示例#1
0
        /// <summary>
        /// Solve x for Ax = b, where A is a invertible matrix
        ///
        /// The method works as follows:
        ///  1. QR factorization A = Q * R
        ///  2. Let: c = Q.transpose * b, we have R * x = c, where R is a triangular matrix if A is n x n
        ///  3. Solve x using backward substitution
        /// </summary>
        /// <param name="A">An m x n matrix with linearly independent columns, where m >= n</param>
        /// <param name="b">An m x 1 column vector </param>
        /// <returns>An n x 1 column vector, x, such that Ax = b when m = n and Ax ~ b when m > n </returns>
        public static IVector Solve(IMatrix A, IVector b)
        {
            // Q is a m x m matrix, R is a m x n matrix
            // Q = [Q1 Q2] Q1 is a m x n matrix, Q2 is a m x (m-n) matrix
            // R = [R1; 0] R1 is a n x n upper triangular matrix matrix
            // A = Q * R = Q1 * R1
            IMatrix Q, R;

            QR.Factorize(A, out Q, out R);
            IVector c = Q.Transpose().Multiply(b);

            IVector x = BackwardSubstitution.Solve(R, c);

            return(x);
        }
示例#2
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        /// <summary>
        /// This is used for data fitting / regression
        /// A is a m x n matrix, where m >= n
        /// b is a m x 1 column vector
        /// The method solves for x, which is a n x 1 column vectors such that A * x is closest to b
        ///
        /// The method works as follows:
        ///   1. Let C = A.transpose * A, we have A.transpose * A * x = C * x = A.transpose * b
        ///   2. Decompose C : C = Q * R, we have Q * R * x = A.transpose * b
        ///   3. Multiply both side by Q.transpose = Q.inverse, we have Q.transpose * Q * R * x = Q.transpose * A.transpose * b
        ///   4. Since Q.tranpose * Q = I, we have R * x = Q.transpose * A.transpose * b
        ///   5. Solve x from R * x = Q.transpose * A.transpose * b using backward substitution
        /// </summary>
        /// <param name="A"></param>
        /// <param name="b"></param>
        /// <returns></returns>
        public static IVector SolveLeastSquare(IMatrix A, IVector b)
        {
            IMatrix At = A.Transpose();
            IMatrix C  = At.Multiply(A); //C is a n x n matrix

            IMatrix Q, R;

            QR.Factorize(C, out Q, out R);

            IMatrix Qt = Q.Transpose();

            IVector d = Qt.Multiply(At).Multiply(b);

            IVector x = BackwardSubstitution.Solve(R, d);

            return(x);
        }
        /// <summary>
        /// Given A which is a n x n symmetric matrix, we want to find U and T
        /// such that:
        ///   1. A = U * T * U.transpose
        ///   2. U is a n x n matrix whose columns are eigen vectors of A (A * x = lambda * x, where lambda is the eigen value, and x is the eigen vector)
        ///   3. T is a diagonal matrix whose diagonal entries are the eigen values
        ///
        /// The method works in the following manner:
        ///   1. intialze A_0 = A, U_0 = I
        ///   2. iterate for k = 1, ... K, K is termination criteria
        ///   3. In each iteration k:
        ///      3.1 QR factorization to find Q_k and R_k such that A_{k-1}=Q_k * R_k
        ///      3.2 Let A_k = R_k * Q_k
        ///      3.3 Let U_k = U_{k-1} * Q_k
        ///   4. Set T = A_K, U = U_K
        ///
        /// Note that U is an orthogonal matrix if A is a symmetric matrix, in other words, if A.transpose = A, then U.inverse = U.transpose
        /// </summary>
        /// <param name="A">The matrix to be factorized</param>
        /// <param name="K">maximum number of iterations</param>
        /// <param name="T">T is a diagonal matrix whose diagonal entries are the eigen values</param>
        /// <param name="U">U is a n x n matrix whose columns are eigen vectors of A</param>
        public static void Factorize(IMatrix A, out IMatrix T, out IMatrix U, int K = 100, double epsilon = 1e-10)
        {
            Debug.Assert(A.RowCount == A.ColCount);

            int     n   = A.RowCount;
            IMatrix A_k = A.Clone();
            IMatrix U_k = A.Identity(n);

            IMatrix Q_k, R_k;

            for (int k = 1; k <= K; ++k)
            {
                QR.Factorize(A_k, out Q_k, out R_k);
                A_k = R_k.Multiply(Q_k);
                U_k = U_k.Multiply(Q_k);

                double sum = 0;
                foreach (IVector rowVec in A_k.NonEmptyRows)
                {
                    int rowId = rowVec.ID;
                    foreach (int key in rowVec.NonEmptyKeys)
                    {
                        if (key == rowId)
                        {
                            continue;
                        }
                        sum += System.Math.Abs(rowVec[key]);
                    }
                }
                if (sum <= epsilon)
                {
                    break;
                }
            }

            T = new SparseMatrix(n, n, A.DefaultValue);

            for (int i = 0; i < n; ++i)
            {
                T[i, i] = A_k[i, i];
            }

            U = U_k;
        }