Sherman-Morrison公式的推导

设$\mathbf{A}$是$n$阶可逆阵，$\mathbf{\alpha }$,$\mathbf{\beta }$是$n$维列向量，且$1+{\mathbf{\beta }}^{\prime }{\mathbf{A}}^{-1}\mathbf{\alpha }\ne 0$.有：

$${\left(\mathbf{A}+\mathbf{\alpha }{\mathbf{\beta }}^{\prime }\right)}^{-1}={\mathbf{A}}^{-1}-\frac{1}{1+{\mathbf{\beta }}^{\prime }{\mathbf{A}}^{-1}\mathbf{\alpha }}{\mathbf{A}}^{-1}\mathbf{\alpha }{\mathbf{\beta }}^{\prime }{\mathbf{A}}^{-1}$$

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证明过程：

我们需要注意到${\mathbf{\beta }}^{\prime }{\mathbf{A}}^{-1}\mathbf{\alpha }$是一个数。直接验证即可：
$$\begin{array}{rl}& \left(\mathbf{A}+\mathbf{\alpha }{\mathbf{\beta }}^{\prime }\right)\left({\mathbf{A}}^{-1}-\frac{1}{1+{\mathbf{\beta }}^{\prime }{\mathbf{A}}^{-1}\mathbf{\alpha }}{\mathbf{A}}^{-1}\mathbf{\alpha }{\mathbf{\beta }}^{\prime }{\mathbf{A}}^{-1}\right)\\ =& {\mathbf{I}}_n+\mathbf{\alpha }{\mathbf{\beta }}^{\prime }{\mathbf{A}}^{-1}-\frac{1}{1+{\mathbf{\beta }}^{\prime }{\mathbf{A}}^{-1}\mathbf{\alpha }}\mathbf{\alpha }{\mathbf{\beta }}^{\prime }{\mathbf{A}}^{-1}-\frac{1}{1+{\mathbf{\beta }}^{\prime }{\mathbf{A}}^{-1}\mathbf{\alpha }}\mathbf{\alpha }\left({\mathbf{\beta }}^{\prime }{\mathbf{A}}^{-1}\mathbf{\alpha }\right){\mathbf{\beta }}^{\prime }{\mathbf{A}}^{-1}\\ =& {\mathbf{I}}_n+\mathbf{\alpha }{\mathbf{\beta }}^{\prime }{\mathbf{A}}^{-1}-\frac{1+{\mathbf{\beta }}^{\prime }{\mathbf{A}}^{-1}\mathbf{\alpha }}{1+{\mathbf{\beta }}^{\prime }{\mathbf{A}}^{-1}\mathbf{\alpha }}\mathbf{\alpha }{\mathbf{\beta }}^{\prime }{\mathbf{A}}^{-1}\\ =& {\mathbf{I}}_n+\mathbf{\alpha }{\mathbf{\beta }}^{\prime }{\mathbf{A}}^{-1}-\mathbf{\alpha }{\mathbf{\beta }}^{\prime }{\mathbf{A}}^{-1}={\mathbf{I}}_n\end{array}$$

参考：

1. 姚慕生, 谢启鸿. 《高等代数》第二版. 复旦大学出版社