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Chapter 5
Matrix Perturbations
5.1 Introduction
The following question arises frequently in matrix theory: What is the smallest possible per
turbation of a matrix that causes it to lose rank We discuss two cases next, with perturbations
measured in the 2-norm, and then discuss the measurement of perturbations in the Frobenius
norm. This provides us with a new formulation to the least squares estimation problem in
which uncertainty is present in the matrix A as well as the vector y. This is known as total
least squares.
Proof: Suppose A + has rank n. Then there exists x 6 0 such that kxk2 1 and
(A + ) x 0 :
Since x ;Ax,
kxk2 kAxk2
n(A) : (5.2)
From the properties of induced norms (see Section 3.1), we also know that
kk2 kxk2 kxk2:
Using Equation (24.3) and the fact that kxk2 1, we arrive at the following:
kk2 kxk2
n(A) (5.3)
To complete the proof, we must show that the lower bound from Equation (5.3) can be
achieved. Thus, we must construct a so that A + has rank n and kk2 n (A) such
a will be a minimizing solution. For this, choose
;n un vn0
where un , vn are the left and right singular vectors associated with the smallest singular value
n of A. Notice that kk2 n(A). This choice yields
(A + ) vn n un ; n un vn vn
n un ; n un
0:
That is, A + has rank n. This completes the proof.
Notice that the lower bound (Equation (5.6)) is satised with equality, i.e., kk2 11 (A).
Now choose x u1 . Then:
(I ; A) x (I ; A) u1
0
I ; Av1 u1 u1
1
Av
u1 ; 1
|{z}
1
u1
u1 ; u1 (since Av1 1 u1 )
0:
This completes the proof.
The theorem just proved is called the small gain theorem. The reason for this is that
it guarantees (I ; A) is nonsingular provided
kk2 kA1k :
2
This condition is most often written as
kk2 kAk2 1 (5.7)
i.e., the product of the gains is less than one.
Remark: We can actually obtain the additive perturbation result from multiplicative per
turbation methods. Assume A is invertible, and is a matrix which makes its sum with A
singular. Since
A + A I + A;1
;
and A is nonsingular, then I + A;1 must be singular. By our work with multiplicative
perturbations, we know that the associated with the smallest kk2 that makes this quantity
singular satises
kk2 (A1 ;1 ) n(A) :
1
jTr(V 0 W 0U )j2 :
The matrix Z V 0 W 0 U satises
ZZ 0 V 0 W 0UU 0 WV
I:
Therefore, X
X
n n !2
jTr(Z )j j izii j
2 2 i
i1 i1
implies that !
1 Xn 2
min
cW
kA ; cW k2F ;n kAk2F i : (5.15)
i1
In order to complete this example we show that the lower bound in Equation (5.15)
can actually be achieved with a specic choice of W . Observe that
Tr(W 0 U V 0 ) Tr(W 0 UV 0 )
and by letting W 0 V U 0 we obtain
X
n
Tr(W 0 A) Tr() i
i1
and
X
n
c n1 i :
i1
Putting all the pieces together, we get that
X
n X
n !2
i2 ; n1
min
cW
kA ; cW k2F 2 i
i1 i1
and the minimizing unitary matrix is given by
Xn !
1
cW n i U V 0 :
i1
It is clear also that, in order for a matrix to be exactly represented as a complex
multiple of a unitary matrix, all of its singular values must be equal.
min
e e
(5.17)
ij i
min
e
k^kF (5.18)
where
.
^ .. e :
(5.19)
Weighted versions of this problem can also be posed, but we omit these generalizations.
Note that no constraints have been imposed on in the above problem statement, and
this can often limit the direct usefulness of the total least squares formulation in practical
problems. In practice, the expected or allowed perturbations of A are often quite structured
however, the solution of the total least squares problem under such structural constraints is
much harder than that of the unconstrained problem that we present the solution of next.
Nevertheless, the total least squares formulation can provide a useful benchmark. (The same
sorts of comments can of course be made about the conventional least squares formulation:
it is often not the criterion that we would want to use, but its tractability compared to other
criteria makes it a useful point of departure.)
If we make the denitions
h i " #
A^ A .. ;y x^ x1
. (5.20)
Figure 5.1: Depiction of how A (a real 2 2 matrix) maps the unit circle. The major axis of
the ellipse corresponds to the largest singular value, the minor axis to the smallest.
It turns out that the result in (a) actually applies to all the singular values of A and A + E , not
just the largest one. Part (b) below is one version of the result for the smallest singular value.
(b) Suppose A has less than full column rank, i.e. has rank n, but A + E has full column rank.
Show (following a procedure similar to part (a) | but looking at min k(A + E )xk2 rather than
(c) Suppose instead of perturbing y we perturb A, changing it to A + A, with the solution corre
spondingly changing from x to x + x (for some x that is dierent than in part (b) ). Find a
0 : min
X C A
This is known as the matrix dilation theorem. Notice that the left hand side is always greater
than or equal to the right hand side irrespective of the choice of X . Below, we outline the steps
necessary to prove that this lower bound is tight. Matrix dilations play an important role in systems
theory particularly in model reduction problems.
1. Let 1 be dened as
1 max k( C A )k B
A :
Show that:
0 1 :
2. Use the previous exercise to show that there exists two matrices Y and Z with norms less than
or equal to one such that
B Y (12 I ; A A) 21 C (12 I ; AA ) 12 Z:
3. Dene a candidate solution to be X~ ;Y A Z . Show by direct substitution that
X~ B
C A ;Y A Z 1 Y (12 I ; A A) 12
YC 0(1I ; AA );2 AZ
2 A
2 I ; A A) 12 Z 0
0 I 1
C (1 I ; AA )
2 A 0 I
1
2
4. Show that X~ B
C A 1:
Exercise 5.8 Prove or disprove (through a counter example) the following singular values inequali
ties.
1. min (A + B ) min (A) + min (B ) for any A and B .
2. min (A + E ) max (E ) whenever A does not have column rank, and E is any matrix.
3. If max (A) 1, then
max (I ; A);1 1 ; 1 (A)
max
4. i (I + A) i (A) + 1.
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