矩阵基本性质
矩阵$A$的第$i$⾏第$j$列的元素为$A_{\text{ij}}$。我们⽤$I_{N}$或($I$)表⽰$N \times N$的单位矩阵。
1.矩阵的加减法
(1)${C}={A \pm B}$,对应元素相加减
(2)矩阵加减法满足的运算法则
a.交换律:${A + B}={B + A}$
b.结合律:$\left( {A + B} \right) + {B}{= A+}({B + C})$
c.${A + 0}={A}$
d.$A - A= 0$
2.矩阵的数乘
(1)$\bf{B}=\lambda\bf{A}$,各元素均乘以常数
(2)矩阵数乘满足的运算法则
a.数对矩阵的分配律:$\lambda\left( \bf{A + B}\right)\bf=\lambda\bf{A +}\lambda\bf{B}$
b.矩阵对数的分配律:$\left( \lambda\bf{+}\mu\right)\bf{A}\bf=\lambda\bf{A +}\mu\bf{A}$
c.结合律:$\left( \text{λμ}\right)\bf{A}\bf=\lambda\bf{(}\mu\bf{A}\bf{)}$
d.$\bf{ 0 \bullet A}\bf{= 0}$
3.矩阵的乘法
(1)$\bf{C}\bf=\bf{A}{\bf{l \times n}}\bf{B}{\bf{n\times m}}$,左行右列对应元素相乘后求和为C的第$\bf{l}$行第$\bf{m}$列的元素
(2)矩阵乘法满足的运算法则
a.对于一般矩阵不满足交换律,只有两个方正满足且有$\bf{\text{AI}}\bf=\bf{IA= A}$
b.分配律:$\bf{A}\left( \bf{B + C} \right)\bf{=AB}\bf{+}\bf{\text{AC}}$
c.结合律:$\bf{\ }\left( \bf{\text{AB}}\right)\bf{C}\bf=\bf{A}\bf{(}\bf{\text{BC}}\bf{)}$
d.数乘结合律:$\lambda\left( \bf{\text{AB}}\right)\bf=\bf{A}\bf{(}\lambda\bf{B}\bf{)}$
4.矩阵的转置
$\bf{A}^{\bf{T}}$,${\bf{(}\bf{A}^{\bf{T}}\bf{)}}{\text{ij}} = A{\text{ji}}$
(1)矩阵的幂:$A^{1} = A$,$\ A^{2} = \text{AA}$,…,$\ A^{k + 1} = A(A^{k})$
(2)矩阵乘法满足的运算法则
a.${\bf{(}\bf{A}^{\bf{T}}\bf{)}}^{\bf{T}}\bf{= A}$
b.$\bf{\ }{\bf{(A + B}\bf{)}}^{\bf{T}} =\bf{A}^{\bf{T}}\bf{+}\bf{B}^{\bf{T}}$
c.$\bf{\ }{\bf{(}\lambda\bf{A}\bf{)}}^{\bf{T}} =\lambda(\bf{A}^{\bf{T}}\bf{)}$
d.$\bf{\ }{\bf{(AB}\bf{)}}^{\bf{T}} =\bf{A}^{\bf{T}}\bf{B}^{\bf{T}}$
5.对称矩阵
$\bf{A}^{\bf{T}}\bf{= A}$即$a_{\text{ij}} =a_{\text{ji}}$;
反对称矩阵:$\bf{A}^{\bf{T}}\bf{= - A}$即$a_{\text{ij}} = {-a}_{\text{ji}}$
(1)设$\bf{A}\bf{,}\bf{B}$为(反)对称矩阵,则$\bf{A \pm B}$仍是(反)对称矩阵。
(2)设$\bf{A}\bf{,}\bf{B}$为对称矩阵,则$\bf{\text{AB}}$或$\bf{\text{BA}}$仍是对称矩阵的充要条件$\bf{\text{AB}}$=$\bf{\text{BA}}$。
(3)设$\bf{A}$为(反)对称矩阵,则$\bf{A}^{\bf{T}}$,$\lambda\bf{A}$也是(反)对称矩阵。
(4)对任意矩阵$\bf{A}$,则$\bf{H} \equiv \frac{1}{2}\left(\bf{A} + \bf{A}^{\bf{T}} \right),\bf{S} \equiv \frac{1}{2}\left(\bf{A} + \bf{A}^{\bf{T}}\right)$分别是对称矩阵和反对称矩阵且$\bf{A} = \bf{H} + \bf{S}$.
(5)${\bf{(}\bf{A}^{\bf{T}}\bf{)}}^{\bf{T}} = \bf{A}$
6. Hermite矩阵:
$\bf{A}^{\bf{H}}\bf{= A}$,即$a_{\text{ij}}= \overset{\overline{}}{a_{\text{ji}}}$;
反Hermite矩阵,$\bf{A}^{\bf{H}}\bf{= - A}$即$a_{\text{ij}} =\overset{\overline{}}{a_{\text{ji}}}$
a.$\bf{A}^{\bf{H}}\bf={\bf{(}\overset{\overline{}}{A}\bf{)}}^{\bf{T}}$
b.$\bf{\ }{\bf{(A + B}\bf{)}}^{\bf{H}} =\bf{A}^{\bf{H}}\bf{+}\bf{B}^{\bf{H}}$
c.$\bf{\ }{\bf{(}\lambda\bf{A}\bf{)}}^{\bf{H}} =\overset{\overline{}}{\lambda}(\bf{A}^{\bf{H}}\bf{)}$
d.$\bf{\ }{\bf{(AB}\bf{)}}^{\bf{H}} =\bf{A}^{\bf{H}}\bf{B}^{\bf{H}}$
e. ${\bf{(}\bf{A}^{\bf{T}}\bf{)}}^{\bf{T}} = \bf{A}$
f.$\bf{\ }{\bf{(}\bf{A}^{\bf{H}}\bf{)}}^{\bf{- 1}} ={\bf{(}\bf{A}^{\bf{-1}}\bf{)}}^{\bf{H}}$(当$\bf{A}$矩阵可逆时)
7.正交矩阵
若$\bf{A}^{\bf{T}}\bf{A = A}\bf{A}^{\bf{T}}\bf{=E}$,,则$\bf{A,(B) \in}\bf{E}^{\bf{n \times n}}$是正交矩阵
(1)$\bf{A}^{- \bf{1}} =\bf{A}^{\bf{T}}\bf{\in}\bf{E}^{\bf{n \times n}}$
(2)$\det\bf{A}\bf{= \pm}1$
(3)$\bf{\text{AB}}$,$\bf{\ BA \in}\bf{E}^{\bf{n \times n}}$
8.酉矩阵
若$\bf{A}^{\bf{H}}\bf{A = A}\bf{A}^{\bf{H}}\bf{=E}$,则$\bf{A,(B) \in}\bf{U}^{\bf{n \times n}}$是酉矩阵
(1)$\bf{A}^{- \bf{1}} =\bf{A}^{\bf{H}}\bf{\in}\bf{U}^{\bf{n \times n}}$
(2)$\left| \det\bf{A} \right|\bf=1$
(3)$\bf{\text{AB}}$,$\bf{\ BA \in}\bf{U}^{\bf{n \times n}}$
(4)$\bf{A}^{\bf{T}}\bf{\in}\bf{U}^{\bf{n \times n}}$
9.正规矩阵
若$\bf{A}^{\bf{H}}\bf{A =A}\bf{A}^{\bf{H}}$,则$\bf{A}$是正规矩阵;
若$\bf{A}^{\bf{T}}\bf{A =A}\bf{A}^{\bf{T}}$,则$\bf{A}$是实正规矩阵
10.矩阵的迹和行列式
(1)$\text{tr}\left( \bf{A} \right) = \sum_{\bf{i} =\bf{1}}^{\bf{n}}\bf{a}{\bf{\text{ii}}} = \sum{\bf{i} =\bf{1}}^{\bf{n}}\bf{\lambda}_{\bf{i}}$为矩阵$\bf{A}$的迹;$\left|\bf{A} \right|$或$det(\bf{A})$为行列式
(2)$\text{tr}\left( \bf{\text{AB}} \right) = \text{tr}\left(\bf{\text{BA}} \right)$;注:矩阵乘法不满足交换律
(3)$\text{tr}\left( \bf{\text{ABC}} \right) = \text{tr}\left(\bf{\text{CBA}} \right) = \text{tr}\left( \bf{\text{BCA}} \right)$
(4)$A =\bf{\text{UB}}\bf{U}^{\bf{\dagger}}$,$\bf{\text{\U}}$为酉矩阵,则$\text{tr}\left( \bf{A} \right) = \text{tr}\left(\bf{B} \right)$
(5)$\left| \bf{I}{\bf{M}}\bf{+ A}\bf{B}^{\bf{T}}\right|\bf=\left|\bf{I}{\bf{N}}\bf{+}\bf{A}^{\bf{T}}\bf{B} \right|$
(6)$\left| \bf{I}{\bf{M}}\bf{+ a}\bf{b}^{\bf{T}}\right|\bf=\left|\bf{I}{\bf{N}}\bf{+}\bf{a}^{\bf{T}}\bf{b} \right|$
(7)$\left| \bf{A}^{\bf{T}} \right|\bf=\left| \bf{A}\right|$
(8)$\left| \lambda\bf{A} \right|\bf=\lambda^{n}\left| \bf{A}\right|$
(9)$\left| \bf{\text{AB}} \right| = \left| \bf{A} \right|\left|\bf{B} \right|$
(10)$det(I + \bf{\text{AB}}) = det(I + \bf{\text{BA}})$
(11)$\left| \bf{A} \right| = \prod_{\bf{i} =\bf{1}}^{\bf{M}}\bf{\lambda}_{\bf{i}}$
(12)$\bf{C} = \log\left\lbrack \det\left( \bf{I}{\bf{M}} +\bf{\text{HQ}}\bf{H}^{*} \right) \right\rbrack$,$\ \bf{Q} =\frac{\bf{\rho}}{\bf{N}}\bf{I}{\bf{N}}$,则$\bf{C} =\sum_{i = 1}^{m}{\log}{\left(1+\frac{\rho}N\lambda_{i}\right)}$其中$\lambda_{i}$为$\bf{H}\bf{H}^{*}$奇异分解值的特征值
11.矩阵的伴随矩阵$\bf{A}^{\bf{*}}$
(1)设$\bf{A} = \left{ \bf{a}{\bf{\text{ij}}}\right}$由行列式$\left| \bf{A}\right|$的代数余子式$\bf{A}{\bf{\text{ij}}}$所构成的矩阵
(2)$\bf{A}\bf{A}^{} = \bf{A}^{}\bf{A} = \left| A\right|\bf{I}$
12.矩阵的逆(逆矩阵是唯一的)
(1)A的逆矩阵记作$\bf{A}^{- \bf{1}}$,$\ \bf{A}\bf{A}^{-\bf{1}} = \bf{A}^{- \bf{1}}\bf{A} = \bf{I}$;
(2)$\left| \bf{A} \right| \neq0$($\bf{A}$为非奇矩阵)时,$\bf{A}^{- \bf{1}} =\frac{\bf{1}}{\left| \bf{A} \right|}\bf{A}^{*}$
(3)$\left| \bf{A} \right| \neq 0$且$\lambda \neq0$,则${\bf{(}\lambda\bf{A}\bf{)}}^{\bf{- 1}} =\frac{1}{\lambda}\bf{A}^{\bf{- 1}}$
(4)由$\bf{A}{\bf{B}\bf{B}^{- \bf{1}}\bf{A}}^{-\bf{1}} = \bf{I}$,得${(\bf{\text{AB}})}^{- \bf{1}} =\bf{A}^{\bf{- 1}}\bf{B}^{\bf{- 1}}$
(5)${\bf{(}\bf{A}^{\bf{T}}\bf{)}}^{\bf{- 1}} ={\bf{(}\bf{A}^{\bf{- 1}}\bf{)}}^{\bf{T}}$
(6)若$\left| \bf{A} \right| \neq 0,\left| \bf{A}^{\bf{- 1}}\right|\bf=\frac{\bf{1}}{\left| \bf{A} \right|}$
(7)若$\bf{A}$是非奇上(下)三角矩阵,则$\bf{A}^{\bf{-1}}$也上(下)三角矩阵
(8)$\bf{A}^{- k} = {\bf{(}\bf{A}^{\bf{- 1}}\bf{)}}^{k}$
(9)${\bf{(}\bf{P}^{\bf{-1}}\bf{+}\bf{B}^{\bf{T}}\bf{R}^{\bf{-1}}\bf{B}\bf{)}}^{\bf{-1}}\bf{B}^{\bf{T}}\bf{R}^{\bf{- 1}}\bf{=P}{\bf{B}^{\bf{T}}\bf{(}\bf{\text{BPB}}^{\bf{T}}\bf{+}\bf{R}\bf{)}}^{\bf{-1}}$
(10)${\bf{(}\bf{I}\bf{+}\bf{\text{AB}}\bf{)}}^{\bf{-1}}\bf{A =B}{\bf{(}\bf{I}\bf{+}\bf{\text{BA}}\bf{)}}^{\bf{- 1}}$
(11)Woodbury恒等式
${\bf{(}\bf{A}\bf{+}\bf{B}\bf{D}^{\bf{-1}}\bf{C}\bf{)}}^{\bf{- 1}}\bf=\bf{A}^{\bf{-1}}\bf{-}\bf{A}^{\bf{- 1}}\bf{B}{\bf{(D+}\bf{C}\bf{A}^{\bf{- 1}}\bf{B}\bf{)}}^{\bf{-1}}\bf{C}\bf{A}^{\bf{- 1}}$
(12)$\bf{A}^{\bf{- 1}}\bf{= U} \land^{-1}\bf{U}^{\bf{H}}$
12.对角矩阵
矩阵$\bf{A}$为对称矩阵,$\bf{Q}$正交矩阵,则$\bf{Q}^{\bf{-1}}\bf{AQ =diag}\bf{(}\bf{\lambda}{\bf{1}}\bf{\cdots,}\bf{\lambda}{\bf{n}}\bf{)}$为对角矩阵或$\bf{U}^{\bf{-1}}\bf{AU =}\bf{U}^{\bf{H}}\bf{AU = diag}\left(\bf{\lambda}{\bf{1}}\bf{\cdots,}\bf{\lambda}{\bf{n}}\right)\bf= \land$,则$\bf{A = U} \land\bf{U}^{\bf{H}}\bf=\sum_{\bf{i} =\bf{1}}^{\bf{n}}{\bf{\lambda}{\bf{i}}u{i}u_{i}^{T}}$;${\bf{A}^{\bf{- 1}}\bf{= U} \land^{-1}\bf{U}^{\bf{H}}\bf=\sum_{\bf{i} =\bf{1}}^{\bf{n}}{\frac{1}\bf{\lambda}{\bf{i}}}u{i}u_{i}^{T}}$
13.矩阵的导数
(1)$\frac{\partial}{\partial x}\left( \bf{\text{AB}} \right) =\frac{\partial\bf{A}}{\partial x}\bf{B} +\bf{A}\frac{\partial\bf{B}}{\partial x}$
(2)$\frac{\partial}{\partial x}\left( \bf{A}^{\bf{- 1}} \right) = -\bf{A}^{\bf{- 1}}\frac{\partial\bf{A}}{\partial x}\bf{A}^{\bf{- 1}}$
(3)$\frac{\partial}{\partial x}\ln\left| \bf{A} \right| = tr\left(\bf{A}^{\bf{- 1}}\frac{\partial\bf{A}}{\partial x} \right)$
(4)$\frac{\partial}{\partial A_{\text{ij}}}\text{tr}\bf{(AB)} =B_{\text{ij}}$
(5)$\frac{\partial}{\partial\bf{A}}\text{tr}\bf{(AB)} =\bf{B}^{T}$
(6)$\frac{\partial}{\partial\bf{A}}\text{tr}\bf{(}\bf{A}^{T}\bf{B)}= \bf{B}$
(7)$\frac{\partial}{\partial\bf{A}}\text{tr}\bf{(A)} = \bf{I}$
(8)$\frac{\partial}{\partial\bf{A}}\text{tr}\bf{(AB}\bf{A}^{T}\bf{)}= \bf{A(B +}\bf{B}^{T}\bf{)}$
(9)$\frac{\partial}{\partial\bf{A}}\ln\left| \bf{A} \right| = \left(\bf{A}^{\bf{- 1}} \right)^{T}$