Ensures the columns of `W` are orthonormal with respect to the
design kernel metric: U^T K U = I.
Usage
dkge_k_orthonormalize(W, K, Kroots = NULL)
Arguments
- W
qxr matrix (columns = basis vectors)
- K
qxq design kernel (PSD)
- Kroots
optional precomputed kernel roots from `.dkge_kernel_roots`
Value
qxr matrix with K-orthonormal columns
Examples
K <- diag(5)
W <- matrix(rnorm(10), 5, 2)
U <- dkge_k_orthonormalize(W, K)
# Verify K-orthonormality
round(t(U) %*% K %*% U, 10)
#> [,1] [,2]
#> [1,] 1 0
#> [2,] 0 1