scirs2_sparse/linalg/eigen/
lanczos.rs1use crate::error::{SparseError, SparseResult};
7use crate::sym_csr::SymCsrMatrix;
8use crate::sym_ops::sym_csr_matvec;
9use scirs2_core::ndarray::{Array1, Array2, ArrayView1};
10use scirs2_core::numeric::Float;
11use scirs2_core::SparseElement;
12use std::fmt::Debug;
13use std::ops::{Add, Div, Mul, Sub};
14
15macro_rules! abs_diff_eq {
17 ($left:expr, $right:expr) => {
18 ($left as i32) == ($right as i32)
19 };
20}
21
22#[derive(Debug, Clone)]
24pub struct LanczosOptions {
25 pub max_iter: usize,
27 pub max_subspace_size: usize,
29 pub tol: f64,
31 pub numeigenvalues: usize,
33 pub compute_eigenvectors: bool,
35}
36
37impl Default for LanczosOptions {
38 fn default() -> Self {
39 Self {
40 max_iter: 1000,
41 max_subspace_size: 20,
42 tol: 1e-8,
43 numeigenvalues: 1,
44 compute_eigenvectors: true,
45 }
46 }
47}
48
49#[derive(Debug, Clone)]
51pub struct EigenResult<T>
52where
53 T: Float + Debug + Copy,
54{
55 pub eigenvalues: Array1<T>,
57 pub eigenvectors: Option<Array2<T>>,
59 pub iterations: usize,
61 pub residuals: Array1<T>,
63 pub converged: bool,
65}
66
67#[allow(unused_assignments)]
114#[allow(dead_code)]
115pub fn lanczos<T>(
116 matrix: &SymCsrMatrix<T>,
117 options: &LanczosOptions,
118 initial_guess: Option<ArrayView1<T>>,
119) -> SparseResult<EigenResult<T>>
120where
121 T: Float
122 + SparseElement
123 + Debug
124 + Copy
125 + Add<Output = T>
126 + Sub<Output = T>
127 + Mul<Output = T>
128 + Div<Output = T>
129 + std::iter::Sum
130 + scirs2_core::simd_ops::SimdUnifiedOps
131 + Send
132 + Sync
133 + 'static,
134{
135 let (n, _) = matrix.shape();
136
137 let subspace_size = options.max_subspace_size.min(n);
139
140 let numeigenvalues = options.numeigenvalues.min(subspace_size);
142
143 let mut v = match initial_guess {
145 Some(v) => {
146 if v.len() != n {
147 return Err(SparseError::DimensionMismatch {
148 expected: n,
149 found: v.len(),
150 });
151 }
152 let mut v_arr = Array1::zeros(n);
154 for i in 0..n {
155 v_arr[i] = v[i];
156 }
157 v_arr
158 }
159 None => {
160 let mut v_arr = Array1::zeros(n);
162 v_arr[0] = T::sparse_one(); v_arr
164 }
165 };
166
167 let norm = (v.iter().map(|&val| val * val).sum::<T>()).sqrt();
169 if !SparseElement::is_zero(&norm) {
170 for i in 0..n {
171 v[i] = v[i] / norm;
172 }
173 }
174
175 let mut v_vectors = Vec::with_capacity(subspace_size);
177 v_vectors.push(v.clone());
178
179 let mut alpha = Vec::<T>::with_capacity(subspace_size); let mut beta = Vec::<T>::with_capacity(subspace_size - 1); let mut w = sym_csr_matvec(matrix, &v.view())?;
185 let alpha_j = v.iter().zip(w.iter()).map(|(&vi, &wi)| vi * wi).sum::<T>();
186 alpha.push(alpha_j);
187
188 for i in 0..n {
190 w[i] = w[i] - alpha_j * v[i];
191 }
192
193 let beta_j = (w.iter().map(|&val| val * val).sum::<T>()).sqrt();
195
196 let mut iter = 1;
197 let mut converged = false;
198
199 while iter < options.max_iter && alpha.len() < subspace_size {
200 if SparseElement::is_zero(&beta_j) {
201 break;
203 }
204
205 beta.push(beta_j);
206
207 let mut v_next = Array1::zeros(n);
209 for i in 0..n {
210 v_next[i] = w[i] / beta_j;
211 }
212
213 v_vectors.push(v_next.clone());
215
216 w = sym_csr_matvec(matrix, &v_next.view())?;
218
219 for v_j in v_vectors.iter() {
221 let proj = v_j
222 .iter()
223 .zip(w.iter())
224 .map(|(&vj, &wi)| vj * wi)
225 .sum::<T>();
226 for i in 0..n {
227 w[i] = w[i] - proj * v_j[i];
228 }
229 }
230
231 let alpha_j = v_next
233 .iter()
234 .zip(w.iter())
235 .map(|(&vi, &wi)| vi * wi)
236 .sum::<T>();
237 alpha.push(alpha_j);
238
239 for i in 0..n {
241 w[i] = w[i] - alpha_j * v_next[i];
242 }
243
244 let beta_j_next = (w.iter().map(|&val| val * val).sum::<T>()).sqrt();
246
247 if alpha.len() >= numeigenvalues {
249 let (eigvals, _) = solve_tridiagonal_eigenproblem(&alpha, &beta, numeigenvalues)?;
251
252 if beta_j_next < T::from(options.tol).unwrap() * eigvals[0].abs() {
254 converged = true;
255 break;
256 }
257 }
258
259 v = v_next;
260 iter += 1;
261
262 if iter < options.max_iter && alpha.len() < subspace_size {
264 let _beta_j = beta_j_next;
265 }
266 }
267
268 let (eigvals, eigvecs) = solve_tridiagonal_eigenproblem(&alpha, &beta, numeigenvalues)?;
270
271 let eigenvectors = if options.compute_eigenvectors {
273 let mut ritz_vectors = Array2::zeros((n, numeigenvalues));
274
275 for k in 0..numeigenvalues {
276 for i in 0..n {
277 let mut sum = T::sparse_zero();
278 for j in 0..v_vectors.len() {
279 if j < eigvecs.len() && k < eigvecs[j].len() {
280 sum = sum + eigvecs[j][k] * v_vectors[j][i];
281 }
282 }
283 ritz_vectors[[i, k]] = sum;
284 }
285 }
286
287 Some(ritz_vectors)
288 } else {
289 None
290 };
291
292 let actualeigenvalues = eigvals.len();
294 let mut residuals = Array1::zeros(actualeigenvalues);
295 if let Some(ref evecs) = eigenvectors {
296 for k in 0..actualeigenvalues {
297 let mut evec = Array1::zeros(n);
298 for i in 0..n {
299 evec[i] = evecs[[i, k]];
300 }
301
302 let ax = sym_csr_matvec(matrix, &evec.view())?;
303
304 let mut res = Array1::zeros(n);
305 for i in 0..n {
306 res[i] = ax[i] - eigvals[k] * evec[i];
307 }
308
309 residuals[k] = (res.iter().map(|&v| v * v).sum::<T>()).sqrt();
310 }
311 } else {
312 for k in 0..numeigenvalues {
315 if k < eigvecs.len() && !beta.is_empty() {
316 residuals[k] = beta[beta.len() - 1] * eigvecs[eigvecs.len() - 1][k].abs();
317 }
318 }
319 }
320
321 let result = EigenResult {
323 eigenvalues: Array1::from_vec(eigvals),
324 eigenvectors,
325 iterations: iter,
326 residuals,
327 converged,
328 };
329
330 Ok(result)
331}
332
333#[allow(dead_code)]
351fn solve_tridiagonal_eigenproblem<T>(
352 alpha: &[T],
353 beta: &[T],
354 numeigenvalues: usize,
355) -> SparseResult<(Vec<T>, Vec<Vec<T>>)>
356where
357 T: Float
358 + SparseElement
359 + Debug
360 + Copy
361 + Add<Output = T>
362 + Sub<Output = T>
363 + Mul<Output = T>
364 + Div<Output = T>,
365{
366 let n = alpha.len();
367 if n == 0 {
368 return Err(SparseError::ValueError(
369 "Empty tridiagonal matrix".to_string(),
370 ));
371 }
372
373 if beta.len() != n - 1 {
374 return Err(SparseError::DimensionMismatch {
375 expected: n - 1,
376 found: beta.len(),
377 });
378 }
379
380 if n <= 3 {
382 return solve_small_tridiagonal(alpha, beta, numeigenvalues);
383 }
384
385 let mut d = alpha.to_vec();
390 let mut e = beta.to_vec();
391 e.push(T::sparse_zero()); let mut z = vec![vec![T::sparse_zero(); n]; n];
395 #[allow(clippy::needless_range_loop)]
396 for i in 0..n {
397 z[i][i] = T::sparse_one(); }
399
400 for l in 0..n {
402 let mut iter = 0;
403 let max_iter = 30; loop {
406 let mut m = l;
408 while m < n - 1 {
409 if e[m].abs() <= T::from(1e-12).unwrap() * (d[m].abs() + d[m + 1].abs()) {
410 break;
411 }
412 m += 1;
413 }
414
415 if m == l {
416 break;
418 }
419
420 if iter >= max_iter {
421 return Err(SparseError::IterativeSolverFailure(
423 "QL algorithm did not converge".to_string(),
424 ));
425 }
426
427 let g = (d[l + 1] - d[l]) * T::from(0.5).unwrap() / e[l];
428 let r = (g * g + T::sparse_one()).sqrt();
429 let mut g = d[m] - d[l] + e[l] / (g + if g >= T::sparse_zero() { r } else { -r });
430
431 let mut s = T::sparse_one();
432 let mut c = T::sparse_one();
433 let mut p = T::sparse_zero();
434
435 let mut i = m - 1;
436 while i >= l && i < n {
437 let f = s * e[i];
439 let b = c * e[i];
440
441 let r = (f * f + g * g).sqrt();
443 e[i + 1] = r;
444
445 if SparseElement::is_zero(&r) {
446 d[i + 1] = d[i + 1] - p;
448 e[m] = T::sparse_zero();
449 break;
450 }
451
452 s = f / r;
453 c = g / r;
454
455 let _h = g * p;
456 p = s * (d[i] - d[i + 1]) + c * b;
457 d[i + 1] = d[i + 1] + p;
458 g = c * s - b;
459
460 #[allow(clippy::needless_range_loop)]
462 for k in 0..n {
463 let t = z[k][i + 1];
464 z[k][i + 1] = s * z[k][i] + c * t;
465 z[k][i] = c * z[k][i] - s * t;
466 }
467
468 if i == 0 {
469 break;
470 }
471 i -= 1;
472 }
473
474 if (i as i32) < (l as i32) || i >= n {
475 break;
477 }
478
479 if SparseElement::is_zero(&r) {
480 if abs_diff_eq!(m, l + 1) {
481 break;
483 }
484 d[l] = d[l] - p;
485 e[l] = g;
486 e[m - 1] = T::sparse_zero();
487 }
488
489 iter += 1;
490 }
491 }
492
493 let mut indices: Vec<usize> = (0..n).collect();
495 indices.sort_by(|&i, &j| d[j].partial_cmp(&d[i]).unwrap_or(std::cmp::Ordering::Equal));
496
497 let mut sortedeigenvalues = Vec::with_capacity(numeigenvalues);
498 let mut sorted_eigenvectors = Vec::with_capacity(numeigenvalues);
499
500 #[allow(clippy::needless_range_loop)]
501 for k in 0..numeigenvalues.min(n) {
502 let idx = indices[k];
503 sortedeigenvalues.push(d[idx]);
504
505 let mut eigenvector = Vec::with_capacity(n);
506 #[allow(clippy::needless_range_loop)]
507 for i in 0..n {
508 eigenvector.push(z[i][idx]);
509 }
510 sorted_eigenvectors.push(eigenvector);
511 }
512
513 Ok((sortedeigenvalues, sorted_eigenvectors))
514}
515
516#[allow(unused_assignments)]
518#[allow(dead_code)]
519fn solve_small_tridiagonal<T>(
520 alpha: &[T],
521 beta: &[T],
522 numeigenvalues: usize,
523) -> SparseResult<(Vec<T>, Vec<Vec<T>>)>
524where
525 T: Float
526 + SparseElement
527 + Debug
528 + Copy
529 + Add<Output = T>
530 + Sub<Output = T>
531 + Mul<Output = T>
532 + Div<Output = T>,
533{
534 let n = alpha.len();
535
536 if n == 1 {
537 return Ok((vec![alpha[0]], vec![vec![T::sparse_one()]]));
539 }
540
541 if n == 2 {
542 let a = alpha[0];
544 let b = alpha[1];
545 let c = beta[0];
546
547 let trace = a + b;
548 let det = a * b - c * c;
549
550 let discriminant = (trace * trace - T::from(4.0).unwrap() * det).sqrt();
552 let lambda1 = (trace + discriminant) * T::from(0.5).unwrap();
553 let lambda2 = (trace - discriminant) * T::from(0.5).unwrap();
554
555 let (lambda1, lambda2) = if lambda1 >= lambda2 {
557 (lambda1, lambda2)
558 } else {
559 (lambda2, lambda1)
560 };
561
562 let mut v1 = vec![T::sparse_zero(); 2];
564 let mut v2 = vec![T::sparse_zero(); 2];
565
566 if !SparseElement::is_zero(&c) {
567 v1[0] = c;
568 v1[1] = lambda1 - a;
569
570 v2[0] = c;
571 v2[1] = lambda2 - a;
572
573 let norm1 = (v1[0] * v1[0] + v1[1] * v1[1]).sqrt();
575 let norm2 = (v2[0] * v2[0] + v2[1] * v2[1]).sqrt();
576
577 if !SparseElement::is_zero(&norm1) {
578 v1[0] = v1[0] / norm1;
579 v1[1] = v1[1] / norm1;
580 }
581
582 if !SparseElement::is_zero(&norm2) {
583 v2[0] = v2[0] / norm2;
584 v2[1] = v2[1] / norm2;
585 }
586 } else {
587 if a >= b {
589 v1[0] = T::sparse_one();
590 v1[1] = T::sparse_zero();
591
592 v2[0] = T::sparse_zero();
593 v2[1] = T::sparse_one();
594 } else {
595 v1[0] = T::sparse_zero();
596 v1[1] = T::sparse_one();
597
598 v2[0] = T::sparse_one();
599 v2[1] = T::sparse_zero();
600 }
601 }
602
603 let mut eigenvalues = vec![lambda1, lambda2];
604 let mut eigenvectors = vec![v1, v2];
605
606 eigenvalues.truncate(numeigenvalues);
608 eigenvectors.truncate(numeigenvalues);
609
610 return Ok((eigenvalues, eigenvectors));
611 }
612
613 if n == 3 {
614 let a = alpha[0];
616 let b = alpha[1];
617 let c = alpha[2];
618 let d = beta[0];
619 let e = beta[1];
620
621 let p = -(a + b + c);
623 let q = a * b + a * c + b * c - d * d - e * e;
624 let r = -(a * b * c - a * e * e - c * d * d);
625
626 let eigenvalues = solve_cubic(p, q, r)?;
628
629 let mut sortedeigenvalues = eigenvalues.clone();
631 sortedeigenvalues.sort_by(|a, b| b.partial_cmp(a).unwrap_or(std::cmp::Ordering::Equal));
632
633 let mut eigenvectors = Vec::with_capacity(sortedeigenvalues.len());
635
636 for &lambda in &sortedeigenvalues[0..numeigenvalues.min(3)] {
637 let mut m00 = a - lambda;
642 let mut m01 = d;
643 let m02 = T::sparse_zero();
644
645 let mut m10 = d;
646 let mut m11 = b - lambda;
647 let mut m12 = e;
648
649 let m20 = T::sparse_zero();
650 let mut m21 = e;
651 let mut m22 = c - lambda;
652
653 let r0_norm = (m00 * m00 + m01 * m01 + m02 * m02).sqrt();
655 let r1_norm = (m10 * m10 + m11 * m11 + m12 * m12).sqrt();
656 let r2_norm = (m20 * m20 + m21 * m21 + m22 * m22).sqrt();
657
658 let mut v = vec![T::sparse_zero(); 3];
659
660 if r0_norm >= r1_norm && r0_norm >= r2_norm && !SparseElement::is_zero(&r0_norm) {
661 let scale = T::sparse_one() / r0_norm;
663 m00 = m00 * scale;
664 m01 = m01 * scale;
665
666 let factor = m10 / m00;
668 m11 = m11 - factor * m01;
669 m12 = m12 - factor * m02;
670
671 let factor = m20 / m00;
673 m21 = m21 - factor * m01;
674 m22 = m22 - factor * m02;
675
676 v[2] = T::sparse_one(); v[1] = -m12 * v[2] / m11;
679 v[0] = -(m01 * v[1] + m02 * v[2]) / m00;
680 } else if r1_norm >= r0_norm && r1_norm >= r2_norm && !SparseElement::is_zero(&r1_norm)
681 {
682 let scale = T::sparse_one() / r1_norm;
684 m10 = m10 * scale;
685 m11 = m11 * scale;
686 m12 = m12 * scale;
687
688 v[2] = T::sparse_one(); v[0] = -m02 * v[2] / m00;
691 v[1] = -(m10 * v[0] + m12 * v[2]) / m11;
692 } else if !SparseElement::is_zero(&r2_norm) {
693 v[0] = T::sparse_one(); v[1] = T::sparse_zero();
696 v[2] = T::sparse_zero();
697 } else {
698 v[0] = T::sparse_one();
700 v[1] = T::sparse_zero();
701 v[2] = T::sparse_zero();
702 }
703
704 let norm = (v[0] * v[0] + v[1] * v[1] + v[2] * v[2]).sqrt();
706 if !SparseElement::is_zero(&norm) {
707 v[0] = v[0] / norm;
708 v[1] = v[1] / norm;
709 v[2] = v[2] / norm;
710 }
711
712 eigenvectors.push(v);
713 }
714
715 sortedeigenvalues.truncate(numeigenvalues);
717 eigenvectors.truncate(numeigenvalues);
718
719 return Ok((sortedeigenvalues, eigenvectors));
720 }
721
722 Err(SparseError::ValueError(
724 "Tridiagonal eigenvalue problem for n > 3 not implemented".to_string(),
725 ))
726}
727
728fn solve_cubic<T>(p: T, q: T, r: T) -> SparseResult<Vec<T>>
731where
732 T: Float
733 + SparseElement
734 + Debug
735 + Copy
736 + Add<Output = T>
737 + Sub<Output = T>
738 + Mul<Output = T>
739 + Div<Output = T>,
740{
741 let p_over_3 = p / T::from(3.0).unwrap();
745 let q_new = q - p * p / T::from(3.0).unwrap();
746 let r_new = r - p * q / T::from(3.0).unwrap()
747 + T::from(2.0).unwrap() * p * p * p / T::from(27.0).unwrap();
748
749 let discriminant =
751 -(T::from(4.0).unwrap() * q_new * q_new * q_new + T::from(27.0).unwrap() * r_new * r_new);
752
753 if discriminant > T::sparse_zero() {
754 let theta = ((T::from(3.0).unwrap() * r_new) / (T::from(2.0).unwrap() * q_new)
756 * (-T::from(3.0).unwrap() / q_new).sqrt())
757 .acos();
758 let sqrt_term = T::from(2.0).unwrap() * (-q_new / T::from(3.0).unwrap()).sqrt();
759
760 let y1 = sqrt_term * (theta / T::from(3.0).unwrap()).cos();
761 let y2 = sqrt_term
762 * ((theta + T::from(2.0).unwrap() * T::from(std::f64::consts::PI).unwrap())
763 / T::from(3.0).unwrap())
764 .cos();
765 let y3 = sqrt_term
766 * ((theta + T::from(4.0).unwrap() * T::from(std::f64::consts::PI).unwrap())
767 / T::from(3.0).unwrap())
768 .cos();
769
770 let x1 = y1 - p_over_3;
771 let x2 = y2 - p_over_3;
772 let x3 = y3 - p_over_3;
773
774 Ok(vec![x1, x2, x3])
775 } else {
776 let u = (-r_new / T::from(2.0).unwrap() + (discriminant / T::from(-108.0).unwrap()).sqrt())
778 .cbrt();
779 let v = if SparseElement::is_zero(&u) {
780 T::sparse_zero()
781 } else {
782 -q_new / (T::from(3.0).unwrap() * u)
783 };
784
785 let y = u + v;
786 let x = y - p_over_3;
787
788 Ok(vec![x])
789 }
790}
791
792#[cfg(test)]
793mod tests {
794 use super::*;
795 use crate::sym_csr::SymCsrMatrix;
796
797 #[test]
798 fn test_lanczos_simple() {
799 let data = vec![2.0, 1.0, 2.0]; let indptr = vec![0, 1, 3]; let indices = vec![0, 0, 1]; let matrix = SymCsrMatrix::new(data, indptr, indices, (2, 2)).unwrap();
805
806 let options = LanczosOptions {
807 max_iter: 100,
808 max_subspace_size: 2,
809 tol: 1e-8,
810 numeigenvalues: 1,
811 compute_eigenvectors: true,
812 };
813 let result = lanczos(&matrix, &options, None).unwrap();
814
815 assert!(result.converged);
816 assert_eq!(result.eigenvalues.len(), 1);
817 assert!(result.eigenvalues[0].is_finite());
819 }
820
821 #[test]
822 fn test_tridiagonal_solver_2x2() {
823 let alpha = vec![2.0, 3.0];
824 let beta = vec![1.0];
825 let (eigenvalues, _eigenvectors) =
826 solve_tridiagonal_eigenproblem(&alpha, &beta, 2).unwrap();
827
828 assert_eq!(eigenvalues.len(), 2);
829 assert!(eigenvalues[0] >= eigenvalues[1]);
831 }
832
833 #[test]
834 fn test_solve_cubic() {
835 let roots = solve_cubic(-6.0, 11.0, -6.0).unwrap();
837 assert_eq!(roots.len(), 3);
838
839 let mut sorted_roots = roots;
841 sorted_roots.sort_by(|a, b| a.partial_cmp(b).unwrap());
842
843 assert!((sorted_roots[0] - 1.0).abs() < 1e-10);
844 assert!((sorted_roots[1] - 2.0).abs() < 1e-10);
845 assert!((sorted_roots[2] - 3.0).abs() < 1e-10);
846 }
847}