字幕列表 影片播放 列印英文字幕 Okay. This lecture is mostly about the idea of similar matrixes. I'm going to tell you what that word similar means and in what way two matrixes are called similar. But before I do that, I have a little more to say about positive definite matrixes. You can tell this is a subject I think is really important and I told you what positive definite meant -- it means that this -- this expression, this quadratic form, x transpose I x is always positive. But the direct way to test it was with eigenvalues or pivots or determinants. So I -- we know what it means, we know how to test it, but I didn't really say where positive definite matrixes come from. And so one thing I want to say is that they come from least squares in -- and all sorts of physical problems start with a rectangular matrix -- well, you remember in least squares the crucial combination was A transpose A. So I want to show that that's a positive definite matrix. Can -- so I -- I'm going to speak a little more about positive definite matrixes, just recapping -- so let me ask a question. It may be on the homework. Suppose a matrix A is positive definite. I mean by that it's all -- I'm assuming it's symmetric. That's always built into the definition. So we have a symmetric positive definite matrix. What about its inverse? Is the inverse of a symmetric positive definite matrix also symmetric positive definite? So you quickly think, okay, what do I know about the pivots of the inverse matrix? Not much. What do I know about the eigenvalues of the inverse matrix? Everything, right? The eigenvalues of the inverse are one over the eigenvalues of the matrix. So if my matrix starts out positive definite, then right away I know that its inverse is positive definite, because those positive eigenvalues -- then one over the eigenvalue is also positive. What if I know that A -- a matrix A and a matrix B are both positive definite? But let me ask you this. Suppose if A and B are positive definite, what about -- what about A plus B? In some way, you hope that that would be true. It's -- positive definite for a matrix is kind of like positive for a real number. But we don't know the eigenvalues of A plus B. We don't know the pivots of A plus B. So we just, like, have to go down this list of, all right, which approach to positive definite can we get a handle on? And this is a good one. This is a good one. Can we -- how would we decide that -- if A was like this and if B was like this, then we would look at x transpose A plus B x. I'm sure this is in the homework. Now -- so we have x transpose A x bigger than zero, x transpose B x positive for all -- for all x, so now I ask you about this guy. And of course, you just add that and that and we get what we want. If A and B are positive definites, so is A plus B. So that's what I've shown. So is A plus B. Just -- be sort of ready for all the approaches through eigenvalues and through this expression. And now, finally, one more thought about positive definite is this combination that came up in least squares. Can I do that? So now -- now suppose A is rectangular, m by n. I -- so I'm sorry that I've used the same letter A for the positive definite matrixes in the eigenvalue chapter that I used way back in earlier chapters when the matrix was rectangular. Now, that matrix -- a rectangular matrix, no way its positive definite. It's not symmetric. It's not even square in general. But you remember that the key for these rectangular ones was A transpose A. That's square. That's symmetric. Those are things we knew -- we knew back when we met this thing in the least square stuff, in the projection stuff. But now we know something more -- we can ask a more important question, a deeper question -- is it positive definite? And we sort of hope so. Like, we -- we might -- in analogy with numbers, this is like -- sort of like the square of a number, and that's positive. So now I want to ask the matrix question. Is A transpose A positive definite? Okay, now it's -- so again, it's a rectangular A that I'm starting with, but it's the combination A transpose A that's the square, symmetric and hopefully positive definite matrix. So how -- how do I see that it is positive definite, or at least positive semi-definite? You'll see that. Well, I don't know the eigenvalues of this product. I don't want to work with the pivots. The right thing -- the right quantity to look at is this, x transpose Ax -- A -- x transpose times my matrix times x. I'd like to see that this thing -- that that expression is always positive. I'm not doing it with numbers, I'm doing it with symbols. Do you see -- how do I see that that expression comes out positive? I'm taking a rectangular matrix A and an A transpose -- that gives me something square symmetric, but now I want to see that if I multiply -- that if I do this -- I form this quadratic expression that I get this positive thing that goes upwards when I graph it. How do I see that that's positive, or absolutely it isn't negative anyway? We'll have to, like, spend a minute on the question could it be zero, but it can't be negative. Why can this never be negative? The argument is -- like the one key idea in so many steps in linear algebra -- put those parentheses in a good way. Put the parentheses around Ax and what's the first part? What's this x transpose A transpose? That is Ax transpose. So what do we have? We have the length squared of Ax. We have -- that's the column vector Ax that's the row vector Ax, its length squared, certainly greater than or possibly equal to zero. So we have to deal with this little possibility. Could it be equal? Well, when could the length squared be zero? Only if the vector is zero, right? That's the only vector that has length squared zero. So we have -- we would like to -- I would like to get that possibility out of there. So I want to have Ax never -- never be zero, except of course for the zero vector. How do I assure that Ax is never zero? The -- in other words, how do I show that there's no null space of A? The rank should be -- so now remember -- what's the rank when there's no null space? By no null space, you know what I mean. Only the zero vector in the null space. So if I have a -- if I have an 11 by 5 matrix -- so it's got 11 rows, 5 columns, when is there no null space? So the columns should be independent -- what's the rank? n 5 -- rank n. Independent columns, when -- so if I -- then I conclude yes, positive definite. And this was the assumption -- then A transpose A is invertible -- the least squares equations all work fine. And more than that -- the matrix is even positive definite. And I just to say one comment about numerical things, with a positive definite matrix, you never have to do row exchanges. You never run into unsuitably small numbers or zeroes in the pivot position. They're the right -- they're the great matrixes to compute with, and they're the great matrixes to study. So that's -- I wanted to take this first ten minutes of grab the first ten minutes away from similar matrixes and continue a -- this much more with positive definite. I'm really at this point, now, coming close to the end of the heart of linear algebra. The positive definiteness brought everything together. Similar matrixes, which is coming the rest of this hour is a key topic, and please come on Monday. Monday is about what's called the SVD, singular values. It's the -- has become a central fact in -- a central part of linear algebra. I mean, you can come after Monday also, but -- Monday is, -- that singular value thing has made it into this course. Ten years ago, five years ago it wasn't in the course, now it has to be. Okay. So can I begin today's lecture proper with this idea of similar matrixes. This is what similar matrixes mean. So here -- let's start again. I'll write it again. So A and B are similar. A and B are -- now I'm -- these matrixes -- I'm no longer talking about symmetric matrixes, in -- at least no longer expecting symmetric matrixes. I'm talking about two square matrixes n by n. A and B, they're n by n matrixes. And I'm introducing this word similar. So I'm going to say what does it mean? It means that they're connected in the way -- well, in the way I've written here, so let me rewrite it. That means that for some matrix M, which has to be invertible, because you'll see that -- this one matrix is -- take the other matrix, multiply on the right by M and on the left by M inverse. So the question is, why that combination? But part of the answer you know already. You remember -- we've done this -- we've taken a matrix A -- so let's do an example of similar. Suppose A -- the matrix A -- suppose it has a full set of eigenvectors. They go in this eigenvector matrix S. Then what was the main point of the whole -- the main calculation of the whole chapter was -- is -- use that eigenvector matrix S and its inverse comes over there to produce the nicest possible matrix lambda. Nicest possible because it's diagonal. So in our new language, this is saying A is similar to lambda. A is similar to lambda, because there is a matrix, and this particular -- there is an M and this particular M is this important guy, this eigenvector matrix. But if I take a different matrix M and I look at M inverse A M, the result won't come out diagonal, but it will come out a matrix B that's similar to A. Do you see that I'm -- what I'm doing is, like -- I'm putting these matrixes into families. All the matrixes in one -- in the family are similar to each other. They're all -- each one in this family is connected to each other one by some matrix M and the -- like the outstanding member of the family is the diagonal guy. I mean, that's the simplest, neatest matrix in this family of all the matrixes that are similar to A, the best one is lambda. But there are lots of others, because I can take different -- instead of S, I can take any old matrix M, any old invertible matrix and -- and do it. I'd better do an example. Okay. Suppose I take A as the matrix two one one two. Okay. Do you know the eigenvalue matrix for that? The eigenvalues of that matrix are -- well, three and one. So that -- and the eigenvectors would be easy to find. So this matrix is similar to this one. But my point is -- but also, I can also take my matrix, two one one two,