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Unit 4.6

The document describes the QR decomposition method for decomposing a real nonsingular matrix A into the product of an orthogonal matrix Q and an upper triangular matrix R. It defines Q as an orthogonal matrix where its columns are orthonormal vectors. R is defined as an upper triangular matrix with positive diagonal entries. The method finds the columns of Q and R recursively. It takes the first column of A to find the first column of Q and the entry of R. Then it uses the previous columns of Q and R to solve for the next columns of Q and R until all columns are found. An example decomposes a 3x3 matrix A into Q and R using this recursive method. The QR decomposition

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357 views6 pages

Unit 4.6

The document describes the QR decomposition method for decomposing a real nonsingular matrix A into the product of an orthogonal matrix Q and an upper triangular matrix R. It defines Q as an orthogonal matrix where its columns are orthonormal vectors. R is defined as an upper triangular matrix with positive diagonal entries. The method finds the columns of Q and R recursively. It takes the first column of A to find the first column of Q and the entry of R. Then it uses the previous columns of Q and R to solve for the next columns of Q and R until all columns are found. An example decomposes a 3x3 matrix A into Q and R using this recursive method. The QR decomposition

Uploaded by

Trinath Koganti
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© Attribution Non-Commercial (BY-NC)
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4.

6 The Q R decomposition:
Let A be an nxn real nonsingular matrix. A matrix Q is said to be an
orthogonal matrix if QQT=I=QTQ. We shall see that given the matrix we can find
an orthogonal matrix Q and an upper triangular matrix R (with rii >0) such that
A=QR called the QR decomposition of A. The Q and R are found as follows:
Let a(1) ; a(2) ; . , a(n) be the columns of A
q(1) ; q(2) ; , q(n) be the columns of Q
r(1) , r(2) , ., r(n) be the columns of R.
Note: Since Q is orthogonal we have

q (1)

= 1 = q (2 )

(q ( ) , q ( ) ) = 0
i

= ....... = q (n ) .......... ..( A )


2

if i j .. (B).

and since R is upper triangular we have

r (i )

r1i

r2 i
M

= rii .......... .......... ..(C )
0

M

0

Also the ith column of QR is; Qr(i) and ith column of

QR = r1i q (1) + r2i q (2 ) + ..... + rii q (i ) ....................(D )


We want A = QR.
Comparing 1st column on both sides we get

160

a(1) = QR s first column


= Qr(1)
= r11q(1) by (D)

a (1)

= r11 q (1)

= r11 q (1)

r11 > 0 and q 1

= r11

r11 = a (1 )

and q (1) =

= 1by( A)

1 (1)
a .......... ....... (E )
r11

giving 1st columns of R and Q.


Next comparing second columns on both sides we get
a(2) = Qr(2) = r12 q(1) +r22 q(2) .. (*)
Therefore from (*) we get

(a ( ) , q ( ) ) = r (q ( ) , q ( ) ) + r (q ( ) , q ( ) )
2

12

22

= r12 Q q (1) , q (1) = q (1 )

2
2

= 1by ( A )

and q ( 2 ) , q (1) = 0by (B )

r12 = a ( 2 ) , q (1) ............(F )


(*) gives

r22 q ( 2 ) = a (2 ) r12 q (1 )
and r22 q (2 )

= a ( 2 ) r12 q (1 )

r22 = a ( 2 ) r12 q (1 ) .......... .......... (G )


2

and
q (2 ) =

1
a ( 2 ) r12 q (1 ) .......... .......... ..(H
r22

(F), (G), (H) give 2nd columns of Q and R. We can proceed having got the first i
- 1 columns of Q and R we get ith columns of Q and R as follows:

r1i = a (i ) , q (1) ; r2i = a (1) , q (2 ) ,............, ri 1i = a (i ) , q (i1)

)
161

rii = a (i ) r1i q (1) r2i a (2 ) ....... ri 1i q (i 1)

q (i ) =

i (i )
a r1i q (1) r2i q (2 ) .......... ri 1 q (i 1)
rii

Example:

A = 1
0

2 1

0 1
1 1

1st column of Q and R

r11 = a (1)

q (1 ) =

= 12 + 12 = 2

1 (1 )
a
r11

2
1
=
2
0

2nd column of Q and R:

r12 = a (2 ) , q (1 )

r22 = a

(2 )

r12 q

2

= 0 ,
1

(1 )
2

2
1
2
=
=

2
2
0

2 1

= 0 1
1 0

1

= 1
1

= 3
2

162

q (2 ) =

[a ( ) r
2

12

q (1 )

3
1

3
1

3
1

3rd column of Q and R:

r13 = a (3 ) , q (1)

1

= 1 ,
1

r23 = a (3 ) , q (2 ) =

2
2
1
=
=

2
2
0

1
3

r33 = a (3 ) r13 q (1) r23 q (2 )

1 1

1
= 1 1

3
1 0

3
1

3
2

3
1

3
1

3
1

1 1 4
+ + =
9 9 9

2
3

and

163

q (3 ) =

1 (3 )
a r13 q (1) r23 q (2 )
r33
1

3
3 1
=
2 3
2

Q =

1
2
1
2

3
1
3
1
3

1
6
1

6
2

1
6
1

6
2

R = 0

2
3
0

2
1
3
2
3

and

QR = 1
0

2 1

0 1 = A
1 1

giving us QR decomposition of A.
The QR algorithm
Let A be any nonsingular nxn matrix.
Let A = A1 = Q1 R1 be its QR decomposition.
Let A2 = R1 Q1. Then find the QR decomposition of A2 as A2 = Q2 R2
Define A3 = R2 Q2 ; find QR decomposition of A3 as
A3 = Q3 R3.
Keep repeating the process. Thus
A1 = Q1 R1
A2 = R1 Q1
and the ith step is
Ai = Ri-1 Qi-1
Ai = Qi Ri

164

Then Ai converges to an upper triangular matrix exhibiting the eigenvalues of


A along the diagonal.

165

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