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Golub-Kahan SVD algorithm for KMP tensors #499

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grinisrit wants to merge 64 commits from dev into dev
pull from: dev
merge into: kscience:dev
Conversation 1 Commits 64 Files Changed 9 +4 -4
2 changed files with 4 additions and 4 deletions
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5
kmath-tensors/src/commonMain/kotlin/space/kscience/kmath/tensors/core/DoubleTensorAlgebra.kt
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@ -837,7 +837,7 @@ public open class DoubleTensorAlgebra :
return this.svdGolubKahan()
}
public fun StructureND<Double>.svdGolubKahan(iterations: Int = 30): Triple<DoubleTensor, DoubleTensor, DoubleTensor> {
public fun StructureND<Double>.svdGolubKahan(iterations: Int = 30, epsilon: Double = 1e-10): Triple<DoubleTensor, DoubleTensor, DoubleTensor> {
val size = tensor.dimension
val commonShape = tensor.shape.sliceArray(0 until size - 2)
val (n, m) = tensor.shape.sliceArray(size - 2 until size)
@ -859,7 +859,8 @@ public open class DoubleTensorAlgebra :
.slice(matrix.bufferStart until matrix.bufferStart + matrixSize)
.toDoubleArray()
)
curMatrix.as2D().svdGolubKahanHelper(uTensors[index].as2D(), sTensorVectors[index], vTensors[index].as2D(), iterations)
curMatrix.as2D().svdGolubKahanHelper(uTensors[index].as2D(), sTensorVectors[index], vTensors[index].as2D(),
iterations, epsilon)
}
return Triple(uTensor.transpose(), sTensor, vTensor)

3
kmath-tensors/src/commonMain/kotlin/space/kscience/kmath/tensors/core/internal/linUtils.kt
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@ -373,7 +373,7 @@ private fun SIGN(a: Double, b: Double): Double {
return -abs(a)
}
internal fun MutableStructure2D<Double>.svdGolubKahanHelper(u: MutableStructure2D<Double>, w: BufferedTensor<Double>,
v: MutableStructure2D<Double>, iterations: Int) {
v: MutableStructure2D<Double>, iterations: Int, epsilon: Double) {
val shape = this.shape
val m = shape.component1()
val n = shape.component2()
@ -384,7 +384,6 @@ internal fun MutableStructure2D<Double>.svdGolubKahanHelper(u: MutableStructure2
var anorm = 0.0
var g = 0.0
var l = 0
val epsilon = 1e-10
val wStart = w.bufferStart
val wBuffer = w.mutableBuffer