Ax=b

(Difference between revisions)
 Revision as of 20:18, 20 December 2017 (edit)← Previous diff Current revision (20:46, 20 December 2017) (edit) (undo) Line 1: Line 1: ==Seven ways Matlab can optimally solve normal equations given thin matrix $A$== ==Seven ways Matlab can optimally solve normal equations given thin matrix $A$== - For $b\notin\mathcal{R}(A)\,,\,$ find best fit $x$ such that $A_{}x\approx b\,$: + For $b\notin\mathcal{R}(A)\,,\,$ find best fit $x$ by least squares such that $A_{}x\approx b\,$:

%test backslash timing                                                                                                                                                       %test backslash timing

Seven ways Matlab can optimally solve normal equations given thin matrix $LaTeX: A$

For $LaTeX: b\notin\mathcal{R}(A)\,,\,$ find best fit $LaTeX: x$ by least squares such that $LaTeX: A_{}x\approx b\,$:

%test backslash timing
clc  %clear all; close all; fclose all; slow execution by order of magnitude
m=1e6;  n=52;
A    = randn(m,n);
xact = randn(n,1);
b    = A*xact;

opt.SYM = true;  opt.POSDEF = true;
opt1.LT = true;  opt2.UT = true;

AA = zeros(n,n);
bb = zeros(n,1);
%form A'A for accuracy, precision, and symmetry
for i=1:n
for j=1:i
AA(i,j) = csum(A(:,i).*A(:,j));
AA(j,i) = AA(i,j);
end
bb(i) = csum(A(:,i).*b);
end
% AA = A'*A;
% AA = (AA + AA')/2;
spAA = sparse(AA);
% spA = sparse(A);
for i=1:3  %Manually disable unnecessary OS processes. Runs faster on subsequent loops.
if i > 1, disp(' ');disp(' '); end

%    disp('   backslash on A')
%    tic
%    x1a = A\b;
%    toc
%    disp(['error = ' num2str(norm(x1a - xact)/norm(xact))])

disp('   backslash on A''A')
tic
x1 = AA\bb;
toc
disp(['error = ' num2str(norm(x1 - xact)/norm(xact))])

%    disp('   pinv on A')
%    tic
%    x2a = pinv(A)*b;
%    toc
%    disp(['error = ' num2str(norm(x2a - xact)/norm(xact))])

disp('   pinv on A''A')
tic
x2 = pinv(AA)*bb;
toc
disp(['error = ' num2str(norm(x2 - xact)/norm(xact))])

%    disp('   QR on A')
%    tic
%    [c,R] = qr(spA,b,0);
%    x3a = R\c;
%    toc
%    disp(['error = ' num2str(norm(x3a - xact)/norm(xact))])

disp('   QR on A''A')
tic
[c,R] = qr(spAA,bb,0);
x3 = R\c;
toc
disp(['error = ' num2str(norm(x3 - xact)/norm(xact))])

disp('   U\(U''\A''*b) on U=chol(A''A)')
tic;
U = chol(AA);
x4 = U\(U'\bb);
toc
disp(['error = ' num2str(norm(x4 - xact)/norm(xact))])

disp('   linsolve on chol(A''A)')  %winner on Dec.14 2017
tic
U = chol(AA);
x5 = linsolve(U, linsolve(U',bb,opt1), opt2);
toc
disp(['error = ' num2str(norm(x5 - xact)/norm(xact))])

%    disp('   linsolve on A')
%    tic
%    x6a = linsolve(A,b);
%    toc
%    disp(['error = ' num2str(norm(x6a - xact)/norm(xact))])

disp('   linsolve on A''A')
tic
x6 = linsolve(AA,bb,opt);
toc
disp(['error = ' num2str(norm(x6 - xact)/norm(xact))])

%    disp('   lscov on A')
%    tic
%    x7a = lscov(A,b);
%    toc
%    disp(['error = ' num2str(norm(x7a - xact)/norm(xact))])

disp('   lscov on A''A')
tic
x7 = lscov(AA,bb);
toc
disp(['error = ' num2str(norm(x7 - xact)/norm(xact))])
end


csum() routine (with presorting) can increase precision by orders of magnitude.