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pseudoinverse (Definition)

The inverse $A^{-1}$ of a matrix $A$ exists only if $A$ is square and has full rank. In this case, $Ax = b$ has the solution $x = A^{-1}b$

The pseudoinverse $A^+$ (beware, it is often denoted otherwise) is a generalization of the inverse, and exists for any $m \times n$ matrix. We assume $m > n$ If $A$ has full rank ($n$ we define:

$$ A^+ = (A^T A)^{-1} A^T $$

and the solution of $Ax = b$ is $x = A^+b$

More accurately, the above is called the Moore-Penrose pseudoinverse.

Calculation

The best way to compute $A^+$ is to use singular value decomposition. With $A=USV^T$ , where $U$ and $V$ (both $n \times n$ orthogonal and $S$ ($m \times n$ is diagonal with real, non-negative singular values $\sigma_i$ $i=1,\ldots,n$ We find

$$ A^+ = V(S^TS)^{-1}S^TU^T $$

If the rank $r$ of $A$ is smaller than $n$ the inverse of $S^TS$ does not exist, and one uses only the first $r$ singular values; $S$ then becomes an $r \times r$ matrix and $U$ $V$ shrink accordingly. see also Linear Equations.

Generalization

The term ``pseudoinverse'' is actually used for any operator $\operatorname{pinv}$ satisfying

$$ M \operatorname{pinv}(M) M = M $$

for a $m \times n$ matrix $M$ Beyond this, pseudoinverses can be defined on any reasonable matrix identity.

References




"pseudoinverse" is owned by akrowne.
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See Also: Moore-Penrose generalized inverse

Other names:  pseudo-inverse, Moore-Penrose pseudoinverse
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Cross-references: identity, operator, term, equations, real, diagonal, orthogonal, singular value decomposition, solution, rank, square, matrix, inverse
There is 1 reference to this entry.

This is version 2 of pseudoinverse, born on 2002-01-04, modified 2006-06-26.
Object id is 1281, canonical name is Pseudoinverse.
Accessed 24201 times total.

Classification:
AMS MSC65-00 (Numerical analysis :: General reference works )
 15-00 (Linear and multilinear algebra; matrix theory :: General reference works )

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Generalized Pseudo-Inverse by TN on 2007-03-11 04:41:10
As far as I know a matrix B is a (generalized) pseudo-inverse of A if

(1) ABA=A
(2) BAB=B

I am missing (2) in the article.
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