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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
Statement
Let be a linear map between finite-dimensional inner product spaces and let . A vector minimises if and only if
equivalently . Minimisers exist, and if is one minimiser, then the full set of minimisers is .
Facts & Assumptions
Given: A finite-dimensional map and .
Orthogonal projection onto a finite-dimensional subspace is its unique nearest point (The orthogonal projection is the unique nearest point in the subspace).
The adjoint is defined by (The adjoint is characterised by ).
The identity holds in finite dimension ( and in finite dimension).
Proof
The subspace has the unique nearest point to by [L1]. Choose with . Thus a minimiser exists.
A vector is a minimiser exactly when , which by orthogonal projection is exactly when . By [L3], this is exactly .
Linearity turns the last equation into , equivalently .
If and are minimisers, uniqueness of the nearest image point gives , so . Conversely, adding any element of leaves the image and residual unchanged. Hence the minimisers are exactly .
Depends on
Used by
- The MINRES iterate from the Lanczos tridiagonal least-squares problem Definition
- Arnoldi reduces GMRES to a least-squares problem for the small Hessenberg matrix 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
- For every right-hand side b, A^+b is the unique least-squares solution of minimum Euclidean norm Theorem
- For full-column-rank A, the normal equations square the spectral condition number Theorem
- Reduced QR over the reals solves full-column-rank least squares without squaring the condition number Theorem
- The Frobenius least-squares objective has gradient A^*(Ax-b) and Hessian A^*A in the vector variable Theorem
Dependency tree · two levels
10 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
- Sergei Treil, Linear Algebra Done Wrong, §5.4.1 (standard reference, not scraped)