I want to write simple toy code for implicitly restart Lanczos method. Without implicit restarting, the code is perfectly working but when I turn on the restart, I cannot get proper solution
To my knowledge, newly constructed w should be orthogonal to all of the new Lanczos vectors. For the first restart, the orthogonality is well preserved but from the second restart, the orthogonality is significantly broken down and the program does not find proper eigenvalues.
I already spent several tens of hours to fix it. I almost gave up...... Here is my python code
"""
Author: Sunghwan Choi
Date Created: June 19, 2017
Python Version: 2.7 or 3.5
Reference for Lanczos algorithm
http://www.netlib.org/utk/people/JackDongarra/etemplates/node104.html
Reference for implicit restart
http://www.netlib.org/utk/people/JackDongarra/etemplates/node118.html
"""
import numpy as np
from scipy.sparse.linalg import eigsh
#from scipy.sparse import eye
from scipy.sparse import coo_matrix
from numpy import eye
def clustering(eigvals,eigvecs,tol=1e-2):
ret_eigvals=[]
ret_eigvecs=[]
for i in range(len(eigvals)):
for ret_eigval, ret_eigvec in zip (ret_eigvals,ret_eigvecs):
if (np.abs(eigvals[i]/ret_eigval-1.0)<tol ):
break
else:
ret_eigvals.append(eigvals[i])
ret_eigvecs.append(eigvecs[:,i])
ret_eigvals=np.array(ret_eigvals)
ret_eigvecs=np.array(ret_eigvecs).T
return ret_eigvals,ret_eigvecs
def check_conv(matrix, cal_eigval, cal_eigvec, tol):
indices=[]
for i in range(len(cal_eigval)):
if(np.linalg.norm(matrix.dot(cal_eigvec[:,i]) - cal_eigval[i]*cal_eigvec[:,i])< tol):
indices.append(i)
return indices
################ input
size=1600
max_step=20000
which='SA'
#implicit=False
implicit=True
energy_range=[0.0,6.0]
tol = 1e-5
n_eig=6
n_tol_check=40 # n_tol_check>n_eig ==0
######################
# generate 1D harmonic oscillator
h=0.1
matrix=-5/2*eye(size)
matrix+=4/3*(eye(size,k=1)+eye(size,k=-1))
matrix+=-1/12*(eye(size,k=2)+eye(size,k=-2))
matrix=-0.5*matrix/(h*h)
distance =lambda index: (index-size/2)*h
matrix+=np.diagflat( list(map( lambda i: 0.5*distance(i)**2, range(size))))
# solve eigenvalue problem to check validity
true_eigval,true_eigvec = eigsh(matrix,k=50,which=which)
indices = np.all([true_eigval>energy_range[0], true_eigval<energy_range[1]],axis=0)
true_eigval = true_eigval[indices]
true_eigvec = true_eigvec[:,indices]
#initialize variables
alpha=[]; beta=[]
index_v=0
restart_interval = n_tol_check+n_eig if implicit is not False else max_step
T = np.zeros((restart_interval,restart_interval))
v = np.zeros((size,restart_interval))
#Q=np.eye(restart_interval)
#generate initial vector
np.random.seed(1)
initial_vec = np.random.random(size)
#initial_vec = np.loadtxt("tmp")
w = v[:,index_v] = initial_vec/np.linalg.norm(initial_vec)
init_beta = np.linalg.norm(w)
# start Lanczos i_step
for i_step in range(max_step):
if (i_step is 0):
v[:,index_v] = w/init_beta
else:
v[:,index_v] = w/T[index_v,index_v-1]
w=matrix.dot(v[:,index_v])
if (i_step is 0):
w=w-init_beta*v[:,index_v-1]
else:
w=w-T[index_v,index_v-1]*v[:,index_v-1]
T[index_v,index_v]=np.dot(w,v[:,index_v])
w -=T[index_v,index_v]*v[:,index_v]
#check convergence
if ((i_step+1)%n_tol_check==n_eig and i_step>n_eig):
# calculate eigenval of T matrix
cal_eigval, cal_eigvec_= np.linalg.eigh(T[:index_v+1,:index_v+1])
cal_eigvec = np.dot(v[:,:index_v+1],cal_eigvec_)
#check tolerance
conv_indices = check_conv(matrix, cal_eigval, cal_eigvec,tol)
#filter energy_range
indices = np.all([cal_eigval[conv_indices]>energy_range[0], cal_eigval[conv_indices]<energy_range[1]],axis=0)
#check clustering
conv_cal_eigval,conv_cal_eigvec = clustering((cal_eigval[conv_indices])[indices], (cal_eigvec[conv_indices])[indices])
if (len(conv_cal_eigval)>=n_eig):
break
# implicit restarting
if (implicit is True):
Q=np.eye(restart_interval)
# do shift & QR decomposition
indices = np.argsort(np.abs(cal_eigval-np.mean(energy_range)))
for index in indices[n_eig:]:
new_Q,new_R = np.linalg.qr(T-cal_eigval[index]*np.eye(len(T)))
T = np.dot(new_Q.T,np.dot(T,new_Q))
v = np.dot(v,new_Q)
Q = np.dot(Q,new_Q)
w=v[:,n_eig]*T[n_eig,n_eig-1]+w*Q[-1,n_eig-1]
v[:,n_eig:]=0.0
T[:,n_eig:] = 0.0
T[n_eig:,:] = 0.0
#for debug
#print(np.dot(w.T, v))
# reset index
index_v=n_eig-1
index_v+=1
T[index_v,index_v-1]=np.linalg.norm(w)
T[index_v-1,index_v]=np.linalg.norm(w)
else:
print("not converged")
exit(-1)
print ("energy window: (", energy_range[0],",",energy_range[1],")")
print ("true eigenvalue")
print(true_eigval)
print ("eigenvalue from Lanczos w/ implicit restart (",i_step+1,")")
print(conv_cal_eigval)