001 /*
002 * Licensed to the Apache Software Foundation (ASF) under one or more
003 * contributor license agreements. See the NOTICE file distributed with
004 * this work for additional information regarding copyright ownership.
005 * The ASF licenses this file to You under the Apache License, Version 2.0
006 * (the "License"); you may not use this file except in compliance with
007 * the License. You may obtain a copy of the License at
008 *
009 * http://www.apache.org/licenses/LICENSE-2.0
010 *
011 * Unless required by applicable law or agreed to in writing, software
012 * distributed under the License is distributed on an "AS IS" BASIS,
013 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
014 * See the License for the specific language governing permissions and
015 * limitations under the License.
016 */
017
018 package org.apache.commons.math3.linear;
019
020 import java.util.Arrays;
021
022 import org.apache.commons.math3.exception.DimensionMismatchException;
023 import org.apache.commons.math3.util.FastMath;
024
025
026 /**
027 * Calculates the QR-decomposition of a matrix.
028 * <p>The QR-decomposition of a matrix A consists of two matrices Q and R
029 * that satisfy: A = QR, Q is orthogonal (Q<sup>T</sup>Q = I), and R is
030 * upper triangular. If A is m×n, Q is m×m and R m×n.</p>
031 * <p>This class compute the decomposition using Householder reflectors.</p>
032 * <p>For efficiency purposes, the decomposition in packed form is transposed.
033 * This allows inner loop to iterate inside rows, which is much more cache-efficient
034 * in Java.</p>
035 * <p>This class is based on the class with similar name from the
036 * <a href="http://math.nist.gov/javanumerics/jama/">JAMA</a> library, with the
037 * following changes:</p>
038 * <ul>
039 * <li>a {@link #getQT() getQT} method has been added,</li>
040 * <li>the {@code solve} and {@code isFullRank} methods have been replaced
041 * by a {@link #getSolver() getSolver} method and the equivalent methods
042 * provided by the returned {@link DecompositionSolver}.</li>
043 * </ul>
044 *
045 * @see <a href="http://mathworld.wolfram.com/QRDecomposition.html">MathWorld</a>
046 * @see <a href="http://en.wikipedia.org/wiki/QR_decomposition">Wikipedia</a>
047 *
048 * @version $Id: QRDecomposition.java 1462423 2013-03-29 07:25:18Z luc $
049 * @since 1.2 (changed to concrete class in 3.0)
050 */
051 public class QRDecomposition {
052 /**
053 * A packed TRANSPOSED representation of the QR decomposition.
054 * <p>The elements BELOW the diagonal are the elements of the UPPER triangular
055 * matrix R, and the rows ABOVE the diagonal are the Householder reflector vectors
056 * from which an explicit form of Q can be recomputed if desired.</p>
057 */
058 private double[][] qrt;
059 /** The diagonal elements of R. */
060 private double[] rDiag;
061 /** Cached value of Q. */
062 private RealMatrix cachedQ;
063 /** Cached value of QT. */
064 private RealMatrix cachedQT;
065 /** Cached value of R. */
066 private RealMatrix cachedR;
067 /** Cached value of H. */
068 private RealMatrix cachedH;
069 /** Singularity threshold. */
070 private final double threshold;
071
072 /**
073 * Calculates the QR-decomposition of the given matrix.
074 * The singularity threshold defaults to zero.
075 *
076 * @param matrix The matrix to decompose.
077 *
078 * @see #QRDecomposition(RealMatrix,double)
079 */
080 public QRDecomposition(RealMatrix matrix) {
081 this(matrix, 0d);
082 }
083
084 /**
085 * Calculates the QR-decomposition of the given matrix.
086 *
087 * @param matrix The matrix to decompose.
088 * @param threshold Singularity threshold.
089 */
090 public QRDecomposition(RealMatrix matrix,
091 double threshold) {
092 this.threshold = threshold;
093
094 final int m = matrix.getRowDimension();
095 final int n = matrix.getColumnDimension();
096 qrt = matrix.transpose().getData();
097 rDiag = new double[FastMath.min(m, n)];
098 cachedQ = null;
099 cachedQT = null;
100 cachedR = null;
101 cachedH = null;
102
103 decompose(qrt);
104
105 }
106
107 /** Decompose matrix.
108 * @param matrix transposed matrix
109 * @since 3.2
110 */
111 protected void decompose(double[][] matrix) {
112 for (int minor = 0; minor < FastMath.min(qrt.length, qrt[0].length); minor++) {
113 performHouseholderReflection(minor, qrt);
114 }
115 }
116
117 /** Perform Householder reflection for a minor A(minor, minor) of A.
118 * @param minor minor index
119 * @param matrix transposed matrix
120 * @since 3.2
121 */
122 protected void performHouseholderReflection(int minor, double[][] matrix) {
123
124 final double[] qrtMinor = qrt[minor];
125
126 /*
127 * Let x be the first column of the minor, and a^2 = |x|^2.
128 * x will be in the positions qr[minor][minor] through qr[m][minor].
129 * The first column of the transformed minor will be (a,0,0,..)'
130 * The sign of a is chosen to be opposite to the sign of the first
131 * component of x. Let's find a:
132 */
133 double xNormSqr = 0;
134 for (int row = minor; row < qrtMinor.length; row++) {
135 final double c = qrtMinor[row];
136 xNormSqr += c * c;
137 }
138 final double a = (qrtMinor[minor] > 0) ? -FastMath.sqrt(xNormSqr) : FastMath.sqrt(xNormSqr);
139 rDiag[minor] = a;
140
141 if (a != 0.0) {
142
143 /*
144 * Calculate the normalized reflection vector v and transform
145 * the first column. We know the norm of v beforehand: v = x-ae
146 * so |v|^2 = <x-ae,x-ae> = <x,x>-2a<x,e>+a^2<e,e> =
147 * a^2+a^2-2a<x,e> = 2a*(a - <x,e>).
148 * Here <x, e> is now qr[minor][minor].
149 * v = x-ae is stored in the column at qr:
150 */
151 qrtMinor[minor] -= a; // now |v|^2 = -2a*(qr[minor][minor])
152
153 /*
154 * Transform the rest of the columns of the minor:
155 * They will be transformed by the matrix H = I-2vv'/|v|^2.
156 * If x is a column vector of the minor, then
157 * Hx = (I-2vv'/|v|^2)x = x-2vv'x/|v|^2 = x - 2<x,v>/|v|^2 v.
158 * Therefore the transformation is easily calculated by
159 * subtracting the column vector (2<x,v>/|v|^2)v from x.
160 *
161 * Let 2<x,v>/|v|^2 = alpha. From above we have
162 * |v|^2 = -2a*(qr[minor][minor]), so
163 * alpha = -<x,v>/(a*qr[minor][minor])
164 */
165 for (int col = minor+1; col < qrt.length; col++) {
166 final double[] qrtCol = qrt[col];
167 double alpha = 0;
168 for (int row = minor; row < qrtCol.length; row++) {
169 alpha -= qrtCol[row] * qrtMinor[row];
170 }
171 alpha /= a * qrtMinor[minor];
172
173 // Subtract the column vector alpha*v from x.
174 for (int row = minor; row < qrtCol.length; row++) {
175 qrtCol[row] -= alpha * qrtMinor[row];
176 }
177 }
178 }
179 }
180
181
182 /**
183 * Returns the matrix R of the decomposition.
184 * <p>R is an upper-triangular matrix</p>
185 * @return the R matrix
186 */
187 public RealMatrix getR() {
188
189 if (cachedR == null) {
190
191 // R is supposed to be m x n
192 final int n = qrt.length;
193 final int m = qrt[0].length;
194 double[][] ra = new double[m][n];
195 // copy the diagonal from rDiag and the upper triangle of qr
196 for (int row = FastMath.min(m, n) - 1; row >= 0; row--) {
197 ra[row][row] = rDiag[row];
198 for (int col = row + 1; col < n; col++) {
199 ra[row][col] = qrt[col][row];
200 }
201 }
202 cachedR = MatrixUtils.createRealMatrix(ra);
203 }
204
205 // return the cached matrix
206 return cachedR;
207 }
208
209 /**
210 * Returns the matrix Q of the decomposition.
211 * <p>Q is an orthogonal matrix</p>
212 * @return the Q matrix
213 */
214 public RealMatrix getQ() {
215 if (cachedQ == null) {
216 cachedQ = getQT().transpose();
217 }
218 return cachedQ;
219 }
220
221 /**
222 * Returns the transpose of the matrix Q of the decomposition.
223 * <p>Q is an orthogonal matrix</p>
224 * @return the transpose of the Q matrix, Q<sup>T</sup>
225 */
226 public RealMatrix getQT() {
227 if (cachedQT == null) {
228
229 // QT is supposed to be m x m
230 final int n = qrt.length;
231 final int m = qrt[0].length;
232 double[][] qta = new double[m][m];
233
234 /*
235 * Q = Q1 Q2 ... Q_m, so Q is formed by first constructing Q_m and then
236 * applying the Householder transformations Q_(m-1),Q_(m-2),...,Q1 in
237 * succession to the result
238 */
239 for (int minor = m - 1; minor >= FastMath.min(m, n); minor--) {
240 qta[minor][minor] = 1.0d;
241 }
242
243 for (int minor = FastMath.min(m, n)-1; minor >= 0; minor--){
244 final double[] qrtMinor = qrt[minor];
245 qta[minor][minor] = 1.0d;
246 if (qrtMinor[minor] != 0.0) {
247 for (int col = minor; col < m; col++) {
248 double alpha = 0;
249 for (int row = minor; row < m; row++) {
250 alpha -= qta[col][row] * qrtMinor[row];
251 }
252 alpha /= rDiag[minor] * qrtMinor[minor];
253
254 for (int row = minor; row < m; row++) {
255 qta[col][row] += -alpha * qrtMinor[row];
256 }
257 }
258 }
259 }
260 cachedQT = MatrixUtils.createRealMatrix(qta);
261 }
262
263 // return the cached matrix
264 return cachedQT;
265 }
266
267 /**
268 * Returns the Householder reflector vectors.
269 * <p>H is a lower trapezoidal matrix whose columns represent
270 * each successive Householder reflector vector. This matrix is used
271 * to compute Q.</p>
272 * @return a matrix containing the Householder reflector vectors
273 */
274 public RealMatrix getH() {
275 if (cachedH == null) {
276
277 final int n = qrt.length;
278 final int m = qrt[0].length;
279 double[][] ha = new double[m][n];
280 for (int i = 0; i < m; ++i) {
281 for (int j = 0; j < FastMath.min(i + 1, n); ++j) {
282 ha[i][j] = qrt[j][i] / -rDiag[j];
283 }
284 }
285 cachedH = MatrixUtils.createRealMatrix(ha);
286 }
287
288 // return the cached matrix
289 return cachedH;
290 }
291
292 /**
293 * Get a solver for finding the A × X = B solution in least square sense.
294 * @return a solver
295 */
296 public DecompositionSolver getSolver() {
297 return new Solver(qrt, rDiag, threshold);
298 }
299
300 /** Specialized solver. */
301 private static class Solver implements DecompositionSolver {
302 /**
303 * A packed TRANSPOSED representation of the QR decomposition.
304 * <p>The elements BELOW the diagonal are the elements of the UPPER triangular
305 * matrix R, and the rows ABOVE the diagonal are the Householder reflector vectors
306 * from which an explicit form of Q can be recomputed if desired.</p>
307 */
308 private final double[][] qrt;
309 /** The diagonal elements of R. */
310 private final double[] rDiag;
311 /** Singularity threshold. */
312 private final double threshold;
313
314 /**
315 * Build a solver from decomposed matrix.
316 *
317 * @param qrt Packed TRANSPOSED representation of the QR decomposition.
318 * @param rDiag Diagonal elements of R.
319 * @param threshold Singularity threshold.
320 */
321 private Solver(final double[][] qrt,
322 final double[] rDiag,
323 final double threshold) {
324 this.qrt = qrt;
325 this.rDiag = rDiag;
326 this.threshold = threshold;
327 }
328
329 /** {@inheritDoc} */
330 public boolean isNonSingular() {
331 for (double diag : rDiag) {
332 if (FastMath.abs(diag) <= threshold) {
333 return false;
334 }
335 }
336 return true;
337 }
338
339 /** {@inheritDoc} */
340 public RealVector solve(RealVector b) {
341 final int n = qrt.length;
342 final int m = qrt[0].length;
343 if (b.getDimension() != m) {
344 throw new DimensionMismatchException(b.getDimension(), m);
345 }
346 if (!isNonSingular()) {
347 throw new SingularMatrixException();
348 }
349
350 final double[] x = new double[n];
351 final double[] y = b.toArray();
352
353 // apply Householder transforms to solve Q.y = b
354 for (int minor = 0; minor < FastMath.min(m, n); minor++) {
355
356 final double[] qrtMinor = qrt[minor];
357 double dotProduct = 0;
358 for (int row = minor; row < m; row++) {
359 dotProduct += y[row] * qrtMinor[row];
360 }
361 dotProduct /= rDiag[minor] * qrtMinor[minor];
362
363 for (int row = minor; row < m; row++) {
364 y[row] += dotProduct * qrtMinor[row];
365 }
366 }
367
368 // solve triangular system R.x = y
369 for (int row = rDiag.length - 1; row >= 0; --row) {
370 y[row] /= rDiag[row];
371 final double yRow = y[row];
372 final double[] qrtRow = qrt[row];
373 x[row] = yRow;
374 for (int i = 0; i < row; i++) {
375 y[i] -= yRow * qrtRow[i];
376 }
377 }
378
379 return new ArrayRealVector(x, false);
380 }
381
382 /** {@inheritDoc} */
383 public RealMatrix solve(RealMatrix b) {
384 final int n = qrt.length;
385 final int m = qrt[0].length;
386 if (b.getRowDimension() != m) {
387 throw new DimensionMismatchException(b.getRowDimension(), m);
388 }
389 if (!isNonSingular()) {
390 throw new SingularMatrixException();
391 }
392
393 final int columns = b.getColumnDimension();
394 final int blockSize = BlockRealMatrix.BLOCK_SIZE;
395 final int cBlocks = (columns + blockSize - 1) / blockSize;
396 final double[][] xBlocks = BlockRealMatrix.createBlocksLayout(n, columns);
397 final double[][] y = new double[b.getRowDimension()][blockSize];
398 final double[] alpha = new double[blockSize];
399
400 for (int kBlock = 0; kBlock < cBlocks; ++kBlock) {
401 final int kStart = kBlock * blockSize;
402 final int kEnd = FastMath.min(kStart + blockSize, columns);
403 final int kWidth = kEnd - kStart;
404
405 // get the right hand side vector
406 b.copySubMatrix(0, m - 1, kStart, kEnd - 1, y);
407
408 // apply Householder transforms to solve Q.y = b
409 for (int minor = 0; minor < FastMath.min(m, n); minor++) {
410 final double[] qrtMinor = qrt[minor];
411 final double factor = 1.0 / (rDiag[minor] * qrtMinor[minor]);
412
413 Arrays.fill(alpha, 0, kWidth, 0.0);
414 for (int row = minor; row < m; ++row) {
415 final double d = qrtMinor[row];
416 final double[] yRow = y[row];
417 for (int k = 0; k < kWidth; ++k) {
418 alpha[k] += d * yRow[k];
419 }
420 }
421 for (int k = 0; k < kWidth; ++k) {
422 alpha[k] *= factor;
423 }
424
425 for (int row = minor; row < m; ++row) {
426 final double d = qrtMinor[row];
427 final double[] yRow = y[row];
428 for (int k = 0; k < kWidth; ++k) {
429 yRow[k] += alpha[k] * d;
430 }
431 }
432 }
433
434 // solve triangular system R.x = y
435 for (int j = rDiag.length - 1; j >= 0; --j) {
436 final int jBlock = j / blockSize;
437 final int jStart = jBlock * blockSize;
438 final double factor = 1.0 / rDiag[j];
439 final double[] yJ = y[j];
440 final double[] xBlock = xBlocks[jBlock * cBlocks + kBlock];
441 int index = (j - jStart) * kWidth;
442 for (int k = 0; k < kWidth; ++k) {
443 yJ[k] *= factor;
444 xBlock[index++] = yJ[k];
445 }
446
447 final double[] qrtJ = qrt[j];
448 for (int i = 0; i < j; ++i) {
449 final double rIJ = qrtJ[i];
450 final double[] yI = y[i];
451 for (int k = 0; k < kWidth; ++k) {
452 yI[k] -= yJ[k] * rIJ;
453 }
454 }
455 }
456 }
457
458 return new BlockRealMatrix(n, columns, xBlocks, false);
459 }
460
461 /** {@inheritDoc} */
462 public RealMatrix getInverse() {
463 return solve(MatrixUtils.createRealIdentityMatrix(rDiag.length));
464 }
465 }
466 }