diff --git a/maths/qr_decomposition.py b/maths/qr_decomposition.py new file mode 100644 index 000000000..197211f1e --- /dev/null +++ b/maths/qr_decomposition.py @@ -0,0 +1,71 @@ +import numpy as np + + +def qr_householder(A): + """Return a QR-decomposition of the matrix A using Householder reflection. + + The QR-decomposition decomposes the matrix A of shape (m, n) into an + orthogonal matrix Q of shape (m, m) and an upper triangular matrix R of + shape (m, n). Note that the matrix A does not have to be square. This + method of decomposing A uses the Householder reflection, which is + numerically stable and of complexity O(n^3). + + https://en.wikipedia.org/wiki/QR_decomposition#Using_Householder_reflections + + Arguments: + A -- a numpy.ndarray of shape (m, n) + + Note: several optimizations can be made for numeric efficiency, but this is + intended to demonstrate how it would be represented in a mathematics + textbook. In cases where efficiency is particularly important, an optimized + version from BLAS should be used. + + >>> A = np.array([[12, -51, 4], [6, 167, -68], [-4, 24, -41]], dtype=float) + >>> Q, R = qr_householder(A) + + >>> # check that the decomposition is correct + >>> np.allclose(Q@R, A) + True + + >>> # check that Q is orthogonal + >>> np.allclose(Q@Q.T, np.eye(A.shape[0])) + True + >>> np.allclose(Q.T@Q, np.eye(A.shape[0])) + True + + >>> # check that R is upper triangular + >>> np.allclose(np.triu(R), R) + True + """ + m, n = A.shape + t = min(m, n) + Q = np.eye(m) + R = A.copy() + + for k in range(t - 1): + # select a column of modified matrix A': + x = R[k:, [k]] + # construct first basis vector + e1 = np.zeros_like(x) + e1[0] = 1.0 + # determine scaling factor + alpha = np.linalg.norm(x) + # construct vector v for Householder reflection + v = x + np.sign(x[0])*alpha*e1 + v /= np.linalg.norm(v) + + # construct the Householder matrix + Q_k = np.eye(m - k) - 2.0*v@v.T + # pad with ones and zeros as necessary + Q_k = np.block([[np.eye(k), np.zeros((k, m - k))], + [np.zeros((m - k, k)), Q_k ]]) + + Q = Q@Q_k.T + R = Q_k@R + + return Q, R + + +if __name__ == "__main__": + import doctest + doctest.testmod()