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-1) 1
[ 3 1 1J
2
v'6 +
v'6 _1
v'2
-1
-1 DJ
VS VS
Ais
Taking Al
2: AiDi v;
k and singular
The equality may be checked by carrying out the operations on the right-hand side.
The singular-value decomposition is closely connected to a result concerning
the approximation of a rectangular matrix by a lower-dimensional matrix, due to
Eckart and Young ([2]). If a m X k matrix A is approximated by B, having the same
dimension but lower rank, the sum of squared differences
2: 2: (aij -
i=1 j=1
;=s+1
2:
AT.
Cij? =
2:2:
CTj
i"j
Cii)2
i=1
2: Ai Di vi
2: (Ai = Ofor i
i=1
over all m X k matrices B having rank no greater than s. The minimum value, or
error of approximation, is
= Im and VV' = Ik
i=1 j=1
2: 2: (Aij -
- C)(A - C)') =
= tr[(A
where C
Exercises
2.1.
3,
1].
= B'A' .
J U J
(kxt)
and B , (AB)'
and
Exercises
103
(b)
(i)
length of x, (ii) the angle between x and y, and (iii) the projection of y on x.
(c) Smce x = 3 and y = 1, graph [5 - 3,1 - 3,3 - 3] = [2 -2 DJ and
[-1-1,3-1,1-1J=[-2,2,OJ.
'
,
(a) (A')' = A
(b) (C,)-l = (C- I )'
(c) (AB)' = B' A'
(mXk)
Q =
5
12J
IT
IT
12
5
-IT IT
Hint: Part a can be proved br noting that AA-I = I, I'; 1', and (AA-i)' = (A-I),A'.
Part b follows from (B- 1A- )AB = B-I(A-IA)B = B-IB = I.
is an orthogonal matrix.
2.6. Let
(a) Is A symmetric?
(b) Show that A is positive definite.
104
find the eigenvalues Al and A2 and the associated nonnalized eigenvectors el and e2.
Determine the spectral decomposition (2-16) of A.
2.9. Let A be as in Exercise 2.8.
(a) Find A-I.
4.001J
4.002
and
4
B = [ 4.001
4.001
4.002001
A = [:.001
These matrices are identical except for a small difference in the (2,2) position.
Moreover, the columns of A (and B) are nearly linearly dependent. Show that
A-I ='= (-3)B- I. Consequently, small changes-perhaps caused by rounding-can give
substantially different inverses.
2.11. Show that the determinant of the p X P diagonal matrix A = {aij} with aij = 0, i *- j,
is given by the product of the diagonal elements; thus, 1A 1 = a" a22 ... a p p.
Hint: By Definition 2A24, I A I = a" A" + 0 + ... + O. Repeat for the submatrix
All obtained by deleting the first row and first column of A.
rr;=1
= II I. Now
2.12. Show that the determinant of a square symmetric p x p matrix A can be expressed as
the product of its eigenvalues AI, A2, ... , Ap; that is, IA I =
Ai.
Hint: From (2-16) and (2-20), A = PAP' with P'P = I. From Result 2A.1I(e),
lA I = IPAP' I = IP IIAP' I = IP 11 A liP' I = I A 1111, since III = IP'PI = IP'IIPI. Apply
Exercise 2.11.
(pXp)
(pXp)(pXp)(pxp)
X P
matrix. Show
2.1 S. A quadratic form x' A x is said to be positive definite if the matrix A is positive definite.
- 2XIX2 positive definite?
.
Is the quadratic form 3xt +
2.16. Consider an arbitrary n X p matrix A. Then A' A is a symmetric p
that A' A is necessarily nonnegative definite.
Hint: Set y = A x so that y'y = x' A' A x.
Exercises
105
2.18. Consider the sets of points (XI, x2) whose "distances" from the origin are given by
= ;=1
VA;eie; = PA J/ 2P',wherePP'
= P'P
'
c = 4xt +
- 2v'2XIX2
2
2
for c = 1 and for c = 4. Determine the major and minor axes of the ellipses of constant distances and their associated lengths. Sketch the ellipses of constant distances and
comment on their pOSitions. What will happen as c2 increases?
(mXm)
the eigenvalues and associated normalized eigenvectors of the matrix A.) Show Properties
(1)-(4) of the square-root matrix in (2-22).
2.20. Determine the square-root matrix AI/2, using the matrix A in Exercise 2.3. Also, deter. mine A-I/2, and show that A I/ 2A- I/2 = A- 1f2A1/ 2 = I.
2.21. (See Result 2AIS) Using the matrix
= [; 86 -98J
2.23. Verify the relationships V I/ 2pV I!2 = I and p = (Vlf2rII(VI/2rl, where I is the
p X .P
matrix
(2-32)], p is the p X P population correlatIOn matnx [EquatIOn (2-34)], and V /2 is the population standard deviation matrix
[Equation (2-35)].
2.24. Let X have covariance matrix
Find
(a) I-I
(b) The eigenvalues and eigenvectors of I.
(c) The eigenvalues and eigenvectors of I-I.
25
I = -2
[
4
-2 4]
4 1
1 9
(a) Determine p
V 1/2.
(b) Multiply your matrices to check the relation VI/2pVI/2 =
2.26. Use I as given in Exercise 2.25.
(a) Findpl3'
(b) Find the correlation between XI and
I.
2.27. Derive expressions for the mean and variances of the following linear combinations in
terms of the means and covariances of the random variables XI, X 2, and X 3.
(a) XI - 2X2
(b) -XI + 3X2
(c) XI + X 2 + X3
(e) XI + 2X2 - X3
(f) 3XI - 4X2 if XI and X 2 are independent random variables.
2.28. Show that
where Cl = [CJl, cl2, ... , Cl PJ and ci = [C2l> C22,' .. , C2 pJ. This verifies the off-diagonal
elements CIxC' in (2-45) or diagonal elements if Cl = C2'
Hint: By (2-43),ZI - E(ZI) = Cl1(XI - ILl) + '" + Clp(Xp - ILp) and
Z2 - E(Z2) = C21(XI - ILl) + ... + C2p(Xp - ILp).SOCov(ZI,Zz) =
E[(ZI - E(Zd)(Z2 - E(Z2J = E[(cll(XI - ILl) +
'" + CIP(Xp - ILp(C21(XI - ILd + C22(X2 - IL2) + ... + C2p(Xp - ILpJ.
C2m(Xm - ILm)
cu(Xe - ILe)
p
(=1 m=1
2: 2:
The product
Verify the last step by the definition of matrix multiplication. The same steps hold for all
elements.
= [Xl> X 2, X 3, X 4, X5J
X (2)
X =
where
xl"
Exercises
107
Let I be the covariance matrix of X with general element (Tik' Partition I into the
covariance matrices of X(l) and X(2) and the covariance matrix of an element of X(1)
and an element of X (2).
Ix =
2J
3 0
2 1
2 0
and
B =
C=n
2.30. You are given the random vector X' = [XI' X 2, X 3, X 4 J with mean vector
Jl.x = [4,3,2, 1J and variance-covariance matrix
Partition X as
Let
A = (1
B =
-1 J and
A = [1
108
=D
Ix =
-1
I
-2:
-1
-1
6
0
1
1
-1
1.
-1
and
B=
I
-2 -1
I
2:
2.32. You are given the random vector X' = [XI, X 2 , ... , Xs] with mean vector
IJ.'x = [2,4, -1,3,0] and variance-covariance matrix
Partition X as
Let
A
and
B =
[11 -12J
-11 0J
3
2.34. Consider the vectorsb' = [2, -1,4,0] and d' = [-1,3, -2, 1]. Verify the Cauchy-Schwan
inequality (b'd)2 s (b'b)(d'd).
Exercises
109
+ 6XIX2 for
B= [ -22 -2J5
2.36. Fmd the maximum and minimum values of the quadratic form
all points x' = [x I , X2] such that x' x = 1.
2.37. With A as given in Exercise 2.6, fmd the maximum value of x' A x for x' x = 1.
A =
2 -2
10
aicbckCkj
2.38. Find the maximum and minimum values of the ratio x' Ax/x'x for any nonzero vectors
x' = [Xl> X2, X3] if
(rXs)(sXt)(tXV)
aj{E(XCk)bkj
aieXCkbkj, and
aiCXCkbkj) =
e k e
2.41. You are given the random vector X' = [Xl, X 2, X 3 , X 4 ] with mean vector
IJ.x = [3,2, -2,0] and variance-covariance matrix
[30
[1 -1
0
o 3 0
Ix = 0 0 3
o 0 0
Let
0
A = 1
1 -2
1
1
1
(a) Find E (AX), the mean of AX.
(b) Find Cov (AX), the variances and covariances ofAX.
(c) Which pairs of linear combinations have zero covariances?