1pub mod masked;
2
3use crate::error::SvdLibError;
4use crate::{Diagnostics, SMat, SvdFloat, SvdRec};
5use ndarray::{Array, Array2};
6use num_traits::real::Real;
7use num_traits::{Float, FromPrimitive, One, Zero};
8use rand::rngs::StdRng;
9use rand::{thread_rng, Rng, SeedableRng};
10use rayon::iter::IndexedParallelIterator;
11use rayon::iter::ParallelIterator;
12use rayon::prelude::{IntoParallelIterator, IntoParallelRefIterator, IntoParallelRefMutIterator};
13use std::fmt::Debug;
14use std::iter::Sum;
15use std::mem;
16use std::ops::{AddAssign, MulAssign, Neg, SubAssign};
17
18pub fn svd<T, M>(a: &M) -> Result<SvdRec<T>, SvdLibError>
27where
28 T: SvdFloat,
29 M: SMat<T>,
30{
31 let eps_small = T::from_f64(-1.0e-30).unwrap();
32 let eps_large = T::from_f64(1.0e-30).unwrap();
33 let kappa = T::from_f64(1.0e-6).unwrap();
34 svd_las2(a, 0, 0, &[eps_small, eps_large], kappa, 0)
35}
36
37pub fn svd_dim<T, M>(a: &M, dimensions: usize) -> Result<SvdRec<T>, SvdLibError>
45where
46 T: SvdFloat,
47 M: SMat<T>,
48{
49 let eps_small = T::from_f64(-1.0e-30).unwrap();
50 let eps_large = T::from_f64(1.0e-30).unwrap();
51 let kappa = T::from_f64(1.0e-6).unwrap();
52
53 svd_las2(a, dimensions, 0, &[eps_small, eps_large], kappa, 0)
54}
55
56pub fn svd_dim_seed<T, M>(
65 a: &M,
66 dimensions: usize,
67 random_seed: u32,
68) -> Result<SvdRec<T>, SvdLibError>
69where
70 T: SvdFloat,
71 M: SMat<T>,
72{
73 let eps_small = T::from_f64(-1.0e-30).unwrap();
74 let eps_large = T::from_f64(1.0e-30).unwrap();
75 let kappa = T::from_f64(1.0e-6).unwrap();
76
77 svd_las2(
78 a,
79 dimensions,
80 0,
81 &[eps_small, eps_large],
82 kappa,
83 random_seed,
84 )
85}
86
87pub fn svd_las2<T, M>(
104 a: &M,
105 dimensions: usize,
106 iterations: usize,
107 end_interval: &[T; 2],
108 kappa: T,
109 random_seed: u32,
110) -> Result<SvdRec<T>, SvdLibError>
111where
112 T: SvdFloat,
113 M: SMat<T>,
114{
115 let random_seed = match random_seed > 0 {
116 true => random_seed,
117 false => thread_rng().gen::<_>(),
118 };
119
120 let min_nrows_ncols = a.nrows().min(a.ncols());
121
122 let dimensions = match dimensions {
123 n if n == 0 || n > min_nrows_ncols => min_nrows_ncols,
124 _ => dimensions,
125 };
126
127 let iterations = match iterations {
128 n if n == 0 || n > min_nrows_ncols => min_nrows_ncols,
129 n if n < dimensions => dimensions,
130 _ => iterations,
131 };
132
133 if dimensions < 2 {
134 return Err(SvdLibError::Las2Error(format!(
135 "svd_las2: insufficient dimensions: {dimensions}"
136 )));
137 }
138
139 assert!(dimensions > 1 && dimensions <= min_nrows_ncols);
140 assert!(iterations >= dimensions && iterations <= min_nrows_ncols);
141
142 let transposed = (a.ncols() as f64) >= ((a.nrows() as f64) * 1.2);
143 let nrows = if transposed { a.ncols() } else { a.nrows() };
144 let ncols = if transposed { a.nrows() } else { a.ncols() };
145
146 let mut wrk = WorkSpace::new(nrows, ncols, transposed, iterations)?;
147 let mut store = Store::new(ncols)?;
148
149 let mut neig = 0;
150 let steps = lanso(
151 a,
152 dimensions,
153 iterations,
154 end_interval,
155 &mut wrk,
156 &mut neig,
157 &mut store,
158 random_seed,
159 )?;
160
161 let kappa = kappa.abs().max(T::eps34());
162 let mut r = ritvec(a, dimensions, kappa, &mut wrk, steps, neig, &mut store)?;
163
164 if transposed {
165 mem::swap(&mut r.Ut, &mut r.Vt);
166 }
167
168 Ok(SvdRec {
169 d: r.d,
171 u: Array2::from_shape_vec((r.d, r.Ut.cols), r.Ut.value)?,
172 s: Array::from_shape_vec(r.d, r.S)?,
173 vt: Array2::from_shape_vec((r.d, r.Vt.cols), r.Vt.value)?,
174 diagnostics: Diagnostics {
175 non_zero: a.nnz(),
176 dimensions: dimensions,
177 iterations: iterations,
178 transposed: transposed,
179 lanczos_steps: steps + 1,
180 ritz_values_stabilized: neig,
181 significant_values: r.d,
182 singular_values: r.nsig,
183 end_interval: *end_interval,
184 kappa: kappa,
185 random_seed: random_seed,
186 },
187 })
188}
189
190const MAXLL: usize = 2;
191
192#[derive(Debug, Clone, PartialEq)]
193struct Store<T: Float> {
194 n: usize,
195 vecs: Vec<Vec<T>>,
196}
197
198impl<T: Float + Zero + Clone> Store<T> {
199 fn new(n: usize) -> Result<Self, SvdLibError> {
200 Ok(Self { n, vecs: vec![] })
201 }
202
203 fn storq(&mut self, idx: usize, v: &[T]) {
204 while idx + MAXLL >= self.vecs.len() {
205 self.vecs.push(vec![T::zero(); self.n]);
206 }
207 self.vecs[idx + MAXLL].copy_from_slice(v);
208 }
209
210 fn storp(&mut self, idx: usize, v: &[T]) {
211 while idx >= self.vecs.len() {
212 self.vecs.push(vec![T::zero(); self.n]);
213 }
214 self.vecs[idx].copy_from_slice(v);
215 }
216
217 fn retrq(&mut self, idx: usize) -> &[T] {
218 &self.vecs[idx + MAXLL]
219 }
220
221 fn retrp(&mut self, idx: usize) -> &[T] {
222 &self.vecs[idx]
223 }
224}
225
226#[derive(Debug, Clone, PartialEq)]
227struct WorkSpace<T: Float> {
228 nrows: usize,
229 ncols: usize,
230 transposed: bool,
231 w0: Vec<T>, w1: Vec<T>, w2: Vec<T>, w3: Vec<T>, w4: Vec<T>, w5: Vec<T>, alf: Vec<T>, eta: Vec<T>, oldeta: Vec<T>, bet: Vec<T>, bnd: Vec<T>, ritz: Vec<T>, temp: Vec<T>, }
245
246impl<T: Float + Zero + FromPrimitive> WorkSpace<T> {
247 fn new(
248 nrows: usize,
249 ncols: usize,
250 transposed: bool,
251 iterations: usize,
252 ) -> Result<Self, SvdLibError> {
253 Ok(Self {
254 nrows,
255 ncols,
256 transposed,
257 w0: vec![T::zero(); ncols],
258 w1: vec![T::zero(); ncols],
259 w2: vec![T::zero(); ncols],
260 w3: vec![T::zero(); ncols],
261 w4: vec![T::zero(); ncols],
262 w5: vec![T::zero(); ncols],
263 alf: vec![T::zero(); iterations],
264 eta: vec![T::zero(); iterations],
265 oldeta: vec![T::zero(); iterations],
266 bet: vec![T::zero(); 1 + iterations],
267 ritz: vec![T::zero(); 1 + iterations],
268 bnd: vec![T::from_f64(f64::MAX).unwrap(); 1 + iterations],
269 temp: vec![T::zero(); nrows],
270 })
271 }
272}
273
274#[derive(Debug, Clone, PartialEq)]
276struct DMat<T: Float> {
277 cols: usize,
278 value: Vec<T>,
279}
280
281#[allow(non_snake_case)]
282#[derive(Debug, Clone, PartialEq)]
283struct SVDRawRec<T: Float> {
284 d: usize,
285 nsig: usize,
286 Ut: DMat<T>,
287 S: Vec<T>,
288 Vt: DMat<T>,
289}
290
291fn compare<T: SvdFloat>(computed: T, expected: T) -> bool {
292 T::compare(computed, expected)
293}
294
295fn insert_sort<T: PartialOrd>(n: usize, array1: &mut [T], array2: &mut [T]) {
297 for i in 1..n {
298 for j in (1..i + 1).rev() {
299 if array1[j - 1] <= array1[j] {
300 break;
301 }
302 array1.swap(j - 1, j);
303 array2.swap(j - 1, j);
304 }
305 }
306}
307
308#[allow(non_snake_case)]
309#[rustfmt::skip]
310fn svd_opb<T: Float>(A: &dyn SMat<T>, x: &[T], y: &mut [T], temp: &mut [T], transposed: bool) {
311 let nrows = if transposed { A.ncols() } else { A.nrows() };
312 let ncols = if transposed { A.nrows() } else { A.ncols() };
313 assert_eq!(x.len(), ncols, "svd_opb: x must be A.ncols() in length, x = {}, A.ncols = {}", x.len(), ncols);
314 assert_eq!(y.len(), ncols, "svd_opb: y must be A.ncols() in length, y = {}, A.ncols = {}", y.len(), ncols);
315 assert_eq!(temp.len(), nrows, "svd_opa: temp must be A.nrows() in length, temp = {}, A.nrows = {}", temp.len(), nrows);
316 A.svd_opa(x, temp, transposed); A.svd_opa(temp, y, !transposed); }
319
320fn svd_daxpy<T: Float + AddAssign + Send + Sync>(da: T, x: &[T], y: &mut [T]) {
322 if x.len() < 1000 {
323 for (xval, yval) in x.iter().zip(y.iter_mut()) {
324 *yval += da * *xval
325 }
326 } else {
327 y.par_iter_mut()
328 .zip(x.par_iter())
329 .for_each(|(yval, xval)| *yval += da * *xval);
330 }
331}
332
333fn svd_idamax<T: Float>(n: usize, x: &[T]) -> usize {
335 assert!(n > 0, "svd_idamax: unexpected inputs!");
336
337 match n {
338 1 => 0,
339 _ => {
340 let mut imax = 0;
341 for (i, xval) in x.iter().enumerate().take(n).skip(1) {
342 if xval.abs() > x[imax].abs() {
343 imax = i;
344 }
345 }
346 imax
347 }
348 }
349}
350
351fn svd_fsign<T: Float>(a: T, b: T) -> T {
353 match (a >= T::zero() && b >= T::zero()) || (a < T::zero() && b < T::zero()) {
354 true => a,
355 false => -a,
356 }
357}
358
359fn svd_pythag<T: SvdFloat + FromPrimitive>(a: T, b: T) -> T {
361 match a.abs().max(b.abs()) {
362 n if n > T::zero() => {
363 let mut p = n;
364 let mut r = (a.abs().min(b.abs()) / p).powi(2);
365 let four = T::from_f64(4.0).unwrap();
366 let two = T::from_f64(2.0).unwrap();
367 let mut t = four + r;
368 while !compare(t, four) {
369 let s = r / t;
370 let u = T::one() + two * s;
371 p = p * u;
372 r = (s / u).powi(2);
373 t = four + r;
374 }
375 p
376 }
377 _ => T::zero(),
378 }
379}
380
381fn svd_ddot<T: Float + Sum<T> + Send + Sync>(x: &[T], y: &[T]) -> T {
383 if x.len() < 1000 {
384 x.iter().zip(y).map(|(a, b)| *a * *b).sum()
385 } else {
386 x.par_iter().zip(y.par_iter()).map(|(a, b)| *a * *b).sum()
387 }
388}
389
390fn svd_norm<T: Float + Sum<T> + Send + Sync>(x: &[T]) -> T {
392 svd_ddot(x, x).sqrt()
393}
394
395fn svd_datx<T: Float + Sum<T>>(d: T, x: &[T], y: &mut [T]) {
397 for (i, xval) in x.iter().enumerate() {
398 y[i] = d * *xval;
399 }
400}
401
402fn svd_dscal<T: Float + MulAssign + Send + Sync>(d: T, x: &mut [T]) {
404 if x.len() < 1000 {
405 for elem in x.iter_mut() {
406 *elem *= d;
407 }
408 } else {
409 x.par_iter_mut().for_each(|elem| {
410 *elem *= d;
411 });
412 }
413}
414
415fn svd_dcopy<T: Float + Copy>(n: usize, offset: usize, x: &[T], y: &mut [T]) {
417 if n > 0 {
418 let start = n - 1;
419 for i in 0..n {
420 y[offset + start - i] = x[offset + i];
421 }
422 }
423}
424
425const MAX_IMTQLB_ITERATIONS: usize = 100;
426
427fn imtqlb<T: SvdFloat>(
428 n: usize,
429 d: &mut [T],
430 e: &mut [T],
431 bnd: &mut [T],
432 max_imtqlb: Option<usize>,
433) -> Result<(), SvdLibError> {
434 let max_imtqlb = max_imtqlb.unwrap_or(MAX_IMTQLB_ITERATIONS);
435 if n == 1 {
436 return Ok(());
437 }
438
439 let matrix_size_factor = T::from_f64((n as f64).sqrt()).unwrap();
440
441 bnd[0] = T::one();
442 let last = n - 1;
443 for i in 1..=last {
444 bnd[i] = T::zero();
445 e[i - 1] = e[i];
446 }
447 e[last] = T::zero();
448
449 let mut i = 0;
450
451 let mut had_convergence_issues = false;
452
453 for l in 0..=last {
454 let mut iteration = 0;
455 let mut p = d[l];
456 let mut f = bnd[l];
457
458 while iteration <= max_imtqlb {
459 let mut m = l;
460 while m < n {
461 if m == last {
462 break;
463 }
464
465 let test = d[m].abs() + d[m + 1].abs();
467 let tol = T::epsilon()
469 * T::from_f64(100.0).unwrap()
470 * test.max(T::one())
471 * matrix_size_factor;
472
473 if e[m].abs() <= tol {
474 break; }
476 m += 1;
477 }
478
479 if m == l {
480 let mut exchange = true;
482 if l > 0 {
483 i = l;
484 while i >= 1 && exchange {
485 if p < d[i - 1] {
486 d[i] = d[i - 1];
487 bnd[i] = bnd[i - 1];
488 i -= 1;
489 } else {
490 exchange = false;
491 }
492 }
493 }
494 if exchange {
495 i = 0;
496 }
497 d[i] = p;
498 bnd[i] = f;
499 iteration = max_imtqlb + 1; } else {
501 if iteration == max_imtqlb {
503 had_convergence_issues = true;
505
506 for idx in l..=m {
508 bnd[idx] = bnd[idx].max(T::from_f64(0.1).unwrap());
509 }
510
511 e[l] = T::zero();
513
514 break;
516 }
517
518 iteration += 1;
519 let two = T::from_f64(2.0).unwrap();
521 let mut g = (d[l + 1] - p) / (two * e[l]);
522 let mut r = svd_pythag(g, T::one());
523 g = d[m] - p + e[l] / (g + svd_fsign(r, g));
524 let mut s = T::one();
525 let mut c = T::one();
526 p = T::zero();
527
528 assert!(m > 0, "imtqlb: expected 'm' to be non-zero");
529 i = m - 1;
530 let mut underflow = false;
531 while !underflow && i >= l {
532 f = s * e[i];
533 let b = c * e[i];
534 r = svd_pythag(f, g);
535 e[i + 1] = r;
536
537 if r < T::epsilon() * T::from_f64(1000.0).unwrap() * (f.abs() + g.abs()) {
539 underflow = true;
540 break;
541 }
542
543 if r.abs() < T::epsilon() * T::from_f64(100.0).unwrap() {
545 r = T::epsilon() * T::from_f64(100.0).unwrap() * svd_fsign(T::one(), r);
546 }
547
548 s = f / r;
549 c = g / r;
550 g = d[i + 1] - p;
551 r = (d[i] - g) * s + T::from_f64(2.0).unwrap() * c * b;
552 p = s * r;
553 d[i + 1] = g + p;
554 g = c * r - b;
555 f = bnd[i + 1];
556 bnd[i + 1] = s * bnd[i] + c * f;
557 bnd[i] = c * bnd[i] - s * f;
558 if i == 0 {
559 break;
560 }
561 i -= 1;
562 }
563 if underflow {
565 d[i + 1] -= p;
566 } else {
567 d[l] -= p;
568 e[l] = g;
569 }
570 e[m] = T::zero();
571 }
572 }
573 }
574 if had_convergence_issues {
575 eprintln!("Warning: imtqlb had some convergence issues but continued with best estimates. Results may have reduced accuracy.");
576 }
577 Ok(())
578}
579
580#[allow(non_snake_case)]
581fn startv<T: SvdFloat>(
582 A: &dyn SMat<T>,
583 wrk: &mut WorkSpace<T>,
584 step: usize,
585 store: &mut Store<T>,
586 random_seed: u32,
587) -> Result<T, SvdLibError> {
588 let mut rnm2 = svd_ddot(&wrk.w0, &wrk.w0);
590 for id in 0..3 {
591 if id > 0 || step > 0 || compare(rnm2, T::zero()) {
592 let mut bytes = [0; 32];
593 for (i, b) in random_seed.to_le_bytes().iter().enumerate() {
594 bytes[i] = *b;
595 }
596 let mut seeded_rng = StdRng::from_seed(bytes);
597 for val in wrk.w0.iter_mut() {
598 *val = T::from_f64(seeded_rng.gen_range(-1.0..1.0)).unwrap();
599 }
600 }
601 wrk.w3.copy_from_slice(&wrk.w0);
602
603 svd_opb(A, &wrk.w3, &mut wrk.w0, &mut wrk.temp, wrk.transposed);
605 wrk.w3.copy_from_slice(&wrk.w0);
606 rnm2 = svd_ddot(&wrk.w3, &wrk.w3);
607 if rnm2 > T::zero() {
608 break;
609 }
610 }
611
612 if rnm2 <= T::zero() {
613 return Err(SvdLibError::StartvError(format!(
614 "rnm2 <= 0.0, rnm2 = {rnm2:?}"
615 )));
616 }
617
618 if step > 0 {
619 for i in 0..step {
620 let v = store.retrq(i);
621 svd_daxpy(-svd_ddot(&wrk.w3, v), v, &mut wrk.w0);
622 }
623
624 svd_daxpy(-svd_ddot(&wrk.w4, &wrk.w0), &wrk.w2, &mut wrk.w0);
626 wrk.w3.copy_from_slice(&wrk.w0);
627
628 rnm2 = match svd_ddot(&wrk.w3, &wrk.w3) {
629 dot if dot <= T::eps() * rnm2 => T::zero(),
630 dot => dot,
631 }
632 }
633 Ok(rnm2.sqrt())
634}
635
636#[allow(non_snake_case)]
637fn stpone<T: SvdFloat>(
638 A: &dyn SMat<T>,
639 wrk: &mut WorkSpace<T>,
640 store: &mut Store<T>,
641 random_seed: u32,
642) -> Result<(T, T), SvdLibError> {
643 let mut rnm = startv(A, wrk, 0, store, random_seed)?;
645 if compare(rnm, T::zero()) {
646 return Err(SvdLibError::StponeError("rnm == 0.0".to_string()));
647 }
648
649 svd_datx(rnm.recip(), &wrk.w0, &mut wrk.w1);
651 svd_dscal(rnm.recip(), &mut wrk.w3);
652
653 svd_opb(A, &wrk.w3, &mut wrk.w0, &mut wrk.temp, wrk.transposed);
655 wrk.alf[0] = svd_ddot(&wrk.w0, &wrk.w3);
656 svd_daxpy(-wrk.alf[0], &wrk.w1, &mut wrk.w0);
657 let t = svd_ddot(&wrk.w0, &wrk.w3);
658 wrk.alf[0] += t;
659 svd_daxpy(-t, &wrk.w1, &mut wrk.w0);
660 wrk.w4.copy_from_slice(&wrk.w0);
661 rnm = svd_norm(&wrk.w4);
662 let anorm = rnm + wrk.alf[0].abs();
663 Ok((rnm, T::eps().sqrt() * anorm))
664}
665
666#[allow(non_snake_case)]
667#[allow(clippy::too_many_arguments)]
668fn lanczos_step<T: SvdFloat>(
669 A: &dyn SMat<T>,
670 wrk: &mut WorkSpace<T>,
671 first: usize,
672 last: usize,
673 ll: &mut usize,
674 enough: &mut bool,
675 rnm: &mut T,
676 tol: &mut T,
677 store: &mut Store<T>,
678) -> Result<usize, SvdLibError> {
679 let eps1 = T::eps() * T::from_f64(wrk.ncols as f64).unwrap().sqrt();
680 let mut j = first;
681 let four = T::from_f64(4.0).unwrap();
682
683 while j < last {
684 mem::swap(&mut wrk.w1, &mut wrk.w2);
685 mem::swap(&mut wrk.w3, &mut wrk.w4);
686
687 store.storq(j - 1, &wrk.w2);
688 if j - 1 < MAXLL {
689 store.storp(j - 1, &wrk.w4);
690 }
691 wrk.bet[j] = *rnm;
692
693 if compare(*rnm, T::zero()) {
695 *rnm = startv(A, wrk, j, store, 0)?;
696 if compare(*rnm, T::zero()) {
697 *enough = true;
698 }
699 }
700
701 if *enough {
702 mem::swap(&mut wrk.w1, &mut wrk.w2);
703 break;
704 }
705
706 svd_datx(rnm.recip(), &wrk.w0, &mut wrk.w1);
708 svd_dscal(rnm.recip(), &mut wrk.w3);
709 svd_opb(A, &wrk.w3, &mut wrk.w0, &mut wrk.temp, wrk.transposed);
710 svd_daxpy(-*rnm, &wrk.w2, &mut wrk.w0);
711 wrk.alf[j] = svd_ddot(&wrk.w0, &wrk.w3);
712 svd_daxpy(-wrk.alf[j], &wrk.w1, &mut wrk.w0);
713
714 if j <= MAXLL && wrk.alf[j - 1].abs() > four * wrk.alf[j].abs() {
716 *ll = j;
717 }
718 for i in 0..(j - 1).min(*ll) {
719 let v1 = store.retrp(i);
720 let t = svd_ddot(v1, &wrk.w0);
721 let v2 = store.retrq(i);
722 svd_daxpy(-t, v2, &mut wrk.w0);
723 wrk.eta[i] = eps1;
724 wrk.oldeta[i] = eps1;
725 }
726
727 let t = svd_ddot(&wrk.w0, &wrk.w4);
729 svd_daxpy(-t, &wrk.w2, &mut wrk.w0);
730 if wrk.bet[j] > T::zero() {
731 wrk.bet[j] += t;
732 }
733 let t = svd_ddot(&wrk.w0, &wrk.w3);
734 svd_daxpy(-t, &wrk.w1, &mut wrk.w0);
735 wrk.alf[j] += t;
736 wrk.w4.copy_from_slice(&wrk.w0);
737 *rnm = svd_norm(&wrk.w4);
738 let anorm = wrk.bet[j] + wrk.alf[j].abs() + *rnm;
739 *tol = T::eps().sqrt() * anorm;
740
741 ortbnd(wrk, j, *rnm, eps1);
743
744 purge(wrk.ncols, *ll, wrk, j, rnm, *tol, store);
746 if *rnm <= *tol {
747 *rnm = T::zero();
748 }
749 j += 1;
750 }
751 Ok(j)
752}
753
754fn purge<T: SvdFloat>(
755 n: usize,
756 ll: usize,
757 wrk: &mut WorkSpace<T>,
758 step: usize,
759 rnm: &mut T,
760 tol: T,
761 store: &mut Store<T>,
762) {
763 if step < ll + 2 {
764 return;
765 }
766
767 let reps = T::eps().sqrt();
768 let eps1 = T::eps() * T::from_f64(n as f64).unwrap().sqrt();
769 let two = T::from_f64(2.0).unwrap();
770
771 let k = svd_idamax(step - (ll + 1), &wrk.eta) + ll;
772 if wrk.eta[k].abs() > reps {
773 let reps1 = eps1 / reps;
774 let mut iteration = 0;
775 let mut flag = true;
776 while iteration < 2 && flag {
777 if *rnm > tol {
778 let mut tq = T::zero();
780 let mut tr = T::zero();
781 for i in ll..step {
782 let v = store.retrq(i);
783 let t = svd_ddot(v, &wrk.w3);
784 tq += t.abs();
785 svd_daxpy(-t, v, &mut wrk.w1);
786 let t = svd_ddot(v, &wrk.w4);
787 tr += t.abs();
788 svd_daxpy(-t, v, &mut wrk.w0);
789 }
790 wrk.w3.copy_from_slice(&wrk.w1);
791 let t = svd_ddot(&wrk.w0, &wrk.w3);
792 tr += t.abs();
793 svd_daxpy(-t, &wrk.w1, &mut wrk.w0);
794 wrk.w4.copy_from_slice(&wrk.w0);
795 *rnm = svd_norm(&wrk.w4);
796 if tq <= reps1 && tr <= *rnm * reps1 {
797 flag = false;
798 }
799 }
800 iteration += 1;
801 }
802 for i in ll..=step {
803 wrk.eta[i] = eps1;
804 wrk.oldeta[i] = eps1;
805 }
806 }
807}
808
809fn ortbnd<T: SvdFloat>(wrk: &mut WorkSpace<T>, step: usize, rnm: T, eps1: T) {
810 if step < 1 {
811 return;
812 }
813 if !compare(rnm, T::zero()) && step > 1 {
814 wrk.oldeta[0] = (wrk.bet[1] * wrk.eta[1] + (wrk.alf[0] - wrk.alf[step]) * wrk.eta[0]
815 - wrk.bet[step] * wrk.oldeta[0])
816 / rnm
817 + eps1;
818 if step > 2 {
819 for i in 1..=step - 2 {
820 wrk.oldeta[i] = (wrk.bet[i + 1] * wrk.eta[i + 1]
821 + (wrk.alf[i] - wrk.alf[step]) * wrk.eta[i]
822 + wrk.bet[i] * wrk.eta[i - 1]
823 - wrk.bet[step] * wrk.oldeta[i])
824 / rnm
825 + eps1;
826 }
827 }
828 }
829 wrk.oldeta[step - 1] = eps1;
830 mem::swap(&mut wrk.oldeta, &mut wrk.eta);
831 wrk.eta[step] = eps1;
832}
833
834fn error_bound<T: SvdFloat>(
835 enough: &mut bool,
836 endl: T,
837 endr: T,
838 ritz: &mut [T],
839 bnd: &mut [T],
840 step: usize,
841 tol: T,
842) -> usize {
843 assert!(step > 0, "error_bound: expected 'step' to be non-zero");
844
845 let mid = svd_idamax(step + 1, bnd);
847 let sixteen = T::from_f64(16.0).unwrap();
848
849 let mut i = ((step + 1) + (step - 1)) / 2;
850 while i > mid + 1 {
851 if (ritz[i - 1] - ritz[i]).abs() < T::eps34() * ritz[i].abs()
852 && bnd[i] > tol
853 && bnd[i - 1] > tol
854 {
855 bnd[i - 1] = (bnd[i].powi(2) + bnd[i - 1].powi(2)).sqrt();
856 bnd[i] = T::zero();
857 }
858 i -= 1;
859 }
860
861 let mut i = ((step + 1) - (step - 1)) / 2;
862 while i + 1 < mid {
863 if (ritz[i + 1] - ritz[i]).abs() < T::eps34() * ritz[i].abs()
864 && bnd[i] > tol
865 && bnd[i + 1] > tol
866 {
867 bnd[i + 1] = (bnd[i].powi(2) + bnd[i + 1].powi(2)).sqrt();
868 bnd[i] = T::zero();
869 }
870 i += 1;
871 }
872
873 let mut neig = 0;
875 let mut gapl = ritz[step] - ritz[0];
876 for i in 0..=step {
877 let mut gap = gapl;
878 if i < step {
879 gapl = ritz[i + 1] - ritz[i];
880 }
881 gap = gap.min(gapl);
882 if gap > bnd[i] {
883 bnd[i] *= bnd[i] / gap;
884 }
885 if bnd[i] <= sixteen * T::eps() * ritz[i].abs() {
886 neig += 1;
887 if !*enough {
888 *enough = endl < ritz[i] && ritz[i] < endr;
889 }
890 }
891 }
892 neig
893}
894
895fn imtql2<T: SvdFloat>(
896 nm: usize,
897 n: usize,
898 d: &mut [T],
899 e: &mut [T],
900 z: &mut [T],
901 max_imtqlb: Option<usize>,
902) -> Result<(), SvdLibError> {
903 let max_imtqlb = max_imtqlb.unwrap_or(MAX_IMTQLB_ITERATIONS);
904 if n == 1 {
905 return Ok(());
906 }
907 assert!(n > 1, "imtql2: expected 'n' to be > 1");
908 let two = T::from_f64(2.0).unwrap();
909
910 let last = n - 1;
911
912 for i in 1..n {
913 e[i - 1] = e[i];
914 }
915 e[last] = T::zero();
916
917 let nnm = n * nm;
918 for l in 0..n {
919 let mut iteration = 0;
920
921 while iteration <= max_imtqlb {
923 let mut m = l;
924 while m < n {
925 if m == last {
926 break;
927 }
928 let test = d[m].abs() + d[m + 1].abs();
929 if compare(test, test + e[m].abs()) {
930 break; }
932 m += 1;
933 }
934 if m == l {
935 break;
936 }
937
938 if iteration == max_imtqlb {
940 return Err(SvdLibError::Imtql2Error(format!(
941 "imtql2 no convergence to an eigenvalue after {} iterations",
942 max_imtqlb
943 )));
944 }
945 iteration += 1;
946
947 let mut g = (d[l + 1] - d[l]) / (two * e[l]);
949 let mut r = svd_pythag(g, T::one());
950 g = d[m] - d[l] + e[l] / (g + svd_fsign(r, g));
951
952 let mut s = T::one();
953 let mut c = T::one();
954 let mut p = T::zero();
955
956 assert!(m > 0, "imtql2: expected 'm' to be non-zero");
957 let mut i = m - 1;
958 let mut underflow = false;
959 while !underflow && i >= l {
960 let mut f = s * e[i];
961 let b = c * e[i];
962 r = svd_pythag(f, g);
963 e[i + 1] = r;
964 if compare(r, T::zero()) {
965 underflow = true;
966 } else {
967 s = f / r;
968 c = g / r;
969 g = d[i + 1] - p;
970 r = (d[i] - g) * s + two * c * b;
971 p = s * r;
972 d[i + 1] = g + p;
973 g = c * r - b;
974
975 for k in (0..nnm).step_by(n) {
977 let index = k + i;
978 f = z[index + 1];
979 z[index + 1] = s * z[index] + c * f;
980 z[index] = c * z[index] - s * f;
981 }
982 if i == 0 {
983 break;
984 }
985 i -= 1;
986 }
987 } if underflow {
990 d[i + 1] -= p;
991 } else {
992 d[l] -= p;
993 e[l] = g;
994 }
995 e[m] = T::zero();
996 }
997 }
998
999 for l in 1..n {
1001 let i = l - 1;
1002 let mut k = i;
1003 let mut p = d[i];
1004 for (j, item) in d.iter().enumerate().take(n).skip(l) {
1005 if *item < p {
1006 k = j;
1007 p = *item;
1008 }
1009 }
1010
1011 if k != i {
1013 d[k] = d[i];
1014 d[i] = p;
1015 for j in (0..nnm).step_by(n) {
1016 z.swap(j + i, j + k);
1017 }
1018 }
1019 }
1020
1021 Ok(())
1022}
1023
1024fn rotate_array<T: Float + Copy>(a: &mut [T], x: usize) {
1025 let n = a.len();
1026 let mut j = 0;
1027 let mut start = 0;
1028 let mut t1 = a[0];
1029
1030 for _ in 0..n {
1031 j = match j >= x {
1032 true => j - x,
1033 false => j + n - x,
1034 };
1035
1036 let t2 = a[j];
1037 a[j] = t1;
1038
1039 if j == start {
1040 j += 1;
1041 start = j;
1042 t1 = a[j];
1043 } else {
1044 t1 = t2;
1045 }
1046 }
1047}
1048
1049#[allow(non_snake_case)]
1050fn ritvec<T: SvdFloat>(
1051 A: &dyn SMat<T>,
1052 dimensions: usize,
1053 kappa: T,
1054 wrk: &mut WorkSpace<T>,
1055 steps: usize,
1056 neig: usize,
1057 store: &mut Store<T>,
1058) -> Result<SVDRawRec<T>, SvdLibError> {
1059 let js = steps + 1;
1060 let jsq = js * js;
1061
1062 let sparsity = T::one()
1063 - (T::from_usize(A.nnz()).unwrap()
1064 / (T::from_usize(A.nrows()).unwrap() * T::from_usize(A.ncols()).unwrap()));
1065
1066 let epsilon = T::epsilon();
1067 let adaptive_eps = if sparsity > T::from_f64(0.99).unwrap() {
1068 epsilon * T::from_f64(100.0).unwrap()
1070 } else if sparsity > T::from_f64(0.9).unwrap() {
1071 epsilon * T::from_f64(10.0).unwrap()
1073 } else {
1074 epsilon
1076 };
1077
1078 let max_iterations_imtql2 = if sparsity > T::from_f64(0.999).unwrap() {
1079 Some(500)
1081 } else if sparsity > T::from_f64(0.99).unwrap() {
1082 Some(300)
1084 } else if sparsity > T::from_f64(0.9).unwrap() {
1085 Some(200)
1087 } else {
1088 Some(50)
1090 };
1091
1092 let mut s = vec![T::zero(); jsq];
1093 for i in (0..jsq).step_by(js + 1) {
1095 s[i] = T::one();
1096 }
1097
1098 let mut Vt = DMat {
1099 cols: wrk.ncols,
1100 value: vec![T::zero(); wrk.ncols * dimensions],
1101 };
1102
1103 svd_dcopy(js, 0, &wrk.alf, &mut Vt.value);
1104 svd_dcopy(steps, 1, &wrk.bet, &mut wrk.w5);
1105
1106 imtql2(
1109 js,
1110 js,
1111 &mut Vt.value,
1112 &mut wrk.w5,
1113 &mut s,
1114 max_iterations_imtql2,
1115 )?;
1116
1117 let max_eigenvalue = Vt
1118 .value
1119 .iter()
1120 .fold(T::zero(), |max, &val| max.max(val.abs()));
1121
1122 let adaptive_kappa = if sparsity > T::from_f64(0.99).unwrap() {
1123 kappa * T::from_f64(10.0).unwrap()
1125 } else {
1126 kappa
1127 };
1128
1129 let mut x = dimensions - 1;
1130
1131 let store_vectors: Vec<Vec<T>> = (0..js).map(|i| store.retrq(i).to_vec()).collect();
1132
1133 let significant_indices: Vec<usize> = (0..js)
1134 .into_par_iter()
1135 .filter(|&k| {
1136 let relative_bound =
1137 adaptive_kappa * wrk.ritz[k].abs().max(max_eigenvalue * adaptive_eps);
1138 wrk.bnd[k] <= relative_bound && k + 1 > js - neig
1139 })
1140 .collect();
1141
1142 let nsig = significant_indices.len();
1143
1144 let mut vt_vectors: Vec<(usize, Vec<T>)> = significant_indices
1145 .into_par_iter()
1146 .map(|k| {
1147 let mut vec = vec![T::zero(); wrk.ncols];
1148
1149 for i in 0..js {
1150 let idx = k * js + i;
1151
1152 if s[idx].abs() > adaptive_eps {
1153 for (j, item) in store_vectors[i].iter().enumerate().take(wrk.ncols) {
1154 vec[j] += s[idx] * *item;
1155 }
1156 }
1157 }
1158
1159 (k, vec)
1160 })
1161 .collect();
1162
1163 vt_vectors.sort_by_key(|(k, _)| *k);
1165
1166 let d = dimensions.min(nsig);
1168 let mut S = vec![T::zero(); d];
1169 let mut Ut = DMat {
1170 cols: wrk.nrows,
1171 value: vec![T::zero(); wrk.nrows * d],
1172 };
1173
1174 let mut Vt = DMat {
1176 cols: wrk.ncols,
1177 value: vec![T::zero(); wrk.ncols * d],
1178 };
1179
1180 for (i, (_, vec)) in vt_vectors.into_iter().take(d).enumerate() {
1182 let vt_offset = i * Vt.cols;
1183 Vt.value[vt_offset..vt_offset + Vt.cols].copy_from_slice(&vec);
1184 }
1185
1186 let mut ab_products = Vec::with_capacity(d);
1188 let mut a_products = Vec::with_capacity(d);
1189
1190 for i in 0..d {
1192 let vt_offset = i * Vt.cols;
1193 let vt_vec = &Vt.value[vt_offset..vt_offset + Vt.cols];
1194
1195 let mut tmp_vec = vec![T::zero(); Vt.cols];
1196 let mut ut_vec = vec![T::zero(); wrk.nrows];
1197
1198 svd_opb(A, vt_vec, &mut tmp_vec, &mut wrk.temp, wrk.transposed);
1200 A.svd_opa(vt_vec, &mut ut_vec, wrk.transposed);
1201
1202 ab_products.push(tmp_vec);
1203 a_products.push(ut_vec);
1204 }
1205
1206 let results: Vec<(usize, T)> = (0..d)
1207 .into_par_iter()
1208 .map(|i| {
1209 let vt_offset = i * Vt.cols;
1210 let vt_vec = &Vt.value[vt_offset..vt_offset + Vt.cols];
1211 let tmp_vec = &ab_products[i];
1212
1213 let t = svd_ddot(vt_vec, tmp_vec);
1215 let sval = t.max(T::zero()).sqrt();
1216
1217 (i, sval)
1218 })
1219 .collect();
1220
1221 for (i, sval) in results {
1223 S[i] = sval;
1224 let ut_offset = i * Ut.cols;
1225 let mut ut_vec = a_products[i].clone();
1226
1227 if sval > adaptive_eps {
1228 svd_dscal(T::one() / sval, &mut ut_vec);
1229 } else {
1230 let dls = sval.max(adaptive_eps);
1231 let safe_scale = T::one() / dls;
1232 svd_dscal(safe_scale, &mut ut_vec);
1233 }
1234
1235 Ut.value[ut_offset..ut_offset + Ut.cols].copy_from_slice(&ut_vec);
1237 }
1238
1239 Ok(SVDRawRec {
1240 d,
1242 nsig,
1244 Ut,
1247 S,
1249 Vt,
1252 })
1253}
1254
1255#[allow(non_snake_case)]
1256#[allow(clippy::too_many_arguments)]
1257fn lanso<T: SvdFloat>(
1258 A: &dyn SMat<T>,
1259 dim: usize,
1260 iterations: usize,
1261 end_interval: &[T; 2],
1262 wrk: &mut WorkSpace<T>,
1263 neig: &mut usize,
1264 store: &mut Store<T>,
1265 random_seed: u32,
1266) -> Result<usize, SvdLibError> {
1267 let sparsity = T::one()
1268 - (T::from_usize(A.nnz()).unwrap()
1269 / (T::from_usize(A.nrows()).unwrap() * T::from_usize(A.ncols()).unwrap()));
1270 let max_iterations_imtqlb = if sparsity > T::from_f64(0.999).unwrap() {
1271 Some(500)
1273 } else if sparsity > T::from_f64(0.99).unwrap() {
1274 Some(300)
1276 } else if sparsity > T::from_f64(0.9).unwrap() {
1277 Some(100)
1279 } else {
1280 Some(50)
1282 };
1283
1284 let epsilon = T::epsilon();
1285 let adaptive_eps = if sparsity > T::from_f64(0.99).unwrap() {
1286 epsilon * T::from_f64(100.0).unwrap()
1288 } else if sparsity > T::from_f64(0.9).unwrap() {
1289 epsilon * T::from_f64(10.0).unwrap()
1291 } else {
1292 epsilon
1294 };
1295
1296 let (endl, endr) = (end_interval[0], end_interval[1]);
1297
1298 let rnm_tol = stpone(A, wrk, store, random_seed)?;
1300 let mut rnm = rnm_tol.0;
1301 let mut tol = rnm_tol.1;
1302
1303 let eps1 = adaptive_eps * T::from_f64(wrk.ncols as f64).unwrap().sqrt();
1304 wrk.eta[0] = eps1;
1305 wrk.oldeta[0] = eps1;
1306 let mut ll = 0;
1307 let mut first = 1;
1308 let mut last = iterations.min(dim.max(8) + dim);
1309 let mut enough = false;
1310 let mut j = 0;
1311 let mut intro = 0;
1312
1313 while !enough {
1314 if rnm <= tol {
1315 rnm = T::zero();
1316 }
1317
1318 let steps = lanczos_step(
1320 A,
1321 wrk,
1322 first,
1323 last,
1324 &mut ll,
1325 &mut enough,
1326 &mut rnm,
1327 &mut tol,
1328 store,
1329 )?;
1330 j = match enough {
1331 true => steps - 1,
1332 false => last - 1,
1333 };
1334
1335 first = j + 1;
1336 wrk.bet[first] = rnm;
1337
1338 let mut l = 0;
1340 for _ in 0..j {
1341 if l > j {
1342 break;
1343 }
1344
1345 let mut i = l;
1346 while i <= j {
1347 if wrk.bet[i + 1].abs() <= adaptive_eps {
1348 break;
1349 }
1350 i += 1;
1351 }
1352 i = i.min(j);
1353
1354 let sz = i - l;
1356 svd_dcopy(sz + 1, l, &wrk.alf, &mut wrk.ritz);
1357 svd_dcopy(sz, l + 1, &wrk.bet, &mut wrk.w5);
1358
1359 imtqlb(
1360 sz + 1,
1361 &mut wrk.ritz[l..],
1362 &mut wrk.w5[l..],
1363 &mut wrk.bnd[l..],
1364 max_iterations_imtqlb,
1365 )?;
1366
1367 for m in l..=i {
1368 wrk.bnd[m] = rnm * wrk.bnd[m].abs();
1369 }
1370 l = i + 1;
1371 }
1372
1373 insert_sort(j + 1, &mut wrk.ritz, &mut wrk.bnd);
1375
1376 *neig = error_bound(&mut enough, endl, endr, &mut wrk.ritz, &mut wrk.bnd, j, tol);
1377
1378 if *neig < dim {
1380 if *neig == 0 {
1381 last = first + 9;
1382 intro = first;
1383 } else {
1384 let extra_steps = if sparsity > T::from_f64(0.99).unwrap() {
1385 5 } else {
1387 0
1388 };
1389
1390 last = first + 3.max(1 + ((j - intro) * (dim - *neig)) / *neig) + extra_steps;
1391 }
1392 last = last.min(iterations);
1393 } else {
1394 enough = true
1395 }
1396 enough = enough || first >= iterations;
1397 }
1398 store.storq(j, &wrk.w1);
1399 Ok(j)
1400}
1401
1402impl<T: SvdFloat + 'static> SvdRec<T> {
1403 pub fn recompose(&self) -> Array2<T> {
1404 let sdiag = Array2::from_diag(&self.s);
1405 self.u.dot(&sdiag).dot(&self.vt)
1406 }
1407}
1408
1409#[rustfmt::skip]
1410impl<T: Float + Zero + AddAssign + Clone + Sync> SMat<T> for nalgebra_sparse::csc::CscMatrix<T> {
1411 fn nrows(&self) -> usize { self.nrows() }
1412 fn ncols(&self) -> usize { self.ncols() }
1413 fn nnz(&self) -> usize { self.nnz() }
1414
1415 fn svd_opa(&self, x: &[T], y: &mut [T], transposed: bool) {
1417 let nrows = if transposed { self.ncols() } else { self.nrows() };
1418 let ncols = if transposed { self.nrows() } else { self.ncols() };
1419 assert_eq!(x.len(), ncols, "svd_opa: x must be A.ncols() in length, x = {}, A.ncols = {}", x.len(), ncols);
1420 assert_eq!(y.len(), nrows, "svd_opa: y must be A.nrows() in length, y = {}, A.nrows = {}", y.len(), nrows);
1421
1422 let (major_offsets, minor_indices, values) = self.csc_data();
1423
1424 for y_val in y.iter_mut() {
1425 *y_val = T::zero();
1426 }
1427
1428 if transposed {
1429 for (i, yval) in y.iter_mut().enumerate() {
1430 for j in major_offsets[i]..major_offsets[i + 1] {
1431 *yval += values[j] * x[minor_indices[j]];
1432 }
1433 }
1434 } else {
1435 for (i, xval) in x.iter().enumerate() {
1436 for j in major_offsets[i]..major_offsets[i + 1] {
1437 y[minor_indices[j]] += values[j] * *xval;
1438 }
1439 }
1440 }
1441 }
1442}
1443
1444#[rustfmt::skip]
1445impl<T: Float + Zero + AddAssign + Clone + Sync + Send> SMat<T> for nalgebra_sparse::csr::CsrMatrix<T> {
1446 fn nrows(&self) -> usize { self.nrows() }
1447 fn ncols(&self) -> usize { self.ncols() }
1448 fn nnz(&self) -> usize { self.nnz() }
1449
1450 fn svd_opa(&self, x: &[T], y: &mut [T], transposed: bool) {
1452 let nrows = if transposed { self.ncols() } else { self.nrows() };
1454 let ncols = if transposed { self.nrows() } else { self.ncols() };
1455 assert_eq!(x.len(), ncols, "svd_opa: x must be A.ncols() in length, x = {}, A.ncols = {}", x.len(), ncols);
1456 assert_eq!(y.len(), nrows, "svd_opa: y must be A.nrows() in length, y = {}, A.nrows = {}", y.len(), nrows);
1457
1458 let (major_offsets, minor_indices, values) = self.csr_data();
1459
1460 y.fill(T::zero());
1461
1462 if !transposed {
1463 let nrows = self.nrows();
1464 let chunk_size = crate::utils::determine_chunk_size(nrows);
1465
1466 let results: Vec<(usize, T)> = (0..nrows)
1468 .into_par_iter()
1469 .map(|i| {
1470 let mut sum = T::zero();
1471 for j in major_offsets[i]..major_offsets[i + 1] {
1472 sum += values[j] * x[minor_indices[j]];
1473 }
1474 (i, sum)
1475 })
1476 .collect();
1477
1478 for (i, val) in results {
1480 y[i] = val;
1481 }
1482 } else {
1483 let nrows = self.nrows();
1484 let chunk_size = crate::utils::determine_chunk_size(nrows);
1485
1486 let results: Vec<Vec<T>> = (0..((nrows + chunk_size - 1) / chunk_size))
1488 .into_par_iter()
1489 .map(|chunk_idx| {
1490 let start = chunk_idx * chunk_size;
1491 let end = (start + chunk_size).min(nrows);
1492
1493 let mut local_y = vec![T::zero(); y.len()];
1494 for i in start..end {
1495 let row_val = x[i];
1496 for j in major_offsets[i]..major_offsets[i + 1] {
1497 let col = minor_indices[j];
1498 local_y[col] += values[j] * row_val;
1499 }
1500 }
1501 local_y
1502 })
1503 .collect();
1504
1505 for local_y in results {
1507 for (idx, val) in local_y.iter().enumerate() {
1508 if !val.is_zero() {
1509 y[idx] += *val;
1510 }
1511 }
1512 }
1513 }
1514 }
1515}
1516
1517#[rustfmt::skip]
1518impl<T: Float + Zero + AddAssign + Clone + Sync> SMat<T> for nalgebra_sparse::coo::CooMatrix<T> {
1519 fn nrows(&self) -> usize { self.nrows() }
1520 fn ncols(&self) -> usize { self.ncols() }
1521 fn nnz(&self) -> usize { self.nnz() }
1522
1523 fn svd_opa(&self, x: &[T], y: &mut [T], transposed: bool) {
1525 let nrows = if transposed { self.ncols() } else { self.nrows() };
1526 let ncols = if transposed { self.nrows() } else { self.ncols() };
1527 assert_eq!(x.len(), ncols, "svd_opa: x must be A.ncols() in length, x = {}, A.ncols = {}", x.len(), ncols);
1528 assert_eq!(y.len(), nrows, "svd_opa: y must be A.nrows() in length, y = {}, A.nrows = {}", y.len(), nrows);
1529
1530 for y_val in y.iter_mut() {
1531 *y_val = T::zero();
1532 }
1533
1534 if transposed {
1535 for (i, j, v) in self.triplet_iter() {
1536 y[j] += *v * x[i];
1537 }
1538 } else {
1539 for (i, j, v) in self.triplet_iter() {
1540 y[i] += *v * x[j];
1541 }
1542 }
1543 }
1544}