Академический Документы
Профессиональный Документы
Культура Документы
Matrix Fundamentals
a12
..
..
A = (aij ) = .
.
mn
am1
1.1
a1n
a1
.. = .. (a , , a )
1
n
. .
amn
an
Kroneker Product
A B = (aij B)
mn
pq
1.2
Hatamand Product
mpnq
A B = (aj bj )
mn
mn
1.3
mn
null(A) = {x|Ax = 0}
2
2.1
m
P
xi yi
i=1
xT x = (
m
P
x2 ) 2
i=1
2.2
xT y
||x||2 ||y||2
Orthogonal Vectors
2.3
Orthogonal Sets
2.4
Orthonormal
x 6= yxT y = 0, xT x = 1
Theorem 2.1 The vectors in a orthogonal set S are linearly independent
2.5
Orthogonal Matrix
Q = Rmm , QT Q = QQT = Im
Q = Cmm , QH Q = QQH = Im , (QH is the unitary matrix of Q)
Q1 = QT
|det(Q)| = 1
||Qx||2 = ||x||2
2.6
Rank
Inverse
0
b
b
11
1m
..
.. = AB
..
ei = .
I = [e1 , . . . , em ] = (a1 , . . . , am ) ...
.
.
1i
bm1 bmm
0 n1
2
B is the right inverse of A.Similarly, I= CA, and C is called the left inverse of A.
Since C=CI= CAB= B, the left inverse of a matrix is equivalent to its right inverse, we
have AA1 = A1 A = I.
Proposition 4.1 For A Rmm , the following conditions are equivalent:
Ahas an inverse A1
rank(A) = m
range(A)= Rm
null(A) = {0}
0 is not an eigenvalue of A
0 is not a singular value of A
det(A)6= 0
Proposition 4.2 (The Sherman-Merriam-Woodburry formular) m n, Ais diagonal and invertible.We have
(A BD1 C)1 = A1 + A1 B (D CA1 B)1 CA1
mm
nn
0
D1
0 D
1
In
0
In 0
=
V Im
V Im
1
A 0
A1
0
=
C D
D1 CA1 D1
1 1
A B
A
A1 BD1
=
0 D
0
D1
1 1
A + A1 BQ1 CA1 A1 BQ1
A B
=
C D
Q1 CA1
Q1
1
Q=D
CA B(Schur Complement)
A B
is invertible iff Aand Q are invertible
C D
Im BD1
S=
0
I
n
A B
A BD1 C 0
P=S
=
C D
C
D
Im
0
A BD1 C 0
T=
, PT=
D1 C In
0
D
A B
A BD1 C 0
S
T=
C D
0
D
A B
11 12
11 12
1
=
=
, ==
C D
21 22
21 22
1
1
1
1
11 = 11 12 22 21 , 11 12 = 12 1
21 1
22 ,
11 = 22 21
X1
Probabilistic Graphical Model : ... =X N(0,)
Xn
Xi q Xj |Xrex iff ij = 0, Xi q Xj iff ij = 0
Trace
m
P
aii
i=1
Proposition 5.1
trA = tr(AT ) =
i=1
m
P
(xi yi )
i=1
a1
A = (a1 , , an ), vec(A) = ... .tr(AB) = vec(AT )T vec(B) = vec(BT )T vec(A)
an
Determinant
Proposition 6.1
m
Q
i=1
det(A) = m detA
det(AB) = det(A)det(B)
det(AT ) = detA
det(A1 ) =
1
detA
D
nn
A B
= det(A)det(D CA1 B)
Anonsingular =
C D
A B
= det(D)det(A BD1 C)
Dnonsingular =
C D
A a
= det(A)det(c bT A1 a) = det(A)(c bT A1 a)
bT c
mm
mn
nn