sparse-linear-algebra
Numerical computation in native Haskell
https://github.com/ocramz/sparse-linear-algebra
Version on this page: | 0.2.9.8 |
LTS Haskell 20.26: | 0.3.1@rev:1 |
Stackage Nightly 2022-11-17: | 0.3.1 |
Latest on Hackage: | 0.3.1@rev:1 |
sparse-linear-algebra-0.2.9.8@sha256:21e1c8cf94bd03d6c4dd77cee89199bfa3be6fdbf22bcd53f31289865e03b8bc,4658
Module documentation for 0.2.9.8
- Control
- Control.Exception
- Data
- Numeric
- Numeric.Eps
- Numeric.LinearAlgebra
sparse-linear-algebra
Numerical computation in native Haskell
This library provides common numerical analysis functionality, without requiring any external bindings. It aims to serve as an experimental platform for scientific computation in a purely functional setting.
News
Oct 7., 2017: The library is evolving in a number of ways, to reflect performance observations and user requests:
-
typeclasses and instances for primitive types will become
sparse-linear-algebra-core
, along with a typeclass-oriented reformulation of the numerical algorithms that used to depend on the nested IntMap representation. This will let other developers build on top of this library, in the spirit ofvector-space
andlinear
. -
The
vector
-based backend is being reworked. -
An
accelerate
-based backend is under development.
Contents
-
Iterative linear solvers (
<\>
)-
Generalized Minimal Residual (GMRES) (non-Hermitian systems)
-
BiConjugate Gradient (BCG)
-
Conjugate Gradient Squared (CGS)
-
BiConjugate Gradient Stabilized (BiCGSTAB) (non-Hermitian systems)
-
Moore-Penrose pseudoinverse (
pinv
) (rectangular systems)
-
-
Direct linear solvers
- LU-based (
luSolve
); forward and backward substitution (triLowerSolve
,triUpperSolve
)
- LU-based (
-
Matrix factorization algorithms
-
QR (
qr
) -
LU (
lu
) -
Cholesky (
chol
) -
Arnoldi iteration (
arnoldi
)
-
-
Eigenvalue algorithms
-
QR (
eigsQR
) -
QR-Arnoldi (
eigsArnoldi
)
-
-
Utilities : Vector and matrix norms, matrix condition number, Givens rotation, Householder reflection
-
Predicates : Matrix orthogonality test (A^T A ~= I)
Under development
-
Eigenvalue algorithms
- Rayleigh quotient iteration (
eigRayleigh
)
- Rayleigh quotient iteration (
-
Matrix factorization algorithms
-
Golub-Kahan-Lanczos bidiagonalization (
gklBidiag
) -
Singular value decomposition (SVD)
-
-
Iterative linear solvers
- Transpose-Free Quasi-Minimal Residual (TFQMR)
Examples
The module Numeric.LinearAlgebra.Sparse
contains the user interface.
Creation of sparse data
The fromListSM
function creates a sparse matrix from a collection of its entries in (row, column, value) format. This is its type signature:
fromListSM :: Foldable t => (Int, Int) -> t (IxRow, IxCol, a) -> SpMatrix a
and, in case you have a running GHCi session (the terminal is denoted from now on by λ>
), you can try something like this:
λ> amat = fromListSM (3,3) [(0,0,2),(1,0,4),(1,1,3),(1,2,2),(2,2,5)] :: SpMatrix Double
Similarly, fromListSV
is used to create sparse vectors:
fromListSV :: Int -> [(Int, a)] -> SpVector a
Alternatively, the user can copy the contents of a list to a (dense) SpVector using
fromListDenseSV :: Int -> [a] -> SpVector a
Displaying sparse data
Both sparse vectors and matrices can be pretty-printed using prd
:
λ> prd amat
( 3 rows, 3 columns ) , 5 NZ ( density 55.556 % )
2.00 , _ , _
4.00 , 3.00 , 2.00
_ , _ , 5.00
Note (sparse storage): sparse data should only contain non-zero entries not to waste memory and computation.
Note (approximate output): prd
rounds the results to two significant digits, and switches to scientific notation for large or small values. Moreover, values which are indistinguishable from 0 (see the Numeric.Eps
module) are printed as _
.
Matrix factorizations, matrix product
There are a few common matrix factorizations available; in the following example we compute the LU factorization of matrix amat
and verify it with the matrix-matrix product ##
of its factors :
λ> (l, u) <- lu amat
λ> prd $ l ## u
( 3 rows, 3 columns ) , 9 NZ ( density 100.000 % )
2.00 , _ , _
4.00 , 3.00 , 2.00
_ , _ , 5.00
Notice that the result is dense, i.e. certain entries are numerically zero but have been inserted into the result along with all the others (thus taking up memory!).
To preserve sparsity, we can use a sparsifying matrix-matrix product #~#
, which filters out all the elements x for which |x| <= eps
, where eps
(defined in Numeric.Eps
) depends on the numerical type used (e.g. it is 10^-6 for Float
s and 10^-12 for Double
s).
λ> prd $ l #~# u
( 3 rows, 3 columns ) , 5 NZ ( density 55.556 % )
2.00 , _ , _
4.00 , 3.00 , 2.00
_ , _ , 5.00
A matrix is transposed using the transpose
function.
Sometimes we need to compute matrix-matrix transpose products, which is why the library offers the infix operators #^#
(i.e. matrix transpose * matrix) and ##^
(matrix * matrix transpose):
λ> amat' = amat #^# amat
λ> prd amat'
( 3 rows, 3 columns ) , 9 NZ ( density 100.000 % )
20.00 , 12.00 , 8.00
12.00 , 9.00 , 6.00
8.00 , 6.00 , 29.00
λ> lc <- chol amat'
λ> prd $ lc ##^ lc
( 3 rows, 3 columns ) , 9 NZ ( density 100.000 % )
20.00 , 12.00 , 8.00
12.00 , 9.00 , 10.80
8.00 , 10.80 , 29.00
In the last example we have also shown the Cholesky decomposition (M = L L^T where L is a lower-triangular matrix), which is only defined for symmetric positive-definite matrices.
Linear systems
Large sparse linear systems are best solved with iterative methods. sparse-linear-algebra
provides a selection of these via the <\>
(inspired by Matlab’s “backslash” function. Currently this method uses GMRES as default) :
λ> b = fromListDenseSV 3 [3,2,5] :: SpVector Double
λ> x <- amat <\> b
λ> prd x
( 3 elements ) , 3 NZ ( density 100.000 % )
1.50 , -2.00 , 1.00
The result can be verified by computing the matrix-vector action amat #> x
, which should (ideally) be very close to the right-hand side b
:
λ> prd $ amat #> x
( 3 elements ) , 3 NZ ( density 100.000 % )
3.00 , 2.00 , 5.00
The library also provides a forward-backward substitution solver (luSolve
) based on a triangular factorization of the system matrix (usually LU). This should be the preferred for solving smaller, dense systems. Using the LU factors defined previously we can cross-verify the two solution methods:
λ> x' <- luSolve l u b
λ> prd x'
( 3 elements ) , 3 NZ ( density 100.000 % )
1.50 , -2.00 , 1.00
License
GPL3, see LICENSE
Credits
Inspired by
linear
: https://hackage.haskell.org/package/linearvector-space
: https://hackage.haskell.org/package/vector-spacesparse-lin-alg
: https://github.com/laughedelic/sparse-lin-alg
References
[1] Y. Saad, Iterative Methods for Sparse Linear Systems, 2nd ed., 2000
[2] G.H. Golub and C.F. Van Loan, Matrix Computations, 3rd ed., 1996
[3] T.A. Davis, Direct Methods for Sparse Linear Systems, 2006
[4] L.N. Trefethen, D. Bau, Numerical Linear Algebra, SIAM, 1997
[5] W.H. Press, S.A. Teukolsky, W.T. Vetterling, B.P. Flannery, Numerical Recipes in Fortran 77, 2nd ed., 1992
Changes
0.2.9.7
------
Improved pretty printer:
* Fixed display precision (e.g. 2 decimal digits), fixed column width output for vectors and matrices
* Small and large values (wrt fixed precision) switch to scientific notation
0.2.9.4
-------
Exceptions constructors are exported by Numeric.LinearAlgebra.Sparse
0.2.9.1
-------
* Uses classes from `vector-space` such as AdditiveGroup, VectorSpace and InnerSpace
* QuickCheck tests for algebraic properties, such as matrix-vector products and soon more abstract ones e.g. positive semi-definite matrices
* Getting rid of `error` in favor of MonadThrow exceptions for high-level operations such as matrix algorithms