Dear All,
I would like to ask a question on how to generate an orthogonal matrix with
less computational complexity.
Basically I know two ways of getting an orthogonal matrix:
1. via the QR decomposition
2. via the SVD
Both are essentially the same.
A friend of mine told me to use package Matrix, but I did not know where to
start.
Question:
However, is there a way to generate such a matrix without resorting to these
methods of great computational costs, since I will have to generate very large
dimensional orthogonal matrix and correlation matrix (say, dimension = 10^6)?
Please forgive me if 10^6 is not big enough.
Your help is greatly appreciated!
Regards,
-Chee
P.S. Thanks to Phil Spector and I got it!
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