A little while back, J.M. suggested using the Stewart algorithm for generating $n$ by $n$ pseudo random orthogonal matrices in $O(n^2)$ time. He further noted that this methodology is implemented in Nick Higham's matrix computation toolbox (matlab). Now this package contains a bunch of .m files. Could anyone direct me to which one implements the pseudorandom orthogonal matrix generator? Alternatively, would anyone know of a R implementation of this algorithm?
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It's in the Test Matrix Toolbox, not the Matrix Computation Toolbox. The M-file qmult.m (premultiplication by a Haar-distributed pseudorandom orthogonal matrix) can be found here or here.
answered Sep 23, 2010 at 0:22
J. M. is not a statisticianJ. M. is not a statistician
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$\begingroup$ Thanks alot (both for the clever initial suggestion and for the folow thru). $\endgroup$– user603Sep 23, 2010 at 7:39
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$\begingroup$ No problem, kwak; remember only that it does premultiplication, though modifying the algorithm to do postmultiplication shouldn't be too hard. $\endgroup$ Sep 23, 2010 at 11:45
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$\begingroup$ M.:> it should be okay: i only need Q (i.e. qmult(eye(p))) $\endgroup$– user603Sep 23, 2010 at 20:23