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The Moore--Penrose Pseudoinverse and Regularised Least Squares: Examples and Counterexamples
1 · Prerequisites
- Algebraic Closure, Embeddings, and Separability
- Algebraic Extensions, Extension Degree, and Finite Fields
- Binary Operations, Monoids, Groups and Subgroups
- Compactness in Metric Spaces
- Completeness, Completion, and Uniform Continuity
- Composition Series, the Jordan–Hölder Theorem and Solvable Groups
- Congruences, the Integers Modulo n and the Chinese Remainder Theorem
- Construction of the Natural Numbers
- Construction of the Real Numbers via Cauchy Sequences
- Construction of the Real Numbers via Dedekind Cuts
- Continuity, IVT, EVT, and Uniform Continuity
- Cosets, Index and Lagrange's Theorem
- Countability and Uncountability
- Cyclic Groups and Direct Products
- Determinants of Matrices over a Commutative Ring
- Diagonalisation and the Minimal Polynomial
- Direct Matrix Factorisations: LU, Cholesky and QR
- Divisibility, Euclidean Domains, Principal Ideal Domains and Unique Factorisation
- Divisibility, Greatest Common Divisors and Bézout's Identity
- Dual Spaces, Bilinear and Quadratic Forms, and Sylvester's Law of Inertia
- Eigenvalues, Eigenvectors and the Characteristic Polynomial
- Filters and Ultrafilters
- Finite Counting, Factorials and Binomial Coefficients
- Foundations of the Real Numbers for Analysis
- Gaussian Elimination, Elementary Matrices and Reduced Row Echelon Form
- Group Actions, Orbits, Stabilisers and Cayley's Theorem
- Group Homomorphisms and the Isomorphism Theorems
- Ideals, Quotient Rings and the Isomorphism Theorems for Rings
- Inner Product Spaces, Gram-Schmidt, Projections and Adjoints
- Limits of Real Functions
- Linear Independence, Bases and Dimension
- Linear Transformations, Rank-Nullity and Quotient Spaces
- Matrices, the Matrix of a Linear Map, and Change of Basis
- Matrix Norms, Condition Numbers and Numerical Stability
- Metric Spaces
- Monotone Sequences, Bolzano-Weierstrass, and Cauchy Completeness
- Normal Subgroups and Quotient Groups
- Order, Zorn's Lemma, and the Axiom of Choice
- Polynomial Rings, the Division Algorithm and Roots
- Primes, Euclid's Lemma and the Fundamental Theorem of Arithmetic
- Relations, Functions, and Quotients
- Rings, Subrings, Integral Domains and Fields
- Rⁿ as a Normed Space; Vector-Valued Functions
- Roots, Rational Powers, and Classical Inequalities
- Sequences and Limits
- Simple Field Extensions and the Construction of the Complex Numbers
- Splitting Fields
- Suprema and Infima
- Sylow's Theorems, p-Groups and Nilpotent Groups
- Symmetric Groups, Cycle Decomposition and the Sign Homomorphism
- The Determinant of a Linear Operator, Cofactors and Cramer's Rule
- The Fundamental Theorem of Algebra
- The Fundamental Theorem of Finite Abelian Groups
- The Galois Correspondence
- The Moore--Penrose Pseudoinverse and Regularised Least Squares
- The Spectral Theorem, Positive Operators and Singular Value Decomposition
- The ZFC Axioms and the Basic Set Constructions
- Topology of ℝ
- Triangularisation, Generalised Eigenspaces and Jordan Canonical Form
- Vector Spaces, Linear Subspaces, Span and Direct Sums
2 · Summary
3 · Logical flowchart
4 · Definitions, theorems and proofs
None yet.
5 · Examples, counterexamples and false statements
A diagonal rank-deficient matrix makes , , and completely explicit
Example
Let
Then
So both and are the coordinate projection onto the first axis.
Facts & Assumptions
Given: The displayed diagonal matrix .
Every finite real or complex matrix has a unique Moore--Penrose pseudoinverse (Every finite real or complex matrix has a unique Moore--Penrose pseudoinverse).
and are the orthogonal projections onto and ( and are the orthogonal projections onto and ).
Verification
Because is already diagonal with one nonzero singular value, inverting that entry and leaving the zero entry fixed gives the candidate .
Direct multiplication gives .
The matrix is the orthogonal projection onto the first coordinate axis, which is exactly . This matches [L2].
An overdetermined inconsistent system has a unique minimum-norm least-squares solution given by
Example
Take
Then , the least-squares problem is inconsistent, and
Facts & Assumptions
Given: The matrix and right-hand side in the statement.
Reduced QR gives the pseudoinverse of a full-column-rank matrix without forming normal equations (Reduced QR gives the full-column and full-row-rank pseudoinverse formulas without forming normal equations).
is the unique least-squares solution of minimum norm (For every right-hand side , is the unique least-squares solution of minimum Euclidean norm).
Verification
The columns of are independent, so has full column rank. Directly, Hence .
The residual is so and the system is inconsistent.
By [L2], the vector from step 1.1 is nevertheless the unique least-squares solution of minimum Euclidean norm.
An underdetermined consistent system has infinitely many exact solutions but a unique minimum-norm one
Example
Let
Then the exact solutions are
and the minimum-norm one is .
Facts & Assumptions
Given: The displayed matrix and right-hand side .
If has full row rank, then (If has full row rank, then ).
is the unique minimum-norm least-squares solution (For every right-hand side , is the unique least-squares solution of minimum Euclidean norm).
Verification
Solving gives the one-parameter family . Thus the system is consistent and has infinitely many exact solutions.
Here so [L1] gives
The vector of step 1.2 equals from step 1.1, so it is an exact solution. By [L2], it is the unique exact solution of minimum Euclidean norm.
A rank-deficient matrix has an affine family of least-squares minimisers of the form
Example
Let
Then
and every least-squares minimiser is .
Facts & Assumptions
Given: The rank-one matrix and the vector .
Every least-squares minimiser has the form (Every least-squares solution has the form , and the same affine family specializes to exact solutions when ).
Verification
Since with , the pseudoinverse is . Hence
Therefore whose image is the kernel line .
By [L1], every least-squares minimiser equals , and step 2.1 shows that this is exactly the affine line .
A full-column-rank pseudoinverse can be read off directly from a reduced QR factorisation
Example
Let
where
Then
Facts & Assumptions
Given: The displayed reduced QR factorisation of .
For full column rank, reduced QR gives (Reduced QR gives the full-column and full-row-rank pseudoinverse formulas without forming normal equations).
Verification
Direct multiplication shows and , so the displayed matrices are indeed a reduced QR factorisation.
The inverse of is Therefore [L1] gives the displayed matrix for .
Multiplying gives the identity, confirming that the matrix from step 2.1 is the full-column-rank pseudoinverse.
Ridge regularisation damps the small-singular-value directions in a diagonal inverse problem
Example
Let
Then the pseudoinverse gives , whereas the Tikhonov solution is
Facts & Assumptions
Given: The diagonal matrix , the vector , and the parameter .
Tikhonov regularisation scales the th singular direction by (Tikhonov regularisation scales each singular component by the filter factor ).
Verification
The singular values are and , so the unregularised pseudoinverse multiplies the second component of by , producing the large coefficient .
By [L1], the Tikhonov filter factors are so the regularised solution is the displayed vector.
Step 1.2 shows that the small singular direction is strongly damped: the unstable coefficient is replaced by .
Truncated SVD denoising on a diagonal problem keeps the declared large singular directions and discards the noisy ones
Example
Let
Then the truncated pseudoinverse keeps the first singular direction and drops the second, so
Facts & Assumptions
Given: The diagonal matrix , the data vector , and the threshold .
The truncated singular-value pseudoinverse keeps the reciprocal exactly when (The truncated singular-value pseudoinverse obtained by discarding singular values below a declared numerical-rank threshold).
Truncated SVD is the hard spectral filter among the regularisation methods (Truncated SVD and Tikhonov regularisation act as hard and smooth spectral filters on the singular components).
Verification
The singular values of are and . Since but , [L1] gives
Multiplying by yields
The second data component is discarded entirely because it lies in the singular direction below the declared threshold, exactly as [L2] predicts.
For arbitrary matrices,
Statement
False claim: for arbitrary compatible matrices and ,
Facts & Assumptions
Given: The matrices
Every finite real or complex matrix has a unique Moore--Penrose pseudoinverse (Every finite real or complex matrix has a unique Moore--Penrose pseudoinverse).
Refutation
The three matrices are rank one:
Therefore
The two matrices in step 2.1 are different, so the displayed matrices refute the claim .
The family shows that pseudoinversion is not continuous across rank loss
Statement refuted
Refuted claim: the Moore--Penrose pseudoinverse depends continuously on a matrix everywhere in the full matrix space.
For , let
Then as , but does not converge.
Facts & Assumptions
Given: The family for .
Every finite real or complex matrix has a unique Moore--Penrose pseudoinverse (Every finite real or complex matrix has a unique Moore--Penrose pseudoinverse).
Counterexample
As , the matrices converge entrywise to .
For every , the inverse directly satisfies the four Penrose equations, so uniqueness in [L1] makes it . Hence .
Because as , the family is unbounded and therefore cannot converge to the finite matrix .
Thus a convergent matrix family can have a nonconvergent pseudoinverse family, refuting global continuity.