正定与最小二乘法的联系

最新推荐文章于 2022-09-03 19:53:14 发布

SnailDove

最新推荐文章于 2022-09-03 19:53:14 发布

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分类专栏：线性代数文章标签：线性代数

本文链接：https://blog.csdn.net/you1314520me/article/details/78703077

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本文探讨了正定矩阵的性质，包括其与矩阵A的转置乘积A^TA的关系。当A的列向量独立时，A^TA是正定的，并且在最小二乘逼近问题中起到关键作用。正定矩阵的逆存在条件等价于A的列向量的独立性，从而确保了最小二乘解的存在。

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positive definite

When a symmetric matrix $A$ has one of these five properties, it has them all and $A$ is positive definite:

all n eigenvalue are positive.

all n principal minors(n upper left determinants) are positive.

all n pivots are positive.

$x^{T}Ax$ is positive except when $x = 0$ (this is usually the definition of positive definiteness and the energy-based definition).

$A$ equals $R^{T}R$ for a matrix $R$ with independent columns.

Let us prove the fifth rule. If $A = R^{T}R$ , then

$x T A x = = = = \geq x T R T R x (x T R T) R x (R x) T R x ∥ R x ∥ 0$ $\begin{eqnarray} x^{T}Ax&=&x^{T}R^{T}Rx \nonumber\\ &=&(x^{T}R^{T})Rx \nonumber\\ &=&(Rx)^{T}Rx \nonumber\\ &=&\|Rx\| \nonumber\\ &\ge&0 \nonumber \end{eqnarray}$

And the columns of $R$ are also independent, so $‖ R x ‖ = x^{T} A x > 0$