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233 lines
8.6 KiB
Python
233 lines
8.6 KiB
Python
6 years ago
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# Copyright (C) 2009, Pauli Virtanen <pav@iki.fi>
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# Distributed under the same license as Scipy.
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from __future__ import division, print_function, absolute_import
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import warnings
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import numpy as np
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from numpy.linalg import LinAlgError
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from scipy._lib.six import xrange
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from scipy.linalg import get_blas_funcs, get_lapack_funcs
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from .utils import make_system
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from ._gcrotmk import _fgmres
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__all__ = ['lgmres']
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def lgmres(A, b, x0=None, tol=1e-5, maxiter=1000, M=None, callback=None,
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inner_m=30, outer_k=3, outer_v=None, store_outer_Av=True,
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prepend_outer_v=False, atol=None):
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"""
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Solve a matrix equation using the LGMRES algorithm.
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The LGMRES algorithm [1]_ [2]_ is designed to avoid some problems
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in the convergence in restarted GMRES, and often converges in fewer
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iterations.
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Parameters
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----------
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A : {sparse matrix, dense matrix, LinearOperator}
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The real or complex N-by-N matrix of the linear system.
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b : {array, matrix}
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Right hand side of the linear system. Has shape (N,) or (N,1).
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x0 : {array, matrix}
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Starting guess for the solution.
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tol, atol : float, optional
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Tolerances for convergence, ``norm(residual) <= max(tol*norm(b), atol)``.
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The default for ``atol`` is `tol`.
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.. warning::
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The default value for `atol` will be changed in a future release.
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For future compatibility, specify `atol` explicitly.
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maxiter : int, optional
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Maximum number of iterations. Iteration will stop after maxiter
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steps even if the specified tolerance has not been achieved.
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M : {sparse matrix, dense matrix, LinearOperator}, optional
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Preconditioner for A. The preconditioner should approximate the
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inverse of A. Effective preconditioning dramatically improves the
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rate of convergence, which implies that fewer iterations are needed
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to reach a given error tolerance.
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callback : function, optional
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User-supplied function to call after each iteration. It is called
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as callback(xk), where xk is the current solution vector.
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inner_m : int, optional
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Number of inner GMRES iterations per each outer iteration.
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outer_k : int, optional
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Number of vectors to carry between inner GMRES iterations.
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According to [1]_, good values are in the range of 1...3.
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However, note that if you want to use the additional vectors to
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accelerate solving multiple similar problems, larger values may
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be beneficial.
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outer_v : list of tuples, optional
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List containing tuples ``(v, Av)`` of vectors and corresponding
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matrix-vector products, used to augment the Krylov subspace, and
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carried between inner GMRES iterations. The element ``Av`` can
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be `None` if the matrix-vector product should be re-evaluated.
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This parameter is modified in-place by `lgmres`, and can be used
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to pass "guess" vectors in and out of the algorithm when solving
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similar problems.
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store_outer_Av : bool, optional
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Whether LGMRES should store also A*v in addition to vectors `v`
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in the `outer_v` list. Default is True.
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prepend_outer_v : bool, optional
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Whether to put outer_v augmentation vectors before Krylov iterates.
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In standard LGMRES, prepend_outer_v=False.
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Returns
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-------
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x : array or matrix
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The converged solution.
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info : int
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Provides convergence information:
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- 0 : successful exit
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- >0 : convergence to tolerance not achieved, number of iterations
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- <0 : illegal input or breakdown
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Notes
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-----
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The LGMRES algorithm [1]_ [2]_ is designed to avoid the
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slowing of convergence in restarted GMRES, due to alternating
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residual vectors. Typically, it often outperforms GMRES(m) of
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comparable memory requirements by some measure, or at least is not
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much worse.
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Another advantage in this algorithm is that you can supply it with
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'guess' vectors in the `outer_v` argument that augment the Krylov
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subspace. If the solution lies close to the span of these vectors,
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the algorithm converges faster. This can be useful if several very
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similar matrices need to be inverted one after another, such as in
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Newton-Krylov iteration where the Jacobian matrix often changes
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little in the nonlinear steps.
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References
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----------
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.. [1] A.H. Baker and E.R. Jessup and T. Manteuffel, "A Technique for
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Accelerating the Convergence of Restarted GMRES", SIAM J. Matrix
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Anal. Appl. 26, 962 (2005).
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.. [2] A.H. Baker, "On Improving the Performance of the Linear Solver
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restarted GMRES", PhD thesis, University of Colorado (2003).
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Examples
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--------
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>>> from scipy.sparse import csc_matrix
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>>> from scipy.sparse.linalg import lgmres
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>>> A = csc_matrix([[3, 2, 0], [1, -1, 0], [0, 5, 1]], dtype=float)
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>>> b = np.array([2, 4, -1], dtype=float)
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>>> x, exitCode = lgmres(A, b)
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>>> print(exitCode) # 0 indicates successful convergence
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0
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>>> np.allclose(A.dot(x), b)
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True
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"""
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A,M,x,b,postprocess = make_system(A,M,x0,b)
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if not np.isfinite(b).all():
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raise ValueError("RHS must contain only finite numbers")
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if atol is None:
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warnings.warn("scipy.sparse.linalg.lgmres called without specifying `atol`. "
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"The default value will change in the future. To preserve "
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"current behavior, set ``atol=tol``.",
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category=DeprecationWarning, stacklevel=2)
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atol = tol
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matvec = A.matvec
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psolve = M.matvec
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if outer_v is None:
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outer_v = []
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axpy, dot, scal = None, None, None
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nrm2 = get_blas_funcs('nrm2', [b])
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b_norm = nrm2(b)
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ptol_max_factor = 1.0
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for k_outer in xrange(maxiter):
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r_outer = matvec(x) - b
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# -- callback
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if callback is not None:
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callback(x)
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# -- determine input type routines
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if axpy is None:
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if np.iscomplexobj(r_outer) and not np.iscomplexobj(x):
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x = x.astype(r_outer.dtype)
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axpy, dot, scal, nrm2 = get_blas_funcs(['axpy', 'dot', 'scal', 'nrm2'],
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(x, r_outer))
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# -- check stopping condition
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r_norm = nrm2(r_outer)
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if r_norm <= max(atol, tol * b_norm):
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break
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# -- inner LGMRES iteration
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v0 = -psolve(r_outer)
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inner_res_0 = nrm2(v0)
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if inner_res_0 == 0:
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rnorm = nrm2(r_outer)
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raise RuntimeError("Preconditioner returned a zero vector; "
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"|v| ~ %.1g, |M v| = 0" % rnorm)
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v0 = scal(1.0/inner_res_0, v0)
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ptol = min(ptol_max_factor, max(atol, tol*b_norm)/r_norm)
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try:
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Q, R, B, vs, zs, y, pres = _fgmres(matvec,
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v0,
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inner_m,
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lpsolve=psolve,
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atol=ptol,
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outer_v=outer_v,
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prepend_outer_v=prepend_outer_v)
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y *= inner_res_0
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if not np.isfinite(y).all():
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# Overflow etc. in computation. There's no way to
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# recover from this, so we have to bail out.
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raise LinAlgError()
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except LinAlgError:
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# Floating point over/underflow, non-finite result from
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# matmul etc. -- report failure.
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return postprocess(x), k_outer + 1
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# Inner loop tolerance control
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if pres > ptol:
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ptol_max_factor = min(1.0, 1.5 * ptol_max_factor)
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else:
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ptol_max_factor = max(1e-16, 0.25 * ptol_max_factor)
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# -- GMRES terminated: eval solution
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dx = zs[0]*y[0]
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for w, yc in zip(zs[1:], y[1:]):
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dx = axpy(w, dx, dx.shape[0], yc) # dx += w*yc
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# -- Store LGMRES augmentation vectors
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nx = nrm2(dx)
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if nx > 0:
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if store_outer_Av:
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q = Q.dot(R.dot(y))
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ax = vs[0]*q[0]
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for v, qc in zip(vs[1:], q[1:]):
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ax = axpy(v, ax, ax.shape[0], qc)
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outer_v.append((dx/nx, ax/nx))
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else:
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outer_v.append((dx/nx, None))
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# -- Retain only a finite number of augmentation vectors
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while len(outer_v) > outer_k:
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del outer_v[0]
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# -- Apply step
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x += dx
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else:
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# didn't converge ...
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return postprocess(x), maxiter
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return postprocess(x), 0
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