using System;
using Utilities.Extensions;
using M = Utilities.Extensions.MatrixExtensions;
using V = Utilities.Extensions.VectorExtensions;
namespace Algorithms.Numeric.Decomposition
{
/// <summary>
/// Singular Vector Decomposition decomposes any general matrix into its
/// singular values and a set of orthonormal bases.
/// </summary>
public static class ThinSvd
{
/// <summary>
/// Computes a random unit vector.
/// </summary>
/// <param name="dimensions">The dimensions of the required vector.</param>
/// <returns>The unit vector.</returns>
public static double[] RandomUnitVector(int dimensions)
{
Random random = new();
double[] result = new double[dimensions];
for (var i = 0; i < dimensions; i++)
{
result[i] = 2 * random.NextDouble() - 1;
}
var magnitude = result.Magnitude();
result = result.Scale(1 / magnitude);
return result;
}
/// <summary>
/// Computes a single singular vector for the given matrix, corresponding to the largest singular value.
/// </summary>
/// <param name="matrix">The matrix.</param>
/// <returns>A singular vector, with dimension equal to number of columns of the matrix.</returns>
public static double[] Decompose1D(double[,] matrix) =>
Decompose1D(matrix, 1E-5, 100);
/// <summary>
/// Computes a single singular vector for the given matrix, corresponding to the largest singular value.
/// </summary>
/// <param name="matrix">The matrix.</param>
/// <param name="epsilon">The error margin.</param>
/// <param name="maxIterations">The maximum number of iterations.</param>
/// <returns>A singular vector, with dimension equal to number of columns of the matrix.</returns>
public static double[] Decompose1D(double[,] matrix, double epsilon, int maxIterations)
{
var n = matrix.GetLength(1);
var iterations = 0;
double mag;
double[] lastIteration;
double[] currIteration = RandomUnitVector(n);
double[,] b = matrix.Transpose().Multiply(matrix);
do
{
lastIteration = currIteration.Copy();
currIteration = b.MultiplyVector(lastIteration);
currIteration = currIteration.Scale(100);
mag = currIteration.Magnitude();
if (mag > epsilon)
{
currIteration = currIteration.Scale(1 / mag);
}
iterations++;
}
while (lastIteration.Dot(currIteration) < 1 - epsilon && iterations < maxIterations);
return currIteration;
}
public static (double[,] U, double[] S, double[,] V) Decompose(double[,] matrix) =>
Decompose(matrix, 1E-5, 100);
/// <summary>
/// Computes the SVD for the given matrix, with singular values arranged from greatest to least.
/// </summary>
/// <param name="matrix">The matrix.</param>
/// <param name="epsilon">The error margin.</param>
/// <param name="maxIterations">The maximum number of iterations.</param>
/// <returns>The SVD.</returns>
public static (double[,] U, double[] S, double[,] V) Decompose(
double[,] matrix,
double epsilon,
int maxIterations)
{
var m = matrix.GetLength(0);
var n = matrix.GetLength(1);
var numValues = Math.Min(m, n);
// sigmas is be a diagonal matrix, hence only a vector is needed
double[] sigmas = new double[numValues];
double[,] us = new double[m, numValues];
double[,] vs = new double[n, numValues];
// keep track of progress
double[,] remaining = matrix.Copy();
// for each singular value
for (var i = 0; i < numValues; i++)
{
// compute the v singular vector
double[] v = Decompose1D(remaining, epsilon, maxIterations);
double[] u = matrix.MultiplyVector(v);
// compute the contribution of this pair of singular vectors
double[,] contrib = u.OuterProduct(v);
// extract the singular value
var s = u.Magnitude();
// v and u should be unit vectors
if (s < epsilon)
{
u = new double[m];
v = new double[n];
}
else
{
u = u.Scale(1 / s);
}
// save u, v and s into the result
for (var j = 0; j < u.Length; j++)
{
us[j, i] = u[j];
}
for (var j = 0; j < v.Length; j++)
{
vs[j, i] = v[j];
}
sigmas[i] = s;
// remove the contribution of this pair and compute the rest
remaining = remaining.Subtract(contrib);
}
return (U: us, S: sigmas, V: vs);
}
}
}