R: The QR Decomposition of a Matrix

qr {base}

R Documentation

The QR Decomposition of a Matrix

Description

qr computes the QR decomposition of a matrix. It provides an interface to the techniques used in the LINPACK routine DQRDC or the LAPACK routines DGEQP3 and (for complex matrices) ZGEQP3.

Usage

qr(x, ...)
## Default S3 method:
qr(x, tol = 1e-07 , LAPACK = FALSE, ...)

qr.coef(qr, y)
qr.qy(qr, y)
qr.qty(qr, y)
qr.resid(qr, y)
qr.fitted(qr, y, k = qr$rank)
qr.solve(a, b, tol = 1e-7)
## S3 method for class 'qr'
solve(a, b, ...)

is.qr(x)
as.qr(x)

Arguments

`x`	a matrix whose QR decomposition is to be computed.
`tol`	the tolerance for detecting linear dependencies in the columns of `x`. Only used if `LAPACK` is false and `x` is real.
`qr`	a QR decomposition of the type computed by `qr`.
`y, b`	a vector or matrix of right-hand sides of equations.
`a`	a QR decomposition or (`qr.solve` only) a rectangular matrix.
`k`	effective rank.
`LAPACK`	logical. For real `x`, if true use LAPACK otherwise use LINPACK.
`...`	further arguments passed to or from other methods

Details

The QR decomposition plays an important role in many statistical techniques. In particular it can be used to solve the equation \bold{Ax} = \bold{b} for given matrix \bold{A}, and vector \bold{b}. It is useful for computing regression coefficients and in applying the Newton-Raphson algorithm.

The functions qr.coef, qr.resid, and qr.fitted return the coefficients, residuals and fitted values obtained when fitting y to the matrix with QR decomposition qr. (If pivoting is used, some of the coefficients will be NA.) qr.qy and qr.qty return Q %*% y and t(Q) %*% y, where Q is the (complete) \bold{Q} matrix.

All the above functions keep dimnames (and names) of x and y if there are.

solve.qr is the method for solve for qr objects. qr.solve solves systems of equations via the QR decomposition: if a is a QR decomposition it is the same as solve.qr, but if a is a rectangular matrix the QR decomposition is computed first. Either will handle over- and under-determined systems, providing a least-squares fit if appropriate.

is.qr returns TRUE if x is a list with components named qr, rank and qraux and FALSE otherwise.

It is not possible to coerce objects to mode "qr". Objects either are QR decompositions or they are not.

Value

The QR decomposition of the matrix as computed by LINPACK or LAPACK. The components in the returned value correspond directly to the values returned by DQRDC/DGEQP3/ZGEQP3.

`qr`	a matrix with the same dimensions as `x`. The upper triangle contains the \bold{R} of the decomposition and the lower triangle contains information on the \bold{Q} of the decomposition (stored in compact form). Note that the storage used by DQRDC and DGEQP3 differs.
`qraux`	a vector of length `ncol(x)` which contains additional information on \bold{Q}.
`rank`	the rank of `x` as computed by the decomposition: always full rank in the LAPACK case.
`pivot`	information on the pivoting strategy used during the decomposition.

Non-complex QR objects computed by LAPACK have the attribute "useLAPACK" with value TRUE.

Note

To compute the determinant of a matrix (do you really need it?), the QR decomposition is much more efficient than using Eigen values (eigen). See det.

Using LAPACK (including in the complex case) uses column pivoting and does not attempt to detect rank-deficient matrices.

References

Becker, R. A., Chambers, J. M. and Wilks, A. R. (1988) The New S Language. Wadsworth & Brooks/Cole.

Dongarra, J. J., Bunch, J. R., Moler, C. B. and Stewart, G. W. (1978) LINPACK Users Guide. Philadelphia: SIAM Publications.

Anderson. E. and ten others (1999) LAPACK Users' Guide. Third Edition. SIAM.
Available on-line at http://www.netlib.org/lapack/lug/lapack_lug.html.

Examples

hilbert <- function(n) { i <- 1:n; 1 / outer(i - 1, i, "+") }
h9 <- hilbert(9); h9
qr(h9)$rank           #--> only 7
qrh9 <- qr(h9, tol = 1e-10)
qrh9$rank             #--> 9
##-- Solve linear equation system  H %*% x = y :
y <- 1:9/10
x <- qr.solve(h9, y, tol = 1e-10) # or equivalently :
x <- qr.coef(qrh9, y) #-- is == but much better than
                      #-- solve(h9) %*% y
h9 %*% x              # = y


## overdetermined system
A <- matrix(runif(12), 4)
b <- 1:4
qr.solve(A, b) # or solve(qr(A), b)
solve(qr(A, LAPACK=TRUE), b)
# this is a least-squares solution, cf. lm(b ~ 0 + A)

## underdetermined system
A <- matrix(runif(12), 3)
b <- 1:3
qr.solve(A, b)
solve(qr(A, LAPACK=TRUE), b)
# solutions will have one zero, not necessarily the same one

[Package base version 2.15.1 Index]