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Wikipedia / Woodbury matrix identity

In mathematics, specifically linear algebra, the Woodbury matrix identity – named after Max A. Woodbury – says that the inverse of a rank-k correction of some matrix can be computed by doing a rank-k correction to the inverse of the original matrix. Alternative names for this formula are the matrix inversion lemma, Sherman–Morrison–Woodbury formula or just Woodbury formula. However, the identity appeared in several papers before the Woodbury report.

The Woodbury matrix identity is

where A, U, C and V are conformable matrices: A is n×n, C is k×k, U is n×k, and V is k×n. This can be derived using blockwise matrix inversion.

While the identity is primarily used on matrices, it holds in a general ring or in an Ab-category.

The Woodbury matrix identity allows cheap computation of inverses and solutions to linear equations. However, little is known about the numerical stability of the formula. There are no published results concerning its error bounds. Anecdotal evidence suggests that it may diverge even for seemingly benign examples (when both the original and modified matrices are well-conditioned).

Discussion

To prove this result, we will start by proving a simpler one. Replacing A and C with the identity matrix I To recover the original equation from this reduced identity.

The second identity is the so-called push-through identity on the left.

where the first and second equality come from the first and second identity, respectively.

Special cases

are vectors, the identity reduces to the Sherman–Morrison formula.

In the scalar

Inverse of a sum

If n = k and U = V = In is the identity matrix, then

Continuing with the merging of the terms of the far right-hand side of the above equation results in Hua's identity

is singular if the spectral radius.

This form can be used in perturbative expansions where B is a perturbation of A.

Variations

Binomial inverse theorem

If A, B, U, V are matrices of sizes n×n, k×k, n×k, k×n

provided A and B + BVA−1UB are nonsingular. Nonsingularity of the latter requires that B−1 exist since it equals and the rank of the latter cannot exceed the rank of B.

Since B is invertible, the two B terms flanking the parenthetical quantity inverse in the right-hand side can be replaced with which results in the original Woodbury identity.

A variation for when B is singular and possibly even non-square:

Formulas also exist for certain cases in which A is singular.

Pseudoinverse with positive semidefinite matrices

In general Woodbury's identity is not valid if one or more inverses are replaced by (Moore–Penrose) pseudoinverses are positive semidefinite is itself positive semidefinite), then the following formula provides a generalization:

.

Derivations

Direct proof

Alternative proofs

. Thus,

We have derived the Woodbury matrix identity.

By eliminating the entry under the A (given that A

Likewise, eliminating the entry above C

which is the LDU decomposition of the block matrix into an upper triangular, diagonal, and lower triangular matrices.

We could equally well have done it the other way (provided that C

Applications

This identity is useful in certain numerical computations where A1 has already been computed and it is desired to compute (A+UCV)1. With the inverse of A available, it is only necessary to find the inverse of C−1+VA−1U in order to obtain the result using the right-hand side of the identity. If C has a much smaller dimension than A, this is more efficient than inverting A+UCV directly. A common case is finding the inverse of a low-rank update A+UCV of A (where U only has a few columns and V only a few rows), or finding an approximation of the inverse of the matrix A+B where the matrix B can be approximated by a low-rank matrix UCV, for example using the singular value decomposition.

This is applied, e.g., in the Kalman filter and recursive least squares methods, to replace the parametric solution, requiring inversion of a state vector sized matrix, with a condition equations based solution. In case of the Kalman filter this matrix has the dimensions of the vector of observations, i.e., as small as 1 in case only one new observation is processed at a time. This significantly speeds up the often real time calculations of the filter.

In the case when C is the identity matrix I is known in numerical linear algebra and numerical partial differential equations as the capacitance matrix.

See also

Notes