Cardoso和Soulomiac在1996年发表了一个基于Givens旋转的相当简单和非常优雅的同时对角化算法:
Cardoso,J.,&Souloumiac,A.(1996年)。同时对角化的雅可比角。暹罗矩阵分析与应用杂志,17(1),161–164。内政部:10.1137/s08955479893259546
我在这个响应的末尾附加了一个算法的numpy实现。注意:事实证明,同时对角化是一个有点棘手的数值问题,没有算法(据我所知)保证全局收敛。然而,它不起作用的情况(见论文)是退化的,在实践中,我从未有过雅可比角算法在我身上失败。#!/usr/bin/env python2.7
# -*- coding: utf-8 -*-
"""
Routines for simultaneous diagonalization
Arun Chaganty
"""
import numpy as np
from numpy import zeros, eye, diag
from numpy.linalg import norm
def givens_rotate( A, i, j, c, s ):
"""
Rotate A along axis (i,j) by c and s
"""
Ai, Aj = A[i,:], A[j,:]
A[i,:], A[j,:] = c * Ai + s * Aj, c * Aj - s * Ai
return A
def givens_double_rotate( A, i, j, c, s ):
"""
Rotate A along axis (i,j) by c and s
"""
Ai, Aj = A[i,:], A[j,:]
A[i,:], A[j,:] = c * Ai + s * Aj, c * Aj - s * Ai
A_i, A_j = A[:,i], A[:,j]
A[:,i], A[:,j] = c * A_i + s * A_j, c * A_j - s * A_i
return A
def jacobi_angles( *Ms, **kwargs ):
r"""
Simultaneously diagonalize using Jacobi angles
@article{SC-siam,
HTML = "ftp://sig.enst.fr/pub/jfc/Papers/siam_note.ps.gz",
author = "Jean-Fran\c{c}ois Cardoso and Antoine Souloumiac",
journal = "{SIAM} J. Mat. Anal. Appl.",
title = "Jacobi angles for simultaneous diagonalization",
pages = "161--164",
volume = "17",
number = "1",
month = jan,
year = {1995}}
(a) Compute Givens rotations for every pair of indices (i,j) i < j
- from eigenvectors of G = gg'; g = A_ij - A_ji, A_ij + A_ji
- Compute c, s as \sqrt{x+r/2r}, y/\sqrt{2r(x+r)}
(b) Update matrices by multiplying by the givens rotation R(i,j,c,s)
(c) Repeat (a) until stopping criterion: sin theta < threshold for all ij pairs
"""
assert len(Ms) > 0
m, n = Ms[0].shape
assert m == n
sweeps = kwargs.get('sweeps', 500)
threshold = kwargs.get('eps', 1e-8)
rank = kwargs.get('rank', m)
R = eye(m)
for _ in xrange(sweeps):
done = True
for i in xrange(rank):
for j in xrange(i+1, m):
G = zeros((2,2))
for M in Ms:
g = np.array([ M[i,i] - M[j,j], M[i,j] + M[j,i] ])
G += np.outer(g,g) / len(Ms)
# Compute the eigenvector directly
t_on, t_off = G[0,0] - G[1,1], G[0,1] + G[1,0]
theta = 0.5 * np.arctan2( t_off, t_on + np.sqrt( t_on*t_on + t_off * t_off) )
c, s = np.cos(theta), np.sin(theta)
if abs(s) > threshold:
done = False
# Update the matrices and V
for M in Ms:
givens_double_rotate(M, i, j, c, s)
#assert M[i,i] > M[j, j]
R = givens_rotate(R, i, j, c, s)
if done:
break
R = R.T
L = np.zeros((m, len(Ms)))
err = 0
for i, M in enumerate(Ms):
# The off-diagonal elements of M should be 0
L[:,i] = diag(M)
err += norm(M - diag(diag(M)))
return R, L, err