matrix thing
Eigen things
square matrix A : n x n
$ Ax = \lambda x $
x : eigenvector of A corresponding to eigenvalue $\lambda $
eigenvalue decomposition
symmetric matrix A: n x n
⇒ there exists an orthonormal basis for $R^n$ consisting of eigenvectors of A
: by definition, $Aq_i = \lambda_i q_i$
⇒ $ AQ = Q\Lambda $ ⇒ $ A = Q\Lambda Q' $, $\Lambda = diag(\lambda_1,\ldots,\lambda_n) $
orthogonal
orthogonal vector : <x,y> = 0
orthonormal : if ||x|| = ||y|| = 1
orthogonal matrix : columns are pairwise orthonormal, Q'Q = QQ' = I
⇒ 1) preserve inner product : (Qx)'(Qy) = x'Q'Qy = X'Iy = x'y
2) preserve 2-norm : $ ||Qx||_2 = \sqrt{ (Qx)'(Qx) } = \sqrt{x'x} = ||X||_2 $
⇒ transformation that preserves length, but may rotate or reflect the vector about the origin
SVD
계산기 : https://atozmath.com/MatrixEv.aspx?q=svd
every matrix (even non-square) A : m x n has SVD
$ A = U \Sigma V' $
U : m x m
V : n x n, orthogonal matrices
$ \Sigma $ : m x n, diagonal matrix with signular values of A
only first r = rank(A) singular values are non-zero.
SVD factors provide eigendecompositions for A'A and AA'
$ A'A = (U\Sigma V')' U\Sigma V' = V\Sigma U' U\Sigma V' = V \Sigma ' \Sigma V' $
$ AA' = U\Sigma V' (U\Sigma V')' = U\Sigma V' V\Sigma U' = U \Sigma \Sigma ' U' $
⇒ $v_i $ : eigenvectors of A'A, $u_i $ : eigenvectors of AA'
and singular values of A $\sigma_i$ are the square root of the eigenvalues of A'A (or equvalently, of AA')
Discussion