Matrix Decompositions in Visual Basic QuickStart Sample
Illustrates how compute various decompositions of a matrix using classes in the Extreme.Mathematics.LinearAlgebra namespace in Visual Basic.
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Option Infer On
Imports Extreme.Mathematics
' The DenseMatrix and DoubleVector classes resides in the
' Extreme.Mathematics.LinearAlgebra namespace.
Imports Extreme.Mathematics.LinearAlgebra
' Illustrates the use of matrix decompositions for solving systems of
' simultaneous linear equations and related operations using the
' Decomposition class and its derived classes from the
' Extreme.Mathematics.LinearAlgebra namespace of Extreme Numerics.NET.
Module MatrixDecompositions
Sub Main()
' The license is verified at runtime. We're using
' a demo license here. For more information, see
' https://numerics.net/trial-key
Extreme.License.Verify("Demo license")
' For details on the basic workings of Vector
' objects, including constructing, copying and
' cloning vectors, see the BasicVectors QuickStart
' Sample.
'
' For details on the basic workings of Matrix
' objects, including constructing, copying and
' cloning vectors, see the BasicVectors QuickStart
' Sample.
'
'
' LU Decomposition
'
' The LU decomposition of a matrix rewrites a matrix A in the
' form A = PLU with P a permutation matrix, L a unit-
' lower triangular matrix, and U an upper triangular matrix.
Dim aLU = Matrix.Create(4, 4,
New Double() _
{
1.8, 5.25, 1.58, -1.11,
2.88, -2.95, -2.69, -0.66,
2.05, -0.95, -2.9, -0.59,
-0.89, -3.8, -1.04, 0.8
}, MatrixElementOrder.ColumnMajor)
Dim bLU = Matrix.Create(4, 2, New Double() _
{
9.52, 24.35, 0.77, -6.22,
18.47, 2.25, -13.28, -6.21
}, MatrixElementOrder.ColumnMajor)
' The constructor takes one or two parameters. The second
' parameter is a bool value that indicates whether the
' matrix should be overwritten with its decomposition.
Dim lu As LUDecomposition(Of Double) = aLU.GetLUDecomposition(True)
Console.WriteLine("A = {0:F4}", aLU)
' The Decompose method performs the decomposition. You don't need
' to call it explicitly, as it is called automatically as needed.
' The IsSingular method checks for singularity.
Console.WriteLine("'A is singular' is {0}.", lu.IsSingular())
' The LowerTriangularFactor and UpperTriangularFactor properties
' return the two main components of the decomposition.
Console.WriteLine("L = {0:F4}", lu.LowerTriangularFactor)
Console.WriteLine("U = {0:F4}", lu.UpperTriangularFactor)
' GetInverse() gives the matrix inverse, Determinant() the determinant:
Console.WriteLine("Inv A = {0:F4}", lu.GetInverse())
Console.WriteLine("Det A = {0:F4}", lu.GetDeterminant())
' The Solve method solves a system of simultaneous linear equations, with
' one or more right-hand-sides:
Dim xLU = lu.Solve(bLU)
Console.WriteLine("x = {0:F4}", xLU)
' The permutation is available through the RowPermutation property:
Console.WriteLine("P = {0}", lu.RowPermutation)
Console.WriteLine("Px = {0:F6}", xLU.PermuteRowsInPlace(lu.RowPermutation))
'
' QR Decomposition
'
' The QR decomposition of a matrix A rewrites the matrix
' in the form A = QR, with Q a square, orthogonal matrix,
' and R an upper triangular matrix.
Dim aQR = Matrix.Create(5, 3,
New Double() _
{
2.0, 2.0, 1.6, 2.0, 1.2,
2.5, 2.5, -0.4, -0.5, -0.3,
2.5, 2.5, 2.8, 0.5, -2.9
}, MatrixElementOrder.ColumnMajor)
Dim bQR As DenseVector(Of Double) = Vector.Create(1.1, 0.9, 0.6, 0.0, -0.8)
' The constructor takes one or two parameters. The second
' parameter is a bool value that indicates whether the
' matrix should be overwritten with its decomposition.
Dim qr As QRDecomposition(Of Double) = aQR.GetQRDecomposition(True)
Console.WriteLine("A = {0:F4}", aQR)
' The Decompose method performs the decomposition. You don't need
' to call it explicitly, as it is called automatically as needed.
' The IsSingular method checks for singularity.
Console.WriteLine("'A is singular' is {0}.", qr.IsSingular())
' GetInverse() gives the matrix inverse, GetDeterminant() the determinant.
' However, these are only defined for square matrices.
' The Solve method solves a system of simultaneous linear equations, with
' one or more right-hand-sides. If the matrix is over-determined, you can
' use the LeastSquaresSolve method to find a least squares solution:
Dim xQR As DenseVector(Of Double) = CType(qr.LeastSquaresSolve(bQR), DenseVector(Of Double))
Console.WriteLine("x = {0:F4}", xQR)
' You can also
' The OrthogonalFactor and UpperTriangularFactor properties
' return the two main components of the decomposition.
Console.WriteLine("Q = {0:F4}", qr.OrthogonalFactor.ToDenseMatrix())
Console.WriteLine("R = {0:F4}", qr.UpperTriangularFactor)
' You don't usually need to form Q explicitly. You can multiply
' a vector or matrix on either side by Q using the ApplyQ method:
Console.WriteLine("Qx = {0:F4}", qr.OrthogonalFactor * bQR)
Console.WriteLine("transpose(Q)x = {0:F4}",
qr.OrthogonalFactor.Transpose() * bQR)
'
' Singular Value Decomposition
'
' The singular value decomposition of a matrix A rewrites the matrix
' in the form A = USVt, with U and V orthogonal matrices,
' S a diagonal matrix. The diagonal elements of S are called
' the singular values.
Dim aSvd = Matrix.Create(3, 5,
New Double() _
{
2.0, 2.0, 1.6, 2.0, 1.2,
2.5, 2.5, -0.4, -0.5, -0.3,
2.5, 2.5, 2.8, 0.5, -2.9
}, MatrixElementOrder.RowMajor)
Dim bSvd As DenseVector(Of Double) = Vector.Create(1.1, 0.9, 0.6)
' The constructor takes one or two parameters. The second
' parameter indicates which parts of the decomposition
' are to be calculated. The default is All.
Dim svd As SingularValueDecomposition(Of Double) = aSvd.GetSingularValueDecomposition()
Console.WriteLine("A = {0:F1}", aSvd)
' The Decompose method performs the decomposition. You don't need
' to call it explicitly, as it is called automatically as needed.
' The IsSingular method checks for singularity.
Console.WriteLine("'A is singular' is {0:F6}.", svd.IsSingular())
' Several methods are specific to this class. The GetPseudoInverse
' method returns the Moore-Penrose pseudo-inverse, a generalization
' of the inverse of a matrix to rectangular and/or singular matrices:
Dim aInv = svd.GetPseudoInverse()
' It can be used to solve over- or under-determined systems.
Dim xSvd = Matrix.Multiply(aInv, bSvd)
Console.WriteLine("x = {0:F6}", xSvd)
' The SingularValues property returns a vector that contains
' the singular values in descending order:
Console.WriteLine("S = {0:F6}", svd.SingularValues)
' The LeftSingularVectors and RightSingularVectors properties
' return matrices that contain the U and V factors
' of the decomposition.
Console.WriteLine("U = {0:F6}", svd.LeftSingularVectors)
Console.WriteLine("V = {0:F6}", svd.RightSingularVectors)
'
' Cholesky decomposition
'
' The Cholesky decomposition of a symmetric matrix A
' rewrites the matrix in the form A = GGt with
' G a lower-triangular matrix.
' Remember the column-major storage mode: each line of
' components contains one COLUMN of the matrix.
Dim aC As SymmetricMatrix(Of Double) = Matrix.CreateSymmetric(4,
New Double() _
{
4.16, -3.12, 0.56, -0.1,
0, 5.03, -0.83, 1.18,
0, 0, 0.76, 0.34,
0, 0, 0, 1.18
}, MatrixTriangle.Lower, MatrixElementOrder.ColumnMajor)
Dim bC = Matrix.Create(4, 2,
New Double() {8.7, -13.35, 1.89, -4.14, 8.3, 2.13, 1.61, 5.0},
MatrixElementOrder.ColumnMajor)
' The constructor takes one or two parameters. The second
' parameter is a bool value that indicates whether the
' matrix should be overwritten with its decomposition.
Dim c As CholeskyDecomposition(Of Double) = aC.GetCholeskyDecomposition(True)
Console.WriteLine("A = {0:F4}", aC)
' The Decompose method performs the decomposition. You don't need
' to call it explicitly, as it is called automatically as needed.
' The IsSingular method checks for singularity.
Console.WriteLine("'A is singular' is {0}.", c.IsSingular())
' The LowerTriangularFactor returns the component of the decomposition.
Console.WriteLine("L = {0:F4}", c.LowerTriangularFactor)
' GetInverse() gives the matrix inverse, Determinant() the determinant:
Console.WriteLine("Inv A = {0:F4}", c.GetInverse())
Console.WriteLine("Det A = {0:F4}", c.GetDeterminant())
' The Solve method solves a system of simultaneous linear equations, with
' one or more right-hand-sides:
Dim xC = c.Solve(bC)
Console.WriteLine("x = {0:F4}", xC)
'
' Symmetric eigenvalue decomposition
'
' The eigenvalue decomposition of a symmetric matrix A
' rewrites the matrix in the form A = XLXt with
' X an orthogonal matrix and L a diagonal matrix.
' The diagonal elements of L are the eigenvalues.
' The columns of X are the eigenvectors.
' Remember the column-major storage mode: each line of
' components contains one COLUMN of the matrix.
Dim aEig As SymmetricMatrix(Of Double) = Matrix.CreateSymmetric(4,
New Double() _
{
0.5, 0.0, 2.3, -2.6,
0.0, 0.5, -1.4, -0.7,
2.3, -1.4, 0.5, 0.0,
-2.6, -0.7, 0.0, 0.5
}, MatrixTriangle.Lower, MatrixElementOrder.ColumnMajor)
' The constructor takes one or two parameters. The second
' parameter is a bool value that indicates whether the
' matrix should be overwritten with its decomposition.
Dim eig As EigenvalueDecomposition(Of Double) = aEig.GetEigenvalueDecomposition()
Console.WriteLine("A = {0:F2}", aEig)
' The Decompose method performs the decomposition. You don't need
' to call it explicitly, as it is called automatically as needed.
' The IsSingular method checks for singularity.
Console.WriteLine("'A is singular' is {0:F6}.", eig.IsSingular())
' The Eigenvalues property returns a vector containing the eigenvalues:
Console.WriteLine("L = {0:F6}", eig.Eigenvalues)
' The Eigenvectors property returns a vector containing the eigenvectors:
Console.WriteLine("X = {0:F6}", eig.Eigenvectors)
' GetInverse() gives the matrix inverse, Determinant() the determinant:
Console.WriteLine("Inv A = {0:F6}", eig.GetInverse())
Console.WriteLine("Det A = {0:F6}", eig.GetDeterminant())
Console.Write("Press Enter key to exit...")
Console.ReadLine()
End Sub
End Module