Message-ID: <5.2.1.1.0.20040223182453.00b81ff8@magellan.umontreal.ca>
Date: 2004-02-23T23:46:34Z
From: Stéphane Dray
Subject: orthonormalization with weights
Hello List,
I would like to orthonormalize vectors contained in a matrix X taking into
account row weights (matrix diagonal D). ie, I want to obtain Z=XA with
t(Z)%*%D%*%Z=diag(1)
I can do the Gram-Schmidt orthogonalization with subsequent weighted
regressions. I know that in the case of uniform weights, qr can do the
trick. I wonder if there is a way to do it in the case of non uniform
weights by qr or svd ?
Thanks in advances.
St?phane DRAY
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D?partement des Sciences Biologiques
Universit? de Montr?al, C.P. 6128, succursale centre-ville
Montr?al, Qu?bec H3C 3J7, Canada
Tel : 514 343 6111 poste 1233
E-mail : stephane.dray at umontreal.ca
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