function x = kronm(Q,x) % Fast Kronecker matrix multiplication, for both full and sparse matrices % of any size. Never computes the actual Kronecker matrix and omits % multiplication by identity matrices. % y = kronm(Q,x) computes % y = (Q{k} kron ... Q{2} kron Q{1})*x % If Q contains only two matrices and x is a vector, the code uses the % identity % ( Q{2} kron Q{1} )*vec(X) = vec(Q{1}*X*Q{2}'), % where vec(X)=x. If Q contains more than two matrices and/or if x has more % than one column, the algorithm uses a generalized form of this identity. % The idea of the algorithm is to see x as a multi-dimensional array and to % apply the linear maps Q{i} separately for each dimension i. If Q contains % just one matrix, the function returns the regular matrix product Q{1}*x. % % Inputs: % Q: 1-by-k cell array containing k matrices of arbitrary size % (can be sparse). Denote by R(i) the number of rows of Q{i}, and % by C(i) the number of columns. Alternatively, Q{i} may also be % a scalar qi. This is interpreted as the qi-by-qi identity % matrix. Hand over identity matrices in this fashion for optimal % performance. % x: Matrix of size CC-by-m, where CC=C(1)*...*C(k). % % Output: Matrix of size RR-by-m, where RR=R(1)*...*R(k). % % % Example: % R = [60, 30, 20]; % Number of rows for matrices Q{1},Q{2},Q{3}. % C = [55, 25, 15]; % Number of columns of matrices Q{i}. % m = 5; % Number of columns of x. % Q = cell(1,length(R)); % Create cell with sparse random matrices % for i=1:length(R) % of density 0.05. % Q{i} = sprand(R(i),C(i),0.05); % end % x = rand(prod(C),m); % Random matrix x with C(1)*C(2)*C(3) rows. % y = kron(Q{3},kron(Q{2},Q{1}))*x; % % Matlab's Kronecker multiplication... % yy= kronm(Q,x); % and kronm... % norm(y-yy) % ... give the same result up to % % computational error. % % % Version: 6-Oct-2015 % Author: Matthias Kredler (Universidad Carlos III de Madrid) % mkredler@eco.uc3m.es % Acknowledgement: % This code follows the same idea as 'kronmult' by Paul G. Constantine & % David F. Gleich (Stanford, 2009). However, I avoid loops and allow for % non-square inputs Q{i}. I have also included the special treatment for % identity matrices. m = size(x,2); % Obtain number of columns in input. k = length(Q); % Number of matrices in Q. R = zeros(1,k); % Vector for number of rows of, C = zeros(1,k); % Q-matrices and for number of columns. comp = true(1,k); % Check if we have to multiply by Q{i}. for i=1:k if isscalar(Q{i}) % If input Q{i} is a scalar, don't comp(i) = false; % have to multiply in this dimension. R(i) = Q{i}; % Read in number of rows and columns. C(i) = Q{i}; else % Otherwise, read out size of the [R(i),C(i)] = size(Q{i}); % matrix. end end xsiz = [C,m]; % Will constantly change dimension of x. % xsiz is the current size, when x is % reshaped to array of dim. % C(1),C(2),...,C(k),m. if comp(1) % Start with first Kronecker product, x = Q{1}*reshape(x,[C(1),prod(xsiz)/C(1)]); % leave out if Q{i} is identity. xsiz(1) = R(1); % Replace size of dimension 1. end % (Don't do this in loop below --> save % time on reshapes and permutes) if k>1 && m==1 % If Q has just one element, we're done. if comp(k) % If x was a column vector, do the last x = reshape(x,[prod(xsiz)/C(k),C(k)]) *Q{k}' ; xsiz(k) = R(k); % Kronecker product by matrix end % post-multiplication to save time on % reshapes and permutes. loopTo = k-1; % Will only have to loop up to % dimension k-1 below. else % If x is a matrix, have to loop over loopTo = k; % all dimensions. end if k>2 || m>1 % Now loop over remaining dimensions, x = reshape(x,xsiz); % inf any. Reshape x into an array of for i=2:loopTo % dimension R(1),C(2),...,C(k)or R(k),m. if comp(i) % If Q{i} is not identity: Create dims = 1:k+1; % vector to re-shuffle dimensions. dims(i) = []; % Put dimension i first (by permute), dims = [i, dims]; %#ok % e.g. order [2,1,3,4,5] % for i=2 and k=4. Turn off Matlab's % warning for size change. Xmat = reshape( permute(x,dims), [C(i), prod(xsiz)/C(i)] ); % Then bring array into matrix with Xmat = Q{i}*Xmat; % N(i) rows, ex: N(2)-by-N(1)*N(3)*... % *N(4)*m and multiply by Q{i}. xsiz(i) = R(i); % Changed dimensionality of x. x = ipermute( reshape(Xmat,[R(i), xsiz(dims(2:k+1))]), dims ); end % Reshape back to array, ex: to dim. end % N(2),N(1),N(3),N(4),m, and inverse- % permute to go back to orginal array, end % ex: dim. N(1),N(2),N(3),N(4),m. x = reshape(x,[prod(R),m]); % Then give back result as matrix.