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Michael O. Duffy
28 Oct 2009
The points are distributed randomly in such a way that you can’t draw a single straight line that
passes through all the points. You’d like to know the ”best” equation for a line to approximate the
data you have:
y = mx + b (2)
y1 = mx1 + b
y2 = mx2 + b
.. (3)
.
yn = mxn + b
x1 1 y1
x2
1 m y2
= (4)
.. ..
b
.
.
xn 1 yn
Remember that multiplying two matricies Amn and Bnp together means adding the products of
each element in a row of Amn in succession, multiplying it by the value in the corresponding column
in Bnp :
1
2
n
X
Cmp = Ami Bip (5)
i=1
We’ll assume that the coefficients of the ”best” line are those that minimize the sum of squares of
the errors between the data point yi and mxi + b, the value predicted by the line at the point xi .
For now, we’ll take it on faith that we can calculate those ”best” coefficients by pre-multiplying
both sides by the transpose of the matrix:
x1 1 y1
. . . x n x2 1 m
y2
x1 x2 x1 x2 . . . xn
.. = .. (6)
1 1 ... 1 . b 1 1 ... 1
.
xn 1 yn
I can multiply these matricies and reduce them to a 2x2 matrix equation, with the product of a 2x2
matrix and a 2x1 vector of unknowns equal to a 2x1 right-hand side vector:
Ac̃ = ỹ (7)
where
Pn 2
Pn
i=1 (x i ) i=1 (x i )
A = Pn (8)
i=1 (xi ) n
and
m
c̃ = (9)
b
and
Pn
Pi=1 (xi yi )
ỹ = n (10)
i=1 (yi )
Now I can calculate the solution by multiplying both sides of the matrix equation by the inverse of
A:
A−1 A = I (12)
3
where
1 0
I= (13)
0 1
Since the product I c̃ = c̃, we have an expression for the vector of unknown coefficients:
c̃ = A−1 ỹ (14)
n
X n
X
det(A) = n (xi )2 − ( (xi ))2 (15)
i=1 i=1
Pn
Pn − i=1 (x i )
n Pn 2
− i=1 (xi ) i=1 (xi )
A−1 = (16)
det(A)
We can check this result by multiplying the matrix by its inverse and seeing if we get the identity
matrix back:
Pn Pn Pn
(xi )2
Pnn −Pn i=1 (xi2) Pi=1 i=1 (xi )
n
− i=1 (xi ) (xi ) (xi ) n
A−1 A = Pni=1 2 Pn i=1 2
(17)
n i=1 (xi ) − ( i=1 (xi ))
Pn
n i=1 (xi )2 − ( ni=1 (xi ))2
P
0 P
n i=1 (xi )2 − ( ni=1 (xi ))2
Pn
0
A−1 A = (18)
n i=1 (xi )2 − ( ni=1 (xi ))2
Pn P
Pn Pn
Pnn −
Pn i=1 (xi2) Pi=1 (xi yi )
n
− i=1 (xi ) i=1 (xi ) i=1 (yi )
c̃ = (19)
det(A)
Simplifying:
Pn
(xi yi ) − ( ni=1 (x
P Pn
Pn n i=1P i ))( i=1 (yPi ))
−( i=1 (xi ))( ni=1 (xi yi )) + ( ni=1 (xi )2 )( ni=1 (yi ))
P
c̃ = (20)
det(A)
4
n
X
SX = (xi ) (21)
i=1
Xn
SY = (yi ) (22)
i=1
Xn
SXX = (xi )2 (23)
i=1
Xn
SXY = (xi yi ) (24)
i=1
Now we can write the final expressions for the slope and y-intercept of the ”best” line: