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For every right-hand side , is the unique least-squares solution of minimum Euclidean norm
Statement
Let , let , and let . Then is a least-squares solution of , and among all least-squares solutions it is the unique one of minimum Euclidean norm.
Facts & Assumptions
Given: A scalar field , a matrix , and a right-hand side .
is the orthogonal projection onto ( and are the orthogonal projections onto and ).
Least-squares minimisers are exactly the solutions of , and any two minimisers differ by an element of (For a linear map between finite-dimensional inner-product spaces, minimises if and only if , equivalently ; minimisers exist and any two differ by an element of ).
Proof
By [L1], is the orthogonal projection of onto . Therefore the residual lies in by [L4], so and [L3] shows that is a least-squares minimiser.
By [L2] and [L5], . Thus is orthogonal to every vector in .
Let be any least-squares minimiser. By [L3], , so for some . Step 1.2 then gives
Equality in step 2.1 holds only when , so the least-squares minimiser of minimum Euclidean norm is unique and equals .
Step 1.1 proves the least-squares claim and steps 2.1 and 3.1 prove the minimum-norm claim.
Depends on
- The Moore--Penrose pseudoinverse exchanges image and adjoint-image, and exchanges kernel and adjoint-kernel
- $AA^+$ and $A^+A$ are the orthogonal projections onto $\operatorname{im}A$ and $\operatorname{im}A^*$
- For a linear map $T:V\to W$ between finite-dimensional inner-product spaces, $x$ minimises $\lVert Tx-b\rVert$ if and only if $T^*(Tx-b)=0$, equivalently $T^*Tx=T^*b$; minimisers exist and any two differ by an element of $\ker T$
- $\ker T^*=(\operatorname{im}T)^\perp$ and $\operatorname{im}T^*=(\ker T)^\perp$ in finite dimension
Used by
- An overdetermined inconsistent system has a unique minimum-norm least-squares solution given by A^+b Example
- An underdetermined consistent system has infinitely many exact solutions but a unique minimum-norm one Example
- As λ↓0, the Tikhonov minimisers converge to the Moore--Penrose solution A^+b Theorem
- Every least-squares solution has the form A^+b+(I-A^+A)z, and the same affine family specializes to exact solutions when b inimA Theorem
Dependency tree · two levels
14 results within two dependency steps of this one, each drawn at its shortest distance from it. An arrow runs from a result to what uses it, so the chart reads left to right and ends at this result, which carries a heavier outline. Every node is a link to that result. Click elsewhere on the chart to enlarge it.
Sources
- Gene H. Golub, Least squares, singular values and matrix approximations (standard reference, not scraped)
- Stanford CS205L, Unit 11: Zero Singular Values (standard reference, not scraped)