[R] Extract an invertible submatrix

[Richard M. Heiberger]

Use qr

tmp <- cbind(matrix(rnorm(30), 5, 6), 0)[, c(1,2,3,4,7,5,6)]
tmp
tmp.qr <- qr(tmp)
tmp.qr
tmp.qr$pivot
tmp.subset <- tmp[, tmp.qr$pivot[1:tmp.qr$rank]]
solve(tmp.subset)


On Sun, Oct 2, 2016 at 2:19 PM, Bertrand Marc <beberking at gmail.com> wrote:
> Dear R helpers,
>
> I am looking for an efficient way to extract (any) one of the biggest invertible submatrix.
>
> I have a rectangular matrix A (p x n), with rank k <= min(p, n). I would like to get a submatrix (k x k) invertible, or even better, the list of rows and columns of A which
> would form the submatrix (A[rows, columns] would be invertible, with length(rows)=length(columns)=k).
>
> This is the general problem, but in my particular R code, the rank of A would be p (p<n), so I only need to select p columns to get the submatrix. But I am not sure it is
> easier.
> For now, my (very bad) solution would be to try every submatrix until I find one invertible.
>
> Do you think of any solution which would be more efficient ?
>
> Best regards,
> Bertrand
>
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