approxloads {cds}R Documentation

Low Rank Approximation LL' of a Square Symmetrix Matrix R


Uses the eigendecomposition of a square, symmetrix matrix R to obtain the loadings matrix L such that R is approximated by LL', with L restricted to have r columns. Hence LL' is a rank r approximation of R. The eigendecomposition of R is used to obtain L from the first r eigenvectors and eigenvalues. In case is not NULL, L is further rotated through orthogonal Procrustes analysis to match as closely as possible the matrix through orthprocr.


approxloads(R, r = 3, = NULL, = NULL)



Square, symmetric matrix R to be approximated


The required rank of the approximation

Optional; the target matrix for L in the orthogonal Procrustes analysis

Optional; the matrix to check against for possible reflections of the loading vectors.


R <- rcormat(10, r = 3)
all.equal(R$L, approxloads(R$R, r = 3, = R$L))

[Package cds version 1.0.3 Index]