超定线性系统的精度问题

时间:2018-04-19 11:58:53

标签: python linear-algebra floating-accuracy

背景

对于给定的点列表,我想检查它们是否位于(可能是低维)单形的内部。 我想用Python做到这一点。

问题

编辑:我想(反复)回答这个问题,u是否在A的形象中(作为决策问题,所以只是是) /否)。

首先,我进行QR分解,然后解决系统,最后检查解决方案是否正确。

import scipy.linalg
import numpy as np

Q,R = np.linalg.qr(AA)
for u in points:
  x = scipy.linalg.solve_triangular(R, np.dot(Q.T, u))
  print(all(x <= 1-1e-6) and all(x >= 1e-6) and all(abs(np.dot(AA,x) - u) < 1e-6))

但是,我遇到了数值问题,准确性似乎太差了。我有一个点,它位于内部(根据先前的线性程序计算),但上面的代码无法识别这一点。

矩阵的条件大约为100,形状为(36,35),所以看起来并不那么可怕,但误差略高于1e-6

有没有办法提高准确度?

  • 我尝试用sympy进行符号化,但不得不中断计算。花了太长时间。
  • 我不想再增加阈值1e-6
  • 由于系统过度定义(即单面尺寸较低),我需要最后检查,我的解决方案是否正确。

数据

AA = np.array([
[1,  1,  1, 1,  1, 1,  1,  1,  1,  1, 1,  1, 1, 1, 1,  1, 1,  1, 1, 1,  1, 1, 1,  1,  1,  1,  1,  1,  1, 1,  1,  1,  1,  1,  1],
[0,  0,  0, 0,  0, 0,  0,  0,  0,  0, 0,  0, 0, 0, 0,  0, 0,  0, 0, 0,  2, 2, 2,  2,  2,  4,  4,  6,  6, 6,  6,  6,  6,  6,  8],
[0,  0,  0, 0,  0, 0,  0,  0,  0,  0, 0,  0, 0, 0, 2,  2, 2,  2, 4, 6,  0, 0, 0,  4,  4,  0,  0,  0,  0, 0,  0,  0,  0,  2,  6],
[0,  0,  0, 0,  0, 0,  0,  0,  0,  0, 0,  0, 2, 4, 0,  0, 0,  4, 4, 4,  0, 0, 4,  0,  2,  0,  0,  0,  0, 0,  2,  2,  6,  0,  0],
[0,  0,  0, 0,  0, 2,  2,  2,  4,  4, 6,  6, 0, 0, 0,  0, 2,  0, 0, 0,  0, 2, 0,  0,  0,  0,  2,  0,  0, 6,  0,  2,  4,  0,  4],
[0,  0,  0, 4, 10, 0,  0,  6,  0,  0, 2,  2, 2, 0, 2,  2, 4,  2, 2, 0,  0, 2, 4,  2,  0,  0,  0,  0,  4, 6,  2,  0,  2,  0,  0],
[0,  2,  2, 0,  4, 4,  4,  2,  2,  4, 2,  4, 2, 2, 2,  2, 2,  0, 0, 0,  0, 6, 2,  2,  0,  4,  0,  4,  0, 0,  0,  2,  0,  2,  0],
[0,  0,  2, 0,  4, 0,  2,  6,  0,  0, 0,  0, 6, 2, 0,  0, 0,  4, 6, 6,  6, 0, 4,  4,  0,  2,  6,  8,  0, 0,  0,  4,  0,  0,  0],
[0,  0,  0, 0,  6, 8,  0,  0,  2,  0, 2,  4, 2, 6, 2,  4, 2,  0, 0, 2,  2, 0, 0,  2,  4,  0,  0,  2,  4, 2, 10,  2,  0, 12,  0],
[0,  0,  0, 0,  0, 2,  0,  6,  2,  2, 0,  0, 2, 4, 0,  0, 0,  2, 0, 2,  2, 4, 0,  0,  6,  0,  0,  0,  0, 0,  0,  0,  2,  0,  0],
[0,  2,  0, 0,  2, 0,  0,  0,  0,  0, 4,  4, 0, 0, 0,  4, 2,  4, 8, 0,  0, 2, 2,  0,  0,  6,  0,  4,  0, 0,  2,  0,  0,  0,  0],
[0,  0,  2, 6,  4, 0,  0,  0,  0,  0, 8,  0, 6, 0, 4, 10, 0,  2, 0, 0,  4, 2, 6,  2,  2,  0,  2,  0,  0, 8,  2,  0,  0,  2,  0],
[0,  0,  2, 0,  4, 8,  2, 14,  0,  0, 6,  0, 0, 0, 4,  8, 0,  4, 2, 4,  0, 0, 0,  0,  0,  2,  8,  0,  0, 0,  0,  0,  0,  8,  2],
[0,  0,  6, 6,  0, 0,  0,  0,  4,  0, 0,  0, 0, 4, 4,  0, 0,  2, 0, 0,  2, 2, 2,  0,  0,  0,  2,  0,  0, 8,  0,  4,  0,  2,  0],
[0,  6,  0, 2,  0, 2,  0,  2,  0,  0, 0, 10, 0, 0, 0,  0, 4,  0, 0, 2,  0, 0, 0,  2,  0,  2,  0,  2,  2, 2,  2,  4,  0,  2,  0],
[0,  0,  0, 6,  0, 0,  8,  0,  0,  0, 8,  0, 8, 0, 0,  0, 2,  4, 0, 0,  2, 0, 0,  0,  2,  0,  4,  0,  0, 2,  0, 10,  8,  0,  2],
[0,  2,  2, 0,  0, 0,  2,  0,  2,  2, 0,  0, 0, 0, 0,  2, 0,  0, 2, 0,  2, 0, 2,  6,  2,  0,  0,  2,  6, 2,  4,  0,  4,  0,  2],
[0, 10,  0, 0,  0, 2,  2,  4,  0,  2, 0,  0, 0, 8, 0,  6, 6,  4, 0, 4,  2, 2, 0,  2,  0,  4,  0,  0,  0, 2,  0,  0,  4,  0, 10],
[0,  4,  0, 0,  4, 2,  0,  0,  0,  0, 2,  2, 0, 0, 0,  0, 0,  0, 4, 4,  0, 8, 2, 12,  4,  8,  0,  0,  4, 0,  6,  2, 10,  0,  2],
[0,  0,  4, 8,  6, 2,  0,  0, 12,  0, 2,  2, 0, 0, 0,  0, 2,  4, 0, 2,  0, 2, 0,  2,  4,  0,  2,  2, 10, 0,  0,  0,  0,  2,  2],
[0,  2,  2, 2,  2, 0,  0,  0,  2,  0, 0,  0, 6, 6, 2,  0, 2,  2, 4, 2,  4, 4, 4,  2, 10,  6,  2,  0,  2, 0,  0,  0,  2,  2,  8],
[0,  4,  0, 4,  0, 0,  0,  0,  2, 16, 0,  2, 0, 0, 6,  0, 4,  0, 0, 4,  0, 2, 0,  0,  0,  0,  0,  4,  0, 0,  0,  0,  0,  2,  0],
[0,  0,  0, 0,  0, 0,  2,  2,  0,  0, 2,  0, 6, 0, 0,  0, 2,  0, 0, 0,  2, 0, 4,  0,  2,  4,  2,  2,  2, 0,  0,  0,  0,  2,  0],
[0,  0,  4, 6,  6, 2,  8,  0,  4,  0, 0,  2, 0, 2, 0,  2, 4,  2, 0, 0,  2, 2, 0,  6,  2, 12,  4,  0,  0, 0,  4,  0,  0,  4,  2],
[0,  0,  4, 0,  0, 0,  0,  2,  4,  2, 2,  0, 0, 0, 2,  2, 4,  4, 4, 4,  2, 4, 4,  0,  2,  0,  0,  6,  2, 2,  2,  6,  0,  0,  2],
[0,  0,  2, 0,  0, 0,  0,  0,  0,  0, 0, 10, 2, 0, 8,  2, 4,  0, 0, 0,  0, 0, 0,  0,  4,  0,  0,  4,  2, 2,  0,  0,  2,  0,  2],
[0,  2,  0, 0,  0, 8,  4,  2,  4,  6, 0,  0, 0, 2, 0,  0, 2,  0, 8, 0,  0, 0, 0,  0,  2,  0,  2,  0, 12, 4,  0,  0,  2,  0,  4],
[0,  0,  0, 0,  0, 0,  8,  2,  8,  2, 2,  2, 2, 0, 0,  2, 2, 10, 0, 2,  0, 0, 2,  2,  0,  2,  4,  0,  0, 6,  4,  4,  2,  4,  0],
[0,  4,  2, 0,  0, 0,  0,  0,  0,  0, 0,  2, 2, 4, 6,  0, 0,  0, 0, 4,  0, 2, 6,  2,  0,  0,  0,  0,  2, 0,  4,  0,  4,  0,  0],
[0,  0,  2, 0,  0, 2,  0,  0,  0,  6, 0,  0, 0, 4, 2,  0, 0,  0, 0, 0,  8, 0, 4,  0,  0,  0,  2,  0,  0, 0,  2,  2,  0,  2,  2],
[0,  8,  4, 4,  0, 0, 12,  0,  6,  0, 6,  2, 0, 6, 4,  2, 2,  0, 4, 0,  0, 2, 2,  0,  4,  0,  0,  0,  2, 0,  8,  0,  0,  0,  0],
[0,  0,  8, 0,  0, 0,  0,  0,  0,  4, 0,  2, 6, 2, 0,  0, 0,  0, 0, 2,  0, 2, 0,  0,  2,  2,  0,  2,  0, 2,  0,  4,  0,  0,  0],
[0,  6, 10, 6,  6, 4,  0,  0,  0,  4, 0,  2, 0, 4, 4,  0, 0,  4, 0, 0, 10, 0, 0,  2,  0,  2,  0, 10,  0, 0,  0,  0,  0,  2,  0],
[0,  2,  0, 4,  0, 8,  2,  0,  2,  4, 0,  2, 2, 0, 0,  4, 2,  0, 2, 4,  2, 4, 4,  0,  0,  0,  2,  0,  0, 0,  0,  0,  0,  2,  0],
[0,  4,  0, 0,  0, 0,  2, 10,  0,  2, 4,  0, 2, 0, 6,  4, 2,  0, 4, 0,  6, 2, 0,  2,  0,  0, 10,  0,  0, 0,  0,  6,  0,  2,  0],
[0,  0,  2, 2,  0, 4,  0,  0,  0,  0, 2,  0, 0, 0, 0,  0, 2,  0, 2, 0,  0, 2, 0,  2,  0,  0,  2,  2,  0, 0,  0,  0,  2,  0,  2]])
v = np.array([1, 1, 1, 1, 2, 2, 2, 2, 2, 1, 2, 2, 2, 1, 2, 2, 1, 2, 2, 2, 2, 2, 1, 2, 2, 2, 2, 2, 1, 1, 2, 1, 2, 2, 2, 1])
points = [v]

1 个答案:

答案 0 :(得分:1)

您在上面发布的系统没有确切的解决方案。所以np.dot(AA,x) - u)永远不会收敛到机器精度。事实上,您的代码正在做的是找到系统唯一最小二乘解的正确数值近似值。

有很多方法可以了解系统无法提供解决方案的原因。一种方法是recall

  

线性系统Ax=b是一致的,当且仅当A的等级等于[A|b]的等级时,矩阵A增加b }作为专栏。

您可以按如下方式在数字上估算排名:

# reshape the RHS to a column so we can combine it with AA
b = points[0].reshape((36,1))

# append the column to form the augmented matrix
AA_b = np.hstack((AA, b))

print("AA rank: %d" % np.linalg.matrix_rank(AA))
print("[AA|b] rank: %d" % np.linalg.matrix_rank(AA_b))

这表明AA的排名为35,但[A|b]的排名为36,因此系统无法提供解决方案。

你也可以通过将增强矩阵放入缩小的行梯形形式来说服自己。我能够在wxMaxima中很快完成这项工作,并验证增强矩阵是否等同于身份的RREF。同样这样做也是可能的,但似乎很慢:

AA_b.rref()