[R] Inverse matrix using eigendecomposition
Berend Hasselman
bhh at xs4all.nl
Tue Dec 13 06:28:53 CET 2011
wwreith wrote
>
> General goal: Write R code to find the inverse matrix of an nxn positive
> definite symmetric matrix. Use solve() to verify your code works.
>
> Started with a 3x3 matrix example to build the code, but something dosen't
> seem to be working. I just don't know where I am going wrong.
>
> ##Example matrix I found online
> A<-c(4,1,-1,1,2,1,-1,1,2)
> m<-matrix(A,nrow=3,ncol=3)
>
> ##Caculate the eigen vectors and eigenvalues
> E<-eigen(m, sym=TRUE)
> Q<-E$vectors
> V<-E$values
> n<-nrow(m)
>
> ##normalize the eigenvectors
> for(i in 1:n){
> Q[,i]<-Q[,i]/sqrt(sum(Q[,i]^2))
> }
>
> ##verify dot product of vectors are orthogonal
> sum(Q[,1]*Q[,2])
> sum(Q[,1]*Q[,3])
> sum(Q[,2]*Q[,3])
>
> ##Begin creating QDQ^T matrix. Where Q are orthonormal eigenvectors, and D
> is a diagonal matrix with 1/eigenvalues on the diagonal. and Q^T is the
> transpose of Q.
>
> R<-t(Q)
> D<-mat.or.vec(n,n)
> for(i in 1:n) {
> D[i,i]<-1/V[i]
> }
> P<-Q*D*R
>
> ## P should be the inverse of the matrix m. Check using
>
> solve(m)
>
> ## solve(m) does not equal P? Any ideas of what I am missing/not
> understanding?
>
Homework questions are not answered.
But to give you a hint: look in the "An Introduction to R" manual Chapter 5
"Array and Matrices" especially section 5.7 "Matrix facilities".
(http://cran.r-project.org/doc/manuals/R-intro.html)
You should be able to work out what's wrong in your script (a single
statement).
Berend
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