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Thesis - Leigh Moody.pdf - Bad Request - Cranfield University

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Appendix I / Utilities / Matrices<br />

_ _<br />

2<br />

( i ∈ [ 1(<br />

1 ) n − 1 ] ) ∧ ( j ∈ [ i + 1(<br />

1 ) n ] ) ∧ c(<br />

i,<br />

j ) > c(<br />

i,<br />

i ) ⋅ c(<br />

j,<br />

j )<br />

⇒<br />

22.9-7<br />

y<br />

: =<br />

If (k > 0), [C] is returned positive definite using,<br />

4<br />

( )<br />

Equation 22.9-41<br />

−8<br />

*<br />

( c ( i , i ) ≤ 10 ) ∧ ( i ∈ [ 1 ( 1 ) n ] ) ⇒ c ( i , i ) : = c ( i , i )<br />

( i ∈ [ 1 ( 1 ) n − 1 ] ) ∧ ( j ∈ [ i + 1 ( 1 ) n ] )<br />

c<br />

*<br />

( i , j )<br />

c<br />

*<br />

: =<br />

22.9.21 Matrix of Correlation Coefficients<br />

c<br />

*<br />

2<br />

c ( i , j )<br />

* ( i , i ) ⋅ c ( j , j )<br />

*<br />

( j , i ) : = c ( i , j )<br />

Equation 22.9-42<br />

⇒<br />

Equation 22.9-43<br />

Equation 22.9-44<br />

M_CORREL takes covariance matrix [C(n,n)] and returns [R] whose upper<br />

triangular partition contains correlation coefficients in the range [0,1].<br />

⎧<br />

⎪<br />

⎪<br />

⎨<br />

⎪<br />

⎪<br />

⎪⎩<br />

M_CORREL<br />

( [ C ] , [ R ] , n , LUN )<br />

( i ∈ [ 1 ( 1 ) n −1<br />

] ) ∧ j ∈ [ i + 1 ( 1 ) n ]<br />

( c ( i , i ) ≠ 0 ) ∧ ( c ( j , j ) ≠ 0 ) ⇒ r ( i , j )<br />

: =<br />

( c ( i , i ) = 0 ) ∨ ( c ( j , j ) = 0 ) ⇒ r ( i , j )<br />

Equation 22.9-45<br />

⇒<br />

c<br />

c ( i , j )<br />

( i , i ) ⋅ c ( j , j )<br />

Equation 22.9-46<br />

The correlation coefficients are written to the output file through LUNOUT.<br />

22.9.22 Matrix Eigen Analysis<br />

M_EIGEN takes a full rank square matrix [C] of dimension (n), and returns<br />

the eigenvalues in vector (V) and eigenvectors in matrix [M] using Jacobi’s<br />

method of annihilation.<br />

: =<br />

1<br />

⎫<br />

⎪<br />

⎪<br />

⎬<br />

⎪<br />

⎪<br />

⎪⎭

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