inverse of matrix with small-rank adjustment
Suppose that an matrix is obtained by adding a small-rank adjustment to matrix ,
where and are matrices, and is an matrix. Assume that the inverse of is known and is much smaller than . The following formula for is often useful,
provided that all inverses in the formula exist.
In particular, when and , we have
for any column vectors and such that .
|Title||inverse of matrix with small-rank adjustment|
|Date of creation||2013-03-22 15:46:06|
|Last modified on||2013-03-22 15:46:06|
|Last modified by||kshum (5987)|