Solving overdetermined system by QR decomposition The 2019 Stack Overflow Developer Survey Results Are In Announcing the arrival of Valued Associate #679: Cesar Manara Planned maintenance scheduled April 17/18, 2019 at 00:00UTC (8:00pm US/Eastern)What does QR decomposition have to do with least squares method?Check Whether an Overdetermined Linear Equation System is Consistent: General Approach?Is the least squares solution to an overdetermined system a triangle center?Solving a feasible system of linear equations using Linear ProgrammingProving unique solution exists for a system of equationsSolve an overdetermined system of linear equationsSolving overdetermined linear system with $3$ equations in $2$ unknownsOverdetermined System Ax=bSolving a system by using Cholesky Decomposition $(LDL^T)$Solving $Ax = b$ using least squares (minimize $||Ax -b||_2$)How to do Given's rotation for $3x2$ matrix? (QR decomposition)
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Solving overdetermined system by QR decomposition
The 2019 Stack Overflow Developer Survey Results Are In
Announcing the arrival of Valued Associate #679: Cesar Manara
Planned maintenance scheduled April 17/18, 2019 at 00:00UTC (8:00pm US/Eastern)What does QR decomposition have to do with least squares method?Check Whether an Overdetermined Linear Equation System is Consistent: General Approach?Is the least squares solution to an overdetermined system a triangle center?Solving a feasible system of linear equations using Linear ProgrammingProving unique solution exists for a system of equationsSolve an overdetermined system of linear equationsSolving overdetermined linear system with $3$ equations in $2$ unknownsOverdetermined System Ax=bSolving a system by using Cholesky Decomposition $(LDL^T)$Solving $Ax = b$ using least squares (minimize $||Ax -b||_2$)How to do Given's rotation for $3x2$ matrix? (QR decomposition)
$begingroup$
I need to solve $Ax=b$ in lots of ways using QR decomposition.
$$A = beginbmatrix
1 & 1 \
-1 & 1 \
1 & 2
endbmatrix, b = beginbmatrix
1 \
0 \
1
endbmatrix$$
This is an overdetermined system. That is, it has more equations than needed for a unique solution.
I need to find $min ||Ax-b||$. How should I solve it using QR?
I know that QR can be used to reduce the problem to
$$Vert Ax - b Vert = Vert QRx - b Vert = Vert Rx - Q^-1b Vert.$$
but what do I do after this?
linear-algebra numerical-methods numerical-linear-algebra
$endgroup$
add a comment |
$begingroup$
I need to solve $Ax=b$ in lots of ways using QR decomposition.
$$A = beginbmatrix
1 & 1 \
-1 & 1 \
1 & 2
endbmatrix, b = beginbmatrix
1 \
0 \
1
endbmatrix$$
This is an overdetermined system. That is, it has more equations than needed for a unique solution.
I need to find $min ||Ax-b||$. How should I solve it using QR?
I know that QR can be used to reduce the problem to
$$Vert Ax - b Vert = Vert QRx - b Vert = Vert Rx - Q^-1b Vert.$$
but what do I do after this?
linear-algebra numerical-methods numerical-linear-algebra
$endgroup$
add a comment |
$begingroup$
I need to solve $Ax=b$ in lots of ways using QR decomposition.
$$A = beginbmatrix
1 & 1 \
-1 & 1 \
1 & 2
endbmatrix, b = beginbmatrix
1 \
0 \
1
endbmatrix$$
This is an overdetermined system. That is, it has more equations than needed for a unique solution.
I need to find $min ||Ax-b||$. How should I solve it using QR?
I know that QR can be used to reduce the problem to
$$Vert Ax - b Vert = Vert QRx - b Vert = Vert Rx - Q^-1b Vert.$$
but what do I do after this?
linear-algebra numerical-methods numerical-linear-algebra
$endgroup$
I need to solve $Ax=b$ in lots of ways using QR decomposition.
$$A = beginbmatrix
1 & 1 \
-1 & 1 \
1 & 2
endbmatrix, b = beginbmatrix
1 \
0 \
1
endbmatrix$$
This is an overdetermined system. That is, it has more equations than needed for a unique solution.
I need to find $min ||Ax-b||$. How should I solve it using QR?
I know that QR can be used to reduce the problem to
$$Vert Ax - b Vert = Vert QRx - b Vert = Vert Rx - Q^-1b Vert.$$
but what do I do after this?
linear-algebra numerical-methods numerical-linear-algebra
linear-algebra numerical-methods numerical-linear-algebra
asked yesterday
Guerlando OCsGuerlando OCs
10821856
10821856
add a comment |
add a comment |
2 Answers
2
active
oldest
votes
$begingroup$
The most straightforward way I know is to pass through the normal equations:
$$A^T A x = A^T b$$
and substitute in the $QR$ decomposition of $A$ (with the convention $Q in mathbbR^m times n,R in mathbbR^n times n$). Thus you get
$$R^T Q^T Q R x = R^T Q^T b.$$
But $Q^T Q=I_n$. (Note that in this convention $Q$ isn't an orthogonal matrix, so $Q Q^T neq I_m$, but this doesn't matter here.) Thus:
$$R^T R x = R^T Q^T b.$$
If $A$ has linearly independent columns (as is usually the case with overdetermined systems), then $R^T$ is injective, so by multiplying both sides by the left inverse of $R^T$ you get
$$Rx=Q^T b.$$
This system is now easy to solve numerically.
For numerical purposes it's important that the removal of $Q^T Q$ and $R^T$ from the problem is done analytically, and in particular $A^T A$ is never constructed numerically.
$endgroup$
1
$begingroup$
Is there any reason to make this so convoluted? From $Ax=b$ you have $QRx=b$, multiply by $Q^T$ on the left.
$endgroup$
– Martin Argerami
yesterday
$begingroup$
@MartinArgerami Because actually the least squares solution usually does not satisfy $Ax=b$. This simple perspective only shows you that this approach gives you a solution when a solution exists. Now you could argue directly that multiplying both sides by $Q^T$ furnishes an equation whose solution is the least squares solution. (Such an argument would resemble the usual geometric argument for deriving the normal equations.) This would make a good alternative answer to mine.
$endgroup$
– Ian
yesterday
add a comment |
$begingroup$
Note that $Rx$ has the form
$$Rx = beginbmatrix y_1 \ y_2 \ 0endbmatrix $$
, so if $$ Q^-1b = beginbmatrix z_1 \ z_2 \ z_3endbmatrix$$
then $|| Rx - Q^-1b||$ will be minimal for $y_1 = z_1$, $y_2=z_2$. This set of equation is no longer overdetermined.
Using matrix notation, if tou write $R = beginbmatrix R_1 \ 0endbmatrix$ and intoduce $P=beginbmatrix1 & 0 & 0 \ 0 & 1& 0endbmatrix$, then you have
$$ R_1x = PQ^-1b$$
$$ x = (R_1)^-1PQ^-1b$$
$endgroup$
1
$begingroup$
The key trick in this answer is that by the orthogonality, $| Ax - b | = | Rx - Q^T b |$.
$endgroup$
– Ian
yesterday
$begingroup$
@Ian, That's something that OP has alredy obtained on his own (since $Q$ is orthogonal, $Q^-1=Q^T$).
$endgroup$
– Adam Latosiński
16 hours ago
add a comment |
Your Answer
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2 Answers
2
active
oldest
votes
2 Answers
2
active
oldest
votes
active
oldest
votes
active
oldest
votes
$begingroup$
The most straightforward way I know is to pass through the normal equations:
$$A^T A x = A^T b$$
and substitute in the $QR$ decomposition of $A$ (with the convention $Q in mathbbR^m times n,R in mathbbR^n times n$). Thus you get
$$R^T Q^T Q R x = R^T Q^T b.$$
But $Q^T Q=I_n$. (Note that in this convention $Q$ isn't an orthogonal matrix, so $Q Q^T neq I_m$, but this doesn't matter here.) Thus:
$$R^T R x = R^T Q^T b.$$
If $A$ has linearly independent columns (as is usually the case with overdetermined systems), then $R^T$ is injective, so by multiplying both sides by the left inverse of $R^T$ you get
$$Rx=Q^T b.$$
This system is now easy to solve numerically.
For numerical purposes it's important that the removal of $Q^T Q$ and $R^T$ from the problem is done analytically, and in particular $A^T A$ is never constructed numerically.
$endgroup$
1
$begingroup$
Is there any reason to make this so convoluted? From $Ax=b$ you have $QRx=b$, multiply by $Q^T$ on the left.
$endgroup$
– Martin Argerami
yesterday
$begingroup$
@MartinArgerami Because actually the least squares solution usually does not satisfy $Ax=b$. This simple perspective only shows you that this approach gives you a solution when a solution exists. Now you could argue directly that multiplying both sides by $Q^T$ furnishes an equation whose solution is the least squares solution. (Such an argument would resemble the usual geometric argument for deriving the normal equations.) This would make a good alternative answer to mine.
$endgroup$
– Ian
yesterday
add a comment |
$begingroup$
The most straightforward way I know is to pass through the normal equations:
$$A^T A x = A^T b$$
and substitute in the $QR$ decomposition of $A$ (with the convention $Q in mathbbR^m times n,R in mathbbR^n times n$). Thus you get
$$R^T Q^T Q R x = R^T Q^T b.$$
But $Q^T Q=I_n$. (Note that in this convention $Q$ isn't an orthogonal matrix, so $Q Q^T neq I_m$, but this doesn't matter here.) Thus:
$$R^T R x = R^T Q^T b.$$
If $A$ has linearly independent columns (as is usually the case with overdetermined systems), then $R^T$ is injective, so by multiplying both sides by the left inverse of $R^T$ you get
$$Rx=Q^T b.$$
This system is now easy to solve numerically.
For numerical purposes it's important that the removal of $Q^T Q$ and $R^T$ from the problem is done analytically, and in particular $A^T A$ is never constructed numerically.
$endgroup$
1
$begingroup$
Is there any reason to make this so convoluted? From $Ax=b$ you have $QRx=b$, multiply by $Q^T$ on the left.
$endgroup$
– Martin Argerami
yesterday
$begingroup$
@MartinArgerami Because actually the least squares solution usually does not satisfy $Ax=b$. This simple perspective only shows you that this approach gives you a solution when a solution exists. Now you could argue directly that multiplying both sides by $Q^T$ furnishes an equation whose solution is the least squares solution. (Such an argument would resemble the usual geometric argument for deriving the normal equations.) This would make a good alternative answer to mine.
$endgroup$
– Ian
yesterday
add a comment |
$begingroup$
The most straightforward way I know is to pass through the normal equations:
$$A^T A x = A^T b$$
and substitute in the $QR$ decomposition of $A$ (with the convention $Q in mathbbR^m times n,R in mathbbR^n times n$). Thus you get
$$R^T Q^T Q R x = R^T Q^T b.$$
But $Q^T Q=I_n$. (Note that in this convention $Q$ isn't an orthogonal matrix, so $Q Q^T neq I_m$, but this doesn't matter here.) Thus:
$$R^T R x = R^T Q^T b.$$
If $A$ has linearly independent columns (as is usually the case with overdetermined systems), then $R^T$ is injective, so by multiplying both sides by the left inverse of $R^T$ you get
$$Rx=Q^T b.$$
This system is now easy to solve numerically.
For numerical purposes it's important that the removal of $Q^T Q$ and $R^T$ from the problem is done analytically, and in particular $A^T A$ is never constructed numerically.
$endgroup$
The most straightforward way I know is to pass through the normal equations:
$$A^T A x = A^T b$$
and substitute in the $QR$ decomposition of $A$ (with the convention $Q in mathbbR^m times n,R in mathbbR^n times n$). Thus you get
$$R^T Q^T Q R x = R^T Q^T b.$$
But $Q^T Q=I_n$. (Note that in this convention $Q$ isn't an orthogonal matrix, so $Q Q^T neq I_m$, but this doesn't matter here.) Thus:
$$R^T R x = R^T Q^T b.$$
If $A$ has linearly independent columns (as is usually the case with overdetermined systems), then $R^T$ is injective, so by multiplying both sides by the left inverse of $R^T$ you get
$$Rx=Q^T b.$$
This system is now easy to solve numerically.
For numerical purposes it's important that the removal of $Q^T Q$ and $R^T$ from the problem is done analytically, and in particular $A^T A$ is never constructed numerically.
edited yesterday
answered yesterday
IanIan
69.2k25392
69.2k25392
1
$begingroup$
Is there any reason to make this so convoluted? From $Ax=b$ you have $QRx=b$, multiply by $Q^T$ on the left.
$endgroup$
– Martin Argerami
yesterday
$begingroup$
@MartinArgerami Because actually the least squares solution usually does not satisfy $Ax=b$. This simple perspective only shows you that this approach gives you a solution when a solution exists. Now you could argue directly that multiplying both sides by $Q^T$ furnishes an equation whose solution is the least squares solution. (Such an argument would resemble the usual geometric argument for deriving the normal equations.) This would make a good alternative answer to mine.
$endgroup$
– Ian
yesterday
add a comment |
1
$begingroup$
Is there any reason to make this so convoluted? From $Ax=b$ you have $QRx=b$, multiply by $Q^T$ on the left.
$endgroup$
– Martin Argerami
yesterday
$begingroup$
@MartinArgerami Because actually the least squares solution usually does not satisfy $Ax=b$. This simple perspective only shows you that this approach gives you a solution when a solution exists. Now you could argue directly that multiplying both sides by $Q^T$ furnishes an equation whose solution is the least squares solution. (Such an argument would resemble the usual geometric argument for deriving the normal equations.) This would make a good alternative answer to mine.
$endgroup$
– Ian
yesterday
1
1
$begingroup$
Is there any reason to make this so convoluted? From $Ax=b$ you have $QRx=b$, multiply by $Q^T$ on the left.
$endgroup$
– Martin Argerami
yesterday
$begingroup$
Is there any reason to make this so convoluted? From $Ax=b$ you have $QRx=b$, multiply by $Q^T$ on the left.
$endgroup$
– Martin Argerami
yesterday
$begingroup$
@MartinArgerami Because actually the least squares solution usually does not satisfy $Ax=b$. This simple perspective only shows you that this approach gives you a solution when a solution exists. Now you could argue directly that multiplying both sides by $Q^T$ furnishes an equation whose solution is the least squares solution. (Such an argument would resemble the usual geometric argument for deriving the normal equations.) This would make a good alternative answer to mine.
$endgroup$
– Ian
yesterday
$begingroup$
@MartinArgerami Because actually the least squares solution usually does not satisfy $Ax=b$. This simple perspective only shows you that this approach gives you a solution when a solution exists. Now you could argue directly that multiplying both sides by $Q^T$ furnishes an equation whose solution is the least squares solution. (Such an argument would resemble the usual geometric argument for deriving the normal equations.) This would make a good alternative answer to mine.
$endgroup$
– Ian
yesterday
add a comment |
$begingroup$
Note that $Rx$ has the form
$$Rx = beginbmatrix y_1 \ y_2 \ 0endbmatrix $$
, so if $$ Q^-1b = beginbmatrix z_1 \ z_2 \ z_3endbmatrix$$
then $|| Rx - Q^-1b||$ will be minimal for $y_1 = z_1$, $y_2=z_2$. This set of equation is no longer overdetermined.
Using matrix notation, if tou write $R = beginbmatrix R_1 \ 0endbmatrix$ and intoduce $P=beginbmatrix1 & 0 & 0 \ 0 & 1& 0endbmatrix$, then you have
$$ R_1x = PQ^-1b$$
$$ x = (R_1)^-1PQ^-1b$$
$endgroup$
1
$begingroup$
The key trick in this answer is that by the orthogonality, $| Ax - b | = | Rx - Q^T b |$.
$endgroup$
– Ian
yesterday
$begingroup$
@Ian, That's something that OP has alredy obtained on his own (since $Q$ is orthogonal, $Q^-1=Q^T$).
$endgroup$
– Adam Latosiński
16 hours ago
add a comment |
$begingroup$
Note that $Rx$ has the form
$$Rx = beginbmatrix y_1 \ y_2 \ 0endbmatrix $$
, so if $$ Q^-1b = beginbmatrix z_1 \ z_2 \ z_3endbmatrix$$
then $|| Rx - Q^-1b||$ will be minimal for $y_1 = z_1$, $y_2=z_2$. This set of equation is no longer overdetermined.
Using matrix notation, if tou write $R = beginbmatrix R_1 \ 0endbmatrix$ and intoduce $P=beginbmatrix1 & 0 & 0 \ 0 & 1& 0endbmatrix$, then you have
$$ R_1x = PQ^-1b$$
$$ x = (R_1)^-1PQ^-1b$$
$endgroup$
1
$begingroup$
The key trick in this answer is that by the orthogonality, $| Ax - b | = | Rx - Q^T b |$.
$endgroup$
– Ian
yesterday
$begingroup$
@Ian, That's something that OP has alredy obtained on his own (since $Q$ is orthogonal, $Q^-1=Q^T$).
$endgroup$
– Adam Latosiński
16 hours ago
add a comment |
$begingroup$
Note that $Rx$ has the form
$$Rx = beginbmatrix y_1 \ y_2 \ 0endbmatrix $$
, so if $$ Q^-1b = beginbmatrix z_1 \ z_2 \ z_3endbmatrix$$
then $|| Rx - Q^-1b||$ will be minimal for $y_1 = z_1$, $y_2=z_2$. This set of equation is no longer overdetermined.
Using matrix notation, if tou write $R = beginbmatrix R_1 \ 0endbmatrix$ and intoduce $P=beginbmatrix1 & 0 & 0 \ 0 & 1& 0endbmatrix$, then you have
$$ R_1x = PQ^-1b$$
$$ x = (R_1)^-1PQ^-1b$$
$endgroup$
Note that $Rx$ has the form
$$Rx = beginbmatrix y_1 \ y_2 \ 0endbmatrix $$
, so if $$ Q^-1b = beginbmatrix z_1 \ z_2 \ z_3endbmatrix$$
then $|| Rx - Q^-1b||$ will be minimal for $y_1 = z_1$, $y_2=z_2$. This set of equation is no longer overdetermined.
Using matrix notation, if tou write $R = beginbmatrix R_1 \ 0endbmatrix$ and intoduce $P=beginbmatrix1 & 0 & 0 \ 0 & 1& 0endbmatrix$, then you have
$$ R_1x = PQ^-1b$$
$$ x = (R_1)^-1PQ^-1b$$
answered yesterday
Adam LatosińskiAdam Latosiński
6068
6068
1
$begingroup$
The key trick in this answer is that by the orthogonality, $| Ax - b | = | Rx - Q^T b |$.
$endgroup$
– Ian
yesterday
$begingroup$
@Ian, That's something that OP has alredy obtained on his own (since $Q$ is orthogonal, $Q^-1=Q^T$).
$endgroup$
– Adam Latosiński
16 hours ago
add a comment |
1
$begingroup$
The key trick in this answer is that by the orthogonality, $| Ax - b | = | Rx - Q^T b |$.
$endgroup$
– Ian
yesterday
$begingroup$
@Ian, That's something that OP has alredy obtained on his own (since $Q$ is orthogonal, $Q^-1=Q^T$).
$endgroup$
– Adam Latosiński
16 hours ago
1
1
$begingroup$
The key trick in this answer is that by the orthogonality, $| Ax - b | = | Rx - Q^T b |$.
$endgroup$
– Ian
yesterday
$begingroup$
The key trick in this answer is that by the orthogonality, $| Ax - b | = | Rx - Q^T b |$.
$endgroup$
– Ian
yesterday
$begingroup$
@Ian, That's something that OP has alredy obtained on his own (since $Q$ is orthogonal, $Q^-1=Q^T$).
$endgroup$
– Adam Latosiński
16 hours ago
$begingroup$
@Ian, That's something that OP has alredy obtained on his own (since $Q$ is orthogonal, $Q^-1=Q^T$).
$endgroup$
– Adam Latosiński
16 hours ago
add a comment |
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