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Matrix decomposition

A matrix decomposition is a factorization of a matrix into some canonical form.

A canonical form (often called normal or standard form) of an object is a standard way of presenting that object.



There are many different decompositions; each one is used among a particular class of problems.

Matlab includes several functions for matrix decomposition or factorization.



LU decomposition: the name of the built-in function is 'lu'. To get the LU factorization of a square matrix M, type the command [L,U] = lu(M).

Matlab returns a lower triangular matrix L and an upper triangular matrix U such that L*U = M.

Example:

Type

M = [2 3 4 5
3 2 6 1
2 3 1 7
9 8 0 2];

[l, u] = lu(M)
l*u

Matlab answer is:

l =
0.2222 1.0000 0.4583 1.0000
0.3333 -0.5455 1.0000 0
0.2222 1.0000 0 0
1.0000 0 0 0

u =
9.0000 8.0000 0 2.0000
0 1.2222 1.0000 6.5556
0 0 6.5455 3.9091
0 0 0 -3.7917

ans =
2.0000 3.0000 4.0000 5.0000
3.0000 2.0000 6.0000 1.0000
2.0000 3.0000 1.0000 7.0000
9.0000 8.0000 0 2.0000



QR factorization: the name of the appropriate built-in function for this purpose is 'qr'. Typing the command [Q, R] = qr(M) returns an orthogonal matrix Q and an upper triangular matrix R such that Q*R = M.

Example (assuming the same matrix M as above):

Type

[q, r] = qr(M)
q*r

and the fast Matlab answer is:

q =
-0.2020 0.6359 -0.4469 -0.5959
-0.3030 -0.4127 -0.8144 0.2731
-0.2020 0.6359 0.0027 0.7449
-0.9091 -0.1450 0.3702 -0.1241

r =
-9.8995 -9.0914 -2.8284 -4.5457
0 1.8295 0.7028 6.9274
0 0 -6.6713 -2.2896
0 0 0 2.2595

ans =
2.0000 3.0000 4.0000 5.0000
3.0000 2.0000 6.0000 1.0000
2.0000 3.0000 1.0000 7.0000
9.0000 8.0000 -0.0000 2.0000



Cholesky decomposition: if you have a positive definite matrix A, you can factorize the matrix with the built-in function 'chol'. The command R = chol(A); produces an upper triangular matrix R such that R'*R = A for a positive definite A.

This is a brief reminder of what a positive definite matrix is:

An n by n matrix M is positive definite if

xT Mx > 0 for all x <> 0 and

xT Mx = 0 implies x = 0

If matrix M is symmetric, diagonally dominant, and has positive diagonal elements, then M is positive definite

If matrix M is positive definite, then M is diagonally dominant and has positive diagonal elements.


Example:

Type

M = [1 1 1 1
1 2 3 4
1 3 6 10
1 4 10 20];

r = chol(M)
r'*r

and the Matlab answer is:

r =
1 1 1 1
0 1 2 3
0 0 1 3
0 0 0 1

ans =
1 1 1 1
1 2 3 4
1 3 6 10
1 4 10 20



Singular value decomposition (svd): this is another type of matrix decomposition and the name of the built-in function is svd. Typing [U,S,V] = svd(M); produces a diagonal matrix S, of the same dimension as M and with nonnegative diagonal elements in decreasing order, and unitary matrices U and V so that M = U*S*V'.

Example (considering the same matrix M as above):

Type

[u, s, v] = svd(M)
u*s*v'

and you get:

u =
-0.0602 -0.5304 0.7873 -0.3087
-0.2012 -0.6403 -0.1632 0.7231
-0.4581 -0.3918 -0.5321 -0.5946
-0.8638 0.3939 0.2654 0.1684

s =
26.3047 0 0 0
0 2.2034 0 0
0 0 0.4538 0
0 0 0 0.0380

v =
-0.0602 -0.5304 0.7873 -0.3087
-0.2012 -0.6403 -0.1632 0.7231
-0.4581 -0.3918 -0.5321 -0.5946
-0.8638 0.3939 0.2654 0.1684

ans =
1.0000 1.0000 1.0000 1.0000
1.0000 2.0000 3.0000 4.0000
1.0000 3.0000 6.0000 10.0000
1.0000 4.0000 10.0000 20.0000


From 'Matrix Decomposition' to home

From 'Matrix Decomposition' to 'Matlab Cookbook I'

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