2022-02-07 Linear Algebra

2022-02-07 Linear Algebra¶

Last time¶

Forward and backward stability
Beyond IEEE double precision
Discuss portfolios

Today¶

Algebra of linear transformations
Polynomial evaluation and fitting
Orthogonality

using Plots
default(linewidth=4, legendfontsize=12)

Matrices as linear transformations¶

Linear algebra is the study of linear transformations on vectors, which represent points in a finite dimensional space. The matrix-vector product \(y = A x\) is a linear combination of the columns of \(A\). The familiar definition,

\[ y_i = \sum_j A_{i,j} x_j \]

can also be viewed as

\[\begin{split} y = \Bigg[ A_{:,1} \Bigg| A_{:,2} \Bigg| \dotsm \Bigg] \begin{bmatrix} x_1 \\ x_2 \\ \vdots \end{bmatrix} = \Bigg[ A_{:,1} \Bigg] x_1 + \Bigg[ A_{:,2} \Bigg] x_2 + \dotsb . \end{split}\]

Math and Julia Notation¶

The notation \(A_{i,j}\) corresponds to the Julia syntax A[i,j] and the colon : means the entire range (row or column). So \(A_{:,j}\) is the \(j\)th column and \(A_{i,:}\) is the \(i\)th row. The corresponding Julia syntax is A[:,j] and A[i,:].

Julia has syntax for row vectors, column vectors, and arrays.

[1. 2 3]

1×3 Matrix{Float64}:
 1.0  2.0  3.0

[1, 2, 3]

3-element Vector{Int64}:
 1
 2
 3

[1 0; 0 2; 10 3]

3×2 Matrix{Int64}:
0
2
3

[1; 2; 3]' # transpose

1×3 adjoint(::Vector{Int64}) with eltype Int64:
 1  2  3

Implementing multiplication by row¶

function matmult1(A, x)
    m, n = size(A)
    y = zeros(m)
    for i in 1:m
        for j in 1:n
            y[i] += A[i,j] * x[j]
        end
    end
    y
end

A = reshape(1.:12, 3, 4) # 3x4 matrix
#x = [10., 0, 0, 0]
#matmult1(A, x)

3×4 reshape(::StepRangeLen{Float64, Base.TwicePrecision{Float64}, Base.TwicePrecision{Float64}, Int64}, 3, 4) with eltype Float64:
0  4.0  7.0  10.0
0  5.0  8.0  11.0
0  6.0  9.0  12.0

# Dot product
A[2,:]' * x

UndefVarError: x not defined

Stacktrace:
 [1] top-level scope
   @ In[7]:2
 [2] eval
   @ ./boot.jl:373 [inlined]
 [3] include_string(mapexpr::typeof(REPL.softscope), mod::Module, code::String, filename::String)
   @ Base ./loading.jl:1196

function matmult2(A, x)
    m, n = size(A)
    y = zeros(m)
    for i in 1:m
        y[i] = A[i,:]' * x
    end
    y
end

matmult2(A, x)

3-element Vector{Float64}:
0
0
0

Implementing multiplication by column¶

function matmult3(A, x)
    m, n = size(A)
    y = zeros(m)
    for j in 1:n
        y += A[:, j] * x[j]
    end
    y
end

matmult3(A, x)

3-element Vector{Float64}:
0
0
0

A * x # We'll use this version 

3-element Vector{Float64}:
0
0
0

Polynomial evaluation is (continuous) linear algebra¶

We can evaluate polynomials using matrix-vector multiplication. For example,

\[\begin{split} 5x^3 - 3x = \Bigg[ 1 \Bigg|\, x \Bigg|\, x^2 \,\Bigg|\, x^3 \Bigg] \begin{bmatrix}0 \\ -3 \\ 0 \\ 5 \end{bmatrix} . \end{split}\]

using Polynomials
P(x) = Polynomial(x)

p = [0, -3, 0, 5]
q = [1, 2, 3, 4]
f = P(p) + P(q)
@show f
@show P(p+q)
x = [0., 1, 2]
f.(x)

f = Polynomial(1 - x + 3*x^2 + 9*x^3)
P(p + q) = Polynomial(1 - x + 3*x^2 + 9*x^3)

3-element Vector{Float64}:
0
0
0

plot(f, legend=:bottomright)

../_images/2022-02-07-linear-algebra_17_0.svg

Polynomial evaluation is (discrete) linear algebra¶

V = [one.(x) x x.^2 x.^3]

3×4 Matrix{Float64}:
0  0.0  0.0  0.0
0  1.0  1.0  1.0
0  2.0  4.0  8.0

V * p + V * q

3-element Vector{Float64}:
0
0
0

V * (p + q)

3-element Vector{Float64}:
0
0
0

Vandermonde matrices¶

A Vandermonde matrix is one whose columns are functions evaluated at discrete points.

\[V(x) = \begin{bmatrix} 1 \Bigg| x \Bigg| x^2 \Bigg| x^3 \Bigg| \dotsb \end{bmatrix}\]

function vander(x, k=nothing)
    if isnothing(k)
        k = length(x)
    end
    m = length(x)
    V = ones(m, k)
    for j in 2:k
        V[:, j] = V[:, j-1] .* x
    end
    V
end

vander (generic function with 2 methods)

x = LinRange(-1, 1, 50)
V = vander(x, 4)
plot(x, V)

../_images/2022-02-07-linear-algebra_24_0.svg

Fitting is linear algebra¶

\[ \underbrace{\begin{bmatrix} 1 \Bigg| x \Bigg| x^2 \Bigg| x^3 \Bigg| \dotsb \end{bmatrix}}_{V(x)} \Big[ p \Big] = \Bigg[ y \Bigg]\]

x1 = [-.9, 0.1, .5, .8]
y1 = [1, 2.4, -.2, 1.3]
scatter(x1, y1, markersize=8)

../_images/2022-02-07-linear-algebra_26_0.svg

V = vander(x1, 4)
@show size(V)
p = V \ y1 # write y1 in the polynomial basis
scatter(x1, y1, markersize=8, xlims=(-1, 1))
#plot!(P(p), label="P(p)")
plot!(x, vander(x, 4) * p, label="\$ V(x) p\$", linestyle=:dash)

size(V) = (4, 4)

../_images/2022-02-07-linear-algebra_27_1.svg

Some common terminology¶

The range of \(A\) is the space spanned by its columns. This definition coincides with the range of a function \(f(x)\) when \(f(x) = A x\).
The (right) nullspace of \(A\) is the space of vectors \(x\) such that \(A x = 0\).
The rank of \(A\) is the dimension of its range.
A matrix has full rank if the nullspace of either \(A\) or \(A^T\) is empty (only the 0 vector). Equivalently, if all the columns of \(A\) (or \(A^T\)) are linearly independent.
A nonsingular (or invertible) matrix is a square matrix of full rank. We call the inverse \(A^{-1}\) and it satisfies \(A^{-1} A = A A^{-1} = I\).

\(\DeclareMathOperator{\rank}{rank} \DeclareMathOperator{\null}{null} \) If \(A \in \mathbb{R}^{m\times m}\), which of these doesn’t belong?

\(A\) has an inverse \(A^{-1}\)
\(\rank (A) = m\)
\(\null(A) = \{0\}\)
\(A A^T = A^T A\)
\(\det(A) \ne 0\)
\(A x = 0\) implies that \(x = 0\)

A = rand(4,4)
#A' * A - A * A'
det(A)

-0.08969850225286818

What is an inverse?¶

When we write \(x = A^{-1} y\), we mean that \(x\) is the unique vector such that \(A x = y\). (It is rare that we explicitly compute a matrix \(A^{-1}\), though it’s not as “bad” as people may have told you.) A vector \(y\) is equivalent to \(\sum_i e_i y_i\) where \(e_i\) are columns of the identity. Meanwhile, \(x = A^{-1} y\) means that we are expressing that same vector \(y\) in the basis of the columns of \(A\), i.e., \(\sum_i A_{:,i} x_i\).

using LinearAlgebra
A = rand(4, 4)

4×4 Matrix{Float64}:
529731  0.00344266  0.0249711  0.446597
65379   0.874346    0.629848   0.296424
308001  0.687619    0.654854   0.627373
252958  0.033781    0.86887    0.405012

A \ A

4×4 Matrix{Float64}:
  1.0  1.69813e-16  6.45103e-17  -1.4185e-18
 -0.0  1.0          7.87401e-17  -2.28895e-17
  0.0  0.0          1.0           3.32473e-17
  0.0  0.0          5.25774e-17   1.0

inv(A) * A

4×4 Matrix{Float64}:
0          2.80573e-16  4.18345e-17   1.09056e-17
36277e-17  1.0          9.18807e-17  -1.04138e-16
07459e-16  6.39634e-17  1.0           4.11885e-17
48719e-17  7.42799e-17  7.86144e-17   1.0

Inner products and orthogonality¶

The inner product

\[ x^T y = \sum_i x_i y_i \]

of vectors (or columns of a matrix) tell us about their magnitude and about the angle. The norm is induced by the inner product,

\[ \lVert x \rVert = \sqrt{x^T x} \]

and the angle \(\theta\) is defined by

\[ \cos \theta = \frac{x^T y}{\lVert x \rVert \, \lVert y \rVert} . \]

Inner products are bilinear, which means that they satisfy some convenient algebraic properties

\[\begin{split} \begin{split} (x + y)^T z &= x^T z + y^T z \\ x^T (y + z) &= x^T y + x^T z \\ (\alpha x)^T (\beta y) &= \alpha \beta x^T y \\ \end{split} . \end{split}\]

Examples with inner products¶

x = [0, 1]
y = [1, 1]
@show x' * y
@show y' * x;

x' * y = 1
y' * x = 1

ϕ = pi/6
y = [cos(ϕ), sin(ϕ)]
cos_θ = x'*y / (norm(x) * norm(y))
@show cos_θ
@show cos(ϕ-pi/2);

cos_θ = 0.49999999999999994
cos(ϕ - pi / 2) = 0.4999999999999999

Polynomials can be orthogonal too!¶

x = LinRange(-1, 1, 50)
A = vander(x, 4)
M = A * [.5 0 0 0; # 0.5
         0  1 0 0;  # x
         0  0 1 0]' # x^2
scatter(x, M)
plot!(x, 0*x, label=:none, color=:black)

../_images/2022-02-07-linear-algebra_40_0.svg

Which inner product will be zero?
- Which functions are even and odd?

Polynomial inner products¶

M[:,1]' * M[:,2]

-2.220446049250313e-16

M[:,1]' * M[:,3]

8.673469387755102

M[:,2]' * M[:,3]

-4.440892098500626e-16

2022-02-04 Stability

Numerical Computation