features (symmetrically above and below
* the diagonal).
*
* Each element in the covariance matrix at (i, j) will be the variance of the
* ith and jth features from the feature matrix, defined as the zero meaned
* dot product of the two feature vectors divided by the number of samples.
*
* If all the features in the input have a variance of one then the covariance matrix
* returned by this function will be equivalent to the correlation matrix of the input
*
* This function does not perform [Bessel's correction](https://en.wikipedia.org/wiki/Bessel%27s_correction)
*
* # Panics
*
* If the numeric type is unable to represent the number of samples
* for each feature (ie if `T: i8` and you have 1000 samples) then this function
* will panic.
*
* # Warning
*
* With some uses of this function the Rust compiler gets confused about what type `T`
* should be and you will get the error:
* > overflow evaluating the requirement `&'a _: easy_ml::numeric::NumericByValue<_, _>`
*
* In this case you need to manually specify the type of T by using the
* turbofish syntax like:
* `linear_algebra::covariance_row_features::<f32>(&matrix)`
*
* Alternatively, the compiler doesn't seem to run into this problem if you
* use the equivalent methods on the matrix type like so:
* `matrix.covariance_row_features()`
*/
pub fn covariance_row_features<T: Numeric>(matrix: &Matrix<T>) -> Matrix<T>
where
for<'a> &'a T: NumericRef<T>,
{
let features = matrix.rows();
let samples = T::from_usize(matrix.columns())
.expect("The maximum value of the matrix type T cannot represent this many samples");
let mut covariance_matrix = Matrix::empty(T::zero(), (features, features));
covariance_matrix.map_mut_with_index(|_, i, j| {
// set each element of the covariance matrix to the variance
// of features i and j
let feature_i_mean: T = matrix.row_iter(i).sum::<T>() / &samples;
let feature_j_mean: T = matrix.row_iter(j).sum::<T>() / &samples;
matrix
.row_reference_iter(i)
.map(|x| x - &feature_i_mean)
.zip(matrix.row_reference_iter(j).map(|y| y - &feature_j_mean))
.map(|(x, y)| x * y)
.sum::<T>()
/ &samples
});
covariance_matrix
}
/**
* Computes the covariance matrix for a 2 dimensional Tensor feature matrix.
*
* The `feature_dimension` specifies which dimension holds the features. The other dimension
* is assumed to hold the samples. For a Tensor with a `feature_dimension` of length N, and
* the other dimension of length M, returns an NxN covariance matrix with a shape of
* `[("i", N), ("j", N)]`.
*
* Each element in the covariance matrix at (i, j) will be the variance of the ith and jth
* features from the feature matrix, defined as the zero meaned dot product of the two
* feature vectors divided by the number of samples (M).
*
* If all the features in the input have a variance of one then the covariance matrix
* returned by this function will be equivalent to the correlation matrix of the input
*
* This function does not perform [Bessel's correction](https://en.wikipedia.org/wiki/Bessel%27s_correction)
*
* # Panics
*
* - If the numeric type is unable to represent the number of samples for each feature
* (ie if `T: i8` and you have 1000 samples)
* - If the provided feature_dimension is not a dimension in the tensor
*
* # Warning
*
* With some uses of this function the Rust compiler gets confused about what type `T`
* should be and you will get the error:
* > overflow evaluating the requirement `&'a _: easy_ml::numeric::NumericByValue<_, _>`
*
* In this case you need to manually specify the type of T by using the
* turbofish syntax like:
* `linear_algebra::covariance::<f32, _, _>(&matrix)`
*
* Alternatively, the compiler doesn't seem to run into this problem if you
* use the equivalent methods on the matrix type like so:
* `tensor.covariance("features")`
*
* # Example
*
* ```
* use easy_ml::tensors::Tensor;
* let matrix = Tensor::from([("samples", 5), ("features", 3)], vec![
* // X Y Z
* 1.0, 0.0, 0.5,
* 1.2, -1.0, 0.4,
* 1.8, -1.2, 0.7,
* 0.9, 0.1, 0.3,
* 0.7, 0.5, 0.6
* ]);
* let covariance_matrix = matrix.covariance("features");
* let (x, y, z) = (0, 1, 2);
* let x_y_z = covariance_matrix.index();
* // the variance of each feature with itself is positive
* assert!(x_y_z.get([x, x]) > 0.0);
* assert!(x_y_z.get([y, y]) > 0.0);
* assert!(x_y_z.get([z, z]) > 0.0);
* // first feature X and second feature Y have negative covariance (as X goes up Y goes down)
* assert!(x_y_z.get([x, y]) < 0.0);
* println!("{}", covariance_matrix);
* // D = 2
* // ("i", 3), ("j", 3)
* // [ 0.142, -0.226, 0.026
* // -0.226, 0.438, -0.022
* // 0.026, -0.022, 0.020 ]
* ```
*/
#[track_caller]
pub fn covariance<T, S, I>(tensor: I, feature_dimension: Dimension) -> Tensor<T, 2>
where
T: Numeric,
for<'a> &'a T: NumericRef<T>,
I: Into<TensorView<T, S, 2>>,
S: TensorRef<T, 2>,
{
covariance_less_generic::<T, S>(tensor.into(), feature_dimension)
}
#[track_caller]
fn covariance_less_generic<T, S>(
tensor: TensorView<T, S, 2>,
feature_dimension: Dimension,
) -> Tensor<T, 2>
where
T: Numeric,
for<'a> &'a T: NumericRef<T>,
S: TensorRef<T, 2>,
{
let shape = tensor.shape();
let features_index = {
if shape[0].0 == feature_dimension {
0
} else if shape[1].0 == feature_dimension {
1
} else {
panic!(
"Feature dimension {:?} is not present in the input tensor's shape: {:?}",
feature_dimension, shape
);
}
};
let (feature_dimension, features) = shape[features_index];
let (_sample_dimension, samples) = shape[1 - features_index];
let samples = T::from_usize(samples)
.expect("The maximum value of the matrix type T cannot represent this many samples");
let mut covariance_matrix = Tensor::empty([("i", features), ("j", features)], T::zero());
covariance_matrix.map_mut_with_index(|[i, j], _| {
// set each element of the covariance matrix to the variance of features i and j
#[rustfmt::skip]
let feature_i_mean: T = tensor
.select([(feature_dimension, i)])
.iter()
.sum::<T>() / &samples;
#[rustfmt::skip]
let feature_j_mean: T = tensor
.select([(feature_dimension, j)])
.iter()
.sum::<T>() / &samples;
tensor
.select([(feature_dimension, i)])
.iter_reference()
.map(|x| x - &feature_i_mean)
.zip(
tensor
.select([(feature_dimension, j)])
.iter_reference()
.map(|y| y - &feature_j_mean),
)
.map(|(x, y)| x * y)
.sum::<T>()
/ &samples
});
covariance_matrix
}
/**
* Computes the mean of the values in an iterator, consuming the iterator.
*
* This function does not perform [Bessel's correction](https://en.wikipedia.org/wiki/Bessel%27s_correction)
*
* # Panics
*
* If the iterator is empty. This function will also fail if the length of the iterator
* or sum of all the values in the iterator exceeds the maximum number the type can
* represent.
*/
pub fn mean<I, T: Numeric>(mut data: I) -> T
where
I: Iterator<Item = T>,
{
let mut next = data.next();
assert!(next.is_some(), "Provided iterator must not be empty");
let mut count = T::zero();
let mut sum = T::zero();
while next.is_some() {
count = count + T::one();
sum = sum + next.unwrap();
next = data.next();
}
sum / count
}
/**
* Computes the variance of the values in an iterator, consuming the iterator.
*
* Variance is defined as expected value of of the squares of the zero mean data.
* It captures how much data varies from its mean, ie the spread of the data.
*
* This function does not perform [Bessel's correction](https://en.wikipedia.org/wiki/Bessel%27s_correction)
*
* Variance may also be computed as the mean of each squared datapoint minus the
* square of the mean of the data. Although this method would allow for a streaming
* implementation the [wikipedia page](https://en.wikipedia.org/wiki/Variance#Definition)
* cautions: "This equation should not be used for computations using floating point
* arithmetic because it suffers from catastrophic cancellation if the two components
* of the equation are similar in magnitude".
*
* # Panics
*
* If the iterator is empty. This function will also fail if the length of the iterator
* or sum of all the values in the iterator exceeds the maximum number the type can
* represent.
*/
pub fn variance<I, T: Numeric>(data: I) -> T
where
I: Iterator<Item = T>,
{
let list = data.collect::<Vec<T>>();
assert!(!list.is_empty(), "Provided iterator must not be empty");
// copy the list as we need to keep it as well as getting the mean
let m = mean(list.iter().cloned());
// use drain here as we no longer need to keep list
mean(
list.into_iter()
.map(|x| (x.clone() - m.clone()) * (x - m.clone())),
)
}
/**
* Computes the softmax of the values in an iterator, consuming the iterator.
*
* softmax(z)\[i\] = e<sup>z<sub>i</sub></sup> / the sum of e<sup>z<sub>j</sub></sup> for all j
* where z is a list of elements
*
* Softmax normalises an input of numbers into a probability distribution, such
* that they will sum to 1. This is often used to make a neural network
* output a single number.
*
* The implementation shifts the inputs by the maximum value in the iterator,
* to make numerical overflow less of a problem. As per the definition of softmax,
* softmax(z) = softmax(z-max(z)).
*
* [Further information](https://en.wikipedia.org/wiki/Softmax_function)
*
* # Panics
*
* If the iterator contains NaN values, or any value for which PartialOrd fails.
*
* This function will also fail if the length of the iterator or sum of all the values
* in the iterator exceeds the maximum or minimum number the type can represent.
*/
pub fn softmax<I, T: Numeric + Real>(data: I) -> Vec<T>
where
I: Iterator<Item = T>,
{
let list = data.collect::<Vec<T>>();
if list.is_empty() {
return Vec::with_capacity(0);
}
let max = list
.iter()
.max_by(|a, b| a.partial_cmp(b).expect("NaN should not be in list"))
.unwrap();
let denominator: T = list.iter().cloned().map(|x| (x - max).exp()).sum();
list.iter()
.cloned()
.map(|x| (x - max).exp() / denominator.clone())
.collect()
}
/**
* Computes the F-1 score of the Precision and Recall
*
* 2 * (precision * recall) / (precision + recall)
*
* # [F-1 score](https://en.wikipedia.org/wiki/F1_score)
*
* This is a harmonic mean of the two, which penalises the score
* more heavily if either the precision or recall are poor than
* an arithmetic mean.
*
* The F-1 score is a helpful metric for assessing classifiers, as
* it takes into account that classes may be heavily biased which
* Accuracy does not. For example, it may be quite easy to create a
* 95% accurate test for a medical condition, which inuitively seems
* very good, but if 99.9% of patients are expected to not have the
* condition then accuracy is a poor way to measure performance because
* it does not consider that the cost of false negatives is very high.
*
* Note that Precision and Recall both depend on there being a positive
* and negative class for a classification task, in some contexts this may
* be an arbitrary choice.
*
* # [Precision](https://en.wikipedia.org/wiki/Precision_and_recall)
*
* In classification, precision is true positives / positive predictions.
* It measures correct identifications of the positive class compared
* to all predictions of the positive class. You can trivially get
* 100% precision by never predicting the positive class, as this can
* never result in a false positive.
*
* Note that the meaning of precision in classification or document
* retrieval is not the same as its meaning in [measurements](https://en.wikipedia.org/wiki/Accuracy_and_precision).
*
* # [Recall](https://en.wikipedia.org/wiki/Precision_and_recall)
*
* In classification, recall is true positives / actual positives.
* It measures how many of the positive cases are identified. You
* can trivially get 100% recall by always predicting the positive class,
* as this can never result in a false negative.
*
* [F scores](https://en.wikipedia.org/wiki/F1_score)
*
* The F-1 score is an evenly weighted combination of Precision and
* Recall. For domains where the cost of false positives and false
* negatives are not equal, you should use a biased F score that weights
* precision or recall more strongly than the other.
*/
pub fn f1_score<T: Numeric>(precision: T, recall: T) -> T {
(T::one() + T::one()) * ((precision.clone() * recall.clone()) / (precision + recall))
}
/**
* Computes the cholesky decomposition of a matrix. This yields a matrix `L`
* such that for the provided matrix `A`, `L * L^T = A`. `L` will always be
* lower triangular, ie all entries above the diagonal will be 0. Hence cholesky
* decomposition can be interpreted as a generalised square root function.
*
* Cholesky decomposition is defined for
* [symmetric](https://en.wikipedia.org/wiki/Hermitian_matrix),
* [positive definite](https://en.wikipedia.org/wiki/Definite_matrix) matrices.
*
* This function does not check that the provided matrix is symmetric. However, given a symmetric
* input, if the input is not positive definite `None` is returned. Attempting a cholseky
* decomposition is also an efficient way to check if such a matrix is positive definite.
* In the future additional checks that the input is valid could be added.
*/
pub fn cholesky_decomposition<T: Numeric + Sqrt<Output = T>>(
matrix: &Matrix<T>,
) -> Option<Matrix<T>>
where
for<'a> &'a T: NumericRef<T>,
{
let lower_triangular = cholesky_decomposition_less_generic::<T, _>(&TensorView::from(
crate::interop::TensorRefMatrix::from(matrix).ok()?,
))?;
Some(lower_triangular.into_matrix())
}
/**
* Computes the cholesky decomposition of a Tensor matrix. This yields a matrix `L`
* such that for the provided matrix `A`, `L * L^T = A`. `L` will always be
* lower triangular, ie all entries above the diagonal will be 0. Hence cholesky
* decomposition can be interpreted as a generalised square root function.
*
* Cholesky decomposition is defined for
* [symmetric](https://en.wikipedia.org/wiki/Hermitian_matrix),
* [positive definite](https://en.wikipedia.org/wiki/Definite_matrix) matrices.
*
* This function does not check that the provided matrix is symmetric. However, given a symmetric
* input, if the input is not positive definite `None` is returned. Attempting a cholseky
* decomposition is also an efficient way to check if such a matrix is positive definite.
* In the future additional checks that the input is valid could be added.
*
* The output matrix will have the same shape as the input.
*/
pub fn cholesky_decomposition_tensor<T, S, I>(tensor: I) -> Option<Tensor<T, 2>>
where
T: Numeric + Sqrt<Output = T>,
for<'a> &'a T: NumericRef<T>,
I: Into<TensorView<T, S, 2>>,
S: TensorRef<T, 2>,
{
cholesky_decomposition_less_generic::<T, S>(&tensor.into())
}
#[rustfmt::skip]
fn cholesky_decomposition_less_generic<T, S>(tensor: &TensorView<T, S, 2>) -> Option<Tensor<T, 2>>
where
T: Numeric + Sqrt<Output = T>,
for<'a> &'a T: NumericRef<T>,
S: TensorRef<T, 2>,
{
let shape = tensor.shape();
if !crate::tensors::dimensions::is_square(&shape) {
return None;
}
// The computation steps are outlined nicely at https://rosettacode.org/wiki/Cholesky_decomposition
let mut lower_triangular = Tensor::empty(shape, T::zero());
let mut lower_triangular_indexing = lower_triangular.index_mut();
let tensor_indexing = tensor.index();
let n = shape[0].1;
for i in 0..n {
// For each column j we need to compute all i, j entries
// before incrementing j further as the diagonals depend
// on the elements below the diagonal of the previous columns,
// and the elements below the diagonal depend on the diagonal
// of their column and elements below the diagonal up to that
// column.
for j in 0..=i {
// For the i = j case we compute the sum of squares, otherwise we're
// computing a sum of L_ik * L_jk using the current column and prior columns
let sum = {
let mut sum = T::zero();
for k in 0..j {
sum = &sum
+ (lower_triangular_indexing.get_ref([i, k])
* lower_triangular_indexing.get_ref([j, k]));
}
sum
};
// Calculate L_ij as we step through the lower diagonal
*lower_triangular_indexing.get_ref_mut([i, j]) = if i == j {
let entry_squared = tensor_indexing.get_ref([i, j]) - sum;
if entry_squared <= T::zero() {
// input wasn't positive definite! avoid sqrt of a negative number.
// We can take sqrt(0) but that will leave a 0 on the diagonal which
// will then cause division by zero for the j < i case later.
return None;
}
entry_squared.sqrt()
} else /* j < i */ {
(tensor_indexing.get_ref([i, j]) - sum)
* (T::one() / lower_triangular_indexing.get_ref([j, j]))
};
}
}
Some(lower_triangular)
}
/**
* The result of an `LDL^T` Decomposition of some matrix `A` such that `LDL^T = A`.
*/
#[derive(Clone, Debug)]
#[non_exhaustive]
pub struct LDLTDecomposition<T> {
pub l: Matrix<T>,
pub d: Matrix<T>,
}
impl<T: std::fmt::Display + Clone> std::fmt::Display for LDLTDecomposition<T> {
fn fmt(&self, f: &mut std::fmt::Formatter) -> std::fmt::Result {
writeln!(f, "L:\n{}", &self.l)?;
write!(f, "D:\n{}", &self.d)
}
}
impl<T> LDLTDecomposition<T> {
/**
* Creates an `LDL^T` Decomposition struct from two matrices without checking that `LDL^T = A`
* or that L and D have the intended properties.
*
* This is provided for assistance with unit testing.
*/
pub fn from_unchecked(l: Matrix<T>, d: Matrix<T>) -> LDLTDecomposition<T> {
LDLTDecomposition { l, d }
}
}
/**
* Computes the LDL^T decomposition of a matrix. This yields a matrix `L` and a matrix `D`
* such that for the provided matrix `A`, `L * D * L^T = A`. `L` will always be
* unit lower triangular, ie all entries above the diagonal will be 0, and all entries along
* the diagonal will br 1. `D` will always contain zeros except along the diagonal. This
* decomposition is closely related to the [cholesky decomposition](cholesky_decomposition)
* with the notable difference that it avoids taking square roots.
*
* Similarly to the cholseky decomposition, the input matrix must be
* [symmetric](https://en.wikipedia.org/wiki/Hermitian_matrix) and
* [positive definite](https://en.wikipedia.org/wiki/Definite_matrix).
*
* This function does not check that the provided matrix is symmetric. However, given a symmetric
* input, if the input is only positive **semi**definite `None` is returned. In the future
* additional checks that the input is valid could be added.
*
* # Warning
*
* With some uses of this function the Rust compiler gets confused about what type `T`
* should be and you will get the error:
* > overflow evaluating the requirement `&'a _: easy_ml::numeric::NumericByValue<_, _>`
*
* In this case you need to manually specify the type of T by using the
* turbofish syntax like:
* `linear_algebra::ldlt_decomposition::<f32>(&matrix)`
*/
pub fn ldlt_decomposition<T>(matrix: &Matrix<T>) -> Option<LDLTDecomposition<T>>
where
T: Numeric,
for<'a> &'a T: NumericRef<T>,
{
let decomposition = ldlt_decomposition_less_generic::<T, _>(&TensorView::from(
crate::interop::TensorRefMatrix::from(matrix).ok()?,
))?;
Some(LDLTDecomposition {
l: decomposition.l.into_matrix(),
d: decomposition.d.into_matrix(),
})
}
/**
* The result of an `LDL^T` Decomposition of some matrix `A` such that `LDL^T = A`.
*/
#[derive(Clone, Debug)]
#[non_exhaustive]
pub struct LDLTDecompositionTensor<T> {
pub l: Tensor<T, 2>,
pub d: Tensor<T, 2>,
}
impl<T: std::fmt::Display + Clone> std::fmt::Display for LDLTDecompositionTensor<T> {
fn fmt(&self, f: &mut std::fmt::Formatter) -> std::fmt::Result {
writeln!(f, "L:\n{}", &self.l)?;
write!(f, "D:\n{}", &self.d)
}
}
impl<T> LDLTDecompositionTensor<T> {
/**
* Creates an `LDL^T` Decomposition struct from two matrices without checking that `LDL^T = A`
* or that L and D have the intended properties.
*
* This is provided for assistance with unit testing.
*/
pub fn from_unchecked(l: Tensor<T, 2>, d: Tensor<T, 2>) -> LDLTDecompositionTensor<T> {
LDLTDecompositionTensor { l, d }
}
}
/**
* Computes the LDL^T decomposition of a matrix. This yields a matrix `L` and a matrix `D`
* such that for the provided matrix `A`, `L * D * L^T = A`. `L` will always be
* unit lower triangular, ie all entries above the diagonal will be 0, and all entries along
* the diagonal will br 1. `D` will always contain zeros except along the diagonal. This
* decomposition is closely related to the [cholesky decomposition](cholesky_decomposition)
* with the notable difference that it avoids taking square roots.
*
* Similarly to the cholseky decomposition, the input matrix must be
* [symmetric](https://en.wikipedia.org/wiki/Hermitian_matrix) and
* [positive definite](https://en.wikipedia.org/wiki/Definite_matrix).
*
* This function does not check that the provided matrix is symmetric. However, given a symmetric
* input, if the input is only positive **semi**definite `None` is returned. In the future
* additional checks that the input is valid could be added.
*
* The shapes of the `L` and `D` matrices will be the same as the input matrix.
*
* # Warning
*
* With some uses of this function the Rust compiler gets confused about what type `T`
* should be and you will get the error:
* > overflow evaluating the requirement `&'a _: easy_ml::numeric::NumericByValue<_, _>`
*
* In this case you need to manually specify the type of T by using the
* turbofish syntax like:
* `linear_algebra::ldlt_decomposition_tensor::<f32, _, _>(&tensor)`
*/
pub fn ldlt_decomposition_tensor<T, S, I>(tensor: I) -> Option<LDLTDecompositionTensor<T>>
where
T: Numeric,
for<'a> &'a T: NumericRef<T>,
I: Into<TensorView<T, S, 2>>,
S: TensorRef<T, 2>,
{
ldlt_decomposition_less_generic::<T, S>(&tensor.into())
}
fn ldlt_decomposition_less_generic<T, S>(
tensor: &TensorView<T, S, 2>,
) -> Option<LDLTDecompositionTensor<T>>
where
T: Numeric,
for<'a> &'a T: NumericRef<T>,
S: TensorRef<T, 2>,
{
// The algorithm is outlined nicely in context as Algorithm 1.2 here:
// https://mcsweeney90.github.io/files/modified-cholesky-decomposition-and-applications.pdf
// and also as proper code here (though a less efficient solution):
// https://astroanddata.blogspot.com/2020/04/ldl-decomposition-with-python.html
let shape = tensor.shape();
if !crate::tensors::dimensions::is_square(&shape) {
return None;
}
let mut lower_triangular = Tensor::empty(shape, T::zero());
let mut diagonal = Tensor::empty(shape, T::zero());
let mut lower_triangular_indexing = lower_triangular.index_mut();
let mut diagonal_indexing = diagonal.index_mut();
let tensor_indexing = tensor.index();
let n = shape[0].1;
for j in 0..n {
#[rustfmt::skip]
let sum = {
let mut sum = T::zero();
for k in 0..j {
sum = &sum + (
lower_triangular_indexing.get_ref([j, k]) *
lower_triangular_indexing.get_ref([j, k]) *
diagonal_indexing.get_ref([k, k])
);
}
sum
};
*diagonal_indexing.get_ref_mut([j, j]) = {
let entry = tensor_indexing.get_ref([j, j]) - sum;
if entry == T::zero() {
// If input is positive definite then no diagonal will be 0. Otherwise we
// fail the decomposition to avoid division by zero in the j < i case later.
// Note: unlike cholseky, negatives here are fine since we can still perform
// the calculations sensibly.
return None;
}
entry
};
for i in j..n {
#[rustfmt::skip]
let x = if i == j {
T::one()
} else /* j < i */ {
let sum = {
let mut sum = T::zero();
for k in 0..j {
sum = &sum + (
lower_triangular_indexing.get_ref([i, k]) *
lower_triangular_indexing.get_ref([j, k]) *
diagonal_indexing.get_ref([k, k])
);
}
sum
};
(tensor_indexing.get_ref([i, j]) - sum) *
(T::one() / diagonal_indexing.get_ref([j, j]))
};
*lower_triangular_indexing.get_ref_mut([i, j]) = x;
}
}
Some(LDLTDecompositionTensor {
l: lower_triangular,
d: diagonal,
})
}
/**
* The result of a QR Decomposition of some matrix A such that `QR = A`.
*/
#[derive(Clone, Debug)]
#[non_exhaustive]
pub struct QRDecomposition<T> {
pub q: Matrix<T>,
pub r: Matrix<T>,
}
impl<T: std::fmt::Display + Clone> std::fmt::Display for QRDecomposition<T> {
fn fmt(&self, f: &mut std::fmt::Formatter) -> std::fmt::Result {
writeln!(f, "Q:\n{}", &self.q)?;
write!(f, "R:\n{}", &self.r)
}
}
impl<T> QRDecomposition<T> {
/**
* Creates a QR Decomposition struct from two matrices without checking that `QR = A`
* or that Q and R have the intended properties.
*
* This is provided for assistance with unit testing.
*/
pub fn from_unchecked(q: Matrix<T>, r: Matrix<T>) -> QRDecomposition<T> {
QRDecomposition { q, r }
}
}
fn householder_matrix_tensor<T: Numeric + Real>(
vector: Vec<T>,
names: [Dimension; 2],
) -> Tensor<T, 2>
where
for<'a> &'a T: NumericRef<T> + RealRef<T>,
{
// The computation steps are outlined nicely at https://en.wikipedia.org/wiki/QR_decomposition#Using_Householder_reflections
// Supporting reference implementations are on Rosettacode https://rosettacode.org/wiki/QR_decomposition
// we hardcode to taking the first column vector of the input matrix
let x = Tensor::from([("r", vector.len())], vector);
let shape = x.shape();
let rows = shape[0].1;
let length = x.euclidean_length();
let a = {
// we hardcode to wanting to zero all elements below the first
let sign = x.first();
if sign > T::zero() {
length
} else {
-length
}
};
let u = {
// u = x - ae, where e is [1 0 0 0 ... 0]^T, and x is the column vector so
// u is equal to x except for the first element.
// Also, we invert the sign of a to avoid loss of significance, so u[0] becomes x[0] + a
let mut u = x;
let mut u_indexing = u.index_mut();
*u_indexing.get_ref_mut([0]) = u_indexing.get_ref([0]) + a;
u
};
// v = u / ||u||
let v = {
let length = u.euclidean_length();
u.map(|element| element / &length)
};
let identity = Tensor::diagonal([(names[0], rows), (names[1], rows)], T::one());
let two = T::one() + T::one();
let v_column = Tensor::from([(names[0], rows), (names[1], 1)], v.iter().collect());
let v_row = Tensor::from([(names[0], 1), (names[1], rows)], v.iter().collect());
// I - 2 v v^T
identity - ((v_column * v_row) * two)
}
/**
* Computes a QR decomposition of a MxN matrix where M >= N.
*
* For an input matrix A, decomposes this matrix into a product of QR, where Q is an
* [orthogonal matrix](https://en.wikipedia.org/wiki/Orthogonal_matrix) and R is an
* upper triangular matrix (all entries below the diagonal are 0), and QR = A.
*
* If the input matrix has more columns than rows, returns None.
*
* # Warning
*
* With some uses of this function the Rust compiler gets confused about what type `T`
* should be and you will get the error:
* > overflow evaluating the requirement `&'a _: easy_ml::numeric::NumericByValue<_, _>`
*
* In this case you need to manually specify the type of T by using the
* turbofish syntax like:
* `linear_algebra::qr_decomposition::<f32>(&matrix)`
*/
pub fn qr_decomposition<T: Numeric + Real>(matrix: &Matrix<T>) -> Option<QRDecomposition<T>>
where
for<'a> &'a T: NumericRef<T> + RealRef<T>,
{
let decomposition = qr_decomposition_less_generic::<T, _>(&TensorView::from(
crate::interop::TensorRefMatrix::from(matrix).ok()?,
))?;
Some(QRDecomposition {
q: decomposition.q.into_matrix(),
r: decomposition.r.into_matrix(),
})
}
/**
* The result of a QR Decomposition of some matrix A such that `QR = A`.
*/
#[derive(Clone, Debug)]
#[non_exhaustive]
pub struct QRDecompositionTensor<T> {
pub q: Tensor<T, 2>,
pub r: Tensor<T, 2>,
}
impl<T: std::fmt::Display + Clone> std::fmt::Display for QRDecompositionTensor<T> {
fn fmt(&self, f: &mut std::fmt::Formatter) -> std::fmt::Result {
writeln!(f, "Q:\n{}", &self.q)?;
write!(f, "R:\n{}", &self.r)
}
}
impl<T> QRDecompositionTensor<T> {
/**
* Creates a QR Decomposition struct from two matrices without checking that `QR = A`
* or that Q and R have the intended properties.
*
* This is provided for assistance with unit testing.
*/
pub fn from_unchecked(q: Tensor<T, 2>, r: Tensor<T, 2>) -> QRDecompositionTensor<T> {
QRDecompositionTensor { q, r }
}
}
/**
* Computes a QR decomposition of a MxN matrix where M >= N.
*
* For an input matrix A, decomposes this matrix into a product of QR, where Q is an
* [orthogonal matrix](https://en.wikipedia.org/wiki/Orthogonal_matrix) and R is an
* upper triangular matrix (all entries below the diagonal are 0), and QR = A.
*
* The first dimension in the Tensor's shape will be taken as the rows of the matrix, and the
* second dimension as the columns. If you instead have columns and then rows for the Tensor's
* shape, you should reorder the Tensor before calling this function to get the appropriate matrix.
*
* If the input matrix has more columns than rows, returns None.
*
* The shape of R will be the same as the input, and the shape of Q will be of lengths MxM
* in relation to the MxN input matrix with the same dimension names as the input. Hence, QR
* yields the same shape as the input.
*
* # Warning
*
* With some uses of this function the Rust compiler gets confused about what type `T`
* should be and you will get the error:
* > overflow evaluating the requirement `&'a _: easy_ml::numeric::NumericByValue<_, _>`
*
* In this case you need to manually specify the type of T by using the
* turbofish syntax like:
* `linear_algebra::qr_decomposition_tensor::<f32, _, _>(&tensor)`
*/
pub fn qr_decomposition_tensor<T, S, I>(tensor: I) -> Option<QRDecompositionTensor<T>>
where
T: Numeric + Real,
for<'a> &'a T: NumericRef<T> + RealRef<T>,
I: Into<TensorView<T, S, 2>>,
S: TensorRef<T, 2>,
{
qr_decomposition_less_generic::<T, S>(&tensor.into())
}
fn qr_decomposition_less_generic<T, S>(
tensor: &TensorView<T, S, 2>,
) -> Option<QRDecompositionTensor<T>>
where
T: Numeric + Real,
for<'a> &'a T: NumericRef<T> + RealRef<T>,
S: TensorRef<T, 2>,
{
let shape = tensor.shape();
let names = crate::tensors::dimensions::names_of(&shape);
let rows = shape[0].1;
let columns = shape[1].1;
if columns > rows {
return None;
}
// The computation steps are outlined nicely at https://en.wikipedia.org/wiki/QR_decomposition#Using_Householder_reflections
// Supporting reference implementations are at Rosettacode https://rosettacode.org/wiki/QR_decomposition
let iterations = std::cmp::min(rows - 1, columns);
let mut q = None;
let mut r = tensor.map(|x| x);
for c in 0..iterations {
// Conceptually, on each iteration we take a minor of r to retain the bottom right of
// the matrix, with one fewer row/column on each iteration since that will have already
// been zeroed. However, we then immediately discard all but the first column of that
// minor, so we skip the minor step and compute directly the first column of the minor
// we would have taken.
let submatrix_first_column = r
.select([(shape[1].0, c)])
.iter()
.skip(c)
.collect::<Vec<_>>();
// compute the (M-column)x(M-column) householder matrix
let h = householder_matrix_tensor::<T>(submatrix_first_column, names);
// pad the h into the bottom right of an identity matrix so it is MxM
// like so:
// 1 0 0
// 0 H H
// 0 H H
let h = {
let h_indexing = h.index();
let mut identity = Tensor::diagonal([(shape[0].0, rows), (shape[1].0, rows)], T::one());
// the column we're on is the same as how many steps we inset the
// householder matrix into the identity
let inset = c;
for ([i, j], x) in identity.iter_reference_mut().with_index() {
if i >= inset && j >= inset {
*x = h_indexing.get([i - inset, j - inset]);
}
}
identity
};
// R = H_n * ... H_3 * H_2 * H_1 * A
r = &h * r;
// Q = H_1 * H_2 * H_3 .. H_n
match q {
None => q = Some(h),
Some(h_previous) => q = Some(h_previous * h),
}
}
Some(QRDecompositionTensor {
// This should always be Some because the input matrix has to be at least 1x1
q: q.unwrap(),
r,
})
}