You are currently browsing the tag archive for the ‘Schur complement’ tag.

The determinant {\det(A)} of a square matrix {A} obeys a large number of important identities, the most basic of which is the multiplicativity property

\displaystyle  \det(AB) = \det(A) \det(B) \ \ \ \ \ (1)

whenever {A,B} are square matrices of the same dimension. This identity then generates many other important identities. For instance, if {A} is an {n \times m} matrix and {B} is an {m \times n} matrix, then by applying the previous identity to equate the determinants of {\begin{pmatrix} 1 & -A \\ B & 1 \end{pmatrix} \begin{pmatrix} 1 & A \\ 0 & 1 \end{pmatrix}} and {\begin{pmatrix} 1 & A \\ 0 & 1 \end{pmatrix} \begin{pmatrix} 1 & -A \\ B & 1 \end{pmatrix}} (where we will adopt the convention that {1} denotes an identity matrix of whatever dimension is needed to make sense of the expressions being computed, and similarly for {0}) we obtain the Sylvester determinant identity

\displaystyle  \det( 1 + AB ) = \det( 1 + BA ). \ \ \ \ \ (2)

This identity, which relates an {n \times n} determinant with an {m \times m} determinant, is very useful in random matrix theory (a point emphasised in particular by Deift), particularly in regimes in which {m} is much smaller than {n}.

Another identity generated from (1) arises when trying to compute the determinant of a {(n+m) \times (n+m)} block matrix

\displaystyle  \begin{pmatrix} A & B \\ C & D \end{pmatrix}

where {A} is an {n \times n} matrix, {B} is an {n \times m} matrix, {C} is an {m \times n} matrix, and {D} is an {m \times m} matrix. If {A} is invertible, then we can manipulate this matrix via block Gaussian elimination as

\displaystyle  \begin{pmatrix} A & B \\ C & D \end{pmatrix} = \begin{pmatrix} A & 0 \\ 0 & 1 \end{pmatrix} \begin{pmatrix} 1 & A^{-1} B \\ C & D \end{pmatrix}

\displaystyle  = \begin{pmatrix} A & 0 \\ 0 & 1 \end{pmatrix} \begin{pmatrix} 1 & 0 \\ C & 1 \end{pmatrix} \begin{pmatrix} 1 & A^{-1} B \\ 0 & D - C A^{-1} B \end{pmatrix}

and on taking determinants using (1) we obtain the Schur determinant identity

\displaystyle  \det \begin{pmatrix} A & B \\ C & D \end{pmatrix} = \det(A) \det( D - C A^{-1} B ) \ \ \ \ \ (3)

relating the determinant of a block-diagonal matrix with the determinant of the Schur complement {D-C A^{-1} B} of the upper left block {A}. This identity can be viewed as the correct way to generalise the {2 \times 2} determinant formula

\displaystyle  \det \begin{pmatrix} a & b \\ c & d \end{pmatrix} = ad-bc = a ( d - c a^{-1} b).

It is also possible to use determinant identities to deduce other matrix identities that do not involve the determinant, by the technique of matrix differentiation (or equivalently, matrix linearisation). The key observation is that near the identity, the determinant behaves like the trace, or more precisely one has

\displaystyle  \det( 1 + \epsilon A ) = 1 + \epsilon \hbox{tr}(A) + O(\epsilon^2) \ \ \ \ \ (4)

for any bounded square matrix {A} and infinitesimal {\epsilon}. (If one is uncomfortable with infinitesimals, one can interpret this sort of identity as an asymptotic as {\epsilon\rightarrow 0}.) Combining this with (1) we see that for square matrices {A,B} of the same dimension with {A} invertible and {A^{-1}, B} invertible, one has

\displaystyle  \det( A + \epsilon B ) = \det(A) \det(1 + \epsilon A^{-1} B )

\displaystyle = \det(A) (1 + \epsilon \hbox{tr}( A^{-1} B ) + O(\epsilon^2) )

for infinitesimal {\epsilon}. To put it another way, if {A(t)} is a square matrix that depends in a differentiable fashion on a real parameter {t}, then

\displaystyle  \frac{d}{dt} \det(A(t)) = \det(A(t)) \hbox{tr}( A(t)^{-1} \frac{d}{dt} A(t) )

whenever {A(t)} is invertible. (Note that if one combines this identity with cofactor expansion, one recovers Cramer’s rule.)

Let us see some examples of this differentiation method. If we take the Sylvester identity (2) and multiply one of the rectangular matrices {A} by an infinitesimal {\epsilon}, we obtain

\displaystyle  \det( 1 + \epsilon A B ) = \det( 1 + \epsilon B A);

applying (4) and extracting the linear term in {\epsilon} (or equivalently, differentiating at {\epsilon} and then setting {\epsilon=0}) we conclude the cyclic property of trace:

\displaystyle  \hbox{tr}(AB) = \hbox{tr}(BA).

To manipulate derivatives and inverses, we begin with the Neumann series approximation

\displaystyle  (1 + \epsilon A)^{-1} = 1 - \epsilon A + O(\epsilon^2)

for bounded square {A} and infinitesimal {\epsilon}, which then leads to the more general approximation

\displaystyle  (A + \epsilon B)^{-1} = (1 + \epsilon A^{-1} B)^{-1} A^{-1}

\displaystyle  = A^{-1} - \epsilon A^{-1} B A^{-1} + O(\epsilon^2) \ \ \ \ \ (5)

for square matrices {A,B} of the same dimension with {B, A^{-1}} bounded. To put it another way, we have

\displaystyle  \frac{d}{dt} A(t)^{-1} = -A(t)^{-1} (\frac{d}{dt} A(t)) A(t)^{-1}

whenever {A(t)} depends in a differentiable manner on {t} and {A(t)} is invertible.

We can then differentiate (or linearise) the Schur identity (3) in a number of ways. For instance, if we replace the lower block {D} by {D + \epsilon H} for some test {m \times m} matrix {H}, then by (4), the left-hand side of (3) becomes (assuming the invertibility of the block matrix)

\displaystyle  (\det \begin{pmatrix} A & B \\ C & D \end{pmatrix}) (1 + \epsilon \hbox{tr} \begin{pmatrix} A & B \\ C & D \end{pmatrix}^{-1} \begin{pmatrix} 0 & 0 \\ 0 & H \end{pmatrix} + O(\epsilon^2) )

while the right-hand side becomes

\displaystyle  \det(A) \det(D-CA^{-1}B) (1 + \epsilon \hbox{tr}( (D-CA^{-1}B)^{-1} H ) + O(\epsilon^2) );

extracting the linear term in {\epsilon} (after dividing through by (3)), we conclude that

\displaystyle  \hbox{tr} (\begin{pmatrix} A & B \\ C & D \end{pmatrix}^{-1} \begin{pmatrix} 0 & 0 \\ 0 & H \end{pmatrix}) = \hbox{tr}( (D-CA^{-1}B)^{-1} H ).

As {H} was an arbitrary {m \times m} matrix, we conclude from duality that the lower right {m \times m} block of {\begin{pmatrix} A & B \\ C & D \end{pmatrix}^{-1}} is given by the inverse {(D-CA^{-1}B)^{-1}} of the Schur complement:

\displaystyle  \begin{pmatrix} A & B \\ C & D \end{pmatrix}^{-1} = \begin{pmatrix} ?? & ?? \\ ?? & (D-CA^{-1}B)^{-1} \end{pmatrix}.

One can also compute the other components of this inverse in terms of the Schur complement {D-CA^{-1} B} by a similar method (although the formulae become more complicated). As a variant of this method, we can perturb the block matrix in (3) by an infinitesimal multiple of the identity matrix giving

\displaystyle  \det \begin{pmatrix} A+\epsilon & B \\ C & D+\epsilon \end{pmatrix} = \det(A+\epsilon) \det( D +\epsilon - C (A+\epsilon)^{-1} B ). \ \ \ \ \ (6)

By (4), the left-hand side is

\displaystyle  (\det \begin{pmatrix} A & B \\ C & D \end{pmatrix}) (1 + \epsilon \hbox{tr} \begin{pmatrix} A & B \\ C & D \end{pmatrix}^{-1} + O(\epsilon^2) ).

From (5), we have

\displaystyle  D + \epsilon - C (A+ \epsilon)^{-1} B = D - C A^{-1} B + \epsilon(1 + C A^{-2} B) + O(\epsilon^2)

and so from (4) the right-hand side of (6) is

\displaystyle  \det(A) \det(D-CA^{-1} B) \times

\displaystyle  \times ( 1 + \epsilon (\hbox{tr}(A^{-1}) + \hbox{tr}( (D-CA^{-1} B)^{-1} (1 + C A^{-2} B)) ) + O(\epsilon^2) );

extracting the linear component in {\epsilon}, we conclude the identity

\displaystyle  \hbox{tr} \begin{pmatrix} A & B \\ C & D \end{pmatrix}^{-1} = \hbox{tr}(A^{-1}) + \hbox{tr}( (D-CA^{-1} B)^{-1} (1 + C A^{-2} B)) \ \ \ \ \ (7)

which relates the trace of the inverse of a block matrix, with the trace of the inverse of one of its blocks. This particular identity turns out to be useful in random matrix theory; I hope to elaborate on this in a later post.

As a final example of this method, we can analyse low rank perturbations {A+BC} of a large ({n \times n}) matrix {A}, where {B} is an {n \times m} matrix and {C} is an {m \times n} matrix for some {m<n}. (This type of situation is also common in random matrix theory, for instance it arose in this previous paper of mine on outliers to the circular law.) If {A} is invertible, then from (1) and (2) one has the matrix determinant lemma

\displaystyle  \det( A + BC ) = \det(A) \det( 1 + A^{-1} BC) = \det(A) \det(1 + CA^{-1} B);

if one then perturbs {A} by an infinitesimal matrix {\epsilon H}, we have

\displaystyle  \det( A + BC + \epsilon H ) = \det(A + \epsilon H ) \det(1 + C(A+\epsilon H)^{-1} B).

Extracting the linear component in {\epsilon} as before, one soon arrives at

\displaystyle  \hbox{tr}( (A+BC)^{-1} H ) = \hbox{tr}( A^{-1} H ) - \hbox{tr}( (1 + C A^{-1} B)^{-1} C A^{-1} H A^{-1} B )

assuming that {A} and {A+BC} are both invertible; as {H} is arbitrary, we conclude (after using the cyclic property of trace) the Sherman-Morrison formula

\displaystyle  (A+BC)^{-1} = A^{-1} - A^{-1} B (1 + C A^{-1} B)^{-1} C A^{-1}

for the inverse of a low rank perturbation {A+BC} of a matrix {A}. While this identity can be easily verified by direct algebraic computation, it is somewhat difficult to discover this identity by such algebraic manipulation; thus we see that the “determinant first” approach to matrix identities can make it easier to find appropriate matrix identities (particularly those involving traces and/or inverses), even if the identities one is ultimately interested in do not involve determinants. (As differentiation typically makes an identity lengthier, but also more “linear” or “additive”, the determinant identity tends to be shorter (albeit more nonlinear and more multiplicative) than the differentiated identity, and can thus be slightly easier to derive.)

Exercise 1 Use the “determinant first” approach to derive the Woodbury matrix identity (also known as the binomial inverse theorem)

\displaystyle  (A+BDC)^{-1} = A^{-1} - A^{-1} B (D^{-1} + CA^{-1} B)^{-1} C A^{-1}

where {A} is an {n \times n} matrix, {B} is an {n \times m} matrix, {C} is an {m \times n} matrix, and {D} is an {m \times m} matrix, assuming that {A}, {D} and {A+BDC} are all invertible.

Exercise 2 Let {A,B} be invertible {n \times n} matrices. Establish the identity

\displaystyle  \det(A + B) \det(A - B) = \det(B) \det( AB^{-1} A - B)

and differentiate this in {A} to deduce the identity

\displaystyle  (A+B)^{-1} + (A-B)^{-1} = 2 (A - BA^{-1} B)^{-1}

(assuming that all inverses exist) and hence

\displaystyle  (A+B)^{-1} = (A - BA^{-1} B)^{-1} - (B - AB^{-1} A)^{-1}.

Rotating {B} by {i} then gives

\displaystyle  (A+iB)^{-1} = (A + BA^{-1} B)^{-1} - i (B + AB^{-1} A)^{-1},

which is useful for inverting a matrix {A+iB} that has been split into a self-adjoint component {A} and a skew-adjoint component {iB}.


RSS Google+ feed

  • An error has occurred; the feed is probably down. Try again later.

Get every new post delivered to your Inbox.

Join 4,051 other followers