Matrix Inversion Lemma

The Matrix Inversion Lemma is the equation

(A BD

C ) = A1 + A1 B ( D C A1 B ) C A1
1

Proof: We construct an augmented matrix A, B, C, and D and its inverse:

1
A B
E F
C D = G H

We then construct the two products

A B E F A E + B G A F + B H I 0
C D G H = C E + D G C F + D H = 0 I

and
E F A B E A + F C E B + F D I 0
G H C D = G A + H C G B + H D = 0 I

Submatrices in (3) and (4) are broken out to form eight matrix equations:
A E + B G = I
A F + B H = 0
C E + D G = 0
CF + DH = I

(1)

(2)

(3)

(4)
(5)
(6)
(7)
(8)

E A + F C = I
(9)
EB+ F D = 0
(10)
G A + H C = 0
(11)
GB+ H D = I
(12)
Combining (5) through (12) in various orders gives two sets of equations for E, F, G and
H from A, B, C, and D:

E = ( A B D 1 C )

(13)

F = ( A B D 1 C ) B D 1

(14)

G = D 1 C ( A B D 1 C )

(15)

H = D 1 + D 1 C ( A B D 1 C ) B D 1

(16)

E = A1 + A1 B ( D C A1 B ) C A1

(17)

and

F = A1 B ( D C A1 B )

(18)

G = ( D C A1 B ) C A1

(19)

H = ( D C A1 B )

(20)

The proof is completed by combining either (13) and (17) or (16) and (20). Conditions
are that all the involved inverses exist.