//! # QR Decomposition //! //! Any real square matrix \\(A \in R^{n \times n}\\) can be decomposed as a product of an orthogonal matrix \\(Q\\) and an upper triangular matrix \\(R\\): //! //! \\[A = QR\\] //! //! Example: //! ``` //! use smartcore::linalg::basic::matrix::DenseMatrix; //! use smartcore::linalg::traits::qr::*; //! //! let A = DenseMatrix::from_2d_array(&[ //! &[0.9, 0.4, 0.7], //! &[0.4, 0.5, 0.3], //! &[0.7, 0.3, 0.8] //! ]).unwrap(); //! //! let qr = A.qr().unwrap(); //! let orthogonal: DenseMatrix = qr.Q(); //! let triangular: DenseMatrix = qr.R(); //! ``` //! //! ## References: //! * ["No bullshit guide to linear algebra", Ivan Savov, 2016, 7.6 Matrix decompositions](https://minireference.com/) //! * ["Numerical Recipes: The Art of Scientific Computing", Press W.H., Teukolsky S.A., Vetterling W.T, Flannery B.P, 3rd ed., 2.10 QR Decomposition](http://numerical.recipes/) //! //! //! #![allow(non_snake_case)] use std::fmt::Debug; use crate::error::Failed; use crate::linalg::basic::arrays::Array2; use crate::numbers::basenum::Number; use crate::numbers::realnum::RealNumber; #[derive(Debug, Clone)] /// Results of QR decomposition. pub struct QR> { QR: M, tau: Vec, singular: bool, } impl> QR { pub(crate) fn new(QR: M, tau: Vec) -> QR { let mut singular = false; for tau_elem in tau.iter() { if *tau_elem == T::zero() { singular = true; break; } } QR { QR, tau, singular } } /// Get upper triangular matrix. pub fn R(&self) -> M { let (_, n) = self.QR.shape(); let mut R = M::zeros(n, n); for i in 0..n { R.set((i, i), self.tau[i]); for j in i + 1..n { R.set((i, j), *self.QR.get((i, j))); } } R } /// Get an orthogonal matrix. pub fn Q(&self) -> M { let (m, n) = self.QR.shape(); let mut Q = M::zeros(m, n); let mut k = n - 1; loop { Q.set((k, k), T::one()); for j in k..n { if self.QR.get((k, k)) != &T::zero() { let mut s = T::zero(); for i in k..m { s += *self.QR.get((i, k)) * *Q.get((i, j)); } s = -s / *self.QR.get((k, k)); for i in k..m { Q.add_element_mut((i, j), s * *self.QR.get((i, k))); } } } if k == 0 { break; } else { k -= 1; } } Q } fn solve(&self, mut b: M) -> Result { let (m, n) = self.QR.shape(); let (b_nrows, b_ncols) = b.shape(); if b_nrows != m { panic!("Row dimensions do not agree: A is {m} x {n}, but B is {b_nrows} x {b_ncols}"); } if self.singular { panic!("Matrix is rank deficient."); } for k in 0..n { for j in 0..b_ncols { let mut s = T::zero(); for i in k..m { s += *self.QR.get((i, k)) * *b.get((i, j)); } s = -s / *self.QR.get((k, k)); for i in k..m { b.add_element_mut((i, j), s * *self.QR.get((i, k))); } } } for k in (0..n).rev() { for j in 0..b_ncols { b.set((k, j), *b.get((k, j)) / self.tau[k]); } for i in 0..k { for j in 0..b_ncols { b.sub_element_mut((i, j), *b.get((k, j)) * *self.QR.get((i, k))); } } } Ok(b) } } /// Trait that implements QR decomposition routine for any matrix. pub trait QRDecomposable: Array2 { /// Compute the QR decomposition of a matrix. fn qr(&self) -> Result, Failed> { self.clone().qr_mut() } /// Compute the QR decomposition of a matrix. The input matrix /// will be used for factorization. fn qr_mut(mut self) -> Result, Failed> { let (m, n) = self.shape(); let mut r_diagonal: Vec = vec![T::zero(); n]; for (k, r_diagonal_k) in r_diagonal.iter_mut().enumerate().take(n) { let mut nrm = T::zero(); for i in k..m { nrm = nrm.hypot(*self.get((i, k))); } if nrm.abs() > T::epsilon() { if self.get((k, k)) < &T::zero() { nrm = -nrm; } for i in k..m { self.div_element_mut((i, k), nrm); } self.add_element_mut((k, k), T::one()); for j in k + 1..n { let mut s = T::zero(); for i in k..m { s += *self.get((i, k)) * *self.get((i, j)); } s = -s / *self.get((k, k)); for i in k..m { self.add_element_mut((i, j), s * *self.get((i, k))); } } } *r_diagonal_k = -nrm; } Ok(QR::new(self, r_diagonal)) } /// Solves Ax = b fn qr_solve_mut(self, b: Self) -> Result { self.qr_mut().and_then(|qr| qr.solve(b)) } } #[cfg(test)] mod tests { use super::*; use crate::linalg::basic::matrix::DenseMatrix; use approx::relative_eq; #[cfg_attr( all(target_arch = "wasm32", not(target_os = "wasi")), wasm_bindgen_test::wasm_bindgen_test )] #[test] fn decompose() { let a = DenseMatrix::from_2d_array(&[&[0.9, 0.4, 0.7], &[0.4, 0.5, 0.3], &[0.7, 0.3, 0.8]]) .unwrap(); let q = DenseMatrix::from_2d_array(&[ &[-0.7448, 0.2436, 0.6212], &[-0.331, -0.9432, -0.027], &[-0.5793, 0.2257, -0.7832], ]) .unwrap(); let r = DenseMatrix::from_2d_array(&[ &[-1.2083, -0.6373, -1.0842], &[0.0, -0.3064, 0.0682], &[0.0, 0.0, -0.1999], ]) .unwrap(); let qr = a.qr().unwrap(); assert!(relative_eq!(qr.Q().abs(), q.abs(), epsilon = 1e-4)); assert!(relative_eq!(qr.R().abs(), r.abs(), epsilon = 1e-4)); } #[cfg_attr( all(target_arch = "wasm32", not(target_os = "wasi")), wasm_bindgen_test::wasm_bindgen_test )] #[test] fn qr_solve_mut() { let a = DenseMatrix::from_2d_array(&[&[0.9, 0.4, 0.7], &[0.4, 0.5, 0.3], &[0.7, 0.3, 0.8]]) .unwrap(); let b = DenseMatrix::from_2d_array(&[&[0.5, 0.2], &[0.5, 0.8], &[0.5, 0.3]]).unwrap(); let expected_w = DenseMatrix::from_2d_array(&[ &[-0.2027027, -1.2837838], &[0.8783784, 2.2297297], &[0.4729730, 0.6621622], ]) .unwrap(); let w = a.qr_solve_mut(b).unwrap(); assert!(relative_eq!(w, expected_w, epsilon = 1e-2)); } }