Outline

• Algebra notation review
• Matrix operation in R

Algebra notation

• scalar: \(x \in \mathbb{R}\)
• vector: \(\textbf{x} \in \mathbb{R}^p\)

  • by default, we write a vector as a column \[ \textbf{x}= \begin{pmatrix} x_1 \\ x_2 \\ \ldots \\ x_p \end{pmatrix} \]

  • or we can write as the transpose of a row vector

\[ \textbf{x} = (x_1, x_2, \ldots, x_p)^\top \]

• matrix: \(\textbf{X} \in \mathbb{R}^{n\times p}\)

\[ \textbf{X}= \begin{pmatrix} x_{11} & x_{12} & \ldots & x_{1p} \\ x_{21} & x_{22} & \ldots & x_{2p} \\ \ldots \\ x_{n1} & x_{n2} & \ldots & x_{np} \end{pmatrix} \]

Cross product of two vectors

• \(\textbf{a} = (a_1, \ldots, a_p)^\top \in \mathbb{R^p}\)
• \(\textbf{b} = (b_1, \ldots, b_p)^\top \in \mathbb{R^p}\)

\[ \textbf{a}^\top \textbf{b} = \textbf{b}^\top \textbf{a} = a_1b_1 + a_2b_2 + \ldots + a_p b_p = \sum_{i=1}^p a_ib_i \]

• match dimension:
  • \(\textbf{a}^\top \in \mathbb{R}^{1\times p}\)
  • \(\textbf{b} \in \mathbb{R}^{p\times 1}\)
  • \(\textbf{a}^\top \textbf{b} \in \mathbb{R}^{1\times 1} = \mathbb{R}\)
• a special case \[ \textbf{a}^\top \textbf{a} = a_1^2 + a_2^2 + \ldots a_p^2 = \sum_{i=1}^p a_i^2 = \|\textbf{a}\|_2^2 \] \[\|\textbf{a}\|_2 = \sqrt{\sum_{i=1}^p a_i^2}\]

Matrix notation

• a vector \(\textbf{a} = (a_1, \ldots, a_n)^\top \in \mathbb{R}^n\)
• a matrix: \(\textbf{X} \in \mathbb{R}^{n\times p}\)
  • \(\textbf{X} = (\textbf{X}_1, \textbf{X}_2, \ldots, \textbf{X}_p)\)
  • Each \(\textbf{X}_i \in \mathbb{R}^n\)

\[ \textbf{a}^\top\textbf{X} = \textbf{a}^\top (\textbf{X}_1, \textbf{X}_2, \ldots, \textbf{X}_p) = (\textbf{a}^\top \textbf{X}_1, \textbf{a}^\top\textbf{X}_2, \ldots, \textbf{a}^\top\textbf{X}_p) \in \mathbb{R}^{1 \times p} \]

Matrix notation

• matrix \(\textbf{X} \in \mathbb{R}^{n \times p}\): \[\textbf{X}= \begin{pmatrix} x_{11} & x_{12} & \ldots & x_{1p} \\ x_{21} & x_{22} & \ldots & x_{2p} \\ \ldots \\ x_{n1} & x_{n2} & \ldots & x_{np} \end{pmatrix} \]

• matrix \(\textbf{Y} \in \mathbb{R}^{p \times m}\): \[\textbf{Y}= \begin{pmatrix} y_{11} & y_{12} & \ldots & y_{1m} \\ y_{21} & y_{22} & \ldots & y_{2m} \\ \ldots \\ y_{p1} & y_{p2} & \ldots & y_{pm} \end{pmatrix} \]

• matrix \(\textbf{X} \textbf{Y} \in \mathbb{R}^{n \times m}\):

\[\textbf{X} \textbf{Y} = \begin{pmatrix} \sum_{i=1}^p x_{1i}y_{i1} & \sum_{i=1}^p x_{1i}y_{i2} & \ldots & \sum_{i=1}^p x_{1i}y_{im} \\ \sum_{i=1}^p x_{2i}y_{i1} & \sum_{i=1}^p x_{2i}y_{i2} & \ldots & \sum_{i=1}^p x_{2i}y_{im} \\ \ldots \\ \sum_{i=1}^p x_{ni}y_{i1} & \sum_{i=1}^p x_{ni}y_{i2} & \ldots & \sum_{i=1}^p x_{ni}y_{im} \end{pmatrix} \]

Matrix notation

• matrix \(\textbf{X} \in \mathbb{R}^{n \times p}\):
  • \(\textbf{x}_{i} \in \mathbb{R}^p\), \(i = 1,2, \ldots, n\)

\[\textbf{X}= \begin{pmatrix} \textbf{x}_{1}^\top\\ \ldots \\ \textbf{x}_{n}^\top \end{pmatrix} \]

• matrix \(\textbf{Y} \in \mathbb{R}^{p \times m}\):
  • \(\textbf{y}_{j} \in \mathbb{R}^p\), \(j = 1,2, \ldots, m\)

\[\textbf{Y}= (\textbf{y}_{1}, \ldots, \textbf{y}_{m}) \]

• matrix \(\textbf{X} \textbf{Y} \in \mathbb{R}^{n \times m}\):

\[\textbf{X} \textbf{Y} = \begin{pmatrix} \textbf{x}_{1}^\top \textbf{y}_{1} & \textbf{x}_{1}^\top \textbf{y}_{2} & \ldots & \textbf{x}_{1}^\top \textbf{y}_{m} \\ \textbf{x}_{2}^\top \textbf{y}_{1} & \textbf{x}_{2}^\top \textbf{y}_{2} & \ldots & \textbf{x}_{2}^\top \textbf{y}_{m} \\ \ldots \\ \textbf{x}_{n}^\top \textbf{y}_{1} & \textbf{x}_{n}^\top \textbf{y}_{2} & \ldots & \textbf{x}_{n}^\top \textbf{y}_{m} \\ \end{pmatrix} \]

Inverse of a matrix

• matrix \(\textbf{Y} \in \mathbb{R}^{p \times p}\):
• \(I_{p\times p}\) is the identity matrix (the diagnals are 1 and 0 elsewhere)

\[\textbf{Y}^{-1} \textbf{Y} = I\] \[\textbf{Y} \textbf{Y}^{-1} = I\]

• We couldn’t write in the following way, since division is not defined for matrix.

\[\textbf{Y}^{-1} = \frac{I}{\textbf{Y}}\]

Create a matrix

• an example from ?matrix

mdat <- matrix(c(1,2,3, 11,12,13), nrow = 2, ncol = 3, byrow = FALSE,
               dimnames = list(c("row1", "row2"),
                               c("C.1", "C.2", "C.3")))
mdat

##      C.1 C.2 C.3
## row1   1   3  12
## row2   2  11  13

• an alternative way

mdat <- c(1,2,3, 11,12,13)
dim(mdat) <- c(2,3)
rownames(mdat) <- c("row1", "row2")
colnames(mdat) <- c("C.1", "C.2", "C.3")
mdat

##      C.1 C.2 C.3
## row1   1   3  12
## row2   2  11  13

Appending a column or a row to a matrix

dim(mdat)

## [1] 2 3

• appending a column

mat2 <- cbind(mdat, c(3,4))
dim(mat2)

## [1] 2 4

• appending a row

mat3 <- rbind(mdat, c(2,5,8))
dim(mat3)

## [1] 3 3

Subset of a matrix

• by numeric index

mdat[1,1]

## [1] 1

mdat[1,1:2]

## C.1 C.2 
##   1   3

mdat[1,]

## C.1 C.2 C.3 
##   1   3  12

mdat[1,-1]

## C.2 C.3 
##   3  12

mdat[,]

##      C.1 C.2 C.3
## row1   1   3  12
## row2   2  11  13

• by names

dimnames(mdat); rownames(mdat); colnames(mdat)

## [[1]]
## [1] "row1" "row2"
## 
## [[2]]
## [1] "C.1" "C.2" "C.3"

## [1] "row1" "row2"

## [1] "C.1" "C.2" "C.3"

mdat["row1", "C.1"]

## [1] 1

mdat["row2", c("C.2", "C.3")]

## C.2 C.3 
##  11  13

mdat["row1",-2] ## mixed usage

## C.1 C.3 
##   1  12

Transponse of a Matrix

• t()

mat1 <- matrix(1:6,nrow=2,ncol=3)
mat1

##      [,1] [,2] [,3]
## [1,]    1    3    5
## [2,]    2    4    6

t(mat1)

##      [,1] [,2]
## [1,]    1    2
## [2,]    3    4
## [3,]    5    6

Element-wise Multiplication by a Scalar/Vector/Matrix

• by a scalar

mdat * 3

##      C.1 C.2 C.3
## row1   3   9  36
## row2   6  33  39

• by a column vector

mdat * c(1,2)

##      C.1 C.2 C.3
## row1   1   3  12
## row2   4  22  26

• by a matrix of the same dimension

mdat * matrix(1:6,nrow=2,ncol=3)

##      C.1 C.2 C.3
## row1   1   9  60
## row2   4  44  78

Addition/Subtraction by a Scalar/Vector/Matrix

• by a scalar

mdat + 3

##      C.1 C.2 C.3
## row1   4   6  15
## row2   5  14  16

• by a column vector

mdat - c(1,2)

##      C.1 C.2 C.3
## row1   0   2  11
## row2   0   9  11

• by a matrix of the same dimension

mdat + matrix(1:6,nrow=2,ncol=3)

##      C.1 C.2 C.3
## row1   2   6  17
## row2   4  15  19

Matrix Multiplication

• %*%

mat1 <- matrix(1:6,nrow=2,ncol=3)
mat1

##      [,1] [,2] [,3]
## [1,]    1    3    5
## [2,]    2    4    6

mat2 <- matrix(1:6,nrow=3,ncol=2)
mat2

##      [,1] [,2]
## [1,]    1    4
## [2,]    2    5
## [3,]    3    6

mat1 %*% mat2

##      [,1] [,2]
## [1,]   22   49
## [2,]   28   64

mat2 %*% mat1

##      [,1] [,2] [,3]
## [1,]    9   19   29
## [2,]   12   26   40
## [3,]   15   33   51

crossProd

• crossprod(A,B): \(A^\top B\)
• crossprod(A) \(A^\top A\)

A <- matrix(c(1,2), ncol =1)
B <- matrix(c(2,2), ncol=1)

A 

##      [,1]
## [1,]    1
## [2,]    2

B

##      [,1]
## [1,]    2
## [2,]    2

crossprod(A,B)

##      [,1]
## [1,]    6

crossprod(t(A),t(B))

##      [,1] [,2]
## [1,]    2    2
## [2,]    4    4

crossprod(A)

##      [,1]
## [1,]    5

crossprod(t(A))

##      [,1] [,2]
## [1,]    1    2
## [2,]    2    4

Diagonal Matrix

• diag()
  • if input is a square matrix, return the diagnal element.
  • if input is a vector, return a diagnal matrix.
  • if input is a scalar (i.e. k), return this creates a k x k identity matrix

S <- matrix(1:9,3,3)
S

##      [,1] [,2] [,3]
## [1,]    1    4    7
## [2,]    2    5    8
## [3,]    3    6    9

diag(S)

## [1] 1 5 9

diag(c(1,4,7))

##      [,1] [,2] [,3]
## [1,]    1    0    0
## [2,]    0    4    0
## [3,]    0    0    7

diag(3)

##      [,1] [,2] [,3]
## [1,]    1    0    0
## [2,]    0    1    0
## [3,]    0    0    1

Inverse of a Matrix

S <- matrix(c(4,4,-2,2,6,2,2,8,4),3,3)
SI <- solve(S)
SI

##      [,1] [,2] [,3]
## [1,]  1.0 -0.5  0.5
## [2,] -4.0  2.5 -3.0
## [3,]  2.5 -1.5  2.0

S %*% SI

##      [,1] [,2] [,3]
## [1,]    1    0    0
## [2,]    0    1    0
## [3,]    0    0    1

SI %*% S

##      [,1] [,2] [,3]
## [1,]    1    0    0
## [2,]    0    1    0
## [3,]    0    0    1

More about solve

• solve(A, b) Returns vector x in the equation \(b = Ax\) (i.e., \(A^{-1}b\))

set.seed(32608)
(A <- matrix(rnorm(9),3,3))

##             [,1]       [,2]       [,3]
## [1,]  0.07699352  0.3381365 -1.9363229
## [2,] -0.56610906 -0.3786229 -0.5720703
## [3,]  0.80627284  0.7446219  0.7198154

(b <- runif(3))

## [1] 0.5756702 0.8367205 0.2964995

(x <- solve(A,b))

## [1] -7.2976775  7.5871849  0.7374597

A %*% x

##           [,1]
## [1,] 0.5756702
## [2,] 0.8367205
## [3,] 0.2964995

Moore-Penrose Generalized Inverse

• Generalized inverse of a matrix \(A\in \mathbb{R}^{n\times m}\) is defined as \(A^g \in \mathbb{R}^{m\times n}\): \[AA^gA = A\]
• Regular inverse is a special case of Generalized Inverse when \(m = n\) and \(A\) is non-singular.

library(MASS)
set.seed(32608)
A <- matrix(rnorm(9),3,3)
ginv(A)

##            [,1]      [,2]       [,3]
## [1,]  0.7013869 -7.703428 -4.2355174
## [2,] -0.2457031  7.389853  5.2121071
## [3,] -0.5314604  0.984167  0.7417649

(A2 <- A[,1:2])

##             [,1]       [,2]
## [1,]  0.07699352  0.3381365
## [2,] -0.56610906 -0.3786229
## [3,]  0.80627284  0.7446219

ginv(A2)

##           [,1]      [,2]      [,3]
## [1,] -2.572491 -1.640808 0.3338684
## [2,]  3.079399  1.232375 0.5712269

A2 %*% ginv(A2) %*% A2

##             [,1]       [,2]
## [1,]  0.07699352  0.3381365
## [2,] -0.56610906 -0.3786229
## [3,]  0.80627284  0.7446219

Eigen value decomposition

• reference: https://en.wikipedia.org/wiki/Eigendecomposition_of_a_matrix

• A (non-zero) vector \(v \in \mathbb{R}^N\) is an eigenvector of a square matrix \(A\in \mathbb{R}^{N\times N}\) if it satisfies the linear equation \[Av = \lambda v\] where \(\lambda \in \mathbb{R}\) is the eigenvalue corresponding to \(v\). Since if \(v\) is eigenvector, \(bv\) (\(b\in \mathbb{R}\)) is also eigenvector, we restrict \(\|v\|_2 = 1\)

• Let \(A \in \mathbb{R}^{N \times N}\) be a square matrix with N linearly independent eigenvectors, \(v_i (i = 1, \ldots, N)\). Then \(A\) can be factorized as \[A = V \Lambda V^{-1}\]
  • \(\Lambda\) is a diagnal matrix
  • \(V\) is orthonormal in the sense \[VV^\top = I\]

A0 <- c(3,1,1,
       1,3,2,
       1,2,3)
A <- matrix(A0,3,3)
eigen(A)

## eigen() decomposition
## $values
## [1] 5.732051 2.267949 1.000000
## 
## $vectors
##            [,1]       [,2]       [,3]
## [1,] -0.4597008  0.8880738  0.0000000
## [2,] -0.6279630 -0.3250576 -0.7071068
## [3,] -0.6279630 -0.3250576  0.7071068

Q <- eigen(A)$vectors
lambda <- eigen(A)$values

Q %*% t(Q)

##               [,1]          [,2]          [,3]
## [1,]  1.000000e+00 -5.551115e-17  0.000000e+00
## [2,] -5.551115e-17  1.000000e+00 -2.220446e-16
## [3,]  0.000000e+00 -2.220446e-16  1.000000e+00

Q %*% diag(lambda) %*% ginv(Q)

##      [,1] [,2] [,3]
## [1,]    3    1    1
## [2,]    1    3    2
## [3,]    1    2    3

Singular value decomposition (SVD)

• Singular value decomposition of \(M \in \mathbb{R}^{m \times n}\) can be factorized as \(U\Sigma V^\top\)
  • If \(m > n\)
    • \(U \in \mathbb{R}^{m \times n}\) such that \(U^\top U = I_m\).
    • \(\Sigma \in \mathbb{R}^{n \times n}\) diagonal matrix.
    • \(V \in \mathbb{R}^{n \times n}\) such that \(V^\top V = I_n\).
  • If \(m \le n\), \(M \in \mathbb{R}^{m \times n}\), \(M = U\Sigma V^\top\)
    • \(U \in \mathbb{R}^{m \times m}\) such that \(U^\top U= I_m\).
    • \(\Sigma \in \mathbb{R}^{m \times m}\) rectangular diagonal matrix.
    • \(V \in \mathbb{R}^{n \times m}\) such that \(V^\top V= I_m\).

M <- matrix(1:6,2,3) 
M

##      [,1] [,2] [,3]
## [1,]    1    3    5
## [2,]    2    4    6

svd(M)

## $d
## [1] 9.5255181 0.5143006
## 
## $u
##            [,1]       [,2]
## [1,] -0.6196295 -0.7848945
## [2,] -0.7848945  0.6196295
## 
## $v
##            [,1]       [,2]
## [1,] -0.2298477  0.8834610
## [2,] -0.5247448  0.2407825
## [3,] -0.8196419 -0.4018960

svdRes <- svd(M)
svdRes$u %*% diag(svdRes$d) %*% t(svdRes$v)

##      [,1] [,2] [,3]
## [1,]    1    3    5
## [2,]    2    4    6

t(svdRes$u) %*% svdRes$u

##              [,1]         [,2]
## [1,] 1.000000e+00 2.220446e-16
## [2,] 2.220446e-16 1.000000e+00

t(svdRes$v) %*% svdRes$v

##              [,1]         [,2]
## [1,] 1.000000e+00 1.110223e-16
## [2,] 1.110223e-16 1.000000e+00

Determinant and trace of a Matrix

• \(|S|\), where \(S \in \mathbb{R}^{p \times p}\)
  • det()

S <- matrix(c(4,4,-2,2,6,2,2,8,4),3,3)
det(S)

## [1] 8

• \(trace(S)\), where \(S \in \mathbb{R}^{p \times p}\)
  • \(trace(S) = \sum_{i=1}^p S_{ii}\)

S <- matrix(c(4,4,-2,2,6,2,2,8,4),3,3)
sum(diag(S))

## [1] 14

Rank of a Matrix

• Rank represents number of independent columns in a matrix
• rank (rank function has been implemented for the purpose of rank of a vector)
  • To get the rank of a matrix, perform QR decomposition first.

S <- matrix(c(4,4,-2,2,6,2,2,8,4),3,3)
QR <- qr(S)
QR$rank

## [1] 3