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Lecture 11 Notes

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MAT 610

Summer Session 2009-10

Lecture 11 Notes

These notes correspond to Sections 5.4, 5.5 and 5.7 in the text.

with Column Pivoting

When does not have full column rank, the property

span{a1 , . . . , a } = span{q1 , . . . , q }

can not be expected to hold, because the rst columns of could be linearly dependent, while

the rst columns of , being orthonormal, must be linearly independent.

Example The matrix

1 2 1

= 2 4 0

1 2 3

has rank 2, because the rst two columns are parallel, and therefore are linearly dependent, while

the third column is not parallel to either of the rst two. Columns 1 and 3, or columns 2 and 3,

form linearly independent sets.

Therefore, in the case where rank() = < , we seek a decomposition of the form = ,

where is a permutation matrix chosen so that the diagonal elements of are maximized at each

stage. Specically, suppose 1 is a Householder reection chosen so that

11

0

1 = .

, 11 = a1 2 .

.

.

0

To maximize 11 , we choose 1 so that in the column-permuted matrix = 1 , we have a1 2

a 2 for 2. For 2 , we examine the lengths of the columns of the submatrix of obtained by

removing the rst row and column. It is not necessary to recompute the lengths of the columns,

because we can update them by subtracting the square of the rst component from the square of

the total length.

[

]

=

0 0

where = 1 , = 1 , and is an upper triangular, matrix. The last

rows are necessarily zero, because every column of is a linear combination of the rst columns

of .

Example We perform with column pivoting on the matrix

1

3 5 1

2 1 2 1

.

=

1

4 6 1

4

5 10 1

Computing the 2-norms of the columns yields

a1 2 = 22,

a2 2 = 51,

columns to obtain

0 0

0 1

(1) = 1 =

1 0

0 0

a3 2 = 165,

a4 2 = 4.

0

5

3 1 1

2 1 2 1

0

=

0 6

4 1 1

1

10

5 4 1

1

0

0

0

We then apply a Householder transformation 1 to (1) to make the rst column a multiple of e1 ,

which yields

0 2.0953

1.4080

0.6873

.

1 (1) =

0

0.7141 0.7759

0.0618

0 0.4765

1.0402 0.5637

Next, we consider the submatrix obtained by removing the rst row and column of 1 (1) :

2.0953

1.4080

0.6873

0.0618 .

(2) = 0.7141 0.7759

0.4765

1.0402 0.5637

We compute the lengths of the columns, as before, except that this time, we update the lengths of

the columns of , rather than recomputing them. This yields

(2)

(1)

(1)

(2)

(1)

(1)

(2)

(1)

(1)

2

The second column is the largest, so there is no need for a column interchange this time. We

2 to the rst column of (2) so that the updated column is a

apply a Householder transformation

multiple of e1 , which is equivalent to applying a 4 4 Householder transformation 2 = 2v2 v2 ,

where the rst component of v2 is zero, to the second column of (2) so that the updated column

is a linear combination of e1 and e2 . This yields

2 (2) =

0 0.2559

0.2559 .

0

0.6933 0.6933

Then, we consider the submatrix obtained by removing the rst row and column of 2 (2) :

[

]

0.2559

0.2559

(3)

=

.

0.6933 0.6933

Both columns have the same lengths, so no column interchange is required. Applying a Householder

3 to the rst column to make it a multiple of e1 will have the same eect on the second

reection

column, because they are parallel. We have

]

[

0.7390 0.7390

(3)

.

3 =

0

0

It follows that the matrix (4) obtained by removing the rst row and column of 3 (3) will be

the zero matrix. We conclude that rank() = 3, and that has the factorization

]

[

,

=

0 0

where

0

0

=

1

0

0

1

0

0

1

0

0

0

0

0

,

0

1

0

2.2643 1.7665 ,

=

0

0

0.7390

1.7905

= 0.4978 ,

0.7390

and = 1 2 3 is the product of the Householder reections used to reduce to uppertriangular form.

Using this decomposition, we can solve the linear least squares problem x = b by observing

that

2

[

]

2

b x2 =
b

x

0 0

2

3

[

][

]
2

u

=

b 0 0

v
2

[

] [

]
2

c

u + v

=

d

0

2

= c u v22 + d22 ,

where

b=

c

d

x=

u

v

]

,

with c and u being -vectors. Thus min b x22 = d22 , provided that u + v = c. A basic

solution is obtained by choosing v = 0. A second solution is to choose u and v so that u22 + v22

is minimized. This criterion is related to the pseudo-inverse of .

After performing the factorization with column pivoting, we have

]

[

=

0 0

where is upper triangular. Then

0

0

]

] [

[

0

0

,

=

2 1

0 0

0

where is upper-triangular. Then

0

0 0

0

0

=

where is a lower-triangular matrix of size , where is the rank of . This is the complete

orthogonal decomposition of .

Recall that is the pseudo-inverse of if

4

1. =

2. =

3. () =

4. () =

Given the above complete orthogonal decomposition of , the pseudo-inverse of , denoted + , is

given by

[ 1

]

0

+

=

.

0

0

Let = {xb x2 = min }. If x and we desire x2 = min , then x = + b. Note that in

this case,

r = b x = b + b = ( + )b

where the matrix ( + ) is a projection matrix . To see that is a projection, note that

+

=

[

=

0

[

=

0

0

0

]

0

.

0

1 0

0

0

Minimum-norm least squares solution

One of the most well-known applications of the SVD is that it can be used to obtain the solution

to the problem

b x2 = min , x2 = min .

The solution is

= + b = + b

x

where + is the pseudo-inverse of .

Let be the set of all orthogonal matrices. Given an matrix , we wish to nd the

matrix that satises

= min , , () = 1.

= , then

Given = , if we compute

2

= ( ) 2

= 2

= (1 1)2 + + ( 1)2

Low-Rank Approximations

()

()

()

where < , such that = min .

= where

To solve this problem, let = be the SVD of , and let

..

..

.

0

Then

2

= ( ) 2

= 2

2

+ + 2 .

= +1

such that

2 2 ,

We now consider a variation of this problem. We wish to nd

where the rank of

2

2 = +1

+ + 2 .

= is the solution if

It follows that

+1 + + 2 2 ,

Note that

(

+

+ 2

2 + + 2 > 2 .

1

2

+1

1

+ + 2

)

.

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