[Numpy-discussion] Proposal for matrix_rank function in numpy
Matthew Brett
matthew.brett@gmail....
Tue Dec 15 11:01:53 CST 2009
Hi,
Following on from the occasional discussion on the list, can I propose
a small matrix_rank function for inclusion in numpy/linalg?
I suggest it because it seems rather a basic need for linear algebra,
and it's very small and simple...
I've appended an implementation with some doctests in the hope that it
will be acceptable,
Robert - I hope you don't mind me quoting you in the notes.
Thanks a lot,
Matthew
def matrix_rank(M, tol=None):
''' Return rank of matrix using SVD method
Rank of the array is the number of SVD singular values of the
array that are greater than `tol`.
Parameters
----------
M : array-like
array of <=2 dimensions
tol : {None, float}
threshold below which SVD values are considered zero. If `tol`
is None, and `S` is an array with singular values for `M`, and
`eps` is the epsilon value for datatype of `S`, then `tol` set
to ``S.max() * eps``.
Examples
--------
>>> matrix_rank(np.eye(4)) # Full rank matrix
4
>>> matrix_rank(np.c_[np.eye(4),np.eye(4)]) # Rank deficient matrix
4
>>> matrix_rank(np.zeros((4,4))) # All zeros - zero rank
0
>>> matrix_rank(np.ones((4,))) # 1 dimension - rank 1 unless all 0
1
>>> matrix_rank(np.zeros((4,)))
0
>>> matrix_rank([1]) # accepts array-like
1
Notes
-----
Golub and van Loan define "numerical rank deficiency" as using
tol=eps*S[0] (note that S[0] is the maximum singular value and thus
the 2-norm of the matrix). There really is not one definition, much
like there isn't a single definition of the norm of a matrix. For
example, if your data come from uncertain measurements with
uncertainties greater than floating point epsilon, choosing a
tolerance of about the uncertainty is probably a better idea (the
tolerance may be absolute if the uncertainties are absolute rather
than relative, even). When floating point roundoff is your concern,
then "numerical rank deficiency" is a better concept, but exactly
what the relevant measure of the tolerance is depends on the
operations you intend to do with your matrix. [RK, numpy mailing
list]
References
----------
Matrix Computations by Golub and van Loan
'''
M = np.asarray(M)
if M.ndim > 2:
raise TypeError('array should have 2 or fewer dimensions')
if M.ndim < 2:
return int(not np.all(M==0))
S = npl.svd(M, compute_uv=False)
if tol is None:
tol = S.max() * np.finfo(S.dtype).eps
return np.sum(S > tol)
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