evalpoly for matrix polynomials

src/LinearAlgebra.jl

@@ -571,6 +571,8 @@ include("schur.jl")
 include("structuredbroadcast.jl")
 include("deprecated.jl")
 
+include("evalpoly.jl")
+
 const ⋅ = dot
 const × = cross
 export ⋅, ×

src/evalpoly.jl

@@ -0,0 +1,85 @@
+# matrix methods for evalpoly(X, p) = ∑ₖ Xᵏ⁻¹ p[k]
+
+# non-inplace fallback for evalpoly(X, p)
+function _evalpoly(X::AbstractMatrix, p)
+    Base.require_one_based_indexing(p)
+    p0 = isempty(p) ? Base.reduce_empty_iter(+, p) : p[end]
+    Xone = one(X)
+    S = convert(Base.promote_op(*, typeof(Xone), typeof(Xone)), Xone) * p0
+    for i = length(p)-1:-1:1
+        S = X * S + @inbounds(p[i] isa AbstractMatrix ? p[i] : p[i] * I)
+    end
+    return S
+end
+
+_scalarval(x::Number) = x
+_scalarval(x::UniformScaling) = x.λ
+
+"""
+    evalpoly!(Y::AbstractMatrix, X::AbstractMatrix, p)
+
+Evaluate the matrix polynomial ``Y = \\sum_k X^{k-1} p[k]``, storing the result
+in-place in `Y`, for the coefficients `p[k]` (a vector or tuple).  The coefficients
+can be scalars, matrices, or [`UniformScaling`](@ref).
+
+Similar to `evalpoly`, but may be more efficient by working more in-place.  (Some
+allocations may still be required, however.)
+"""
+function evalpoly!(Y::AbstractMatrix, X::AbstractMatrix, p::Union{AbstractVector,Tuple})
+    @boundscheck axes(Y,1) == axes(Y,2) == axes(X,1) == axes(X,2)
+    Base.require_one_based_indexing(p)
+
+    N = length(p)
+    pN = iszero(N) ? Base.reduce_empty_iter(+, p) : p[N]
+    if pN isa AbstractMatrix
+        Y .= pN
+    elseif N > 1 && p[N-1] isa Union{Number,UniformScaling}
+        # initialize Y to p[N-1] I + X p[N], in-place
+        Y .= X .* _scalarval(pN)
+        for i in axes(Y,1)
+            @inbounds Y[i,i] += p[N-1] * I
+        end
+        N -= 1
+    else
+        # initialize Y to one(Y) * pN in-place
+        for i in axes(Y,1)
+            for j in axes(Y,2)
+                @inbounds Y[i,j] = zero(Y[i,j])
+            end
+            @inbounds Y[i,i] += one(Y[i,i]) * pN
+        end
+    end
+    if N > 1
+        Z = similar(Y) # workspace for mul!
+        for i = N-1:-1:1
+            mul!(Z, X, Y)
+            if p[i] isa AbstractMatrix
+                Y .= p[i] .+ Z
+            else
+                # Y = p[i] * I + Z, in-place
+                Y .= Z
+                for j in axes(Y,1)
+                    @inbounds Y[j,j] += p[i] * I
+                end
+            end
+        end
+    end
+    return Y
+end
+
+# fallback cases: call out-of-place _evalpoly
+Base.evalpoly(X::AbstractMatrix, p::Tuple) = _evalpoly(X, p)
+Base.evalpoly(X::AbstractMatrix, ::Tuple{}) = zero(one(X)) # dimensionless zero, i.e. 0 * X^0
+Base.evalpoly(X::AbstractMatrix, p::AbstractVector) = _evalpoly(X, p)
+
+# optimized in-place cases, limited to types like homogeneous tuples with length > 1
+# where we can reliably deduce the output type (= type of X * p[2]),
+# and restricted to StridedMatrix (for now) so that we can be more confident that this is a performance win:
+Base.evalpoly(X::StridedMatrix{<:Number}, p::Tuple{T, T, Vararg{T}}) where {T<:Union{Number, UniformScaling}} =
+    evalpoly!(similar(X, Base.promote_op(*, eltype(X), typeof(_scalarval(p[2])))), X, p)
+Base.evalpoly(X::StridedMatrix{<:Number}, p::Tuple{AbstractMatrix{T}, AbstractMatrix{T}, Vararg{AbstractMatrix{T}}}) where {T<:Number} =
+    evalpoly!(similar(X, Base.promote_op(*, eltype(X), T)), X, p)
+Base.evalpoly(X::StridedMatrix{<:Number}, p::AbstractVector{<:Union{Number, UniformScaling}}) =
+    length(p) < 2 ? _evalpoly(X, p) : evalpoly!(similar(X, Base.promote_op(*, eltype(X), typeof(_scalarval(p[begin+1])))), X, p)
+Base.evalpoly(X::StridedMatrix{<:Number}, p::AbstractVector{<:AbstractMatrix{<:Number}}) =
+    length(p) < 2 ? _evalpoly(X, p) : evalpoly!(similar(X, Base.promote_op(*, eltype(X), eltype(p[begin+1]))), X, p)

test/generic.jl

@@ -899,6 +899,39 @@ end
     end
 end
 
+
+using LinearAlgebra: _evalpoly # fallback routine, which we'll test explicitly
+
+# naive sum, a little complicated since X^0 fails if eltype(X) is abstract:
+naive_evalpoly(X, p) = length(p) == 1 ? one(X) * p[1] : one(X) * p[1] + sum(X^(i-1) * p[i] for i=2:length(p))
+
+@testset "evalpoly" begin
+    for X in ([1 2 3;4 5 6;7 8 9], UpperTriangular([1 2 3;0 5 6;0 0 9]),
+              SymTridiagonal([1,2,3],[4,5]), Real[1 2 3;4 5 6;7 8 9])
+        @test @inferred(evalpoly(X, ())) == zero(X) == evalpoly(X, Int[])
+        @test @inferred(evalpoly(X, (17,))) == one(X) * 17
+        @test _evalpoly(X, [1,2,3,4]) == evalpoly(X, [1,2,3,4]) == @inferred(evalpoly(X, (1,2,3,4))) ==
+              naive_evalpoly(X, [1,2,3,4]) == 1*one(X) + 2*X + 3X^2 + 4X^3
+        @test typeof(evalpoly(X, [1,2,3])) == typeof(evalpoly(X, (1,2,3))) == typeof(_evalpoly(X, [1,2,3])) ==
+              typeof(X * X)
+
+        # _evalpoly is not type-stable if eltype(X) is abstract
+        # because one(Real[...]) returns a Matrix{Int}
+        if isconcretetype(eltype(X))
+            @inferred evalpoly(X, [1,2,3,4])
+            @inferred _evalpoly(X, [1,2,3,4])
+        end
+
+        for N in (1,2,4), p in (Real[1,2], rand(-10:10, N), UniformScaling.(rand(-10:10, N)), [rand(-5:5,3,3) for _ = 1:N])
+            @test _evalpoly(X, p) == evalpoly(X, p) == evalpoly(X, Tuple(p)) == naive_evalpoly(X, p)
+        end
+        for N in (1,2,4), p in ((5, 6.7), rand(N), UniformScaling.(rand(N)), [rand(3,3) for _ = 1:N])
+            @test _evalpoly(X, p) ≈ evalpoly(X, p) ≈ evalpoly(X, Tuple(p)) ≈ naive_evalpoly(X, p)
+        end
+
+        @test_throws MethodError evalpoly(X, [])
+    end
+
 @testset "scaling mul" begin
     v = 1:4
     w = similar(v)