[Numpy-discussion] Matrix rank default tolerance - is it too low?
josef.pktd at gmail.com
josef.pktd at gmail.com
Sun Jun 17 01:06:44 EDT 2012
On Sat, Jun 16, 2012 at 4:39 PM, Nathaniel Smith <njs at pobox.com> wrote:
> On Sat, Jun 16, 2012 at 9:03 PM, Matthew Brett <matthew.brett at gmail.com> wrote:
>> Hi,
>>
>> On Sat, Jun 16, 2012 at 10:40 AM, Nathaniel Smith <njs at pobox.com> wrote:
>>> On Fri, Jun 15, 2012 at 4:10 AM, Charles R Harris
>>> <charlesr.harris at gmail.com> wrote:
>>>>
>>>>
>>>> On Thu, Jun 14, 2012 at 8:06 PM, Matthew Brett <matthew.brett at gmail.com>
>>>> wrote:
>>>>>
>>>>> Hi,
>>>>>
>>>>> I noticed that numpy.linalg.matrix_rank sometimes gives full rank for
>>>>> matrices that are numerically rank deficient:
>>>>>
>>>>> If I repeatedly make random matrices, then set the first column to be
>>>>> equal to the sum of the second and third columns:
>>>>>
>>>>> def make_deficient():
>>>>> X = np.random.normal(size=(40, 10))
>>>>> deficient_X = X.copy()
>>>>> deficient_X[:, 0] = deficient_X[:, 1] + deficient_X[:, 2]
>>>>> return deficient_X
>>>>>
>>>>> then the current numpy.linalg.matrix_rank algorithm returns full rank
>>>>> (10) in about 8 percent of cases (see appended script).
>>>>>
>>>>> I think this is a tolerance problem. The ``matrix_rank`` algorithm
>>>>> does this by default:
>>>>>
>>>>> S = spl.svd(M, compute_uv=False)
>>>>> tol = S.max() * np.finfo(S.dtype).eps
>>>>> return np.sum(S > tol)
>>>>>
>>>>> I guess we'd we want the lowest tolerance that nearly always or always
>>>>> identifies numerically rank deficient matrices. I suppose one way of
>>>>> looking at whether the tolerance is in the right range is to compare
>>>>> the calculated tolerance (``tol``) to the minimum singular value
>>>>> (``S.min()``) because S.min() in our case should be very small and
>>>>> indicate the rank deficiency. The mean value of tol / S.min() for the
>>>>> current algorithm, across many iterations, is about 2.8. We might
>>>>> hope this value would be higher than 1, but not much higher, otherwise
>>>>> we might be rejecting too many columns.
>>>>>
>>>>> Our current algorithm for tolerance is the same as the 2-norm of M *
>>>>> eps. We're citing Golub and Van Loan for this, but now I look at our
>>>>> copy (p 261, last para) - they seem to be suggesting using u * |M|
>>>>> where u = (p 61, section 2.4.2) eps / 2. (see [1]). I think the Golub
>>>>> and Van Loan suggestion corresponds to:
>>>>>
>>>>> tol = np.linalg.norm(M, np.inf) * np.finfo(M.dtype).eps / 2
>>>>>
>>>>> This tolerance gives full rank for these rank-deficient matrices in
>>>>> about 39 percent of cases (tol / S.min() ratio of 1.7)
>>>>>
>>>>> We see on p 56 (section 2.3.2) that:
>>>>>
>>>>> m, n = M.shape
>>>>> 1 / sqrt(n) . |M|_{inf} <= |M|_2
>>>>>
>>>>> So we can get an upper bound on |M|_{inf} with |M|_2 * sqrt(n). Setting:
>>>>>
>>>>> tol = S.max() * np.finfo(M.dtype).eps / 2 * np.sqrt(n)
>>>>>
>>>>> gives about 0.5 percent error (tol / S.min() of 4.4)
>>>>>
>>>>> Using the Mathworks threshold [2]:
>>>>>
>>>>> tol = S.max() * np.finfo(M.dtype).eps * max((m, n))
>>>>>
>>>>> There are no false negatives (0 percent rank 10), but tol / S.min() is
>>>>> around 110 - so conservative, in this case.
>>>>>
>>>>> So - summary - I'm worrying our current threshold is too small,
>>>>> letting through many rank-deficient matrices without detection. I may
>>>>> have misread Golub and Van Loan, but maybe we aren't doing what they
>>>>> suggest. Maybe what we could use is either the MATLAB threshold or
>>>>> something like:
>>>>>
>>>>> tol = S.max() * np.finfo(M.dtype).eps * np.sqrt(n)
>>>>>
>>>>> - so 2 * the upper bound for the inf norm = 2 * |M|_2 * sqrt(n) . This
>>>>> gives 0 percent misses and tol / S.min() of 8.7.
>>>>>
>>>>> What do y'all think?
>>>>>
>>>>> Best,
>>>>>
>>>>> Matthew
>>>>>
>>>>> [1]
>>>>> http://matthew-brett.github.com/pydagogue/floating_error.html#machine-epsilon
>>>>> [2] http://www.mathworks.com/help/techdoc/ref/rank.html
>>>>>
>>>>> Output from script:
>>>>>
>>>>> Percent undetected current: 9.8, tol / S.min(): 2.762
>>>>> Percent undetected inf norm: 39.1, tol / S.min(): 1.667
>>>>> Percent undetected upper bound inf norm: 0.5, tol / S.min(): 4.367
>>>>> Percent undetected upper bound inf norm * 2: 0.0, tol / S.min(): 8.734
>>>>> Percent undetected MATLAB: 0.0, tol / S.min(): 110.477
>>>>>
>>>>> <script>
>>>>> import numpy as np
>>>>> import scipy.linalg as npl
>>>>>
>>>>> M = 40
>>>>> N = 10
>>>>>
>>>>> def make_deficient():
>>>>> X = np.random.normal(size=(M, N))
>>>>> deficient_X = X.copy()
>>>>> if M > N: # Make a column deficient
>>>>> deficient_X[:, 0] = deficient_X[:, 1] + deficient_X[:, 2]
>>>>> else: # Make a row deficient
>>>>> deficient_X[0] = deficient_X[1] + deficient_X[2]
>>>>> return deficient_X
>>>>>
>>>>> matrices = []
>>>>> ranks = []
>>>>> ranks_inf = []
>>>>> ranks_ub_inf = []
>>>>> ranks_ub2_inf = []
>>>>> ranks_mlab = []
>>>>> tols = np.zeros((1000, 6))
>>>>> for i in range(1000):
>>>>> m = make_deficient()
>>>>> matrices.append(m)
>>>>> # The SVD tolerances
>>>>> S = npl.svd(m, compute_uv=False)
>>>>> S0 = S.max()
>>>>> # u in Golub and Van Loan == numpy eps / 2
>>>>> eps = np.finfo(m.dtype).eps
>>>>> u = eps / 2
>>>>> # Current numpy matrix_rank algorithm
>>>>> ranks.append(np.linalg.matrix_rank(m))
>>>>> # Which is the same as:
>>>>> tol_s0 = S0 * eps
>>>>> # ranks.append(np.linalg.matrix_rank(m, tol=tol_s0))
>>>>> # Golub and Van Loan suggestion
>>>>> tol_inf = npl.norm(m, np.inf) * u
>>>>> ranks_inf.append(np.linalg.matrix_rank(m, tol=tol_inf))
>>>>> # Upper bound of |X|_{inf}
>>>>> tol_ub_inf = tol_s0 * np.sqrt(N) / 2
>>>>> ranks_ub_inf.append(np.linalg.matrix_rank(m, tol=tol_ub_inf))
>>>>> # Times 2 fudge
>>>>> tol_ub2_inf = tol_s0 * np.sqrt(N)
>>>>> ranks_ub2_inf.append(np.linalg.matrix_rank(m, tol=tol_ub2_inf))
>>>>> # MATLAB algorithm
>>>>> tol_mlab = tol_s0 * max(m.shape)
>>>>> ranks_mlab.append(np.linalg.matrix_rank(m, tol=tol_mlab))
>>>>> # Collect tols
>>>>> tols[i] = tol_s0, tol_inf, tol_ub_inf, tol_ub2_inf, tol_mlab, S.min()
>>>>>
>>>>> rel_tols = tols / tols[:, -1][:, None]
>>>>>
>>>>> fmt = 'Percent undetected %s: %3.1f, tol / S.min(): %2.3f'
>>>>> max_rank = min(M, N)
>>>>> for name, ranks, mrt in zip(
>>>>> ('current', 'inf norm', 'upper bound inf norm',
>>>>> 'upper bound inf norm * 2', 'MATLAB'),
>>>>> (ranks, ranks_inf, ranks_ub_inf, ranks_ub2_inf, ranks_mlab),
>>>>> rel_tols.mean(axis=0)[:5]):
>>>>> pcnt = np.sum(np.array(ranks) == max_rank) / 1000. * 100
>>>>> print fmt % (name, pcnt, mrt)
>>>>> </script>
>>>>
>>>>
>>>> The polynomial fitting uses eps times the largest array dimension for the
>>>> relative condition number. IIRC, that choice traces back to numerical
>>>> recipes.
>>
>> Chuck - sorry - I didn't understand what you were saying, and now I
>> think you were proposing the MATLAB algorithm. I can't find that in
>> Numerical Recipes - can you? It would be helpful as a reference.
>>
>>> This is the same as Matlab, right?
>>
>> Yes, I believe so, i.e:
>>
>> tol = S.max() * np.finfo(M.dtype).eps * max((m, n))
>>
>> from my original email.
>>
>>> If the Matlab condition is the most conservative, then it seems like a
>>> reasonable choice -- conservative is good so long as your false
>>> positive rate doesn't become to high, and presumably Matlab has enough
>>> user experience to know whether the false positive rate is too high.
>>
>> Are we agreeing to go for the Matlab algorithm?
>>
>> If so, how should this be managed? Just changing it may change the
>> output of code using numpy >= 1.5.0, but then again, the threshold is
>> probably incorrect.
>>
>> Fix and break or FutureWarning with something like:
>>
>> def matrix_rank(M, tol=None):
>>
>> where ``tol`` can be a string like ``maxdim``?
>
> I dunno, I don't think we should do a big deprecation dance for every
> bug fix. Is this a bug fix, so numpy will simply start producing more
> accurate results on a given problem? I guess there isn't really a
> right answer here (though claiming that [a, b, a+b] is full-rank is
> clearly broken, and the matlab algorithm seems reasonable for
> answering the specific question of whether a matrix is full rank), so
> we'll have to hope some users speak up...
I don't see a problem changing this as a bugfix.
statsmodels still has, I think, the original scipy.stats.models
version for rank which is still much higher for any non-huge array and
float, cond=1.0e-12.
Josef
>
> -N
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