The Gram Schmidt Process

Transcription

1 u 2 u The Gram Schmidt Process Now we will present a procedure, based on orthogonal projection, that converts any linearly independent set of vectors into an orthogonal set. Let us begin with the simple case of two vectors: We want to convert this into an orthogonal set by keeping u intact, and modifying u 2. So let v = u.

2 2 Then compute the projection p = proj v (u 2 ) of u 2 onto v. u 2 u = v p p = proj v (u 2) If this projection is zero, that means that u 2 is already orthogonal to v, so v 2 = u 2.

3 Otherwise, we correct u 2 by removing the part of it that is parallel to v, i.e., we set v 2 = u 2 p. u 2 u = v v 2 p = proj v (u 2) v 2 = u 2 p p Note that each of v and v 2 is a linear combination of u and u 2, and vice-versa, so span(v, v 2 ) = span(u, u ).

4 Next, suppose we have a third vector, u 3. If it is already orthogonal to v and v 2, then we can set v 3 = u 3. Otherwise, we need to correct u 3 by removing its projections onto both v and v 2. Let v 3 = u 3 proj v (u 3 ) proj v2 (u 3 ) Then it is clear that v 3 is orthogonal to v and v 2. And again, it is clear that the two sets span the same subspace: span(v, v 2, v 3 ) = span(u, u, u 3 ). We can continue this for more independent vectors, u 4, u 5,..., each time correcting the new vector u j to make it orthogonal to the previously constructed v, v 2,..., v j. Summarizing, we have

5 Theorem (The Gram Schmidt Process) Given a set { u, u 2,..., u k } of linearly independent vectors in an inner product space, perform the following computations: Step. v = u Step 2. v 2 = u 2 proj v (u 2 ) Step 3. v 3 = u 3 proj v (u 3 ) proj v2 (u 3 ) Step 4. v 4 = u 4 proj v (u 4 ) proj v2 (u 4 ) proj v3 (u 4 ). (Continue till Step k.) Then (i) The set { v, v 2,..., v k } is orthogonal, and (ii) for each j =, 2,..., k, span(v, v 2,..., v j ) = span(u, u,..., u j ).

6 If we express the projections in terms of the inner product, we have the following form for the process: Step. v = u Step 2. v 2 = u 2 v, u 2 v, v v Step 3. v 3 = u 3 v, u 3 v, v v v 2, u 3 v 2, v 2 v 2 Step 4. v 4 = u 4 v, u 4 v, v v v 2, u 4 v 2, v 2 v 2 v 3, u 4 v 3, v 3 v 3. (Continue until Step k.)

7 7 The above process applies to any linearly independent set. But if we start with a basis B = { u, u 2,..., u n } of an inner product space V and the result is B = { v, v 2,..., v n }, then the theorem says that span(b ) = span(b) = V. So B is an orthogonal basis of V. The Gram Schmidt process creates an orthogonal set. But as we have seen before, we can easily normalize the resulting vectors to produce an orthonormal set, if desired. So we have the following theorem. Theorem Every finite-dimensional inner product space has an orthonormal basis.

8 Example: Let V = R 4 with the standard Euclidean inner product (dot product). Let us apply the Gram Schmidt process to the vectors u =, u 2 = 0, u 3 = 0 0. Step. v = u = Step 2. v 2 = u 2 proj v (u 2 ) = u 2 v, u 2 v, v v = = / 4 3 / 4 / 4 / 4

9 9 Step 3. v 3 = u 3 proj v (u 3 ) proj v2 (u 3 ) = u 3 v, u 3 v, v v v 2, u 3 v 2, v 2 v 2 0 / 4 0 / 2 / 6 = 4 / 4 3/4 / 4 = / 2 / 2 + / 2 / 6 0 / 4 0 / 2 / 6 / 3 = 0 2/ 3 / 3 Let W be the span of { u, u 2, u 3 }. Then B = { v, v 2, v 3 } = { (,,, ), ( / 4, 3 / 4, / 4, / 4 ), ( / 3, 0, 2 / 3, / 3 ) } is an orthogonal basis of the subspace W.

10 0 Remember that if we rescale the vectors in a basis by nonzero scalar multiples, the result is still a basis. So we could simplify this a bit by eliminating fractions. Let w = v, w 2 = 4v 2 = (, 3,, ), w 3 = 3v 3 = (, 0, 2, ). Then B = { w, w 2, w 3 } is also an orthogonal basis of W. And now we can find an orthonormal basis by normalizing: w = 4 = 2, w 2 = 2 = 2 3, w 3 = 6, so an orthonormal basis of W is B = w w, w 2 w 2, w 3 w 3 { ( = 2, 2, 2, ) 2,, ( 2 3, 3 2 3, 2 3, 2 3 ) (, 6, 0, 2, 6 6 ) }.

11 Rescale-as-you-go Notice that in constructing each v j, it is only the direction that counts, not the norm. So the type of rescaling we did in going from B to B could be done earlier, at each step. Here is the calculation again with that simplification. Step and Step 2 are the same, but before proceeding to Step 3, we can clear fractions. We can say it this way: Step 2. Let v 2 = u 2 proj v (u 2 ) = ( / 4, 3 / 4, / 4, / 4 ). v 2 = 4v 2 = (, 3,, ). Step 3. Let v 3 = u 3 v, u 3 v, v v v 2, u 3 v 2, v 2 v 2 0 / 3 = = 0 2/ 3 0 / 3 So define Etc.

12 2 There is a way to organize the calculations that may save time and avoid errors. Recall again the sequence of steps: Step. v = u Step 2. v 2 = u 2 v, u 2 v, v v Step 3. v 3 = u 3 v, u 3 v, v v v 2, u 3 v 2, v 2 v 2 Step 4. v 4 = u 4 v, u 4 v, v v v 2, u 4 v 2, v 2 v 2 v 3, u 4 v 3, v 3 v 3 Notice that the inner product v, v is needed in every step after the first, the inner product v 2, v 2 is needed in every step after the second, etc. Also, for each v i, the inner products v i, u j will be needed in the j-th step, for each j > i.

13 It is useful to compute these inner products as soon as possible, and record them in a table for later use. v i v i 2 u 2 u 3 u 4 v v, v v, u 2 v, u 3 v, u 4 v 2 v 2, v 2 v 2, u 3 v 2, u 4 v 3 v 3, v 3 v 3, u 4 v 4 v 4, v 4. So as soon as v i is calculated (and after any rescaling, if desired), we can fill out the i-th row of this table.

14 Example: Let us redo the previous example in this format. u = (,,, ), (, 0,, ), (0,,, 0) v i v i 2 (, 0,, ) (0,,, 0) (,,, ) Then v 2 = u 2 v,u2 v v,v = (, 0,, ) 3 4 (0,,, 0) = 4 (, 3,, ), so v 2 = (, 3,, ). Then v i v i 2 (, 0,, ) (0,,, 0) (,,, ) (, 3,, ) 2 2 Finally, v 3 = u v v 2 = = 3 (, 0,, ), etc.

15 5 Example: Let V = R 5 with the standard inner product. We will apply the Gram Schmidt process to u = (,,, 0, 0), u 2 = (0,, 0, 0, ), u 3 = (,, 0,, 0). Set v = u. Now we can fill in the first row of the table: v i v i 2 (0,, 0, 0, ) (,, 0,, 0) (,,, 0, 0) 3 0 Then v 2 = u 2 v,u2 v v,v = (0,, 0, 0, ) 3 (,,, 0, 0) = (/3, 2/3, /3, 0, ). So let v 2 = 3v 2 = (, 2,, 0, 3).

16 6 Now we can fill in the second row: v i v i 2 (0,, 0, 0, ) (,, 0,, 0) (,,, 0, 0) 3 0 (, 2,, 0, 3) 5 3 Then v 3 = u 3 v,u3 v v,v v2,u3 v v 2,v 2 2 = (,, 0,, 0) 0 v 5 (, 2,, 0, 3) = (4/5, 3/5, /5,, 3/5). So let v 3 = (4, 3,, 5, 3). At this point, { v, v 2, v 3 } is an orthogonal basis for the span of { u, u 2, u 3 }.

17 But if we want an orthonormal basis we should complete the third row: v i v i 2 (0,, 0, 0, ) (,, 0,, 0) (,,, 0, 0) 3 0 (, 2,, 0, 3) 5 3 (4, 3,, 5, 3) 60 Now the diagonal entries of the table contain the squared norms of the orthogonal basis, so the resulting orthonormal basis is w = ( v =, ),, 0, w 2 = 5 v = w 3 = 60 v = ( 5, ( 4 60, 2 5, 3 60, 5, 0, 60, ) , ) 3 60

18 Example: Let V = P 2 with the inner product given by p, q = Find an orthonormal basis for V. p(x)q(x) dx. Solution. First, it will be useful to record that x k dx = x { k+ 2/(k + ) if k is even, k + = 0 if k is odd. We start with the standard basis, u =, u 2 = x, u 3 = x 2, and apply the Gram-Schmidt process. First, set v = u =. Then v, v =, = v, u 2 =, x = v, u 3 =, x 2 = x 0 dx = 2, x dx = 0, x 2 dx = 2/3,

19 9 So we have the first row of the table: v i v i 2 x x /3 Then v 2 = u 2 0v = u 2. (Note that u 2 is unchanged, because it was already orthogonal to u.) Then v 2, v 2 = x, x = x 2 dx = 2/3. And v 2, u 3 = x, x 2 = x 3 dx = 0.

20 So we have v i v i 2 x x /3 x 2/3 0 Finally, v 3 = u 3 v, u 3 v, v v v 2, u 3 v 2, v 2 v 2 = x 2 2/3 2 () 0 2/3 (x) = x 2 3 And v 3, v 3 = (x 2 3 )2 dx = x x dx = = 8 45.

21 2 Now we have v i v i 2 x x /3 x 2/3 0 x 2 /3 8/45 So v = 2, v 2 = 2/3, v 3 = 8/45. Then our orthonormal basis is w =, 2 w 2 = 3 x = x, 2/3 2 w 3 = 45 (x 2 /3) = (x 2 /3). 8/45 8

22 Extending to an orthogonal basis Suppose we start with a linearly independent set u,..., u k with the property that an initial segment u, u 2,..., u j is already orthogonal. If we perform the Gram Schmidt process, we find that v = u, v 2 = u 2,... v j = u j. That is, the first j vectors in the list are unaffected. This happens because if u j is orthogonal to each of u,..., u j, then it is orthogonal to v i for i < j. So the projection proj vi u j = v i, u j v i, v i v i is equal to 0. This means that no corrections are made in computing v j.

23 Consequently, we have the following theorem. Theorem Let S = { b, b 2,..., b k } be an orthogonal set of nonzero vectors in a finite-dimensional inner product space V. Then S can be extended to an orthogonal basis of V. Furthermore, if S is orthonormal, it can be extended to an orthonormal basis. Proof. First, extend S to a basis B = { b, b 2,..., b k, b k+,..., b n } of V. Apply the Gram Schmidt process to B to get an orthogonal basis B. According to the remarks above, B will contain S unchanged.

24 Example: Extend S = { (,, 0, ), (, 0, 0, ) } to an orthogonal basis of R 4. Solution: S is clearly orthogonal. First, we need to extend S to a basis of R 4, without worrying about orthogonality. Recall that one way to do this is to add on the standard basis, and then use Gaussian elimination to select a basis from the extended set. So we form the matrix Now we row-reduce this matrix. Since the first two columns are linearly independent, they will contain pivots, and so will be included in the selected basis.

25 We get Since the last matrix is in echelon form and has pivots in columns, 2, 3, and 5, the selected basis is B = { u = (,, 0, ), u 2 = (, 0, 0, ), u 3 = (, 0, 0, 0), u 4 = (0, 0,, 0) }.

26 26 Now we proceed with the Gram-Schmidt process. Since u and u 2 are already orthogonal, we know that v = u and v 2 = u 2, so our table is v i v i 2 (, 0, 0, ) (, 0, 0, 0) (0, 0,, 0) (,, 0, ) (, 0, 0, ) 2 0 So v 3 = u 3 3 v 2 v 2. The common denominator is 6, so we can rescale and set v 3 = 6v 3 = 6u 3 2v 3v 2 = 6(, 0, 0, 0) 2(,, 0, ) 3(, 0, 0, ) = (, 2, 0, ).

27 27 Now, we could continue with u 4, but observe that u 4 is already orthogonal to v, v, and v 3, so v 4 = u 4. So an orthogonal basis containing S is B = { (,, 0, ), (, 0, 0, ), (, 2, 0, ), (0, 0,, 0) }

28 The Gram Schmidt process presented here assumes that we start with a linearly independent set. As a final note, let us consider what would happen if the original set S were linearly dependent, and we proceed with the Gram-Schmidt process anyway. What would go wrong? The following example illustrates the situation. Suppose S = { (, 0,, 0), (,, 2, 0), (2,, 3, 0), (, 0, 0, ) }. Find an orthogonal basis of the subspace W spanned by S.

29 We begin as usual by setting v = (, 0,, 0) and computing the first row of the table: v i v i 2 (,, 2, 0) (2,, 3, 0) (, 0, 0, ) (, 0,, 0) Then v 2 = (,, 2, 0) 3 2 (, 0,, 0), which gives v 2 = (, 2,, 0). So v i v i 2 (,, 2, 0) (2,, 3, 0) (, 0, 0, ) (, 0,, 0) (, 2,, 0) 6 3 But then comes trouble: v 3 = (2,, 3, 0) 5 2 (, 0,, 0) (, 2,, 0) = (0, 0, 0, 0). 2

30 0 Now we have a problem, because v 3 = 0, and this can never be part of a basis. Furthermore, v 3, v 3 = 0, and this number occurs in the denominator of future steps! A closer inspection shows that the reason this occurred is that the original set S was linearly dependent. We should start over by reducing the spanning set S to a basis of W, and then use the Gram Schmidt procedure. But all is not lost! We can actually proceed by ignoring v 3 and continuing.

31 3 So our table becomes v i v i 2 (,, 2, 0) (, 0, 0, ) (, 0,, 0) 2 3 (, 2,, 0) 6 And v 4 = (, 0, 0, ) 2 (, 0,, 0) + 6 (, 2,, 0) = ( 3, 3, 3, ). So set v 4 = (,,, 3). Conclusion: B = { (, 0,, 0), (, 2,, 0), (,,, 3) } is an orthogonal basis of W = span{ (, 0,, 0), (,, 2, 0), (2,, 3, 0), (, 0, 0, ) }. Exercise: Verify this statement directly.

32 We can summarize the idea here as follows Theorem (Gram Schmidt process for linearly dependent sets) If the Gram Schmidt process is applied to a set S = { u,..., u k }, then the set S is linearly independent if and only if each of the vectors v,..., v k produced is nonzero. If, during the process, any v j that becomes zero is discarded before continuing, then the resulting set is still orthogonal, and spans the same subspace as S.