QR decomposition
View on WikipediaIn linear algebra, a QR decomposition, also known as a QR factorization or QU factorization, is a decomposition of a matrix A into a product A = QR of an orthonormal matrix Q and an upper triangular matrix R. QR decomposition is often used to solve the linear least squares (LLS) problem and is the basis for a particular eigenvalue algorithm, the QR algorithm.
Cases and definitions
[edit]Square matrix
[edit]Any real square matrix A may be decomposed as
where Q is an orthogonal matrix (its columns are orthogonal unit vectors meaning ) and R is an upper triangular matrix (also called right triangular matrix). If A is invertible, then the factorization is unique if we require the diagonal elements of R to be positive.
If instead A is a complex square matrix, then there is a decomposition A = QR where Q is a unitary matrix (so the conjugate transpose ).
If A has n linearly independent columns, then the first n columns of Q form an orthonormal basis for the column space of A. More generally, the first k columns of Q form an orthonormal basis for the span of the first k columns of A for any 1 ≤ k ≤ n.[1] The fact that any column k of A only depends on the first k columns of Q corresponds to the triangular form of R.[1]
Rectangular matrix
[edit]More generally, we can factor a complex m×n matrix A, with m ≥ n, as the product of an m×m unitary matrix Q and an m×n upper triangular matrix R. As the bottom (m−n) rows of an m×n upper triangular matrix consist entirely of zeroes, it is often useful to partition R, or both R and Q:
where R1 is an n×n upper triangular matrix, 0 is an (m − n)×n zero matrix, Q1 is m×n, Q2 is m×(m − n), and Q1 and Q2 both have orthogonal columns.
Golub & Van Loan (1996, §5.2) call Q1R1 the thin QR factorization of A; Trefethen and Bau call this the reduced QR factorization.[1] If A is of full rank n and we require that the diagonal elements of R1 are positive then R1 and Q1 are unique, but in general Q2 is not. R1 is then equal to the upper triangular factor of the Cholesky decomposition of A* A (= ATA if A is real).
QL, RQ and LQ decompositions
[edit]Analogously, we can define QL, RQ, and LQ decompositions, with L being a lower triangular matrix.
Computing the QR decomposition
[edit]There are several methods for actually computing the QR decomposition, such as the Gram–Schmidt process, Householder transformations, or Givens rotations. Each has a number of advantages and disadvantages.
Using the Gram–Schmidt process
[edit]Consider the Gram–Schmidt process applied to the columns of the full column rank matrix , with inner product (or for the complex case).
Define the projection:
then:
We can now express the s over our newly computed orthonormal basis:
where . This can be written in matrix form:
where:
and
Example
[edit]Consider the decomposition of
Recall that an orthonormal matrix has the property .
Then, we can calculate by means of Gram–Schmidt as follows:
Thus, we have
Relation to RQ decomposition
[edit]The RQ decomposition transforms a matrix A into the product of an upper triangular matrix R (also known as right-triangular) and an orthogonal matrix Q. The only difference from QR decomposition is the order of these matrices.
QR decomposition is Gram–Schmidt orthogonalization of columns of A, started from the first column.
RQ decomposition is Gram–Schmidt orthogonalization of rows of A, started from the last row.
Advantages and disadvantages
[edit]The Gram-Schmidt process is inherently numerically unstable. While the application of the projections has an appealing geometric analogy to orthogonalization, the orthogonalization itself is prone to numerical error. A significant advantage is the ease of implementation.
Using Householder reflections
[edit]
A Householder reflection (or Householder transformation) is a transformation that takes a vector and reflects it about some plane or hyperplane. We can use this operation to calculate the QR factorization of an m-by-n matrix with m ≥ n.
Q can be used to reflect a vector in such a way that all coordinates but one disappear.
Let be an arbitrary real m-dimensional column vector of such that for a scalar α. If the algorithm is implemented using floating-point arithmetic, then α should get the opposite sign as the k-th coordinate of , where is to be the pivot coordinate after which all entries are 0 in matrix A's final upper triangular form, to avoid loss of significance. In the complex case, set[2]
and substitute transposition by conjugate transposition in the construction of Q below.
Then, where is the vector [1 0 ⋯ 0]T, || · || is the Euclidean norm and is an m×m identity matrix, set
Or, if is complex
is an m-by-m Householder matrix, which is both symmetric and orthogonal (Hermitian and unitary in the complex case), and
This can be used to gradually transform an m-by-n matrix A to upper triangular form. First, we multiply A with the Householder matrix Q1 we obtain when we choose the first matrix column for x. This results in a matrix Q1A with zeros in the left column (except for the first row).
This can be repeated for A′ (obtained from Q1A by deleting the first row and first column), resulting in a Householder matrix Q′2. Note that Q′2 is smaller than Q1. Since we want it really to operate on Q1A instead of A′ we need to expand it to the upper left, filling in a 1, or in general:
After iterations of this process, ,
is an upper triangular matrix. So, with
is a QR decomposition of .
This method has greater numerical stability than the Gram–Schmidt method above.
In numerical tests the computed factors and satisfy at machine precision. Also, orthogonality is preserved: . However, the accuracy of and decrease with condition number:
For a well-conditioned example (, ):
In an ill-conditioned test (, ): [3]
The following table gives the number of operations in the k-th step of the QR-decomposition by the Householder transformation, assuming a square matrix with size n.
| Operation | Number of operations in the k-th step |
|---|---|
| Multiplications | |
| Additions | |
| Division | |
| Square root |
Summing these numbers over the n − 1 steps (for a square matrix of size n), the complexity of the algorithm (in terms of floating point multiplications) is given by
Example
[edit]Let us calculate the decomposition of
First, we need to find a reflection that transforms the first column of matrix A, vector , into .
Now,
and
Here,
- and
Therefore
- and , and then
Now observe:
so we already have almost a triangular matrix. We only need to zero the (3, 2) entry.
Take the (1, 1) minor, and then apply the process again to
By the same method as above, we obtain the matrix of the Householder transformation
after performing a direct sum with 1 to make sure the next step in the process works properly.
Now, we find
Or, to four decimal digits,
The matrix Q is orthogonal and R is upper triangular, so A = QR is the required QR decomposition.
Advantages and disadvantages
[edit]The use of Householder transformations is inherently the most simple of the numerically stable QR decomposition algorithms due to the use of reflections as the mechanism for producing zeroes in the R matrix. However, the Householder reflection algorithm is bandwidth heavy and difficult to parallelize, as every reflection that produces a new zero element changes the entirety of both Q and R matrices.
Parallel implementation of Householder QR
[edit]The Householder QR method can be implemented in parallel with algorithms such as the TSQR algorithm (which stands for Tall Skinny QR). This algorithm can be applied in the case when the matrix A has m >> n.[4] This algorithm uses a binary reduction tree to compute local householder QR decomposition at each node in the forward pass, and re-constitute the Q matrix in the backward pass. The binary tree structure aims at decreasing the amount of communication between processor to increase performance.
Using Givens rotations
[edit]QR decompositions can also be computed with a series of Givens rotations. Each rotation zeroes an element in the subdiagonal of the matrix, forming the R matrix. The concatenation of all the Givens rotations forms the orthogonal Q matrix.
In practice, Givens rotations are not actually performed by building a whole matrix and doing a matrix multiplication. A Givens rotation procedure is used instead which does the equivalent of the sparse Givens matrix multiplication, without the extra work of handling the sparse elements. The Givens rotation procedure is useful in situations where only relatively few off-diagonal elements need to be zeroed, and is more easily parallelized than Householder transformations.
Example
[edit]Let us calculate the decomposition of
First, we need to form a rotation matrix that will zero the lowermost left element, . We form this matrix using the Givens rotation method, and call the matrix . We will first rotate the vector , to point along the X axis. This vector has an angle . We create the orthogonal Givens rotation matrix, :
And the result of now has a zero in the element.
We can similarly form Givens matrices and , which will zero the sub-diagonal elements and , forming a triangular matrix . The orthogonal matrix is formed from the product of all the Givens matrices . Thus, we have , and the QR decomposition is .
Advantages and disadvantages
[edit]The QR decomposition via Givens rotations is the most involved to implement, as the ordering of the rows required to fully exploit the algorithm is not trivial to determine. However, it has a significant advantage in that each new zero element affects only the row with the element to be zeroed (i) and a row above (j). This makes the Givens rotation algorithm more bandwidth efficient and parallelizable than the Householder reflection technique.
Connection to a determinant or a product of eigenvalues
[edit]We can use QR decomposition to find the determinant of a square matrix. Suppose a matrix is decomposed as . Then we have
can be chosen such that . Thus,
where the are the entries on the diagonal of . Furthermore, because the determinant equals the product of the eigenvalues, we have
where the are eigenvalues of .
We can extend the above properties to a non-square complex matrix by introducing the definition of QR decomposition for non-square complex matrices and replacing eigenvalues with singular values.
Start with a QR decomposition for a non-square matrix A:
where denotes the zero matrix and is a unitary matrix.
From the properties of the singular value decomposition (SVD) and the determinant of a matrix, we have
where the are the singular values of .
Note that the singular values of and are identical, although their complex eigenvalues may be different. However, if A is square, then
It follows that the QR decomposition can be used to efficiently calculate the product of the eigenvalues or singular values of a matrix.
Column pivoting
[edit]Pivoted QR differs from ordinary Gram-Schmidt in that it takes the largest remaining column at the beginning of each new step—column pivoting—[5] and thus introduces a permutation matrix P:
Column pivoting is useful when A is (nearly) rank deficient, or is suspected of being so. It can also improve numerical accuracy. P is usually chosen so that the diagonal elements of R are non-increasing: . This can be used to find the (numerical) rank of A at lower computational cost than a singular value decomposition, forming the basis of so-called rank-revealing QR algorithms.
Using for solution to linear inverse problems
[edit]Compared to the direct matrix inverse, inverse solutions using QR decomposition are more numerically stable as evidenced by their reduced condition numbers.[6]
To solve the underdetermined () linear problem where the matrix has dimensions and rank , first find the QR factorization of the transpose of : , where Q is an orthogonal matrix (i.e. ), and R has a special form: . Here is a square right triangular matrix, and the zero matrix has dimension . After some algebra, it can be shown that a solution to the inverse problem can be expressed as: where one may either find by Gaussian elimination or compute directly by forward substitution. The latter technique enjoys greater numerical accuracy and lower computations.
To find a solution to the overdetermined () problem which minimizes the norm , first find the QR factorization of : . The solution can then be expressed as , where is an matrix containing the first columns of the full orthonormal basis and where is as before. Equivalent to the underdetermined case, back substitution can be used to quickly and accurately find this without explicitly inverting . ( and are often provided by numerical libraries as an "economic" QR decomposition.)
Generalizations
[edit]Iwasawa decomposition generalizes QR decomposition to semi-simple Lie groups.
See also
[edit]- Polar decomposition
- Eigendecomposition (spectral decomposition)
- LU decomposition
- Singular value decomposition
References
[edit]- ^ a b c Trefethen, Lloyd N.; Bau, David III (1997). Numerical linear algebra. Philadelphia, PA: Society for Industrial and Applied Mathematics. ISBN 978-0-898713-61-9.
- ^ Stoer, Josef; Bulirsch, Roland (2002), Introduction to Numerical Analysis (3rd ed.), Springer, p. 225, ISBN 0-387-95452-X
- ^ Holmes, Mark H. (2023). Introduction to Scientific Computing and Data Analysis, 2nd Ed. Springer. ISBN 978-3-031-22429-4.
- ^ Demmel, James; Grigori, Laura (12 Jun 2008). "Communication-optimal parallel and sequential QR and LU factorizations: theory and practice". arXiv:0806.2159 [cs.NA].
- ^ Strang, Gilbert (2019). Linear Algebra and Learning from Data (1st ed.). Wellesley: Wellesley Cambridge Press. p. 143. ISBN 978-0-692-19638-0.
- ^ Parker, Robert L. (1994). Geophysical Inverse Theory. Princeton, N.J.: Princeton University Press. Section 1.13. ISBN 978-0-691-20683-7. OCLC 1134769155.
Further reading
[edit]- Golub, Gene H.; Van Loan, Charles F. (1996), Matrix Computations (3rd ed.), Johns Hopkins, ISBN 978-0-8018-5414-9.
- Horn, Roger A.; Johnson, Charles R. (1985), Matrix Analysis, Cambridge University Press, sec. 2.8, ISBN 0-521-38632-2
- Press, William H.; Teukolsky, Saul A.; Vetterling, William T.; Flannery, Brian P. (2007), "Section 2.10. QR Decomposition", Numerical Recipes: The Art of Scientific Computing (3rd ed.), New York: Cambridge University Press, ISBN 978-0-521-88068-8
External links
[edit]- Online Matrix Calculator Performs QR decomposition of matrices.
- LAPACK users manual gives details of subroutines to calculate the QR decomposition
- Mathematica users manual gives details and examples of routines to calculate QR decomposition
- ALGLIB includes a partial port of the LAPACK to C++, C#, Delphi, etc.
- Eigen::QR Includes C++ implementation of QR decomposition.
QR decomposition
View on GrokipediaDefinitions and Formulations
Square Matrices
For an invertible matrix , the QR decomposition provides an orthogonal-triangular factorization , where is an orthogonal matrix satisfying and is an upper triangular matrix with positive diagonal entries. The columns of form an orthonormal basis for , spanning the entire space and preserving lengths and angles under the transformation defined by . This factorization leverages the properties of orthogonal matrices to simplify various matrix operations while maintaining numerical stability. The uniqueness of the QR decomposition for square invertible matrices follows directly from the conditions imposed: if with both and upper triangular and having positive diagonals, then and . This uniqueness arises because the orthogonal factor is determined by successively orthogonalizing the columns of without sign ambiguities on the diagonal of , ensuring a canonical form. Geometrically, the QR decomposition interprets as a composition of an orthogonal transformation followed by a triangular one: rotates or reflects the standard orthonormal basis of to align with an orthonormal basis for the column space of , while captures the relative scalings along these directions and the shearing effects between them. This view highlights how the decomposition separates the isometric (length-preserving) component from the volumetric changes encoded in . The QR decomposition for square matrices, based on the Gram-Schmidt orthogonalization process, was developed as a numerically stable tool in mid-20th-century numerical linear algebra, with Gene H. Golub advancing its applications in 1965.[3]Rectangular Matrices
For a full rank matrix with , the QR decomposition takes the form , where is an orthogonal matrix and is an upper triangular matrix whose first rows are nonzero and the remaining rows are zero.[8] This full factorization extends the square case by embedding the decomposition into a larger orthogonal factor, preserving the property that .[9] In practice, the economy or reduced QR decomposition is often preferred for efficiency, expressed as , where is an matrix with orthonormal columns (satisfying ) and is an upper triangular matrix.[8] This thin form avoids the unnecessary block of identity in the full , reducing storage and computation costs when .[9] If has full column rank, is invertible, enabling direct computation of least squares solutions via back-substitution.[8] For the case (a fat matrix), the full QR decomposition is with an orthogonal matrix and an upper triangular matrix.[8] Here, no reduced form is typically emphasized, as the orthogonal factor is already square and minimal in rows.[9] In contrast, for tall matrices (), the thin QR is the standard variant, focusing on the column space without excess dimensions.[8] The columns of (or in the reduced form) form an orthonormal basis for the column space of , capturing its range exactly.[9] The upper triangular structure of (or ) facilitates forward or backward substitution in applications like solving overdetermined systems, as the triangular form allows efficient triangular solves.[8] For the thin QR, the equation holds with and upper triangular, ensuring uniqueness up to signs in the diagonal of for full rank .[9]Related Decompositions
The QL, RQ, and LQ decompositions form a family of orthogonal-triangular factorizations analogous to the standard QR decomposition, differing primarily in the placement of the orthogonal and triangular components. These variants arise naturally in numerical linear algebra when alternative triangular structures facilitate specific algorithmic needs, such as processing matrices from the bottom-up or row-wise.[10] In the QL decomposition, an matrix is factored as , where is an orthogonal matrix and is an lower trapezoidal matrix. For square matrices, the diagonal elements of are conventionally chosen to be positive. This form is computed by applying orthogonal transformations in reverse order compared to QR, effectively orthogonalizing columns from the bottom. QL proves useful in eigenvalue computations, particularly in the QL step of algorithms for symmetric tridiagonal matrices, where it aids in implicit shifting for improved convergence.[11][12] The RQ decomposition factors , with an upper trapezoidal matrix and an orthogonal matrix. It corresponds to the transpose of the QR decomposition of , thereby relating to row echelon forms when rows are prioritized. RQ is advantageous for row-wise processing in certain parallel or structured matrix algorithms, where upper triangular structure aligns with row operations.[13] The LQ decomposition expresses , where is an lower trapezoidal matrix and is an orthogonal matrix. As the dual of QR, it is obtained via the QR factorization of followed by transposition. LQ is particularly suited to underdetermined systems, enabling the computation of minimum-norm solutions by providing an orthonormal basis for the row space.[14] For a square matrix , the QL form is with lower triangular and positive diagonal entries, mirroring the QR convention but inverted in triangular orientation. The following table summarizes the factor positions across these decompositions:| Decomposition | Form | Orthogonal Factor | Triangular Factor | Primary Utility |
|---|---|---|---|---|
| QR | Left-multiplied | Upper, right | Column space basis | |
| QL | Left-multiplied | Lower, right | Bottom-up eigenvalue steps | |
| RQ | Right-multiplied | Upper, left | Row-wise or echelon processing | |
| LQ | Right-multiplied | Lower, left | Minimum-norm solutions |