Invert 4x4 matrix - Numerical most stable solution needed - language-agnostic

I want to invert a 4x4 matrix. My numbers are stored in fixed-point format (1.15.16 to be exact).
With floating-point arithmetic I usually just build the adjoint matrix and divide by the determinant (e.g. brute force the solution). That worked for me so far, but when dealing with fixed point numbers I get an unacceptable precision loss due to all of the multiplications used.
Note: In fixed point arithmetic I always throw away some of the least significant bits of immediate results.
So - What's the most numerical stable way to invert a matrix? I don't mind much about the performance, but simply going to floating-point would be to slow on my target architecture.

Meta-answer: Is it really a general 4x4 matrix? If your matrix has a special form, then there are direct formulas for inverting that would be fast and keep your operation count down.
For example, if it's a standard homogenous coordinate transform from graphics, like:
[ux vx wx tx]
[uy vy wy ty]
[uz vz wz tz]
[ 0 0 0 1]
(assuming a composition of rotation, scale, translation matrices)
then there's an easily-derivable direct formula, which is
[ux uy uz -dot(u,t)]
[vx vy vz -dot(v,t)]
[wx wy wz -dot(w,t)]
[ 0 0 0 1 ]
(ASCII matrices stolen from the linked page.)
You probably can't beat that for loss of precision in fixed point.
If your matrix comes from some domain where you know it has more structure, then there's likely to be an easy answer.

I think the answer to this depends on the exact form of the matrix. A standard decomposition method (LU, QR, Cholesky etc.) with pivoting (an essential) is fairly good on fixed point, especially for a small 4x4 matrix. See the book 'Numerical Recipes' by Press et al. for a description of these methods.
This paper gives some useful algorithms, but is behind a paywall unfortunately. They recommend a (pivoted) Cholesky decomposition with some additional features too complicated to list here.

I'd like to second the question Jason S raised: are you certain that you need to invert your matrix? This is almost never necessary. Not only that, it is often a bad idea. If you need to solve Ax = b, it is more numerically stable to solve the system directly than to multiply b by A inverse.
Even if you have to solve Ax = b over and over for many values of b, it's still not a good idea to invert A. You can factor A (say LU factorization or Cholesky factorization) and save the factors so you're not redoing that work every time, but you'd still solve the system each time using the factorization.

You might consider doubling to 1.31 before doing your normal algorithm. It'll double the number of multiplications, but you're doing a matrix invert and anything you do is going to be pretty tied to the multiplier in your processor.
For anyone interested in finding the equations for a 4x4 invert, you can use a symbolic math package to resolve them for you. The TI-89 will do it even, although it'll take several minutes.
If you give us an idea of what the matrix invert does for you, and how it fits in with the rest of your processing we might be able to suggest alternatives.
-Adam

Let me ask a different question: do you definitely need to invert the matrix (call it M), or do you need to use the matrix inverse to solve other equations? (e.g. Mx = b for known M, b) Often there are other ways to do this w/o explicitly needing to calculate the inverse. Or if the matrix M is a function of time & it changes slowly then you could calculate the full inverse once, & there are iterative ways to update it.

If the matrix represents an affine transformation (many times this is the case with 4x4 matrices so long as you don't introduce a scaling component) the inverse is simply the transpose of the upper 3x3 rotation part with the last column negated. Obviously if you require a generalized solution then looking into Gaussian elimination is probably the easiest.

Related

Why W_q matrix in torch.nn.MultiheadAttention is quadratic

I am trying to implement nn.MultiheadAttention in my network. According to the docs,
embed_dim  – total dimension of the model.
However, according to the source file,
embed_dim must be divisible by num_heads
and
self.q_proj_weight = Parameter(torch.Tensor(embed_dim, embed_dim))
If I understand properly, this means each head takes only a part of features of each query, as the matrix is quadratic. Is it a bug of realization or is my understanding wrong?
Each head uses a different part of the projected query vector. You can imagine it as if the query gets split into num_heads vectors that are independently used to compute the scaled dot-product attention. So, each head operates on a different linear combination of the features in queries (and keys and values, too). This linear projection is done using the self.q_proj_weight matrix and the projected queries are passed to F.multi_head_attention_forward function.
In F.multi_head_attention_forward, it is implemented by reshaping and transposing the query vector, so that the independent attentions for individual heads can be computed efficiently by matrix multiplication.
The attention head sizes are a design decision of PyTorch. In theory, you could have a different head size, so the projection matrix would have a shape of embedding_dim × num_heads * head_dims. Some implementations of transformers (such as C++-based Marian for machine translation, or Huggingface's Transformers) allow that.

DM Script, why does the fourier transform of gaussian-kenel needs modulus

Recently I learn DM_Script for TEM image processing
I needed Gaussian blur process and I found one whose name is 'Gaussian Blur' in http://www.dmscripting.com/recent_updates.html
This code implements Gaussian blur algorithm by multiplying the fast fourier transform(FFT) of source image by the FFT of Gaussian-kernel image and finally doing inverse fourier transform of it.
Here is the part of the code,
// Carry out the convolution in Fourier space
compleximage fftkernelimg:=realFFT(kernelimg) (-> FFT of Gaussian-kernel image)
compleximage FFTSource:=realfft(warpimg) (-> FFT of source image)
compleximage FFTProduct:=FFTSource*fftkernelimg.modulus().sqrt()
realimage invFFT:=realIFFT(FFTProduct)
The point I want to ask is this
compleximage FFTProduct:=FFTSource*fftkernelimg.modulus().sqrt()
Why does the FFT of Gaussian-kernel need '.modulus().sqrt()' for the convolution?
It is related to the fact that the fourier transform of a Gaussian function becomes another Gaussian function?
Or It is related to a sort of limitation of discrete fourier transform?
Please answer me
Thanks
This is related to the general precision limitation of any floating point numeric computing. (see f.e. here, or more in depth here)
A rotational (real-valued) Gaussian of stand.dev. sigma should be transformed into a 100% real-values rotational Gaussioan of 1/sigma. However, doing this numerically will show you deviations: Just try the following:
number sigma = 30
number A0 = 1
realimage first := RealImage( "First", 8, 256, 256 )
first = A0 * exp( - (iradius**2/(2*sigma*sigma) ))
first.showimage()
complexImage second := FFT(first)
second.Showimage()
image nonZeroImaginaryMask = ( 0 != second.Imaginary() )
nonZeroImaginaryMask.Showimage()
nonZeroImaginaryMask.SetLimits(0,1)
When you then multiply these complex images (before back-transferring) you are introducing even more errors. By using modulus, one ensures that the forward transformed kernel is purely real and hence a better "damping" curve.
A better implementation of a FFT filtering code would actually create the FFT(Gaussian) directly with a std.dev of 1/sigma, as this is the analytically correct result. Doing a FFT of the kernel only makes sense if the kernel (or its FFT) is not analytically known.
In general: When implementing any "maths" into a program code, it can pay hugely to think it through with numerical computation limits in the back of your head. Reduce actual computation whenever possible (i.e. compute analytically and use the result instead of relying on brute force numerical computation) and try to "reshape" equations when possible, f.e. avoid large sums over many small numbers, be careful about checks against exact numeric values, try to avoid expressions which are very sensitive on small numerica errors etc.

Numerical integration of a discontinuous function in multiple dimensions

I have a function f(x) = 1/(x + a+ b*I*sign(x)) and I want to calculate the
integral of
dx dy dz f(x) f(y) f(z) f(x+y+z) f(x-y - z)
over the entire R^3 (b>0 and a,- b are of order unity). This is just a representative example -- in practice I have n<7 variables and 2n-1 instances of f(), n of them involving the n integration variables and n-1 of them involving some linear combintation of the integration variables. At this stage I'm only interested in a rough estimate with relative error of 1e-3 or so.
I have tried the following libraries :
Steven Johnson's cubature code: the hcubature algorithm works but is abysmally slow, taking hundreds of millions of integrand evaluations for even n=2.
HintLib: I tried adaptive integration with a Genz-Malik rule, the cubature routines, VEGAS and MISER with the Mersenne twister RNG. For n=3 only the first seems to be somewhat viable option but it again takes hundreds of millions of integrand evaluations for n=3 and relerr = 1e-2, which is not encouraging.
For the region of integration I have tried both approaches: Integrating over [-200, 200]^n (i.e. a region so large that it essentially captures most of the integral) and the substitution x = sinh(t) which seems to be a standard trick.
I do not have much experience with numerical analysis but presumably the difficulty lies in the discontinuities from the sign() term. For n=2 and f(x)f(y)f(x-y) there are discontinuities along x=0, y=0, x=y. These create a very sharp peak around the origin (with a different sign in the various quadrants) and sort of 'ridges' at x=0,y=0,x=y along which the integrand is large in absolute value and changes sign as you cross them. So at least I know which regions are important. I was thinking that maybe I could do Monte Carlo but somehow "tell" the algorithm in advance where to focus. But I'm not quite sure how to do that.
I would be very grateful if you had any advice on how to evaluate the integral with a reasonable amount of computing power or how to make my Monte Carlo "idea" work. I've been stuck on this for a while so any input would be welcome. Thanks in advance.
One thing you can do is to use a guiding function for your Monte Carlo integration: given an integral (am writing it in 1D for simplicity) of ∫ f(x) dx, write it as ∫ f(x)/g(x) g(x) dx, and use g(x) as a distribution from which you sample x.
Since g(x) is arbitrary, construct it such that (1) it has peaks where you expect them to be in f(x), and (2) such that you can sample x from g(x) (e.g., a gaussian, or 1/(1+x^2)).
Alternatively, you can use a Metropolis-type Markov chain MC. It will find the relevant regions of the integrand (almost) by itself.
Here are a couple of trivial examples.

How to represent stereo audio data for FFT

How should stereo (2 channel) audio data be represented for FFT? Do you
A. Take the average of the two channels and assign it to the real component of a number and leave the imaginary component 0.
B. Assign one channel to the real component and the other channel to the imag component.
Is there a reason to do one or the other? I searched the web but could not find any definite answers on this.
I'm doing some simple spectrum analysis and, not knowing any better, used option A). This gave me an unexpected result, whereas option B) went as expected. Here are some more details:
I have a WAV file of a piano "middle-C". By definition, middle-C is 260Hz, so I would expect the peak frequency to be at 260Hz and smaller peaks at harmonics. I confirmed this by viewing the spectrum via an audio editing software (Sound Forge). But when I took the FFT myself, with option A), the peak was at 520Hz. With option B), the peak was at 260Hz.
Am I missing something? The explanation that I came up with so far is that representing stereo data using a real and imag component implies that the two channels are independent, which, I suppose they're not, and hence the mess-up.
I don't think you're taking the average correctly. :-)
C. Process each channel separately, assigning the amplitude to the real component and leaving the imaginary component as 0.
Option B does not make sense. Option A, which amounts to convert the signal to mono, is OK (if you are interested in a global spectrum).
Your problem (double freq) is surely related to some misunderstanding in the use of your FFT routines.
Once you take the FFT you need to get the Magnitude of the complex frequency spectrum. To get the magnitude you take the absolute of the complex spectrum |X(w)|. If you want to look at the power spectrum you square the magnitude spectrum, |X(w)|^2.
In terms of your frequency shift I think it has to do with you setting the imaginary parts to zero.
If you imagine the complex Frequency spectrum as a series of complex vectors or position vectors in a cartesian space. If you took one discrete frequency bin X(w), there would be one real component representing its direction in the real axis (x -direction), and one imaginary component in the in the imaginary axis (y - direction). There are four important values about this discrete frequency, 1. real value, 2. imaginary value, 3. Magnitude and, 4. phase. If you just take the real value and set imaginary to 0, you are setting Magnitude = real and phase = 0deg or 90deg. You have hence forth modified the resulting spectrum, and applied a bias to every frequency bin. Take a look at the wiki on Magnitude of a vector, also called the Euclidean norm of a vector to brush up on your understanding. Leonbloy was correct, but I hope this was more informative.
Think of the FFT as a way to get information from a single signal. What you are asking is what is the best way to display data from two signals. My answer would be to treat each independently, and display an FFT for each.
If you want a really fast streaming FFT you can read about an algorithm I wrote here: www.depthcharged.us/?p=176

Can coordinates of constructable points be represented exactly?

I'd like to write a program that lets users draw points, lines, and circles as though with a straightedge and compass. Then I want to be able to answer the question, "are these three points collinear?" To answer correctly, I need to avoid rounding error when calculating the points.
Is this possible? How can I represent the points in memory?
(I looked into some unusual numeric libraries, but I didn't find anything that claimed to offer both exact arithmetic and exact comparisons that are guaranteed to terminate.)
Yes.
I highly recommend Introduction to constructions, which is a good basic guide.
Basically you need to be able to compute with constructible numbers - numbers that are either rational, or of the form a + b sqrt(c) where a,b,c were previously created (see page 6 on that PDF). This could be done with algebraic data type (e.g. data C = Rational Integer Integer | Root C C C in Haskell, where Root a b c = a + b sqrt(c)). However, I don't know how to perform tests with that representation.
Two possible approaches are:
Constructible numbers are a subset of algebraic numbers, so you can use algebraic numbers.
All algebraic numbers can be represented using polynomials of whose they are roots. The operations are computable, so if you represent a number a with polynomial p and b with polynomial q (p(a) = q(b) = 0), then it is possible to find a polynomial r such that r(a+b) = 0. This is done in some CASes like Mathematica, example. See also: Computional algebraic number theory - chapter 4
Use Tarski's test and represent numbers. It is slow (doubly exponential or so), but works :) Example: to represent sqrt(2), use the formula x^2 - 2 && x > 0. You can write equations for lines there, check if points are colinear etc. See A suite of logic programs, including Tarski's test
If you turn to computable numbers, then equality, colinearity etc. get undecidable.
I think the only way this would be possible is if you used a symbolic representation,
as opposed to trying to represent coordinate values directly -- so you would have
to avoid trying to coerce values like sqrt(2) into some numerical format. You will
be dealing with irrational numbers that are not finitely representable in binary,
decimal, or any other positional notation.
To expand on Jim Lewis's answer slightly, if you want to operate on points that are constructible from the integers with exact arithmetic, you will need to be able to operate on representations of the form:
a + b sqrt(c)
where a, b, and c are either rational numbers, or representations in the form given above. Wikipedia has a pretty decent article on the subject of what points are constructible.
Answering the question of exact equality (as necessary to establish colinearity) with such representations is a rather tricky problem.
If you try to compare co-ordinates for your points, then you have a problem. Leaving aside co-linearity for a moment, how about just working out whether two points are the same or not?
Supposing that one has given co-ordinates, and the other is a compass-straightedge construction starting from certain other co-ordinates, you want to determine with certainty whether they're the same point or not. Either way is a theorem of Euclidean geometry, it's not something you can just measure. You can prove they aren't the same by spotting some difference in their co-ordinates (for example by computing decimal places of each until you encounter a difference). But in general to prove they are the same cannot be done by approximate methods. Compute as many decimal places as you like of some expansions of 1/sqrt(2) and sqrt(2)/2, and you can prove they're very close together but you won't ever prove they're equal. That takes algebra (or geometry).
Similarly, to show that three points are co-linear you will need theorem-proving software. Represent the points A, B, C by their constructions, and attempt to prove the theorem "A, B and C are colinear". This is very hard - your program will prove some theorems but not others. Much easier is to ask the user for a proof that they are co-linear, and then verify (or refute) that proof, but that's probably not what you want.
In general, constructable points may have an arbitrarily complex symbolic form, so you must use a symbolic representation to work them exactly. As Stephen Canon noted above, you often need numbers of the form a+b*sqrt(c), where a and b are rational and c is an integer. All numbers of this form form a closed set under arithmetic operations. I have written some C++ classes (see rational_radical1.h) to work with these numbers if that is all you need.
It is also possible to construct numbers which are sums of any number of terms of rational multiples of radicals. When dealing with more than a single radicand, the numbers are no longer closed under multiplication and division, so you will need to store them as variable length rational coefficient arrays. The time complexity of operations will then be quadratic in the number of terms.
To go even further, you can construct the square root of any given number, so you could potentially have nested square roots. Here, the representations must be tree-like structures to deal with root hierarchy. While difficult to implement, there is nothing in principle preventing you from working with these representations. I'm not sure just what additional numbers can be constructed, but beyond a certain point, your symbolic representation will be expressive enough to handle very large classes of numbers.
Addendum
Found this Google Books link.
If the grid axes are integer valued then the answer is fairly straight forward, the points are either exactly colinear or they are not.
Typically however, one works with real numbers (well, floating points) and then draws the rounded values on the screen which does exist in integer space. In this case you have no choice but to pick a tolerance and use it to determine colinearity. Keep it small and the users will never know the difference.
You seem to be asking, in effect, "Can the normal mathematics (integer or floating point) used by computers be made to represent real numbers perfectly, with no rounding errors?" And, of course, the answer to that is "No." If you want theoretical correctness, then you will be stuck with the much harder problem of symbolic manipulation and coding up the equivalent of the inferences that are done in geometry. (In short, I'm agreeing with Steve Jessop, above.)
Some thoughts in the hope that they might help.
The sort of constructions you're talking about will require multiplication and division, which means that to preserve exactness you'll have to use rational numbers, which are generally easy to implement on top of a suitable sort of big integer (i.e., of unbounded magnitude). (Common Lisp has these built-in, and there have to be other languages.)
Now, you need to represent square roots of arbitrary numbers, and these have to be mixed in.
Therefore, a number is one of: a rational number, a rational number multiplied by a square root of a rational number (or, alternately, just the square root of a rational), or a sum of numbers. In order to prove anything, you're going to have to get these numbers into some sort of canonical form, which for all I can figure offhand may be annoying and computationally expensive.
This of course means that the users will be restricted to rational points and cannot use arbitrary rotations, but that's probably not important.
I would recommend no to try to make it perfectly exact.
The first reason for this is what you are asking here, the rounding error and all that stuff that comes with floating point calculations.
The second one is that you have to round your input as the mouse and screen work with integers. So, initially all user input would be integers, and your output would be integers.
Beside, from a usability point of view, its easier to click in the neighborhood of another point (in a line for example) and that the interface consider you are clicking in the point itself.