Introduc)on to linear algebra
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1 Introduc)on to linear algebra
2 Vector A vector, v, of dimension n is an n 1 rectangular array of elements v 1 v v = 2 " v n % vectors will be column vectors. They may also be row vectors, when transposed v T =[v 1, v 2,, v n ].
3 A vector, v, of dimension n v = " can be thought a point in n dimensional space v 1 v 2 v n %
4 v 3 v v 1 = v 2 v 3 v 2 v 1
5 Proper)es of vector spaces Commuta)vity of addi)on a + b = b + a Associa)vity of addi)on a + (b + c) = (a + b) + c Iden)ty element of addi)on a + 0 = a [0 = (0, 0,, 0) T ] Addi)ve inverse a + (- a) = 0 Iden)ty of scalar mul)plica)on 1 a = a Distribu)vity of scalar mul)plica)on c (a + b) = c a + c b (c + d) a = c a + d a Compa)bility of scalar mul)plica)on (cd) a = c (d a)
6 Other vector opera)ons Dot (inner product) product a b = a 1 b 1 + a 2 b 2 + +a n b n θ x y Let x T x = x and y x 1 2 +"+ x p 2 = the length of x denote two p 1 vectors. Then. cosθ = x T x x y y T y = angle between x and y
7 Note: Let x and y denote two p 1 vectors. Then. cosθ = Thus if xʹ x y = angle 0 if between x ʹ y = 0x and θ y = π 2 x x y y y = 0, π 2 then x and x y y are orthogonal.
8 How similar are two signals? A ( a, a,..., a 1 2 n ) Dot product B ( b, b,..., b 1 2 n ) A B i aibi A B cos Identical vectors: 0, A B 1 Perpendicular vectors:, A B 0 2 The dot product is the came as the cross-correation at zero: ( f g)(0) f ( ) g( )
9 What are the characteristics of the dot product? S/N 1000 Signal+ Noise Noise Dimensions
10 What are the characteristics of the dot product? S/N 1000 Signal+ Noise Noise Dimensions
11 What are the characteristics of the dot product? S/N 1000 Signal+ Noise Noise Dimensions
12 What are the characteristics of the dot product? S/N 1000 Signal+ Noise Noise Dimensions
13 What are the characteristics of the dot product? S/N 100 Signal+Noise Noise 1000 Dimensions
14 What are the characteristics of the dot product? S/N Signal+Noise Noise Dimensions
15 Vector Basis A basis is a set of linearly independent (dot product is zero) vectors that span the vector space. Any vector in this vector space may be represented as a linear combina)on of the basis vectors. The vectors forming a basis are orthogonal to each other. If all the vectors are of length 1, then the basis is called orthonormal.
16 Matrix An n m matrix, A, is a rectangular array of elements a 11 a 12 a 1n a A = ( a ) ij = 21 a 22 a 2n " " " " a m1 a m2 a mn % n = of columns m = of rows dimensions = n m
17 Matrix Operations Addition Let A = (a ij ) and B = (b ij ) denote two n m matrices, then the sum, A + B, is the matrix A + B = ( a ij + b ) ij = " a 11 + b 11 a 12 + b 12 a 1n + b 1n a 21 + b 21 a 22 + b 22 a 2n + b 2n " " " a m1 + b m1 a m2 + b m2 a mn + b mn % The dimensions of A and B are required to be both n m.
18 Scalar Multiplication Let A = (a ij ) denote an n m matrix and let c be any scalar. Then ca is the matrix ca = ( ca ) ij = " ca 11 ca 12 ca 1n ca 21 ca 22 ca 2n " " " ca m1 ca m2 ca mn %
19 Gaussian Elimina)on Method to solve linear equa)ons. Let Ax = b, be a linear system of equa)ons, represent it as: Use the following opera)ons Mul)ply row by a constant Interchange two rows Add a mul)ple of a row to another to transform it to row echlon form " " a 11 a 1m b 1 " " " a n1 a nm b n c 11 c 1m d 1 0 " 0 0 c nm d n % %
20 Gaussian Elimination Example Solve this system of linear equations: 2x 2 + x 3 = 8 x 1 2x 2 3x 3 = 0 x 1 + x 2 + 2x 3 = 3
21 Gaussian Elimination Example Solve this system of linear equations: 2x 2 + x 3 = 8 x 1 2x 2 3x 3 = 0 x 1 + x 2 + 2x 3 = 3 Solution: Swap Row 1 and Row 2. Add Row 1 to Row 3. Swap Row 2 and Row 3. Add twice Row 2 to Row 3. Add 1 times Row 3 to Row 2. Add 3 times Row 3 to Row 1. Add 2 times Row 2 to Row 1. Multiply Rows 2 and 3 by 1.
22 Matrix multiplication Let A = (a ij ) denote an n m matrix and B = (b jl ) denote an m k matrix. A and B are compatible iff the second dimension of A is equal to the first dimension of B. Then the n k matrix C = (c il ) where c m = a b il ij jl j= 1 is called the product of A and B and is denoted by A B. In other words the element i,l of a product matrix is a dot product of the i-th row vector of A by the l-th column vector of B.
23 Identity matrix An n n identity matrix, I or I n, is the square matrix I = I n = " " " " % Note: 1. AI = A 2. IA = A.
24 Definition (The inverse of an n n matrix) Let A denote the n n matrix a 11 a 12 a 1n a A = ( a ) ij = 21 a 22 a 2n " " " " a n1 a n2 a nn Let B denote an n n matrix such that AB = BA = I, If the matrix B exists then A is called invertible Also B is called the inverse of A and is denoted by A -1 %
25 Note: Let A and B be two matrices whose inverse exists. Let C = AB. Then the inverse of the matrix C exists and C -1 = B -1 A -1. Proof C[B -1 A -1 ] = [AB][B -1 A -1 ] = A[B B -1 ]A -1 = A[I]A -1 = AA -1 =I
26 Block Matrices Let the n m matrix A A q A = n m n q A21 A 22 p m p be partitioned into sub-matrices A 11, A 12, A 21, A 22, Similarly partition the m k matrix B B p B = m k m p B21 B 22 l k l
27 Product of Blocked Matrices Then A A B B = A21 A 22 B21 B 22 AB AB + AB AB + AB = A21B11 + A22B21 A21B12 + A22B 22
28 Gauss- Jordan elimina)on To find an inverse of a matrix A Use Gaussian elimina)on to transform to ( A I) (I B) B is the inverse of A
29 Gauss-Jordan Elimination Example Find Inverse of Matrix:
30 Example of Gauss- Jordan elimina4on Find inverse of matrix: " " " R1: R2 : R2 : " % ' +R2 ' ' " = % " ' ' 2R1 = ' % " ' ' R2 R3 = ' % ' ' ' " % ' ' ' % ' ' ' R1/ 5 % ' ' ' = R2 / 2 = % ' ' R3 = '
31 The transpose of a matrix Consider the n m matrix, A A = ( a ) ij = " A = ( a ) ji = a 11 a 12 a 1n a 21 a 22 a 2n " " " a m1 a m2 a mn then the m n matrix, Aʹ (also denoted by A T ) " is called the transpose of A % a 11 a 21 a m1 a 12 a 22 a m2 " " " a m1 a m2 a mn % ' ' ' ' '
32 Symmetric Matrices An n n matrix, A, is said to be symmetric if A ʹ = A Note: ʹ ( AB) ( AB) 1 = Bʹ Aʹ = B 1 A ( ) 1 ʹ = ( 1 A A )ʹ 1
33 The trace and the determinant of a square matrix Let A denote then n n matrix a 11 a 12 a 1n a A = ( a ) ij = 21 a 22 a 2n " " " " a n1 a n2 a nn Then tr A ( ) n = a i= 1 ii %
34 A = det " also where det A ij a a 11 a 12 a 1n a 21 a 22 a 2n " " " a n1 a n2 a nn n = aa ij j= 1 ij = cofactor of a = a = aa aa a21 a 22 ( ) i+ j ij = the determinant of A % the determinant of the matrix 1 th th after deleting i row and j col.
35 Some properties 1. I =1, tr I ( ) = n 2. AB = A B, tr ABC ( ) = tr CAB ( ) 3. A = 1 1 A 4. A T = A 5. ca = c n A, for A, square n n n 6. A = a i,i, for square triangular matrix i=1
36 Special Types of Matrices 1. Orthogonal matrices A matrix is orthogonal if PˊP = PPˊ = I In this cases P -1 =Pˊ. Also the rows (columns) of P have length 1 and are orthogonal to each other
37 Suppose P is an orthogonal matrix then Pʹ P = PPʹ = I Let x and y denote p 1 vectors. Let u = P x and v = P y Then u v = ( P x ) ( P y ) = and u u = ( P x ) ( P x ) = x P P y = x y x P P x = x x Orthogonal transformation preserve length and angles Rotations about the origin, Reflections
38 Special Types of Matrices (continued) 2. Positive definite matrices A symmetric matrix, A, is called positive definite if: " " 2 2 xʹ Ax = a11 x1 + + annxn + 2a12x1x2 + 2a12xn 1xn > for all x 0 A symmetric matrix, A, is called positive semi definite if: xʹ Ax 0 for all x 0 0
39 Special Types of Matrices (continued) 3. Idempotent matrices A symmetric matrix, E, is called idempotent if: E E = Idempotent matrices project vectors onto a linear subspace E = ( Ex) Ex E E x x
40 Definition Let A be an n n matrix Let x and λ be such that A x = λ x with x 0 then λ is called an eigenvalue of A and and x is called an eigenvector of A and
41 Note: ( A λi) x = 0 If A λi 0 then x = ( A λi) 1 0 = 0 thus A λi = 0 is the condition for an eigenvalue.
42 " A λi = det ( a λ) a 11 1n " " a ( a λ) n1 nn = polynomial of degree n in λ. % ' ' = 0 ' ' Hence there are n possible eigenvalues λ 1,, λ n, some may be 0 or repeat.
43 Thereom If the matrix A is symmetric then the eigenvalues of A, λ 1,, λ n,are real. Thereom If the matrix A is positive definite then the eigenvalues of A, λ 1,, λ n, are positive. Thereom If the matrix A is symmetric and the eigenvalues of A are λ 1,, λ n, with corresponding eigenvectors i.e. A x i = λ i xi If λ i λ j then x i x j = 0
44 Diagonaliza)on Thereom If the matrix A is symmetric with distinct eigenvalues, λ 1,, λ n, with corresponding eigenvectors x,, x 1 n Assume xi xi =1 then A = λ 1 x1 x1 + + λ n xn xn = [ x 1,, x λ 1 " 0 ] n 0 " λ " n % " x1' xn ' = PDPʹ %
45 Least Squares Typical linear model can be wriden as where y = " y 1 y n y = Xβ +ε,, X = % " 1 x 21 x k1 1 x 2n x kn, β = % " Here β is a vector of unknown regression coefficients, ε are error terms, y is the response variable and X is the design matrix β 1 β n,ε = % " ε 1 ε n %
46 Least Squares (con)nued) Let b be the es)mates of β, and e the residuals, then y = X b + e S(b)=Σe i 2 is the objec)ve func)on we would like to minimize. S(b)=(y - X b) (y X b)=y y y Xb b X y + b X Xb Set to 0 the deriva)ve of S(b), w.r.t. b - 2 X y + 2X Xb=0 => X Xb=X y Hence the least squares es)mator is b=(x X) - 1 X y
47 Least Squares (con)nued) b=(x X) - 1 X y e = y Xb = y X(X X) - 1 X y=(i- X(X X) - 1 X )y=(i- H)y H is symmetric and idempotent H 2 = H. HX = X(X X) - 1 X X = X => H is a projec)on onto X subspace y = Hy + e. Least squares method projects y onto X subspace minimizing the residual error e.
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