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scipy / sparse / linalg / eigen / lobpcg / benchmarks / bench_lobpcg.py
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from __future__ import division, print_function, absolute_import

from functools import partial
import time

import numpy as np
from numpy.testing import assert_allclose, assert_

from scipy import *
from scipy.linalg import eigh, orth, cho_factor, cho_solve
import scipy.sparse
from scipy.sparse.linalg import lobpcg
from scipy.sparse.linalg.interface import LinearOperator


def _sakurai(n):
    """ Example taken from
        T. Sakurai, H. Tadano, Y. Inadomi and U. Nagashima
        A moment-based method for large-scale generalized eigenvalue problems
        Appl. Num. Anal. Comp. Math. Vol. 1 No. 2 (2004) """

    A = scipy.sparse.eye(n, n)
    d0 = array(r_[5,6*ones(n-2),5])
    d1 = -4*ones(n)
    d2 = ones(n)
    B = scipy.sparse.spdiags([d2,d1,d0,d1,d2],[-2,-1,0,1,2],n,n)

    k = arange(1,n+1)
    w_ex = sort(1./(16.*pow(cos(0.5*k*pi/(n+1)),4)))  # exact eigenvalues

    return A, B, w_ex


def _mikota_pair(n):
    # Mikota pair acts as a nice test since the eigenvalues
    # are the squares of the integers n, n=1,2,...
    x = arange(1,n+1)
    B = diag(1./x)
    y = arange(n-1,0,-1)
    z = arange(2*n-1,0,-2)
    A = diag(z)-diag(y,-1)-diag(y,1)
    return A.astype(float), B.astype(float)


def _as2d(ar):
    if ar.ndim == 2:
        return ar
    else:  # Assume 1!
        aux = nm.array(ar, copy=False)
        aux.shape = (ar.shape[0], 1)
        return aux


def _precond(LorU, lower, x):
    y = cho_solve((LorU, lower), x)
    return _as2d(y)


def bench_lobpcg_mikota():
    print()
    print('                 lobpcg benchmark using mikota pairs')
    print('==============================================================')
    print('      shape      | blocksize |    operation   |   time   ')
    print('                                              | (seconds)')
    print('--------------------------------------------------------------')
    fmt = ' %15s |   %3d     |     %6s     | %6.2f '

    m = 10
    for n in 128, 256, 512, 1024, 2048:
        shape = (n, n)
        A, B = _mikota_pair(n)
        desired_evs = np.square(np.arange(1, m+1))

        tt = time.clock()
        X = rand(n, m)
        X = orth(X)
        LorU, lower = cho_factor(A, lower=0, overwrite_a=0)
        M = LinearOperator(shape,
                matvec=partial(_precond, LorU, lower),
                matmat=partial(_precond, LorU, lower))
        eigs, vecs = lobpcg(A, X, B, M, tol=1e-4, maxiter=40)
        eigs = sorted(eigs)
        elapsed = time.clock() - tt
        assert_allclose(eigs, desired_evs)
        print(fmt % (shape, m, 'lobpcg', elapsed))

        tt = time.clock()
        w = eigh(A, B, eigvals_only=True, eigvals=(0, m-1))
        elapsed = time.clock() - tt
        assert_allclose(w, desired_evs)
        print(fmt % (shape, m, 'eigh', elapsed))


def bench_lobpcg_sakurai():
    print()
    print('                 lobpcg benchmark sakurai et al.')
    print('==============================================================')
    print('      shape      | blocksize |    operation   |   time   ')
    print('                                              | (seconds)')
    print('--------------------------------------------------------------')
    fmt = ' %15s |   %3d     |     %6s     | %6.2f '

    m = 3
    for n in 50, 400, 2400:

        shape = (n, n)
        A, B, all_eigenvalues = _sakurai(n)
        desired_evs = all_eigenvalues[:m]

        tt = time.clock()
        X = rand(n, m)
        eigs, vecs, resnh = lobpcg(A, X, B, tol=1e-6, maxiter=500,
                retResidualNormsHistory=1)
        w_lobpcg = sorted(eigs)
        elapsed = time.clock() - tt
        yield (assert_allclose, w_lobpcg, desired_evs, 1e-7, 1e-5)
        print(fmt % (shape, m, 'lobpcg', elapsed))

        tt = time.clock()
        A_dense = A.A
        B_dense = B.A
        w_eigh = eigh(A_dense, B_dense, eigvals_only=True, eigvals=(0, m-1))
        elapsed = time.clock() - tt
        yield (assert_allclose, w_eigh, desired_evs, 1e-7, 1e-5)
        print(fmt % (shape, m, 'eigh', elapsed))