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Mastering Python for Finance by James Ma Weiming

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The QR decomposition

The QR decomposition, also known as the QR factorization, is another method of solving linear systems of equations using matrices, very much like the LU decomposition. The equation to solve is in the form of The QR decomposition, where matrix The QR decomposition. Except in this case, A is a product of an orthogonal matrix Q and upper triangular matrix R. The QR algorithm is commonly used to solve the linear least squares problem.

An orthogonal matrix exhibits the following properties:

  • It is a square matrix
  • Multiplying an orthogonal matrix by its transpose returns the ...

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