SciPy

scipy.sparse.linalg.lsmr

scipy.sparse.linalg.lsmr(A, b, damp=0.0, atol=1e-06, btol=1e-06, conlim=100000000.0, maxiter=None, show=False)[source]

Iterative solver for least-squares problems.

lsmr solves the system of linear equations Ax = b. If the system is inconsistent, it solves the least-squares problem min ||b - Ax||_2. A is a rectangular matrix of dimension m-by-n, where all cases are allowed: m = n, m > n, or m < n. B is a vector of length m. The matrix A may be dense or sparse (usually sparse).

New in version 0.11.0.

Parameters :

A : {matrix, sparse matrix, ndarray, LinearOperator}

Matrix A in the linear system.

b : (m,) ndarray

Vector b in the linear system.

damp : float

Damping factor for regularized least-squares. lsmr solves the regularized least-squares problem:

min ||(b) - (  A   )x||
    ||(0)   (damp*I) ||_2

where damp is a scalar. If damp is None or 0, the system is solved without regularization.

atol, btol : float

Stopping tolerances. lsmr continues iterations until a certain backward error estimate is smaller than some quantity depending on atol and btol. Let r = b - Ax be the residual vector for the current approximate solution x. If Ax = b seems to be consistent, lsmr terminates when norm(r) <= atol * norm(A) * norm(x) + btol * norm(b). Otherwise, lsmr terminates when norm(A^{T} r) <= atol * norm(A) * norm(r). If both tolerances are 1.0e-6 (say), the final norm(r) should be accurate to about 6 digits. (The final x will usually have fewer correct digits, depending on cond(A) and the size of LAMBDA.) If atol or btol is None, a default value of 1.0e-6 will be used. Ideally, they should be estimates of the relative error in the entries of A and B respectively. For example, if the entries of A have 7 correct digits, set atol = 1e-7. This prevents the algorithm from doing unnecessary work beyond the uncertainty of the input data.

conlim : float

lsmr terminates if an estimate of cond(A) exceeds conlim. For compatible systems Ax = b, conlim could be as large as 1.0e+12 (say). For least-squares problems, conlim should be less than 1.0e+8. If conlim is None, the default value is 1e+8. Maximum precision can be obtained by setting atol = btol = conlim = 0, but the number of iterations may then be excessive.

maxiter : int

lsmr terminates if the number of iterations reaches maxiter. The default is maxiter = min(m, n). For ill-conditioned systems, a larger value of maxiter may be needed.

show : bool

Print iterations logs if show=True.

Returns :

x : ndarray of float

Least-square solution returned.

istop : int

istop gives the reason for stopping:

istop   = 0 means x=0 is a solution.
        = 1 means x is an approximate solution to A*x = B,
            according to atol and btol.
        = 2 means x approximately solves the least-squares problem
            according to atol.
        = 3 means COND(A) seems to be greater than CONLIM.
        = 4 is the same as 1 with atol = btol = eps (machine
            precision)
        = 5 is the same as 2 with atol = eps.
        = 6 is the same as 3 with CONLIM = 1/eps.
        = 7 means ITN reached maxiter before the other stopping
            conditions were satisfied.

itn : int

Number of iterations used.

normr : float

norm(b-Ax)

normar : float

norm(A^T (b - Ax))

norma : float

norm(A)

conda : float

Condition number of A.

normx : float

norm(x)

References

[R187]D. C.-L. Fong and M. A. Saunders, “LSMR: An iterative algorithm for sparse least-squares problems”, SIAM J. Sci. Comput., vol. 33, pp. 2950-2971, 2011. http://arxiv.org/abs/1006.0758
[R188]LSMR Software, http://www.stanford.edu/~clfong/lsmr.html