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Every least-squares solution has the form , and the same affine family specializes to exact solutions when
Statement
Let and . A vector is a least-squares solution of if and only if
for some . If , then the same family is exactly the full solution set of .
Facts & Assumptions
Given: A matrix and a right-hand side .
is a least-squares minimiser, and every least-squares minimiser differs from it by an element of (For every right-hand side , is the unique least-squares solution of minimum Euclidean norm, 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 ).
is the orthogonal projection onto ( and are the orthogonal projections onto and ).
Proof
By [L2] and [L3], is the orthogonal projection onto . Therefore is the orthogonal projection onto . In particular, its image is and it vanishes on .
By [L1], every least-squares minimiser has the form with . Since step 1.1 says every equals for some , every least-squares minimiser has the stated form.
Conversely, if , then step 1.1 gives . Hence differs from the least-squares minimiser by a kernel vector, so [L1] implies that is again a least-squares minimiser.
If , then the least-squares residual can be . Thus the least-squares minimisers are exactly the exact solutions of , and steps 2.1-2.1 identify that exact solution set with the same affine family.
Steps 2.1 and 2.2 prove the if-and-only-if description, and step 3.1 gives the consistent specialisation.
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 every right-hand side $b$, $A^+b$ is the unique least-squares solution of minimum Euclidean norm
- 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
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Sources
- Gene H. Golub, Least squares, singular values and matrix approximations (standard reference, not scraped)