python解线性方程组Ax=b的两种方法

Notes

做 label propagation 时涉及到 Ax = b 的求解，有两种方式：

• 解析解：$x=A^{-1}b$
• 迭代求近似解：共轭梯度法（conjugate gradient），要求 A 对称正定。

Closed Form Solution

求闭解的方式，TensorFlow、numpy、scipy 都有相应的函数可以调

import tensorflow as tf
import numpy as np
import scipy

A = np.array([
    [1, 4, 7],
    [5, 2, 8],
    [9, 6, 3]
])

b = np.array([21, 24, 39])

# numpy
print(np.linalg.solve(A, b))

# scipy
print(scipy.linalg.solve(A, b))

# tensorflow
with tf.Session() as sess:
    A = tf.constant(A, dtype='float64')
    b = tf.constant(b.reshape(-1, 1), dtype='float64')  # b 的秩要是 2
    x = tf.matrix_solve(A, b)
    print('A:', sess.run(A))
    print('b:', sess.run(b))
    print(sess.run(x))
    # 验算
    b_ = tf.matmul(A, x)
    print('b_:', sess.run(b_))

Conjugate Gradient

共轭梯度法可以调 scipy 的包

import numpy as np
from scipy.sparse.linalg import cg

A = np.array([
    [1, 4, 7],
    [5, 2, 8],
    [9, 6, 3]
])

b = np.array([21, 24, 39])

x, info = cg(A, b)  # info 是关于迭代收敛的信息，int
print(x)

References

1. Label Propagation for Deep Semi-supervised Learning
2. Learning with Local and Global Consistency
3. Semi-Supervised Learning with Graphs
4. 标签传播算法（Label Propagation）及Python实现
5. TensorFlow函数：tf.matrix_solve
6. NumPy 线性代数
7. scipy.linalg.solve
8. scipy.sparse.linalg.cg
9. 利用TensorFlow和Numpy求解线性方程组
10. sfujiwara/cg.py