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February 5, 2015
Table of Contents
1 Linear systems
Existence and uniqueness
Solving linear systems
2 Matrix decompositions
LU decomposition
Cholesky decomposition
QR decomposition
Singular value decomposition
Statistical applications
3 Linear least squares
Table of Contents
1 Linear systems
Existence and uniqueness
Solving linear systems
2 Matrix decompositions
LU decomposition
Cholesky decomposition
QR decomposition
Singular value decomposition
Statistical applications
3 Linear least squares
LU decomposition
LU decomposition
LU decomposition
LU decomposition
LU decomposition in R
Cholesky decomposition
Cholesky decomposition
The Cholesky decomposition is the decomposition of a symmetric
and positive-definite matrix into the product of a upper triangular
matrix and its transpose:
A = U0 U.
QR decomposition
QR decomposition
Ax = b ⇒ QRx = b ⇒ Rx = Q0 b,
QR decomposition
QR decomposition in R
QR decomposition
QR decomposition
σij ≥ 0, if i = j, 0 else.
A = λ1 P1 P01 + · · · + λn Pm P0m ,
P0 AP = Λ ⇐⇒ A = PΛP0 ,
Rank determination
Statistical applications
Statistical applications
Let Xc be the centered X matrix, i.e. each column has been mean
subtracted. The principal components Y are defined as
Y = Xc W,
Statistical applications
Statistical applications
Statistical applications
Factor analysis
Table of Contents
1 Linear systems
Existence and uniqueness
Solving linear systems
2 Matrix decompositions
LU decomposition
Cholesky decomposition
QR decomposition
Singular value decomposition
Statistical applications
3 Linear least squares
Vector norms
The vector norm is a measure of the size or magnitude of a vector.
For an integer p > 0 and an n-vector x, the vector norm is
n
!1/p
X
kxkp = |xi |p .
i=1
Important special cases are:
1-norm: kxk1 = ni=1 |xi |
P
2 1/2 , the Euclidean norm
Pn
2-norm: kxk2 = i=1 |xi |
∞-norm: kxk∞ = max1≤i≤n |xi |
Two properties of a vector 2-norm:
2
x1
2 2
x2
= kx1 k2 + kx2 k2
2
kQxk2 = kxk2 for Q orthogonal, kQxk22 = x0 Q0 Qx = kxk22
Björn Andersson (w/ Jianxin Wei) Department of Statistics, Uppsala University
Lecture 4 - Computational linear algebra
Linear systems Matrix decompositions Linear least squares Some useful functions in R
Ax ' b,
Normal equations
Table of Contents
1 Linear systems
Existence and uniqueness
Solving linear systems
2 Matrix decompositions
LU decomposition
Cholesky decomposition
QR decomposition
Singular value decomposition
Statistical applications
3 Linear least squares