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Merged
acroy merged 3 commits into from
Aug 9, 2018
Merged

add support to linear maps #30

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f8a53a3
test linear operator
GiggleLiu Jul 27, 2018
9d6f284
update anorm, throw warning.
GiggleLiu Aug 7, 2018
8254cb4
minor change
GiggleLiu Aug 9, 2018
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33 changes: 26 additions & 7 deletions src/expmv.jl
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Original file line number Diff line number Diff line change
@@ -1,7 +1,22 @@
export expmv, expmv!

function default_anorm(A)
try
norm(A, Inf)
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@acroy acroy Aug 7, 2018

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I would suggest Compat.opnorm here.

catch err
if err isa MethodError
warn("opnorm($(typeof(A)), Inf) is not defined, fall back to using `anorm = 1.0`.
To suppress this warning, please specify the anorm parameter manually.")
1.0
else
throw(err)
end
end
end


"""
expmv{T}(t, A, vec; [tol], [m], [norm])
expmv{T}(t, A, vec; [tol], [m], [norm], [anorm])

Calculate matrix exponential acting on some vector, ``w = e^{tA}v``,
using the Krylov subspace approximation.
Expand All @@ -13,33 +28,37 @@ function expmv{T}( t::Number,
A, vec::Vector{T};
tol::Real=1e-7,
m::Int=min(30, size(A, 1)),
norm=Base.norm)
norm=Base.norm, anorm=nothing)
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@acroy acroy Aug 7, 2018

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And here just anorm=default_anorm(A) (and everywhere else as well).

result = convert(Vector{promote_type(eltype(A), T, typeof(t))}, copy(vec))
expmv!(t, A, result; tol=tol, m=m, norm=norm)
expmv!(t, A, result; tol=tol, m=m, norm=norm, anorm=anorm)
return result
end

expmv!{T}( t::Number,
A, vec::Vector{T};
tol::Real=1e-7,
m::Int=min(30,size(A,1)),
norm=Base.norm) = expmv!(vec, t, A, vec; tol=tol, m=m, norm=norm)
norm=Base.norm, anorm=nothing) = expmv!(vec, t, A, vec; tol=tol, m=m, norm=norm, anorm=anorm)

function expmv!{T}( w::Vector{T}, t::Number, A, vec::Vector{T};
tol::Real=1e-7, m::Int=min(30,size(A,1)), norm=Base.norm)
function expmv!{T}(w::Vector{T}, t::Number, A, vec::Vector{T};
tol::Real=1e-7, m::Int=min(30,size(A,1)), norm=Base.norm, anorm=nothing)

if size(vec,1) != size(A,2)
error("dimension mismatch")
end

# set default anorm
if anorm === nothing
anorm = default_anorm(A)
end

# safety factors
gamma = 0.9
delta = 1.2

btol = 1e-7 # tolerance for "happy-breakdown"
maxiter = 10 # max number of time-step refinements

anorm = norm(A, Inf)
rndoff= anorm*eps()

# estimate first time-step and round to two significant digits
Expand Down
12 changes: 7 additions & 5 deletions src/phimv.jl
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Expand Up @@ -35,20 +35,20 @@ function phimv{T}( t::Number,
A, u::Vector{T}, vec::Vector{T};
tol::Real=1e-7,
m::Int=min(30, size(A, 1)),
norm=Base.norm)
norm=Base.norm, anorm=nothing)
result = convert(Vector{promote_type(eltype(A), T, typeof(t))}, copy(vec))
phimv!(t, A, u, result; tol=tol, m=m, norm=norm)
phimv!(t, A, u, result; tol=tol, m=m, norm=norm, anorm=anorm)
return result
end

phimv!{T}( t::Number,
A, u::Vector{T}, vec::Vector{T};
tol::Real=1e-7,
m::Int=min(30, size(A, 1)),
norm=Base.norm) = phimv!(vec, t, A, u, vec; tol=tol, m=m, norm=norm)
norm=Base.norm, anorm=nothing) = phimv!(vec, t, A, u, vec; tol=tol, m=m, norm=norm, anorm=anorm)

function phimv!{T}( w::Vector{T}, t::Number, A, u::Vector{T}, vec::Vector{T};
tol::Real=1e-7, m::Int=min(30, size(A, 1)), norm=Base.norm)
tol::Real=1e-7, m::Int=min(30, size(A, 1)), norm=Base.norm, anorm=nothing)

if size(vec, 1) != size(A, 2)
error("dimension mismatch")
Expand All @@ -61,7 +61,9 @@ function phimv!{T}( w::Vector{T}, t::Number, A, u::Vector{T}, vec::Vector{T};
btol = 1e-7 # tolerance for "happy-breakdown"
maxiter = 10 # max number of time-step refinements

anorm = norm(A, Inf)
if anorm === nothing
anorm = default_anorm(A)
end
rndoff = anorm*eps()

# estimate first time-step and round to two significant digits
Expand Down
68 changes: 68 additions & 0 deletions test/runtests.jl
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Original file line number Diff line number Diff line change
@@ -1,6 +1,16 @@
using Expokit
using Base.Test

struct LinearOp
m
end
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@garrison garrison Aug 10, 2018 •
edited
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wouldn't this be better as:

struct LinearOp{T}
    m::T
end

Unless there is a recent development I am missing, I believe m will be of type Any without this change.

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@GiggleLiu GiggleLiu Aug 10, 2018 •
edited
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You're right, thanks for pointing this out, add a type parameter can increase type stability a lot.
Since this LinearOp is only used for testing and this branch has been merged, I probability won't fix it right now. Users are suggested to use the LinearMaps.jl package. LinearMap type in this package is much more powerful and supports many abstract operations.

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@garrison garrison Aug 10, 2018

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Thanks. Let me explain a bit more why I asked. Since there is no documentation in this pull request, I looked at the code because I was a bit confused how to use this functionality. Although the pull request mentions LinearMaps, I actually mistakenly started to think that support for LinearMaps had been removed during the review process of this pull request in favor of LinearOp.

That said, why not add LinearMaps to test/REQUIRE and use it in the tests if the goal is to support it?

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@acroy acroy Aug 11, 2018

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I think the title of the PR was a bit misleading. Basically, a new keyword anormwas added which also lifts the need for Ato support norm/opnorm and hence allows using LinearMaps. As @GiggleLiu says the test is not really an example for using LinearMaps.

Maybe it would be a good a idea to add such an example to README or somewhere else, though?

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@GiggleLiu GiggleLiu Aug 11, 2018

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It is a good idea to add some examples. Also, it is the time to maintain a document using Documenter, rather than adding more examples into README.

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@acroy acroy Aug 11, 2018

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@GiggleLiu Sure, it is on the list. OTOH there isn't that much to document ...


Base.A_mul_B!(y, lo::LinearOp, x) = A_mul_B!(y, lo.m, x)
Base.size(lo::LinearOp, i::Int) = size(lo.m, i)
Base.eltype(lo::LinearOp) = eltype(lo.m)
import Base: *
*(lo::LinearOp, v::Vector) = Base.A_mul_B!(similar(v), lo, v)

function test_expmv(n::Int)

A = sprand(n,n,0.4)
Expand Down Expand Up @@ -40,6 +50,30 @@ function test_expmv3()
return e1, e2
end

function test_expmv_linop(n::Int)
A = LinearOp(sprand(n,n,0.2) + 1im*sprand(n,n,0.2))
v = eye(n,1)[:]+0im*eye(n,1)[:]

tic()
w1 = expmv(1.0, A, v, anorm=norm(A.m, Inf))
t1 = toc()

tic()
w2 = expmv(1.0, A, v)
t2 = toc()

tic()
w3 = expm(full(A.m))*v
t3 = toc()

return max(norm(w1-w2)/norm(w2), norm(w1-w3)/norm(w3)), t1, t2, t3
end

println("testing linear operator n=1000 (first expmv, then expm)")
res, t1, t2, t3 = test_expmv_linop(1000)
println("residuum: $res\n")
@test res < 1e-6

println("testing real n=100 (first expmv, then expm)")
res, t1, t2 = test_expmv(100)
println("residuum: $res\n")
Expand Down Expand Up @@ -247,3 +281,37 @@ println("testing complex n=1000 (first phimv, then expm)")
res, t1, t2 = test_phimv2(1000)
println("residuum: $res\n")
@test res < 1e-6

function test_phimv_linop(n::Int)
p = 0.1
found = false
A = LinearOp(sprand(n,n,p))
u = rand(n)
x = similar(u)
while !found
try
copy!(x, A.m\u)
found = true
catch
A = LinearOp(sprand(n,n,p))
end
end
vec = eye(n, 1)[:]

w1 = phimv(1.0, A, u, vec) # warmup
tic()
w1 = phimv(1.0, A, u, vec)
t1 = toc()

w2 = expm(full(A.m))*(vec+x)-x # warmup
tic()
w2 = expm(full(A.m))*(vec+x)-x
t2 = toc()

return norm(w1-w2)/norm(w2), t1, t2
end

println("testing real n=1000 (first phimv, then expm), the linear operator version.")
res, t1, t2 = test_phimv_linop(1000)
println("residuum: $res\n")
@test res < 1e-6