ORTH

Purpose:

Computes an orthonormal basis of an array using SVD.

ORTH(a)

a - An input array.

An orthonormal array of n columns where n == rank(a).

W1: {{1, 3},

{2, 2},

{3, -1}}

W2: orth(W1)

W2 == {{-0.666667, -0.447214},

{-0.666667, 0.000000},

{-0.333333, 0.894427}}

Since W2 is an orthonormal basis for W1,

col(w2, 1)' *^ col(w2, 1) == {1}

i.e. column 1 is orthonormal to itself.

col(w2, 1)' *^ col(w2, 2) == {-1.665335E-016}

i.e. column 1 and column 2 are orthogonal.

w2' *^ w2 == {{1, 0},

{0, 1}}

i.e. the identity matrix.

Now construct a new series that is a linear combination of the original series:

W3: 2*col(w1, 1) - 5*col(w1, 2)

returns {-13, -6, 11}.

W3 can also be expressed as a linear combination of W2, the orthonormal basis:

a1 = w3' *^ col(w2, 1)

a2 = w3' *^ col(w2, 2)

W4: a1 * col(w2, 1) + a2 * col(w2, 1)

a1 == {9.0}

a2 == {15.652476}

W4 == {-13, -6, 11}

ORTH uses SVD to compute the orthonormal basis. The number of output columns is limited to the RANK of the input array.