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# 线性代数
`numpy``scipy` 中,负责进行线性代数部分计算的模块叫做 `linalg`
In [1]:
```py
import numpy as np
import numpy.linalg
import scipy as sp
import scipy.linalg
import matplotlib.pyplot as plt
from scipy import linalg
%matplotlib inline
```
## numpy.linalg VS scipy.linalg
一方面`scipy.linalg` 包含 `numpy.linalg` 中的所有函数,同时还包含了很多 `numpy.linalg` 中没有的函数。
另一方面,`scipy.linalg` 能够保证这些函数使用 BLAS/LAPACK 加速,而 `numpy.linalg` 中这些加速是可选的。
因此,在使用时,我们一般使用 `scipy.linalg` 而不是 `numpy.linalg`
我们可以简单看看两个模块的差异:
In [2]:
```py
print "number of items in numpy.linalg:", len(dir(numpy.linalg))
print "number of items in scipy.linalg:", len(dir(scipy.linalg))
```
```py
number of items in numpy.linalg: 36
number of items in scipy.linalg: 115
```
## numpy.matrix VS 2D numpy.ndarray
线性代数的基本操作对象是矩阵,而矩阵的表示方法主要有两种:`numpy.matrix` 和 2D `numpy.ndarray`
### numpy.matrix
`numpy.matrix` 是一个矩阵类,提供了一些方便的矩阵操作:
* 支持类似 `MATLAB` 创建矩阵的语法
* 矩阵乘法默认用 `*`
* `.I` 表示逆,`.T` 表示转置
可以用 `mat` 或者 `matrix` 来产生矩阵:
In [3]:
```py
A = np.mat("[1, 2; 3, 4]")
print repr(A)
A = np.matrix("[1, 2; 3, 4]")
print repr(A)
```
```py
matrix([[1, 2],
[3, 4]])
matrix([[1, 2],
[3, 4]])
```
转置和逆:
In [4]:
```py
print repr(A.I)
print repr(A.T)
```
```py
matrix([[-2\. , 1\. ],
[ 1.5, -0.5]])
matrix([[1, 3],
[2, 4]])
```
矩阵乘法:
In [5]:
```py
b = np.mat('[5; 6]')
print repr(A * b)
```
```py
matrix([[17],
[39]])
```
### 2 维 numpy.ndarray
虽然 `numpy.matrix` 有着上面的好处,但是一般不建议使用,而是用 2 维 `numpy.ndarray` 对象替代,这样可以避免一些不必要的困惑。
我们可以使用 `array` 复现上面的操作:
In [6]:
```py
A = np.array([[1,2], [3,4]])
print repr(A)
```
```py
array([[1, 2],
[3, 4]])
```
逆和转置:
In [7]:
```py
print repr(linalg.inv(A))
print repr(A.T)
```
```py
array([[-2\. , 1\. ],
[ 1.5, -0.5]])
array([[1, 3],
[2, 4]])
```
矩阵乘法:
In [8]:
```py
b = np.array([5, 6])
print repr(A.dot(b))
```
```py
array([17, 39])
```
普通乘法:
In [9]:
```py
print repr(A * b)
```
```py
array([[ 5, 12],
[15, 24]])
```
`scipy.linalg` 的操作可以作用到两种类型的对象上,没有区别。
## 基本操作
### 求逆
矩阵 $\mathbf{A}$ 的逆 $\mathbf{B}$ 满足:$\mathbf{BA}=\mathbf{AB}=I$,记作 $\mathbf{B} = \mathbf{A}^{-1}$。
事实上,我们已经见过求逆的操作,`linalg.inv` 可以求一个可逆矩阵的逆:
In [10]:
```py
A = np.array([[1,2],[3,4]])
print linalg.inv(A)
print A.dot(scipy.linalg.inv(A))
```
```py
[[-2\. 1\. ]
[ 1.5 -0.5]]
[[ 1.00000000e+00 0.00000000e+00]
[ 8.88178420e-16 1.00000000e+00]]
```
### 求解线性方程组
例如,下列方程组 $$ \begin{eqnarray*} x + 3y + 5z & = & 10 \\ 2x + 5y + z & = & 8 \\ 2x + 3y + 8z & = & 3 \end{eqnarray*} $$ 的解为: $$ \begin{split}\left[\begin{array}{c} x\\ y\\ z\end{array}\right]=\left[\begin{array}{ccc} 1 & 3 & 5\\ 2 & 5 & 1\\ 2 & 3 & 8\end{array}\right]^{-1}\left[\begin{array}{c} 10\\ 8\\ 3\end{array}\right]=\frac{1}{25}\left[\begin{array}{c} -232\\ 129\\ 19\end{array}\right]=\left[\begin{array}{c} -9.28\\ 5.16\\ 0.76\end{array}\right].\end{split} $$
我们可以使用 `linalg.solve` 求解方程组,也可以先求逆再相乘,两者中 `solve` 比较快。
In [11]:
```py
import time
A = np.array([[1, 3, 5],
[2, 5, 1],
[2, 3, 8]])
b = np.array([10, 8, 3])
tic = time.time()
for i in xrange(1000):
x = linalg.inv(A).dot(b)
print x
print A.dot(x)-b
print "inv and dot: {} s".format(time.time() - tic)
tic = time.time()
for i in xrange(1000):
x = linalg.solve(A, b)
print x
print A.dot(x)-b
print "solve: {} s".format(time.time() - tic)
```
```py
[-9.28 5.16 0.76]
[ 0.00000000e+00 -1.77635684e-15 -8.88178420e-16]
inv and dot: 0.0353579521179 s
[-9.28 5.16 0.76]
[ 0.00000000e+00 -1.77635684e-15 -1.77635684e-15]
solve: 0.0284671783447 s
```
### 计算行列式
方阵的行列式为 $$ \left|\mathbf{A}\right|=\sum_{j}\left(-1\right)^{i+j}a_{ij}M_{ij}. $$
其中 $a_{ij}$ 表示 $\mathbf{A}$ 的第 $i$ 行 第 $j$ 列的元素,$M_{ij}$ 表示矩阵 $\mathbf{A}$ 去掉第 $i$ 行 第 $j$ 列的新矩阵的行列式。
例如,矩阵 $$ \begin{split}\mathbf{A=}\left[\begin{array}{ccc} 1 & 3 & 5\\ 2 & 5 & 1\\ 2 & 3 & 8\end{array}\right]\end{split} $$ 的行列式是: $$ \begin{eqnarray*} \left|\mathbf{A}\right| & = & 1\left|\begin{array}{cc} 5 & 1\\ 3 & 8\end{array}\right|-3\left|\begin{array}{cc} 2 & 1\\ 2 & 8\end{array}\right|+5\left|\begin{array}{cc} 2 & 5\\ 2 & 3\end{array}\right|\\ & = & 1\left(5\cdot8-3\cdot1\right)-3\left(2\cdot8-2\cdot1\right)+5\left(2\cdot3-2\cdot5\right)=-25.\end{eqnarray*} $$
可以用 `linalg.det` 计算行列式:
In [12]:
```py
A = np.array([[1, 3, 5],
[2, 5, 1],
[2, 3, 8]])
print linalg.det(A)
```
```py
-25.0
```
### 计算矩阵或向量的模
矩阵的模定义如下: $$ \begin{split}\left\Vert \mathbf{A}\right\Vert =\left\{ \begin{array}{cc} \max_{i}\sum_{j}\left|a_{ij}\right| & \textrm{ord}=\textrm{inf}\\ \min_{i}\sum_{j}\left|a_{ij}\right| & \textrm{ord}=-\textrm{inf}\\ \max_{j}\sum_{i}\left|a_{ij}\right| & \textrm{ord}=1\\ \min_{j}\sum_{i}\left|a_{ij}\right| & \textrm{ord}=-1\\ \max\sigma_{i} & \textrm{ord}=2\\ \min\sigma_{i} & \textrm{ord}=-2\\ \sqrt{\textrm{trace}\left(\mathbf{A}^{H}\mathbf{A}\right)} & \textrm{ord}=\textrm{'fro'}\end{array}\right.\end{split} $$ 其中,$\sigma_i$ 是矩阵的奇异值。
向量的模定义如下: $$ \begin{split}\left\Vert \mathbf{x}\right\Vert =\left\{ \begin{array}{cc} \max\left|x_{i}\right| & \textrm{ord}=\textrm{inf}\\ \min\left|x_{i}\right| & \textrm{ord}=-\textrm{inf}\\ \left(\sum_{i}\left|x_{i}\right|^{\textrm{ord}}\right)^{1/\textrm{ord}} & \left|\textrm{ord}\right|<\infty.\end{array}\right.\end{split} $$<="" p="">
`linalg.norm` 可以计算向量或者矩阵的模:
In [13]:
```py
A = np.array([[1, 2],
[3, 4]])
print linalg.norm(A)
print linalg.norm(A,'fro') # frobenius norm 默认值
print linalg.norm(A,1) # L1 norm 最大列和
print linalg.norm(A,-1) # L -1 norm 最小列和
print linalg.norm(A,np.inf) # L inf norm 最大行和
```
```py
5.47722557505
5.47722557505
6
4
7
```
### 最小二乘解和伪逆
#### 问题描述
所谓最小二乘问题的定义如下:
假设 $y_i$ 与 $\mathbf{x_i}$ 的关系可以用一组系数 $c_j$ 和对应的模型函数 $f_j(\mathbf{x_i})$ 的模型表示:
$$ y_{i}=\sum_{j}c_{j}f_{j}\left(\mathbf{x}_{i}\right)+\epsilon_{i} $$
其中 $\epsilon_i$ 表示数据的不确定性。最小二乘就是要优化这样一个关于 $c_j$ 的问题: $$ J\left(\mathbf{c}\right)=\sum_{i}\left|y_{i}-\sum_{j}c_{j}f_{j}\left(x_{i}\right)\right|^{2} $$
其理论解满足: $$ \frac{\partial J}{\partial c_{n}^{*}}=0=\sum_{i}\left(y_{i}-\sum_{j}c_{j}f_{j}\left(x_{i}\right)\right)\left(-f_{n}^{*}\left(x_{i}\right)\right) $$
改写为: $$ \begin{eqnarray*} \sum_{j}c_{j}\sum_{i}f_{j}\left(x_{i}\right)f_{n}^{*}\left(x_{i}\right) & = & \sum_{i}y_{i}f_{n}^{*}\left(x_{i}\right)\\ \mathbf{A}^{H}\mathbf{Ac} & = & \mathbf{A}^{H}\mathbf{y}\end{eqnarray*} $$
其中: $$ \left\{ \mathbf{A}\right\} _{ij}=f_{j}\left(x_{i}\right). $$
当 $\mathbf{A^HA}$ 可逆时,我们有: $$ \mathbf{c}=\left(\mathbf{A}^{H}\mathbf{A}\right)^{-1}\mathbf{A}^{H}\mathbf{y}=\mathbf{A}^{\dagger}\mathbf{y} $$
矩阵 $\mathbf{A}^{\dagger}$ 叫做 $\mathbf{A}$ 的伪逆。
#### 问题求解
注意到,我们的模型可以写为: $$ \mathbf{y}=\mathbf{Ac}+\boldsymbol{\epsilon}. $$
在给定 $\mathbf{y}$ 和 $\mathbf{A}$ 的情况下,我们可以使用 `linalg.lstsq` 求解 $\mathbf c$。
在给定 $\mathbf{A}$ 的情况下,我们可以使用 `linalg.pinv` 或者 `linalg.pinv2` 求解 $\mathbf{A}^{\dagger}$。
#### 例子
假设我们的数据满足: $$ \begin{align} y_{i} & =c_{1}e^{-x_{i}}+c_{2}x_{i} \\ z_{i} & = y_i + \epsilon_i \end{align} $$
其中 $x_i = \frac{i}{10},\ i = 1,\dots,10$$c_1 = 5, c_2 = 2$,产生数据
In [14]:
```py
c1, c2 = 5.0, 2.0
i = np.r_[1:11]
xi = 0.1*i
yi = c1*np.exp(-xi) + c2*xi
zi = yi + 0.05 * np.max(yi) * np.random.randn(len(yi))
```
构造矩阵 $\mathbf A$
In [15]:
```py
A = np.c_[np.exp(-xi)[:, np.newaxis], xi[:, np.newaxis]]
print A
```
```py
[[ 0.90483742 0.1 ]
[ 0.81873075 0.2 ]
[ 0.74081822 0.3 ]
[ 0.67032005 0.4 ]
[ 0.60653066 0.5 ]
[ 0.54881164 0.6 ]
[ 0.4965853 0.7 ]
[ 0.44932896 0.8 ]
[ 0.40656966 0.9 ]
[ 0.36787944 1\. ]]
```
求解最小二乘问题:
In [16]:
```py
c, resid, rank, sigma = linalg.lstsq(A, zi)
print c
```
```py
[ 4.87016856 2.19081311]
```
其中 `c` 的形状与 `zi` 一致,为最小二乘解,`resid``zi - A c` 每一列差值的二范数,`rank` 为矩阵 `A` 的秩,`sigma` 为矩阵 `A` 的奇异值。
查看拟合效果:
In [17]:
```py
xi2 = np.r_[0.1:1.0:100j]
yi2 = c[0]*np.exp(-xi2) + c[1]*xi2
plt.plot(xi,zi,'x',xi2,yi2)
plt.axis([0,1.1,3.0,5.5])
plt.xlabel('$x_i$')
plt.title('Data fitting with linalg.lstsq')
plt.show()
```
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### 广义逆
`linalg.pinv``linalg.pinv2` 可以用来求广义逆,其区别在于前者使用求最小二乘解的算法,后者使用求奇异值的算法求解。
## 矩阵分解
### 特征值和特征向量
#### 问题描述
对于给定的 $N \times N$ 矩阵 $\mathbf A$,特征值和特征向量问题相当与寻找标量 $\lambda$ 和对应的向量 $\mathbf v$ 使得: $$ \mathbf{Av} = \lambda \mathbf{v} $$
矩阵的 $N$ 个特征值(可能相同)可以通过计算特征方程的根得到: $$ \left|\mathbf{A} - \lambda \mathbf{I}\right| = 0 $$
然后利用这些特征值求(归一化的)特征向量。
#### 问题求解
* `linalg.eig(A)`
* 返回矩阵的特征值与特征向量
* `linalg.eigvals(A)`
* 返回矩阵的特征值
* `linalg.eig(A, B)`
* 求解 $\mathbf{Av} = \lambda\mathbf{Bv}$ 的问题
#### 例子
矩阵为 $$ \begin{split}\mathbf{A}=\left[\begin{array}{ccc} 1 & 5 & 2\\ 2 & 4 & 1\\ 3 & 6 & 2\end{array}\right].\end{split} $$
特征多项式为: $$ \begin{eqnarray*} \left|\mathbf{A}-\lambda\mathbf{I}\right| & = & \left(1-\lambda\right)\left[\left(4-\lambda\right)\left(2-\lambda\right)-6\right]-\\ & & 5\left[2\left(2-\lambda\right)-3\right]+2\left[12-3\left(4-\lambda\right)\right]\\ & = & -\lambda^{3}+7\lambda^{2}+8\lambda-3.\end{eqnarray*} $$
特征根为: $$ \begin{eqnarray*} \lambda_{1} & = & 7.9579\\ \lambda_{2} & = & -1.2577\\ \lambda_{3} & = & 0.2997.\end{eqnarray*} $$
In [18]:
```py
A = np.array([[1, 5, 2],
[2, 4, 1],
[3, 6, 2]])
la, v = linalg.eig(A)
print la
# 验证是否归一化
print np.sum(abs(v**2),axis=0)
# 第一个特征值
l1 = la[0]
# 对应的特征向量
v1 = v[:, 0].T
# 验证是否为特征值和特征向量对
print linalg.norm(A.dot(v1)-l1*v1)
```
```py
[ 7.95791620+0.j -1.25766471+0.j 0.29974850+0.j]
[ 1\. 1\. 1.]
3.23301824835e-15
```
### 奇异值分解
#### 问题描述
$M \times N$ 矩阵 $\mathbf A$ 的奇异值分解为: $$ \mathbf{A=U}\boldsymbol{\Sigma}\mathbf{V}^{H} $$
其中 $\boldsymbol{\Sigma}, (M \times N)$ 只有对角线上的元素不为 0$\mathbf U, (M \times M)$ 和 $\mathbf V, (N \times N)$ 为正交矩阵。
其具体原理可以查看维基百科: [https://en.wikipedia.org/wiki/Singular_value_decomposition](https://en.wikipedia.org/wiki/Singular_value_decomposition)
#### 问题求解
* `U,s,Vh = linalg.svd(A)`
* 返回 $U$ 矩阵,奇异值 $s$$V^H$ 矩阵
* `Sig = linalg.diagsvd(s,M,N)`
* 从奇异值恢复 $\boldsymbol{\Sigma}$ 矩阵
#### 例子
奇异值分解:
In [19]:
```py
A = np.array([[1,2,3],[4,5,6]])
U, s, Vh = linalg.svd(A)
```
$\boldsymbol{\Sigma}$ 矩阵:
In [20]:
```py
M, N = A.shape
Sig = linalg.diagsvd(s,M,N)
print Sig
```
```py
[[ 9.508032 0\. 0\. ]
[ 0\. 0.77286964 0\. ]]
```
检查正确性:
In [21]:
```py
print A
print U.dot(Sig.dot(Vh))
```
```py
[[1 2 3]
[4 5 6]]
[[ 1\. 2\. 3.]
[ 4\. 5\. 6.]]
```
### LU 分解
$M \times N$ 矩阵 $\mathbf A$ 的 `LU` 分解为: $$ \mathbf{A}=\mathbf{P}\,\mathbf{L}\,\mathbf{U} $$
$\mathbf P$ 是 $M \times M$ 的单位矩阵的一个排列,$\mathbf L$ 是下三角阵,$\mathbf U$ 是上三角阵。
可以使用 `linalg.lu` 进行 LU 分解的求解:
具体原理可以查看维基百科: [https://en.wikipedia.org/wiki/LU_decomposition](https://en.wikipedia.org/wiki/LU_decomposition)
In [22]:
```py
A = np.array([[1,2,3],[4,5,6]])
P, L, U = linalg.lu(A)
print P
print L
print U
print P.dot(L).dot(U)
```
```py
[[ 0\. 1.]
[ 1\. 0.]]
[[ 1\. 0\. ]
[ 0.25 1\. ]]
[[ 4\. 5\. 6\. ]
[ 0\. 0.75 1.5 ]]
[[ 1\. 2\. 3.]
[ 4\. 5\. 6.]]
```
### Cholesky 分解
`Cholesky` 分解是一种特殊的 `LU` 分解,此时要求 $\mathbf A$ 为 Hermitian 正定矩阵 $\mathbf A = \mathbf{A^H}$)。
此时有: $$ \begin{eqnarray*} \mathbf{A} & = & \mathbf{U}^{H}\mathbf{U}\\ \mathbf{A} & = & \mathbf{L}\mathbf{L}^{H}\end{eqnarray*} $$ 即 $$ \mathbf{L}=\mathbf{U}^{H}. $$
可以用 `linalg.cholesky` 求解。
### QR 分解
$M×N$ 矩阵 $\mathbf A$ 的 `QR` 分解为: $$ \mathbf{A=QR} $$
$\mathbf R$ 为上三角形矩阵,$\mathbf Q$ 是正交矩阵。
维基链接: [https://en.wikipedia.org/wiki/QR_decomposition](https://en.wikipedia.org/wiki/QR_decomposition)
可以用 `linalg.qr` 求解。
### Schur 分解
对于 $N\times N$ 方阵 $\mathbf A$, `Schur` 分解要求找到满足下式的矩阵: $$ \mathbf{A=ZTZ^H} $$
其中 $\mathbf Z$ 是正交矩阵,$\mathbf T$ 是一个上三角矩阵。
维基链接: [https://en.wikipedia.org/wiki/Schur_decomposition](https://en.wikipedia.org/wiki/Schur_decomposition)
In [23]:
```py
A = np.mat('[1 3 2; 1 4 5; 2 3 6]')
print A
T, Z = linalg.schur(A)
print T, Z
print Z.dot(T).dot(Z.T)
```
```py
[[1 3 2]
[1 4 5]
[2 3 6]]
[[ 9.90012467 1.78947961 -0.65498528]
[ 0\. 0.54993766 -1.57754789]
[ 0\. 0.51260928 0.54993766]] [[ 0.36702395 -0.85002495 -0.37782404]
[ 0.63681656 -0.06646488 0.76814522]
[ 0.67805463 0.52253231 -0.51691576]]
[[ 1\. 3\. 2.]
[ 1\. 4\. 5.]
[ 2\. 3\. 6.]]
```
## 矩阵函数
考虑函数 $f(x)$ 的泰勒展开: $$ f\left(x\right)=\sum_{k=0}^{\infty}\frac{f^{\left(k\right)}\left(0\right)}{k!}x^{k} $$
对于方阵,矩阵函数可以定义如下: $$ f\left(\mathbf{A}\right)=\sum_{k=0}^{\infty}\frac{f^{\left(k\right)}\left(0\right)}{k!}\mathbf{A}^{k} $$
这也是计算矩阵函数的最好的方式。
### 指数和对数函数
#### 指数
指数可以定义如下: $$ e^{\mathbf{A}}=\sum_{k=0}^{\infty}\frac{1}{k!}\mathbf{A}^{k} $$
`linalg.expm3` 使用的是泰勒展开的方法计算结果:
In [24]:
```py
A = np.array([[1, 2], [3, 4]])
print linalg.expm3(A)
```
```py
[[ 51.96890355 74.73648784]
[ 112.10473176 164.07363531]]
```
另一种方法先计算 A 的特征值分解: $$ \mathbf{A}=\mathbf{V}\boldsymbol{\Lambda}\mathbf{V}^{-1} $$
然后有(正交矩阵和对角阵的性质): $$ e^{\mathbf{A}}=\mathbf{V}e^{\boldsymbol{\Lambda}}\mathbf{V}^{-1} $$
`linalg.expm2` 使用的就是这种方法:
In [25]:
```py
print linalg.expm2(A)
```
```py
[[ 51.9689562 74.73656457]
[ 112.10484685 164.07380305]]
```
最优的方法是用 [`Padé` 近似](https://en.wikipedia.org/wiki/Pad%C3%A9_approximant) 实现,`Padé` 近似往往比截断的泰勒级数准确,而且当泰勒级数不收敛时,`Padé` 近似往往仍可行,所以多用于在计算机数学中。
`linalg.expm` 使用的就是这种方法:
In [26]:
```py
print linalg.expm(A)
```
```py
[[ 51.9689562 74.73656457]
[ 112.10484685 164.07380305]]
```
#### 对数
指数的逆运算,可以用 `linalg.logm` 实现:
In [27]:
```py
print A
print linalg.logm(linalg.expm(A))
```
```py
[[1 2]
[3 4]]
[[ 1\. 2.]
[ 3\. 4.]]
```
### 三角函数
根据欧拉公式,其定义为: $$ \begin{eqnarray*} \sin\left(\mathbf{A}\right) & = & \frac{e^{j\mathbf{A}}-e^{-j\mathbf{A}}}{2j}\\ \cos\left(\mathbf{A}\right) & = & \frac{e^{j\mathbf{A}}+e^{-j\mathbf{A}}}{2}.\end{eqnarray*} $$
正切函数定义为: $$ \tan\left(x\right)=\frac{\sin\left(x\right)}{\cos\left(x\right)}=\left[\cos\left(x\right)\right]^{-1}\sin\left(x\right) $$
因此矩阵的正切函数定义为: $$ \left[\cos\left(\mathbf{A}\right)\right]^{-1}\sin\left(\mathbf{A}\right). $$
具体实现:
* `linalg.sinm`
* `linalg.cosm`
* `linalg.tanm`
### 双曲三角函数
\begin{eqnarray*} \sinh\left(\mathbf{A}\right) & = & \frac{e^{\mathbf{A}}-e^{-\mathbf{A}}}{2}\\ \cosh\left(\mathbf{A}\right) & = & \frac{e^{\mathbf{A}}+e^{-\mathbf{A}}}{2}\\ \tanh\left(\mathbf{A}\right) & = & \left[\cosh\left(\mathbf{A}\right)\right]^{-1}\sinh\left(\mathbf{A}\right).\end{eqnarray*}
具体实现:
* `linalg.sinhm`
* `linalg.coshm`
* `linalg.tanhm`
## 特殊矩阵
`Scipy` 提供了一些特殊矩阵的实现,具体可以参考:
[http://docs.scipy.org/doc/scipy/reference/tutorial/linalg.html#special-matrices](http://docs.scipy.org/doc/scipy/reference/tutorial/linalg.html#special-matrices)