_lowrank.py

"""Implement various linear algebra algorithms for low rank matrices."""

__all__ = ["svd_lowrank", "pca_lowrank"]

from typing import Optional, Tuple

import torch
from torch import _linalg_utils as _utils, Tensor
from torch.overrides import handle_torch_function, has_torch_function


def get_approximate_basis(
    A: Tensor,
    q: int,
    niter: Optional[int] = 2,
    M: Optional[Tensor] = None,
) -> Tensor:
    """Return tensor :math:`Q` with :math:`q` orthonormal columns such
    that :math:`Q Q^H A` approximates :math:`A`. If :math:`M` is
    specified, then :math:`Q` is such that :math:`Q Q^H (A - M)`
    approximates :math:`A - M`. without instantiating any tensors
    of the size of :math:`A` or :math:`M`.

    .. note:: The implementation is based on the Algorithm 4.4 from
              Halko et al., 2009.

    .. note:: For an adequate approximation of a k-rank matrix
              :math:`A`, where k is not known in advance but could be
              estimated, the number of :math:`Q` columns, q, can be
              choosen according to the following criteria: in general,
              :math:`k <= q <= min(2*k, m, n)`. For large low-rank
              matrices, take :math:`q = k + 5..10`.  If k is
              relatively small compared to :math:`min(m, n)`, choosing
              :math:`q = k + 0..2` may be sufficient.

    .. note:: To obtain repeatable results, reset the seed for the
              pseudorandom number generator

    Args::
        A (Tensor): the input tensor of size :math:`(*, m, n)`

        q (int): the dimension of subspace spanned by :math:`Q`
                 columns.

        niter (int, optional): the number of subspace iterations to
                               conduct; ``niter`` must be a
                               nonnegative integer. In most cases, the
                               default value 2 is more than enough.

        M (Tensor, optional): the input tensor's mean of size
                              :math:`(*, m, n)`.

    References::
        - Nathan Halko, Per-Gunnar Martinsson, and Joel Tropp, Finding
          structure with randomness: probabilistic algorithms for
          constructing approximate matrix decompositions,
          arXiv:0909.4061 [math.NA; math.PR], 2009 (available at
          `arXiv <http://arxiv.org/abs/0909.4061>`_).
    """

    niter = 2 if niter is None else niter
    dtype = _utils.get_floating_dtype(A) if not A.is_complex() else A.dtype
    matmul = _utils.matmul

    R = torch.randn(A.shape[-1], q, dtype=dtype, device=A.device)

    # The following code could be made faster using torch.geqrf + torch.ormqr
    # but geqrf is not differentiable

    X = matmul(A, R)
    if M is not None:
        X = X - matmul(M, R)
    Q = torch.linalg.qr(X).Q
    for i in range(niter):
        X = matmul(A.mH, Q)
        if M is not None:
            X = X - matmul(M.mH, Q)
        Q = torch.linalg.qr(X).Q
        X = matmul(A, Q)
        if M is not None:
            X = X - matmul(M, Q)
        Q = torch.linalg.qr(X).Q
    return Q


def svd_lowrank(
    A: Tensor,
    q: Optional[int] = 6,
    niter: Optional[int] = 2,
    M: Optional[Tensor] = None,
) -> Tuple[Tensor, Tensor, Tensor]:
    r"""Return the singular value decomposition ``(U, S, V)`` of a matrix,
    batches of matrices, or a sparse matrix :math:`A` such that
    :math:`A \approx U \operatorname{diag}(S) V^{\text{H}}`. In case :math:`M` is given, then
    SVD is computed for the matrix :math:`A - M`.

    .. note:: The implementation is based on the Algorithm 5.1 from
              Halko et al., 2009.

    .. note:: For an adequate approximation of a k-rank matrix
              :math:`A`, where k is not known in advance but could be
              estimated, the number of :math:`Q` columns, q, can be
              choosen according to the following criteria: in general,
              :math:`k <= q <= min(2*k, m, n)`. For large low-rank
              matrices, take :math:`q = k + 5..10`.  If k is
              relatively small compared to :math:`min(m, n)`, choosing
              :math:`q = k + 0..2` may be sufficient.

    .. note:: This is a randomized method. To obtain repeatable results,
              set the seed for the pseudorandom number generator

    .. note:: In general, use the full-rank SVD implementation
              :func:`torch.linalg.svd` for dense matrices due to its 10x
              higher performance characteristics. The low-rank SVD
              will be useful for huge sparse matrices that
              :func:`torch.linalg.svd` cannot handle.

    Args::
        A (Tensor): the input tensor of size :math:`(*, m, n)`

        q (int, optional): a slightly overestimated rank of A.

        niter (int, optional): the number of subspace iterations to
                               conduct; niter must be a nonnegative
                               integer, and defaults to 2

        M (Tensor, optional): the input tensor's mean of size
                              :math:`(*, m, n)`, which will be broadcasted
                              to the size of A in this function.

    References::
        - Nathan Halko, Per-Gunnar Martinsson, and Joel Tropp, Finding
          structure with randomness: probabilistic algorithms for
          constructing approximate matrix decompositions,
          arXiv:0909.4061 [math.NA; math.PR], 2009 (available at
          `arXiv <https://arxiv.org/abs/0909.4061>`_).

    """
    if not torch.jit.is_scripting():
        tensor_ops = (A, M)
        if not set(map(type, tensor_ops)).issubset(
            (torch.Tensor, type(None))
        ) and has_torch_function(tensor_ops):
            return handle_torch_function(
                svd_lowrank, tensor_ops, A, q=q, niter=niter, M=M
            )
    return _svd_lowrank(A, q=q, niter=niter, M=M)


def _svd_lowrank(
    A: Tensor,
    q: Optional[int] = 6,
    niter: Optional[int] = 2,
    M: Optional[Tensor] = None,
) -> Tuple[Tensor, Tensor, Tensor]:
    # Algorithm 5.1 in Halko et al., 2009

    q = 6 if q is None else q
    m, n = A.shape[-2:]
    matmul = _utils.matmul
    if M is not None:
        M = M.broadcast_to(A.size())

    # Assume that A is tall
    if m < n:
        A = A.mH
        if M is not None:
            M = M.mH

    Q = get_approximate_basis(A, q, niter=niter, M=M)
    B = matmul(Q.mH, A)
    if M is not None:
        B = B - matmul(Q.mH, M)
    U, S, Vh = torch.linalg.svd(B, full_matrices=False)
    V = Vh.mH
    U = Q.matmul(U)

    if m < n:
        U, V = V, U

    return U, S, V


def pca_lowrank(
    A: Tensor,
    q: Optional[int] = None,
    center: bool = True,
    niter: int = 2,
) -> Tuple[Tensor, Tensor, Tensor]:
    r"""Performs linear Principal Component Analysis (PCA) on a low-rank
    matrix, batches of such matrices, or sparse matrix.

    This function returns a namedtuple ``(U, S, V)`` which is the
    nearly optimal approximation of a singular value decomposition of
    a centered matrix :math:`A` such that :math:`A \approx U \operatorname{diag}(S) V^{\text{H}}`

    .. note:: The relation of ``(U, S, V)`` to PCA is as follows:

                - :math:`A` is a data matrix with ``m`` samples and
                  ``n`` features

                - the :math:`V` columns represent the principal directions

                - :math:`S ** 2 / (m - 1)` contains the eigenvalues of
                  :math:`A^T A / (m - 1)` which is the covariance of
                  ``A`` when ``center=True`` is provided.

                - ``matmul(A, V[:, :k])`` projects data to the first k
                  principal components

    .. note:: Different from the standard SVD, the size of returned
              matrices depend on the specified rank and q
              values as follows:

                - :math:`U` is m x q matrix

                - :math:`S` is q-vector

                - :math:`V` is n x q matrix

    .. note:: To obtain repeatable results, reset the seed for the
              pseudorandom number generator

    Args:

        A (Tensor): the input tensor of size :math:`(*, m, n)`

        q (int, optional): a slightly overestimated rank of
                           :math:`A`. By default, ``q = min(6, m,
                           n)``.

        center (bool, optional): if True, center the input tensor,
                                 otherwise, assume that the input is
                                 centered.

        niter (int, optional): the number of subspace iterations to
                               conduct; niter must be a nonnegative
                               integer, and defaults to 2.

    References::

        - Nathan Halko, Per-Gunnar Martinsson, and Joel Tropp, Finding
          structure with randomness: probabilistic algorithms for
          constructing approximate matrix decompositions,
          arXiv:0909.4061 [math.NA; math.PR], 2009 (available at
          `arXiv <http://arxiv.org/abs/0909.4061>`_).

    """

    if not torch.jit.is_scripting():
        if type(A) is not torch.Tensor and has_torch_function((A,)):
            return handle_torch_function(
                pca_lowrank, (A,), A, q=q, center=center, niter=niter
            )

    (m, n) = A.shape[-2:]

    if q is None:
        q = min(6, m, n)
    elif not (q >= 0 and q <= min(m, n)):
        raise ValueError(
            f"q(={q}) must be non-negative integer and not greater than min(m, n)={min(m, n)}"
        )
    if not (niter >= 0):
        raise ValueError(f"niter(={niter}) must be non-negative integer")

    dtype = _utils.get_floating_dtype(A)

    if not center:
        return _svd_lowrank(A, q, niter=niter, M=None)

    if _utils.is_sparse(A):
        if len(A.shape) != 2:
            raise ValueError("pca_lowrank input is expected to be 2-dimensional tensor")
        c = torch.sparse.sum(A, dim=(-2,)) / m
        # reshape c
        column_indices = c.indices()[0]
        indices = torch.zeros(
            2,
            len(column_indices),
            dtype=column_indices.dtype,
            device=column_indices.device,
        )
        indices[0] = column_indices
        C_t = torch.sparse_coo_tensor(
            indices, c.values(), (n, 1), dtype=dtype, device=A.device
        )

        ones_m1_t = torch.ones(A.shape[:-2] + (1, m), dtype=dtype, device=A.device)
        M = torch.sparse.mm(C_t, ones_m1_t).mT
        return _svd_lowrank(A, q, niter=niter, M=M)
    else:
        C = A.mean(dim=(-2,), keepdim=True)
        return _svd_lowrank(A - C, q, niter=niter, M=None)