投影矩阵
给定列向量 b ⃗ \vec{b} b,矩阵 A \mathbf{A} A, b ⃗ \vec b b到 A A A的列空间的投影是什么?
设
A
=
[
a
1
⃗
,
a
2
⃗
,
⋯
,
a
n
⃗
]
A= \begin{bmatrix} \vec{a_1}, \vec{a_2}, \cdots, \vec{a_n} \end{bmatrix}
A=[a1,a2,⋯,an]
b
⃗
\vec b
b到
A
A
A的列空间投影一定是
a
1
⃗
,
a
2
⃗
,
⋯
,
a
n
⃗
\vec{a_1}, \vec{a_2}, \cdots, \vec{a_n}
a1,a2,⋯,an的线性组合,也就是
A
x
⃗
=
x
1
a
1
⃗
+
x
2
a
2
⃗
+
⋯
+
x
n
a
n
⃗
A \vec x = x_1 \vec{a_1} + x_2 \vec {a_2} + \cdots + x_n \vec{a_n}
Ax=x1a1+x2a2+⋯+xnan
因此垂线段为
b
⃗
−
A
x
⃗
\vec b -A\vec x
b−Ax
它与
a
1
⃗
,
⋯
,
a
n
⃗
\vec{a_1},\cdots,\vec{a_n}
a1,⋯,an张成的平面垂直,即
A
T
(
b
⃗
−
A
x
⃗
)
=
0
A^T(\vec b-A\vec x) = 0
AT(b−Ax)=0
当
A
T
A
A^TA
ATA满秩(
A
A
A列满秩)时,
A
T
A
x
⃗
=
A
T
b
⃗
A^TA\vec x = A^T\vec b
ATAx=ATb 有唯一解
x
⃗
=
(
A
T
A
)
−
1
A
T
b
⃗
A
x
⃗
=
A
(
A
T
A
)
−
1
A
T
b
⃗
\vec x = (A^TA)^{-1}A^T \vec b \\ A\vec x = A(A^TA)^{-1}A^T\vec b
x=(ATA)−1ATbAx=A(ATA)−1ATb
于是投影矩阵为
P
=
A
(
A
T
A
)
−
1
A
T
P = A(A^TA)^{-1}A^T
P=A(ATA)−1AT
当
A
T
A
A^TA
ATA不满秩(
A
A
A不列满秩)时,
A
T
A
x
⃗
=
A
T
b
⃗
A^TA\vec x = A^T\vec b
ATAx=ATb 有多解