Generation of Random Orthogonal Matrices
1987; Society for Industrial and Applied Mathematics; Volume: 8; Issue: 4 Linguagem: Inglês
10.1137/0908055
ISSN2168-3417
AutoresT. W. Anderson, Ingram Olkin, Les G Underhill,
Tópico(s)Statistical and numerical algorithms
ResumoIn order to generate a random orthogonal matrix distributed according to Haar measure over the orthogonal group it is natural to start with a matrix of normal random variables and then factor it by the singular value decomposition. A more efficient method is obtained by using Householder transformations. We propose another alternative based on the product of ${{n(n - 1)}/2}$ orthogonal matrices, each of which represents an angle of rotation. Some numerical comparisons of alternative methods are made.
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