Another proof for Sherman Morrison Formula?
$begingroup$
The proof of Sherman Morrison Formula is on wikipedia as well as this question Proof of the Sherman-Morrison Formula.
Isn't there a proof which does not uses multiplication of the inverse and the matrix?
I mean, it definitely arises from some equalities that wind up to this.
$$(A + mathbf{u}mathbf{v}^T)^{-1}=A^{-1} - frac{A^{-1}mathbf{u} mathbf{v}^T A^{-1}}{(1+mathbf{v}^TA^{-1}mathbf{u})}$$
linear-algebra matrices matrix-calculus
$endgroup$
add a comment |
$begingroup$
The proof of Sherman Morrison Formula is on wikipedia as well as this question Proof of the Sherman-Morrison Formula.
Isn't there a proof which does not uses multiplication of the inverse and the matrix?
I mean, it definitely arises from some equalities that wind up to this.
$$(A + mathbf{u}mathbf{v}^T)^{-1}=A^{-1} - frac{A^{-1}mathbf{u} mathbf{v}^T A^{-1}}{(1+mathbf{v}^TA^{-1}mathbf{u})}$$
linear-algebra matrices matrix-calculus
$endgroup$
add a comment |
$begingroup$
The proof of Sherman Morrison Formula is on wikipedia as well as this question Proof of the Sherman-Morrison Formula.
Isn't there a proof which does not uses multiplication of the inverse and the matrix?
I mean, it definitely arises from some equalities that wind up to this.
$$(A + mathbf{u}mathbf{v}^T)^{-1}=A^{-1} - frac{A^{-1}mathbf{u} mathbf{v}^T A^{-1}}{(1+mathbf{v}^TA^{-1}mathbf{u})}$$
linear-algebra matrices matrix-calculus
$endgroup$
The proof of Sherman Morrison Formula is on wikipedia as well as this question Proof of the Sherman-Morrison Formula.
Isn't there a proof which does not uses multiplication of the inverse and the matrix?
I mean, it definitely arises from some equalities that wind up to this.
$$(A + mathbf{u}mathbf{v}^T)^{-1}=A^{-1} - frac{A^{-1}mathbf{u} mathbf{v}^T A^{-1}}{(1+mathbf{v}^TA^{-1}mathbf{u})}$$
linear-algebra matrices matrix-calculus
linear-algebra matrices matrix-calculus
asked Jan 10 at 19:55
SaeedSaeed
1,149310
1,149310
add a comment |
add a comment |
3 Answers
3
active
oldest
votes
$begingroup$
Here's a proof adapted from wikipedia's proof for the (more general) Woodbury matrix identity.
We would like to find a matrix $X$ such that
$$
(A + uv^T)X = I implies
AX + uv^TX = I
$$
Now, if we define $Y = (v^TX)$, then we can rewrite this as a system of equations:
$$
A X + uY = I\
v^TX - Y = 0
$$
That is,
$$
pmatrix{A & u\v^T&-1} pmatrix{X\Y} = pmatrix{I\0}
$$
We can solve this system using an augmented matrix and block-matrix operations. In particular, we have
$$
left[
begin{array}{cc|c}
A & u & I\
v^T & -1&0
end{array}
right] to
left[
begin{array}{cc|c}
I & A^{-1}u & A^{-1}\
v^T & -1&0
end{array}
right] to
left[
begin{array}{cc|c}
I & A^{-1}u & A^{-1}\
0 & -1 - v^TA^{-1}u & -v^TA^{-1}
end{array}
right] to\
left[begin{array}{cc|c}
I & A^{-1}u & A^{-1}\
0 & 1 & frac{1}{1 + v^TA^{-1}u}v^TA^{-1}
end{array}
right] implies
begin{cases}
X + A^{-1}uY = A^{-1}\
Y = frac{1}{1 + v^TA^{-1}u}v^TA^{-1}
end{cases}
$$
All that remains is substitution. That is, we have
$$
X = A^{-1} - A^{-1}uY = A^{-1} - A^{-1}uleft( frac{1}{1 + v^TA^{-1}u}v^TA^{-1}right) =
A^{-1} - frac{A^{-1}uv^TA^{-1}}{1 + v^TA^{-1}u}
$$
$endgroup$
$begingroup$
in the implication $=I$ is missing. Could you help me to get the final result, I mean substitute what to what? Can you complete the proof. Because now by substitution we have $$ X + frac{A^{-1}uv^T}{1 + v^TA^{-1}u}X = I $$?
$endgroup$
– Saeed
Jan 10 at 22:14
$begingroup$
@Saeed see my latest edit; I had a few mistakes there
$endgroup$
– Omnomnomnom
Jan 10 at 22:20
add a comment |
$begingroup$
Write $A+uv^T=A(I+A^{-1}uv^T)$; we are to find an inverse of $I+A^{-1}uv^T$. It's a bit simpler if we set $w=-u$, so instead we look for an inverse of $I-A^{-1}wv^T$; the idea that comes to mind is to consider, formally,
$$
(I-A^{-1}wv^T)^{-1}=I+A^{-1}wv^T+(A^{-1}wv^T)^2+(A^{-1}wv^T)^3+dotsb tag{*}
$$
taking from $frac{1}{1-x}=1+x+x^2+dotsb$
Now
$$
(A^{-1}wv^T)^2=A^{-1}wv^TA^{-1}wv^T=(v^TA^{-1}w)A^{-1}wv^T
$$
and
$$
(A^{-1}wv^T)^3=
A^{-1}wv^TA^{-1}wv^TA^{-1}wv^TA^{-1}wv^T=
(v^TA^{-1}w)^2A^{-1}wv^T
$$
and, by induction,
$$
(A^{-1}wv^T)^n=(v^TA^{-1}w)^{n-1}A^{-1}wv^T
$$
so the formal sum (*) becomes
$$
I+A^{-1}wv^T+(v^TA^{-1}w)A^{-1}wv^T+(v^TA^{-1}w)^2A^{-1}wv^T+(v^TA^{-1}w)^3A^{-1}wv^T+dotsb
$$
and therefore
$$
I+biggl(,sum_{nge0}(v^TA^{-1}w)^nbiggr)A^{-1}wv^T
$$
The term in parentheses is the inverse of $1-v^TA^{-1}w$. Returning to $u$, we find that the inverse should be
$$
I-frac{1}{1+v^TA^{-1}u}A^{-1}uv^T
$$
Multiplying on the right by $A^{-1}$ we see that the inverse of $A+uv^T$ should be
$$
A^{-1}-frac{1}{1+v^TA^{-1}u}A^{-1}uv^TA^{-1}
$$
Now we can do the multiplication and verify that the intuition is correct.
$endgroup$
$begingroup$
Where did you get $(*)$. I mean it is the expansion of what?
$endgroup$
– Saeed
Jan 10 at 22:09
$begingroup$
@Saeed $frac{1}{1-x}=1+x+x^2+dots+x^n+dotsb$ (for $|x|<1$, but with no restriction in formal power series). The argument just formal, but it can be made rigorous.
$endgroup$
– egreg
Jan 10 at 22:13
$begingroup$
Could you please add $I-A^{-1}wv^T=$ to $*$ for clarity?
$endgroup$
– Saeed
Jan 10 at 22:17
$begingroup$
@Saeed Added...
$endgroup$
– egreg
Jan 10 at 22:31
add a comment |
$begingroup$
Let $w=-A^{-1}u$. Then the problem boils down to proving the equivalent identity that
$$
(I-wv^T)^{-1} = I+frac{wv^T}{1-v^Tw}.tag{1}
$$
Let us abuse the symbol $v$ and denote by $v(cdot)$ the linear functional $xmapsto v^Tx$. Then $I-wv^T$ is a matrix representation of the linear function
$$
y = f(x) = x - v(x)w.
$$
The inverse of this mapping is clearly
$$
x = f^{-1}(y) = y+v(x)wtag{2}
$$
but we wish to express $v(x)$ in terms of $y$. Now, since $v$ is a linear functional,
$$
v(y)=vleft(x-v(x)wright)=v(x)-v(x)v(w).
$$
Therefore $v(x)=frac{v(y)}{1-v(w)}$ and $(2)$ gives
$$
f^{-1}(y) = y+frac{v(y)w}{1-v(w)}
$$
and $(1)$ follows immediately.
One may argue that the above proof is not what you want because it "uses multiplication of the inverse and the matrix" implicitly, but I think it is worthwhile to prove the identity from an alternative perspective.
$endgroup$
add a comment |
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3 Answers
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active
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3 Answers
3
active
oldest
votes
active
oldest
votes
active
oldest
votes
$begingroup$
Here's a proof adapted from wikipedia's proof for the (more general) Woodbury matrix identity.
We would like to find a matrix $X$ such that
$$
(A + uv^T)X = I implies
AX + uv^TX = I
$$
Now, if we define $Y = (v^TX)$, then we can rewrite this as a system of equations:
$$
A X + uY = I\
v^TX - Y = 0
$$
That is,
$$
pmatrix{A & u\v^T&-1} pmatrix{X\Y} = pmatrix{I\0}
$$
We can solve this system using an augmented matrix and block-matrix operations. In particular, we have
$$
left[
begin{array}{cc|c}
A & u & I\
v^T & -1&0
end{array}
right] to
left[
begin{array}{cc|c}
I & A^{-1}u & A^{-1}\
v^T & -1&0
end{array}
right] to
left[
begin{array}{cc|c}
I & A^{-1}u & A^{-1}\
0 & -1 - v^TA^{-1}u & -v^TA^{-1}
end{array}
right] to\
left[begin{array}{cc|c}
I & A^{-1}u & A^{-1}\
0 & 1 & frac{1}{1 + v^TA^{-1}u}v^TA^{-1}
end{array}
right] implies
begin{cases}
X + A^{-1}uY = A^{-1}\
Y = frac{1}{1 + v^TA^{-1}u}v^TA^{-1}
end{cases}
$$
All that remains is substitution. That is, we have
$$
X = A^{-1} - A^{-1}uY = A^{-1} - A^{-1}uleft( frac{1}{1 + v^TA^{-1}u}v^TA^{-1}right) =
A^{-1} - frac{A^{-1}uv^TA^{-1}}{1 + v^TA^{-1}u}
$$
$endgroup$
$begingroup$
in the implication $=I$ is missing. Could you help me to get the final result, I mean substitute what to what? Can you complete the proof. Because now by substitution we have $$ X + frac{A^{-1}uv^T}{1 + v^TA^{-1}u}X = I $$?
$endgroup$
– Saeed
Jan 10 at 22:14
$begingroup$
@Saeed see my latest edit; I had a few mistakes there
$endgroup$
– Omnomnomnom
Jan 10 at 22:20
add a comment |
$begingroup$
Here's a proof adapted from wikipedia's proof for the (more general) Woodbury matrix identity.
We would like to find a matrix $X$ such that
$$
(A + uv^T)X = I implies
AX + uv^TX = I
$$
Now, if we define $Y = (v^TX)$, then we can rewrite this as a system of equations:
$$
A X + uY = I\
v^TX - Y = 0
$$
That is,
$$
pmatrix{A & u\v^T&-1} pmatrix{X\Y} = pmatrix{I\0}
$$
We can solve this system using an augmented matrix and block-matrix operations. In particular, we have
$$
left[
begin{array}{cc|c}
A & u & I\
v^T & -1&0
end{array}
right] to
left[
begin{array}{cc|c}
I & A^{-1}u & A^{-1}\
v^T & -1&0
end{array}
right] to
left[
begin{array}{cc|c}
I & A^{-1}u & A^{-1}\
0 & -1 - v^TA^{-1}u & -v^TA^{-1}
end{array}
right] to\
left[begin{array}{cc|c}
I & A^{-1}u & A^{-1}\
0 & 1 & frac{1}{1 + v^TA^{-1}u}v^TA^{-1}
end{array}
right] implies
begin{cases}
X + A^{-1}uY = A^{-1}\
Y = frac{1}{1 + v^TA^{-1}u}v^TA^{-1}
end{cases}
$$
All that remains is substitution. That is, we have
$$
X = A^{-1} - A^{-1}uY = A^{-1} - A^{-1}uleft( frac{1}{1 + v^TA^{-1}u}v^TA^{-1}right) =
A^{-1} - frac{A^{-1}uv^TA^{-1}}{1 + v^TA^{-1}u}
$$
$endgroup$
$begingroup$
in the implication $=I$ is missing. Could you help me to get the final result, I mean substitute what to what? Can you complete the proof. Because now by substitution we have $$ X + frac{A^{-1}uv^T}{1 + v^TA^{-1}u}X = I $$?
$endgroup$
– Saeed
Jan 10 at 22:14
$begingroup$
@Saeed see my latest edit; I had a few mistakes there
$endgroup$
– Omnomnomnom
Jan 10 at 22:20
add a comment |
$begingroup$
Here's a proof adapted from wikipedia's proof for the (more general) Woodbury matrix identity.
We would like to find a matrix $X$ such that
$$
(A + uv^T)X = I implies
AX + uv^TX = I
$$
Now, if we define $Y = (v^TX)$, then we can rewrite this as a system of equations:
$$
A X + uY = I\
v^TX - Y = 0
$$
That is,
$$
pmatrix{A & u\v^T&-1} pmatrix{X\Y} = pmatrix{I\0}
$$
We can solve this system using an augmented matrix and block-matrix operations. In particular, we have
$$
left[
begin{array}{cc|c}
A & u & I\
v^T & -1&0
end{array}
right] to
left[
begin{array}{cc|c}
I & A^{-1}u & A^{-1}\
v^T & -1&0
end{array}
right] to
left[
begin{array}{cc|c}
I & A^{-1}u & A^{-1}\
0 & -1 - v^TA^{-1}u & -v^TA^{-1}
end{array}
right] to\
left[begin{array}{cc|c}
I & A^{-1}u & A^{-1}\
0 & 1 & frac{1}{1 + v^TA^{-1}u}v^TA^{-1}
end{array}
right] implies
begin{cases}
X + A^{-1}uY = A^{-1}\
Y = frac{1}{1 + v^TA^{-1}u}v^TA^{-1}
end{cases}
$$
All that remains is substitution. That is, we have
$$
X = A^{-1} - A^{-1}uY = A^{-1} - A^{-1}uleft( frac{1}{1 + v^TA^{-1}u}v^TA^{-1}right) =
A^{-1} - frac{A^{-1}uv^TA^{-1}}{1 + v^TA^{-1}u}
$$
$endgroup$
Here's a proof adapted from wikipedia's proof for the (more general) Woodbury matrix identity.
We would like to find a matrix $X$ such that
$$
(A + uv^T)X = I implies
AX + uv^TX = I
$$
Now, if we define $Y = (v^TX)$, then we can rewrite this as a system of equations:
$$
A X + uY = I\
v^TX - Y = 0
$$
That is,
$$
pmatrix{A & u\v^T&-1} pmatrix{X\Y} = pmatrix{I\0}
$$
We can solve this system using an augmented matrix and block-matrix operations. In particular, we have
$$
left[
begin{array}{cc|c}
A & u & I\
v^T & -1&0
end{array}
right] to
left[
begin{array}{cc|c}
I & A^{-1}u & A^{-1}\
v^T & -1&0
end{array}
right] to
left[
begin{array}{cc|c}
I & A^{-1}u & A^{-1}\
0 & -1 - v^TA^{-1}u & -v^TA^{-1}
end{array}
right] to\
left[begin{array}{cc|c}
I & A^{-1}u & A^{-1}\
0 & 1 & frac{1}{1 + v^TA^{-1}u}v^TA^{-1}
end{array}
right] implies
begin{cases}
X + A^{-1}uY = A^{-1}\
Y = frac{1}{1 + v^TA^{-1}u}v^TA^{-1}
end{cases}
$$
All that remains is substitution. That is, we have
$$
X = A^{-1} - A^{-1}uY = A^{-1} - A^{-1}uleft( frac{1}{1 + v^TA^{-1}u}v^TA^{-1}right) =
A^{-1} - frac{A^{-1}uv^TA^{-1}}{1 + v^TA^{-1}u}
$$
edited Jan 10 at 22:20
answered Jan 10 at 21:50
OmnomnomnomOmnomnomnom
129k794188
129k794188
$begingroup$
in the implication $=I$ is missing. Could you help me to get the final result, I mean substitute what to what? Can you complete the proof. Because now by substitution we have $$ X + frac{A^{-1}uv^T}{1 + v^TA^{-1}u}X = I $$?
$endgroup$
– Saeed
Jan 10 at 22:14
$begingroup$
@Saeed see my latest edit; I had a few mistakes there
$endgroup$
– Omnomnomnom
Jan 10 at 22:20
add a comment |
$begingroup$
in the implication $=I$ is missing. Could you help me to get the final result, I mean substitute what to what? Can you complete the proof. Because now by substitution we have $$ X + frac{A^{-1}uv^T}{1 + v^TA^{-1}u}X = I $$?
$endgroup$
– Saeed
Jan 10 at 22:14
$begingroup$
@Saeed see my latest edit; I had a few mistakes there
$endgroup$
– Omnomnomnom
Jan 10 at 22:20
$begingroup$
in the implication $=I$ is missing. Could you help me to get the final result, I mean substitute what to what? Can you complete the proof. Because now by substitution we have $$ X + frac{A^{-1}uv^T}{1 + v^TA^{-1}u}X = I $$?
$endgroup$
– Saeed
Jan 10 at 22:14
$begingroup$
in the implication $=I$ is missing. Could you help me to get the final result, I mean substitute what to what? Can you complete the proof. Because now by substitution we have $$ X + frac{A^{-1}uv^T}{1 + v^TA^{-1}u}X = I $$?
$endgroup$
– Saeed
Jan 10 at 22:14
$begingroup$
@Saeed see my latest edit; I had a few mistakes there
$endgroup$
– Omnomnomnom
Jan 10 at 22:20
$begingroup$
@Saeed see my latest edit; I had a few mistakes there
$endgroup$
– Omnomnomnom
Jan 10 at 22:20
add a comment |
$begingroup$
Write $A+uv^T=A(I+A^{-1}uv^T)$; we are to find an inverse of $I+A^{-1}uv^T$. It's a bit simpler if we set $w=-u$, so instead we look for an inverse of $I-A^{-1}wv^T$; the idea that comes to mind is to consider, formally,
$$
(I-A^{-1}wv^T)^{-1}=I+A^{-1}wv^T+(A^{-1}wv^T)^2+(A^{-1}wv^T)^3+dotsb tag{*}
$$
taking from $frac{1}{1-x}=1+x+x^2+dotsb$
Now
$$
(A^{-1}wv^T)^2=A^{-1}wv^TA^{-1}wv^T=(v^TA^{-1}w)A^{-1}wv^T
$$
and
$$
(A^{-1}wv^T)^3=
A^{-1}wv^TA^{-1}wv^TA^{-1}wv^TA^{-1}wv^T=
(v^TA^{-1}w)^2A^{-1}wv^T
$$
and, by induction,
$$
(A^{-1}wv^T)^n=(v^TA^{-1}w)^{n-1}A^{-1}wv^T
$$
so the formal sum (*) becomes
$$
I+A^{-1}wv^T+(v^TA^{-1}w)A^{-1}wv^T+(v^TA^{-1}w)^2A^{-1}wv^T+(v^TA^{-1}w)^3A^{-1}wv^T+dotsb
$$
and therefore
$$
I+biggl(,sum_{nge0}(v^TA^{-1}w)^nbiggr)A^{-1}wv^T
$$
The term in parentheses is the inverse of $1-v^TA^{-1}w$. Returning to $u$, we find that the inverse should be
$$
I-frac{1}{1+v^TA^{-1}u}A^{-1}uv^T
$$
Multiplying on the right by $A^{-1}$ we see that the inverse of $A+uv^T$ should be
$$
A^{-1}-frac{1}{1+v^TA^{-1}u}A^{-1}uv^TA^{-1}
$$
Now we can do the multiplication and verify that the intuition is correct.
$endgroup$
$begingroup$
Where did you get $(*)$. I mean it is the expansion of what?
$endgroup$
– Saeed
Jan 10 at 22:09
$begingroup$
@Saeed $frac{1}{1-x}=1+x+x^2+dots+x^n+dotsb$ (for $|x|<1$, but with no restriction in formal power series). The argument just formal, but it can be made rigorous.
$endgroup$
– egreg
Jan 10 at 22:13
$begingroup$
Could you please add $I-A^{-1}wv^T=$ to $*$ for clarity?
$endgroup$
– Saeed
Jan 10 at 22:17
$begingroup$
@Saeed Added...
$endgroup$
– egreg
Jan 10 at 22:31
add a comment |
$begingroup$
Write $A+uv^T=A(I+A^{-1}uv^T)$; we are to find an inverse of $I+A^{-1}uv^T$. It's a bit simpler if we set $w=-u$, so instead we look for an inverse of $I-A^{-1}wv^T$; the idea that comes to mind is to consider, formally,
$$
(I-A^{-1}wv^T)^{-1}=I+A^{-1}wv^T+(A^{-1}wv^T)^2+(A^{-1}wv^T)^3+dotsb tag{*}
$$
taking from $frac{1}{1-x}=1+x+x^2+dotsb$
Now
$$
(A^{-1}wv^T)^2=A^{-1}wv^TA^{-1}wv^T=(v^TA^{-1}w)A^{-1}wv^T
$$
and
$$
(A^{-1}wv^T)^3=
A^{-1}wv^TA^{-1}wv^TA^{-1}wv^TA^{-1}wv^T=
(v^TA^{-1}w)^2A^{-1}wv^T
$$
and, by induction,
$$
(A^{-1}wv^T)^n=(v^TA^{-1}w)^{n-1}A^{-1}wv^T
$$
so the formal sum (*) becomes
$$
I+A^{-1}wv^T+(v^TA^{-1}w)A^{-1}wv^T+(v^TA^{-1}w)^2A^{-1}wv^T+(v^TA^{-1}w)^3A^{-1}wv^T+dotsb
$$
and therefore
$$
I+biggl(,sum_{nge0}(v^TA^{-1}w)^nbiggr)A^{-1}wv^T
$$
The term in parentheses is the inverse of $1-v^TA^{-1}w$. Returning to $u$, we find that the inverse should be
$$
I-frac{1}{1+v^TA^{-1}u}A^{-1}uv^T
$$
Multiplying on the right by $A^{-1}$ we see that the inverse of $A+uv^T$ should be
$$
A^{-1}-frac{1}{1+v^TA^{-1}u}A^{-1}uv^TA^{-1}
$$
Now we can do the multiplication and verify that the intuition is correct.
$endgroup$
$begingroup$
Where did you get $(*)$. I mean it is the expansion of what?
$endgroup$
– Saeed
Jan 10 at 22:09
$begingroup$
@Saeed $frac{1}{1-x}=1+x+x^2+dots+x^n+dotsb$ (for $|x|<1$, but with no restriction in formal power series). The argument just formal, but it can be made rigorous.
$endgroup$
– egreg
Jan 10 at 22:13
$begingroup$
Could you please add $I-A^{-1}wv^T=$ to $*$ for clarity?
$endgroup$
– Saeed
Jan 10 at 22:17
$begingroup$
@Saeed Added...
$endgroup$
– egreg
Jan 10 at 22:31
add a comment |
$begingroup$
Write $A+uv^T=A(I+A^{-1}uv^T)$; we are to find an inverse of $I+A^{-1}uv^T$. It's a bit simpler if we set $w=-u$, so instead we look for an inverse of $I-A^{-1}wv^T$; the idea that comes to mind is to consider, formally,
$$
(I-A^{-1}wv^T)^{-1}=I+A^{-1}wv^T+(A^{-1}wv^T)^2+(A^{-1}wv^T)^3+dotsb tag{*}
$$
taking from $frac{1}{1-x}=1+x+x^2+dotsb$
Now
$$
(A^{-1}wv^T)^2=A^{-1}wv^TA^{-1}wv^T=(v^TA^{-1}w)A^{-1}wv^T
$$
and
$$
(A^{-1}wv^T)^3=
A^{-1}wv^TA^{-1}wv^TA^{-1}wv^TA^{-1}wv^T=
(v^TA^{-1}w)^2A^{-1}wv^T
$$
and, by induction,
$$
(A^{-1}wv^T)^n=(v^TA^{-1}w)^{n-1}A^{-1}wv^T
$$
so the formal sum (*) becomes
$$
I+A^{-1}wv^T+(v^TA^{-1}w)A^{-1}wv^T+(v^TA^{-1}w)^2A^{-1}wv^T+(v^TA^{-1}w)^3A^{-1}wv^T+dotsb
$$
and therefore
$$
I+biggl(,sum_{nge0}(v^TA^{-1}w)^nbiggr)A^{-1}wv^T
$$
The term in parentheses is the inverse of $1-v^TA^{-1}w$. Returning to $u$, we find that the inverse should be
$$
I-frac{1}{1+v^TA^{-1}u}A^{-1}uv^T
$$
Multiplying on the right by $A^{-1}$ we see that the inverse of $A+uv^T$ should be
$$
A^{-1}-frac{1}{1+v^TA^{-1}u}A^{-1}uv^TA^{-1}
$$
Now we can do the multiplication and verify that the intuition is correct.
$endgroup$
Write $A+uv^T=A(I+A^{-1}uv^T)$; we are to find an inverse of $I+A^{-1}uv^T$. It's a bit simpler if we set $w=-u$, so instead we look for an inverse of $I-A^{-1}wv^T$; the idea that comes to mind is to consider, formally,
$$
(I-A^{-1}wv^T)^{-1}=I+A^{-1}wv^T+(A^{-1}wv^T)^2+(A^{-1}wv^T)^3+dotsb tag{*}
$$
taking from $frac{1}{1-x}=1+x+x^2+dotsb$
Now
$$
(A^{-1}wv^T)^2=A^{-1}wv^TA^{-1}wv^T=(v^TA^{-1}w)A^{-1}wv^T
$$
and
$$
(A^{-1}wv^T)^3=
A^{-1}wv^TA^{-1}wv^TA^{-1}wv^TA^{-1}wv^T=
(v^TA^{-1}w)^2A^{-1}wv^T
$$
and, by induction,
$$
(A^{-1}wv^T)^n=(v^TA^{-1}w)^{n-1}A^{-1}wv^T
$$
so the formal sum (*) becomes
$$
I+A^{-1}wv^T+(v^TA^{-1}w)A^{-1}wv^T+(v^TA^{-1}w)^2A^{-1}wv^T+(v^TA^{-1}w)^3A^{-1}wv^T+dotsb
$$
and therefore
$$
I+biggl(,sum_{nge0}(v^TA^{-1}w)^nbiggr)A^{-1}wv^T
$$
The term in parentheses is the inverse of $1-v^TA^{-1}w$. Returning to $u$, we find that the inverse should be
$$
I-frac{1}{1+v^TA^{-1}u}A^{-1}uv^T
$$
Multiplying on the right by $A^{-1}$ we see that the inverse of $A+uv^T$ should be
$$
A^{-1}-frac{1}{1+v^TA^{-1}u}A^{-1}uv^TA^{-1}
$$
Now we can do the multiplication and verify that the intuition is correct.
edited Jan 10 at 22:30
answered Jan 10 at 22:02
egregegreg
185k1486208
185k1486208
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Where did you get $(*)$. I mean it is the expansion of what?
$endgroup$
– Saeed
Jan 10 at 22:09
$begingroup$
@Saeed $frac{1}{1-x}=1+x+x^2+dots+x^n+dotsb$ (for $|x|<1$, but with no restriction in formal power series). The argument just formal, but it can be made rigorous.
$endgroup$
– egreg
Jan 10 at 22:13
$begingroup$
Could you please add $I-A^{-1}wv^T=$ to $*$ for clarity?
$endgroup$
– Saeed
Jan 10 at 22:17
$begingroup$
@Saeed Added...
$endgroup$
– egreg
Jan 10 at 22:31
add a comment |
$begingroup$
Where did you get $(*)$. I mean it is the expansion of what?
$endgroup$
– Saeed
Jan 10 at 22:09
$begingroup$
@Saeed $frac{1}{1-x}=1+x+x^2+dots+x^n+dotsb$ (for $|x|<1$, but with no restriction in formal power series). The argument just formal, but it can be made rigorous.
$endgroup$
– egreg
Jan 10 at 22:13
$begingroup$
Could you please add $I-A^{-1}wv^T=$ to $*$ for clarity?
$endgroup$
– Saeed
Jan 10 at 22:17
$begingroup$
@Saeed Added...
$endgroup$
– egreg
Jan 10 at 22:31
$begingroup$
Where did you get $(*)$. I mean it is the expansion of what?
$endgroup$
– Saeed
Jan 10 at 22:09
$begingroup$
Where did you get $(*)$. I mean it is the expansion of what?
$endgroup$
– Saeed
Jan 10 at 22:09
$begingroup$
@Saeed $frac{1}{1-x}=1+x+x^2+dots+x^n+dotsb$ (for $|x|<1$, but with no restriction in formal power series). The argument just formal, but it can be made rigorous.
$endgroup$
– egreg
Jan 10 at 22:13
$begingroup$
@Saeed $frac{1}{1-x}=1+x+x^2+dots+x^n+dotsb$ (for $|x|<1$, but with no restriction in formal power series). The argument just formal, but it can be made rigorous.
$endgroup$
– egreg
Jan 10 at 22:13
$begingroup$
Could you please add $I-A^{-1}wv^T=$ to $*$ for clarity?
$endgroup$
– Saeed
Jan 10 at 22:17
$begingroup$
Could you please add $I-A^{-1}wv^T=$ to $*$ for clarity?
$endgroup$
– Saeed
Jan 10 at 22:17
$begingroup$
@Saeed Added...
$endgroup$
– egreg
Jan 10 at 22:31
$begingroup$
@Saeed Added...
$endgroup$
– egreg
Jan 10 at 22:31
add a comment |
$begingroup$
Let $w=-A^{-1}u$. Then the problem boils down to proving the equivalent identity that
$$
(I-wv^T)^{-1} = I+frac{wv^T}{1-v^Tw}.tag{1}
$$
Let us abuse the symbol $v$ and denote by $v(cdot)$ the linear functional $xmapsto v^Tx$. Then $I-wv^T$ is a matrix representation of the linear function
$$
y = f(x) = x - v(x)w.
$$
The inverse of this mapping is clearly
$$
x = f^{-1}(y) = y+v(x)wtag{2}
$$
but we wish to express $v(x)$ in terms of $y$. Now, since $v$ is a linear functional,
$$
v(y)=vleft(x-v(x)wright)=v(x)-v(x)v(w).
$$
Therefore $v(x)=frac{v(y)}{1-v(w)}$ and $(2)$ gives
$$
f^{-1}(y) = y+frac{v(y)w}{1-v(w)}
$$
and $(1)$ follows immediately.
One may argue that the above proof is not what you want because it "uses multiplication of the inverse and the matrix" implicitly, but I think it is worthwhile to prove the identity from an alternative perspective.
$endgroup$
add a comment |
$begingroup$
Let $w=-A^{-1}u$. Then the problem boils down to proving the equivalent identity that
$$
(I-wv^T)^{-1} = I+frac{wv^T}{1-v^Tw}.tag{1}
$$
Let us abuse the symbol $v$ and denote by $v(cdot)$ the linear functional $xmapsto v^Tx$. Then $I-wv^T$ is a matrix representation of the linear function
$$
y = f(x) = x - v(x)w.
$$
The inverse of this mapping is clearly
$$
x = f^{-1}(y) = y+v(x)wtag{2}
$$
but we wish to express $v(x)$ in terms of $y$. Now, since $v$ is a linear functional,
$$
v(y)=vleft(x-v(x)wright)=v(x)-v(x)v(w).
$$
Therefore $v(x)=frac{v(y)}{1-v(w)}$ and $(2)$ gives
$$
f^{-1}(y) = y+frac{v(y)w}{1-v(w)}
$$
and $(1)$ follows immediately.
One may argue that the above proof is not what you want because it "uses multiplication of the inverse and the matrix" implicitly, but I think it is worthwhile to prove the identity from an alternative perspective.
$endgroup$
add a comment |
$begingroup$
Let $w=-A^{-1}u$. Then the problem boils down to proving the equivalent identity that
$$
(I-wv^T)^{-1} = I+frac{wv^T}{1-v^Tw}.tag{1}
$$
Let us abuse the symbol $v$ and denote by $v(cdot)$ the linear functional $xmapsto v^Tx$. Then $I-wv^T$ is a matrix representation of the linear function
$$
y = f(x) = x - v(x)w.
$$
The inverse of this mapping is clearly
$$
x = f^{-1}(y) = y+v(x)wtag{2}
$$
but we wish to express $v(x)$ in terms of $y$. Now, since $v$ is a linear functional,
$$
v(y)=vleft(x-v(x)wright)=v(x)-v(x)v(w).
$$
Therefore $v(x)=frac{v(y)}{1-v(w)}$ and $(2)$ gives
$$
f^{-1}(y) = y+frac{v(y)w}{1-v(w)}
$$
and $(1)$ follows immediately.
One may argue that the above proof is not what you want because it "uses multiplication of the inverse and the matrix" implicitly, but I think it is worthwhile to prove the identity from an alternative perspective.
$endgroup$
Let $w=-A^{-1}u$. Then the problem boils down to proving the equivalent identity that
$$
(I-wv^T)^{-1} = I+frac{wv^T}{1-v^Tw}.tag{1}
$$
Let us abuse the symbol $v$ and denote by $v(cdot)$ the linear functional $xmapsto v^Tx$. Then $I-wv^T$ is a matrix representation of the linear function
$$
y = f(x) = x - v(x)w.
$$
The inverse of this mapping is clearly
$$
x = f^{-1}(y) = y+v(x)wtag{2}
$$
but we wish to express $v(x)$ in terms of $y$. Now, since $v$ is a linear functional,
$$
v(y)=vleft(x-v(x)wright)=v(x)-v(x)v(w).
$$
Therefore $v(x)=frac{v(y)}{1-v(w)}$ and $(2)$ gives
$$
f^{-1}(y) = y+frac{v(y)w}{1-v(w)}
$$
and $(1)$ follows immediately.
One may argue that the above proof is not what you want because it "uses multiplication of the inverse and the matrix" implicitly, but I think it is worthwhile to prove the identity from an alternative perspective.
answered Jan 11 at 17:36
user1551user1551
74.2k566129
74.2k566129
add a comment |
add a comment |
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