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2018-11-20   阅读量: 939

数据分析师 统计学 R语言 线性代数

矩阵QR分解学习分享~

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A为m×n矩阵可以进行QR分解,A=QR,其中:Q'Q=I,在R中可以用函数qr()进行

QR分解,例如:

> A=matrix(1:16,4,4)

> qr(A)

$qr

[,1] [,2] [,3] [,4]

[1,] -5.4772256 -12.7801930 -2.008316e+01 -2.738613e+01

[2,] 0.3651484 -3.2659863 -6.531973e+00 -9.797959e+00

[3,] 0.5477226 -0.3781696 2.641083e-15 2.056562e-15

[4,] 0.7302967 -0.9124744 8.583032e-01 -2.111449e-16

$rank

[1] 2

$qraux

[1] 1.182574e+00 1.156135e+00 1.513143e+00 2.111449e-16

$pivot

[1] 1 2 3 4

attr(,"class")

[1] "qr"

rank项返回矩阵的秩,qr项包含了矩阵Q和R的信息,要得到矩阵Q和R,可以用函数

qr.Q()和qr.R()作用qr()的返回结果,例如:

> qr.R(qr(A))

[,1] [,2] [,3] [,4]

[1,] -5.477226 -12.780193 -2.008316e+01 -2.738613e+01

[2,] 0.000000 -3.265986 -6.531973e+00 -9.797959e+00

[3,] 0.000000 0.000000 2.641083e-15 2.056562e-15

[4,] 0.000000 0.000000 0.000000e+00 -2.111449e-16

> qr.Q(qr(A))

[,1] [,2] [,3] [,4]

[1,] -0.1825742 -8.164966e-01 -0.4000874 -0.37407225

[2,] -0.3651484 -4.082483e-01 0.2546329 0.79697056

[3,] -0.5477226 -8.131516e-19 0.6909965 -0.47172438

[4,] -0.7302967 4.082483e-01 -0.5455419 0.04882607

> qr.Q(qr(A))%*%qr.R(qr(A))

[,1] [,2] [,3] [,4]

[1,] 1 5 9 13

[2,] 2 6 10 14

[3,] 3 7 11 15

[4,] 4 8 12 16

> t(qr.Q(qr(A)))%*%qr.Q(qr(A))

[,1] [,2] [,3] [,4]

[1,] 1.000000e+00 -1.457168e-16 -6.760001e-17 -7.659550e-17

[2,] -1.457168e-16 1.000000e+00 -4.269046e-17 7.011739e-17

[3,] -6.760001e-17 -4.269046e-17 1.000000e+00 -1.596437e-16

[4,] -7.659550e-17 7.011739e-17 -1.596437e-16 1.000000e+00

> qr.X(qr(A))

[,1] [,2] [,3] [,4]

[1,] 1 5 9 13

[2,] 2 6 10 14

[3,] 3 7 11 15

[4,] 4 8 12 16

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