# Copyright (c) 2017-2019 Uber Technologies, Inc.
# SPDX-License-Identifier: Apache-2.0
import math
import torch
from torch.fft import irfft, rfft
from .. import settings
_ROOT_TWO_INVERSE = 1.0 / math.sqrt(2.0)
CHOLESKY_RELATIVE_JITTER = 4.0 # in units of finfo.eps
@settings.register("cholesky_relative_jitter", __name__, "CHOLESKY_RELATIVE_JITTER")
def _validate_jitter(value):
assert isinstance(value, (float, int))
assert 0 <= value
[docs]def as_complex(x):
"""
Similar to :func:`torch.view_as_complex` but copies data in case strides
are not multiples of two.
"""
if any(stride % 2 for stride in x.stride()[:-1]):
# First try to normalize strides.
x = x.squeeze().reshape(x.shape)
if any(stride % 2 for stride in x.stride()[:-1]):
# Fall back to copying data.
x = x.clone()
return torch.view_as_complex(x)
[docs]def block_diag_embed(mat):
"""
Takes a tensor of shape (..., B, M, N) and returns a block diagonal tensor
of shape (..., B x M, B x N).
:param torch.Tensor mat: an input tensor with 3 or more dimensions
:returns torch.Tensor: a block diagonal tensor with dimension `m.dim() - 1`
"""
assert mat.dim() > 2, "Input to block_diag() must be of dimension 3 or higher"
B, M, N = mat.shape[-3:]
eye = torch.eye(B, dtype=mat.dtype, device=mat.device).reshape(B, 1, B, 1)
return (mat.unsqueeze(-2) * eye).reshape(mat.shape[:-3] + (B * M, B * N))
[docs]def block_diagonal(mat, block_size):
"""
Takes a block diagonal tensor of shape (..., B x M, B x N) and returns a tensor
of shape (..., B, M, N).
:param torch.Tensor mat: an input tensor with 2 or more dimensions
:param int block_size: the number of blocks B.
:returns torch.Tensor: a tensor with dimension `mat.dim() + 1`
"""
B = block_size
M = mat.size(-2) // B
N = mat.size(-1) // B
assert mat.shape[-2:] == (B * M, B * N)
mat = mat.reshape(mat.shape[:-2] + (B, M, B, N))
mat = mat.transpose(-2, -3)
mat = mat.reshape(mat.shape[:-4] + (B * B, M, N))
return mat[..., :: B + 1, :, :]
[docs]def periodic_repeat(tensor, size, dim):
"""
Repeat a ``period``-sized tensor up to given ``size``. For example::
>>> x = torch.tensor([[1, 2, 3], [4, 5, 6]])
>>> periodic_repeat(x, 4, 0)
tensor([[1, 2, 3],
[4, 5, 6],
[1, 2, 3],
[4, 5, 6]])
>>> periodic_repeat(x, 4, 1)
tensor([[1, 2, 3, 1],
[4, 5, 6, 4]])
This is useful for computing static seasonality in time series models.
:param torch.Tensor tensor: A tensor of differences.
:param int size: Desired size of the result along dimension ``dim``.
:param int dim: The tensor dimension along which to repeat.
"""
assert isinstance(size, int) and size >= 0
assert isinstance(dim, int)
if dim >= 0:
dim -= tensor.dim()
period = tensor.size(dim)
repeats = [1] * tensor.dim()
repeats[dim] = (size + period - 1) // period
result = tensor.repeat(*repeats)
result = result[(Ellipsis, slice(None, size)) + (slice(None),) * (-1 - dim)]
return result
[docs]def periodic_cumsum(tensor, period, dim):
"""
Compute periodic cumsum along a given dimension. For example if dim=0::
for t in range(period):
assert result[t] == tensor[t]
for t in range(period, len(tensor)):
assert result[t] == tensor[t] + result[t - period]
This is useful for computing drifting seasonality in time series models.
:param torch.Tensor tensor: A tensor of differences.
:param int period: The period of repetition.
:param int dim: The tensor dimension along which to accumulate.
"""
assert isinstance(period, int) and period > 0
assert isinstance(dim, int)
if dim >= 0:
dim -= tensor.dim()
# Pad to even size.
size = tensor.size(dim)
repeats = (size + period - 1) // period
padding = repeats * period - size
if torch._C._get_tracing_state() or padding:
tensor = torch.nn.functional.pad(tensor, (0, 0) * (-1 - dim) + (0, padding))
# Accumulate.
shape = (
tensor.shape[:dim] + (repeats, period) + tensor.shape[tensor.dim() + dim + 1 :]
)
result = tensor.reshape(shape).cumsum(dim=dim - 1).reshape(tensor.shape)
# Truncate to original size.
if torch._C._get_tracing_state() or padding:
result = result[(Ellipsis, slice(None, size)) + (slice(None),) * (-1 - dim)]
return result
[docs]def periodic_features(duration, max_period=None, min_period=None, **options):
r"""
Create periodic (sin,cos) features from ``max_period`` down to
``min_period``.
This is useful in time series models where long uneven seasonality can be
treated via regression. When only ``max_period`` is specified this
generates periodic features at all length scales. When also ``min_period``
is specified this generates periodic features at large length scales, but
omits high frequency features. This is useful when combining regression for
long seasonality with other techniques like :func:`periodic_repeat` and
:func:`periodic_cumsum` for short time scales. For example, to combine
regress yearly seasonality down to the scale of one week one could set
``max_period=365.25`` and ``min_period=7``.
:param int duration: Number of discrete time steps.
:param float max_period: Optional max period, defaults to ``duration``.
:param float min_period: Optional min period (exclusive), defaults to
2 = Nyquist cutoff.
:param \*\*options: Tensor construction options, e.g. ``dtype`` and
``device``.
:returns: A ``(duration, 2 * ceil(max_period / min_period) - 2)``-shaped
tensor of features normalized to lie in [-1,1].
:rtype: ~torch.Tensor
"""
assert isinstance(duration, int) and duration >= 0
if max_period is None:
max_period = duration
if min_period is None:
min_period = 2
assert 2 <= min_period, "min_period is below Nyquist cutoff"
assert min_period <= max_period
t = torch.arange(float(duration), **options).unsqueeze(-1).unsqueeze(-1)
phase = torch.tensor([0, math.pi / 2], **options).unsqueeze(-1)
freq = torch.arange(1, max_period / min_period, **options).mul_(
2 * math.pi / max_period
)
result = (freq * t + phase).cos_().reshape(duration, -1).contiguous()
return result
_NEXT_FAST_LEN = {}
[docs]def next_fast_len(size):
"""
Returns the next largest number ``n >= size`` whose prime factors are all
2, 3, or 5. These sizes are efficient for fast fourier transforms.
Equivalent to :func:`scipy.fftpack.next_fast_len`.
:param int size: A positive number.
:returns: A possibly larger number.
:rtype int:
"""
try:
return _NEXT_FAST_LEN[size]
except KeyError:
pass
assert isinstance(size, int) and size > 0
next_size = size
while True:
remaining = next_size
for n in (2, 3, 5):
while remaining % n == 0:
remaining //= n
if remaining == 1:
_NEXT_FAST_LEN[size] = next_size
return next_size
next_size += 1
[docs]def convolve(signal, kernel, mode="full"):
"""
Computes the 1-d convolution of signal by kernel using FFTs.
The two arguments should have the same rightmost dim, but may otherwise be
arbitrarily broadcastable.
:param torch.Tensor signal: A signal to convolve.
:param torch.Tensor kernel: A convolution kernel.
:param str mode: One of: 'full', 'valid', 'same'.
:return: A tensor with broadcasted shape. Letting ``m = signal.size(-1)``
and ``n = kernel.size(-1)``, the rightmost size of the result will be:
``m + n - 1`` if mode is 'full';
``max(m, n) - min(m, n) + 1`` if mode is 'valid'; or
``max(m, n)`` if mode is 'same'.
:rtype torch.Tensor:
"""
m = signal.size(-1)
n = kernel.size(-1)
if mode == "full":
truncate = m + n - 1
elif mode == "valid":
truncate = max(m, n) - min(m, n) + 1
elif mode == "same":
truncate = max(m, n)
else:
raise ValueError("Unknown mode: {}".format(mode))
# Compute convolution using fft.
padded_size = m + n - 1
# Round up for cheaper fft.
fast_ftt_size = next_fast_len(padded_size)
f_signal = rfft(signal, n=fast_ftt_size)
f_kernel = rfft(kernel, n=fast_ftt_size)
f_result = f_signal * f_kernel
result = irfft(f_result, n=fast_ftt_size)
start_idx = (padded_size - truncate) // 2
return result[..., start_idx : start_idx + truncate]
[docs]def repeated_matmul(M, n):
"""
Takes a batch of matrices `M` as input and returns the stacked result of doing the
`n`-many matrix multiplications :math:`M`, :math:`M^2`, ..., :math:`M^n`.
Parallel cost is logarithmic in `n`.
:param torch.Tensor M: A batch of square tensors of shape (..., N, N).
:param int n: The order of the largest product :math:`M^n`
:returns torch.Tensor: A batch of square tensors of shape (n, ..., N, N)
"""
assert M.size(-1) == M.size(
-2
), "Input tensors must satisfy M.size(-1) == M.size(-2)."
assert n > 0, "argument n to repeated_matmul must be 1 or larger"
doubling_rounds = 0 if n <= 2 else math.ceil(math.log(n, 2)) - 1
if n == 1:
return M.unsqueeze(0)
result = torch.stack([M, torch.matmul(M, M)])
for i in range(doubling_rounds):
doubled = torch.matmul(result[-1].unsqueeze(0), result)
result = torch.stack([result, doubled]).reshape(-1, *result.shape[1:])
return result[0:n]
[docs]def dct(x, dim=-1):
"""
Discrete cosine transform of type II, scaled to be orthonormal.
This is the inverse of :func:`idct_ii` , and is equivalent to
:func:`scipy.fftpack.dct` with ``norm="ortho"``.
:param Tensor x: The input signal.
:param int dim: Dimension along which to compute DCT.
:rtype: Tensor
"""
if dim >= 0:
dim -= x.dim()
if dim != -1:
y = x.reshape(x.shape[: dim + 1] + (-1,)).transpose(-1, -2)
return dct(y).transpose(-1, -2).reshape(x.shape)
# Ref: http://fourier.eng.hmc.edu/e161/lectures/dct/node2.html
N = x.size(-1)
# Step 1
y = torch.cat([x[..., ::2], x[..., 1::2].flip(-1)], dim=-1)
# Step 2
Y = rfft(y, n=N)
# Step 3
coef_real = torch.cos(
torch.linspace(0, 0.5 * math.pi, N + 1, dtype=x.dtype, device=x.device)
)
M = Y.size(-1)
coef = torch.stack([coef_real[:M], -coef_real[-M:].flip(-1)], dim=-1)
X = as_complex(coef) * Y
# NB: if we use the full-length version Y_full = fft(y, n=N), then
# the real part of the later half of X will be the flip
# of the negative of the imaginary part of the first half
X = torch.cat([X.real, -X.imag[..., 1 : (N - M + 1)].flip(-1)], dim=-1)
# orthogonalize
scale = torch.cat(
[x.new_tensor([math.sqrt(N)]), x.new_full((N - 1,), math.sqrt(0.5 * N))]
)
return X / scale
[docs]def idct(x, dim=-1):
"""
Inverse discrete cosine transform of type II, scaled to be orthonormal.
This is the inverse of :func:`dct_ii` , and is equivalent to
:func:`scipy.fftpack.idct` with ``norm="ortho"``.
:param Tensor x: The input signal.
:param int dim: Dimension along which to compute DCT.
:rtype: Tensor
"""
if dim >= 0:
dim -= x.dim()
if dim != -1:
y = x.reshape(x.shape[: dim + 1] + (-1,)).transpose(-1, -2)
return idct(y).transpose(-1, -2).reshape(x.shape)
N = x.size(-1)
scale = torch.cat(
[x.new_tensor([math.sqrt(N)]), x.new_full((N - 1,), math.sqrt(0.5 * N))]
)
x = x * scale
# Step 1, solve X = cos(k) * Yr + sin(k) * Yi
# We know that Y[1:] is conjugate to Y[:0:-1], hence
# X[:0:-1] = sin(k) * Yr[1:] + cos(k) * Yi[1:]
# So Yr[1:] = cos(k) * X[1:] + sin(k) * X[:0:-1]
# and Yi[1:] = sin(k) * X[1:] - cos(k) * X[:0:-1]
# In addition, Yi[0] = 0, Yr[0] = X[0]
# In other words, Y = complex_mul(e^ik, X - i[0, X[:0:-1]])
M = N // 2 + 1 # half size
xi = torch.nn.functional.pad(-x[..., N - M + 1 :], (0, 1)).flip(-1)
X = torch.stack([x[..., :M], xi], dim=-1)
coef_real = torch.cos(
torch.linspace(0, 0.5 * math.pi, N + 1, dtype=x.dtype, device=x.device)
)
coef = torch.stack([coef_real[:M], coef_real[-M:].flip(-1)], dim=-1)
Y = as_complex(coef) * as_complex(X)
# Step 2
y = irfft(Y, n=N)
# Step 3
return torch.stack([y, y.flip(-1)], axis=-1).reshape(x.shape[:-1] + (-1,))[..., :N]
[docs]def safe_cholesky(x):
if x.size(-1) == 1:
if CHOLESKY_RELATIVE_JITTER:
x = x.clamp(min=torch.finfo(x.dtype).tiny)
return x.sqrt()
if CHOLESKY_RELATIVE_JITTER:
# Add adaptive jitter.
x = x.clone()
x_max = x.data.abs().max(-1).values
jitter = CHOLESKY_RELATIVE_JITTER * torch.finfo(x.dtype).eps * x_max
x.data.diagonal(dim1=-1, dim2=-2).add_(jitter)
return torch.linalg.cholesky(x)
[docs]def cholesky_solve(x, y):
if y.size(-1) == 1:
return x / (y * y)
return x.cholesky_solve(y)
[docs]def matmul(x, y):
if x.size(-1) == 1:
return x.mul(y)
return x.matmul(y)
[docs]def matvecmul(x, y):
if x.size(-1) == 1:
return x.squeeze(-1).mul(y)
return x.matmul(y.unsqueeze(-1)).squeeze(-1)
[docs]def triangular_solve(x, y, upper=False, transpose=False):
if y.size(-1) == 1:
return x / y
if transpose:
y = y.transpose(-1, -2)
upper = not upper
return torch.linalg.solve_triangular(y, x, upper=upper)
[docs]def precision_to_scale_tril(P):
Lf = torch.linalg.cholesky(torch.flip(P, (-2, -1)))
L_inv = torch.transpose(torch.flip(Lf, (-2, -1)), -2, -1)
L = torch.linalg.solve_triangular(
L_inv, torch.eye(P.shape[-1], dtype=P.dtype, device=P.device), upper=False
)
return L
[docs]def safe_normalize(x, *, p=2):
"""
Safely project a vector onto the sphere wrt the ``p``-norm. This avoids the
singularity at zero by mapping zero to the vector ``[1, 0, 0, ..., 0]``.
:param torch.Tensor x: A vector
:param float p: The norm exponent, defaults to 2 i.e. the Euclidean norm.
:returns: A normalized version ``x / ||x||_p``.
:rtype: Tensor
"""
assert isinstance(p, (float, int))
assert p >= 0
norm = torch.linalg.norm(x, dim=-1, ord=p, keepdim=True)
x = x / norm.clamp(min=torch.finfo(x.dtype).tiny)
x.data[..., 0][x.data.eq(0).all(dim=-1)] = 1 # Avoid the singularity.
return x