Mercurial > octave
annotate scripts/linear-algebra/duplication_matrix.m @ 33634:4a70f390c85e default tip @
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author | Markus Mützel <markus.muetzel@gmx.de> |
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date | Tue, 28 May 2024 15:25:54 +0200 |
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1 ######################################################################## |
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2 ## |
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3 ## Copyright (C) 1995-2024 The Octave Project Developers |
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4 ## |
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5 ## See the file COPYRIGHT.md in the top-level directory of this |
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6 ## distribution or <https://octave.org/copyright/>. |
3426 | 7 ## |
3922 | 8 ## This file is part of Octave. |
9 ## | |
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10 ## Octave is free software: you can redistribute it and/or modify it |
3922 | 11 ## under the terms of the GNU General Public License as published by |
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12 ## the Free Software Foundation, either version 3 of the License, or |
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13 ## (at your option) any later version. |
3426 | 14 ## |
3922 | 15 ## Octave is distributed in the hope that it will be useful, but |
2540 | 16 ## WITHOUT ANY WARRANTY; without even the implied warranty of |
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17 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the |
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18 ## GNU General Public License for more details. |
3426 | 19 ## |
2540 | 20 ## You should have received a copy of the GNU General Public License |
7016 | 21 ## along with Octave; see the file COPYING. If not, see |
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22 ## <https://www.gnu.org/licenses/>. |
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23 ## |
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24 ######################################################################## |
2540 | 25 |
3426 | 26 ## -*- texinfo -*- |
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27 ## @deftypefn {} {@var{d} =} duplication_matrix (@var{n}) |
3321 | 28 ## Return the duplication matrix |
29 ## @tex | |
30 ## $D_n$ | |
31 ## @end tex | |
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32 ## @ifnottex |
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33 ## @nospell{@math{Dn}} |
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34 ## @end ifnottex |
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35 ## which is the unique |
3321 | 36 ## @tex |
37 ## $n^2 \times n(n+1)/2$ | |
38 ## @end tex | |
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39 ## @ifnottex |
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40 ## @math{N^2}-by-@math{N*(N+1)/2} |
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41 ## @end ifnottex |
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42 ## matrix such that |
3321 | 43 ## @tex |
44 ## $D_n * {\rm vech} (A) = {\rm vec} (A)$ | |
45 ## @end tex | |
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46 ## @ifnottex |
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47 ## @nospell{@code{Dn * vech (A) = vec (A)}} |
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48 ## @end ifnottex |
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49 ## for all symmetric |
3321 | 50 ## @tex |
51 ## $n \times n$ | |
52 ## @end tex | |
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53 ## @ifnottex |
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54 ## @math{N}-by-@math{N} |
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55 ## @end ifnottex |
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56 ## matrices |
3321 | 57 ## @tex |
58 ## $A$. | |
59 ## @end tex | |
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60 ## @ifnottex |
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61 ## @math{A}. |
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62 ## @end ifnottex |
3426 | 63 ## |
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64 ## See @nospell{Magnus and Neudecker} (1988), @cite{Matrix Differential |
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65 ## Calculus with Applications in Statistics and Econometrics}. |
3321 | 66 ## @end deftypefn |
2540 | 67 |
68 function d = duplication_matrix (n) | |
69 | |
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70 if (nargin < 1) |
6046 | 71 print_usage (); |
2540 | 72 endif |
73 | |
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74 if (! (isscalar (n) && n > 0 && n == fix (n))) |
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75 error ("duplication_matrix: N must be a positive integer"); |
2540 | 76 endif |
77 | |
78 d = zeros (n * n, n * (n + 1) / 2); | |
79 | |
80 ## It is clearly possible to make this a LOT faster! | |
81 count = 0; | |
82 for j = 1 : n | |
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83 d((j - 1) * n + j, count + j) = 1; |
2540 | 84 for i = (j + 1) : n |
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85 d((j - 1) * n + i, count + i) = 1; |
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86 d((i - 1) * n + j, count + i) = 1; |
2540 | 87 endfor |
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88 count += n - j; |
2540 | 89 endfor |
90 | |
91 endfunction | |
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92 |
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93 |
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94 %!test |
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95 %! N = 2; |
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96 %! A = rand (N); |
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97 %! B = A * A'; |
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98 %! C = A + A'; |
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99 %! D = duplication_matrix (N); |
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100 %! assert (D * vech (B), vec (B), 1e-6); |
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101 %! assert (D * vech (C), vec (C), 1e-6); |
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102 |
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103 %!test |
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104 %! N = 3; |
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105 %! A = rand (N); |
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106 %! B = A * A'; |
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107 %! C = A + A'; |
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108 %! D = duplication_matrix (N); |
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109 %! assert (D * vech (B), vec (B), 1e-6); |
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110 %! assert (D * vech (C), vec (C), 1e-6); |
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111 |
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112 %!test |
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113 %! N = 4; |
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114 %! A = rand (N); |
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115 %! B = A * A'; |
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116 %! C = A + A'; |
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117 %! D = duplication_matrix (N); |
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118 %! assert (D * vech (B), vec (B), 1e-6); |
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119 %! assert (D * vech (C), vec (C), 1e-6); |
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120 |
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121 %!error <Invalid call> duplication_matrix () |
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122 %!error duplication_matrix (0.5) |
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123 %!error duplication_matrix (-1) |
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124 %!error duplication_matrix (ones (1,4)) |