2.II.18D

Numerical Analysis | Part IB, 2008

(a) A Householder transformation (reflection) is given by

H=I−2uuT∥u∥2,H=I-\frac{2 u u^{T}}{\|u\|^{2}},

where H∈Rm×m,u∈RmH \in \mathbb{R}^{m \times m}, u \in \mathbb{R}^{m}, and II is the m×mm \times m unit matrix and uu is a non-zero vector which has norm ∥u∥=(∑i=1mui2)1/2\|u\|=\left(\sum_{i=1}^{m} u_{i}^{2}\right)^{1 / 2}. Show that HH is orthogonal.

(b) Suppose that A∈Rm×n,x∈RnA \in \mathbb{R}^{m \times n}, x \in \mathbb{R}^{n} and b∈Rmb \in \mathbb{R}^{m} with n<mn<m. Show that if xx minimises ∥Ax−b∥2\|A x-b\|^{2} then it also minimises ∥QAx−Qb∥2\|Q A x-Q b\|^{2}, where QQ is an arbitrary m×mm \times m orthogonal matrix.

(c) Using Householder reflection, find the xx that minimises ∥Ax−b∥2\|A x-b\|^{2} when

A=[12040204]b=[112−1]A=\left[\begin{array}{ll} 1 & 2 \\ 0 & 4 \\ 0 & 2 \\ 0 & 4 \end{array}\right] \quad b=\left[\begin{array}{r} 1 \\ 1 \\ 2 \\ -1 \end{array}\right]

Typos? Please submit corrections to this page on GitHub.