Full-rank Column Subset
Select a full-rank subset of columns of a matrix.
colSubset(x)
x |
a numeric matrix |
Uses qr.
A list:
columns |
indices of columns |
multiplier |
a matrix |
Enrico Schumann
Gilli, M., Maringer, D. and Schumann, E. (2019) Numerical Methods and Optimization in Finance. 2nd edition. Elsevier. https://www.elsevier.com/books/numerical-methods-and-optimization-in-finance/gilli/978-0-12-815065-8
Schumann, E. (2019) Financial Optimisation with R (NMOF Manual). http://enricoschumann.net/NMOF.htm#NMOFmanual
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)
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