# qtyr¶

## Purpose¶

Computes the orthogonal-triangular (QR) decomposition of a matrix $$X$$ and returns $$Q'Y$$ and $$R$$.

## Format¶

{ qty, r } = qtyr(y, X)
Parameters:
• y (NxL matrix) – data

• X (NxP matrix) – data

Returns:
• qty (NxL matrix) – unitary matrix

• r (KxP matrix) – upper triangular matrix. $$K = min(N,P)$$.

## Examples¶

The QR algorithm is the numerically superior method for the solution of least squares problems:

loadm x, y;
{ qty, r } = qtyr(y, x);
q1ty = qty[1:rows(r), .];
q2ty = qty[rows(r)+1:rows(qty), .];

// LS coefficients
b = qrsol(q1ty, r);

// Residual sums of squares
s2 = sumc(q2ty^2);


## Remarks¶

Given $$X$$, there is an orthogonal matrix $$Q$$ such that $$Q'X$$ is zero below its diagonal, i.e.,

$\begin{split}Q′X = \begin{bmatrix} R \\ 0 \end{bmatrix}\end{split}$

where $$R$$ is upper triangular. If we partition

$Q⁢ = \begin{bmatrix} Q_1 & Q_2 \end{bmatrix}$

where $$Q_1$$ has $$P$$ columns, then

$X = Q_1R$

is the QR decomposition of $$X$$. If $$X$$ has linearly independent columns, $$R$$ is also the Cholesky factorization of the moment matrix of $$X$$, i.e., of $$X'X$$. For most problems $$Q$$ or $$Q_1$$ is not what is required. Rather, we require $$Q'Y$$ or $$Q_1'Y$$ where $$Y$$ is an NxL matrix (if either $$QY$$ or $$Q_1Y$$ are required, see qyr()). Since $$Q$$ can be a very large matrix, qtyr() has been provided for the calculation of $$Q'Y$$ which will be a much smaller matrix. $$Q_1'Y$$ will be a submatrix of $$Q'Y$$. In particular,

$G = Q_1'Y = \text{qty}[1:P, .]$

and $$Q_2'Y$$ is the remaining submatrix:

$H⁢ = Q_2'Y = \text{qty}[P+1:N, .]$

Suppose that $$X$$ is an NxK dataset of independent variables, and $$Y$$ is an Nx1 vector of dependent variables. Then it can be shown that

$b = R^{-1}G$

and

$\begin{split}s_j= \sum_{i=1}^{N−P}⁢H_{i,j}\\ ⁢j = 1,2,...L\end{split}$

where b is a PxL matrix of least squares coefficients and s is a 1xL vector of residual sums of squares. Rather than invert $$R$$ directly, however, it is better to apply qrsol() to

$Rb⁢= Q_1′Y$

For rank deficient least squares problems, see qtyre() and qtyrep().

qtyr.src