python计算矩阵最大特征值_用numpy计算k个最大特征值及相应特征向量的最快方法...

实际上稀疏例程也适用于密集的numpy数组，我认为它们使用一些

一类Krylov子空间迭代，需要计算多个矩阵向量

产品，这意味着如果你的k&lt；&lt；N，稀疏的路线可能是(稍微？)

更快。

下面的代码(和朋友一起喝杯好咖啡直到结束)import numpy as np

from time import clock

from scipy.linalg import eigh as largest_eigh

from scipy.sparse.linalg.eigen.arpack import eigsh as largest_eigsh

np.set_printoptions(suppress=True)

np.random.seed(0)

N=5000

k=10

X = np.random.random((N,N)) - 0.5

X = np.dot(X, X.T) #create a symmetric matrix

# Benchmark the dense routine

start = clock()

evals_large, evecs_large = largest_eigh(X, eigvals=(N-k,N-1))

elapsed = (clock() - start)

print "eigh elapsed time: ", elapsed

# Benchmark the sparse routine

start = clock()

evals_large_sparse, evecs_large_sparse = largest_eigsh(X, k, which='LM')

elapsed = (clock() - start)

print "eigsh elapsed time: ", elapsed