Similarity transformation in 3D between two matched points patterns.

Size: px
Start display at page:

Download "Similarity transformation in 3D between two matched points patterns."

Transcription

1 Similarity transformation in 3D between two matched points patterns. coordinate system 1 coordinate system 2 The first 3D coordinate system is transformed through a three-dimensional R followed by a translation t, which we will take into account as O (2) O (1), to obtain the second coordinate system. The coordinate systems and transformation are righthanded. The rotation have to satisfy { 1 i = j RR = R R = I 3 R = [ r 1 r 2 r 3 ] with r i r j = δ ij = i, j = 1, 2, 3 0 i j which gives six independent quadratic constaints on the three angles. However, in order to restrict the movements to a 3D space we must also have detr = 1 that is, R must be a proper orthonormal matrix. Taking the first coordinate system as A = I 3 and the rotation B = R, this change of coordinates in 3D is y [B] = Ry [A] where we project it in the second coordinate system. The translation and the three-dimensional point P, have the relation in the second coordinate system O (2) P = O (2) O (1) + O (1) P or in coordinates y (2) o = t + Ry (1) o

2 Each point the first coordinate system corresponds to the correct point in the second coordinate system, so only inliers are considered. The measurements are y (k) = y (k) o + δy (k) δy (k) GI(0, σ 2 I 3 ) k = 1, 2 E[δy (1) δy (2) ] = 0 and the noise in the two coordinate systems are independent. In the general case the estimation also have a scale change c subject to [ ĉ, ˆt, ˆR ] = arg min c,t,r y (2) io = cry(1) io + t y (2) i cry (1) i t 2 2 i = 1,..., n and the rotational constraints from above. This is a total least squares (TLS) estimation problem with the rotation depending nonlinearly on the six-dimensional {y (1) i, y (2) i } input. We start by eliminating the translation from the objective function. In each of the two frames the average is ȳ (k) = 1 n y (k) i k = 1, 2 and constraint on the averages between the two frames is ȳ (2) = ĉ ˆRȳ (1) + ˆt where we assumed separability of the three estimates. So, if we already know ĉ, ˆR, the translation can be found ˆt = ȳ (2) ĉ ˆRȳ (1) Next we estimate the scale between the two frames. The centered input variables are ỹ (k) i = y (k) i ȳ (k) k = 1, 2 2

3 and the objective function becomes after subtituting ˆt J = ỹ (2) i crỹ (1) i 2 = ỹ (2) i 2 2c ỹ (1 ) i R ỹ (2) i +c 2 Rỹ (1) i 2 because the middle term is a scalar and can be written in two ways. The zero mean sample variances are n ˆσ 2(k) = ỹ(k) i 2 k = 1, 2 The rotation matrix in an orthonormal matrix with norm one Rỹ (1) i = ỹ (1) i The sample covariance between the two frames is a symmetric positive semidefinite matrix K = 1 ỹ (2) i ỹ (1) i = 1 ỹ (1) i ỹ (2) i and the objective function becomes J = ()ˆσ 2 2 2c()trace[R K] + c 2 ()ˆσ 2 1 This is a quadratic equation in c and the solution is dj dc = 0 which is a minimum since d 2 J dc 2 = 2()ˆσ2 1 > 0 Thus, if we find ˆR, the scale will be also known ĉ = trace[ ˆR K] ˆσ 2 1 The objective function is further simplified arg min J = arg max R R (trace[r K]) A theorem... to help us. The Cauchy-Schwarz inequality can be written for two n n matrices trace[a B] A B 3

4 where the norm can be 2-norms or Frobenius norms. We will use the Frobenius norm. Equality appears when A = βb and without loss of generality (w.l.g.) we can take β = 1. Assume A = BQ where Q is an orthonormal matrix QQ = Q Q = I n. Then, due to the orthonormality of Q, the inequality is trace[qb B] B 2 F = trace[b B] If BQ = B = A, that is Q = I n, the inequality reaches the upper bound and becomes an equality. The D = B B is always a symmetric positive semidefinite matrix. We did prove traced trace[qd] Coming back to the objective function, the svd of the sample covariance is K = UΣV and we can write (after substituting the rotation with the estimated rotation) trace[ ˆR UΣV ] = trace[v ˆR UΣ] = trace[qd] where Q = V ˆR U is an orthonormal matrix and D = Σ is a symmetric positive semidefinite (diagonal) matrix. A upper bound (the maximum) is reached when Q = V ˆR U = I3 or ˆR = UV But still we did not take into account that the rotation has to be a proper orthonormal matrix. The proper matrix have to be 1 ˆR = U... 1 V = UZV det(uv ) where the determinant det(uv ), which has the value 1 or 1, is taken accordingly so det ˆR = 1. The scale estimate, ĉ can be rewritten ĉ = trace[(uzv ) UΣV ] ˆσ 2 1 = trace[σz] ˆσ 2 1 4

5 in the second coordinated system. The physical meaning of the (inlier) similarity transformation can be seen if we rearrange the changing part of the objective function c trace[r K] = c trace[kr] = c trace[rk] where K is symmetric and positive semidefinite. Than 1 c Rỹ (1) i ỹ (2 ) i = (c Rỹ (1) i ) (ỹ (2 ) i ) Points in the first coordinate system are transformed into the second coordinate system. The scale is taken into account and maximum alignment is sought. In p > 3 dimensions, given two n p matrices A, B we want to find an orthonormal p p matrix Q such that min Q A BQ F subject QQ = Q Q = I p detq = 1 The proper rotation that transforms B to A is known in the literature as orthogonal Procrutes problem. The solution (like above) is max Q (trace[q B A]) = max Q (trace[q (UΣV )]) = max Q (trace[(v Q U)Σ]) from where the p p matrix in ˆQ = UZV with Z having ones on the diagonal and det(uv ) on the last row. Conditions for ˆR to be unique. Dimension of the space equal three. If the covariance matrix K is full rank three, the rotation also will be full rank. In general this is the case. If the rank of the matrix K is two, the third coordinate of the rotation, e.g., r 3, still can be recovered due to the orthonormality. Example. The rotation is around i 3 and the three points, P 1, P 2, P 3, move from the plane (i 1, i 3 ) to the plane (i 2, i 3 ). In this case, no line beside the rotation axis i 3 is satisfactory. If the rank of the matrix K is one, only a coordinate of the rotation, e.g. r 2, is defined. In this case, there are multiple solutions for the rotation. Example. The three points are now on the i 1 axis and after the rotation move to the i 2 axis. Any line through the origin and the bisector plane is satisfactory. 5

6 In general, only rank K = p, p 1 give unique solutions to orthogonal Procrutes problem. Pose of an object in the coordinate system of the camera. Three 3D vectors, m 1, m 2, m 3, are given, which are independent but not orthonormal. We have to find the rotation relative to I 3 such that Developing the sum min R 3 m i r i = min R M R 2 F M R 2 F = M 2 F 2 trace[r M] + R 2 F but M 2 F is a constant of the problem and R 2 F is equal to three. The rotation matrix is found max R trace[r M] as before... Note we have a unique solution even when one of the m vectors is unknown. Orthogonal frame reconstruction. Appears in 3D motion problems and object recognition. Given three independent vectors in a plane T = [ t 1 t 2 t 3 ], which represent the 2D projection of a 3D 6

7 rotation matrix R RR = R R = I 3 detr = ±1 find the rotation matrix and the unit normal to the plane n. The unit normal n is perpendicular to the plane which is the range of T. The svd of T is rank two. The projection in the range of T is P = I 3 nn = u 1 u 1 + u 2 u 2 from where ˆn is easy to recover, ˆn = u 3. The 3D rotation matrix is the minimum in 2D of arg min R T PR 2 F = arg max R trace[r P T] = arg max R trace[r T] = because P T = T and the solution is like before. The matrix Q = I 3 2nn is the reflection of the projection PQ = I 3 3nn + 2nn nn = P If for one 3D vector we know a priori the orientation (away/toward the image plane), we have a unique solution. 7

IV. Matrix Approximation using Least-Squares

IV. Matrix Approximation using Least-Squares IV. Matrix Approximation using Least-Squares The SVD and Matrix Approximation We begin with the following fundamental question. Let A be an M N matrix with rank R. What is the closest matrix to A that

More information

Dimensionality Reduction: PCA. Nicholas Ruozzi University of Texas at Dallas

Dimensionality Reduction: PCA. Nicholas Ruozzi University of Texas at Dallas Dimensionality Reduction: PCA Nicholas Ruozzi University of Texas at Dallas Eigenvalues λ is an eigenvalue of a matrix A R n n if the linear system Ax = λx has at least one non-zero solution If Ax = λx

More information

Linear Algebra (Review) Volker Tresp 2018

Linear Algebra (Review) Volker Tresp 2018 Linear Algebra (Review) Volker Tresp 2018 1 Vectors k, M, N are scalars A one-dimensional array c is a column vector. Thus in two dimensions, ( ) c1 c = c 2 c i is the i-th component of c c T = (c 1, c

More information

Linear Algebra (Review) Volker Tresp 2017

Linear Algebra (Review) Volker Tresp 2017 Linear Algebra (Review) Volker Tresp 2017 1 Vectors k is a scalar (a number) c is a column vector. Thus in two dimensions, c = ( c1 c 2 ) (Advanced: More precisely, a vector is defined in a vector space.

More information

GI07/COMPM012: Mathematical Programming and Research Methods (Part 2) 2. Least Squares and Principal Components Analysis. Massimiliano Pontil

GI07/COMPM012: Mathematical Programming and Research Methods (Part 2) 2. Least Squares and Principal Components Analysis. Massimiliano Pontil GI07/COMPM012: Mathematical Programming and Research Methods (Part 2) 2. Least Squares and Principal Components Analysis Massimiliano Pontil 1 Today s plan SVD and principal component analysis (PCA) Connection

More information

Basic Concepts in Matrix Algebra

Basic Concepts in Matrix Algebra Basic Concepts in Matrix Algebra An column array of p elements is called a vector of dimension p and is written as x p 1 = x 1 x 2. x p. The transpose of the column vector x p 1 is row vector x = [x 1

More information

Vector spaces. DS-GA 1013 / MATH-GA 2824 Optimization-based Data Analysis.

Vector spaces. DS-GA 1013 / MATH-GA 2824 Optimization-based Data Analysis. Vector spaces DS-GA 1013 / MATH-GA 2824 Optimization-based Data Analysis http://www.cims.nyu.edu/~cfgranda/pages/obda_fall17/index.html Carlos Fernandez-Granda Vector space Consists of: A set V A scalar

More information

Lecture Notes 1: Vector spaces

Lecture Notes 1: Vector spaces Optimization-based data analysis Fall 2017 Lecture Notes 1: Vector spaces In this chapter we review certain basic concepts of linear algebra, highlighting their application to signal processing. 1 Vector

More information

Diagonalizing Matrices

Diagonalizing Matrices Diagonalizing Matrices Massoud Malek A A Let A = A k be an n n non-singular matrix and let B = A = [B, B,, B k,, B n ] Then A n A B = A A 0 0 A k [B, B,, B k,, B n ] = 0 0 = I n 0 A n Notice that A i B

More information

Review problems for MA 54, Fall 2004.

Review problems for MA 54, Fall 2004. Review problems for MA 54, Fall 2004. Below are the review problems for the final. They are mostly homework problems, or very similar. If you are comfortable doing these problems, you should be fine on

More information

Chapter 3 Transformations

Chapter 3 Transformations Chapter 3 Transformations An Introduction to Optimization Spring, 2014 Wei-Ta Chu 1 Linear Transformations A function is called a linear transformation if 1. for every and 2. for every If we fix the bases

More information

Principal Component Analysis

Principal Component Analysis Principal Component Analysis CS5240 Theoretical Foundations in Multimedia Leow Wee Kheng Department of Computer Science School of Computing National University of Singapore Leow Wee Kheng (NUS) Principal

More information

Linear Algebra Review. Vectors

Linear Algebra Review. Vectors Linear Algebra Review 9/4/7 Linear Algebra Review By Tim K. Marks UCSD Borrows heavily from: Jana Kosecka http://cs.gmu.edu/~kosecka/cs682.html Virginia de Sa (UCSD) Cogsci 8F Linear Algebra review Vectors

More information

Math Matrix Algebra

Math Matrix Algebra Math 44 - Matrix Algebra Review notes - (Alberto Bressan, Spring 7) sec: Orthogonal diagonalization of symmetric matrices When we seek to diagonalize a general n n matrix A, two difficulties may arise:

More information

Principal Component Analysis

Principal Component Analysis Machine Learning Michaelmas 2017 James Worrell Principal Component Analysis 1 Introduction 1.1 Goals of PCA Principal components analysis (PCA) is a dimensionality reduction technique that can be used

More information

FSAN/ELEG815: Statistical Learning

FSAN/ELEG815: Statistical Learning : Statistical Learning Gonzalo R. Arce Department of Electrical and Computer Engineering University of Delaware 3. Eigen Analysis, SVD and PCA Outline of the Course 1. Review of Probability 2. Stationary

More information

5.0 Vector norms Properties of norms Norm notation Unitarily invariant norms Inner products

5.0 Vector norms Properties of norms Norm notation Unitarily invariant norms Inner products Chapter 5 Norms Contents (final version) 5.0 Vector norms....................................... 5.2 Properties of norms......................................... 5.5 Norm notation...........................................

More information

Homework 1. Yuan Yao. September 18, 2011

Homework 1. Yuan Yao. September 18, 2011 Homework 1 Yuan Yao September 18, 2011 1. Singular Value Decomposition: The goal of this exercise is to refresh your memory about the singular value decomposition and matrix norms. A good reference to

More information

DATA MINING LECTURE 8. Dimensionality Reduction PCA -- SVD

DATA MINING LECTURE 8. Dimensionality Reduction PCA -- SVD DATA MINING LECTURE 8 Dimensionality Reduction PCA -- SVD The curse of dimensionality Real data usually have thousands, or millions of dimensions E.g., web documents, where the dimensionality is the vocabulary

More information

Large Scale Data Analysis Using Deep Learning

Large Scale Data Analysis Using Deep Learning Large Scale Data Analysis Using Deep Learning Linear Algebra U Kang Seoul National University U Kang 1 In This Lecture Overview of linear algebra (but, not a comprehensive survey) Focused on the subset

More information

Camera Calibration The purpose of camera calibration is to determine the intrinsic camera parameters (c 0,r 0 ), f, s x, s y, skew parameter (s =

Camera Calibration The purpose of camera calibration is to determine the intrinsic camera parameters (c 0,r 0 ), f, s x, s y, skew parameter (s = Camera Calibration The purpose of camera calibration is to determine the intrinsic camera parameters (c 0,r 0 ), f, s x, s y, skew parameter (s = cotα), and the lens distortion (radial distortion coefficient

More information

Matrix decompositions

Matrix decompositions Matrix decompositions Zdeněk Dvořák May 19, 2015 Lemma 1 (Schur decomposition). If A is a symmetric real matrix, then there exists an orthogonal matrix Q and a diagonal matrix D such that A = QDQ T. The

More information

Sub-Stiefel Procrustes problem. Krystyna Ziętak

Sub-Stiefel Procrustes problem. Krystyna Ziętak Sub-Stiefel Procrustes problem (Problem Procrustesa z macierzami sub-stiefel) Krystyna Ziętak Wrocław April 12, 2016 Outline 1 Joao Cardoso 2 Orthogonal Procrustes problem 3 Unbalanced Stiefel Procrustes

More information

Distance Geometry-Matrix Completion

Distance Geometry-Matrix Completion Christos Konaxis Algs in Struct BioInfo 2010 Outline Outline Tertiary structure Incomplete data Tertiary structure Measure diffrence of matched sets Def. Root Mean Square Deviation RMSD = 1 n x i y i 2,

More information

Review of Linear Algebra

Review of Linear Algebra Review of Linear Algebra Definitions An m n (read "m by n") matrix, is a rectangular array of entries, where m is the number of rows and n the number of columns. 2 Definitions (Con t) A is square if m=

More information

Problem Set 1. Homeworks will graded based on content and clarity. Please show your work clearly for full credit.

Problem Set 1. Homeworks will graded based on content and clarity. Please show your work clearly for full credit. CSE 151: Introduction to Machine Learning Winter 2017 Problem Set 1 Instructor: Kamalika Chaudhuri Due on: Jan 28 Instructions This is a 40 point homework Homeworks will graded based on content and clarity

More information

Singular Value Decomposition

Singular Value Decomposition Singular Value Decomposition Motivatation The diagonalization theorem play a part in many interesting applications. Unfortunately not all matrices can be factored as A = PDP However a factorization A =

More information

The Singular Value Decomposition

The Singular Value Decomposition The Singular Value Decomposition Philippe B. Laval KSU Fall 2015 Philippe B. Laval (KSU) SVD Fall 2015 1 / 13 Review of Key Concepts We review some key definitions and results about matrices that will

More information

TBP MATH33A Review Sheet. November 24, 2018

TBP MATH33A Review Sheet. November 24, 2018 TBP MATH33A Review Sheet November 24, 2018 General Transformation Matrices: Function Scaling by k Orthogonal projection onto line L Implementation If we want to scale I 2 by k, we use the following: [

More information

ECE 8201: Low-dimensional Signal Models for High-dimensional Data Analysis

ECE 8201: Low-dimensional Signal Models for High-dimensional Data Analysis ECE 8201: Low-dimensional Signal Models for High-dimensional Data Analysis Lecture 7: Matrix completion Yuejie Chi The Ohio State University Page 1 Reference Guaranteed Minimum-Rank Solutions of Linear

More information

Fundamentals of Matrices

Fundamentals of Matrices Maschinelles Lernen II Fundamentals of Matrices Christoph Sawade/Niels Landwehr/Blaine Nelson Tobias Scheffer Matrix Examples Recap: Data Linear Model: f i x = w i T x Let X = x x n be the data matrix

More information

Applied Linear Algebra in Geoscience Using MATLAB

Applied Linear Algebra in Geoscience Using MATLAB Applied Linear Algebra in Geoscience Using MATLAB Contents Getting Started Creating Arrays Mathematical Operations with Arrays Using Script Files and Managing Data Two-Dimensional Plots Programming in

More information

Singular Value Decomposition and its. SVD and its Applications in Computer Vision

Singular Value Decomposition and its. SVD and its Applications in Computer Vision Singular Value Decomposition and its Applications in Computer Vision Subhashis Banerjee Department of Computer Science and Engineering IIT Delhi October 24, 2013 Overview Linear algebra basics Singular

More information

2. LINEAR ALGEBRA. 1. Definitions. 2. Linear least squares problem. 3. QR factorization. 4. Singular value decomposition (SVD) 5.

2. LINEAR ALGEBRA. 1. Definitions. 2. Linear least squares problem. 3. QR factorization. 4. Singular value decomposition (SVD) 5. 2. LINEAR ALGEBRA Outline 1. Definitions 2. Linear least squares problem 3. QR factorization 4. Singular value decomposition (SVD) 5. Pseudo-inverse 6. Eigenvalue decomposition (EVD) 1 Definitions Vector

More information

ELEMENTARY MATRIX ALGEBRA

ELEMENTARY MATRIX ALGEBRA ELEMENTARY MATRIX ALGEBRA Third Edition FRANZ E. HOHN DOVER PUBLICATIONS, INC. Mineola, New York CONTENTS CHAPTER \ Introduction to Matrix Algebra 1.1 Matrices 1 1.2 Equality of Matrices 2 13 Addition

More information

COMP6237 Data Mining Covariance, EVD, PCA & SVD. Jonathon Hare

COMP6237 Data Mining Covariance, EVD, PCA & SVD. Jonathon Hare COMP6237 Data Mining Covariance, EVD, PCA & SVD Jonathon Hare jsh2@ecs.soton.ac.uk Variance and Covariance Random Variables and Expected Values Mathematicians talk variance (and covariance) in terms of

More information

Math 102, Winter Final Exam Review. Chapter 1. Matrices and Gaussian Elimination

Math 102, Winter Final Exam Review. Chapter 1. Matrices and Gaussian Elimination Math 0, Winter 07 Final Exam Review Chapter. Matrices and Gaussian Elimination { x + x =,. Different forms of a system of linear equations. Example: The x + 4x = 4. [ ] [ ] [ ] vector form (or the column

More information

STA141C: Big Data & High Performance Statistical Computing

STA141C: Big Data & High Performance Statistical Computing STA141C: Big Data & High Performance Statistical Computing Numerical Linear Algebra Background Cho-Jui Hsieh UC Davis May 15, 2018 Linear Algebra Background Vectors A vector has a direction and a magnitude

More information

Basic Calculus Review

Basic Calculus Review Basic Calculus Review Lorenzo Rosasco ISML Mod. 2 - Machine Learning Vector Spaces Functionals and Operators (Matrices) Vector Space A vector space is a set V with binary operations +: V V V and : R V

More information

Linear Algebra. Session 12

Linear Algebra. Session 12 Linear Algebra. Session 12 Dr. Marco A Roque Sol 08/01/2017 Example 12.1 Find the constant function that is the least squares fit to the following data x 0 1 2 3 f(x) 1 0 1 2 Solution c = 1 c = 0 f (x)

More information

Maths for Signals and Systems Linear Algebra in Engineering

Maths for Signals and Systems Linear Algebra in Engineering Maths for Signals and Systems Linear Algebra in Engineering Lectures 13 15, Tuesday 8 th and Friday 11 th November 016 DR TANIA STATHAKI READER (ASSOCIATE PROFFESOR) IN SIGNAL PROCESSING IMPERIAL COLLEGE

More information

Linear Algebra Massoud Malek

Linear Algebra Massoud Malek CSUEB Linear Algebra Massoud Malek Inner Product and Normed Space In all that follows, the n n identity matrix is denoted by I n, the n n zero matrix by Z n, and the zero vector by θ n An inner product

More information

Linear Algebra & Geometry why is linear algebra useful in computer vision?

Linear Algebra & Geometry why is linear algebra useful in computer vision? Linear Algebra & Geometry why is linear algebra useful in computer vision? References: -Any book on linear algebra! -[HZ] chapters 2, 4 Some of the slides in this lecture are courtesy to Prof. Octavia

More information

Linear Algebra Primer

Linear Algebra Primer Linear Algebra Primer David Doria daviddoria@gmail.com Wednesday 3 rd December, 2008 Contents Why is it called Linear Algebra? 4 2 What is a Matrix? 4 2. Input and Output.....................................

More information

Computational math: Assignment 1

Computational math: Assignment 1 Computational math: Assignment 1 Thanks Ting Gao for her Latex file 11 Let B be a 4 4 matrix to which we apply the following operations: 1double column 1, halve row 3, 3add row 3 to row 1, 4interchange

More information

Machine Learning. B. Unsupervised Learning B.2 Dimensionality Reduction. Lars Schmidt-Thieme, Nicolas Schilling

Machine Learning. B. Unsupervised Learning B.2 Dimensionality Reduction. Lars Schmidt-Thieme, Nicolas Schilling Machine Learning B. Unsupervised Learning B.2 Dimensionality Reduction Lars Schmidt-Thieme, Nicolas Schilling Information Systems and Machine Learning Lab (ISMLL) Institute for Computer Science University

More information

Quantum Computing Lecture 2. Review of Linear Algebra

Quantum Computing Lecture 2. Review of Linear Algebra Quantum Computing Lecture 2 Review of Linear Algebra Maris Ozols Linear algebra States of a quantum system form a vector space and their transformations are described by linear operators Vector spaces

More information

Least-Squares Rigid Motion Using SVD

Least-Squares Rigid Motion Using SVD Least-Squares igid Motion Using SVD Olga Sorkine Abstract his note summarizes the steps to computing the rigid transformation that aligns two sets of points Key words: Shape matching, rigid alignment,

More information

forms Christopher Engström November 14, 2014 MAA704: Matrix factorization and canonical forms Matrix properties Matrix factorization Canonical forms

forms Christopher Engström November 14, 2014 MAA704: Matrix factorization and canonical forms Matrix properties Matrix factorization Canonical forms Christopher Engström November 14, 2014 Hermitian LU QR echelon Contents of todays lecture Some interesting / useful / important of matrices Hermitian LU QR echelon Rewriting a as a product of several matrices.

More information

CSE 252B: Computer Vision II

CSE 252B: Computer Vision II CSE 252B: Computer Vision II Lecturer: Serge Belongie Scribe: Tasha Vanesian LECTURE 3 Calibrated 3D Reconstruction 3.1. Geometric View of Epipolar Constraint We are trying to solve the following problem:

More information

(a) If A is a 3 by 4 matrix, what does this tell us about its nullspace? Solution: dim N(A) 1, since rank(a) 3. Ax =

(a) If A is a 3 by 4 matrix, what does this tell us about its nullspace? Solution: dim N(A) 1, since rank(a) 3. Ax = . (5 points) (a) If A is a 3 by 4 matrix, what does this tell us about its nullspace? dim N(A), since rank(a) 3. (b) If we also know that Ax = has no solution, what do we know about the rank of A? C(A)

More information

Dot product and linear least squares problems

Dot product and linear least squares problems Dot product and linear least squares problems Dot Product For vectors u,v R n we define the dot product Note that we can also write this as u v = u,,u n u v = u v + + u n v n v v n = u v + + u n v n The

More information

Notes on Eigenvalues, Singular Values and QR

Notes on Eigenvalues, Singular Values and QR Notes on Eigenvalues, Singular Values and QR Michael Overton, Numerical Computing, Spring 2017 March 30, 2017 1 Eigenvalues Everyone who has studied linear algebra knows the definition: given a square

More information

Multivariate Statistical Analysis

Multivariate Statistical Analysis Multivariate Statistical Analysis Fall 2011 C. L. Williams, Ph.D. Lecture 4 for Applied Multivariate Analysis Outline 1 Eigen values and eigen vectors Characteristic equation Some properties of eigendecompositions

More information

The University of Texas at Austin Department of Electrical and Computer Engineering. EE381V: Large Scale Learning Spring 2013.

The University of Texas at Austin Department of Electrical and Computer Engineering. EE381V: Large Scale Learning Spring 2013. The University of Texas at Austin Department of Electrical and Computer Engineering EE381V: Large Scale Learning Spring 2013 Assignment Two Caramanis/Sanghavi Due: Tuesday, Feb. 19, 2013. Computational

More information

Lecture # 3 Orthogonal Matrices and Matrix Norms. We repeat the definition an orthogonal set and orthornormal set.

Lecture # 3 Orthogonal Matrices and Matrix Norms. We repeat the definition an orthogonal set and orthornormal set. Lecture # 3 Orthogonal Matrices and Matrix Norms We repeat the definition an orthogonal set and orthornormal set. Definition A set of k vectors {u, u 2,..., u k }, where each u i R n, is said to be an

More information

Lecture 5 Singular value decomposition

Lecture 5 Singular value decomposition Lecture 5 Singular value decomposition Weinan E 1,2 and Tiejun Li 2 1 Department of Mathematics, Princeton University, weinan@princeton.edu 2 School of Mathematical Sciences, Peking University, tieli@pku.edu.cn

More information

MATH 612 Computational methods for equation solving and function minimization Week # 2

MATH 612 Computational methods for equation solving and function minimization Week # 2 MATH 612 Computational methods for equation solving and function minimization Week # 2 Instructor: Francisco-Javier Pancho Sayas Spring 2014 University of Delaware FJS MATH 612 1 / 38 Plan for this week

More information

Algebra II. Paulius Drungilas and Jonas Jankauskas

Algebra II. Paulius Drungilas and Jonas Jankauskas Algebra II Paulius Drungilas and Jonas Jankauskas Contents 1. Quadratic forms 3 What is quadratic form? 3 Change of variables. 3 Equivalence of quadratic forms. 4 Canonical form. 4 Normal form. 7 Positive

More information

1 Principal component analysis and dimensional reduction

1 Principal component analysis and dimensional reduction Linear Algebra Working Group :: Day 3 Note: All vector spaces will be finite-dimensional vector spaces over the field R. 1 Principal component analysis and dimensional reduction Definition 1.1. Given an

More information

Conceptual Questions for Review

Conceptual Questions for Review Conceptual Questions for Review Chapter 1 1.1 Which vectors are linear combinations of v = (3, 1) and w = (4, 3)? 1.2 Compare the dot product of v = (3, 1) and w = (4, 3) to the product of their lengths.

More information

STA141C: Big Data & High Performance Statistical Computing

STA141C: Big Data & High Performance Statistical Computing STA141C: Big Data & High Performance Statistical Computing Lecture 5: Numerical Linear Algebra Cho-Jui Hsieh UC Davis April 20, 2017 Linear Algebra Background Vectors A vector has a direction and a magnitude

More information

The QR Factorization

The QR Factorization The QR Factorization How to Make Matrices Nicer Radu Trîmbiţaş Babeş-Bolyai University March 11, 2009 Radu Trîmbiţaş ( Babeş-Bolyai University) The QR Factorization March 11, 2009 1 / 25 Projectors A projector

More information

orthogonal relations between vectors and subspaces Then we study some applications in vector spaces and linear systems, including Orthonormal Basis,

orthogonal relations between vectors and subspaces Then we study some applications in vector spaces and linear systems, including Orthonormal Basis, 5 Orthogonality Goals: We use scalar products to find the length of a vector, the angle between 2 vectors, projections, orthogonal relations between vectors and subspaces Then we study some applications

More information

14 Singular Value Decomposition

14 Singular Value Decomposition 14 Singular Value Decomposition For any high-dimensional data analysis, one s first thought should often be: can I use an SVD? The singular value decomposition is an invaluable analysis tool for dealing

More information

Applied Mathematics 205. Unit II: Numerical Linear Algebra. Lecturer: Dr. David Knezevic

Applied Mathematics 205. Unit II: Numerical Linear Algebra. Lecturer: Dr. David Knezevic Applied Mathematics 205 Unit II: Numerical Linear Algebra Lecturer: Dr. David Knezevic Unit II: Numerical Linear Algebra Chapter II.3: QR Factorization, SVD 2 / 66 QR Factorization 3 / 66 QR Factorization

More information

The Singular Value Decomposition

The Singular Value Decomposition The Singular Value Decomposition We are interested in more than just sym+def matrices. But the eigenvalue decompositions discussed in the last section of notes will play a major role in solving general

More information

Lecture notes: Applied linear algebra Part 1. Version 2

Lecture notes: Applied linear algebra Part 1. Version 2 Lecture notes: Applied linear algebra Part 1. Version 2 Michael Karow Berlin University of Technology karow@math.tu-berlin.de October 2, 2008 1 Notation, basic notions and facts 1.1 Subspaces, range and

More information

Inner products and Norms. Inner product of 2 vectors. Inner product of 2 vectors x and y in R n : x 1 y 1 + x 2 y x n y n in R n

Inner products and Norms. Inner product of 2 vectors. Inner product of 2 vectors x and y in R n : x 1 y 1 + x 2 y x n y n in R n Inner products and Norms Inner product of 2 vectors Inner product of 2 vectors x and y in R n : x 1 y 1 + x 2 y 2 + + x n y n in R n Notation: (x, y) or y T x For complex vectors (x, y) = x 1 ȳ 1 + x 2

More information

Stat 159/259: Linear Algebra Notes

Stat 159/259: Linear Algebra Notes Stat 159/259: Linear Algebra Notes Jarrod Millman November 16, 2015 Abstract These notes assume you ve taken a semester of undergraduate linear algebra. In particular, I assume you are familiar with the

More information

Mobile Robotics 1. A Compact Course on Linear Algebra. Giorgio Grisetti

Mobile Robotics 1. A Compact Course on Linear Algebra. Giorgio Grisetti Mobile Robotics 1 A Compact Course on Linear Algebra Giorgio Grisetti SA-1 Vectors Arrays of numbers They represent a point in a n dimensional space 2 Vectors: Scalar Product Scalar-Vector Product Changes

More information

DS-GA 1002 Lecture notes 0 Fall Linear Algebra. These notes provide a review of basic concepts in linear algebra.

DS-GA 1002 Lecture notes 0 Fall Linear Algebra. These notes provide a review of basic concepts in linear algebra. DS-GA 1002 Lecture notes 0 Fall 2016 Linear Algebra These notes provide a review of basic concepts in linear algebra. 1 Vector spaces You are no doubt familiar with vectors in R 2 or R 3, i.e. [ ] 1.1

More information

AMS526: Numerical Analysis I (Numerical Linear Algebra)

AMS526: Numerical Analysis I (Numerical Linear Algebra) AMS526: Numerical Analysis I (Numerical Linear Algebra) Lecture 5: Projectors and QR Factorization Xiangmin Jiao SUNY Stony Brook Xiangmin Jiao Numerical Analysis I 1 / 14 Outline 1 Projectors 2 QR Factorization

More information

MIT Final Exam Solutions, Spring 2017

MIT Final Exam Solutions, Spring 2017 MIT 8.6 Final Exam Solutions, Spring 7 Problem : For some real matrix A, the following vectors form a basis for its column space and null space: C(A) = span,, N(A) = span,,. (a) What is the size m n of

More information

ANALYTICAL MATHEMATICS FOR APPLICATIONS 2018 LECTURE NOTES 3

ANALYTICAL MATHEMATICS FOR APPLICATIONS 2018 LECTURE NOTES 3 ANALYTICAL MATHEMATICS FOR APPLICATIONS 2018 LECTURE NOTES 3 ISSUED 24 FEBRUARY 2018 1 Gaussian elimination Let A be an (m n)-matrix Consider the following row operations on A (1) Swap the positions any

More information

Numerical Methods I Singular Value Decomposition

Numerical Methods I Singular Value Decomposition Numerical Methods I Singular Value Decomposition Aleksandar Donev Courant Institute, NYU 1 donev@courant.nyu.edu 1 MATH-GA 2011.003 / CSCI-GA 2945.003, Fall 2014 October 9th, 2014 A. Donev (Courant Institute)

More information

Principal Component Analysis

Principal Component Analysis Principal Component Analysis Anders Øland David Christiansen 1 Introduction Principal Component Analysis, or PCA, is a commonly used multi-purpose technique in data analysis. It can be used for feature

More information

Linear Regression. In this problem sheet, we consider the problem of linear regression with p predictors and one intercept,

Linear Regression. In this problem sheet, we consider the problem of linear regression with p predictors and one intercept, Linear Regression In this problem sheet, we consider the problem of linear regression with p predictors and one intercept, y = Xβ + ɛ, where y t = (y 1,..., y n ) is the column vector of target values,

More information

2. Review of Linear Algebra

2. Review of Linear Algebra 2. Review of Linear Algebra ECE 83, Spring 217 In this course we will represent signals as vectors and operators (e.g., filters, transforms, etc) as matrices. This lecture reviews basic concepts from linear

More information

HOMEWORK PROBLEMS FROM STRANG S LINEAR ALGEBRA AND ITS APPLICATIONS (4TH EDITION)

HOMEWORK PROBLEMS FROM STRANG S LINEAR ALGEBRA AND ITS APPLICATIONS (4TH EDITION) HOMEWORK PROBLEMS FROM STRANG S LINEAR ALGEBRA AND ITS APPLICATIONS (4TH EDITION) PROFESSOR STEVEN MILLER: BROWN UNIVERSITY: SPRING 2007 1. CHAPTER 1: MATRICES AND GAUSSIAN ELIMINATION Page 9, # 3: Describe

More information

Introduction to Numerical Linear Algebra II

Introduction to Numerical Linear Algebra II Introduction to Numerical Linear Algebra II Petros Drineas These slides were prepared by Ilse Ipsen for the 2015 Gene Golub SIAM Summer School on RandNLA 1 / 49 Overview We will cover this material in

More information

Functional Analysis Review

Functional Analysis Review Outline 9.520: Statistical Learning Theory and Applications February 8, 2010 Outline 1 2 3 4 Vector Space Outline A vector space is a set V with binary operations +: V V V and : R V V such that for all

More information

Lecture 3: Review of Linear Algebra

Lecture 3: Review of Linear Algebra ECE 83 Fall 2 Statistical Signal Processing instructor: R Nowak Lecture 3: Review of Linear Algebra Very often in this course we will represent signals as vectors and operators (eg, filters, transforms,

More information

Lecture 3: Review of Linear Algebra

Lecture 3: Review of Linear Algebra ECE 83 Fall 2 Statistical Signal Processing instructor: R Nowak, scribe: R Nowak Lecture 3: Review of Linear Algebra Very often in this course we will represent signals as vectors and operators (eg, filters,

More information

Advanced Digital Signal Processing -Introduction

Advanced Digital Signal Processing -Introduction Advanced Digital Signal Processing -Introduction LECTURE-2 1 AP9211- ADVANCED DIGITAL SIGNAL PROCESSING UNIT I DISCRETE RANDOM SIGNAL PROCESSING Discrete Random Processes- Ensemble Averages, Stationary

More information

COMP 558 lecture 18 Nov. 15, 2010

COMP 558 lecture 18 Nov. 15, 2010 Least squares We have seen several least squares problems thus far, and we will see more in the upcoming lectures. For this reason it is good to have a more general picture of these problems and how to

More information

7 Principal Component Analysis

7 Principal Component Analysis 7 Principal Component Analysis This topic will build a series of techniques to deal with high-dimensional data. Unlike regression problems, our goal is not to predict a value (the y-coordinate), it is

More information

VAR Model. (k-variate) VAR(p) model (in the Reduced Form): Y t-2. Y t-1 = A + B 1. Y t + B 2. Y t-p. + ε t. + + B p. where:

VAR Model. (k-variate) VAR(p) model (in the Reduced Form): Y t-2. Y t-1 = A + B 1. Y t + B 2. Y t-p. + ε t. + + B p. where: VAR Model (k-variate VAR(p model (in the Reduced Form: where: Y t = A + B 1 Y t-1 + B 2 Y t-2 + + B p Y t-p + ε t Y t = (y 1t, y 2t,, y kt : a (k x 1 vector of time series variables A: a (k x 1 vector

More information

Probabilistic Latent Semantic Analysis

Probabilistic Latent Semantic Analysis Probabilistic Latent Semantic Analysis Seungjin Choi Department of Computer Science and Engineering Pohang University of Science and Technology 77 Cheongam-ro, Nam-gu, Pohang 37673, Korea seungjin@postech.ac.kr

More information

Singular Value Decomposition

Singular Value Decomposition Chapter 6 Singular Value Decomposition In Chapter 5, we derived a number of algorithms for computing the eigenvalues and eigenvectors of matrices A R n n. Having developed this machinery, we complete our

More information

Linear Algebra Formulas. Ben Lee

Linear Algebra Formulas. Ben Lee Linear Algebra Formulas Ben Lee January 27, 2016 Definitions and Terms Diagonal: Diagonal of matrix A is a collection of entries A ij where i = j. Diagonal Matrix: A matrix (usually square), where entries

More information

Orthonormal Transformations and Least Squares

Orthonormal Transformations and Least Squares Orthonormal Transformations and Least Squares Tom Lyche Centre of Mathematics for Applications, Department of Informatics, University of Oslo October 30, 2009 Applications of Qx with Q T Q = I 1. solving

More information

MASSACHUSETTS INSTITUTE OF TECHNOLOGY Department of Electrical Engineering and Computer Science : Dynamic Systems Spring 2011

MASSACHUSETTS INSTITUTE OF TECHNOLOGY Department of Electrical Engineering and Computer Science : Dynamic Systems Spring 2011 MASSACHUSETTS INSTITUTE OF TECHNOLOGY Department of Electrical Engineering and Computer Science 64: Dynamic Systems Spring Homework 4 Solutions Exercise 47 Given a complex square matrix A, the definition

More information

1 Cricket chirps: an example

1 Cricket chirps: an example Notes for 2016-09-26 1 Cricket chirps: an example Did you know that you can estimate the temperature by listening to the rate of chirps? The data set in Table 1 1. represents measurements of the number

More information

AMS526: Numerical Analysis I (Numerical Linear Algebra)

AMS526: Numerical Analysis I (Numerical Linear Algebra) AMS526: Numerical Analysis I (Numerical Linear Algebra) Lecture 2: Orthogonal Vectors and Matrices; Vector Norms Xiangmin Jiao SUNY Stony Brook Xiangmin Jiao Numerical Analysis I 1 / 11 Outline 1 Orthogonal

More information

Discrete Math Class 19 ( )

Discrete Math Class 19 ( ) Discrete Math 37110 - Class 19 (2016-12-01) Instructor: László Babai Notes taken by Jacob Burroughs Partially revised by instructor Review: Tuesday, December 6, 3:30-5:20 pm; Ry-276 Final: Thursday, December

More information

MATH 350: Introduction to Computational Mathematics

MATH 350: Introduction to Computational Mathematics MATH 350: Introduction to Computational Mathematics Chapter V: Least Squares Problems Greg Fasshauer Department of Applied Mathematics Illinois Institute of Technology Spring 2011 fasshauer@iit.edu MATH

More information

Singular Value Decomposition

Singular Value Decomposition Singular Value Decomposition CS 205A: Mathematical Methods for Robotics, Vision, and Graphics Doug James (and Justin Solomon) CS 205A: Mathematical Methods Singular Value Decomposition 1 / 35 Understanding

More information

Designing Information Devices and Systems II

Designing Information Devices and Systems II EECS 16B Fall 2016 Designing Information Devices and Systems II Linear Algebra Notes Introduction In this set of notes, we will derive the linear least squares equation, study the properties symmetric

More information

Introduction to Mobile Robotics Compact Course on Linear Algebra. Wolfram Burgard, Cyrill Stachniss, Kai Arras, Maren Bennewitz

Introduction to Mobile Robotics Compact Course on Linear Algebra. Wolfram Burgard, Cyrill Stachniss, Kai Arras, Maren Bennewitz Introduction to Mobile Robotics Compact Course on Linear Algebra Wolfram Burgard, Cyrill Stachniss, Kai Arras, Maren Bennewitz Vectors Arrays of numbers Vectors represent a point in a n dimensional space

More information