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Power method: fix #211 #212

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merged 7 commits into from
Jun 9, 2022
Merged

Power method: fix #211 #212

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c633a30
Correct the norm update for Power Method
paquiteau Jan 29, 2022
6459291
fix test value
paquiteau Jan 29, 2022
b271d30
fix WPS350
paquiteau Jan 29, 2022
d7d917f
fix test value for unconverged case
paquiteau Jan 30, 2022
cacc999
Merge branch 'develop' into power_method
sfarrens Feb 7, 2022
909a1d6
Merge branch 'develop' into power_method
sfarrens Mar 21, 2022
10c87c2
Merge branch 'develop' into power_method
paquiteau Jun 9, 2022
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17 changes: 11 additions & 6 deletions modopt/math/matrix.py
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Original file line number Diff line number Diff line change
Expand Up @@ -285,9 +285,9 @@ class PowerMethod(object):
>>> np.random.seed(1)
>>> pm = PowerMethod(lambda x: x.dot(x.T), (3, 3))
>>> np.around(pm.spec_rad, 6)
0.904292
1.0
>>> np.around(pm.inv_spec_rad, 6)
1.105837
1.0

Notes
-----
Expand Down Expand Up @@ -348,17 +348,21 @@ def get_spec_rad(self, tolerance=1e-6, max_iter=20, extra_factor=1.0):
# Set (or reset) values of x.
x_old = self._set_initial_x()

xp = get_array_module(x_old)
x_old_norm = xp.linalg.norm(x_old)

x_old /= x_old_norm

# Iterate until the L2 norm of x converges.
for i_elem in range(max_iter):

xp = get_array_module(x_old)

x_old_norm = xp.linalg.norm(x_old)

x_new = self._operator(x_old) / x_old_norm
x_new = self._operator(x_old)

x_new_norm = xp.linalg.norm(x_new)

x_new /= x_new_norm

if (xp.abs(x_new_norm - x_old_norm) < tolerance):
message = (
' - Power Method converged after {0} iterations!'
Expand All @@ -374,6 +378,7 @@ def get_spec_rad(self, tolerance=1e-6, max_iter=20, extra_factor=1.0):
print(message.format(max_iter))

xp.copyto(x_old, x_new)
x_old_norm = x_new_norm

self.spec_rad = x_new_norm * extra_factor
self.inv_spec_rad = 1.0 / self.spec_rad
8 changes: 4 additions & 4 deletions modopt/tests/test_math.py
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Original file line number Diff line number Diff line change
Expand Up @@ -234,27 +234,27 @@ def test_powermethod_converged(self):
"""Test PowerMethod converged."""
npt.assert_almost_equal(
self.pmInstance1.spec_rad,
0.90429242629600837,
1.0,
err_msg='Incorrect spectral radius: converged',
)

npt.assert_almost_equal(
self.pmInstance1.inv_spec_rad,
1.1058369736612865,
1.0,
err_msg='Incorrect inverse spectral radius: converged',
)

def test_powermethod_unconverged(self):
"""Test PowerMethod unconverged."""
npt.assert_almost_equal(
self.pmInstance2.spec_rad,
0.92048833577059219,
0.8675467477372257,
err_msg='Incorrect spectral radius: unconverged',
)

npt.assert_almost_equal(
self.pmInstance2.inv_spec_rad,
1.0863798715741946,
1.152675636913221,
err_msg='Incorrect inverse spectral radius: unconverged',
)

Expand Down