annotate scripts/linear-algebra/duplication_matrix.m @ 33634:4a70f390c85e default tip @

maint: Merge stable to default.
author Markus Mützel <markus.muetzel@gmx.de>
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/>.
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7 ##
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8 ## This file is part of Octave.
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9 ##
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10 ## Octave is free software: you can redistribute it and/or modify it
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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.
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14 ##
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15 ## Octave is distributed in the hope that it will be useful, but
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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.
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19 ##
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20 ## You should have received a copy of the GNU General Public License
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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 ########################################################################
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25
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26 ## -*- texinfo -*-
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27 ## @deftypefn {} {@var{d} =} duplication_matrix (@var{n})
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28 ## Return the duplication matrix
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29 ## @tex
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30 ## $D_n$
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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
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36 ## @tex
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37 ## $n^2 \times n(n+1)/2$
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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
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43 ## @tex
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44 ## $D_n * {\rm vech} (A) = {\rm vec} (A)$
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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
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50 ## @tex
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51 ## $n \times n$
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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
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57 ## @tex
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58 ## $A$.
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59 ## @end tex
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60 ## @ifnottex
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61 ## @math{A}.
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62 ## @end ifnottex
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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}.
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66 ## @end deftypefn
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67
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68 function d = duplication_matrix (n)
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69
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70 if (nargin < 1)
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71 print_usage ();
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72 endif
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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");
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76 endif
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77
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78 d = zeros (n * n, n * (n + 1) / 2);
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79
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80 ## It is clearly possible to make this a LOT faster!
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81 count = 0;
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82 for j = 1 : n
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83 d((j - 1) * n + j, count + j) = 1;
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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;
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87 endfor
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88 count += n - j;
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89 endfor
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90
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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))