Lecture 21

[[lecture-data]]

2024-10-16

Readings

7. Chapter 7

We are talking about the singular value decomposition. Today: see how it can be used for generalized inverses

Recall, if we have a matrix A∈Mm,n and B∈Mn,m then we have generalized inverse when some of the conditions are met:

  1. ABA=A
  2. AB is hermitian
  3. BAB=B
  4. BA is hermitian
Note

if A is square and invertible, then B that satisfies all 4 conditions is the inverse of A ie A−1.

We can think of these in terms of the linear system Ax=b.

Theorem

Suppose that A∈Mm,n and b∈Cm are given. Suppose B∈Mn,m is a 1-2generalized inverse of A. Then x=Bb solves Ax=b in a least squares sense. ie,

minx∈Cn||Ax−b||2

has optimal solution x^=Bb.

Proof

Any vector in Cn can be expressed as x=Bb+y for some y∈Cn. We show that ||A(Bb+y)−b||22 is minimized when y=0.

||A(Bb+y)−b||22=[(AB−I)b+Ay]∗[(AB−I)b+Ay]=||(AB−I)b||22+||Ay||22+||Ay||22+y∗A∗(AB−I)b+b∗(AB−I)∗Ay(∗)=||(AB−I)b||22+||Ay||22

(∗) we see that [A∗(AB−I)]∗=(AB−I)A=ABA−A=0 since B is a 1, 2 generalized inverse (ie, AB is hermitian and ABA=A).

ie, the expression depends only on the term ||Ay||22, which is minimized precisely when ||Ay||=0 such as when y=0 for example. (the first term of the expression is constant).

  • thus the solutions to the least squares problem is the set {Bb+y:y∈Null(A)}

(see a 1-2-generalized inverse gives a least squares optimal solution)

Theorem

There exists a unique 1-2-3-4 generalized inverse for every matrix A∈Mm,n called the Moore-Penrose inverse (or pseudoinverse). And if A is real valued, then this inverse is also real valued.

Proof

(Uniqueness first). Suppose B,C∈Mn,m are both 1-2-3-4 generalized inverses for A. NTS B=C.

  • Claim 1: AB=AC
  • AB=ACAB since A=ACA (1 generalized inverse)
  • AC and AB are both hermitian. so we have
  • AB=C∗A∗B∗A∗=C∗(ABA)∗=C∗A∗ since ABA=A
  • But AC is hermitian, so we get AB=AC.
  • Claim 2: BA=CA argued analogously to the first claim
  • BA=BACA since A=ACA
  • Then BA=BACA=A∗B∗A∗C∗ since both BA and CA are hermitian
  • BA=(ABA)∗C∗=A∗C∗=CA since CA is hermitian
    Consider CAB.
  • By claim 2, we have BAB=CAB
  • By claim 1, we have CAB=CAC.
  • And by property 3 of the generalized inverses, we get B=BAB=CAB=CAC=C.

(Existence)
Let us first consider a special case. Suppose Σ is Mm,n "diagonal". Ie, i≠j,Σij=0. Define Σ†∈Mn,m "diagonal". And for all i, we have (Σ†)ii=1Σii if Σii≠0 and 0 otherwise. Then Σ† is a 1-2-3-4 generalized inverse for Σ. We can check this easily

  • clearly ΣΣ† is hermitian, same with Σ†Σ.
  • ΣΣ†Σ=Σ
  • Σ†ΣΣ†=Σ†

Now, what happens if we have a matrix Y∈Mm,n with a 1-2-3-4 generalized inverse Z∈Mn,m? Let U∈Mm be unitary, V∈Mn also unitary. Then UYV∗ has a 1-2-3-4 generalized inverse VZU∗. We can show this easily:

  • [UYV∗][VZU∗][UYV∗]=UYZYV∗. Then since Z is 1-2-3-4 generalized inverse we get UYZYV∗=UYV∗
  • [UYV∗][VZU∗]=UYZU∗ is hermitian since YZ is hermitian
  • (And the other two conditions are shown exactly analogously)

Say A=UΣV∗ is an SVD of A. Then the moore-penrose inverse of A is A†=VΣ†U∗ by the two above facts.

  • if A is real, then the SVD is real and so the pseudoinverse is also real.

(see Moore-Penrose inverse)

Theorem

Let A∈Mm,n,b∈Cm be given. Among the solutions to minx∈Cn||Ax−b||2, we have that A†b is a unique solution of the minimum euclidian norm.

Proof

Recall that the solutions of the least squares problem are exactly A†b+y:y∈Null(A). Let A=UΣV∗ be an SVD and the rank of A is k.

  • Null(A)=span{vk+1,vk+2,…,vn}
  • Range(A†)=span{v0,v1,…,vk} since A†=VΣ†U∗ is (almost) an SVD. Almost because the sigmas in Σ† are not necessarily non-decreasing. (recall that for SVD we assume that the singular values are ordered)

Thus for all y∈Null(A) we have y⊥A†b since we can see that range(A†)⊥Null(A) from the above. Thus for any y∈Null(A), we have

||A†b+y||22=[A†b+y]∗[A†b+y]=||A†b||22+||y||22+0+0⟹
  • the minimum occurs precisely when y=0!

(see the psuedoinverse gives the least norm solution to the least squares problem)