QR.php
5.5 KB
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
<?php
namespace Matrix\Decomposition;
use Matrix\Exception;
use Matrix\Matrix;
class QR
{
private $qrMatrix;
private $rows;
private $columns;
private $rDiagonal = [];
public function __construct(Matrix $matrix)
{
$this->qrMatrix = $matrix->toArray();
$this->rows = $matrix->rows;
$this->columns = $matrix->columns;
$this->decompose();
}
public function getHouseholdVectors()
{
$householdVectors = [];
for ($row = 0; $row < $this->rows; ++$row) {
for ($column = 0; $column < $this->columns; ++$column) {
if ($row >= $column) {
$householdVectors[$row][$column] = $this->qrMatrix[$row][$column];
} else {
$householdVectors[$row][$column] = 0.0;
}
}
}
return new Matrix($householdVectors);
}
public function getQ()
{
$qGrid = [];
$rowCount = $this->rows;
for ($k = $this->columns - 1; $k >= 0; --$k) {
for ($i = 0; $i < $this->rows; ++$i) {
$qGrid[$i][$k] = 0.0;
}
$qGrid[$k][$k] = 1.0;
if ($this->columns > $this->rows) {
$qGrid = array_slice($qGrid, 0, $this->rows);
}
for ($j = $k; $j < $this->columns; ++$j) {
if (isset($this->qrMatrix[$k], $this->qrMatrix[$k][$k]) && $this->qrMatrix[$k][$k] != 0.0) {
$s = 0.0;
for ($i = $k; $i < $this->rows; ++$i) {
$s += $this->qrMatrix[$i][$k] * $qGrid[$i][$j];
}
$s = -$s / $this->qrMatrix[$k][$k];
for ($i = $k; $i < $this->rows; ++$i) {
$qGrid[$i][$j] += $s * $this->qrMatrix[$i][$k];
}
}
}
}
array_walk(
$qGrid,
function (&$row) use ($rowCount) {
$row = array_reverse($row);
$row = array_slice($row, 0, $rowCount);
}
);
return new Matrix($qGrid);
}
public function getR()
{
$rGrid = [];
for ($row = 0; $row < $this->columns; ++$row) {
for ($column = 0; $column < $this->columns; ++$column) {
if ($row < $column) {
$rGrid[$row][$column] = isset($this->qrMatrix[$row][$column]) ? $this->qrMatrix[$row][$column] : 0.0;
} elseif ($row === $column) {
$rGrid[$row][$column] = isset($this->rDiagonal[$row]) ? $this->rDiagonal[$row] : 0.0;
} else {
$rGrid[$row][$column] = 0.0;
}
}
}
if ($this->columns > $this->rows) {
$rGrid = array_slice($rGrid, 0, $this->rows);
}
return new Matrix($rGrid);
}
private function hypo($a, $b)
{
if (abs($a) > abs($b)) {
$r = $b / $a;
$r = abs($a) * sqrt(1 + $r * $r);
} elseif ($b != 0.0) {
$r = $a / $b;
$r = abs($b) * sqrt(1 + $r * $r);
} else {
$r = 0.0;
}
return $r;
}
/**
* QR Decomposition computed by Householder reflections.
*/
private function decompose()
{
for ($k = 0; $k < $this->columns; ++$k) {
// Compute 2-norm of k-th column without under/overflow.
$norm = 0.0;
for ($i = $k; $i < $this->rows; ++$i) {
$norm = $this->hypo($norm, $this->qrMatrix[$i][$k]);
}
if ($norm != 0.0) {
// Form k-th Householder vector.
if ($this->qrMatrix[$k][$k] < 0.0) {
$norm = -$norm;
}
for ($i = $k; $i < $this->rows; ++$i) {
$this->qrMatrix[$i][$k] /= $norm;
}
$this->qrMatrix[$k][$k] += 1.0;
// Apply transformation to remaining columns.
for ($j = $k + 1; $j < $this->columns; ++$j) {
$s = 0.0;
for ($i = $k; $i < $this->rows; ++$i) {
$s += $this->qrMatrix[$i][$k] * $this->qrMatrix[$i][$j];
}
$s = -$s / $this->qrMatrix[$k][$k];
for ($i = $k; $i < $this->rows; ++$i) {
$this->qrMatrix[$i][$j] += $s * $this->qrMatrix[$i][$k];
}
}
}
$this->rDiagonal[$k] = -$norm;
}
}
/**
* @return bool
*/
public function isFullRank()
{
for ($j = 0; $j < $this->columns; ++$j) {
if ($this->rDiagonal[$j] == 0.0) {
return false;
}
}
return true;
}
/**
* Least squares solution of A*X = B.
*
* @param Matrix $B a Matrix with as many rows as A and any number of columns
*
* @throws Exception
*
* @return Matrix matrix that minimizes the two norm of Q*R*X-B
*/
public function solve(Matrix $B)
{
if ($B->rows !== $this->rows) {
throw new Exception('Matrix row dimensions are not equal');
}
if (!$this->isFullRank()) {
throw new Exception('Can only perform this operation on a full-rank matrix');
}
// Compute Y = transpose(Q)*B
$Y = $this->getQ()->transpose()
->multiply($B);
// Solve R*X = Y;
return $this->getR()->inverse()
->multiply($Y);
}
}