householder: Householder Reflections In pracma: Practical Numerical Math Functions

Description

Householder reflections and QR decomposition

Usage

 1 householder(A)

Arguments

 A numeric matrix with nrow(A)>=ncol(A).

Details

The Householder method applies a succession of elementary unitary matrices to the left of matrix A. These matrices are the so-called Householder reflections.

Value

List with two matrices Q and R, Q orthonormal and R upper triangular, such that A=Q%*%R.

References

Trefethen, L. N., and D. Bau III. (1997). Numerical Linear Algebra. SIAM, Society for Industrial and Applied Mathematics, Philadelphia.

Examples

 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 ## QR decomposition A <- matrix(c(0,-4,2, 6,-3,-2, 8,1,-1), 3, 3, byrow=TRUE) S <- householder(A) (Q <- S\$Q); (R <- S\$R) Q %*% R # = A ## Solve an overdetermined linear system of equations A <- matrix(c(1:8,7,4,2,3,4,2,2), ncol=3, byrow=TRUE) S <- householder(A); Q <- S\$Q; R <- S\$R m <- nrow(A); n <- ncol(A) b <- rep(6, 5) x <- numeric(n) b <- t(Q) %*% b x[n] <- b[n] / R[n, n] for (k in (n-1):1) x[k] <- (b[k] - R[k, (k+1):n] %*% x[(k+1):n]) / R[k, k] qr.solve(A, rep(6, 5)); x

Example output

[,1]  [,2]  [,3]
[1,]  0.0  0.80  0.60
[2,] -0.6  0.48 -0.64
[3,] -0.8 -0.36  0.48
[,1]          [,2] [,3]
[1,]  -10  1.000000e+00    2
[2,]    0 -5.000000e+00    1
[3,]    0  5.551115e-16    2
[,1] [,2] [,3]
[1,]    0   -4    2
[2,]    6   -3   -2
[3,]    8    1   -1
  1.074236 -2.331878  2.436681
  1.074236 -2.331878  2.436681

pracma documentation built on Dec. 11, 2021, 9:57 a.m.