colSubset {NMOF}

Full-rank Column Subset

Description

Select a full-rank subset of columns of a matrix.

Usage

colSubset(x)

Arguments

x

a numeric matrix

Details

Uses qr.

Value

A list:

columns

indices of columns

multiplier

a matrix

Author(s)

Enrico Schumann

References

Gilli, M., Maringer, D. and Schumann, E. (2019) Numerical Methods and Optimization in Finance. 2nd edition. Elsevier. doi:10.1016/C2017-0-01621-X

Schumann, E. (2023) Financial Optimisation with R (NMOF Manual). http://enricoschumann.net/NMOF.htm#NMOFmanual

See Also

repairMatrix

Examples

nc <- 3   ## columns
nr <- 10  ## rows
M <- array(rnorm(nr * nc), dim = c(nr, nc))

C <- array(0.5, dim = c(nc, nc))
diag(C) <- 1
M <- M %*% chol(C)
M <- M[ ,c(1,1,1,2,3)]
M

(tmp <- colSubset(M))

C <- cor(M[ ,tmp$columns])
nc <- ncol(C)
nr <- 100
X <- array(rnorm(nr*nc), dim = c(nr, nc))
X <- X %*% chol(C)
X <- X %*% tmp$multiplier
head(X)
cor(X)