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Vandenberghe

EE133A

11/2/2015

Midterm solutions

Problem 1. In the homework you derived the following factorization of a circulant Toeplitz matrix

T (a) with the n-vector a as its first column:

a1

a2

a3

..

.

an

a1

a2

..

.

T (a) =

an1 an2

an an1

an1

an

a1

..

..

.

.

an3

an2

a3

a4

a5

..

.

a1

a2

a2

a3

a4

..

.

= W H diag(W a)W.

n

an

a1

Here W is the n n discrete Fourier Transform matrix and diag(W a) is the diagonal matrix with

the vector W a (the discrete Fourier transform of a) on its diagonal.

1. Suppose T (a) is nonsingular. Show that its inverse T (a)1 is a circulant Toeplitz matrix.

Give a fast method for computing the vector b that satisfies T (b) = T (a)1 .

2. Let a and b be two n-vectors. Show that the product T (a)T (b) is a circulant Toeplitz matrix.

Give a fast method for computing the vector c that satisfies T (c) = T (a)T (b).

Solution.

1. The inverse is given by

T (a)1 =

1 H

W diag(W a)1 W.

n

T (a)1 =

1 H

W diag(W b)W.

n

The vector b can be computed in order n log n flops by calculating the DFT W a of a, inverting

it componentwise to get diag(W a)1 1, and then taking the inverse DFT of the result.

2. Using W H W = W W H = nI to simplify the product gives

1 H

1 H

W diag(W a)W

W diag(W b)W

T (a)T (b) =

n

n

1 H

=

W diag(W a) diag(W b)W

n

1 H

=

W diag ((W a) (W b)) W.

n

T (a)T (b) =

1 H

W diag(W c)W

n

with c = (1/n)W H ((W a) (W b)). The vector c can be computed in order n log n flops by

taking the DFTs of a and b, multiplying them componentwise, and taking the inverse DFT.

A21 B A22 B A2n B

AB =

.

..

..

..

..

.

.

.

.

An1 B An2 B Ann B

For example,

3 4

0

0

5 6

0

0

.

=

6 8 3 4

10 12

5 6

1

0

2 1

3 4

5 6

Solution. If A and B are orthogonal, then A B is orthogonal. To show this, we need to prove

that (A B)T (A B) = I.

First, we note that the transpose of the Kronecker product is the Kronecker product of the

transposes: (A B)T = AT B T . Therefore

(A B)T (A B)

= (AT B T )(A B)

A11 B A12 B A1n B

A12 B T A22 B T An2 B T A21 B A22 B A2n B

..

..

..

..

..

..

.

.

.

.

.

.

.

.

.

.

.

.

T

T

T

A1n B

A2n B

Ann B

An1 B An2 B Ann B

2

2

(A11 + + An1 )I

(A11 A12 + + An1 An2 )I (A11 A1n + + An1 Ann )I

(A12 A11 + + An2 An1 )I

(A212 + + A2n2 )I

(A12 A1n + + An2 Ann )I

=

..

..

..

..

.

.

.

.

(A1n A11 + + Ann An1 )I (A1n A12 + + Ann An2 )I

(A21n + + A2nn )I

I 0 0

0 I 0

= . . .

. . ...

.. ..

0 0

because AT A = I and B T B = I.

2

algorithm for the QR factorization of A computes an orthogonal m m matrix Q such that

R

T

Q A=

0

where R is upper triangular with nonzero diagonal elements. The matrix Q is computed as a

product Q = Q1 Q2 Qn1 of orthogonal matrices. In this problem we discuss the first step, the

calculation of Q1 . This matrix has the property that

R11

0

QT1 A = .

..

.. .

.

.

.

.

0

The symbols denote elements that may or may not be zero.

Let a = (A11 , A21 , . . . , Am1 ) be the first column of A. Define an m-vector

1

1

a + se1

v=p

1 + |A11 |/kak kak

where s = 1 if A11 0 and s = 1 if A11 < 0. The vector e1 is the first unit vector (1, 0, . . . , 0).

2. Define Q1 = I vv T . Show that Q1 is orthogonal.

3. Show that QT1 a = R11 e1 , where R11 = skak.

4. Give the complexity (dominant term in the flop count for large m, n) of computing the

matrix-matrix product

QT1 A = (I vv T )A.

Solution.

1. The square of kvk is

T

v v =

=

=

=

T

1

1

1

a + se1

a + se1

1 + |A11 |/kak kak

kak

T

1

a a

A11

2

+ 2s

+s

1 + |A11 |/kak kak2

kak

2 + 2|A11 |/kak

1 + |A11 |/kak

2.

QT1 Q1 = (I vv T )(I vv T ) = I vv T vvv T + (v T v)vv T = I.

3

p

kak + |A11 |

aT a/kak + seT1 a

=p

= kak 1 + |A11 |/kak.

vT a = p

1 + |A11 |/kak

1 + |A11 |/kak

Therefore

QT1 a = a (v T a)v = a kak(

4. We compute QT1 A as

1

a + se1 ) = skake1

kak

This takes 2mn flops for the product y = v T A, another mn for the outer product vy T , and

mn for the addition to A. The total is 4mn.

two methods for solving

(I + AB)x = b.

We assume the matrix I + AB is nonsingular.

1. In the first method we compute the matrix C = I + AB and then solve Cx = b using the

standard method (LU factorization). Give the complexity of this method.

2. Suppose the matrix I + BA is nonsingular. Show that

(I + AB)1 = I A(I + BA)1 B.

3. This suggests a second method for solving the equation: compute the solution via the formula

x = I A(I + BA)1 B b.

Describe an efficient method for evaluating this formula and give the complexity. Which of

the two methods is faster when m n? Explain your answer.

Solution.

1. Computing C costs 2n2 m flops. Solving the equation costs (2/3)n3 flops.

2. We check that (I + AB)(I A(I + BA)1 B) = I:

(I + AB)(I A(I + BA)1 B = I + AB A(I + BA)1 B ABA(I + BA)1 B

= I + AB A(I + BA)(I + BA)1 B

= I + AB AB

= I.

3. The complexity is 2nm2 + (2/3)m3 flops plus lower order terms.

4

Compute C = I + BA (2nm2 flops).

Solve Cu = v using the LU factorization of C ((2/3)m3 flops).

Compute x = b Au (2mn flops).

Method 2 is faster when m n.

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