"""Test functions for linalg._solve_toeplitz module """ import numpy as np from scipy.linalg._solve_toeplitz import levinson from scipy.linalg import solve, toeplitz, solve_toeplitz from numpy.testing import assert_equal, assert_allclose import pytest from pytest import raises as assert_raises def test_solve_equivalence(): # For toeplitz matrices, solve_toeplitz() should be equivalent to solve(). random = np.random.RandomState(1234) for n in (1, 2, 3, 10): c = random.randn(n) if random.rand() < 0.5: c = c + 1j * random.randn(n) r = random.randn(n) if random.rand() < 0.5: r = r + 1j * random.randn(n) y = random.randn(n) if random.rand() < 0.5: y = y + 1j * random.randn(n) # Check equivalence when both the column and row are provided. actual = solve_toeplitz((c,r), y) desired = solve(toeplitz(c, r=r), y) assert_allclose(actual, desired) # Check equivalence when the column is provided but not the row. actual = solve_toeplitz(c, b=y) desired = solve(toeplitz(c), y) assert_allclose(actual, desired) def test_multiple_rhs(): random = np.random.RandomState(1234) c = random.randn(4) r = random.randn(4) for offset in [0, 1j]: for yshape in ((4,), (4, 3), (4, 3, 2)): y = random.randn(*yshape) + offset actual = solve_toeplitz((c,r), b=y) desired = solve(toeplitz(c, r=r), y) assert_equal(actual.shape, yshape) assert_equal(desired.shape, yshape) assert_allclose(actual, desired) def test_native_list_arguments(): c = [1,2,4,7] r = [1,3,9,12] y = [5,1,4,2] actual = solve_toeplitz((c,r), y) desired = solve(toeplitz(c, r=r), y) assert_allclose(actual, desired) def test_zero_diag_error(): # The Levinson-Durbin implementation fails when the diagonal is zero. random = np.random.RandomState(1234) n = 4 c = random.randn(n) r = random.randn(n) y = random.randn(n) c[0] = 0 assert_raises(np.linalg.LinAlgError, solve_toeplitz, (c, r), b=y) def test_wikipedia_counterexample(): # The Levinson-Durbin implementation also fails in other cases. # This example is from the talk page of the wikipedia article. random = np.random.RandomState(1234) c = [2, 2, 1] y = random.randn(3) assert_raises(np.linalg.LinAlgError, solve_toeplitz, c, b=y) def test_reflection_coeffs(): # check that that the partial solutions are given by the reflection # coefficients random = np.random.RandomState(1234) y_d = random.randn(10) y_z = random.randn(10) + 1j reflection_coeffs_d = [1] reflection_coeffs_z = [1] for i in range(2, 10): reflection_coeffs_d.append(solve_toeplitz(y_d[:(i-1)], b=y_d[1:i])[-1]) reflection_coeffs_z.append(solve_toeplitz(y_z[:(i-1)], b=y_z[1:i])[-1]) y_d_concat = np.concatenate((y_d[-2:0:-1], y_d[:-1])) y_z_concat = np.concatenate((y_z[-2:0:-1].conj(), y_z[:-1])) _, ref_d = levinson(y_d_concat, b=y_d[1:]) _, ref_z = levinson(y_z_concat, b=y_z[1:]) assert_allclose(reflection_coeffs_d, ref_d[:-1]) assert_allclose(reflection_coeffs_z, ref_z[:-1]) @pytest.mark.xfail(reason='Instability of Levinson iteration') def test_unstable(): # this is a "Gaussian Toeplitz matrix", as mentioned in Example 2 of # I. Gohbert, T. Kailath and V. Olshevsky "Fast Gaussian Elimination with # Partial Pivoting for Matrices with Displacement Structure" # Mathematics of Computation, 64, 212 (1995), pp 1557-1576 # which can be unstable for levinson recursion. # other fast toeplitz solvers such as GKO or Burg should be better. random = np.random.RandomState(1234) n = 100 c = 0.9 ** (np.arange(n)**2) y = random.randn(n) solution1 = solve_toeplitz(c, b=y) solution2 = solve(toeplitz(c), y) assert_allclose(solution1, solution2)