A fast routine of making a commutation matrix

R does not have this function by default, so I wrote a faster routine K() to create a commutation matrix.We always use the notation of commutation matrix on the paper. But when we put it into practice, we typically need the result of a dense matrix by pre- or post-multiplied by a commutation matrix. i.e., KX or YK., where K is the commutation matrix and X, Y are dense matrices. This could be a disaster when the dimensions are big in the usual way of multiplication. And I found a very easy and efficient way of doing this.

Please visit the git page for the updated code


Categorized as Default, R

By Feng Li

Dr. Feng Li is an Associate Professor of Statistics in the School of Statistics and Mathematics at Central University of Finance and Economics in Beijing, China. Feng obtained his Ph.D. degree in Statistics from Stockholm University, Sweden in 2013. His research interests include Bayesian computation, econometrics and forecasting, and distributed learning. His recent research output appeared in statistics and forecasting journals such as the International Journal of Forecasting and Statistical Analysis and Data Mining, AI journals such as Expert Systems with Applications, and medical journals such as BMJ Open.

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