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matrix inversion lemma
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These frequently used formulae allow to quickly calculate the inverse of a slight modification of an operator (matrix) $x$ , given that $x^{-1}$ is already known.
The matrix inversion lemma states that $$\left( x+ s \sigma z^* \right)^{-1} = x^{-1} - x^{-1} s \left( \sigma^{-1} + z^* x^{-1} s \right)^{-1} z^* x^{-1},$$ where $x$ , $s$ , $z^*$ and $\sigma$ are operators (matrices) of appropriate size. The formula especially is convenient if the rank of the regular $\sigma$ is 1, or small in comparison to $x$ 's rank.
This identity, involving the inverse of Schur's complement $d- z^* x^{-1} s$ (hopefully this may be easily computed) holds as well: $$\begin{bmatrix} x & s \\ z^* & d \end{bmatrix}^{-1} = \begin{bmatrix} x^{-1}+ x^{-1} s (d- z^* x^{-1} s)^{-1} z^* x^{-1} & -x^{-1} s (d-z^*x^{-1}s)^{-1} \\ -(d-z^*x^{-1}s)^{-1} z^* x^{-1} & (d-z^*x^{-1}s)^{-1} \end{bmatrix}.$$
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"matrix inversion lemma" is owned by kronos.
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See Also: Schur complement
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Sherman-Morrison formula, Woodbury matrix identity, Woodbury formula, rank-k correction |
This object's parent.
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Cross-references: Schur's complement, identity, regular, rank, formula, size, matrix, operator, modification, inverse, calculate
This is version 3 of matrix inversion lemma, born on 2006-01-31, modified 2006-01-31.
Object id is 7577, canonical name is MatrixInversionLemma.
Accessed 13395 times total.
Classification:
| AMS MSC: | 47S99 (Operator theory :: Other types of operator theory :: Miscellaneous) |
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Pending Errata and Addenda
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