mgs_ortho

Modified Gram-Schmidt Orthogonalisation

Orthogonalises input matrix \(\mathbf{X}\) column by column.

param X:Input matrix of dimensions \(n\) by \(m\). type X:np.ndarray returns:Orthogonalised matrix of dimensions \(n\) by \(m\). rtype:np.ndarray

Notes

This method is faster than scipy’s scipy.linalg.qr() method that returns an orthogonal matrix as part of the QR decomposition, albeit at a higher number of function calls.