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Linear Algebra norm of a vector

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Lecture 8

Least-norm solutions of undetermined

equations

8–1

Underdetermined linear equations

we consider

y = Ax

where A ∈ Rm×n is fat (m < n), i.e.,

we’ll assume that A is full rank (m), so for each y ∈ Rm, there is a solution

{ x | Ax = y } = { xp + z | z ∈ N (A) }

• z characterizes available choices in solution

Least-norm solution

minimize kxk

subject to Ax = y

suppose Ax = y, so A(x − xln) = 0 and

= (A(x − xln))T (AAT )−1 y

= 0

{ x | Ax = y }

N (A) = { x | Ax = 0 }

xln

{ x | Ax = y }

• A† = AT (AAT )−1 is called the pseudo-inverse of full rank, fat A

• A† = (AT A)−1 AT

Least-norm solution via QR factorization

• Q ∈ Rn×m, QT Q = Im

then

• kxlnk = kR−T yk

Derivation via Lagrange multipliers

minimize xT x

subject to Ax = y

∇xL = 2x + AT λ = 0, ∇λ L = Ax − y = 0

Example: transferring mass unit distance

• find least norm force that transfers mass unit distance with zero final

velocity, i.e., y = (1, 0)

0.06

0.04

xln

0.02

−0.02

−0.04

−0.06

0 2 4 6 8 10 12

1

t

0.8

position

0.6

0.4

0.2

0

0 2 4 6 8 10 12

0.2

t

velocity

0.15

0.1

0.05

0

0 2 4 6 8 10 12

Relation to regularized least-squares

• define J1 = kAx − yk2 , J2 = kxk2

• least-norm solution minimizes J2 with J1 = 0

• minimizer of weighted-sum objective J1 + µJ2 = kAx − yk2 + µkxk2 is

T

−1

xµ = A A + µI AT y

least-norm solution as µ → 0

• in matrix terms: as µ → 0,

T

−1 T T T −1

A A + µI A →A AA

General norm minimization with equality constraints

consider problem

minimize kAx − bk

subject to Cx = d

with variable x

• equivalent to

minimize (1/2)kAx − bk2

subject to Cx = d

• Lagrangian is

= (1/2)xT AT Ax − bT Ax + (1/2)bT b + λT Cx − λT d

• optimality conditions are

∇xL = AT Ax − AT b + C T λ = 0, ∇λL = Cx − d = 0

T T T

A A C x A b

=

C 0 λ d

T T

−1 T

x A A C A b

=

λ C 0 d

if AT A is invertible, we can derive a more explicit (and complicated)

formula for x

x = (AT A)−1(AT b − C T λ)

C(AT A)−1(AT b − C T λ) = d

so

T −1 T −1 T −1 T

λ = C(A A) C C(A A) A b−d

T −1 T T T −1 T −1 T −1 T

x = (A A) A b−C C(A A) C C(A A) A b−d

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