sst.py 文件源码

def __compute_lanczos(self, H, G):
        """Compute change-point score using the Lanczos method.

        """
        # assuming m = w
        self.q, _, _ = power1(G, self.q, n_iter=1)

        k = 2 * self.r if self.r % 2 == 0 else 2 * self.r - 1
        T = lanczos(np.dot(H, H.T), self.q, k)

        # find eigenvectors and eigenvalues of T
        # eigvals, eigvecs = ln.eig(T)
        eigvals, eigvecs = tridiag_eig(T, n_iter=1)

        # `eig()` returns unordered eigenvalues,
        # so the top-r eigenvectors should be picked carefully
        return 1 - np.sqrt(np.sum(eigvecs[0, np.argsort(eigvals)[::-1][:self.r]] ** 2))