Examples of org.jquantlib.math.matrixutilities.QRDecomposition

org.jquantlib.math.matrixutilities.QRDecomposition

fpl.fs.fed.us/optimization.html">MINPACK/J

This subroutine uses householder transformations with optional column pivoting to compute a QR factorization of the {@latex$ m} by {@latex$ n} matrix {@latex$ A}.

That is, Minpack_f77#qrfac determines an orthogonal matrix {@latex$ Q}, a permutation matrix {@latex$ P}, and an upper trapezoidal matrix {@latex$ R} with diagonal elements of nonincreasing magnitude, such that {@latex$ A*P = Q*R}.

Return value ipvt is an integer array of length {@latex$ n}, which defines the permutation matrix {@latex$ P}such that {@latex$ A*P = Q*R}.

Column {@latex$ j} of {@latex$ P} is column ipvt[j] of the identity matrix.

See lmdiff.cpp for further details. @see MathWorld @see Wikipedia @see MINPACK/J @see MINPACK @author Richard Gomes


        final Matrix testMatrices[] = { M1, M2, I, M3, M3.transpose(), M4, M4.transpose(), M5 };


        for (final Matrix A : testMatrices) {


            QRDecomposition qr;
            Matrix Q;
            Matrix R;
            final Matrix P;
            final Matrix mT;
            Matrix mul1;
            final Matrix mul2;
            double norm;


            // System.out.println("///////////////////////////////////////////////");


            // System.out.println("Matrix A = "+A.toString());


            // System.out.println("// QR decomposition with column pivoting");
            qr = new Matrix(A).qr(true);
            R = qr.R();
            Q = qr.Q();
            P = qr.P();


            // norm(Q*R - A*P)
            mul1 = Q.mul(R);
            mul2 = A.mul(P);
            norm = norm( mul1.sub(mul2) );
            if (norm > tolerance) {
                fail("Q*R (pivot=true) does not match matrix A*P :: norm = "+String.valueOf(norm));
            }






            // System.out.println("// QR decomposition without column pivoting");
            qr = new Matrix(A).qr();
            // norm(Q*R - A)
            R = qr.R();
            Q = qr.Q();


            mul1 = Q.mul(R);
            norm = norm(mul1.sub(A));
            if (norm > tolerance) {
                fail("Q*R (pivot=false) does not match matrix A :: norm = "+String.valueOf(norm));

Examples of org.jquantlib.math.matrixutilities.QRDecomposition

Related Classes of org.jquantlib.math.matrixutilities.QRDecomposition