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High performance scientific and technical computing data structures and methods,
mostly based on CERN's
Colt Java API
/**
* Licensed to the Apache Software Foundation (ASF) under one or more
* contributor license agreements. See the NOTICE file distributed with
* this work for additional information regarding copyright ownership.
* The ASF licenses this file to You under the Apache License, Version 2.0
* (the "License"); you may not use this file except in compliance with
* the License. You may obtain a copy of the License at
*
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
package org.apache.mahout.math.decomposer.lanczos;
import java.util.EnumMap;
import java.util.Map;
import com.google.common.base.Preconditions;
import org.apache.mahout.math.Matrix;
import org.apache.mahout.math.Vector;
import org.apache.mahout.math.VectorIterable;
import org.apache.mahout.math.function.DoubleFunction;
import org.apache.mahout.math.function.PlusMult;
import org.apache.mahout.math.solver.EigenDecomposition;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
/**
* Simple implementation of the Lanczos algorithm for
* finding eigenvalues of a symmetric matrix, applied to non-symmetric matrices by applying Matrix.timesSquared(vector)
* as the "matrix-multiplication" method.
*
* See the SSVD code for a better option
* {@link org.apache.mahout.math.ssvd.SequentialBigSvd}
* See also the docs on
* stochastic
* projection SVD
*
* To avoid floating point overflow problems which arise in power-methods like Lanczos, an initial pass is made
* through the input matrix to
*
* - generate a good starting seed vector by summing all the rows of the input matrix, and
* - compute the trace(inputMatrixt*matrix)
*
*
*
* This latter value, being the sum of all of the singular values, is used to rescale the entire matrix, effectively
* forcing the largest singular value to be strictly less than one, and transforming floating point overflow
* problems into floating point underflow (ie, very small singular values will become invisible, as they
* will appear to be zero and the algorithm will terminate).
*
* This implementation uses {@link EigenDecomposition} to do the
* eigenvalue extraction from the small (desiredRank x desiredRank) tridiagonal matrix. Numerical stability is
* achieved via brute-force: re-orthogonalization against all previous eigenvectors is computed after every pass.
* This can be made smarter if (when!) this proves to be a major bottleneck. Of course, this step can be parallelized
* as well.
*
* @see org.apache.mahout.math.ssvd.SequentialBigSvd
*/
@Deprecated
public class LanczosSolver {
private static final Logger log = LoggerFactory.getLogger(LanczosSolver.class);
public static final double SAFE_MAX = 1.0e150;
public enum TimingSection {
ITERATE, ORTHOGANLIZE, TRIDIAG_DECOMP, FINAL_EIGEN_CREATE
}
private final Map startTimes = new EnumMap(TimingSection.class);
private final Map times = new EnumMap(TimingSection.class);
private static final class Scale extends DoubleFunction {
private final double d;
private Scale(double d) {
this.d = d;
}
@Override
public double apply(double arg1) {
return arg1 * d;
}
}
public void solve(LanczosState state,
int desiredRank) {
solve(state, desiredRank, false);
}
public void solve(LanczosState state,
int desiredRank,
boolean isSymmetric) {
VectorIterable corpus = state.getCorpus();
log.info("Finding {} singular vectors of matrix with {} rows, via Lanczos",
desiredRank, corpus.numRows());
int i = state.getIterationNumber();
Vector currentVector = state.getBasisVector(i - 1);
Vector previousVector = state.getBasisVector(i - 2);
double beta = 0;
Matrix triDiag = state.getDiagonalMatrix();
while (i < desiredRank) {
startTime(TimingSection.ITERATE);
Vector nextVector = isSymmetric ? corpus.times(currentVector) : corpus.timesSquared(currentVector);
log.info("{} passes through the corpus so far...", i);
if (state.getScaleFactor() <= 0) {
state.setScaleFactor(calculateScaleFactor(nextVector));
}
nextVector.assign(new Scale(1.0 / state.getScaleFactor()));
if (previousVector != null) {
nextVector.assign(previousVector, new PlusMult(-beta));
}
// now orthogonalize
double alpha = currentVector.dot(nextVector);
nextVector.assign(currentVector, new PlusMult(-alpha));
endTime(TimingSection.ITERATE);
startTime(TimingSection.ORTHOGANLIZE);
orthoganalizeAgainstAllButLast(nextVector, state);
endTime(TimingSection.ORTHOGANLIZE);
// and normalize
beta = nextVector.norm(2);
if (outOfRange(beta) || outOfRange(alpha)) {
log.warn("Lanczos parameters out of range: alpha = {}, beta = {}. Bailing out early!",
alpha, beta);
break;
}
nextVector.assign(new Scale(1 / beta));
state.setBasisVector(i, nextVector);
previousVector = currentVector;
currentVector = nextVector;
// save the projections and norms!
triDiag.set(i - 1, i - 1, alpha);
if (i < desiredRank - 1) {
triDiag.set(i - 1, i, beta);
triDiag.set(i, i - 1, beta);
}
state.setIterationNumber(++i);
}
startTime(TimingSection.TRIDIAG_DECOMP);
log.info("Lanczos iteration complete - now to diagonalize the tri-diagonal auxiliary matrix.");
// at this point, have tridiag all filled out, and basis is all filled out, and orthonormalized
EigenDecomposition decomp = new EigenDecomposition(triDiag);
Matrix eigenVects = decomp.getV();
Vector eigenVals = decomp.getRealEigenvalues();
endTime(TimingSection.TRIDIAG_DECOMP);
startTime(TimingSection.FINAL_EIGEN_CREATE);
for (int row = 0; row < i; row++) {
Vector realEigen = null;
Vector ejCol = eigenVects.viewColumn(row);
int size = Math.min(ejCol.size(), state.getBasisSize());
for (int j = 0; j < size; j++) {
double d = ejCol.get(j);
Vector rowJ = state.getBasisVector(j);
if (realEigen == null) {
realEigen = rowJ.like();
}
realEigen.assign(rowJ, new PlusMult(d));
}
Preconditions.checkState(realEigen != null);
assert realEigen != null;
realEigen = realEigen.normalize();
state.setRightSingularVector(row, realEigen);
double e = eigenVals.get(row) * state.getScaleFactor();
if (!isSymmetric) {
e = Math.sqrt(e);
}
log.info("Eigenvector {} found with eigenvalue {}", row, e);
state.setSingularValue(row, e);
}
log.info("LanczosSolver finished.");
endTime(TimingSection.FINAL_EIGEN_CREATE);
}
protected static double calculateScaleFactor(Vector nextVector) {
return nextVector.norm(2);
}
private static boolean outOfRange(double d) {
return Double.isNaN(d) || d > SAFE_MAX || -d > SAFE_MAX;
}
protected static void orthoganalizeAgainstAllButLast(Vector nextVector, LanczosState state) {
for (int i = 0; i < state.getIterationNumber(); i++) {
Vector basisVector = state.getBasisVector(i);
double alpha;
if (basisVector == null || (alpha = nextVector.dot(basisVector)) == 0.0) {
continue;
}
nextVector.assign(basisVector, new PlusMult(-alpha));
}
}
private void startTime(TimingSection section) {
startTimes.put(section, System.nanoTime());
}
private void endTime(TimingSection section) {
if (!times.containsKey(section)) {
times.put(section, 0L);
}
times.put(section, times.get(section) + System.nanoTime() - startTimes.get(section));
}
}