QR decomposition

In linear algebra, a QR decomposition, also known as a QR factorization or QU factorization, is a

decomposition of a matrix A into a product A = QR of an orthonormal matrix Q and an upper
triangular matrix R. QR decomposition is often used to solve the linear least squares (LLS)
problem and is the basis for a particular eigenvalue algorithm, the QR algorithm.

Cases and definitions

Square matrix

Any real square matrix A may be decomposed as

where Q is an orthogonal matrix (its columns are orthogonal unit vectors meaning )
and R is an upper triangular matrix (also called right triangular matrix). If A is invertible, then the
factorization is unique if we require the diagonal elements of R to be positive.

If instead A is a complex square matrix, then there is a decomposition A = QR where Q is a

unitary matrix (so the conjugate transpose ).

If A has n linearly independent columns, then the first n columns of Q form an orthonormal basis
for the column space of A. More generally, the first k columns of Q form an orthonormal basis for
the span of the first k columns of A for any 1 ≤ k ≤ n.[1] The fact that any column k of A only
depends on the first k columns of Q corresponds to the triangular form of R.[1]

Rectangular matrix

More generally, we can factor a complex m×n matrix A, with m ≥ n, as the product of an m×m
unitary matrix Q and an m×n upper triangular matrix R. As the bottom (m−n) rows of an m×n
upper triangular matrix consist entirely of zeroes, it is often useful to partition R, or both R and Q:

where R1 is an n×n upper triangular matrix, 0 is an (m − n)×n zero matrix, Q1 is m×n, Q2 is

m×(m − n), and Q1 and Q2 both have orthogonal columns.

Golub & Van Loan (1996, §5.2) call Q1R1 the thin QR factorization of A; Trefethen and Bau call this
the reduced QR factorization.[1] If A is of full rank n and we require that the diagonal elements of
R1 are positive then R1 and Q1 are unique, but in general Q2 is not. R1 is then equal to the upper
triangular factor of the Cholesky decomposition of A * A (= ATA if A is real).

QL, RQ and LQ decompositions

Analogously, we can define QL, RQ, and LQ decompositions, with L being a lower triangular
matrix.

Computing the QR decomposition

There are several methods for actually computing the QR decomposition, such as the Gram–
Schmidt process, Householder transformations, or Givens rotations. Each has a number of
advantages and disadvantages.

Using the Gram–Schmidt process

Consider the Gram–Schmidt process applied to the columns of the full column rank matrix
, with inner product (or for the complex
case).

Define the projection:

then:

We can now express the s over our newly computed orthonormal basis:
where . This can be written in matrix form:

where:

and

Example

Consider the decomposition of

Recall that an orthonormal matrix has the property .

Then, we can calculate by means of Gram–Schmidt as follows:

Thus, we have
Relation to RQ decomposition

The RQ decomposition transforms a matrix A into the product of an upper triangular matrix R
(also known as right-triangular) and an orthogonal matrix Q. The only difference from QR
decomposition is the order of these matrices.

QR decomposition is Gram–Schmidt orthogonalization of columns of A, started from the first

column.

RQ decomposition is Gram–Schmidt orthogonalization of rows of A, started from the last row.

Advantages and disadvantages

The Gram-Schmidt process is inherently numerically unstable. While the application of the
projections has an appealing geometric analogy to orthogonalization, the orthogonalization itself
is prone to numerical error. A significant advantage is the ease of implementation.

Using Householder reflections

Householder reflection for QR-

decomposition: The goal is to find a
linear transformation that changes
the vector into a vector of the same
length which is collinear to . We
could use an orthogonal projection
(Gram-Schmidt) but this will be
numerically unstable if the vectors
and are close to orthogonal.
Instead, the Householder reflection
reflects through the dotted line
(chosen to bisect the angle between
and ). The maximum angle with
this transform is 45 degrees.
A Householder reflection (or Householder transformation) is a transformation that takes a vector
and reflects it about some plane or hyperplane. We can use this operation to calculate the QR
factorization of an m-by-n matrix with m ≥ n.

Q can be used to reflect a vector in such a way that all coordinates but one disappear.

Let be an arbitrary real m-dimensional column vector of such that for a scalar α.
If the algorithm is implemented using floating-point arithmetic, then α should get the opposite
sign as the k-th coordinate of , where is to be the pivot coordinate after which all entries are
0 in matrix A 's final upper triangular form, to avoid loss of significance. In the complex case,
set[2]

and substitute transposition by conjugate transposition in the construction of Q below.

Then, where is the vector [1 0 ⋯ 0] , || · || is the Euclidean norm and

T
is an m×m identity
matrix, set

Or, if is complex

is an m-by-m Householder matrix, which is both symmetric and orthogonal (Hermitian and
unitary in the complex case), and

This can be used to gradually transform an m-by-n matrix A to upper triangular form. First, we
multiply A with the Householder matrix Q1 we obtain when we choose the first matrix column for
x. This results in a matrix Q1A with zeros in the left column (except for the first row).
This can be repeated for A′ (obtained from Q1A by deleting the first row and first column),
resulting in a Householder matrix Q′2. Note that Q′2 is smaller than Q1. Since we want it really to
operate on Q1A instead of A′ we need to expand it to the upper left, filling in a 1, or in general:

After iterations of this process, ,

is an upper triangular matrix. So, with

is a QR decomposition of .

This method has greater numerical stability than the Gram–Schmidt method above.

The following table gives the number of operations in the k-th step of the QR-decomposition by
the Householder transformation, assuming a square matrix with size n.

Operation Number of operations in the k-th step

Multiplications

Additions

Division

Square root

Summing these numbers over the n − 1 steps (for a square matrix of size n), the complexity of
the algorithm (in terms of floating point multiplications) is given by

Example

Let us calculate the decomposition of

First, we need to find a reflection that transforms the first column of matrix A, vector
, into .

Now,
and

Here,

and

Therefore

and , and then

Now observe:

so we already have almost a triangular matrix. We only need to zero the (3, 2) entry.

Take the (1, 1) minor, and then apply the process again to

By the same method as above, we obtain the matrix of the Householder transformation

after performing a direct sum with 1 to make sure the next step in the process works properly.

Now, we find
Or, to four decimal digits,

The matrix Q is orthogonal and R is upper triangular, so A = QR is the required QR decomposition.

Advantages and disadvantages

The use of Householder transformations is inherently the most simple of the numerically stable
QR decomposition algorithms due to the use of reflections as the mechanism for producing
zeroes in the R matrix. However, the Householder reflection algorithm is bandwidth heavy and
difficult to parallelize, as every reflection that produces a new zero element changes the entirety
of both Q and R matrices.

Parallel implementation of Householder QR

The Householder QR method can be implemented in parallel with algorithms such as the TSQR
algorithm (which stands for Tall Skinny QR). This algorithm can be applied in the case when the
matrix A has m >> n.[3] This algorithm uses a binary reduction tree to compute local householder
QR decomposition at each node in the forward pass, and re-constitute the Q matrix in the
backward pass. The binary tree structure aims at decreasing the amount of communication
between processor to increase performance.

Using Givens rotations

QR decompositions can also be computed with a series of Givens rotations. Each rotation zeroes
an element in the subdiagonal of the matrix, forming the R matrix. The concatenation of all the
Givens rotations forms the orthogonal Q matrix.

In practice, Givens rotations are not actually performed by building a whole matrix and doing a
matrix multiplication. A Givens rotation procedure is used instead which does the equivalent of
the sparse Givens matrix multiplication, without the extra work of handling the sparse elements.
The Givens rotation procedure is useful in situations where only relatively few off-diagonal
elements need to be zeroed, and is more easily parallelized than Householder transformations.
Example

Let us calculate the decomposition of

First, we need to form a rotation matrix that will zero the lowermost left element, . We
form this matrix using the Givens rotation method, and call the matrix . We will first rotate the

vector , to point along the X axis. This vector has an angle . We

create the orthogonal Givens rotation matrix, :

And the result of now has a zero in the element.

We can similarly form Givens matrices and , which will zero the sub-diagonal elements
and , forming a triangular matrix . The orthogonal matrix is formed from the
product of all the Givens matrices . Thus, we have ,
and the QR decomposition is .

Advantages and disadvantages

The QR decomposition via Givens rotations is the most involved to implement, as the ordering of
the rows required to fully exploit the algorithm is not trivial to determine. However, it has a
significant advantage in that each new zero element affects only the row with the element to
be zeroed (i) and a row above (j). This makes the Givens rotation algorithm more bandwidth
efficient and parallelizable than the Householder reflection technique.

Connection to a determinant or a product of eigenvalues

We can use QR decomposition to find the determinant of a square matrix. Suppose a matrix is
decomposed as . Then we have
 can be chosen such that . Thus,

where the are the entries on the diagonal of . Furthermore, because the determinant equals
the product of the eigenvalues, we have

where the are eigenvalues of .

We can extend the above properties to a non-square complex matrix by introducing the
definition of QR decomposition for non-square complex matrices and replacing eigenvalues with
singular values.

Start with a QR decomposition for a non-square matrix A:

where denotes the zero matrix and is a unitary matrix.

From the properties of the singular value decomposition (SVD) and the determinant of a matrix,
we have

where the are the singular values of .

Note that the singular values of and are identical, although their complex eigenvalues may
be different. However, if A is square, then

It follows that the QR decomposition can be used to efficiently calculate the product of the
eigenvalues or singular values of a matrix.

Column pivoting

Pivoted QR differs from ordinary Gram-Schmidt in that it takes the largest remaining column at
the beginning of each new step—column pivoting—[4] and thus introduces a permutation matrix
P:
Column pivoting is useful when A is (nearly) rank deficient, or is suspected of being so. It can
also improve numerical accuracy. P is usually chosen so that the diagonal elements of R are non-
increasing: . This can be used to find the (numerical) rank of A at
lower computational cost than a singular value decomposition, forming the basis of so-called
rank-revealing QR algorithms.

Using for solution to linear inverse problems

Compared to the direct matrix inverse, inverse solutions using QR decomposition are more
numerically stable as evidenced by their reduced condition numbers.[5]

To solve the underdetermined ( ) linear problem where the matrix has

dimensions and rank , first find the QR factorization of the transpose of :
, where Q is an orthogonal matrix (i.e. ), and R has a special form:

. Here is a square right triangular matrix, and the zero matrix has

dimension . After some algebra, it can be shown that a solution to the inverse

problem can be expressed as: where one may either find by Gaussian

elimination or compute directly by forward substitution. The latter technique enjoys

greater numerical accuracy and lower computations.

To find a solution to the overdetermined ( ) problem which minimizes the

norm , first find the QR factorization of : . The solution can then be
expressed as , where is an matrix containing the first columns
of the full orthonormal basis and where is as before. Equivalent to the underdetermined
case, back substitution can be used to quickly and accurately find this without explicitly
inverting .( and are often provided by numerical libraries as an "economic" QR
decomposition.)

Generalizations

Iwasawa decomposition generalizes QR decomposition to semi-simple Lie groups.

See also

Polar decomposition

Eigendecomposition (spectral decomposition)

 LU decomposition

Singular value decomposition

References

1. Trefethen, Lloyd N.; Bau, David III (1997). Numerical linear algebra. Philadelphia, PA: Society
for Industrial and Applied Mathematics. ISBN 978-0-898713-61-9.

2. Stoer, Josef; Bulirsch, Roland (2002), Introduction to Numerical Analysis (3rd ed.), Springer,
p. 225, ISBN 0-387-95452-X

3. Communication-optimal parallel and sequential QR and LU factorizations: theory and

practice, James Demmel and Laura Grigori, 2008, https://arxiv.org/abs/0806.2159 ,

4. Strang, Gilbert (2019). Linear Algebra and Learning from Data (1st ed.). Wellesley: Wellesley
Cambridge Press. p. 143. ISBN 978-0-692-19638-0.

5. Parker, Robert L. (1994). Geophysical Inverse Theory (https://www.worldcat.org/oclc/11347

69155) . Princeton, N.J.: Princeton University Press. Section 1.13. ISBN 978-0-691-20683-
7. OCLC 1134769155 (https://search.worldcat.org/oclc/1134769155) .

Further reading

Golub, Gene H.; Van Loan, Charles F. (1996), Matrix Computations (3rd ed.), Johns Hopkins,
ISBN 978-0-8018-5414-9.

Horn, Roger A.; Johnson, Charles R. (1985), Matrix Analysis, Cambridge University Press, sec.
2.8, ISBN 0-521-38632-2

Press, WH; Teukolsky, SA; Vetterling, WT; Flannery, BP (2007), "Section 2.10. QR
Decomposition" (http://apps.nrbook.com/empanel/index.html?pg=102) , Numerical Recipes:
The Art of Scientific Computing (3rd ed.), New York: Cambridge University Press, ISBN 978-0-
521-88068-8

External links

Online Matrix Calculator (https://web.archive.org/web/20081212221215/http://www.bluebit.g

r/matrix-calculator/) Performs QR decomposition of matrices.

LAPACK users manual (http://netlib.org/lapack/lug/node39.html) gives details of

subroutines to calculate the QR decomposition

Mathematica users manual (https://web.archive.org/web/20061122183956/http://document

s.wolfram.com/mathematica/functions/QRDecomposition) gives details and examples of
routines to calculate QR decomposition
ALGLIB (http://www.alglib.net/) includes a partial port of the LAPACK to C++, C#, Delphi, etc.

Eigen::QR (http://eigen.tuxfamily.org/dox-devel/group__QR__Module.html) Includes C++

implementation of QR decomposition.