《Matrix Methods in Data Analysis, Signal Processing, and Machine Learning》MIT Course Number：18.065课程习题答案
LEC5. Positive Definite and Semidefinite Matrices
Problems of Lecture 5 (from textbook Section I.7)
3 For which numbers b and c are these matrices positive definite?
S
=
[
1
b
b
9
]
S
=
[
2
4
4
c
]
S
=
[
c
b
b
c
]
S=\begin{bmatrix}1&b\\b&9\end{bmatrix}S=\begin{bmatrix}2&4\\4&c\end{bmatrix}S=\begin{bmatrix}c&b\\b&c\end{bmatrix}
S=[1bb9]S=[244c]S=[cbbc]With the pivots in D and multiplier in L, factor each A into
L
D
L
T
LDL^T
LDLT.
14 Find the 3 by 3 matrix S and its pivots, rank, eigenvalues, and determinant:
[
x
1
x
2
x
3
]
[
S
]
[
x
1
x
2
x
3
]
=
4
(
x
1
−
x
2
+
2
x
3
)
2
\begin{bmatrix}x_1&x_2&x_3\end{bmatrix}\begin{bmatrix} \\&S& \\ &\end{bmatrix}\begin{bmatrix}x_1\\x_2\\x_3\end{bmatrix}=4(x_1-x_2+2x_3)^2
[x1x2x3]⎣⎡S⎦⎤⎣⎡x1x2x3⎦⎤=4(x1−x2+2x3)2
15 Compute the three upper left determinants of S to establish positive definiteness.Verify that their ratios give the second and third pivots.
P
i
v
o
t
s
=
r
a
t
i
o
s
o
f
d
e
t
e
r
m
i
n
a
n
t
s
S
=
[
2
2
0
2
5
3
0
3
8
]
Pivots = ratios\ \ of\ \ determinants \ \ \ \ \ \ S=\begin{bmatrix}2&2&0\\2&5&3\\0&3&8\\\end{bmatrix}
Pivots=ratios of determinants S=⎣⎡220253038⎦⎤
Solutions to Lecture 5
3
S
=
[
1
b
b
9
]
,
I
f
i
t
′
s
p
o
s
i
t
i
v
e
d
e
f
i
n
i
t
e
,
t
h
e
n
−
3
<
b
<
3.
S=\begin{bmatrix}1&b\\b&9\end{bmatrix},\ If\ \ it's\ \ positive\ \ definite,\ then-3<b<3.
S=[1bb9], If it′s positive definite, then−3<b<3.
S
=
[
1
b
b
9
]
=
[
1
0
b
1
]
[
1
b
0
9
−
b
2
]
=
[
1
0
b
1
]
[
1
0
0
9
−
b
2
]
[
1
b
0
1
]
=
L
D
L
T
S=\begin{bmatrix}1&b\\b&9\end{bmatrix}=\begin{bmatrix}1&0\\b&1\end{bmatrix}\begin{bmatrix}1&b\\0&9-b^2\end{bmatrix}=\begin{bmatrix}1&0\\b&1\end{bmatrix}\begin{bmatrix}1&0\\0&9-b^2\end{bmatrix}\begin{bmatrix}1&b\\0&1\end{bmatrix}=LDL^T
S=[1bb9]=[1b01][10b9−b2]=[1b01][1009−b2][10b1]=LDLT
S
=
[
2
4
4
c
]
,
I
f
i
t
′
s
p
o
s
i
t
i
v
e
d
e
f
i
n
i
t
e
,
t
h
e
n
c
>
8.
S=\begin{bmatrix}2&4\\4&c\end{bmatrix},\ If\ \ it's\ \ positive\ \ definite,\ then\ c>8.
S=[244c], If it′s positive definite, then c>8.
S
=
[
2
4
4
c
]
=
[
1
0
2
1
]
[
2
4
0
c
−
8
]
=
[
1
0
2
1
]
[
2
0
0
c
−
8
]
[
1
2
0
1
]
=
L
D
L
T
S=\begin{bmatrix}2&4\\4&c\end{bmatrix}=\begin{bmatrix}1&0\\2&1\end{bmatrix}\begin{bmatrix}2&4\\0&c-8\end{bmatrix}=\begin{bmatrix}1&0\\2&1\end{bmatrix}\begin{bmatrix}2&0\\0&c-8\end{bmatrix}\begin{bmatrix}1&2\\0&1\end{bmatrix}=LDL^T
S=[244c]=[1201][204c−8]=[1201][200c−8][1021]=LDLT
S
=
[
c
b
b
c
]
,
I
f
i
t
′
s
p
o
s
i
t
i
v
e
d
e
f
i
n
i
t
e
,
t
h
e
n
c
>
0
,
c
>
b
>
−
c
.
S=\begin{bmatrix}c&b\\b&c\end{bmatrix},\ If\ \ it's\ \ positive\ \ definite,\ then\ c>0,c>b>-c.
S=[cbbc], If it′s positive definite, then c>0,c>b>−c.
S
=
[
c
b
b
c
]
=
[
1
0
b
/
c
1
]
[
c
b
0
c
−
b
2
/
c
]
=
[
1
0
b
/
c
1
]
[
c
0
0
c
−
b
2
/
c
]
[
1
b
/
c
0
1
]
=
L
D
L
T
S=\begin{bmatrix}c&b\\b&c\end{bmatrix}=\begin{bmatrix}1&0\\b/c&1\end{bmatrix}\begin{bmatrix}c&b\\0&c-b^2/c\end{bmatrix}=\begin{bmatrix}1&0\\b/c&1\end{bmatrix}\begin{bmatrix}c&0\\0&c-b^2/c\end{bmatrix}\begin{bmatrix}1&b/c\\0&1\end{bmatrix}=LDL^T
S=[cbbc]=[1b/c01][c0bc−b2/c]=[1b/c01][c00c−b2/c][10b/c1]=LDLT
14 S = [ 4 − 4 8 − 4 4 − 8 8 − 8 16 ] h a s o n l y o n e p i v o t = 4 , r a n k S = 1 , e i g e n v a l u e s a r e 24 , 0 , 0 , d e t S = 0. S=\begin{bmatrix}4&-4&8\\-4&4&-8\\8&-8&16\\\end{bmatrix} has\ \ only\ \ one\ \ pivot = 4,\ rank\ S = 1,\ eigenvalues\ are\ 24,0,0,\ det\ S = 0. S=⎣⎡4−48−44−88−816⎦⎤has only one pivot=4, rank S=1, eigenvalues are 24,0,0, det S=0.
15 Corner determinants ∣ S 1 ∣ |S_1| ∣S1∣ = 2, ∣ S 2 ∣ |S_2| ∣S2∣ = 6, ∣ S 3 ∣ |S_3| ∣S3∣ = 30. The pivots are 2/1,6/2,30/6.
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