Speeding up lsqlin to find the base of a matrix

조회 수: 2(최근 30일)
I have to solve the following problem over and over again for slightly different values of mu.
n = lsqlin(mu-eye(J),zeros(J,1),[],[],ones(1,J),1,[],[],[]);
The matrix mu has columns sum up to 1, values are between zero and 1 and the diagonal elements are typically above 0.9. There are only very few 0 elements in mu (although many of them are 'close' to 0, e.g. 1e-4). J is equal to 400.
You can do the same calculation using
n = null(mu-eye(J),1e-10);
n = n/sum(n);
but that's not any faster. Are there any ideas on how to speed that up? Since the solution n does not change much in the various calls, I thought about providing an initial guess, but the interior algorithm does not accept any initial guesses.
Here's a sample matrix (with J=5)
0.980472260884484 0.0169062020634941 1.31828882462499e-05 0.00712276192859210 0.00734667253541008
0.0122127547484456 0.972782440495672 1.15814051875989e-05 0.00808693210831310 0.00830831290909974
3.60311943991737e-08 4.68217920214649e-08 0.999953080612125 1.05940998862873e-07 3.71871063642989e-05
0.00445881693357994 0.00660554154798086 1.18490160022582e-05 0.976444331730883 0.0148592752450766
0.00285613140229620 0.00370576907106219 1.03060784389177e-05 0.00834586829121426 0.969448552204049
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Tintin Milou
Tintin Milou 2022년 8월 4일
The different mu are not available at the same time. I'll provide a sample matrix to play with.

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Bruno Luong
Bruno Luong 2022년 8월 4일
Can you try this:
A = mu-eye(size(A));
[Q,R,p] = qr(A,'vector');
n = [R(1:end-1,1:end-1)\R(1:end-1,end); -1];
n(p) = n/sum(n)
  댓글 수: 10
Bruno Luong
Bruno Luong 2022년 8월 7일
Thanks for the update. It is puzzled me that the outer loop is that sensitive to numerical error.

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