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Exact column-pivoted QR of a real or complex rank-r matrix has an invertible leading triangular block and zero trailing block
Statement
Let or , let have rank , and let
be an exact column-pivoted QR factorisation in which, at each step, the next column is chosen with maximal residual -norm among the remaining columns. Then
where is upper triangular with nonzero diagonal and hence is invertible.
Facts & Assumptions
Given: A matrix over or , of rank , and an exact column-pivoted QR factorisation built by greedy residual-norm pivot selection.
Column-pivoted QR means a QR factorisation after a column permutation (Full, reduced, and column-pivoted computational QR factorisations).
Successive orthogonal or unitary transformations produce the QR factorisation while zeroing entries below the diagonal (Successive Householder or Givens transformations produce full and reduced QR factorisations with the standard dense operation counts).
A square matrix is invertible exactly when it has a two-sided inverse (Invertible matrices and the general linear group ).
Rank is the dimension of the image, hence also the maximal number of linearly independent columns (Rank and nullity of a linear map with finite-dimensional domain).
Proof
After pivot steps, the first pivoted columns span the same subspace as the first columns of , and the next pivot diagonal entry is the norm of the residual of the chosen column after projection onto that span. Hence exactly when some remaining column still has a nonzero residual, that is, still lies outside the span of the first chosen columns.
For , the chosen columns cannot already span every column of , because then all columns would lie in a -dimensional span and [L4] would give rank at most . Therefore some remaining column has nonzero residual, and by the greedy rule step 1.1 gives . Thus the first diagonal entries of are nonzero.
After pivot columns have been chosen, [L4] says no further independent column exists. Hence every remaining column lies in the span of the first chosen columns, so every remaining residual is zero. Step 1.1 then forces every entry below and on the diagonal in the trailing block to be zero, giving The block is upper triangular with nonzero diagonal by step 2.1, so it is invertible.
Steps 2.1 and 3.1 prove the claim.
Depends on
- Full, reduced, and column-pivoted computational QR factorisations
- Successive Householder or Givens transformations produce full and reduced QR factorisations with the standard dense operation counts
- Invertible matrices and the general linear group $\operatorname{GL}_n(F)$
- Rank and nullity of a linear map with finite-dimensional domain
Used by
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Sources
- David Bindel, CS 4220: Numerical Analysis, Ill-posedness and regularization (standard reference, not scraped)
- Tobin A. Driscoll and Richard J. Braun, Fundamentals of Numerical Computation, Section 3.3 (standard reference, not scraped)