"""Wishart Ensemble Module
This module contains the implementation of the Wishart Ensemble, also
known as Laguerre Ensemble. This ensemble of random matrices contains
mainly three sub-ensembles: Wishart Real Ensemble, Wishart Complex Ensemble
and Wishart Quaternion Ensemble.
"""
from typing import Union, Sequence, Tuple
import numpy as np
from scipy import sparse, special
from .base_ensemble import BaseEnsemble
from .tridiagonal_utils import tridiag_eigval_hist
from .spectral_law import MarchenkoPasturDistribution
#########################################################################
### Wishart Ensemble = Laguerre Ensemble
[docs]
class WishartEnsemble(BaseEnsemble):
"""General Wishart Ensemble class.
This class contains common attributes and methods for all the
Wishart ensembles. Wishart Ensembles are divided in:
- Wishart Real Ensemble (WRE, beta=1): the random matrices of
this ensemble are formed by multiplying a random real standard
gaussian matrix of size p times n by its transpose.
- Wishart Complex Ensemble (WCE, beta=2): the random matrices
of this ensemble are formed by multiplying a random complex
standard gaussian matrix of size p times n by its transpose.
- Wishart Quaternion Ensemble (WQE, beta=4): the random matrices
of this ensemble are formed by: sampling two random complex
standard guassian matrices (X and Y), stacking them to create
matrix A = [X Y; -conj(Y) conj(X)]. Finally matrix A is
multiplied by its transpose in order to generate a matrix of
the Wishart Quaternion Ensemble.
Attributes:
matrix (numpy array): instance of the WishartReal, WishartComplex
or WishartQuaternion random ensembles. If it is an instance
of WishartReal or WishartComplex, the random matrix is of
size p times p. If it is a WishartQuaternion, the random matrix
is of size 2p times 2p.
beta (int): descriptive integer of the Wishart ensemble type.
For Real beta=1, for Complex beta=2, for Quaternion beta=4.
p (int): number of rows of the guassian matrix that generates
the matrix of the corresponding ensemble.
n (int): number of columns of the guassian matrix that generates
the matrix of the corresponding ensemble.
tridiagonal_form (bool): if set to True, Gaussian Ensemble
matrices are sampled in its tridiagonal form, which has the same
eigenvalues than its standard form. Otherwise, it is sampled using
its standard form.
sigma (float): scale (standard deviation) of the random entries of the
sampled matrix.
References:
- Albrecht, J. and Chan, C.P. and Edelman, A.
"Sturm sequences and random eigenvalue distributions".
Foundations of Computational Mathematics. 9.4 (2008): 461-483.
- Dumitriu, I. and Edelman, A. "Matrix Models for Beta Ensembles".
Journal of Mathematical Physics. 43.11 (2002): 5830-5847.
- Bar, Z.D. and Silverstain, J.W.
Spectral Analysis of Large Dimensional Random Matrices.
2nd edition. Springer. (2010).
"""
def __init__(
self,
beta: int,
p: int,
n: int,
tridiagonal_form: bool = False,
sigma: float = 1.0,
random_state: int = None
) -> None:
"""Constructor for WishartEnsemble class.
Initializes an instance of this class with the given parameters.
Args:
beta (int): descriptive integer of the Wishart ensemble type.
For Real beta=1, for Complex beta=2, for Quaternion beta=4
p (int): number of rows of the guassian matrix that generates
the matrix of the corresponding ensemble.
n (int): number of columns of the guassian matrix that generates
the matrix of the corresponding ensemble.
tridiagonal_form (bool, default=False): if set to True, Wishart Ensemble
matrices are sampled in its tridiagonal form, which has the same
eigenvalues than its standard form.
sigma (float, 1.0): scale (standard deviation) of the random entries of the
sampled matrix.
random_state (int, default=None): random seed to initialize the pseudo-random
number generator of numpy before sampling the random matrix instance. This
has to be any integer between 0 and 2**32 - 1 (inclusive), or None (default).
If None, the seed is obtained from the clock.
"""
if beta not in [1,2,4]:
raise ValueError(f"Invalid beta: {beta}. Beta value has to be 1, 2 or 4.")
super().__init__()
# pylint: disable=invalid-name
self.p = p
self.n = n
self.beta = beta
self.tridiagonal_form = tridiagonal_form
self.sigma = sigma
self._eigvals = None
self.matrix = self.sample(random_state=random_state)
# default eigenvalue normalization constant
self.eigval_norm_const = 1/self.n
self._compute_parameters()
# scikit-rmt class implementing the corresponding spectral law
self._law_class = MarchenkoPasturDistribution(
beta=self.beta, ratio=self.ratio, sigma=self.sigma
)
def _compute_parameters(self) -> None:
# calculating constants depending on matrix sizes
self.ratio = self.p/self.n
self.lambda_plus = self.beta * self.sigma**2 * (1 + np.sqrt(self.ratio))**2
self.lambda_minus = self.beta * self.sigma**2 * (1 - np.sqrt(self.ratio))**2
[docs]
def resample(self, tridiagonal_form: bool = None, random_state: int = None) -> np.ndarray:
"""Re-samples a random matrix from the Wishart ensemble with the specified form.
It re-samples a random matrix from the Wishart ensemble with the specified form.
If the specified form is different than the original form (tridiagonal vs standard)
the property ``self.tridiagonal_form`` is updated and the random matrix is sampled
with the updated form. If ``tridiagonal_form`` is not specified, this methods returns
a re-sampled random matrix of the initialized form by calling the method ``sample``.
Args:
tridiagonal_form (bool, default=None): form to generate the new random matrix sample.
If set to True, a random matrix in tridiagonal form is returned. Otherwise, the
random matrix is sampled in standard form.
random_state (int, default=None): random seed to initialize the pseudo-random
number generator of numpy. This has to be any integer between 0 and 2**32 - 1
(inclusive), or None (default). If None, the seed is obtained from the clock.
Returns:
(ndarray) numpy array containing new matrix sampled.
References:
- Dumitriu, I. and Edelman, A. "Matrix Models for Beta Ensembles".
Journal of Mathematical Physics. 43.11 (2002): 5830-5847.
"""
# pylint: disable=arguments-renamed
if tridiagonal_form is not None:
# The type of sampled matrix can be specified, changing the random matrix
# form if the argument ``tridiagonal_form`` is provided.
self.tridiagonal_form = tridiagonal_form
return self.sample(random_state=random_state)
# pylint: disable=inconsistent-return-statements
[docs]
def sample(self, random_state: int = None) -> np.ndarray:
"""Samples new Wishart Ensemble random matrix.
The sampling algorithm depends on the specification of
``tridiagonal_form`` parameter. If ``tridiagonal_form`` is
set to True, a Wishart Ensemble random matrix in its
tridiagonal form is sampled. Otherwise, it is sampled
using the standard form.
Args:
random_state (int, default=None): random seed to initialize the pseudo-random
number generator of numpy. This has to be any integer between 0 and 2**32 - 1
(inclusive), or None (default). If None, the seed is obtained from the clock.
Returns:
(ndarray) numpy array containing new matrix sampled.
References:
- Dumitriu, I. and Edelman, A. "Matrix Models for Beta Ensembles".
Journal of Mathematical Physics. 43.11 (2002): 5830-5847.
"""
if random_state is not None:
np.random.seed(random_state)
if self.tridiagonal_form:
if self.p > self.n:
# check reference ("Matrix Models for Beta Ensembles"): page 5, table 1.
raise ValueError(
"Error: cannot use tridiagonal form if 'p' (degrees of freedom)"
" is greater than 'n' (sample size).\n"
f"\t Provided n={self.n} and p={self.p}."
" Set `tridiagonal_form=False` or increase sample size (`n`)."
)
if self.sigma != 1.0:
raise ValueError(
"Error: cannot sample tridiagonal random matrix using non-unitary scale"
f" (sigma = {self.sigma}).\n"
"\t Set `sigma=1.0` (default) or deactivate tridiagonal sampling."
)
return self.sample_tridiagonal()
if self.beta == 1:
return self._sample_wre()
if self.beta == 2:
return self._sample_wce()
if self.beta == 4:
return self._sample_wqe()
def _sample_wre(self) -> np.ndarray:
p_size = self.p
n_size = self.n
# p by n matrix of random Gaussians
mtx = np.random.randn(p_size,n_size) * self.sigma
# symmetrize matrix
self.matrix = np.matmul(mtx, mtx.transpose())
# setting array of eigenvalues to None to force re-computing them
self._eigvals = None
return self.matrix
def _sample_wce(self) -> np.ndarray:
p_size = self.p
n_size = self.n
# p by n random complex matrix of random Gaussians
mtx = np.random.randn(p_size,n_size) * self.sigma \
+ 1j*np.random.randn(p_size,n_size) * self.sigma
# hermitian matrix
self.matrix = np.matmul(mtx, mtx.transpose().conj())
# setting array of eigenvalues to None to force re-computing them
self._eigvals = None
return self.matrix
def _sample_wqe(self) -> np.ndarray:
p_size = self.p
n_size = self.n
# p by n random complex matrix of random Gaussians
x_mtx = np.random.randn(p_size,n_size) * self.sigma \
+ 1j*np.random.randn(p_size,n_size) * self.sigma
# p by n random complex matrix of random Gaussians
y_mtx = np.random.randn(p_size,n_size) * self.sigma \
+ 1j*np.random.randn(p_size,n_size) * self.sigma
# [X Y; -conj(Y) conj(X)]
mtx = np.block([
[x_mtx , y_mtx],
[-np.conjugate(y_mtx), np.conjugate(x_mtx)]
])
# hermitian matrix
self.matrix = np.matmul(mtx, mtx.transpose().conj())
# setting array of eigenvalues to None to force re-computing them
self._eigvals = None
return self.matrix
[docs]
def sample_tridiagonal(self) -> np.ndarray:
'''Samples a Wishart Ensemble random matrix in its tridiagonal form.
Samples a random matrix of the specified Wishart Ensemble (remember,
beta=1 is Real, beta=2 is Complex and beta=4 is Quaternion) in its
tridiagonal form.
Returns:
numpy array containing new matrix sampled.
References:
- Albrecht, J. and Chan, C.P. and Edelman, A.
"Sturm sequences and random eigenvalue distributions".
Foundations of Computational Mathematics. 9.4 (2008): 461-483.
- Dumitriu, I. and Edelman, A. "Matrix Models for Beta Ensembles".
Journal of Mathematical Physics. 43.11 (2002): 5830-5847.
'''
a_val = self.n*self.beta/2
# sampling chi-squares
dfs = np.arange(self.p)
chisqs_diag = np.array([np.sqrt(np.random.chisquare(2*a_val - self.beta*df)) for df in dfs])
dfs = np.flip(dfs)
chisqs_offdiag = np.array([np.sqrt(np.random.chisquare(self.beta*df)) for df in dfs[:-1]])
# calculating tridiagonal diagonals
diag = np.array([chisqs_diag[0]**2]+[chisqs_diag[i+1]**2 + \
chisqs_offdiag[i]**2 for i in range(self.p-1)])
offdiag = np.multiply(chisqs_offdiag, chisqs_diag[:-1])
# inserting diagonals
diagonals = [offdiag, diag, offdiag]
mtx = sparse.diags(diagonals, [-1, 0, 1])
# converting to numpy array
self.matrix = mtx.toarray()
# setting array of eigenvalues to None to force re-computing them
self._eigvals = None
return self.matrix
[docs]
def eigvals(self, normalize: bool = False) -> np.ndarray:
"""Computes the random matrix eigenvalues.
Calculates the random matrix eigenvalues using numpy standard procedure.
If the matrix ensemble is symmetric, a faster algorithm is used.
Returns:
numpy array with the calculated eigenvalues.
"""
norm_const = self.eigval_norm_const if normalize else 1.0
if self._eigvals is not None:
return norm_const * self._eigvals
# always storing non-normalized eigenvalues
self._eigvals = np.linalg.eigvalsh(self.matrix)
return norm_const * self._eigvals
[docs]
def eigval_hist(
self,
bins: Union[int, Sequence],
interval: Tuple = None,
density: bool = False,
normalize: bool = False,
avoid_img: bool = False,
) -> Tuple[np.ndarray, np.ndarray]:
# pylint: disable=signature-differs
if interval is None:
if normalize:
interval = (self.lambda_minus, self.lambda_plus)
else:
interval = (self.n*self.lambda_minus, self.n*self.lambda_plus)
if self.tridiagonal_form:
if normalize:
return tridiag_eigval_hist(
self.eigval_norm_const * self.matrix,
bins=bins,
interval=interval,
density=density,
)
return tridiag_eigval_hist(self.matrix, bins=bins, interval=interval, density=density)
return super().eigval_hist(
bins, interval=interval, density=density, normalize=normalize, avoid_img=avoid_img
)
[docs]
def plot_eigval_hist(
self,
bins: Union[int, Sequence] = 100,
interval: Tuple = None,
density: bool = False,
normalize: bool = False,
savefig_path: str = None,
) -> None:
"""Computes and plots the histogram of the matrix eigenvalues.
Calculates and plots the histogram of the current sampled matrix eigenvalues.
Gaussian (Hermite) ensemble and Wishart (Laguerre) ensemble have improved
routines to avoid calculating the eigenvalues, so the histogram
is built using certain techniques to boost efficiency.
Args:
bins (int or sequence, default=100): If bins is an integer, it defines the number of
equal-width bins in the range. If bins is a sequence, it defines the
bin edges, including the left edge of the first bin and the right
edge of the last bin; in this case, bins may be unequally spaced.
interval (tuple, default=None): Delimiters (xmin, xmax) of the histogram.
The lower and upper range of the bins. Lower and upper outliers are ignored.
density (bool, default=False): If True, draw and return a probability
density: each bin will display the bin's raw count divided by the total
number of counts and the bin width, so that the area under the histogram
integrates to 1. If set to False, the absolute frequencies of the eigenvalues
are returned.
normalize (bool, default=False): Whether to normalize the computed eigenvalues
by the default normalization constant (see references). Defaults to False, i.e.,
the eigenvalues are not normalized. Normalization makes the eigenvalues to be
in the same support independently of the sample size.
savefig_path (string, default=None): path to save the created figure. If it is not
provided, the plot is shown at the end of the routine.
References:
- Albrecht, J. and Chan, C.P. and Edelman, A.
"Sturm sequences and random eigenvalue distributions".
Foundations of Computational Mathematics. 9.4 (2008): 461-483.
- Dumitriu, I. and Edelman, A.
"Matrix Models for Beta Ensembles".
Journal of Mathematical Physics. 43.11 (2002): 5830-5847.
"""
# pylint: disable=arguments-differ
# the default interval will be computed in the method `eigval_hist`
# if the given interval is None
super().plot_eigval_hist(
bins=bins,
interval=interval,
density=density,
normalize=normalize,
savefig_path=savefig_path,
)
[docs]
def joint_eigval_pdf(self, eigvals: np.ndarray = None) -> float:
'''Computes joint eigenvalue pdf.
Calculates joint eigenvalue probability density function given an array of
eigenvalues. If the array of eigenvalues is not provided, the current random
matrix sample (so its eigenvalues) is used. This function depends on beta,
i.e., in the sub-Wishart ensemble.
Args:
eigvals (np.ndarray, default=None): numpy array with the values (eigenvalues)
to evaluate the joint pdf in.
Returns:
real number. Value of the joint pdf of the eigenvalues.
References:
- Dumitriu, I. and Edelman, A. "Matrix Models for Beta Ensembles".
Journal of Mathematical Physics. 43.11 (2002): 5830-5847.
'''
if eigvals is None:
# calculating eigenvalues
eigvals = self.eigvals()
n_eigvals = len(eigvals)
a_val = self.beta*self.n/2
p_aux = 1 + self.beta/2*(self.p - 1)
# calculating Laguerre eigval pdf constant depeding on beta
const_beta = 2**(-self.p*a_val)
for j in range(self.p):
const_beta *= special.gamma(1 + self.beta/2)/ \
(special.gamma(1 + self.beta*j/2)*\
special.gamma(a_val - self.beta/2*(self.p - j)))
# calculating first prod
prod1 = 1
for j in range(n_eigvals):
for i in range(j):
prod1 *= np.abs(eigvals[i] - eigvals[j])**self.beta
# calculating second prod
prod2 = np.prod(eigvals**(a_val - p_aux))
# calculating exponential term
exp_val = np.exp(-np.sum((eigvals**2)/2))
# calculating Laguerre eigval pdf
return const_beta * prod1 * prod2 * exp_val