Mercurial > hg > octave-lyh
annotate scripts/linear-algebra/duplication_matrix.m @ 14611:f2ed09ae8d3f
doc: Produce .texi from .txi files using Perl rather than C++.
* munge-texi.pl: New Perl file to generate .texi files from .txi files.
* munge-texi.cc: Remove C++ file for generating .texi files.
* Makefile.am: Change build system to use munge-texi.pl
author | Rik <octave@nomad.inbox5.com> |
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date | Tue, 08 May 2012 21:03:42 -0700 |
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1 ## Copyright (C) 1995-2012 Kurt Hornik |
3426 | 2 ## |
3922 | 3 ## This file is part of Octave. |
4 ## | |
5 ## Octave is free software; you can redistribute it and/or modify it | |
6 ## under the terms of the GNU General Public License as published by | |
7016 | 7 ## the Free Software Foundation; either version 3 of the License, or (at |
8 ## your option) any later version. | |
3426 | 9 ## |
3922 | 10 ## Octave is distributed in the hope that it will be useful, but |
2540 | 11 ## WITHOUT ANY WARRANTY; without even the implied warranty of |
12 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU | |
3426 | 13 ## General Public License for more details. |
14 ## | |
2540 | 15 ## You should have received a copy of the GNU General Public License |
7016 | 16 ## along with Octave; see the file COPYING. If not, see |
17 ## <http://www.gnu.org/licenses/>. | |
2540 | 18 |
3426 | 19 ## -*- texinfo -*- |
3321 | 20 ## @deftypefn {Function File} {} duplication_matrix (@var{n}) |
21 ## Return the duplication matrix | |
22 ## @tex | |
23 ## $D_n$ | |
24 ## @end tex | |
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25 ## @ifnottex |
3499 | 26 ## @math{Dn} |
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27 ## @end ifnottex |
3321 | 28 ## which is the unique |
29 ## @tex | |
30 ## $n^2 \times n(n+1)/2$ | |
31 ## @end tex | |
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32 ## @ifnottex |
3499 | 33 ## @math{n^2} by @math{n*(n+1)/2} |
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34 ## @end ifnottex |
3321 | 35 ## matrix such that |
36 ## @tex | |
37 ## $D_n * {\rm vech} (A) = {\rm vec} (A)$ | |
38 ## @end tex | |
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39 ## @ifnottex |
3499 | 40 ## @math{Dn vech (A) = vec (A)} |
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41 ## @end ifnottex |
3321 | 42 ## for all symmetric |
43 ## @tex | |
44 ## $n \times n$ | |
45 ## @end tex | |
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46 ## @ifnottex |
3499 | 47 ## @math{n} by @math{n} |
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48 ## @end ifnottex |
3321 | 49 ## matrices |
50 ## @tex | |
51 ## $A$. | |
52 ## @end tex | |
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53 ## @ifnottex |
3499 | 54 ## @math{A}. |
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55 ## @end ifnottex |
3426 | 56 ## |
2540 | 57 ## See Magnus and Neudecker (1988), Matrix differential calculus with |
58 ## applications in statistics and econometrics. | |
3321 | 59 ## @end deftypefn |
2540 | 60 |
5428 | 61 ## Author: KH <Kurt.Hornik@wu-wien.ac.at> |
2540 | 62 ## Created: 8 May 1995 |
63 ## Adapged-By: jwe | |
64 | |
65 function d = duplication_matrix (n) | |
66 | |
67 if (nargin != 1) | |
6046 | 68 print_usage (); |
2540 | 69 endif |
70 | |
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71 if (! (isscalar (n) && n > 0 && n == fix (n))) |
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72 error ("duplication_matrix: N must be a positive integer"); |
2540 | 73 endif |
74 | |
75 d = zeros (n * n, n * (n + 1) / 2); | |
76 | |
77 ## It is clearly possible to make this a LOT faster! | |
78 count = 0; | |
79 for j = 1 : n | |
80 d ((j - 1) * n + j, count + j) = 1; | |
81 for i = (j + 1) : n | |
82 d ((j - 1) * n + i, count + i) = 1; | |
83 d ((i - 1) * n + j, count + i) = 1; | |
84 endfor | |
85 count = count + n - j; | |
86 endfor | |
87 | |
88 endfunction | |
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89 |
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90 |
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91 %!test |
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92 %! N = 2; |
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93 %! A = rand (N); |
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94 %! B = A * A'; |
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95 %! C = A + A'; |
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96 %! D = duplication_matrix (N); |
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97 %! assert (D * vech (B), vec (B), 1e-6); |
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98 %! assert (D * vech (C), vec (C), 1e-6); |
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99 |
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100 %!test |
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101 %! N = 3; |
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102 %! A = rand (N); |
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103 %! B = A * A'; |
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104 %! C = A + A'; |
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105 %! D = duplication_matrix (N); |
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106 %! assert (D * vech (B), vec (B), 1e-6); |
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107 %! assert (D * vech (C), vec (C), 1e-6); |
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108 |
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109 %!test |
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110 %! N = 4; |
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111 %! A = rand (N); |
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112 %! B = A * A'; |
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113 %! C = A + A'; |
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114 %! D = duplication_matrix (N); |
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115 %! assert (D * vech (B), vec (B), 1e-6); |
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116 %! assert (D * vech (C), vec (C), 1e-6); |
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117 |
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118 %!error duplication_matrix () |
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119 %!error duplication_matrix (0.5) |
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120 %!error duplication_matrix (-1) |
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121 %!error duplication_matrix (ones (1,4)) |
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122 |