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207
208
(N1) x 0, and x = 0 i x = 0.
(N2) x = || x.
(N3) x + y x + y.
(positivity)
(scaling)
(triangle inequality)
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Example 4.1.
1. Let E = R, and x = |x|, the absolute value of x.
2. Let E = C, and z = |z|, the modulus of z.
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1 1
+ = 1,
p q
then
(1) For all , R, if , 0, then
p q
+ .
p
q
()
i=1
|uivi| up vq .
()
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1/p
1/q
n
n
n
|uivi|
|ui|p
|vi|q
i=1
i=1
i=1
is known as H
olders inequality.
u, v =
ui v i ,
i=1
i=1
|uiv i| =
i=1
|uivi|,
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1/p
1/p
1/q
n
n
n
(|ui +vi|)p
|ui|p
+
|vi|q
,
i=1
i=1
i=1
ui vi .
i=1
213
x x2 nx,
x2 x1 nx2.
214
Proposition 4.2 is actually a special case of a very important result: in a finite-dimensional vector space, any two
norms are equivalent.
Definition 4.2. Given any (real or complex) vector space
E, two norms a and b are equivalent i there exists
some positive reals C1, C2 > 0, such that
ua C1 ub
and
ub C2 ua , for all u E.
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4.2
Matrix Norms
2
Since I = I, from I = I I2, we get I 1,
for every matrix norm.
2
217
Before giving examples of matrix norms, we need to review some basic definitions about matrices.
Given any matrix A = (aij ) Mm,n(C), the conjugate
A of A is the matrix such that
Aij = aij ,
1 i m, 1 j n.
1 i m, 1 j n.
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AA = AA,
U U = U U = I.
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220
0 1
A=
1 0
has the complex eigenvalues i and i, but no real eigenvalues.
Thus, typically, even for real matrices, we consider complex eigenvalues.
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222
223
224
i,j=1
|aij |
1/2
tr(AA)
tr(AA).
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i,j=1
|aij |
1/2
tr(AA)
tr(AA).
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227
x=1
Similarly
Ax
= sup Ax .
n
xR x
xRn
sup
x=0
x=1
228
A = sup
x=0
x=1
Ax A x ,
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230
AR = sup
x=0
x=1
231
i=1
A = sup Ax = max
xCn
x =1
|aij |
j=1
|aij |
232
A2 AF n A2 ,
which shows that the Frobenius norm is an upper bound
on the spectral norm. The Frobenius norm is much easier
to compute than the spectal norm.
The reader will check that the above proof still holds if the
matrix A is real, confirming the fact that AR = A
for the vector norms 1 , 2, and .
It is also easy to verify that the proof goes through for
rectangular matrices, with the same formulae.
Similarly, the Frobenius norm is also a norm on rectangular matrices. For these norms, whenever AB makes
sense, we have
AB A B .
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1
(I + B)1
.
1 B
234
4.3
235
10 7 8
7 5 6
8 6 10
7 5 9
the system
7
x1
32
5
x2 = 23 .
9 x3 33
10
x4
31
10 7 8 7
x1 + x1
32.1
7 5 6 5 x2 + x2 22.9
8 6 10 9 x3 + x3 = 33.1 ,
7 5 9 10
x4 + x4
30.9
the new solutions turns out to be
x = (9.2, 12.6, 4.5, 1.1).
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10 7 8.1 7.2
x1 + x1
32
7.08 5.04 6
x2 + x2 = 23 .
8 5.98 9.98 9 x3 + x3 33
6.99 4.99 9 9.98
x4 + x4
31
This time, the solution is x = (81, 137, 34, 22).
Again, a small change in the data alters the result rather
drastically.
Yet, the original system is symmetric, has determinant 1,
and has integer entries.
237
1
x A b
b A x .
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x
A A
.
x + x
A
Observe that the above reasoning is valid even if the matrix A + A is singular, as long as x + x is a solution
of the second system.
Furthermore, if A is small enough, it is not unreasonable to expect that the ratio x / x + x is close to
x / x.
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240
x
b
cond(A)
x
b
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x
A
cond(A)
x + x
A
A < 1/ A ), we have
x
A
cond(A)
(1 + O(A));
x
A
in fact, we have
x
A
cond(A)
x
A
1
1 A1 A
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x
1 A1 A
A b
+
.
A
b
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244
1 i n.
245
(1)
cond(A) 1,
cond(A) = cond(A1)
cond(A) = cond(A) for all C {0}.
(2) If cond2(A) denotes the condition number of A with
respect to the spectral norm, then
1
cond2(A) = ,
n
where 1 n are the singular values of A.
(3) If the matrix A is normal, then
|1|
cond2(A) =
,
|n|
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n A2 ,
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1 2 0 0 ... 0 0
0 1 2 0 . . . 0 0
0 0 1 2 . . . 0 0
. .
.
.
.
.
.
A = . . .. .. .. . .
,
0 0 . . . 0 1 2 0
0 0 . . . 0 0 1 2
0 0 ... 0 0 0 1
it turns out that cond2(A) 2n1.
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10
7
A=
8
7
7
5
6
5
8
6
10
9
7
5
,
9
10
1
2984.
4