Source code for cvxpy.atoms.sigma_max

"""
Copyright 2013 Steven Diamond

Licensed under the Apache License, Version 2.0 (the "License");
you may not use this file except in compliance with the License.
You may obtain a copy of the License at

    http://www.apache.org/licenses/LICENSE-2.0

Unless required by applicable law or agreed to in writing, software
distributed under the License is distributed on an "AS IS" BASIS,
WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
See the License for the specific language governing permissions and
limitations under the License.
"""

from cvxpy.atoms.atom import Atom
import scipy.sparse as sp
from numpy import linalg as LA
import numpy as np


[docs]class sigma_max(Atom): """ Maximum singular value. """ _allow_complex = True def __init__(self, A): super(sigma_max, self).__init__(A) @Atom.numpy_numeric def numeric(self, values): """Returns the largest singular value of A. """ return LA.norm(values[0], 2) def _grad(self, values): """Gives the (sub/super)gradient of the atom w.r.t. each argument. Matrix expressions are vectorized, so the gradient is a matrix. Args: values: A list of numeric values for the arguments. Returns: A list of SciPy CSC sparse matrices or None. """ # Grad: U diag(e_1) V.T U, s, V = LA.svd(values[0]) ds = np.zeros(len(s)) ds[0] = 1 D = U.dot(np.diag(ds)).dot(V) return [sp.csc_matrix(D.ravel(order='F')).T] def shape_from_args(self): """Returns the (row, col) shape of the expression. """ return tuple() def sign_from_args(self): """Returns sign (is positive, is negative) of the expression. """ # Always positive. return (True, False) def is_atom_convex(self): """Is the atom convex? """ return True def is_atom_concave(self): """Is the atom concave? """ return False def is_incr(self, idx): """Is the composition non-decreasing in argument idx? """ return False def is_decr(self, idx): """Is the composition non-increasing in argument idx? """ return False