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authorEugeniy E. Mikhailov <evgmik@gmail.com>2024-11-19 13:40:38 -0500
committerEugeniy E. Mikhailov <evgmik@gmail.com>2024-11-19 13:40:38 -0500
commit984d56b4d94bf298a197f1567834451acf49cab9 (patch)
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parent268050742bfd920490d90152686178ffba1f6a85 (diff)
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-def williamson(V, tol=1e-11):
- r"""Williamson decomposition of positive-definite (real) symmetric matrix.
-
- See :ref:`williamson`.
-
- Note that it is assumed that the symplectic form is
-
- .. math:: \Omega = \begin{bmatrix}0&I\\-I&0\end{bmatrix}
-
- where :math:`I` is the identity matrix and :math:`0` is the zero matrix.
-
- See https://math.stackexchange.com/questions/1171842/finding-the-symplectic-matrix-in-williamsons-theorem/2682630#2682630
-
- Args:
- V (array[float]): positive definite symmetric (real) matrix
- tol (float): the tolerance used when checking if the matrix is symmetric: :math:`|V-V^T| \leq` tol
-
- Returns:
- tuple[array,array]: ``(Db, S)`` where ``Db`` is a diagonal matrix
- and ``S`` is a symplectic matrix such that :math:`V = S^T Db S`
- """
- (n, m) = V.shape
-
- if n != m:
- raise ValueError("The input matrix is not square")
-
- diffn = np.linalg.norm(V - np.transpose(V))
-
- if diffn >= tol:
- raise ValueError("The input matrix is not symmetric")
-
- if n % 2 != 0:
- raise ValueError("The input matrix must have an even number of rows/columns")
-
- n = n // 2
- omega = sympmat(n)
- vals = np.linalg.eigvalsh(V)
-
- for val in vals:
- if val <= 0:
- raise ValueError("Input matrix is not positive definite")
-
- Mm12 = sqrtm(np.linalg.inv(V)).real
- r1 = Mm12 @ omega @ Mm12
- s1, K = schur(r1)
- X = np.array([[0, 1], [1, 0]])
- I = np.identity(2)
- seq = []
-
- # In what follows I construct a permutation matrix p so that the Schur matrix has
- # only positive elements above the diagonal
- # Also the Schur matrix uses the x_1,p_1, ..., x_n,p_n ordering thus I use rotmat to
- # go to the ordering x_1, ..., x_n, p_1, ... , p_n
-
- for i in range(n):
- if s1[2 * i, 2 * i + 1] > 0:
- seq.append(I)
- else:
- seq.append(X)
-
- p = block_diag(*seq)
- Kt = K @ p
- s1t = p @ s1 @ p
- dd = xpxp_to_xxpp(s1t)
- perm_indices = xpxp_to_xxpp(np.arange(2 * n))
- Ktt = Kt[:, perm_indices]
- Db = np.diag([1 / dd[i, i + n] for i in range(n)] + [1 / dd[i, i + n] for i in range(n)])
- S = Mm12 @ Ktt @ sqrtm(Db)
- return Db, np.linalg.inv(S).T
-