Sherman-Morrison-Woodbury公式的证明

首先证明Sherman-Morrison公式：

 

(A+uvT)−1=A−1−A−1u(1+vTA−1u)−1vTA−1                                                                                                            (1)

其中，A∈Rn×n非奇异，即A-1存在，u∈Rn，v∈Rn。SM公式看似复杂，但可以通过求解以下线性方程组来推导出来：

 

(A+uvT)x=b                                                                                                                                                               (2)

式（2）两边同时乘以A-1，令 A-1u=z 和 A-1b=y，则有：

 

x+zvTx=y                                                                                                                                                                  (3)

注意到vTx是标量，令α=vTx。式（3）两边同时乘以vT，得：

 

α+vTzα=vTy                                                                                                                                                             (4)

由于式（4）中vTz和vTy都是标量，从而由式（4）可解得：

 

α=vTy1+vTz                                                                                                                                                             (5)

由式（3）和y、z、α的定义可得：

 

x=y−αz=A−1b−A−1u(1+vTA−1u)−1vTA−1b=[A−1−A−1u(1+vTA−1u)−1vTA−1]b                                                    (6)

由（2）和（6）即可得Sherman-Morrison公式，即（1）。

 

由Sherman-Morrison公式，并令U∈Rn×k，V∈Rn×k ，可得：

 

(A+UVT)−1=A−1−A−1U(I+VTA−1U)−1VTA−1                                                                                                        (7)

上式即为Sherman-Morrison-Woodbury公式。可以看到，Sherman-Morrison公式是Sherman-Morrison-Woodbury公式在k=1时的特殊情形。

 

如何证明Sherman-Morrison-Woodbury公式？式（7）两边同时乘以(A+UVT)，并证明两边均等于单位矩阵I即可。