org.apache.commons.math3.linear Class RRQRDecomposition

java.lang.Object org.apache.commons.math3.linear.QRDecomposition org.apache.commons.math3.linear.RRQRDecomposition

public class RRQRDecomposition
extends QRDecomposition

Calculates the rank-revealing QR-decomposition of a matrix, with column pivoting.

The rank-revealing QR-decomposition of a matrix A consists of three matrices Q, R and P such that AP=QR. Q is orthogonal (QTQ = I), and R is upper triangular. If A is m×n, Q is m×m and R is m×n and P is n×n.

QR decomposition with column pivoting produces a rank-revealing QR decomposition and the getRank(double) method may be used to return the rank of the input matrix A.

This class compute the decomposition using Householder reflectors.

For efficiency purposes, the decomposition in packed form is transposed. This allows inner loop to iterate inside rows, which is much more cache-efficient in Java.

This class is based on the class with similar name from the JAMA library, with the following changes:

• a getQT method has been added,
• the solve and isFullRank methods have been replaced by a getSolver method and the equivalent methods provided by the returned DecompositionSolver.

Since:
3.2
Version:
\$Id: RRQRDecomposition.html 860130 2013-04-27 21:11:39Z luc \$
MathWorld, Wikipedia

Constructor Summary
RRQRDecomposition(RealMatrix matrix)
Calculates the QR-decomposition of the given matrix.
RRQRDecomposition(RealMatrix matrix, double threshold)
Calculates the QR-decomposition of the given matrix.

Method Summary
protected  void decompose(double[][] qrt)
Decompose matrix.
RealMatrix getP()
Returns the pivot matrix, P, used in the QR Decomposition of matrix A such that AP = QR.
int getRank(double dropThreshold)
Return the effective numerical matrix rank.
DecompositionSolver getSolver()
Get a solver for finding the A × X = B solution in least square sense.
protected  void performHouseholderReflection(int minor, double[][] qrt)
Perform Householder reflection for a minor A(minor, minor) of A.

Methods inherited from class org.apache.commons.math3.linear.QRDecomposition
getH, getQ, getQT, getR

Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

RRQRDecomposition

public RRQRDecomposition(RealMatrix matrix)
Calculates the QR-decomposition of the given matrix. The singularity threshold defaults to zero.

Parameters:
matrix - The matrix to decompose.
RRQRDecomposition(RealMatrix, double)

RRQRDecomposition

public RRQRDecomposition(RealMatrix matrix,
double threshold)
Calculates the QR-decomposition of the given matrix.

Parameters:
matrix - The matrix to decompose.
threshold - Singularity threshold.
RRQRDecomposition(RealMatrix)
Method Detail

decompose

protected void decompose(double[][] qrt)
Decompose matrix.

Overrides:
decompose in class QRDecomposition
Parameters:
qrt - transposed matrix

performHouseholderReflection

protected void performHouseholderReflection(int minor,
double[][] qrt)
Perform Householder reflection for a minor A(minor, minor) of A.

Overrides:
performHouseholderReflection in class QRDecomposition
Parameters:
minor - minor index
qrt - transposed matrix

getP

public RealMatrix getP()
Returns the pivot matrix, P, used in the QR Decomposition of matrix A such that AP = QR. If no pivoting is used in this decomposition then P is equal to the identity matrix.

Returns:
a permutation matrix.

getRank

public int getRank(double dropThreshold)
Return the effective numerical matrix rank.

The effective numerical rank is the number of non-negligible singular values.

This implementation looks at Frobenius norms of the sequence of bottom right submatrices. When a large fall in norm is seen, the rank is returned. The drop is computed as:

(thisNorm/lastNorm) * rNorm < dropThreshold

where thisNorm is the Frobenius norm of the current submatrix, lastNorm is the Frobenius norm of the previous submatrix, rNorm is is the Frobenius norm of the complete matrix

Parameters:
dropThreshold - threshold triggering rank computation
Returns:
effective numerical matrix rank

getSolver

public DecompositionSolver getSolver()
Get a solver for finding the A × X = B solution in least square sense.

Overrides:
getSolver in class QRDecomposition
Returns:
a solver