Sunday, 26 June 2016

linear algebra - Pseudo inverse of a product of two matrices with different rank



Let V be an n×n symmetric, positive definite matrix (of rank n). Let X be an n×p matrix of rank p.




Define A=(AA)1A as the pseudo inverse of A when A is of full column rank. Note that V=V1 because V is invertible.



I'd like to prove that



(VX)=XV1



but the only theorem I know about the pseudo-inverses of products requires that both of the matrices be of the same rank AND that the second matrix has full row rank. (To wit: If B is an m×r matrix of rank r and C is an r×m 
matrix of rank r, then (BC)=CB.)




There is likely something obvious I'm missing. Any clues?


Answer



I am assuming that by a "pseudoinverse" you mean Moore–Penrose pseudoinverse A+ of a matrix A. Let us check the defining properties of the Moore-Penrose pseudoinverse against X+V1:




  1. (VX)(X+V1)(VX)=VXX+X=VX. Ok.

  2. (X+V1)(VX)(X+V1)=X+XX+V1=X+V1. Ok.

  3. ((VX)(X+V1))=V(XX+)V=V2(VX)(X+V1)V2. Hmmm...

  4. ((X+V1)(VX))=(X+X)=X+X=(X+V1)(VX). Ok.




So, the above is O.K. if and only if item 3 is O.K., i.e.,



((VX)(X+V1))=V2(VX)(X+V1)V2.



However, this is not generally true. For example (by Pedro Milet in comments),



V=[2111],X=[10].



Then




(VX)+=15[21][11]=X+V1.



Notice, however, that it would work if V was unitary, instead of positive definite.


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