Matrix determinant lemma
设
A
∈
R
n
×
n
\mathbf{A}\in\mathbb{R}^{n\times n}
A∈Rn×n可逆,
u
,
v
∈
R
n
\mathbf{u},\mathbf{v}\in\mathbb{R}^n
u,v∈Rn,则
∣
A
+
u
v
T
∣
=
(
1
+
v
T
A
−
1
u
)
∣
A
∣
\left|\mathbf{A}+\mathbf{u}\mathbf{v}^T\right|=\left(1+\mathbf{v}^T\mathbf{A}^{-1}\mathbf{u}\right)\left|\mathbf{A}\right|
∣∣A+uvT∣∣=(1+vTA−1u)∣A∣
证明：
当
A
=
I
\mathbf{A}=\mathbf{I}
A=I时
(
I
0
v
T
1
)
(
I
+
u
v
T
u
0
1
)
(
I
0
−
v
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1
)
=
(
I
u
0
1
+
v
T
u
)
\left(\begin{array}{cc} \mathbf{I} & 0 \\ \mathbf{v}^T & 1 \end{array}\right)\left(\begin{array}{cc} \mathbf{I}+\mathbf{u v}^T & \mathbf{u} \\ 0 & 1 \end{array}\right)\left(\begin{array}{cc} \mathbf{I} & 0 \\ -\mathbf{v}^T & 1 \end{array}\right)=\left(\begin{array}{cc} \mathbf{I} & \mathbf{u} \\ 0 & 1+\mathbf{v}^T \mathbf{u} \end{array}\right)
(IvT01)(I+uvT0u1)(I−vT01)=(I0u1+vTu)
于是
∣
I
+
u
v
T
∣
=
∣
1
+
v
T
u
∣
\left|\mathbf{I}+\mathbf{u}\mathbf{v}^T\right|=\left|1+\mathbf{v}^T\mathbf{u}\right|
∣∣I+uvT∣∣=∣∣1+vTu∣∣
∣ A + u v T ∣ = ∣ A ∣ ∣ I + A − 1 u v T ∣ = ∣ A ∣ ∣ 1 + v T A − 1 u ∣ = ( 1 + v T A − 1 u ) ∣ A ∣ \begin{aligned} \left|\mathbf{A}+\mathbf{u}\mathbf{v}^T\right|&=\left|\mathbf{A}\right|\left|\mathbf{I}+\mathbf{A}^{-1}\mathbf{u}\mathbf{v}^T\right|\\ &=\left|\mathbf{A}\right|\left|1+\mathbf{v}^T\mathbf{A}^{-1}\mathbf{u}\right|\\ &=\left(1+\mathbf{v}^T\mathbf{A}^{-1}\mathbf{u}\right)\left|\mathbf{A}\right| \end{aligned} ∣∣A+uvT∣∣=∣A∣∣∣I+A−1uvT∣∣=∣A∣∣∣1+vTA−1u∣∣=(1+vTA−1u)∣A∣
推广1
设
A
∈
R
n
×
n
\mathbf{A}\in\mathbb{R}^{n\times n}
A∈Rn×n可逆，
U
,
V
∈
R
n
×
m
\mathbf{U},\mathbf{V}\in\mathbb{R}^{n\times m}
U,V∈Rn×m,
则
∣
A
+
U
V
T
∣
=
∣
I
+
V
T
A
−
1
U
∣
∣
A
∣
\left|\mathbf{A}+\mathbf{U}\mathbf{V}^T\right|=\left|\mathbf{I}+\mathbf{V}^T\mathbf{A}^{-1}\mathbf{U}\right|\left|\mathbf{A}\right|
∣∣A+UVT∣∣=∣∣I+VTA−1U∣∣∣A∣
当
A
=
I
\mathbf{A}=\mathbf{I}
A=I时
(
I
0
V
T
I
)
(
I
+
U
V
T
U
0
I
)
(
I
0
−
V
T
I
)
=
(
I
U
0
I
+
V
T
U
)
\left(\begin{array}{cc} \mathbf{I} & 0 \\ \mathbf{V}^T & \mathbf{I} \end{array}\right)\left(\begin{array}{cc} \mathbf{I}+\mathbf{U V}^T & \mathbf{U} \\ 0 & \mathbf{I} \end{array}\right)\left(\begin{array}{cc} \mathbf{I} & 0 \\ -\mathbf{V}^T & \mathbf{I} \end{array}\right)=\left(\begin{array}{cc} \mathbf{I} & \mathbf{U} \\ 0 & \mathbf{I}+\mathbf{V}^T \mathbf{U} \end{array}\right)
(IVT0I)(I+UVT0UI)(I−VT0I)=(I0UI+VTU)
于是
∣
I
+
U
V
T
∣
=
∣
I
+
V
T
U
∣
\left|\mathbf{I}+\mathbf{U}\mathbf{V}^T\right|=\left|\mathbf{I}+\mathbf{V}^T\mathbf{U}\right|
∣∣I+UVT∣∣=∣∣I+VTU∣∣
∣
A
+
U
V
T
∣
=
∣
A
∣
∣
I
+
A
−
1
U
V
T
∣
=
∣
A
∣
∣
I
+
V
T
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−
1
U
∣
\begin{aligned} \left|\mathbf{A}+\mathbf{U}\mathbf{V}^T\right|&=\left|\mathbf{A}\right|\left|\mathbf{I}+\mathbf{A}^{-1}\mathbf{U}\mathbf{V}^T\right|\\ &=\left|\mathbf{A}\right|\left|\mathbf{I}+\mathbf{V}^T\mathbf{A}^{-1}\mathbf{U}\right| \end{aligned}
∣∣A+UVT∣∣=∣A∣∣∣I+A−1UVT∣∣=∣A∣∣∣I+VTA−1U∣∣
推广2
设
A
∈
R
n
×
n
,
W
∈
R
m
×
m
\mathbf{A}\in\mathbb{R}^{n\times n},\mathbf{W}\in\mathbb{R}^{m\times m}
A∈Rn×n,W∈Rm×m可逆，
U
,
V
∈
R
n
×
m
\mathbf{U},\mathbf{V}\in\mathbb{R}^{n\times m}
U,V∈Rn×m,
则
∣
A
+
U
W
V
T
∣
=
∣
W
−
1
+
V
T
A
−
1
U
∣
∣
W
∣
∣
A
∣
\left|\mathbf{A}+\mathbf{U}\mathbf{W}\mathbf{V}^T\right|=\left|\mathbf{W}^{-1}+\mathbf{V}^{T}\mathbf{A}^{-1}\mathbf{U}\right|\left|\mathbf{W}\right|\left|\mathbf{A}\right|
∣∣A+UWVT∣∣=∣∣W−1+VTA−1U∣∣∣W∣∣A∣
证明：
∣
A
+
U
W
V
T
∣
=
∣
A
∣
∣
I
+
A
−
1
U
W
V
T
∣
=
∣
A
∣
∣
I
+
W
V
T
A
−
1
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∣
=
∣
A
∣
∣
W
∣
∣
W
−
1
+
V
T
A
−
1
U
∣
\begin{aligned} &\left|\mathbf{A}+\mathbf{U}\mathbf{W}\mathbf{V}^T\right|\\ =&\left|\mathbf{A}\right|\left|\mathbf{I}+\mathbf{A}^{-1}\mathbf{U}\mathbf{W}\mathbf{V}^T\right|\\ =&\left|\mathbf{A}\right|\left|\mathbf{I}+\mathbf{W}\mathbf{V}^T\mathbf{A}^{-1}\mathbf{U}\right|\\ =&\left|\mathbf{A}\right|\left|\mathbf{W}\right|\left|\mathbf{W}^{-1}+\mathbf{V}^T\mathbf{A}^{-1}\mathbf{U}\right|\\ \end{aligned}
===∣∣A+UWVT∣∣∣A∣∣∣I+A−1UWVT∣∣∣A∣∣∣I+WVTA−1U∣∣∣A∣∣W∣∣∣W−1+VTA−1U∣∣
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