Characteristic Vectors
Mohammed Nasser
Professor, Dept. of Statistics, RU,Bangladesh
Email: mnasser.ru@gmail.com
----------C.R.Rao
11
Contents
Linear Map and Matrices
Quadratic Forms and Its Applications in MM
Classification of Quadratic Forms
Quadratic Forms and Inner Product
Definitions of Characteristic Roots and Characteristic
Vectors
Geometric Interpretations
Properties of Grammian Matrices
Spectral Decomposition and Applications
Matrix Inequalities and Maximization
Computations
22
Covariance
Correlation
Regression and
Classification
PCA/LDA/CCA
Orthogonal/oblique projection
on lower dim.
3
x y x1 x2 ... xn
y1
y2
M
yn
xy
i 1
y1
3
xT y x1 x2 x3 y2 x1 y1 x2 y2 x3 y3 xi yi
i 1
y3
i i
Length of a vector
x2
Right-angle triangle
x2
Pythagoras theorem
|| x || =
(x12+ x22)1/2
||x||
x1
x1
4
sin
y2
sin
x2
y
x
cos
y1
cos
x1
||x||
y
||y||
y2
y1
y1x1 y2x2
x y
xT y
cos
x y
xT y x y cos
Orthogonal vectors:
xT y = 0
=/
2
y
5
Quadratic Form
Definition: The quadratic form in n variables x1,
x2, , xn is the general homogeneous function of
second degree in the variablesn n
Y f ( x1 , x2 ,..., xn ) aij xi x j
i
Y x1
x2
...
a11
a
xn 21
...
an1
a12
a22
...
an 2
...
...
...
...
a1n
a2 n
...
ann
x1
x
2 xT Ax
...
x
n
11
Y x Ax 2 x 6 x1 x2 7 x
T
2
1
2
2
Standard form
In Fact Infinite As
For example 1 we have
to take a12, and a21 s.t.a12
+a21 =6.
Symmetric A
We can do it in infinite
ways.
13
n i 1
n
1 T
where, A I n 11
n
Quadratic forms play a central role in multivariate
statistical analysis. For example, principal component
analysis, factor analysis, discriminant analysis etc.
14
15
16
UM
17
Let A=CTC.
Then XT AX= XTCTCX=(CX)TCX=YTY
XT AY= XTCTCY=(CX)TCY=WT Z
What is its geometric meaning ?
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Q ( y1 , y2 , , y p )
( x1 y1 ) 2 ( x2 y 2 ) 2 ( x p y p ) 2
Statistical Distance
Weight coordinates subject to a great deal of variability
less heavily than those that are not highly variable
P (x1, x2),
x x1 /
*
1
d(O, P )
s11,
O(0,0)
x x2 /
*
2
x1*
x2*
s22
x12
s11
x22
s22
21
c s11
x1
c s11
c s22
22
23
%
%
P (x
,x
)
1
2
2
2
%
%
x
x
1
2
%
%
s
s
11
22
x%
x1 cos x2 sin
1
x%
x1 sin x2 cos
2
d(O, P ) a x 2a12x1x2 a x
2
11 1
2
22 2
24
d ( P, Q )
a pp ( x p y p ) 2
2a12 ( x1 y1 )( x2 y2 ) 2a13 ( x1 y1 )( x3 y3 )
2a p 1, p ( x p 1 y p 1 )( x p y p )]
25
26
Mahalonobis Distance
Population version: MD(x, , )
Sample veersion;
(x )T 1 (x )
MD(x, x, S) (x x)T S 1 (x x)
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Quadratic Form
Definite
Positive
Definite
Positive
Semi definite
Indefinite
Negative
Definite
Negative
Semi definite
28
29
x
Ax
4. Negative Semi-definite: A quadratic form,
T
Y
x
Ax 0
is said to be negative semi-definite iff
,
T
for all x0 and there exists x0 such that x Ax 0. The
matrix A is said to be a negative semi-definite matrix.
Indefinite: Quadratic forms and their associated
symmetric matrices need not be definite or semi-definite
in any of the above scenes. In this case the quadratic
form is said to be indefinite; that is , it can be negative,
zero or positive depending on the values of x.
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XT AX=
a x
i 1
2
i i
32
a11
a11 0,
a21
a11 a12
a12
0, a21 a22
a22
a31 a32
a11
a13
a21
a23 0,........,
...
a33
an1
a11 0,
a11
a12
a21
a22
a21
0,........,
...
a22
...
...
a2 n
0
...
an1
an 2
...
ann
....
Continued
3. Negative Definite: (a). A quadratic form
Y xT is
Axnegative
definite iff the nested principal minors of A are given as
36
Continued
4. Negative Semi-definite:(a)A quadratic form Y xT Axis
a11
a11 0,
a21
a12
a22
a11
0, a21
a31
a12
a22
a32
a13
a23 0,........
a33
Evidently a matrix
37
1 z
2
1
2 z
2
2
... r z
2
r
Grammian (Gram)Matrix
Grammian Matrix
-----If
(
A
)
(
A
A
)
(
AA
)r
c.
d. If ATA=0 then A=0
39
a
a
0
1
22
21
a11
det
a21
a12
0 a11 a22 a12 a21 0
a22
Eigenvalue example
Consider,
2
A
(1 4) 1 4 2 2 0
2 4
2
(1 4) 0, 5
2 0 0 x
1 2
2 4
4 0 0 y
x 1x 2 y 0
y 2 x 4 y 0
2 5 0 x
4 2
4 0 5 y
2 1
x 4 x 2 y 0
0
y
2
x
1
y
43
[A]
Ax2
x1
x2
Ax1
45
More to Notice
a 0
0
a
a 0 x1
a
0 b 0
x1 x1
a
x
x
2 2
0 0
x 1 a
0
,
b
0
0 b x 2
x2
a 0 x1 ax1
0 b x2 bx2
46
48
50
Eigen/diagonal Decomposition
Let
be a square matrix with m linearly
independent eigenvectors (a non-defective matrix)
Theorem: Exists an eigen decomposition
diagonal
Unique for
distinct
eigenvalues
are eigenvalues of
51
... vm
... vm
...
52
1 2
1
1 1
1
The eigenvectors
and form U
1
1
1 1
Inverting, we have U
Then, S=U U1
1 / 2 1 / 2
1/ 2 1/ 2
Recall
UU1 =1.
1 1 1 0 1 / 2 1 / 2
1 1 0 3 1 / 2 1 / 2
UM
53
Example continued
Lets divide U (and multiply U1) by 2
1 / 2 1 / 2 1 0 1 / 2
Then, S=
1 / 2 1 / 2 0 3 1 / 2
Q
1/ 2
1/ 2
(Q-1= QT )
Why?
54
is a symmetric matrix:
Q-1= QT
Columns of Q are normalized eigenvectors
Columns are orthogonal.
(everything is real)
55
A e e e e e e A i ei eTi PPT
mm
mm
T
1 1
1
m1 1m
T
2 2
2
m1 1m
T
m m
m
m1 1m
1 0
0
2
P e1 , e 2 e m ,
i 1
m1 1m
0
0
0
0
mm
mm
theorem
0 .4 2 .8
2 5 6.16 0.16 3 2 0
A
e1T 1 , 2 , eT2 2
, 1
5
5
5
5
1
2.2 0.4
5 1
2
5
0.4 2.8
5
0.8 0.4
1
.
2
2
.
4
5 2
1
5
5
57
'
e
e
i i i
If
i1
P = [ e1 e2 e3 ep]
'
'
e
e
P
P
i i i
i1
1
2
1
0
M
0
0
2
M
0
L
L
O
L
0
M
p
P P
'
i1
i eie A
'
i
1
2
Is
59
1
2
'
A
A
1
2
1
2
-1
2
1
2
-1
2
-1
2
1
2
A A A
1
2
-1
2
A A A A I
1
-1
2
1
2
A A A where A A
-1
60
e1
e2
61
Matrix Inequalities
and Maximization
- Extended Cauchy-Schwartz Inequality Let b and d be
any two p x 1 vectors and B be a p x p positive definite
matrix. Then
(bd)2 (bBb)(dB-1d)
with equality iff b=kB-1d or (or d=kB -1d) for some constant c.
x ' d
x ' Bx
d' B1d
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Matrix Inequalities
and Maximization
- Maximization of Quadratic Forms for Points on the Unit
Sphere let B be a p x p positive definite matrix with
eigenvalues 1 2 p and associated eigenvectors
e1, e2, ,ep. Then
x 'Bx
1 (attained when x=e1)
max
x0
x 'x
x 'Bx
p (attained when x=ep )
min
x0 x ' x
x 'Bx
k+1 (attained when x ek+1 , k 1,2,K ,p-1)
max
x e1 ,K ek x ' x
63
Calculation in R
t<-sqrt(2)
x<-c(3.0046,t,t,16.9967)
A<-matrix(x, nrow=2)
eigen(A)
>x
[1] 3.004600 1.414214 1.414214
16.996700
> A<-matrix(x, nrow=2)
>A
[,1]
[,2]
[1,] 3.004600 1.414214
[2,] 1.414214 16.996700
> eigen(A)
$values
[1] 17.138207 2.863093
$vectors
[,1]
[,2]
[1,] 0.09956317 -0.99503124
[2,] 0.99503124 0.09956317
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Thank you
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