Falgorithm.Rd: Flury and Gautschi algorithms

In FGalgorithm: Flury and Gautschi algorithms

Description

Find the orthogonal matrix B_0 such that minimize Φ(B).

Usage

FGalgorithm(eF, eG, p, n , A)

Arguments

eF,eG	small positive constants controlling error terms.
p	dimensionality.
n	a numeric vector containing the positive integers.
A	a list of length k of positive definite symmetric matrices.

Value

Orthogonal matrix B_0 such that minimize Φ with respect to the group of orthogonal matrices B.

Author(s)

Dariush Najarzadeh

References

Flury, B. N., & Gautschi, W. (1986). An algorithm for simultaneous orthogonal transformation of several positive definite symmetric matrices to nearly diagonal form. SIAM Journal on Scientific and Statistical Computing, 7(1), 169-184.

Examples

  
  n<-numeric(3) 
  n[[1]]<-50
  n[[2]]<-50
  n[[3]]<-50
  A<-vector("list",length=3)
  A[[1]]<-var(iris[51:100,1:4])
  A[[2]]<-var(iris[101:150,1:4])
  A[[3]]<-var(iris[1:50,1:4])
  B0<-FGalgorithm(1e-5,1e-5,4,n,A)
  B0

Example output

          [,1]       [,2]        [,3]       [,4]
[1,] 0.7366533 -0.6470732  0.16396782  0.1084104
[2,] 0.2467858  0.4655193  0.83460794 -0.1606802
[3,] 0.6047478  0.5002357 -0.52210632 -0.3338402
[4,] 0.1752676  0.3381603 -0.06284209  0.9224856

FGalgorithm documentation built on May 1, 2019, 10:55 p.m.