Add solve_discrete_lyapunov and solve_continuous_lyapunov (#33)

Co-authored-by: jessegrabowski <[email protected]>

Author: twiecki

pytensor/tensor/slinalg.py

@@ -1,20 +1,27 @@
 import logging
 import warnings
-from typing import Union
+from typing import TYPE_CHECKING, Union
 
 import numpy as np
 import scipy.linalg
+from typing_extensions import Literal
 
-import pytensor.tensor
+import pytensor
+import pytensor.tensor as pt
 from pytensor.graph.basic import Apply
 from pytensor.graph.op import Op
 from pytensor.tensor import as_tensor_variable
 from pytensor.tensor import basic as at
 from pytensor.tensor import math as atm
+from pytensor.tensor.shape import reshape
 from pytensor.tensor.type import matrix, tensor, vector
 from pytensor.tensor.var import TensorVariable
 
 
+if TYPE_CHECKING:
+    from pytensor.tensor import TensorLike
+
+
 logger = logging.getLogger(__name__)
 
 
@@ -735,6 +742,159 @@ def perform(self, node, inputs, outputs):
 
 expm = Expm()
 
+
+class SolveContinuousLyapunov(Op):
+    __props__ = ()
+
+    def make_node(self, A, B):
+        A = as_tensor_variable(A)
+        B = as_tensor_variable(B)
+
+        out_dtype = pytensor.scalar.upcast(A.dtype, B.dtype)
+        X = pytensor.tensor.matrix(dtype=out_dtype)
+
+        return pytensor.graph.basic.Apply(self, [A, B], [X])
+
+    def perform(self, node, inputs, output_storage):
+        (A, B) = inputs
+        X = output_storage[0]
+
+        X[0] = scipy.linalg.solve_continuous_lyapunov(A, B)
+
+    def infer_shape(self, fgraph, node, shapes):
+        return [shapes[0]]
+
+    def grad(self, inputs, output_grads):
+        # Gradient computations come from Kao and Hennequin (2020), https://arxiv.org/pdf/2011.11430.pdf
+        # Note that they write the equation as AX + XA.H + Q = 0, while scipy uses AX + XA^H = Q,
+        # so minor adjustments need to be made.
+        A, Q = inputs
+        (dX,) = output_grads
+
+        X = self(A, Q)
+        S = self(A.conj().T, -dX)  # Eq 31, adjusted
+
+        A_bar = S.dot(X.conj().T) + S.conj().T.dot(X)
+        Q_bar = -S  # Eq 29, adjusted
+
+        return [A_bar, Q_bar]
+
+
+class BilinearSolveDiscreteLyapunov(Op):
+    def make_node(self, A, B):
+        A = as_tensor_variable(A)
+        B = as_tensor_variable(B)
+
+        out_dtype = pytensor.scalar.upcast(A.dtype, B.dtype)
+        X = pytensor.tensor.matrix(dtype=out_dtype)
+
+        return pytensor.graph.basic.Apply(self, [A, B], [X])
+
+    def perform(self, node, inputs, output_storage):
+        (A, B) = inputs
+        X = output_storage[0]
+
+        X[0] = scipy.linalg.solve_discrete_lyapunov(A, B, method="bilinear")
+
+    def infer_shape(self, fgraph, node, shapes):
+        return [shapes[0]]
+
+    def grad(self, inputs, output_grads):
+        # Gradient computations come from Kao and Hennequin (2020), https://arxiv.org/pdf/2011.11430.pdf
+        A, Q = inputs
+        (dX,) = output_grads
+
+        X = self(A, Q)
+
+        # Eq 41, note that it is not written as a proper Lyapunov equation
+        S = self(A.conj().T, dX)
+
+        A_bar = pytensor.tensor.linalg.matrix_dot(
+            S, A, X.conj().T
+        ) + pytensor.tensor.linalg.matrix_dot(S.conj().T, A, X)
+        Q_bar = S
+        return [A_bar, Q_bar]
+
+
+_solve_continuous_lyapunov = SolveContinuousLyapunov()
+_solve_bilinear_direct_lyapunov = BilinearSolveDiscreteLyapunov()
+
+
+def iscomplexobj(x):
+    type_ = x.type
+    dtype = type_.dtype
+    return "complex" in dtype
+
+
+def _direct_solve_discrete_lyapunov(A: "TensorLike", Q: "TensorLike") -> TensorVariable:
+    A_ = as_tensor_variable(A)
+    Q_ = as_tensor_variable(Q)
+
+    if "complex" in A_.type.dtype:
+        AA = kron(A_, A_.conj())
+    else:
+        AA = kron(A_, A_)
+
+    X = solve(pt.eye(AA.shape[0]) - AA, Q_.ravel())
+    return reshape(X, Q_.shape)
+
+
+def solve_discrete_lyapunov(
+    A: "TensorLike", Q: "TensorLike", method: Literal["direct", "bilinear"] = "direct"
+) -> TensorVariable:
+    """Solve the discrete Lyapunov equation :math:`A X A^H - X = Q`.
+
+    Parameters
+    ----------
+    A
+        Square matrix of shape N x N; must have the same shape as Q
+    Q
+        Square matrix of shape N x N; must have the same shape as A
+    method
+        Solver method used, one of ``"direct"`` or ``"bilinear"``. ``"direct"``
+        solves the problem directly via matrix inversion.  This has a pure
+        PyTensor implementation and can thus be cross-compiled to supported
+        backends, and should be preferred when ``N`` is not large. The direct
+        method scales poorly with the size of ``N``, and the bilinear can be
+        used in these cases.
+
+    Returns
+    -------
+        Square matrix of shape ``N x N``, representing the solution to the
+        Lyapunov equation
+
+    """
+    if method not in ["direct", "bilinear"]:
+        raise ValueError(
+            f'Parameter "method" must be one of "direct" or "bilinear", found {method}'
+        )
+
+    if method == "direct":
+        return _direct_solve_discrete_lyapunov(A, Q)
+    if method == "bilinear":
+        return _solve_bilinear_direct_lyapunov(A, Q)
+
+
+def solve_continuous_lyapunov(A: "TensorLike", Q: "TensorLike") -> TensorVariable:
+    """Solve the continuous Lyapunov equation :math:`A X + X A^H + Q = 0`.
+
+    Parameters
+    ----------
+    A
+        Square matrix of shape ``N x N``; must have the same shape as `Q`.
+    Q
+        Square matrix of shape ``N x N``; must have the same shape as `A`.
+
+    Returns
+    -------
+        Square matrix of shape ``N x N``, representing the solution to the
+        Lyapunov equation
+
+    """
+
+    return _solve_continuous_lyapunov(A, Q)
+
+
 __all__ = [
     "cholesky",
     "solve",

tests/tensor/test_slinalg.py

@@ -2,13 +2,12 @@
 import itertools
 
 import numpy as np
-import numpy.linalg
 import pytest
 import scipy
 
 import pytensor
 from pytensor import function, grad
-from pytensor import tensor as at
+from pytensor import tensor as pt
 from pytensor.configdefaults import config
 from pytensor.tensor.slinalg import (
     Cholesky,
@@ -23,6 +22,8 @@
     expm,
     kron,
     solve,
+    solve_continuous_lyapunov,
+    solve_discrete_lyapunov,
     solve_triangular,
 )
 from pytensor.tensor.type import dmatrix, matrix, tensor, vector
@@ -155,7 +156,7 @@ def test_eigvalsh():
     # We need to test None separately, as otherwise DebugMode will
     # complain, as this isn't a valid ndarray.
     b = None
-    B = at.NoneConst
+    B = pt.NoneConst
     f = function([A], eigvalsh(A, B))
     w = f(a)
     refw = scipy.linalg.eigvalsh(a, b)
@@ -215,7 +216,7 @@ def test_infer_shape(self, b_shape):
         rng = np.random.default_rng(utt.fetch_seed())
         A = matrix()
         b_val = np.asarray(rng.random(b_shape), dtype=config.floatX)
-        b = at.as_tensor_variable(b_val).type()
+        b = pt.as_tensor_variable(b_val).type()
         self._compile_and_check(
             [A, b],
             [solve(A, b)],
@@ -292,7 +293,7 @@ def test_infer_shape(self, b_shape):
         rng = np.random.default_rng(utt.fetch_seed())
         A = matrix()
         b_val = np.asarray(rng.random(b_shape), dtype=config.floatX)
-        b = at.as_tensor_variable(b_val).type()
+        b = pt.as_tensor_variable(b_val).type()
         self._compile_and_check(
             [A, b],
             [solve_triangular(A, b)],
@@ -514,7 +515,6 @@ def test_expm_grad_3():
 
 
 class TestKron(utt.InferShapeTester):
-
     rng = np.random.default_rng(43)
 
     def setup_method(self):
@@ -552,3 +552,67 @@ def test_numpy_2d(self):
                 b = self.rng.random(shp1).astype(config.floatX)
                 out = f(a, b)
                 assert np.allclose(out, np.kron(a, b))
+
+
+def test_solve_discrete_lyapunov_via_direct_real():
+    N = 5
+    rng = np.random.default_rng(utt.fetch_seed())
+    a = pt.dmatrix()
+    q = pt.dmatrix()
+    f = function([a, q], [solve_discrete_lyapunov(a, q, method="direct")])
+
+    A = rng.normal(size=(N, N))
+    Q = rng.normal(size=(N, N))
+
+    X = f(A, Q)
+    assert np.allclose(A @ X @ A.T - X + Q, 0.0)
+
+    utt.verify_grad(solve_discrete_lyapunov, pt=[A, Q], rng=rng)
+
+
+def test_solve_discrete_lyapunov_via_direct_complex():
+    N = 5
+    rng = np.random.default_rng(utt.fetch_seed())
+    a = pt.zmatrix()
+    q = pt.zmatrix()
+    f = function([a, q], [solve_discrete_lyapunov(a, q, method="direct")])
+
+    A = rng.normal(size=(N, N)) + rng.normal(size=(N, N)) * 1j
+    Q = rng.normal(size=(N, N))
+    X = f(A, Q)
+    assert np.allclose(A @ X @ A.conj().T - X + Q, 0.0)
+
+    # TODO: the .conj() method currently does not have a gradient; add this test when gradients are implemented.
+    # utt.verify_grad(solve_discrete_lyapunov, pt=[A, Q], rng=rng)
+
+
+def test_solve_discrete_lyapunov_via_bilinear():
+    N = 5
+    rng = np.random.default_rng(utt.fetch_seed())
+    a = pt.dmatrix()
+    q = pt.dmatrix()
+    f = function([a, q], [solve_discrete_lyapunov(a, q, method="bilinear")])
+
+    A = rng.normal(size=(N, N))
+    Q = rng.normal(size=(N, N))
+
+    X = f(A, Q)
+    assert np.allclose(A @ X @ A.conj().T - X + Q, 0.0)
+
+    utt.verify_grad(solve_discrete_lyapunov, pt=[A, Q], rng=rng)
+
+
+def test_solve_continuous_lyapunov():
+    N = 5
+    rng = np.random.default_rng(utt.fetch_seed())
+    a = pt.dmatrix()
+    q = pt.dmatrix()
+    f = function([a, q], [solve_continuous_lyapunov(a, q)])
+
+    A = rng.normal(size=(N, N))
+    Q = rng.normal(size=(N, N))
+    X = f(A, Q)
+
+    assert np.allclose(A @ X + X @ A.conj().T, Q)
+
+    utt.verify_grad(solve_continuous_lyapunov, pt=[A, Q], rng=rng)