import numpy as np
def power_iteration(
input_matrix: np.ndarray,
vector: np.ndarray,
error_tol: float = 1e-12,
max_iterations: int = 100,
) -> tuple[float, np.ndarray]:
"""
Power Iteration.
Find the largest eigenvalue and corresponding eigenvector
of matrix input_matrix given a random vector in the same space.
Will work so long as vector has component of largest eigenvector.
input_matrix must be either real or Hermitian.
Input
input_matrix: input matrix whose largest eigenvalue we will find.
Numpy array. np.shape(input_matrix) == (N,N).
vector: random initial vector in same space as matrix.
Numpy array. np.shape(vector) == (N,) or (N,1)
Output
largest_eigenvalue: largest eigenvalue of the matrix input_matrix.
Float. Scalar.
largest_eigenvector: eigenvector corresponding to largest_eigenvalue.
Numpy array. np.shape(largest_eigenvector) == (N,) or (N,1).
>>> import numpy as np
>>> input_matrix = np.array([
... [41, 4, 20],
... [ 4, 26, 30],
... [20, 30, 50]
... ])
>>> vector = np.array([41,4,20])
>>> power_iteration(input_matrix,vector)
(79.66086378788381, array([0.44472726, 0.46209842, 0.76725662]))
"""
assert np.shape(input_matrix)[0] == np.shape(input_matrix)[1]
assert np.shape(input_matrix)[0] == np.shape(vector)[0]
assert np.iscomplexobj(input_matrix) == np.iscomplexobj(vector)
is_complex = np.iscomplexobj(input_matrix)
if is_complex:
assert np.array_equal(input_matrix, input_matrix.conj().T)
convergence = False
lambda_previous = 0
iterations = 0
error = 1e12
while not convergence:
w = np.dot(input_matrix, vector)
vector = w / np.linalg.norm(w)
vector_h = vector.conj().T if is_complex else vector.T
lambda_ = np.dot(vector_h, np.dot(input_matrix, vector))
error = np.abs(lambda_ - lambda_previous) / lambda_
iterations += 1
if error <= error_tol or iterations >= max_iterations:
convergence = True
lambda_previous = lambda_
if is_complex:
lambda_ = np.real(lambda_)
return lambda_, vector
def test_power_iteration() -> None:
"""
>>> test_power_iteration() # self running tests
"""
real_input_matrix = np.array([[41, 4, 20], [4, 26, 30], [20, 30, 50]])
real_vector = np.array([41, 4, 20])
complex_input_matrix = real_input_matrix.astype(np.complex128)
imag_matrix = np.triu(1j * complex_input_matrix, 1)
complex_input_matrix += imag_matrix
complex_input_matrix += -1 * imag_matrix.T
complex_vector = np.array([41, 4, 20]).astype(np.complex128)
for problem_type in ["real", "complex"]:
if problem_type == "real":
input_matrix = real_input_matrix
vector = real_vector
elif problem_type == "complex":
input_matrix = complex_input_matrix
vector = complex_vector
eigen_value, eigen_vector = power_iteration(input_matrix, vector)
eigen_values, eigen_vectors = np.linalg.eigh(input_matrix)
eigen_value_max = eigen_values[-1]
eigen_vector_max = eigen_vectors[:, -1]
assert np.abs(eigen_value - eigen_value_max) <= 1e-6
assert np.linalg.norm(np.abs(eigen_vector) - np.abs(eigen_vector_max)) <= 1e-6
if __name__ == "__main__":
import doctest
doctest.testmod()
test_power_iteration()