| g02ae {NAGFWrappers} | R Documentation |
g02ae computes the factor loading matrix associated with the nearest correlation matrix with k-factor structure, in the Frobenius norm, to a given square, input matrix.
g02ae(g, k,
n = nrow(g),
errtol = 0.0,
maxit = 0)
g |
double array G, the initial matrix. |
k |
integer k, the number of factors and columns of X. |
n |
integer: default = nrow(g) n, the size of the matrix G. |
errtol |
double: default = 0.0 The termination tolerance for the projected gradient norm. See references for further details. If errtol <= 0.0 then 0.01 is used. This is often a suitable default value. |
maxit |
integer: default = 0 Specifies the maximum number of iterations in the spectral projected gradient method. |
R interface to the NAG Fortran routine G02AEF.
G |
double array A symmetric matrix (1)/(2)(G + G^T) with the diagonal elements set to unity. |
X |
double array Contains the matrix X. |
ITER |
integer The number of steps taken in the spectral projected gradient method. |
FEVAL |
integer The number of function evaluations. |
NRMPGD |
double The norm of the projected gradient at the final iteration. |
IFAIL |
integer ifail =0unless the function detects an error or a warning has been flagged (see the Errors section in Fortran library documentation). |
NAG
http://www.nag.co.uk/numeric/FL/nagdoc_fl23/pdf/G02/g02aef.pdf
ifail <- 0
errtol <- 1e-07
g <- matrix(c(2, -1, 0, 0, -1, 2, -1, 0, 0, -1, 2,
-1, 0, 0, -1, 2), nrow = 4, ncol = 4, byrow = TRUE)
k <- 2
maxits <- 200
maxit <- 10
ans <- g02ae(g, k)
if (ifail == 0) {
writeLines(sprintf("\n Factor Loading Matrix x:\n",
"\n"))
x <- ans$X
print(x)
iter <- ans$ITER
writeLines(sprintf("\n Number of Newton steps taken: %d\n",
iter))
feval <- ans$FEVAL
writeLines(sprintf(" Number of function evaluations: %d\n",
feval))
}