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unvech function for possible inclusion in Octave
From: |
Michael Creel |
Subject: |
unvech function for possible inclusion in Octave |
Date: |
Fri, 07 Jul 2006 10:17:47 +0200 |
User-agent: |
Thunderbird 1.5.0.4 (X11/20060615) |
Hello all,
Below is an unvech function, that I'm offering for inclusion in Octave. This
just reverses the vech operator. For example:
octave:1> a = rand(3,3);
octave:2> a = a'*a
a =
0.41979 0.59313 0.49142
0.59313 1.52968 0.45800
0.49142 0.45800 0.71002
octave:3> b = vech(a)
b =
0.41979
0.59313
0.49142
1.52968
0.45800
0.71002
octave:4> unvech(b)
ans =
0.41979 0.59313 0.49142
0.59313 1.52968 0.45800
0.49142 0.45800 0.71002
octave:5>
An example where this can be useful is if a covariance matrix needs to be
passed as part of a parameter vector. This lets you easily reconstruct the
covariance matrix.
Cheers, Michael
## Copyright (C) 2006 Michael Creel <address@hidden>
##
## This program is free software; you can redistribute it and/or modify
## it under the terms of the GNU General Public License as published by
## the Free Software Foundation; either version 2 of the License, or
## (at your option) any later version.
##
## This program is distributed in the hope that it will be useful,
## but WITHOUT ANY WARRANTY; without even the implied warranty of
## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
## GNU General Public License for more details.
##
## You should have received a copy of the GNU General Public License
## along with this program; if not, write to the Free Software
## Foundation, Inc., 59 Temple Place, Suite 330, Boston, MA 02111-1307 USA
## -*- texinfo -*-
## @deftypefn {Function File} {} unvech (@var{v})
## Performs the reverse of "vech". Generates a symmetric matrix from the lower
## triangular elements, received as a vector @var{v}.
## @end deftypefn
# Note: this uses a double loop. A C version would be a lot faster for large
matrices.
function x = unvech (v)
if (nargin != 1)
usage ("unvech (v)");
endif
if (! isvector(v))
usage ("unvech (v)");
endif
# find out dimension of symmetric matrix
p = length(v);
g = -(1 - sqrt(1 + 8*p))/2;
if (mod(g,1) != 0)
error("unvech: the input vector does not generate a square
matrix");
endif
x = zeros(g,g);
# fill in the symmetric matrix
k = 1;
for i = 1:g
for j = i:g
x(i,j) = v(k);
if (i != j) x(j,i) = v(k); endif
k = k + 1;
endfor
endfor
endfunction
- unvech function for possible inclusion in Octave,
Michael Creel <=