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numethods/tutorials/tutorial3_orthogonalization.ipynb
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"# Tutorial 3 - Orthogonalization & QR Decomposition"
]
},
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"\n",
"In this tutorial, we study **orthogonalization** methods and the **QR decomposition**, which are central to numerical linear algebra.\n",
"\n",
"We will cover:\n",
"\n",
"- Orthogonal and orthonormal vectors\n",
"- QR decomposition\n",
"- Classical Gram-Schmidt\n",
"- Modified Gram-Schmidt\n",
"- Householder transformations\n",
"- Applications: least squares\n",
"- Examples with the `numethods` package\n"
]
},
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"\n",
"## 1. Why Orthogonalization?\n",
"\n",
"- Orthogonal vectors are easier to work with numerically.\n",
"- Many algorithms are more **stable** when using orthogonal bases.\n",
"- Key applications:\n",
" - Solving **least squares problems**\n",
" - Computing **eigenvalues**\n",
" - Ensuring numerical stability in projections\n"
]
},
{
"cell_type": "markdown",
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"source": [
"\n",
"## 2. Definitions\n",
"\n",
"### Orthogonal and Orthonormal vectors\n",
"\n",
"Two vectors $u, v \\in \\mathbb{R}^n$ are **orthogonal** if\n",
"\n",
"$$ u \\cdot v = 0. $$\n",
"\n",
"A set of vectors $\\{q_1, \\dots, q_m\\}$ is **orthonormal** if\n",
"\n",
"$$ q_i \\cdot q_j = \\begin{cases} 1 & i = j, \\\\ 0 & i \\neq j. \\end{cases} $$\n"
]
},
{
"cell_type": "markdown",
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"source": [
"\n",
"### QR Decomposition\n",
"\n",
"For any $A \\in \\mathbb{R}^{m \\times n}$ with linearly independent columns, we can write\n",
"\n",
"$$ A = QR, $$\n",
"\n",
"- $Q \\in \\mathbb{R}^{m \\times n}$ has orthonormal columns ($Q^T Q = I$)\n",
"- $R \\in \\mathbb{R}^{n \\times n}$ is upper triangular\n"
]
},
{
"cell_type": "markdown",
"id": "66567b83",
"metadata": {},
"source": [
"\n",
"## 3. Gram-Schmidt Orthogonalization\n",
"\n",
"### Classical Gram-Schmidt (CGS)\n",
"\n",
"Given linearly independent vectors $a_1, \\dots, a_n$:\n",
"\n",
"$$\n",
"q_1 = \\frac{a_1}{\\|a_1\\|}\n",
"$$\n",
"$$\n",
"q_k = \\frac{a_k - \\sum_{j=1}^{k-1} (q_j \\cdot a_k) q_j}{\\left\\|a_k - \\sum_{j=1}^{k-1} (q_j \\cdot a_k) q_j\\right\\|}\n",
"$$\n",
"\n",
"Matrix form:\n",
"\n",
"$$ A = QR, \\quad R_{jk} = q_j^T a_k. $$\n",
"\n",
"⚠️ CGS can lose orthogonality in finite precision arithmetic.\n"
]
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"Q (CGS): Matrix([[0.8164965809277261, -0.5520524474738834], [0.4082482904638631, 0.7590721152765896], [0.4082482904638631, 0.34503277967117707]])\n",
"R (CGS): Matrix([[2.449489742783178, 0.4082482904638631], [0.0, 2.41522945769824]])\n"
]
}
],
"source": [
"from numethods import Matrix, Vector\n",
"from numethods import QRGramSchmidt, QRModifiedGramSchmidt, QRHouseholder, LeastSquaresSolver\n",
"\n",
"# Example matrix\n",
"A = Matrix([[2, -1], [1, 2], [1, 1]])\n",
"\n",
"# Classical Gram-Schmidt\n",
"qrg = QRGramSchmidt(A)\n",
"print(\"Q (CGS):\", qrg.Q)\n",
"print(\"R (CGS):\", qrg.R)"
]
},
{
"cell_type": "markdown",
"id": "ba84b59a",
"metadata": {},
"source": [
"\n",
"### Modified Gram-Schmidt (MGS)\n",
"\n",
"Same idea, but orthogonalization is done step by step:\n",
"\n",
"```\n",
"for k = 1..n:\n",
" q_k = a_k\n",
" for j = 1..k-1:\n",
" r_jk = q_j^T q_k\n",
" q_k = q_k - r_jk q_j\n",
" r_kk = ||q_k||\n",
" q_k = q_k / r_kk\n",
"```\n",
"MGS is more stable than CGS.\n"
]
},
{
"cell_type": "code",
"execution_count": 2,
"id": "e01e25ff",
"metadata": {},
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"Q (MGS): Matrix([[0.8164965809277261, -0.5520524474738834], [0.4082482904638631, 0.7590721152765896], [0.4082482904638631, 0.34503277967117707]])\n",
"R (MGS): Matrix([[2.449489742783178, 0.4082482904638631], [0.0, 2.41522945769824]])\n"
]
}
],
"source": [
"# Modified Gram-Schmidt\n",
"qrm = QRModifiedGramSchmidt(A)\n",
"print(\"Q (MGS):\", qrm.Q)\n",
"print(\"R (MGS):\", qrm.R)\n"
]
},
{
"cell_type": "markdown",
"id": "d893d189",
"metadata": {},
"source": [
"\n",
"## 4. Householder Reflections\n",
"\n",
"A more stable method uses **Householder matrices**.\n",
"\n",
"For a vector $x \\in \\mathbb{R}^m$:\n",
"\n",
"$$\n",
"v = x \\pm \\|x\\| e_1, \\quad H = I - 2 \\frac{vv^T}{v^T v}.\n",
"$$\n",
"\n",
"- $H$ is orthogonal ($H^T H = I$).\n",
"- Applying $H$ zeros out all but the first component of $x$.\n",
"\n",
"QR via Householder:\n",
"\n",
"$$\n",
"R = H_n H_{n-1} \\cdots H_1 A, \\quad Q = H_1^T H_2^T \\cdots H_n^T.\n",
"$$"
]
},
{
"cell_type": "code",
"execution_count": 3,
"id": "15dfc35c",
"metadata": {},
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"Q (Householder): Matrix([[-0.8164965809277258, 0.552052447473883, -0.16903085094570333], [-0.40824829046386296, -0.7590721152765892, -0.5070925528371099], [-0.40824829046386296, -0.34503277967117707, 0.8451542547285166]])\n",
"R (Householder): Matrix([[-2.449489742783177, -0.408248290463863], [2.220446049250313e-16, -2.415229457698238], [2.220446049250313e-16, 2.220446049250313e-16]])\n"
]
}
],
"source": [
"# Householder QR\n",
"qrh = QRHouseholder(A)\n",
"print(\"Q (Householder):\", qrh.Q)\n",
"print(\"R (Householder):\", qrh.R)\n"
]
},
{
"cell_type": "markdown",
"id": "2b6c612f",
"metadata": {},
"source": [
"\n",
"## 5. Applications of QR\n",
"\n",
"### Least Squares\n",
"\n",
"We want to solve\n",
"\n",
"$$ \\min_x \\|Ax - b\\|_2. $$\n",
"\n",
"If $A = QR$, then\n",
"\n",
"$$ \\min_x \\|Ax - b\\|_2 = \\min_x \\|QRx - b\\|_2. $$\n",
"\n",
"Since $Q$ has orthonormal columns:\n",
"\n",
"$$ R x = Q^T b. $$\n",
"\n",
"So we can solve using back-substitution.\n"
]
},
{
"cell_type": "code",
"execution_count": 4,
"id": "25b399b7",
"metadata": {},
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{
"name": "stdout",
"output_type": "stream",
"text": [
"Least squares solution: Vector([1.0285714285714287, 0.828571428571429])\n"
]
}
],
"source": [
"# Least squares example\n",
"b = Vector([1, 2, 3])\n",
"x_ls = LeastSquaresSolver(A, b).solve()\n",
"print(\"Least squares solution:\", x_ls)"
]
},
{
"cell_type": "markdown",
"id": "a94c88c8",
"metadata": {},
"source": [
"\n",
"## 6. Key Takeaways\n",
"\n",
"- CGS is simple but numerically unstable.\n",
"- MGS is more stable and preferred if using Gram-Schmidt.\n",
"- Householder QR is the standard in practice (stable and efficient).\n",
"- QR decomposition underlies least squares, eigenvalue methods, and more.\n"
]
}
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