Matrix Reference Manual: Matrix Properties

Matrix Properties
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Adjoint or Adjugate

The adjoint of A, ADJ(A) is the transpose of the matrix formed by taking the cofactor of each element of A.

ADJ(A) A = det(A) I
If det(A) != 0, then A-1 = ADJ(A) / det(A) but this is a numerically and computationally poor way of
calculating the inverse.
ADJ(AT )=ADJ(A) T
ADJ(AH )=ADJ(A) H

Characteristic Equation

The characteristic equation of a matrix A[n#n] is |tI-A| = 0. It is a polynomial equation in t.

The properties of the characteristic equation are described in the section on eigenvalues.

Characteristic Matrix

The characteristic matrix of A[n#n] is (tI-A) and is a function of the scalar t.

The properties of the characteristic matrix are described in the section on eigenvalues.

Characteristic Polynomial

The characteristic polynomial, p(t), of a matrix A[n#n] is p(t) = |tI - A|.

The properties of the characteristic polynomial are described in the section on eigenvalues.

Cofactor

The cofactor of a minor of A:n#n is equal to the product of (i) the determinant of the submatrix consisting of all the
rows and columns that are not in the minor and (ii) -1 raised to the power of the sum of all the row and column indices
that are in the minor.

The cofactor of the element a(i,j) equals -1i+j det(B) where B is the matrix formed by deleting row i and column
j from A.

See Minor, Adjoint

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Compound Matrix

The k th compound matrix of A[m#n] is the m!(k!(m-k)!)-1 #n!(k!(n-k)!)-1 matrix formed from the determinants of all
k#k submatrices of A arranged with the submatrix index sets in lexicographic order. Within this section, we denote this
matrix by Ck(A).

C1 (A) = A
Cn (A[n#n] ) =  det(A)
Ck(AB) = Ck(A)Ck(B)
Ck(aX) = akCk(X)
Ck(I) = I
Ck(AH ) = Ck(A) H
Ck(AT ) = Ck(A) T
Ck(A-1 ) = Ck(A) -1

Condition Number

The condition number of a matrix is its largest singular value divided by its smallest singular value.

If Ax=y and A(x+p)=y+q then ||p||/||x|| <= k ||q||/||y|| where k is the condition number of A. Thus it provides a
sensitivity bound for the solution of a linear equation.
If A[2#2] is hermitian positive definite then its condition number, r, satisfies 4 <= tr(A) 2 /det(A) = (r+1) 2 /r. This
expression is symmetric between r and r -1 and is monotonically increasing for r>1. It therefore provides an easy
way to check on the range of r.

Conjugate Transpose

X=YH is the Hermitian transpose or Conjugate transpose of Y iff x i,j =y j,i C.

See Hermitian Transpose.

Constructibility

The pair of matrices {A[n#n] , C[m#n] } are constructible iff {AH , CH } are controllable.

If {A, C} are observable then they are constructible.

If det(A)!=0 and {A, C} are constructible then they are observable.
If {A, C} are constructible then they are detectable.

Controllability

The pair of matrices {A[n#n] , B[n#m] } are controllable iff any of the following equivalent conditions are true

n 2 n-1

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1. There exists a G [mn#n] such that A = CG where C = [B AB A B ... A B][n#mn] is the controllability matrix.
2. If xT A r B
= 0 for 0<=r<n then = 0. xT A n
T T T
3. If x B = 0 and x A = kx then either k=0 or else x = 0.

If {A, B} are reachable then they are controllable.

If det(A)!=0 and {A, B} are controllable then they are reachable.
If {A, B} are controllable then they are stabilizable.
{DIAG(a), b} are controllable iff all non-zero elements of a are distinct and all the corresponding elements of b
are non-zero.

Definiteness

A Hermitian square matrix A is

positive definite if xH Ax > 0 for all non-zero x.

positive semi-definite or non-negative definite if xH Ax >=0 for all non-zero x.
indefinite if xH Ax is > 0 for some x and < 0 for some other x.

This definition only applies to Hermitian and real-symmetric matrices; if A is non-real and non-Hermitian then xH Ax
is complex for some values of x and so the concept of definiteness does not make sense. Some authors also call a real
non-symmetric matrix positive definite if xH Ax > 0 for all non-zero real x; this is true iff its symmetric part is positive
definite (see below).

A (not necessarily symmetric) real matrix A satisfies xH Ax > 0 for all non-zero real x iff its symmetric part
B=(A+AT )/2 is positive definite. Indeed xT Ax= xT Bx for all x.
The following are equivalent
A is Hermitian and +ve semidefinite
A=BH B for some B (not necessarily square)
A=C2 for some Hermitian C.
DH AD is  Hermitian and +ve semidefinite for any D
If A is +ve definite then A-1 exists and is +ve definite.
If A is +ve semidefinite, then for any integer k>0 there exists a unique +ve semidefinite B with A=Bk. This B
also satisifes:
AB=BA
B=p(A) for some polynomial p()
rank(B) = rank(A)
if A is real then so is B.
A is +ve definite iff all its eigenvalues are > 0.
If A is +ve definite then det(A) > 0 and tr(A) > 0.
A Hermitian matrix A[2#2] is +ve definite iff det(A) >0 and tr(A) > 0.
The columns of B[m#n] are linearly independent iff BH B is +ve definite.
If S is +ve semidefinite, then |aH Sb| 2 <= aH Sa×bH Sb for any a, b  [3.6]
|s i,j | <= sqrt(s i,i s j,j ) [3.6]
If B is +ve definite and A is +ve semidefinite then:
B-1 A is diagonalizable and has non-negative eigenvalues [3.7]
tr(B-1 A) = 0 iff A=0

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Detectability

The pair of matrices {A[n#n] , C[m#n] } are detectable iff {AH , CH } are stabilizable.

If {A, C} are observable or constructible then they are detectable..

Determinant

For an n#n matrix A, det(A) is a scalar number defined by det(A)=sgn(PERM(n))'*prod(A(1:n,PERM(n)))

This is the sum of n! terms each involving the product of n matrix elements of which exactly one comes from each
row and each column. Each term is multiplied by the signature (+1 or -1) of the column-order permutation . See the
notation section for definitions of sgn(), prod() and PERM().

The determinant is important because INV(A) exists iff det(A) != 0.

Geometric Interpretation

The determinant of a matrix equals the +area of the +parallelogram that has the matrix columns as n of its sides. If a
vector space is transformed by multiplying by a matrix A, then all +areas will be multiplied by det(A).

Properties of Determinants

det(AT ) = det(A)
det(AH ) = conj(det(A))
det(cA) = c n det(A)
det(Ak) = (det(A))k , k must be positive if det(A)=0.
Interchanging any pair of columns of a matrix multiplies its determinant by -1(likewise rows).
Multiplying any column of a matrix by c multiplies its determinant by c (likewise rows).
Adding any multiple of one column onto another column leaves the determinant unaltered (likewise rows).
det(A) != 0 iff INV(A) exists.
[A,B:n#m ; m>=n]: If Q = CHOOSE(m,n). and d(k) = det(A(:,Q(k,:)) det(B(:,Q(k,:)) for k=1:rows(Q) then
det(AB T ) = sum(d). This is the Binet-Cauchy theorem.
Suppose that for some r, P = CHOOSE(n,r) and Q = CHOOSE(n,n-r) with the rows of Q ordered so that
P(k,:) and Q(k,:) have no elements in common. If we define D(m,k) = (-1)sum([P(m,:) P(k,:)])
det(A(P(m,:)T ,P(k,:)) det(A(Q(m,:)T ,Q(k,:)) for m,k=1:rows(P) then det(A) = sum(D(m,:)) = sum(D(:,k)) for
any k or m. This is the Laplace expansion theorem.
If we set k=r=1 then P(m,:)=[m] and we obtain the familiar expansion by the first column:
d(m)=(-1) m+1 A(m,1) det(A([1:m-1 m+1:n] T ,2:n)) and det(A)=sum(d).
det(A) = 0 iff the columns of A are linearly dependent (likewise rows).
det(A) = 0 if two columns are identical (likewise rows).
det(A) = 0 if any column consists entirely of zeros (likewise rows).
[A:3#3]: If A = [a b c] then det(A) =  det([a b c]) = aT SKEW(b) c = bT SKEW(c) a = c T SKEW(a) b

Determinants of simple matrices

det([a b; c d]) = ad - bc
det([a b c]) = a1 b2 c 3 – a1 b3 c 2 – a2 b1 c 3 + a2 c 1 b3 + a3 b1 c 2 – a3 c 1 b2
The determinant of a diagonal or triangular matrix is the product of its diagonal elements.

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The determinant of a unitary matrix has an absolute value of 1.

The determinant of an orthogonal matrix is ±1.
The determinant of a permutation matrix equals the signature of the column permutation.

Determinants of sums and products

[A,B:n#n ]:det(AB) = det(A) det(B)

[A,B:m#n ]:det(I + A T B) = det(I + AB T ) = det(I + BT A) = det(I + BA T )   [3.2]
[A:n#n ]:det(A+xy T ) = (1+yT A-1 x) det(A)    [3.4]
det(I+xy T ) = 1+yT x = 1+xT y   [3.3]
det(kI+xy T ) = k n +k n-1 yT x = k n +k n-1 xT y

Determinants of block matrices

In this section we have A[m#m] , B[m#n] , C[n#m] and D[n#n] .

det([A, B; C, D]) = det([D, C; B, A]) = det(A)*det(D-CA-1 B) = det(D)*det(A-BD -1 C)   [3.1]

det([a, bT ; c, D]) = (a - bT D-1 c)det(D)
det([I, B; C, I]) = det(I [m#m] -BC) = det(I [n#n] -CB)
det([A, B; 0, D]) = det([A, 0; C, D]) = det(A) det(D)
det([a, bT ; 0, D]) = det([a, 0; c, D]) = a det(D)
For the special case when m=n (i.e. A, B, C, D all n#n):
det([A, B; C, 0]) = -det(BC T )
[AB=BA]: det([A, B; C, D]) = det(DA-CB)
[AC=CA]: det([A, B; C, D]) = det(AD-CB)
[BD=DB]: det([A, B; C, D]) = det(DA-BC)
[CD=DC]: det([A, B; C, D]) = det(AD-BC)

See also Grammian, Schur Complement

Displacement Rank

The displacement rank of X[m#n] is given by dis_rank(X) =  rank(X - ZXZ T ) where the Z are shift matrices of size
m#m and n#n respectively.

dis_rank(X+Y) <= dis_rank(X) + dis_rank(Y)

dis_rank(XY) <= dis_rank(X) + dis_rank(Y)
dis_rank(X-1 )=dis_rank(JXJ) where J is the exchange matrix.
[X: Toeplitz] dis_rank(X) = 2 unless X is upper or lower triangular in which case dis_rank(X)=1 unless X = 0 ,
in which case dis_rank(X)=0.
[X[n#n] : Toeplitz] If a = X1,1 and b = X2 1,1 , then the characteristic polynomial of X - ZXZT is (t 2 - at +
a2 -b) t n-2

Eigenvalues

The eigenvalues of A are the roots of its characteristic equation: |tI-A| = 0.

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The properties of the eigenvalues are described in the section on eigenvalues.

Field of Values

The field of values of a square matrix A is the set of complex numbers xH Ax for all x with ||x||=1.

The field of values is a closed convex set.

The field of values contains the convex hull of the eigenvalues of A.
If A is normal then the field of values equals the convex hull of its eigenvalues.
[n<5] A[n#n] is normal iff its field of values is the convex hull of its eigenvalues.
A is hermitian iff its field of values is a real interval.
If A and B are unitarily similar, they have the same field of values.

Generalized Inverse

A generalized inverse of X:m#n is any matrix, X# :n#m satisfying XX # X=X. Note that if X is singular or non-square,
then X# is not unique. This is also called a weak generalized inverse to distinguish it from the pseudoinverse.

If X is square and non-singular, X# is unique and equal to X-1 .

(X# ) H is a generalized inverse of XH .
[k!=0] X# /k is a generalized inverse of kX.
[A,B non-singular] B-1 X# A-1 is a generalized inverse of AXB
rank(X# ) >= rank(X).
rank(X)=rank(X# ) iff X is also the generalized inverse of X# ( i.e. X# XX # =X# .).
XX # and X# X are idempotent and have the same rank as X.
I-XX # and I-X# X are also idempotent.
If Ax-b has any solutions, then x=A# b is a solution.
If AA # is hermitian, a value of x that minimizes ||Ax-b|| is given by x=A# b. With this value of x, the error Ax-b
is orthogonal to the columns of A. If we define the projection matrix P=AA # , then Ax=Pb and Ax-b=-(I-P)b.
If X:m#n has rank r, we can find A:n#n-r, B:n#r and C:m#m-r whose columns form bases for the null space of
X, the range of X+ X and the null space of XH respectively.
 
The set of generalized inverses of X is precisely given by X# =X+ +AY+BZCH for arbitrary Y:n-r#m and
Z:r#m-r where X + is the pseudoinverse.
For a given choice of A, B and C, each X# corresponds to a unique Y and Z.
XX # is hermitian iff Z=0.
If X:m#n has rank r, we can find A:n#n-r, F:n#r and C:m#m-r whose columns form bases for the null space of
X, the range of X+ and the null space of XH respectively. We can also find G:m#r such that X+ =FG H .
 
The set of generalized inverses X# of X, for which X is also the generalised inverse of X # is precisely
given by X# =(F+AV)(G+CW) H for arbitrary V:n-r#r and W:m-r#r.
For a given choice of A, C, F and G each X# corresponds to a unique V and W.

See also: Pseudoinverse

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Gram Matrix

The gram matrix of X, GRAM(X), is the matrix XH X.

GRAM(X) is positive semi-definite hermitian.

det(GRAM(X)) = 0 iff a principal minor of GRAM(X) is zero.
rank(GRAM(X)) = rank(X)
trace(GRAM(X)) = ||X||F, the Frobenius matrix norm.
y is an eigenvector of XH X iff Xy is an eigenvector of XX H . The corresponding eigenvalue is the same in both
cases.

If X is m#n, the elements of GRAM(X) are the n2 possible inner products between pairs of its columns. We can form
such a matrix from n vectors in any vector space having an inner product.

See also: Grammian

Grammian

The grammain of a matrix X, gram(X), equals det(GRAM(X)) = det(XH X).

gram(X) is real and >= 0.

gram(X) > 0 iff the columns of X are linearly independent, i.e. iff Xy = 0 implies y = 0
[Xm#n ]: gram(X)=0 if m<n.
gram(X) = 0 iff a principal minor of GRAM(X) is zero.
[Xn#n ]: gram(X) = gram(XH ) = |det(X)|2
gram(x) = xH x
gram([X Y]) = gram([Y X]) = gram(X)*det(YH Y-YH X(XH X) -1 XH Y) = gram(X)*det(YH (I-X(XH X) -1 XH )Y)
gram([X y]) = gram([y X]) = gram(X)*yH y-yH X(XH X) -1 XH y = gram(X)*yH (I-X(XH X) -1 XH )y
gram([X y]) = gram(X) ||XX # y - y|| 2 where X# is the generalized inverse so that ||XX # y - y|| equals the distance
between y and its orthogonal projection onto the space spanned by the columns of X.
gram([X Y]) <= gram(X) gram(Y); this is the generalised Hadamard inequality.
gram([X Y]) = gram(X) gram(Y) iff either XH Y = 0 or gram(X) gram(Y) = 0
If X = [x1 x2 ... xn ] then gram(X) <= prod(||xi|| 2 ) = prod(diag(XH X))
[Xn#n ]: |det(X)|2 <= prod(||xi|| 2 ) = prod(diag(XH X)); this is the Hadamard inequality.

Geometric Interpretation

The grammian of Xm#n is the squared "volume" of the n-dimensional parallelepiped spanned by the columns of X.

See also: Gram Matrix

Hermitian Transpose or Conjugate Transpose

X=YH is the Hermitian transpose or Conjugate transpose of Y iff x(i,j)=conj(y(j,i)).

Inertia

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The inertia of an m#m square matrix is the triple (p,n,z) where p+n+z=m and p, n and z are respectively the number of
eigenvalues, counting multiplicities, with positive, negative and zero real parts.

Inverse

B is a left inverse of A if BA=I. B is a right inverse of A if AB=I.

If BA=AB=I then B is the inverse of A and we write B=A -1 .

[A:n#n] AB=I iff BA=I, hence inverse, left inverse and right inverse are all equivalent for square matrices.
[A,B:n#n] (AB) -1 =B-1 A-1
[A:m#n] A has a left inverse iff rank(A)=n and a right inverse iff  rank(A)=m.
[A:n#m, B:m#n] AB=I implies that n<=m and that rank(A)=rank(B)=n.

Inverse of Block Matrices

[A, B; C, D]-1 = [Q-1 , -Q -1 BD -1 ; -D-1 CQ-1 , D-1 (I+CQ-1 BD -1 )] where Q =(A-BD -1 C) is the Schur
Complement of D   [3.5]
= [A-1 (I+BP -1 CA -1 ), -A-1 BP -1 ; -P-1 CA -1 , P-1 ] where  P =(D-CA -1 B) is the Schur Complement of A    [3.5]
=[ I, -A-1 B; -D-1 C, I] DIAG((A-BD -1 C) -1 , (D-CA -1 B) -1 )
=DIAG((A-BD -1 C) -1 , (D-CA -1 B) -1 ) [ I, -BD -1 ; -CA-1 , I]
=DIAG(A-1 , 0) + [-A-1 B; I] (D-CA -1 B) -1 [-CA -1 , I]
=DIAG(0, D-1 ) + [I; -D-1 C] (A-BD -1 C) -1 [I, -BD -1 ]
[A, 0; C, D]-1 = [A-1 , 0; -D-1 CA -1 , D-1 ]
=[ I, 0; -D-1 C, I] DIAG(A-1 , D-1 )
=DIAG(A-1 , D-1 ) [ I, 0; -CA -1 , I]
[A, B; C, 0] -1 =  DIAG(A-1 , 0) - [-A-1 B; I] (CA -1 B) -1 [-CA -1 , I]

[A, b; c T , d] -1 = [Q-1 , -d-1 Q -1 b; -d-1 c T Q -1 , d-1 (1+d-1 c T Q -1 b)] where Q =(A-d-1 bcT ),
= [A-1 (I+p-1 bc T A-1 ), -p-1 A-1 b; -p-1 c T A-1 , p-1 ]  where  p =(d-c T A-1 b)
=[ I, -A-1 b; -d-1 c T , 1] DIAG((A-d-1 bcT ) -1 , (d-c T A-1 b) -1 )
=DIAG((A-d-1 bcT ) -1 , (d-c T A-1 b) -1 ) [ I, -bd-1 ; -c T A-1 , 1]
=DIAG(A-1 , 0) + (d-c T A-1 b) -1 [A-1 b; -1] [c T A-1 , -1]
=DIAG(0, d-1 ) + [I; -d-1 c T ] (A-d-1 bcT ) -1 [I, -d-1 b]
[A, 0; c T , d] -1 = [A-1 , 0; -d-1 c T A-1 , d-1 ]
=[ I, 0; -d-1 c T , 1] DIAG(A-1 , d-1 )
=DIAG(A-1 , d-1 ) [ I, 0; -c T A-1 , 1]
[A, b; c T , 0] -1 = DIAG(A-1 , 0) - (c T A-1 b) -1 [A-1 b; -1] [c T A-1 , -1]

See also: Generalized Inverse, Pseudoinverse, Inversion Lemma

Kernel

The kernel (or null space) of A is the subspace of vectors x for which Ax = 0. The dimension of this subspace is the
nullity of A.

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The kernel of A is the orthogonal complement of the range of AH

Linear Independence

The columns of A are linearly independent iff the only solution to Ax=0 is x=0.

rank(A[m#n] ) = n iff its columns are linearly independent.    [1.5]

If the columns of A[m#n] are linearly independent then m >= n     [1.3, 1.5]
If A has linearly independent columns and A=F[m#r] G [r#n] then r>=n.   [1.1]

Matrix Norms

A matrix norm is a real-valued function of a square matrix satisfying the four axioms listed below. A generalized
matrix norm satisfies only the first three.

1. Positive: ||X||=0 iff X=0 else ||X||>0

2. Homogeneous: ||cX||=|c| ||X|| for any real or complex scalar c
3. Triangle Inequality: ||X+Y||<=||X||+||Y||
4. Submultiplicative: ||XY||<=||X|| ||Y||

Induced Matrix Norm

If ||y|| is a vector norm, then we define the induced matrix norm to be ||X||=max(||Xy|| for ||y||=1)

Euclidean or Frobenius Norm

The Euclidean or Frobenius norm of a matrix A equals sqrt(sum(ABS(A). 2 )) and is written ||A|| F. It is always a real
number.

||A|| F = ||AT || F = ||AH || F

||A|| F2 = tr(AH A) = sum(CONJ(A).*A)
[Q: orthogonal]: ||A|| F = ||QA|| F = ||AQ|| F

p-Norms

||A|| p = max(||Ax|| p ) where the max() is taken over all x with ||x|| p = 1 where ||x|| p denotes the vector p-norm for p>=1.

||AB|| p <= ||A|| p ||B|| p

||Ax|| p <= ||A|| p ||x|| p
[A:m#n]: ||A|| 2 <= ||A|| F <= sqrt(n) ||A|| 2
[A:m#n]: max(ABS(A)) <= ||A|| 2 <= sqrt(mn) max(ABS(A))
||A|| 2 <= sqrt(||A|| 1 ||A|| inf )
||A|| 1 = max(sum(ABS(AT )))
||A|| inf = max(sum(ABS(A)))
[A:m#n]: ||A|| inf <= sqrt(n) ||A|| 2 <= sqrt(mn) ||A|| inf
[A:m#n]: ||A|| <= sqrt(m) ||A|| <= sqrt(mn) ||A||

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1 2 1
[Q: orthogonal]: ||A|| 2 = ||QA|| 2 = ||AQ|| 2

Minor

A kth-order minor of A is the determinant of a k#k submatrix of A.

A principal minor is the determinant of a submatrix whose diagonal elements lie on the principal diagonal of A.

Null Space

The null space (or kernel) of A is the subspace of vectors x for which Ax = 0.

The null space of A is the orthogonal complement of the range of AH

The dimension of the null space of A is the nullity of A.

Nullity

The nullity of a matrix A is the dimension of the null space of A.

The nullity of A is the geometric multiplicity of the eigenvalue 0.

Observability

The pair of matrices {A[n#n] , C[m#n] } are observable iff {AH , CH } are reachable.

If {A, C} are observable then they are constructible and detectable.

If det(A)!=0 and {A, C} are constructible then they are observable.

Permanent

For an n#n matrix A, pet(A) is a scalar number defined by pet(A)=sum(prod(A(1:n,PERM(n))))

This is the same as the determinant except that the individual terms within the sum are not multiplied by the signatures
of the column permutations.

Properties of Permanents

pet(A.') = pet(A)
pet(A') = conj(pet(A))
pet(cA) = c n pet(A)
[P: permutation matrix]: pet(PA) = pet(AP) = pet(A)
[D: diagonal matrix]: pet(DA) = pet(AD) = pet(A) pet(D) = pet(A) prod(diag(D))

Permanents of simple matrices

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pet([a b; c d]) = ad + bc
The permanent of a diagonal or triangular matrix is the product of its diagonal elements.
The permanent of a permutation matrix equals 1.

Potency

The potency of a non-negative matrix A is the smallest n>0 such that diag(An ) > 0 i.e. all diagonal elements of An are
strictly positive. If no such n exists then A is impotent.

Pseudoinverse

The pseudoinverse (also called the Natural Inverse or Moore-Penrose Pseudoinverse) of Xm#n is the unique [1.19]
n#m matrix X+ that satisfies:

1. XX + X=X    (i.e. X+ is a generalized inverse of X).

2. X+ XX + =X+     (i.e. X is a generalized inverse of X+ ).
3. (XX + ) H =XX +
4. (X+ X) H =X+ X

If X is square and non-singular then X+ =X-1 .

If X=UDVH is the singular value decomposition of X, then X+ =VD + UH where D+ is formed by inverting all the
non-zero elements of DT .
If D is a (not necessarily square) diagonal matrix, then D+ is formed by inverting all the non-zero elements
of DT .
The pseudoinverse of X is the generalized inverse having the lowest Frobenius norm.
If X is real then so is X+ .
(X+ ) + =X
(XT ) + =(X+ ) T
(XH ) + =(X+ ) H
(cX) + =c -1 X+ for any real or complex scalar c.
X+ =XH (XX H ) + =(XH X) + XH .
If  Xm#n =  Fm#r G r#n has rank r then X+ = G + F+ = G H (FH XGH ) -1 FH .
If  Xm#n has rank n (i.e. the columns are linearly independent) then X + =(XH X) -1 XH and X+ X=I.
If  Xm#n has rank m (i.e. the rows are linearly independent) then X+ =XH (XX H ) -1 and XX + =I.
If  X has orthonormal rows or orthonormal columns then  X+ = XH .
 XX + is a projection onto the column space of X.

See also: Inverse, Generalized Inverse

Rank

The rank of an m#n matrix A is the smallest r for which there exist F[m#r] and G [r#n] such that A=FG. Such a
decomposition is a full-rank decomposition. As a special case, the rank of 0 is 0.

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A=F[m#r] G [r#n] implies that rank(A) <= r .

rank(A)=1 iff A = xyT for some x and y.
rank(A[m#n] ) <= min(m,n).    [1.3]
rank(A[m#n] ) = n iff its columns are linearly independent.     [1.5]
rank(A) = rank(AT ) = rank(AH )
rank(A) = maximum number of linearly independent columns (or rows) of A.
rank(A) is the dimension of the range of A.
rank(A[n#n] ) + nullity(A[n#n] ) = n
rank(A[n#n] )  = n - 1 if 0 is an eigenvalue of A with algebraic multiplicity 1.
det(A[n#n] )=0 iff rank(A[n#n] )<n.
rank(A + B) <= rank(A) + rank(B)
rank([A B]) = rank(A) + rank(B - AA # B) where A# is a generalized inverse of A.
rank([A; C]) = rank(A) + rank(C - CA # A)
rank([A B; C 0]) = rank(B) + rank(C) + rank((I - BB # )A(I - CC # ))
rank(AA H ) = rank(AH A) = rank(A) [see grammian]
rank(AB) + rank(BC) <= rank(B) + rank(ABC)
rank(A[m#n] ) + rank(B) - n <= rank(AB) <= min(rank(A), rank(B))
[X: non-singular]: rank(XA) = rank(AX) = rank(A)
rank(KRON(A,B)) = rank(A)rank(B)
rank(DIAG(A,B,...,Z)) = sum(rank(A), rank(B), ..., rank(Z))

Range

The range (or image) of A is the subspace of vectors that equal Ax for some x. The dimension of this subspace is the
rank of A.

[A:m#n] The range of A is the orthogonal complement of the null space of AH .

Reachability

The pair of matrices {A[n#n] , B[n#m] } are reachable iff any of the following equivalent conditions are true

1. rank(C)=n where C = [B AB A2 B ... An-1 B][n#mn] is the controllability matrix.

2. If xH Ar B = 0 for 0<=r<n then x = 0.
3. If xH B = 0 and xH A = kxH then x = 0.
4. For any v, it is possible to choose L[n#m] such that eig(A+BL H )=v.

If {A, B} are reachable then they are controllable and stabilizable.

If det(A)!=0 and {A, B} are controllable then they are reachable.
{DIAG(a), b} are reachable iff all elements of a are distinct and all elements of b are non-zero.

Schur Complement

Given a block matrix  M = [A[m#m] , B; C, D[n#n] ], then P[n#n] =D-CA -1 B and Q [m#m] =A-BD -1 C are respectively the
Schur Complements  of A and D in M.

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det([A, B; C, D]) = det([D, C; B, A]) = det(A)*det(P) = det(Q)*det(D)   [3.1]

[A, B; C, D]-1 = [Q-1 , -Q -1 BD -1 ; -D-1 CQ-1 , D-1 (I+CQ-1 BD -1 )]= [A-1 (I+BP -1 CA -1 ), -A-1 BP -1 ; -P-1 CA -1 , P-
1 ]    [3.5]

Spectral Radius

The spectral radius, rho(A), of A[n#n] is the maximum modulus of any of its eigenvalues.

rho(A) <= ||A|| where ||A|| is any matrix norm.

For any a>0, there exists a matrix norm such that ||A|| - a <= rho(A) <= ||A||.
If ABS(A)<=B then rho(A)<=rho(ABS(A))<=rho(B)
[A,B: real] If B>=A>=0 then rho(B)>=rho(A)
[A: real] If A>=0 then rho(A)>=aij for all i,j
[A,B: Hermitian] abs(eig(A+B)-eig(A))<=rho(B) where eig(A) contains the eigenvalues of A sorted into
ascending order. This shows that perturbing a hermitian matrix slightly doesn't have too big an effect on its
eigenvalues.

Spectrum

The spectrum of A[n#n] is the set of all its eigenvalues.

Stabilizability

The pair of matrices {A[n#n] , B[n#m] } are stabilizable iff either of the following equivalent conditions are true

1. If xT B = 0 and xT A = kxT then either |k|< 1 or else x = 0.

2. It is possible to choose L[n#m] such that all elements of eig(A+BL H ) have absolute value < 1.

If {A, B} are reachable or controllable then they are stabilizable.

{DIAG(a), b} are stabilizable iff all elements of a with modulus >=1 are distinct and all the corresponding
elements of b are non-zero.

Submatrix

A submatrix of A is a matrix formed by the elements a(i,j) where i ranges over a subset of the rows and j ranges over a
subset of the columns.

Trace

The trace of a square matrix is the sum of its diagonal elements: tr(A)=sum(diag(A))

In the formulae below, we assume that matrix dimensions ensure that the argument of tr() is square.

tr(aA) = a * tr(A)
tr(AT ) = tr(A)

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tr(A+B) = tr(A) + tr(B)

tr(AB) = tr(BA) [1.17]
tr((AB) k) =tr((BA) k)
aT b = tr(abT )
aT Xb = tr(Xba T )
tr(abH ) = conj(aH b)
tr(ABCD) = tr(BCDA) = tr(CDAB) = tr(DABC)
Similar matrices have the same trace: tr(X-1 AX) = tr(A)
tr(AT B) = sum(A: • B:) = A:T B:
tr(AH B) = sum(AC: • B:) = A:H B:
tr(AH A) = ||A|| F2 where ||A|| F is the Frobenius matix norm.
tr([A B] T [C D]) = tr(AT C) + tr(BT D) [1.18]
tr([A b] T [C d]) = tr(AT C) + bT d
tr([A B] T X[C D]) = tr(AT XC) + tr(BT XD)
tr([A b] T X[C d]) = tr(AT XC) + bT Xd
tr(A ¤ B) = [A,B: n#n] tr(A) tr(B) where ¤ denotes the Kroneker product.
If D is diagonal then tr(XDXT ) = sumi(di × xiT xi) and tr(XDXH ) = sumi(di × xiH xi) = sumi(di × |xi| 2 ) [1.16]

Transpose

X=YT is the transpose of Y iff x(i,j)=y(j,i).

Vectorization

The vector formed by concatenating all the columns of X is written vec(X) or, in this website, X:. If y = X[m#n] :  then
y i+m(j-1) = x i,j .

a ¤ b=(baT ): where ¤ denotes the Kroneker product.

sum((A • B):) = tr(AT B) = sum(A: • B:) = A:T B:  = (AT :) T BT : where A • B denotes the Hadamard or
elementwise product.
tr(AH B) = sum(AC: • B:) = A:H B:
(ABC): = (CT ¤ A) B:
(AB): = (I ¤ A) B: = (BT ¤ I) A:= (BT ¤ A) I:
(AbcT ): = (c ¤ A) b = c ¤ Ab
ABc = (c T ¤ A) B:
aT Bc = (c ¤ a) T B: = (c T ¤ aT ) B: = B:T (a ¤ c)
abH ¤ cdH = (a ¤ c)(b ¤ d) H = (ca T ):(dbT ): H
aH bcH d = aH b ¤ c H d = (a ¤ c) H (b ¤ d) = (ca T ): H (dbT ):
(ABC): T =  B:T (C ¤ AT )
(AB): T = B:T (I ¤ AT )  = A:T (B ¤ I) = I:T (B ¤ AT )
(AbcT ): T =  bT (c T ¤ AT ) = c T ¤ bT AT
aT BT C = B:T (a ¤ C)
If Y=AXB+CXD+... then X: = (BT ¤ A + DT ¤ C+...) -1 Y: however this is a slow and often ill-conditioned way
of solving such equations.

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(A[m#n] T ): = TVEC(m,n) (A:) [see vectorized transpose]

Vector Norms

A vector norm is a real-valued function of a vector satisfying the three axioms listed below.

1. Positive: ||x||=0 iff x=0 else ||x||>0

2. Homogeneous: ||cx||=|c| ||x|| for any real or complex scalar c
3. Triangle Inequality: ||x+x||<=||x||+||x||

Inner Product Norm

If <x, y> is an inner product then ||x|| = sqrt(<x, x>) is a vector norm.

A vector norm may be derived from an inner product iff it satisfies the parallelogram identity:
||x+y|| 2 +||x-y|| 2 =2||x|| 2 +2||y|| 2
If ||x|| is derived from <x, y> then 4Re(<x, y>) = ||x+y|| 2 -||x-y|| 2 = 2||x+y|| 2 -||x|| 2 -||y|| 2

Euclidean Norm

The Euclidean norm of a vector x equals the square root of the sum of the squares of the absolute values of all its
elements and is written ||x||. It is always a real number and corresponds to the normal notion of the vector's length.

||x|| 2 = xH x = tr(xxH )
Cauchy-Schwartz inequality: |xH y| <= ||x|| ||y||
[Q: orthogonal]: ||Qx|| = ||x||

Holder Norms or p-Norms

The p-norm of a vector x is defined by ||x|| p = sum(abs(x).^p)^(1/p) for p>=1. The most common values of p are 1, 2
and infinity.

City-Block Norm: ||x|| 1 = sum(abs(x))

Euclidean Norm: ||x|| = ||x|| 2 = sqrt(x'x)
Infinity Norm: ||x|| inf = max(abs(x))
Hölder inequality: |x'y| <= ||x|| p ||y|| q where 1/p + 1/q = 1
||x|| inf <= ||x|| 2 <= ||x|| 1 <= sqrt(n) ||x|| 2 <= n ||x|| inf

This page is part of The Matrix Reference Manual. Copyright © 1998-2005 Mike Brookes, Imperial College, London,
UK. See the file gfl.html for copying instructions. Please send any comments or suggestions to "mike.brookes" at
"imperial.ac.uk".
Updated: $Id: property.html,v 1.35 2009/03/03 16:54:53 dmb Exp $

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