import numpy as np def qr_householder(A): """Return a QR-decomposition of the matrix A using Householder reflection. The QR-decomposition decomposes the matrix A of shape (m, n) into an orthogonal matrix Q of shape (m, m) and an upper triangular matrix R of shape (m, n). Note that the matrix A does not have to be square. This method of decomposing A uses the Householder reflection, which is numerically stable and of complexity O(n^3). https://en.wikipedia.org/wiki/QR_decomposition#Using_Householder_reflections Arguments: A -- a numpy.ndarray of shape (m, n) Note: several optimizations can be made for numeric efficiency, but this is intended to demonstrate how it would be represented in a mathematics textbook. In cases where efficiency is particularly important, an optimized version from BLAS should be used. >>> A = np.array([[12, -51, 4], [6, 167, -68], [-4, 24, -41]], dtype=float) >>> Q, R = qr_householder(A) >>> # check that the decomposition is correct >>> np.allclose(Q@R, A) True >>> # check that Q is orthogonal >>> np.allclose(Q@Q.T, np.eye(A.shape[0])) True >>> np.allclose(Q.T@Q, np.eye(A.shape[0])) True >>> # check that R is upper triangular >>> np.allclose(np.triu(R), R) True """ m, n = A.shape t = min(m, n) Q = np.eye(m) R = A.copy() for k in range(t - 1): # select a column of modified matrix A': x = R[k:, [k]] # construct first basis vector e1 = np.zeros_like(x) e1[0] = 1.0 # determine scaling factor alpha = np.linalg.norm(x) # construct vector v for Householder reflection v = x + np.sign(x[0]) * alpha * e1 v /= np.linalg.norm(v) # construct the Householder matrix Q_k = np.eye(m - k) - 2.0 * v @ v.T # pad with ones and zeros as necessary Q_k = np.block([[np.eye(k), np.zeros((k, m - k))], [np.zeros((m - k, k)), Q_k]]) Q = Q @ Q_k.T R = Q_k @ R return Q, R if __name__ == "__main__": import doctest doctest.testmod()