fbpca.py

"""
Functions for principal component analysis (PCA) and accuracy checks

---------------------------------------------------------------------

This module contains eight functions:

pca
    principal component analysis (singular value decomposition)
eigens
    eigendecomposition of a self-adjoint matrix
eigenn
    eigendecomposition of a nonnegative-definite self-adjoint matrix
diffsnorm
    spectral-norm accuracy of a singular value decomposition
diffsnormc
    spectral-norm accuracy of a centered singular value decomposition
diffsnorms
    spectral-norm accuracy of a Schur decomposition
mult
    default matrix multiplication
set_matrix_mult
    re-definition of the matrix multiplication function "mult"

---------------------------------------------------------------------

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"""

from __future__ import absolute_import
from __future__ import division
from __future__ import print_function
from __future__ import unicode_literals

import logging
import unittest
import math
import numpy as np
from scipy.linalg import cholesky, eigh, lu, qr, svd, norm, solve
from scipy.sparse import coo_matrix, issparse, spdiags


def diffsnorm(A, U, s, Va, n_iter=20):
    """
    2-norm accuracy of an approx to a matrix.

    Computes an estimate snorm of the spectral norm (the operator norm
    induced by the Euclidean vector norm) of A - U diag(s) Va, using
    n_iter iterations of the power method started with a random vector;
    n_iter must be a positive integer.

    Increasing n_iter improves the accuracy of the estimate snorm of
    the spectral norm of A - U diag(s) Va.

    Notes
    -----
    To obtain repeatable results, reset the seed for the pseudorandom
    number generator.

    Parameters
    ----------
    A : array_like
        first matrix in A - U diag(s) Va whose spectral norm is being
        estimated
    U : array_like
        second matrix in A - U diag(s) Va whose spectral norm is being
        estimated
    s : array_like
        vector in A - U diag(s) Va whose spectral norm is being
        estimated
    Va : array_like
        fourth matrix in A - U diag(s) Va whose spectral norm is being
        estimated
    n_iter : int, optional
        number of iterations of the power method to conduct;
        n_iter must be a positive integer, and defaults to 20

    Returns
    -------
    float
        an estimate of the spectral norm of A - U diag(s) Va (the
        estimate fails to be accurate with exponentially low prob. as
        n_iter increases; see references DM1_, DM2_, and DM3_ below)

    Examples
    --------
    >>> from fbpca import diffsnorm, pca
    >>> from numpy.random import uniform
    >>> from scipy.linalg import svd
    >>>
    >>> A = uniform(low=-1.0, high=1.0, size=(100, 2))
    >>> A = A.dot(uniform(low=-1.0, high=1.0, size=(2, 100)))
    >>> (U, s, Va) = svd(A, full_matrices=False)
    >>> A = A / s[0]
    >>>
    >>> (U, s, Va) = pca(A, 2, True)
    >>> err = diffsnorm(A, U, s, Va)
    >>> print(err)

    This example produces a rank-2 approximation U diag(s) Va to A such
    that the columns of U are orthonormal, as are the rows of Va, and
    the entries of s are all nonnegative and are nonincreasing.
    diffsnorm(A, U, s, Va) outputs an estimate of the spectral norm of
    A - U diag(s) Va, which should be close to the machine precision.

    References
    ----------
    .. [DM1] Jacek Kuczynski and Henryk Wozniakowski, Estimating the
             largest eigenvalues by the power and Lanczos methods with
             a random start, SIAM Journal on Matrix Analysis and
             Applications, 13 (4): 1094-1122, 1992.
    .. [DM2] Edo Liberty, Franco Woolfe, Per-Gunnar Martinsson,
             Vladimir Rokhlin, and Mark Tygert, Randomized algorithms
             for the low-rank approximation of matrices, Proceedings of
             the National Academy of Sciences (USA), 104 (51):
             20167-20172, 2007. (See the appendix.)
    .. [DM3] Franco Woolfe, Edo Liberty, Vladimir Rokhlin, and Mark
             Tygert, A fast randomized algorithm for the approximation
             of matrices, Applied and Computational Harmonic Analysis,
             25 (3): 335-366, 2008. (See Section 3.4.)

    See also
    --------
    diffsnormc, pca
    """

    (m, n) = A.shape
    (m2, k) = U.shape
    k2 = len(s)
    l = len(s)
    (l2, n2) = Va.shape

    assert m == m2
    assert k == k2
    assert l == l2
    assert n == n2

    assert n_iter >= 1

    if np.isrealobj(A) and np.isrealobj(U) and np.isrealobj(s) and \
            np.isrealobj(Va):
        isreal = True
    else:
        isreal = False

    if m >= n:

        #
        # Generate a random vector x.
        #
        if isreal:
            x = np.random.normal(size=(n, 1))
        else:
            x = np.random.normal(size=(n, 1)) \
                + 1j * np.random.normal(size=(n, 1))

        x = x / norm(x)

        #
        # Run n_iter iterations of the power method.
        #
        for it in range(n_iter):
            #
            # Set y = (A - U diag(s) Va)x.
            #
            y = mult(A, x) - U.dot(np.diag(s).dot(Va.dot(x)))
            #
            # Set x = (A' - Va' diag(s)' U')y.
            #
            x = mult(y.conj().T, A).conj().T \
                - Va.conj().T.dot(np.diag(s).conj().T.dot(U.conj().T.dot(y)))

            #
            # Normalize x, memorizing its Euclidean norm.
            #
            snorm = norm(x)
            if snorm == 0:
                return 0
            x = x / snorm

        snorm = math.sqrt(snorm)

    if m < n:

        #
        # Generate a random vector y.
        #
        if isreal:
            y = np.random.normal(size=(m, 1))
        else:
            y = np.random.normal(size=(m, 1)) \
                + 1j * np.random.normal(size=(m, 1))

        y = y / norm(y)

        #
        # Run n_iter iterations of the power method.
        #
        for it in range(n_iter):
            #
            # Set x = (A' - Va' diag(s)' U')y.
            #
            x = mult(y.conj().T, A).conj().T \
                - Va.conj().T.dot(np.diag(s).conj().T.dot(U.conj().T.dot(y)))
            #
            # Set y = (A - U diag(s) Va)x.
            #
            y = mult(A, x) - U.dot(np.diag(s).dot(Va.dot(x)))

            #
            # Normalize y, memorizing its Euclidean norm.
            #
            snorm = norm(y)
            if snorm == 0:
                return 0
            y = y / snorm

        snorm = math.sqrt(snorm)

    return snorm


class TestDiffsnorm(unittest.TestCase):

    def test_dense(self):

        logging.info('running TestDiffsnorm.test_dense...')
        logging.info('err =')

        for (m, n) in [(200, 100), (100, 200), (100, 100)]:
            for isreal in [True, False]:

                if isreal:
                    A = np.random.normal(size=(m, n))
                if not isreal:
                    A = np.random.normal(size=(m, n)) \
                        + 1j * np.random.normal(size=(m, n))

                (U, s, Va) = svd(A, full_matrices=False)
                snorm = diffsnorm(A, U, s, Va)
                logging.info(snorm)
                self.assertTrue(snorm < .1e-10 * s[0])

    def test_sparse(self):

        logging.info('running TestDiffsnorm.test_sparse...')
        logging.info('err =')

        for (m, n) in [(200, 100), (100, 200), (100, 100)]:
            for isreal in [True, False]:

                if isreal:
                    A = 2 * spdiags(np.arange(min(m, n)) + 1, 0, m, n)
                if not isreal:
                    A = 2 * spdiags(np.arange(min(m, n)) + 1, 0, m, n) \
                        * (1 + 1j)

                A = A - spdiags(np.arange(min(m, n) + 1), 1, m, n)
                A = A - spdiags(np.arange(min(m, n)) + 1, -1, m, n)
                (U, s, Va) = svd(A.todense(), full_matrices=False)
                A = A / s[0]

                (U, s, Va) = svd(A.todense(), full_matrices=False)
                snorm = diffsnorm(A, U, s, Va)
                logging.info(snorm)
                self.assertTrue(snorm < .1e-10 * s[0])


def diffsnormc(A, U, s, Va, n_iter=20):
    """
    2-norm approx error to a matrix upon centering.

    Computes an estimate snorm of the spectral norm (the operator norm
    induced by the Euclidean vector norm) of C(A) - U diag(s) Va, using
    n_iter iterations of the power method started with a random vector,
    where C(A) refers to A from the input, after centering its columns;
    n_iter must be a positive integer.

    Increasing n_iter improves the accuracy of the estimate snorm of
    the spectral norm of C(A) - U diag(s) Va, where C(A) refers to A
    after centering its columns.

    Notes
    -----
    To obtain repeatable results, reset the seed for the pseudorandom
    number generator.

    Parameters
    ----------
    A : array_like
        first matrix in the column-centered A - U diag(s) Va whose
        spectral norm is being estimated
    U : array_like
        second matrix in the column-centered A - U diag(s) Va whose
        spectral norm is being estimated
    s : array_like
        vector in the column-centered A - U diag(s) Va whose spectral
        norm is being estimated
    Va : array_like
        fourth matrix in the column-centered A - U diag(s) Va whose
        spectral norm is being estimated
    n_iter : int, optional
        number of iterations of the power method to conduct;
        n_iter must be a positive integer, and defaults to 20

    Returns
    -------
    float
        an estimate of the spectral norm of the column-centered A
        - U diag(s) Va (the estimate fails to be accurate with
        exponentially low probability as n_iter increases; see
        references DC1_, DC2_, and DC3_ below)

    Examples
    --------
    >>> from fbpca import diffsnormc, pca
    >>> from numpy.random import uniform
    >>> from scipy.linalg import svd
    >>>
    >>> A = uniform(low=-1.0, high=1.0, size=(100, 2))
    >>> A = A.dot(uniform(low=-1.0, high=1.0, size=(2, 100)))
    >>> (U, s, Va) = svd(A, full_matrices=False)
    >>> A = A / s[0]
    >>>
    >>> (U, s, Va) = pca(A, 2, False)
    >>> err = diffsnormc(A, U, s, Va)
    >>> print(err)

    This example produces a rank-2 approximation U diag(s) Va to the
    column-centered A such that the columns of U are orthonormal, as
    are the rows of Va, and the entries of s are nonnegative and
    nonincreasing. diffsnormc(A, U, s, Va) outputs an estimate of the
    spectral norm of the column-centered A - U diag(s) Va, which
    should be close to the machine precision.

    References
    ----------
    .. [DC1] Jacek Kuczynski and Henryk Wozniakowski, Estimating the
             largest eigenvalues by the power and Lanczos methods with
             a random start, SIAM Journal on Matrix Analysis and
             Applications, 13 (4): 1094-1122, 1992.
    .. [DC2] Edo Liberty, Franco Woolfe, Per-Gunnar Martinsson,
             Vladimir Rokhlin, and Mark Tygert, Randomized algorithms
             for the low-rank approximation of matrices, Proceedings of
             the National Academy of Sciences (USA), 104 (51):
             20167-20172, 2007. (See the appendix.)
    .. [DC3] Franco Woolfe, Edo Liberty, Vladimir Rokhlin, and Mark
             Tygert, A fast randomized algorithm for the approximation
             of matrices, Applied and Computational Harmonic Analysis,
             25 (3): 335-366, 2008. (See Section 3.4.)

    See also
    --------
    diffsnorm, pca
    """

    (m, n) = A.shape
    (m2, k) = U.shape
    k2 = len(s)
    l = len(s)
    (l2, n2) = Va.shape

    assert m == m2
    assert k == k2
    assert l == l2
    assert n == n2

    assert n_iter >= 1

    if np.isrealobj(A) and np.isrealobj(U) and np.isrealobj(s) and \
            np.isrealobj(Va):
        isreal = True
    else:
        isreal = False

    #
    # Calculate the average of the entries in every column.
    #
    c = A.sum(axis=0) / m
    c = c.reshape((1, n))

    if m >= n:

        #
        # Generate a random vector x.
        #
        if isreal:
            x = np.random.normal(size=(n, 1))
        else:
            x = np.random.normal(size=(n, 1)) \
                + 1j * np.random.normal(size=(n, 1))

        x = x / norm(x)

        #
        # Run n_iter iterations of the power method.
        #
        for it in range(n_iter):
            #
            # Set y = (A - ones(m,1)*c - U diag(s) Va)x.
            #
            y = mult(A, x) - np.ones((m, 1)).dot(c.dot(x)) \
                - U.dot(np.diag(s).dot(Va.dot(x)))
            #
            # Set x = (A' - c'*ones(1,m) - Va' diag(s)' U')y.
            #
            x = mult(y.conj().T, A).conj().T \
                - c.conj().T.dot(np.ones((1, m)).dot(y)) \
                - Va.conj().T.dot(np.diag(s).conj().T.dot(U.conj().T.dot(y)))

            #
            # Normalize x, memorizing its Euclidean norm.
            #
            snorm = norm(x)
            if snorm == 0:
                return 0
            x = x / snorm

        snorm = math.sqrt(snorm)

    if m < n:

        #
        # Generate a random vector y.
        #
        if isreal:
            y = np.random.normal(size=(m, 1))
        else:
            y = np.random.normal(size=(m, 1)) \
                + 1j * np.random.normal(size=(m, 1))

        y = y / norm(y)

        #
        # Run n_iter iterations of the power method.
        #
        for it in range(n_iter):
            #
            # Set x = (A' - c'*ones(1,m) - Va' diag(s)' U')y.
            #
            x = mult(y.conj().T, A).conj().T \
                - c.conj().T.dot(np.ones((1, m)).dot(y)) \
                - Va.conj().T.dot(np.diag(s).conj().T.dot(U.conj().T.dot(y)))
            #
            # Set y = (A - ones(m,1)*c - U diag(s) Va)x.
            #
            y = mult(A, x) - np.ones((m, 1)).dot(c.dot(x)) \
                - U.dot(np.diag(s).dot(Va.dot(x)))

            #
            # Normalize y, memorizing its Euclidean norm.
            #
            snorm = norm(y)
            if snorm == 0:
                return 0
            y = y / snorm

        snorm = math.sqrt(snorm)

    return snorm


class TestDiffsnormc(unittest.TestCase):

    def test_dense(self):

        logging.info('running TestDiffsnormc.test_dense...')
        logging.info('err =')

        for (m, n) in [(200, 100), (100, 200), (100, 100)]:
            for isreal in [True, False]:

                if isreal:
                    A = np.random.normal(size=(m, n))
                if not isreal:
                    A = np.random.normal(size=(m, n)) \
                        + 1j * np.random.normal(size=(m, n))

                c = A.sum(axis=0) / m
                c = c.reshape((1, n))
                Ac = A - np.ones((m, 1)).dot(c)

                (U, s, Va) = svd(Ac, full_matrices=False)
                snorm = diffsnormc(A, U, s, Va)
                logging.info(snorm)
                self.assertTrue(snorm < .1e-10 * s[0])

    def test_sparse(self):

        logging.info('running TestDiffsnormc.test_sparse...')
        logging.info('err =')

        for (m, n) in [(200, 100), (100, 200), (100, 100)]:
            for isreal in [True, False]:

                if isreal:
                    A = 2 * spdiags(np.arange(min(m, n)) + 1, 0, m, n)
                if not isreal:
                    A = 2 * spdiags(np.arange(min(m, n)) + 1, 0, m, n) \
                        * (1 + 1j)

                A = A - spdiags(np.arange(min(m, n) + 1), 1, m, n)
                A = A - spdiags(np.arange(min(m, n)) + 1, -1, m, n)
                (U, s, Va) = svd(A.todense(), full_matrices=False)
                A = A / s[0]

                Ac = A.todense()
                c = Ac.sum(axis=0) / m
                c = c.reshape((1, n))
                Ac = Ac - np.ones((m, 1)).dot(c)

                (U, s, Va) = svd(Ac, full_matrices=False)
                snorm = diffsnormc(A, U, s, Va)
                logging.info(snorm)
                self.assertTrue(snorm < .1e-10 * s[0])


def diffsnorms(A, S, V, n_iter=20):
    """
    2-norm accuracy of a Schur decomp. of a matrix.

    Computes an estimate snorm of the spectral norm (the operator norm
    induced by the Euclidean vector norm) of A-VSV', using n_iter
    iterations of the power method started with a random vector;
    n_iter must be a positive integer.

    Increasing n_iter improves the accuracy of the estimate snorm of
    the spectral norm of A-VSV'.

    Notes
    -----
    To obtain repeatable results, reset the seed for the pseudorandom
    number generator.

    Parameters
    ----------
    A : array_like
        first matrix in A-VSV' whose spectral norm is being estimated
    S : array_like
        third matrix in A-VSV' whose spectral norm is being estimated
    V : array_like
        second matrix in A-VSV' whose spectral norm is being estimated
    n_iter : int, optional
        number of iterations of the power method to conduct;
        n_iter must be a positive integer, and defaults to 20

    Returns
    -------
    float
        an estimate of the spectral norm of A-VSV' (the estimate fails
        to be accurate with exponentially low probability as n_iter
        increases; see references DS1_, DS2_, and DS3_ below)

    Examples
    --------
    >>> from fbpca import diffsnorms, eigenn
    >>> from numpy import diag
    >>> from numpy.random import uniform
    >>> from scipy.linalg import svd
    >>>
    >>> A = uniform(low=-1.0, high=1.0, size=(2, 100))
    >>> A = A.T.dot(A)
    >>> (U, s, Va) = svd(A, full_matrices=False)
    >>> A = A / s[0]
    >>>
    >>> (d, V) = eigenn(A, 2)
    >>> err = diffsnorms(A, diag(d), V)
    >>> print(err)

    This example produces a rank-2 approximation V diag(d) V' to A
    such that the columns of V are orthonormal and the entries of d
    are nonnegative and are nonincreasing.
    diffsnorms(A, diag(d), V) outputs an estimate of the spectral norm
    of A - V diag(d) V', which should be close to the machine
    precision.

    References
    ----------
    .. [DS1] Jacek Kuczynski and Henryk Wozniakowski, Estimating the
             largest eigenvalues by the power and Lanczos methods with
             a random start, SIAM Journal on Matrix Analysis and
             Applications, 13 (4): 1094-1122, 1992.
    .. [DS2] Edo Liberty, Franco Woolfe, Per-Gunnar Martinsson,
             Vladimir Rokhlin, and Mark Tygert, Randomized algorithms
             for the low-rank approximation of matrices, Proceedings of
             the National Academy of Sciences (USA), 104 (51):
             20167-20172, 2007. (See the appendix.)
    .. [DS3] Franco Woolfe, Edo Liberty, Vladimir Rokhlin, and Mark
             Tygert, A fast randomized algorithm for the approximation
             of matrices, Applied and Computational Harmonic Analysis,
             25 (3): 335-366, 2008. (See Section 3.4.)

    See also
    --------
    eigenn, eigens
    """

    (m, n) = A.shape
    (m2, k) = V.shape
    (k2, k3) = S.shape

    assert m == n
    assert m == m2
    assert k == k2
    assert k2 == k3

    assert n_iter >= 1

    if np.isrealobj(A) and np.isrealobj(V) and np.isrealobj(S):
        isreal = True
    else:
        isreal = False

    #
    # Generate a random vector x.
    #
    if isreal:
        x = np.random.normal(size=(n, 1))
    else:
        x = np.random.normal(size=(n, 1)) + 1j * np.random.normal(size=(n, 1))

    x = x / norm(x)

    #
    # Run n_iter iterations of the power method.
    #
    for it in range(n_iter):
        #
        # Set y = (A-VSV')x.
        #
        y = mult(A, x) - V.dot(S.dot(V.conj().T.dot(x)))
        #
        # Set x = (A'-VS'V')y.
        #
        x = mult(y.conj().T, A).conj().T \
            - V.dot(S.conj().T.dot(V.conj().T.dot(y)))

        #
        # Normalize x, memorizing its Euclidean norm.
        #
        snorm = norm(x)
        if snorm == 0:
            return 0
        x = x / snorm

    snorm = math.sqrt(snorm)

    return snorm


class TestDiffsnorms(unittest.TestCase):

    def test_dense(self):

        logging.info('running TestDiffsnorms.test_dense...')
        logging.info('err =')

        for n in [100, 200]:
            for isreal in [True, False]:

                if isreal:
                    A = np.random.normal(size=(n, n))
                if not isreal:
                    A = np.random.normal(size=(n, n)) \
                        + 1j * np.random.normal(size=(n, n))

                (U, s, Va) = svd(A, full_matrices=True)
                T = (np.diag(s).dot(Va)).dot(U)
                snorm = diffsnorms(A, T, U)
                logging.info(snorm)
                self.assertTrue(snorm < .1e-10 * s[0])

    def test_sparse(self):

        logging.info('running TestDiffsnorms.test_sparse...')
        logging.info('err =')

        for n in [100, 200]:
            for isreal in [True, False]:

                if isreal:
                    A = 2 * spdiags(np.arange(n) + 1, 0, n, n)
                if not isreal:
                    A = 2 * spdiags(np.arange(n) + 1, 0, n, n) * (1 + 1j)

                A = A - spdiags(np.arange(n + 1), 1, n, n)
                A = A - spdiags(np.arange(n) + 1, -1, n, n)
                (U, s, Va) = svd(A.todense(), full_matrices=False)
                A = A / s[0]
                A = A.tocoo()

                (U, s, Va) = svd(A.todense(), full_matrices=True)
                T = (np.diag(s).dot(Va)).dot(U)
                snorm = diffsnorms(A, T, U)
                logging.info(snorm)
                self.assertTrue(snorm < .1e-10 * s[0])


def eigenn(A, k=6, n_iter=4, l=None):
    """
    Eigendecomposition of a NONNEGATIVE-DEFINITE matrix.

    Constructs a nearly optimal rank-k approximation V diag(d) V' to a
    NONNEGATIVE-DEFINITE matrix A, using n_iter normalized power
    iterations, with block size l, started with an n x l random matrix,
    when A is n x n; the reference EGN_ below explains "nearly
    optimal." k must be a positive integer <= the dimension n of A,
    n_iter must be a nonnegative integer, and l must be a positive
    integer >= k.

    The rank-k approximation V diag(d) V' comes in the form of an
    eigendecomposition -- the columns of V are orthonormal and d is a
    real vector such that its entries are nonnegative and nonincreasing.
    V is n x k and len(d) = k, when A is n x n.

    Increasing n_iter or l improves the accuracy of the approximation
    V diag(d) V'; the reference EGN_ below describes how the accuracy
    depends on n_iter and l. Please note that even n_iter=1 guarantees
    superb accuracy, whether or not there is any gap in the singular
    values of the matrix A being approximated, at least when measuring
    accuracy as the spectral norm || A - V diag(d) V' || of the matrix
    A - V diag(d) V' (relative to the spectral norm ||A|| of A).

    Notes
    -----
    THE MATRIX A MUST BE SELF-ADJOINT AND NONNEGATIVE DEFINITE.

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

    The user may ascertain the accuracy of the approximation
    V diag(d) V' to A by invoking diffsnorms(A, numpy.diag(d), V).

    Parameters
    ----------
    A : array_like, shape (n, n)
        matrix being approximated
    k : int, optional
        rank of the approximation being constructed;
        k must be a positive integer <= the dimension of A, and
        defaults to 6
    n_iter : int, optional
        number of normalized power iterations to conduct;
        n_iter must be a nonnegative integer, and defaults to 4
    l : int, optional
        block size of the normalized power iterations;
        l must be a positive integer >= k, and defaults to k+2

    Returns
    -------
    d : ndarray, shape (k,)
        vector of length k in the rank-k approximation V diag(d) V'
        to A, such that its entries are nonnegative and nonincreasing
    V : ndarray, shape (n, k)
        n x k matrix in the rank-k approximation V diag(d) V' to A,
        where A is n x n

    Examples
    --------
    >>> from fbpca import diffsnorms, eigenn
    >>> from numpy import diag
    >>> from numpy.random import uniform
    >>> from scipy.linalg import svd
    >>>
    >>> A = uniform(low=-1.0, high=1.0, size=(2, 100))
    >>> A = A.T.dot(A)
    >>> (U, s, Va) = svd(A, full_matrices=False)
    >>> A = A / s[0]
    >>>
    >>> (d, V) = eigenn(A, 2)
    >>> err = diffsnorms(A, diag(d), V)
    >>> print(err)

    This example produces a rank-2 approximation V diag(d) V' to A
    such that the columns of V are orthonormal and the entries of d
    are nonnegative and nonincreasing.
    diffsnorms(A, diag(d), V) outputs an estimate of the spectral norm
    of A - V diag(d) V', which should be close to the machine
    precision.

    References
    ----------
    .. [EGN] 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>`_).

    See also
    --------
    diffsnorms, eigens, pca
    """

    if l is None:
        l = k + 2

    (m, n) = A.shape

    assert m == n
    assert k > 0
    assert k <= n
    assert n_iter >= 0
    assert l >= k

    if np.isrealobj(A):
        isreal = True
    else:
        isreal = False

    #
    # Check whether A is self-adjoint to nearly the machine precision.
    #
    x = np.random.uniform(low=-1.0, high=1.0, size=(n, 1))
    y = mult(A, x)
    z = mult(x.conj().T, A).conj().T
    assert (norm(y - z) <= .1e-11 * norm(y)) and \
        (norm(y - z) <= .1e-11 * norm(z))

    #
    # Eigendecompose A directly if l >= n/1.25.
    #
    if l >= n / 1.25:
        (d, V) = eigh(A.todense() if issparse(A) else A)
        #
        # Retain only the entries of d with the k greatest absolute
        # values and the corresponding columns of V.
        #
        idx = abs(d).argsort()[-k:][::-1]
        return abs(d[idx]), V[:, idx]

    #
    # Apply A to a random matrix, obtaining Q.
    #
    if isreal:
        R = np.random.uniform(low=-1.0, high=1.0, size=(n, l))
    if not isreal:
        R = np.random.uniform(low=-1.0, high=1.0, size=(n, l)) \
            + 1j * np.random.uniform(low=-1.0, high=1.0, size=(n, l))

    Q = mult(A, R)

    #
    # Form a matrix Q whose columns constitute a well-conditioned basis
    # for the columns of the earlier Q.
    #
    if n_iter == 0:

        anorm = 0
        for j in range(l):
            anorm = max(anorm, norm(Q[:, j]) / norm(R[:, j]))

        (Q, _) = qr(Q, mode='economic')

    if n_iter > 0:

        (Q, _) = lu(Q, permute_l=True)

    #
    # Conduct normalized power iterations.
    #
    for it in range(n_iter):

        cnorm = np.zeros((l))
        for j in range(l):
            cnorm[j] = norm(Q[:, j])

        Q = mult(A, Q)

        if it + 1 < n_iter:

            (Q, _) = lu(Q, permute_l=True)

        else:

            anorm = 0
            for j in range(l):
                anorm = max(anorm, norm(Q[:, j]) / cnorm[j])

            (Q, _) = qr(Q, mode='economic')

    #
    # Use the Nystrom method to obtain approximations to the
    # eigenvalues and eigenvectors of A (shifting A on the subspace
    # spanned by the columns of Q in order to make the shifted A be
    # positive definite). An alternative is to use the (symmetric)
    # square root in place of the Cholesky factor of the shift.
    #
    anorm = .1e-6 * anorm * math.sqrt(1. * n)
    E = mult(A, Q) + anorm * Q
    R = Q.conj().T.dot(E)
    R = (R + R.conj().T) / 2
    R = cholesky(R, lower=True)
    (E, d, V) = svd(solve(R, E.conj().T), full_matrices=False)
    V = V.conj().T
    d = d * d - anorm

    #
    # Retain only the entries of d with the k greatest absolute values
    # and the corresponding columns of V.
    #
    idx = abs(d).argsort()[-k:][::-1]
    return abs(d[idx]), V[:, idx]


class TestEigenn(unittest.TestCase):

    def test_dense(self):

        logging.info('running TestEigenn.test_dense...')

        errs = []
        err = []

        def eigenntesterrs(n, k, n_iter, isreal, l):

            if isreal:
                V = np.random.normal(size=(n, k))
            if not isreal:
                V = np.random.normal(size=(n, k)) \
                    + 1j * np.random.normal(size=(n, k))

            (V, _) = qr(V, mode='economic')

            d0 = np.zeros((k))
            d0[0] = 1
            d0[1] = .1
            d0[2] = .01

            A = V.dot(np.diag(d0).dot(V.conj().T))
            A = (A + A.conj().T) / 2

            (d1, V1) = eigh(A)
            (d2, V2) = eigenn(A, k, n_iter, l)

            d3 = np.zeros((n))
            for ii in range(k):
                d3[ii] = d2[ii]
            d3 = sorted(d3)
            errsa = norm(d1 - d3)

            erra = diffsnorms(A, np.diag(d2), V2)

            return erra, errsa

        for n in [10, 20]:
            for k in [3, 9]:
                for n_iter in [0, 2, 1000]:
                    for isreal in [True, False]:
                        l = k + 1
                        (erra, errsa) = eigenntesterrs(n, k, n_iter, isreal, l)
                        err.append(erra)
                        errs.append(errsa)

        logging.info('errs = \n%s', np.asarray(errs))
        logging.info('err = \n%s', np.asarray(err))

        self.assertTrue(all(err[j] < .1e-10 for j in range(len(err))))

    def test_sparse(self):

        logging.info('running TestEigenn.test_sparse...')

        errs = []
        err = []
        bests = []

        def eigenntestserrs(n, k, n_iter, isreal, l):

            n2 = round(n / 2)
            assert 2 * n2 == n

            A = 2 * spdiags(np.arange(n2) + 1, 0, n, n)

            if isreal:
                A = A - spdiags(np.arange(n2 + 1), 1, n, n)
                A = A - spdiags(np.arange(n2) + 1, -1, n, n)

            if not isreal:
                A = A - 1j * spdiags(np.arange(n2 + 1), 1, n, n)
                A = A + 1j * spdiags(np.arange(n2) + 1, -1, n, n)

            A = A / diffsnorms(A, np.zeros((2, 2)), np.zeros((n, 2)))

            A = A.dot(A)
            A = A.dot(A)
            A = A.dot(A)
            A = A.dot(A)

            A = A.tocoo()

            P = np.random.permutation(n)
            A = coo_matrix((A.data, (P[A.row], P[A.col])), shape=(n, n))
            A = A.tocsr()

            (d1, V1) = eigh(A.toarray())
            (d2, V2) = eigenn(A, k, n_iter, l)

            bestsa = sorted(abs(d1))[-k - 1]

            d3 = np.zeros((n))
            for ii in range(k):
                d3[ii] = d2[ii]
            d3 = sorted(d3)
            errsa = norm(d1 - d3)

            erra = diffsnorms(A, np.diag(d2), V2)

            return erra, errsa, bestsa

        for n in [100, 200]:
            for k in [30, 90]:
                for n_iter in [2, 1000]:
                    for isreal in [True, False]:
                        l = k + 1
                        (erra, errsa, bestsa) = eigenntestserrs(n, k, n_iter,
                            isreal, l)
                        err.append(erra)
                        errs.append(errsa)
                        bests.append(bestsa)

        logging.info('errs = \n%s', np.asarray(errs))
        logging.info('err = \n%s', np.asarray(err))
        logging.info('bests = \n%s', np.asarray(bests))

        self.assertTrue(all(err[j] < max(10 * bests[j], .1e-10)
            for j in range(len(err))))


def eigens(A, k=6, n_iter=4, l=None):
    """
    Eigendecomposition of a SELF-ADJOINT matrix.

    Constructs a nearly optimal rank-k approximation V diag(d) V' to a
    SELF-ADJOINT matrix A, using n_iter normalized power iterations,
    with block size l, started with an n x l random matrix, when A is
    n x n; the reference EGS_ below explains "nearly optimal." k must
    be a positive integer <= the dimension n of A, n_iter must be a
    nonnegative integer, and l must be a positive integer >= k.

    The rank-k approximation V diag(d) V' comes in the form of an
    eigendecomposition -- the columns of V are orthonormal and d is a
    vector whose entries are real-valued and their absolute values are
    nonincreasing. V is n x k and len(d) = k, when A is n x n.

    Increasing n_iter or l improves the accuracy of the approximation
    V diag(d) V'; the reference EGS_ below describes how the accuracy
    depends on n_iter and l. Please note that even n_iter=1 guarantees
    superb accuracy, whether or not there is any gap in the singular
    values of the matrix A being approximated, at least when measuring
    accuracy as the spectral norm || A - V diag(d) V' || of the matrix
    A - V diag(d) V' (relative to the spectral norm ||A|| of A).

    Notes
    -----
    THE MATRIX A MUST BE SELF-ADJOINT.

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

    The user may ascertain the accuracy of the approximation
    V diag(d) V' to A by invoking diffsnorms(A, numpy.diag(d), V).

    Parameters
    ----------
    A : array_like, shape (n, n)
        matrix being approximated
    k : int, optional
        rank of the approximation being constructed;
        k must be a positive integer <= the dimension of A, and
        defaults to 6
    n_iter : int, optional
        number of normalized power iterations to conduct;
        n_iter must be a nonnegative integer, and defaults to 4
    l : int, optional
        block size of the normalized power iterations;
        l must be a positive integer >= k, and defaults to k+2

    Returns
    -------
    d : ndarray, shape (k,)
        vector of length k in the rank-k approximation V diag(d) V'
        to A, such that its entries are real-valued and their absolute
        values are nonincreasing
    V : ndarray, shape (n, k)
        n x k matrix in the rank-k approximation V diag(d) V' to A,
        where A is n x n

    Examples
    --------
    >>> from fbpca import diffsnorms, eigens
    >>> from numpy import diag
    >>> from numpy.random import uniform
    >>> from scipy.linalg import svd
    >>>
    >>> A = uniform(low=-1.0, high=1.0, size=(2, 100))
    >>> A = A.T.dot(A)
    >>> (U, s, Va) = svd(A, full_matrices=False)
    >>> A = A / s[0]
    >>>
    >>> (d, V) = eigens(A, 2)
    >>> err = diffsnorms(A, diag(d), V)
    >>> print(err)

    This example produces a rank-2 approximation V diag(d) V' to A
    such that the columns of V are orthonormal, and the entries of d
    are real-valued and their absolute values are nonincreasing.
    diffsnorms(A, diag(d), V) outputs an estimate of the spectral norm
    of A - V diag(d) V', which should be close to the machine
    precision.

    References
    ----------
    .. [EGS] 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>`_).

    See also
    --------
    diffsnorms, eigenn, pca
    """

    if l is None:
        l = k + 2

    (m, n) = A.shape

    assert m == n
    assert k > 0
    assert k <= n
    assert n_iter >= 0
    assert l >= k

    if np.isrealobj(A):
        isreal = True
    else:
        isreal = False

    #
    # Check whether A is self-adjoint to nearly the machine precision.
    #
    x = np.random.uniform(low=-1.0, high=1.0, size=(n, 1))
    y = mult(A, x)
    z = mult(x.conj().T, A).conj().T
    assert (norm(y - z) <= .1e-11 * norm(y)) and \
        (norm(y - z) <= .1e-11 * norm(z))

    #
    # Eigendecompose A directly if l >= n/1.25.
    #
    if l >= n / 1.25:
        (d, V) = eigh(A.todense() if issparse(A) else A)
        #
        # Retain only the entries of d with the k greatest absolute
        # values and the corresponding columns of V.
        #
        idx = abs(d).argsort()[-k:][::-1]
        return d[idx], V[:, idx]

    #
    # Apply A to a random matrix, obtaining Q.
    #
    if isreal:
        Q = mult(A, np.random.uniform(low=-1.0, high=1.0, size=(n, l)))
    if not isreal:
        Q = mult(A, np.random.uniform(low=-1.0, high=1.0, size=(n, l))
            + 1j * np.random.uniform(low=-1.0, high=1.0, size=(n, l)))

    #
    # Form a matrix Q whose columns constitute a well-conditioned basis
    # for the columns of the earlier Q.
    #
    if n_iter == 0:
        (Q, _) = qr(Q, mode='economic')
    if n_iter > 0:
        (Q, _) = lu(Q, permute_l=True)

    #
    # Conduct normalized power iterations.
    #
    for it in range(n_iter):

        Q = mult(A, Q)

        if it + 1 < n_iter:
            (Q, _) = lu(Q, permute_l=True)
        else:
            (Q, _) = qr(Q, mode='economic')

    #
    # Eigendecompose Q'*A*Q to obtain approximations to the eigenvalues
    # and eigenvectors of A.
    #
    R = Q.conj().T.dot(mult(A, Q))
    R = (R + R.conj().T) / 2
    (d, V) = eigh(R)
    V = Q.dot(V)

    #
    # Retain only the entries of d with the k greatest absolute values
    # and the corresponding columns of V.
    #
    idx = abs(d).argsort()[-k:][::-1]
    return d[idx], V[:, idx]


class TestEigens(unittest.TestCase):

    def test_dense(self):

        logging.info('running TestEigens.test_dense...')

        errs = []
        err = []

        def eigenstesterrs(n, k, n_iter, isreal, l):

            if isreal:
                V = np.random.normal(size=(n, k))
            if not isreal:
                V = np.random.normal(size=(n, k)) \
                    + 1j * np.random.normal(size=(n, k))

            (V, _) = qr(V, mode='economic')

            d0 = np.zeros((k))
            d0[0] = 1
            d0[1] = -.1
            d0[2] = .01

            A = V.dot(np.diag(d0).dot(V.conj().T))
            A = (A + A.conj().T) / 2

            (d1, V1) = eigh(A)
            (d2, V2) = eigens(A, k, n_iter, l)

            d3 = np.zeros((n))
            for ii in range(k):
                d3[ii] = d2[ii]
            d3 = sorted(d3)
            errsa = norm(d1 - d3)

            erra = diffsnorms(A, np.diag(d2), V2)

            return erra, errsa

        for n in [10, 20]:
            for k in [3, 9]:
                for n_iter in [0, 2, 1000]:
                    for isreal in [True, False]:
                        l = k + 1
                        (erra, errsa) = eigenstesterrs(n, k, n_iter, isreal, l)
                        err.append(erra)
                        errs.append(errsa)

        logging.info('errs = \n%s', np.asarray(errs))
        logging.info('err = \n%s', np.asarray(err))

        self.assertTrue(all(err[j] < .1e-10 for j in range(len(err))))

    def test_sparse(self):

        logging.info('running TestEigens.test_sparse...')

        errs = []
        err = []
        bests = []

        def eigenstestserrs(n, k, n_iter, isreal, l):

            n2 = round(n / 2)
            assert 2 * n2 == n

            A = 2 * spdiags(np.arange(n2) + 1, 0, n2, n2)

            if isreal:
                A = A - spdiags(np.arange(n2 + 1), 1, n2, n2)
                A = A - spdiags(np.arange(n2) + 1, -1, n2, n2)

            if not isreal:
                A = A - 1j * spdiags(np.arange(n2 + 1), 1, n2, n2)
                A = A + 1j * spdiags(np.arange(n2) + 1, -1, n2, n2)

            A = A / diffsnorms(A, np.zeros((2, 2)), np.zeros((n2, 2)))

            A = A.dot(A)
            A = A.dot(A)
            A = A.dot(A)
            A = A.dot(A)

            A = A.tocoo()

            datae = np.concatenate([A.data, A.data])
            rowe = np.concatenate([A.row + n2, A.row])
            cole = np.concatenate([A.col, A.col + n2])
            A = coo_matrix((datae, (rowe, cole)), shape=(n, n))

            P = np.random.permutation(n)
            A = coo_matrix((A.data, (P[A.row], P[A.col])), shape=(n, n))
            A = A.tocsc()

            (d1, V1) = eigh(A.toarray())
            (d2, V2) = eigens(A, k, n_iter, l)

            bestsa = sorted(abs(d1))[-k - 1]

            d3 = np.zeros((n))
            for ii in range(k):
                d3[ii] = d2[ii]
            d3 = sorted(d3)
            errsa = norm(d1 - d3)

            erra = diffsnorms(A, np.diag(d2), V2)

            return erra, errsa, bestsa

        for n in [100, 200]:
            for k in [30, 90]:
                for n_iter in [2, 1000]:
                    for isreal in [True, False]:
                        l = k + 1
                        (erra, errsa, bestsa) = eigenstestserrs(n, k, n_iter,
                            isreal, l)
                        err.append(erra)
                        errs.append(errsa)
                        bests.append(bestsa)

        logging.info('errs = \n%s', np.asarray(errs))
        logging.info('err = \n%s', np.asarray(err))
        logging.info('bests = \n%s', np.asarray(bests))

        self.assertTrue(all(err[j] < max(10 * bests[j], .1e-10)
            for j in range(len(err))))


def pca(A, k=6, raw=False, n_iter=2, l=None):
    """
    Principal component analysis.

    Constructs a nearly optimal rank-k approximation U diag(s) Va to A,
    centering the columns of A first when raw is False, using n_iter
    normalized power iterations, with block size l, started with a
    min(m,n) x l random matrix, when A is m x n; the reference PCA_
    below explains "nearly optimal." k must be a positive integer <=
    the smaller dimension of A, n_iter must be a nonnegative integer,
    and l must be a positive integer >= k.

    The rank-k approximation U diag(s) Va comes in the form of a
    singular value decomposition (SVD) -- the columns of U are
    orthonormal, as are the rows of Va, and the entries of s are all
    nonnegative and nonincreasing. U is m x k, Va is k x n, and
    len(s)=k, when A is m x n.

    Increasing n_iter or l improves the accuracy of the approximation
    U diag(s) Va; the reference PCA_ below describes how the accuracy
    depends on n_iter and l. Please note that even n_iter=1 guarantees
    superb accuracy, whether or not there is any gap in the singular
    values of the matrix A being approximated, at least when measuring
    accuracy as the spectral norm || A - U diag(s) Va || of the matrix
    A - U diag(s) Va (relative to the spectral norm ||A|| of A, and
    accounting for centering when raw is False).

    Notes
    -----
    To obtain repeatable results, reset the seed for the pseudorandom
    number generator.

    The user may ascertain the accuracy of the approximation
    U diag(s) Va to A by invoking diffsnorm(A, U, s, Va), when raw is
    True. The user may ascertain the accuracy of the approximation
    U diag(s) Va to C(A), where C(A) refers to A after centering its
    columns, by invoking diffsnormc(A, U, s, Va), when raw is False.

    Parameters
    ----------
    A : array_like, shape (m, n)
        matrix being approximated
    k : int, optional
        rank of the approximation being constructed;
        k must be a positive integer <= the smaller dimension of A,
        and defaults to 6
    raw : bool, optional
        centers A when raw is False but does not when raw is True;
        raw must be a Boolean and defaults to False
    n_iter : int, optional
        number of normalized power iterations to conduct;
        n_iter must be a nonnegative integer, and defaults to 2
    l : int, optional
        block size of the normalized power iterations;
        l must be a positive integer >= k, and defaults to k+2

    Returns
    -------
    U : ndarray, shape (m, k)
        m x k matrix in the rank-k approximation U diag(s) Va to A or
        C(A), where A is m x n, and C(A) refers to A after centering
        its columns; the columns of U are orthonormal
    s : ndarray, shape (k,)
        vector of length k in the rank-k approximation U diag(s) Va to
        A or C(A), where A is m x n, and C(A) refers to A after
        centering its columns; the entries of s are all nonnegative and
        nonincreasing
    Va : ndarray, shape (k, n)
        k x n matrix in the rank-k approximation U diag(s) Va to A or
        C(A), where A is m x n, and C(A) refers to A after centering
        its columns; the rows of Va are orthonormal

    Examples
    --------
    >>> from fbpca import diffsnorm, pca
    >>> from numpy.random import uniform
    >>> from scipy.linalg import svd
    >>>
    >>> A = uniform(low=-1.0, high=1.0, size=(100, 2))
    >>> A = A.dot(uniform(low=-1.0, high=1.0, size=(2, 100)))
    >>> (U, s, Va) = svd(A, full_matrices=False)
    >>> A = A / s[0]
    >>>
    >>> (U, s, Va) = pca(A, 2, True)
    >>> err = diffsnorm(A, U, s, Va)
    >>> print(err)

    This example produces a rank-2 approximation U diag(s) Va to A such
    that the columns of U are orthonormal, as are the rows of Va, and
    the entries of s are all nonnegative and are nonincreasing.
    diffsnorm(A, U, s, Va) outputs an estimate of the spectral norm of
    A - U diag(s) Va, which should be close to the machine precision.

    References
    ----------
    .. [PCA] 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>`_).

    See also
    --------
    diffsnorm, diffsnormc, eigens, eigenn
    """

    if l is None:
        l = k + 2

    (m, n) = A.shape

    assert k > 0
    assert k <= min(m, n)
    assert n_iter >= 0
    assert l >= k

    if np.isrealobj(A):
        isreal = True
    else:
        isreal = False

    if raw:

        #
        # SVD A directly if l >= m/1.25 or l >= n/1.25.
        #
        if l >= m / 1.25 or l >= n / 1.25:
            (U, s, Va) = svd(A.todense() if issparse(A) else A,
                full_matrices=False)
            #
            # Retain only the leftmost k columns of U, the uppermost
            # k rows of Va, and the first k entries of s.
            #
            return U[:, :k], s[:k], Va[:k, :]

        if m >= n:

            #
            # Apply A to a random matrix, obtaining Q.
            #
            if isreal:
                Q = mult(A, np.random.uniform(low=-1.0, high=1.0, size=(n, l)))
            if not isreal:
                Q = mult(A, np.random.uniform(low=-1.0, high=1.0, size=(n, l))
                    + 1j * np.random.uniform(low=-1.0, high=1.0, size=(n, l)))

            #
            # Form a matrix Q whose columns constitute a
            # well-conditioned basis for the columns of the earlier Q.
            #
            if n_iter == 0:
                (Q, _) = qr(Q, mode='economic')
            if n_iter > 0:
                (Q, _) = lu(Q, permute_l=True)

            #
            # Conduct normalized power iterations.
            #
            for it in range(n_iter):

                Q = mult(Q.conj().T, A).conj().T

                (Q, _) = lu(Q, permute_l=True)

                Q = mult(A, Q)

                if it + 1 < n_iter:
                    (Q, _) = lu(Q, permute_l=True)
                else:
                    (Q, _) = qr(Q, mode='economic')

            #
            # SVD Q'*A to obtain approximations to the singular values
            # and right singular vectors of A; adjust the left singular
            # vectors of Q'*A to approximate the left singular vectors
            # of A.
            #
            QA = mult(Q.conj().T, A)
            (R, s, Va) = svd(QA, full_matrices=False)
            U = Q.dot(R)

            #
            # Retain only the leftmost k columns of U, the uppermost
            # k rows of Va, and the first k entries of s.
            #
            return U[:, :k], s[:k], Va[:k, :]

        if m < n:

            #
            # Apply A' to a random matrix, obtaining Q.
            #
            if isreal:
                R = np.random.uniform(low=-1.0, high=1.0, size=(l, m))
            if not isreal:
                R = np.random.uniform(low=-1.0, high=1.0, size=(l, m)) \
                    + 1j * np.random.uniform(low=-1.0, high=1.0, size=(l, m))

            Q = mult(R, A).conj().T

            #
            # Form a matrix Q whose columns constitute a
            # well-conditioned basis for the columns of the earlier Q.
            #
            if n_iter == 0:
                (Q, _) = qr(Q, mode='economic')
            if n_iter > 0:
                (Q, _) = lu(Q, permute_l=True)

            #
            # Conduct normalized power iterations.
            #
            for it in range(n_iter):

                Q = mult(A, Q)
                (Q, _) = lu(Q, permute_l=True)

                Q = mult(Q.conj().T, A).conj().T

                if it + 1 < n_iter:
                    (Q, _) = lu(Q, permute_l=True)
                else:
                    (Q, _) = qr(Q, mode='economic')

            #
            # SVD A*Q to obtain approximations to the singular values
            # and left singular vectors of A; adjust the right singular
            # vectors of A*Q to approximate the right singular vectors
            # of A.
            #
            (U, s, Ra) = svd(mult(A, Q), full_matrices=False)
            Va = Ra.dot(Q.conj().T)

            #
            # Retain only the leftmost k columns of U, the uppermost
            # k rows of Va, and the first k entries of s.
            #
            return U[:, :k], s[:k], Va[:k, :]

    if not raw:

        #
        # Calculate the average of the entries in every column.
        #
        c = A.sum(axis=0) / m
        c = c.reshape((1, n))

        #
        # SVD the centered A directly if l >= m/1.25 or l >= n/1.25.
        #
        if l >= m / 1.25 or l >= n / 1.25:
            (U, s, Va) = svd((A.todense() if issparse(A)
                else A) - np.ones((m, 1)).dot(c), full_matrices=False)
            #
            # Retain only the leftmost k columns of U, the uppermost
            # k rows of Va, and the first k entries of s.
            #
            return U[:, :k], s[:k], Va[:k, :]

        if m >= n:

            #
            # Apply the centered A to a random matrix, obtaining Q.
            #
            if isreal:
                R = np.random.uniform(low=-1.0, high=1.0, size=(n, l))
            if not isreal:
                R = np.random.uniform(low=-1.0, high=1.0, size=(n, l)) \
                    + 1j * np.random.uniform(low=-1.0, high=1.0, size=(n, l))

            Q = mult(A, R) - np.ones((m, 1)).dot(c.dot(R))

            #
            # Form a matrix Q whose columns constitute a
            # well-conditioned basis for the columns of the earlier Q.
            #
            if n_iter == 0:
                (Q, _) = qr(Q, mode='economic')
            if n_iter > 0:
                (Q, _) = lu(Q, permute_l=True)

            #
            # Conduct normalized power iterations.
            #
            for it in range(n_iter):

                Q = (mult(Q.conj().T, A)
                    - (Q.conj().T.dot(np.ones((m, 1)))).dot(c)).conj().T
                (Q, _) = lu(Q, permute_l=True)

                Q = mult(A, Q) - np.ones((m, 1)).dot(c.dot(Q))

                if it + 1 < n_iter:
                    (Q, _) = lu(Q, permute_l=True)
                else:
                    (Q, _) = qr(Q, mode='economic')

            #
            # SVD Q' applied to the centered A to obtain
            # approximations to the singular values and right singular
            # vectors of the centered A; adjust the left singular
            # vectors to approximate the left singular vectors of the
            # centered A.
            #
            QA = mult(Q.conj().T, A) \
                - (Q.conj().T.dot(np.ones((m, 1)))).dot(c)
            (R, s, Va) = svd(QA, full_matrices=False)
            U = Q.dot(R)

            #
            # Retain only the leftmost k columns of U, the uppermost
            # k rows of Va, and the first k entries of s.
            #
            return U[:, :k], s[:k], Va[:k, :]

        if m < n:

            #
            # Apply the adjoint of the centered A to a random matrix,
            # obtaining Q.
            #
            if isreal:
                R = np.random.uniform(low=-1.0, high=1.0, size=(l, m))
            if not isreal:
                R = np.random.uniform(low=-1.0, high=1.0, size=(l, m)) \
                    + 1j * np.random.uniform(low=-1.0, high=1.0, size=(l, m))

            Q = (mult(R, A) - (R.dot(np.ones((m, 1)))).dot(c)).conj().T

            #
            # Form a matrix Q whose columns constitute a
            # well-conditioned basis for the columns of the earlier Q.
            #
            if n_iter == 0:
                (Q, _) = qr(Q, mode='economic')
            if n_iter > 0:
                (Q, _) = lu(Q, permute_l=True)

            #
            # Conduct normalized power iterations.
            #
            for it in range(n_iter):

                Q = mult(A, Q) - np.ones((m, 1)).dot(c.dot(Q))
                (Q, _) = lu(Q, permute_l=True)

                Q = (mult(Q.conj().T, A)
                    - (Q.conj().T.dot(np.ones((m, 1)))).dot(c)).conj().T

                if it + 1 < n_iter:
                    (Q, _) = lu(Q, permute_l=True)
                else:
                    (Q, _) = qr(Q, mode='economic')

            #
            # SVD the centered A applied to Q to obtain approximations
            # to the singular values and left singular vectors of the
            # centered A; adjust the right singular vectors to
            # approximate the right singular vectors of the centered A.
            #
            (U, s, Ra) = svd(mult(A, Q) - np.ones((m, 1)).dot(c.dot(Q)),
                full_matrices=False)
            Va = Ra.dot(Q.conj().T)

            #
            # Retain only the leftmost k columns of U, the uppermost
            # k rows of Va, and the first k entries of s.
            #
            return U[:, :k], s[:k], Va[:k, :]


class TestPCA(unittest.TestCase):

    def test_dense(self):

        logging.info('running TestPCA.test_dense...')

        errs = []
        err = []

        def pcatesterrs(m, n, k, n_iter, raw, isreal, l):

            if isreal:

                U = np.random.normal(size=(m, k))
                (U, _) = qr(U, mode='economic')

                V = np.random.normal(size=(n, k))
                (V, _) = qr(V, mode='economic')

            if not isreal:

                U = np.random.normal(size=(m, k)) \
                    + 1j * np.random.normal(size=(m, k))
                (U, _) = qr(U, mode='economic')

                V = np.random.normal(size=(n, k)) \
                    + 1j * np.random.normal(size=(n, k))
                (V, _) = qr(V, mode='economic')

            s0 = np.zeros((k))
            s0[0] = 1
            s0[1] = .1
            s0[2] = .01

            A = U.dot(np.diag(s0).dot(V.conj().T))

            if raw:
                Ac = A
            if not raw:
                c = A.sum(axis=0) / m
                c = c.reshape((1, n))
                Ac = A - np.ones((m, 1)).dot(c)

            (U, s1, Va) = svd(Ac, full_matrices=False)
            (U, s2, Va) = pca(A, k, raw, n_iter, l)

            s3 = np.zeros((min(m, n)))
            for ii in range(k):
                s3[ii] = s2[ii]
            errsa = norm(s1 - s3)

            if raw:
                erra = diffsnorm(A, U, s2, Va)
            if not raw:
                erra = diffsnormc(A, U, s2, Va)

            return erra, errsa

        for (m, n) in [(20, 10), (10, 20), (20, 20)]:
            for k in [3, 9]:
                for n_iter in [0, 2, 1000]:
                    for raw in [True, False]:
                        for isreal in [True, False]:
                            l = k + 1
                            (erra, errsa) = pcatesterrs(m, n, k, n_iter, raw,
                                isreal, l)
                            err.append(erra)
                            errs.append(errsa)

        logging.info('errs = \n%s', np.asarray(errs))
        logging.info('err = \n%s', np.asarray(err))

        self.assertTrue(all(err[j] < .1e-10 for j in range(len(err))))

    def test_sparse(self):

        logging.info('running TestPCA.test_sparse...')

        errs = []
        err = []
        bests = []

        def pcatestserrs(m, n, k, n_iter, raw, isreal, l):

            if isreal:
                A = 2 * spdiags(np.arange(min(m, n)) + 1, 0, m, n)
            if not isreal:
                A = 2 * spdiags(np.arange(min(m, n)) + 1, 0, m, n) * (1 + 1j)

            A = A - spdiags(np.arange(min(m, n) + 1), 1, m, n)
            A = A - spdiags(np.arange(min(m, n)) + 1, -1, m, n)
            A = A / diffsnorm(A, np.zeros((m, 2)), [0, 0], np.zeros((2, n)))
            A = A.dot(A.conj().T.dot(A))
            A = A.dot(A.conj().T.dot(A))
            A = A[np.random.permutation(m), :]
            A = A[:, np.random.permutation(n)]

            if raw:
                Ac = A
            if not raw:
                c = A.sum(axis=0) / m
                c = c.reshape((1, n))
                Ac = A - np.ones((m, 1)).dot(c)

            if raw:
                (U, s1, Va) = svd(Ac.toarray(), full_matrices=False)
            if not raw:
                (U, s1, Va) = svd(Ac, full_matrices=False)

            (U, s2, Va) = pca(A, k, raw, n_iter, l)

            bestsa = s1[k]

            s3 = np.zeros((min(m, n)))
            for ii in range(k):
                s3[ii] = s2[ii]
            errsa = norm(s1 - s3)

            if raw:
                erra = diffsnorm(A, U, s2, Va)
            if not raw:
                erra = diffsnormc(A, U, s2, Va)

            return erra, errsa, bestsa

        for (m, n) in [(200, 100), (100, 200), (100, 100)]:
            for k in [30, 90]:
                for n_iter in [2, 1000]:
                    for raw in [True, False]:
                        for isreal in [True, False]:
                            l = k + 1
                            (erra, errsa, bestsa) = pcatestserrs(m, n, k,
                                n_iter, raw, isreal, l)
                            err.append(erra)
                            errs.append(errsa)
                            bests.append(bestsa)

        logging.info('errs = \n%s', np.asarray(errs))
        logging.info('err = \n%s', np.asarray(err))
        logging.info('bests = \n%s', np.asarray(bests))

        self.assertTrue(all(err[j] < max(10 * bests[j], .1e-10)
            for j in range(len(err))))


def mult(A, B):
    """
    default matrix multiplication.

    Multiplies A and B together via the "dot" method.

    Parameters
    ----------
    A : array_like
        first matrix in the product A*B being calculated
    B : array_like
        second matrix in the product A*B being calculated

    Returns
    -------
    array_like
        product of the inputs A and B

    Examples
    --------
    >>> from fbpca import mult
    >>> from numpy import array
    >>> from numpy.linalg import norm
    >>>
    >>> A = array([[1., 2.], [3., 4.]])
    >>> B = array([[5., 6.], [7., 8.]])
    >>> norm(mult(A, B) - A.dot(B))

    This example multiplies two matrices two ways -- once with mult,
    and once with the usual "dot" method -- and then calculates the
    (Frobenius) norm of the difference (which should be near 0).
    """

    if issparse(B) and not issparse(A):
        # dense.dot(sparse) is not available in scipy.
        return B.T.dot(A.T).T
    else:
        return A.dot(B)


def set_matrix_mult(newmult):
    """
    re-definition of the matrix multiplication function "mult".

    Sets the matrix multiplication function "mult" used in fbpca to be
    the input "newmult" -- which must return the product A*B of its two
    inputs A and B, i.e., newmult(A, B) must be the product of A and B.

    Parameters
    ----------
    newmult : callable
        matrix multiplication replacing mult in fbpca; newmult must
        return the product of its two array_like inputs

    Returns
    -------
    None

    Examples
    --------
    >>> from fbpca import set_matrix_mult
    >>>
    >>> def newmult(A, B):
    ...     return A*B
    ...
    >>> set_matrix_mult(newmult)

    This example redefines the matrix multiplication used in fbpca to
    be the entrywise product.
    """

    global mult
    mult = newmult


if __name__ == '__main__':
    logging.basicConfig(format='%(message)s', level=logging.INFO)
    unittest.main()