From 6187aede8dc13a4fc4d5fd5463574955d702d7f4 Mon Sep 17 00:00:00 2001
From: "Eugeniy E. Mikhailov" <evgmik@gmail.com>
Date: Tue, 19 Nov 2024 13:00:14 -0500
Subject: initial release

---
 python_src/williamson.py | 70 ++++++++++++++++++++++++++++++++++++++++++++++++
 1 file changed, 70 insertions(+)
 create mode 100644 python_src/williamson.py

(limited to 'python_src/williamson.py')

diff --git a/python_src/williamson.py b/python_src/williamson.py
new file mode 100644
index 0000000..19a2f5f
--- /dev/null
+++ b/python_src/williamson.py
@@ -0,0 +1,70 @@
+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
+
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