Wednesday, December 8, 2021

A simple matrix inverse problem

inverse of a matrix

Closed form inverse of I−σuuTI-\sigma uu^T for σ≠1\sigma \neq 1.

We are interested in the matrix A=I−σuuTA = I - \sigma uu^T where u∈Rnu\in \mathbb R^n such that ∣∣u∣∣=1||u||=1.

From an answer of this post, we can easily see that A=diag(1−σ,1,...,1)A=\text{diag} ( 1-\sigma, 1, ..., 1) in the basis {v1=u,v2,...,vn}\{ v_1=u, v_2,..., v_n\}.

We thus can easily see that if σ≠1\sigma \neq 1, then AA is invertible. An interesting question is that

What is the closed form inverse of AA?

This question is not very complicated and not simple since the construction of v2,...,vnv_2, ..., v_n is not obvious.

So this note is to provide a closed form inverse of AA, which is
A−1=I+σ1−σ∣∣u∣∣2uuT.A^{-1} = I + \frac{\sigma}{1-\sigma ||u||^2} uu^T.

We can easily check that A.A−1=IA.A^{-1} = I. But the interesting point is that how do we construct such formula for A−1A^{-1}. The trick is as follows.

First, let
y=Ax=x−σ⟨u,x⟩u.y = Ax = x - \sigma \langle u, x\rangle u.
Now, if we can recover xx form yy, we will get the inverse of AA.
Consider
⟨u,y⟩=⟨u,x⟩−σ⟨u,x⟩∣∣u∣∣2.\langle u, y \rangle= \langle u, x \rangle - \sigma \langle u, x\rangle ||u||^2.
Now we get
⟨u,x⟩=⟨u,y⟩1−σ∣∣u∣∣2.\langle u, x\rangle= \frac{\langle u, y\rangle}{1- \sigma ||u||^2}.
Substitute this expression to the first expression of yy, we have
y=x−σ1−σ∣∣u∣∣2uuTyy = x - \frac{\sigma}{1-\sigma ||u||^2} uu^T y
or
x=y+σ1−σ∣∣u∣∣2uuTy=A−1y.x = y + \frac{\sigma}{1-\sigma ||u||^2} uu^T y=A^{-1} y.

We are done.

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