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Quadratic Forms, Characteristic Roots and Characteristic Vectors

Mohammed Nasser Professor, Dept. of Statistics, RU,Bangladesh

Email: mnasser.ru@gmail.com

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The use of matrix theory is now widespread .- - - -- are essential in ----------modern treatment of univeriate and multivariate statistical methods. ----------C.R.Rao

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Contents Linear Map and MatricesQuadratic Forms and Its Applications in MMClassification of Quadratic Forms Quadratic Forms and Inner ProductDefinitions of Characteristic Roots and Characteristic Vectors Geometric InterpretationsProperties of Grammian MatricesSpectral Decomposition and ApplicationsMatrix Inequalities and MaximizationComputations

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Statistical Concepts/Techniques

Concepts in Vector space

Variance Length of a vector, Qd. forms

Covariance Dot product of two vectors

Correlation Angle bt.two vectors

Regression and Classification

Mapping bt two vector sp.

PCA/LDA/CCA Orthogonal/oblique projection on lower dim.

Relation between MM (ML) and Vector space

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Some Vector Concepts• Dot product = scalar

ii

iT yxyxyxyx

yyy

xxx

3

1332211

3

2

1

321yx

|| x || = (x12+ x2

2 + x32 )1/2

Inner product of a vector with itself = (vector length)2

xT x =x12+ x2

2 +x32 = (|| x

||)2

x1

x2 ||x||

Right-angle triangle

Pythagoras’ theorem

• Length of a vector

1

21 2

1...

nT

n i ii

n

yy

x x x xy

y

x y

|| x || = (x1

2+ x22)1/2

x1

x2

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2 1

2 1

1 1 2 2

sin cos

sin cos

cos cos( ) cos cos sin sin

x ycos

x y cos

T

T

y yy y

x xx x

yx y xx y

x yx y

• Angle between two vectors

Orthogonal vectors: xT y = 0

x

y

=/2

||x||||y||

y2

y1

x

Some Vector Concepts

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Linear Map and Matrices

Linear mappings are almost omnipresent

If both domain and co-domain are both finite-dimensional vector space, each linear mapping can be uniquely represented by a matrix w.r.t. specific couple of bases

We intend to study properties of linear mapping from properties of its matrix

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Linear map and MatricesThis isom

orphism is basis

dependent

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Linear map and Matrices

Let A be similar to B, i.e. B=P-1AP

Similarity defines an equivalent relation in the vector space of square matrices of orde n, i.e. it partitions the vector space in to different equivalent classes.

Each equivalent class represents unique linear operator

How can we choose

i) the simplest one in each equivalent class and

ii) The one of special interest ??

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A major concern of ours is to make the best choice of basis, so that the linear operator with which we are working will have a representing matrix in the chosen basis that is as simple as possible.

Linear map and Matrices

Two matrices representing the same linear transformation with respect to different bases must be similar.

A diagonal matrix is a very useful matrix, for example,

Dn=P-1AnP

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Linear map and Matrices

Each equivalent class represent unique linear operator

Can we characterize the class in simpler way?

Yes, we can Under extra conditions

The concept , characteristic roots plays an important role in this regards

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Definition: The quadratic form in n variables x1, x2, …, xn is the general homogeneous function of second degree in the variables

n

i

n

jjiijn xxaxxxfY ),...,,( 21

Axx

x

xx

aaa

aaaaaa

xxxY T

nnnnn

n

n

n

...

...............

...

...

... 2

1

21

22221

11211

21

In terms of matrix notation, the quadratic form is given by

Quadratic Form

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Examples of Some Quadratic Forms

1 2.3.

2221

21 762 xxxxAxxY T

13322123

22

21 1283021121 xxxxxxxxxAxxY T

2222

211 .... nn

T xaxaxaAxxY

A can be many for a particular quadratic form. To make it unique it is customary to write A as symmetric matrix.

Standard form What is its uses??

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In Fact Infinite A’s• For example 1 we have

to take a12, and a21 s.t.a12 +a21 =6.

• We can do it in infinite ways.

• Symmetric A

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Its Importance in Statistics

Variance is a fundamental concept in statistics. It is nothing but a quadratic form with a idempotent matrix of rank (n-1)

Quadratic forms play a central role in multivariate statistical analysis. For example, principal component analysis, factor analysis, discriminant analysis etc.

Tn

Tn

ii

nIAwhere

Axxn

xxn

111,

;...1)(11

2

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Multivariate Gaussian

0

Its Importance in Statistics

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Bivariate Gaussian

Its Importance in Statistics

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Spherical, diagonal, full covariance

UM

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Quadratic Form as Inner Product

XT AX=(AT X)TX = XT (AX) = XT Y

• Let A=CTC.Then XT AX= XTCTCX=(CX)TCX=YTYXT AY= XTCTCY=(CX)TCY=WT ZWhat is its geometric meaning ?

Different nonsingular Cs represent different inner products

Different inner products different geometries.

Length ofY, ||Y||= (YTY)1/2;

XTY, dot product of X andY

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Euclidean Distance and Mathematical Euclidean Distance and Mathematical DistanceDistance

• Usual human concept of distance is Eucl. Dist.Usual human concept of distance is Eucl. Dist.• Each coordinate contributes equally to the distanceEach coordinate contributes equally to the distance

2222

211

2121

)()()(),(

),,,(),,,,(

pp

pp

yxyxyxQPd

yyyQxxxP

Mathematicians, generalizing its three properties ,

1) d(P,Q)=d(Q,P).2) d(P,Q)=0 if and only if P=Q and

3) d(P,Q)=<d(P,R)+d(R,Q) for all R, define distance on any set.

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Statistical DistanceStatistical Distance• Weight coordinates subject to a great deal of variability Weight coordinates subject to a great deal of variability

less heavily than those that are not highly variableless heavily than those that are not highly variable

Who is nearer to data set if it

were point?

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Statistical Distance for Uncorrelated DataStatistical Distance for Uncorrelated Data

2 22 2* * 1 2

1 211 22

( , ) x xd O P x x

s s

1 2( , ), (0,0)P x x O

* *1 1 11 2 2 22/ , /x x s x x s

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Ellipse of Constant Statistical Distance for Ellipse of Constant Statistical Distance for Uncorrelated DataUncorrelated Data

11sc 11sc

22sc

x1

x2

0

22sc

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Scattered Plot for Scattered Plot for Correlated MeasurementsCorrelated Measurements

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Statistical Distance under Rotated Statistical Distance under Rotated Coordinate SystemCoordinate System

2 211 1 12 1 2 22 2( , ) 2d O P a x a x x a x

1 22 21 2

11 22

(0,0), ( , )

( , )

O P x x

x xd O P

s s

1 1 2

2 1 2

cos sinsin cos

x x xx x x

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General Statistical DistanceGeneral Statistical Distance

)])((2))((2))((2

)(

)()([

),(

]222

[),(

),,,(),0,,0,0(),,,,(

11,1

331113221112

2

22222

21111

1,131132112

22222

2111

2121

pppppp

pppp

pppp

ppp

pp

yxyxayxyxayxyxa

yxa

yxayxa

QPd

xxaxxaxxa

xaxaxaPOd

yyyQOxxxP

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Necessity of Statistical DistanceNecessity of Statistical Distance

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Mahalonobis Distance

)()(),,( 1 μxΣμxΣμx TMDPopulation version:

Sample veersion;

We can robustify it using robust estimators of location and scatter functional

)()(),,( 1 xxSxxSxx TMD

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Classification of Quadratic Form

• Chart: Quadratic Form

Definite Indefinite

Positive Definite

Positive Semi definite

Negative Definite

Negative Semi definite

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Classification of Quadratic FormDefinitions

1. Positive Definite: A quadratic form Y=XTAX is said to be positive definite iff Y=XTAX>0 ; for all x≠0 . Then the matrix A is said to be a positive definite matrix.2. Positive Semi-definite:A quadratic form, Y=XTAX is said to be positive semi-definite iff Y=XTAX>=0 , for all x≠0 and there exists x≠0 such that XTAX=0 . Then the matrix A is said to be a positive semidefinite matrix. 3. Negative Definite: A quadratic form Y=XTAX is said to be negative definite iff Y=XTAX<=0 for all x≠0. Then the matrix A is said to be negative definite matrix

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4. Negative Semi-definite: A quadratic form, is said to be negative semi-definite iff ,

for all x≠0 and there exists x≠0 such that . 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.

AxxY T0 AxxY T

0AxxT

Classification of Quadratic FormDefinitions

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Two Theorems On Quadratic Form

Theorem(1): A quadratic form can always be expressed with respect to a given coordinate system as . where A is a unique symmetric matrix.

Theorem2: Two symmetric matrices A and B represent the same quadratic form if and only if

B=PTAP where P is a non-singular matrix.

AxxY T

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Classification of Quadratic FormImportance of Standard Form

From standard form we can easily classify a quadratic form.

XT AX=

Is positive /positive semi/negative/ negative semidifinite/indefinite if ai >0 for all i/ ai >0 for some i others, a=0/ai <0 for all i,/ ai <0 some i , others, a=0/ Some ai are +ive, some are negative.

2

1i

n

iixa

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That is why using suitable nonsingular trandformation ( why nonsingular??) we try to transform general XT AX into a standard form.If we can find a P nonsingular matrix s.t.

we can easily classify it. We can do it i) for congruent transformation and ii) using eigenvalues and eigen vectors.

matrix diagonal aD, DAPPT

Classification of Quadratic FormImportance of Standard Form

Method 2 is mostly used in MM

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1. Positive Definite: (a). A quadratic form is positive definite iff the nested principal minors of A is given as

Evidently a matrix A is positive definite only if det(A)>0 (b). A quadratic form Y=XTAX be positive definite iff all the

eigen values of A are positive.

0 AxxY T

0

...............

...

,........,0,0,0

21

2....2221

11211

333231

232221

131211

2221

121111

nnnn

n

n

aaa

aaaaaa

aaaaaaaaa

aaaa

a

Classification of Quadratic FormImportance of Determinant, Eigen Values and

Diagonal Element

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2. Positive Semi-definite:(a) A quadratic form is positive semi-definite iff the nested principal minors of A is given as

(b). A quadratic form Y=XTAX is positive semi-definite iff at least one eigen value of A is zero while the remaining roots are positive.

AxxY T

Classification of Quadratic FormImportance of Determinant, Eigen Values and

Diagonal Element

0

...............

...

,........,0,0

21

2....2221

11211

2221

121111

nnnn

n

n

aaa

aaaaaa

aaaa

a

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Continued

3. Negative Definite: (a). A quadratic form is negative definite iff the nested principal minors of A are given as

Evidently a matrix A is negative definite only if (-1)n× det(A)>0;

where det(A) is either negative or positive depending on the order n of A.

(b). A quadratic form Y=XTAX be negative definite iff all the eigen Roots of A are negative.

AxxY T

,........0,0,0

333231

232221

131211

2221

121111

aaaaaaaaa

aaaa

a

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4. Negative Semi-definite:(a)A quadratic form is negative semi-definite iff the nested principal minors of A is given as

Evidently a matrix A is negative semi-definite only if

,that is, det(A)≥0 ( det(A)≤0 ) when n is odd( even). (b). A quadratic form is negative semi-definite iff

at least one eigen value of A is zero while the remaining roots are negative.

AxxY T

AxxY T

0)1( An

,........0,0,0

333231

232221

131211

2221

121111

aaaaaaaaa

aaaa

a

Continued

0)1( An

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Theorem on Quadratic Form(Congruent Transformation)

If is a real quadratic form of n variables x1, x2, …, xn and rank r i.e. ρ(A)=r then there exists a non-singular matrix P of order n such that x=Pz will convert Y in the canonical form

where λ1, λ2, …, λr are all the different from zero.

That implies

AxxY T

2222

211 ... rr zzz

}00,,,diag{D , 1 r

T

TTT

DZZ

APZPZAXX

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Grammian (Gram)Matrix

Grammian Matrix

-----If A be n×m matrix then the matrix S=ATA is called grammian matrix of A. If A is m×n then S=ATA is a symmetric n-rowed matrix.

Propertiesa. Every positive definite or positive semi-definite matrix can be

represented as a Grammian matrixb. The Grammian matrix ATA is always positive definite or

positive semi-definite according as the rank of A is equal to or less than the number of columns of A

c.d. If ATA=0 then A=0

rAAAArA TT )()()(

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What are eigenvalues?

• Given a matrix, A, x is the eigenvector and is the corresponding eigenvalue if Ax = x– A must be square and the determinant of A - I must

be equal to zeroAx - x = 0 ! (A - I) x = 0

• Trivial solution is if x = 0• The non trivial solution occurs when det(A - I) = 0

• Are eigenvectors are unique?– If x is an eigenvector, then x is also an eigenvector

and is an eigenvalue of A,A(x) = (Ax) = (x) = (x)

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Calculating the Eigenvectors/values

• Expand the det(A - I) = 0 for a 2 × 2 matrix

• For a 2 × 2 matrix, this is a simple quadratic equation with two solutions (maybe complex)

• This “characteristic equation” can be used to solve for x

0

00det

01001

detdet

2112221122112

211222112221

1211

2221

1211

aaaaaa

aaaaaaaa

aaaa

IA

}4{21

211222112

22112211 aaaaaaaa

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Eigenvalue example• Consider,

• The corresponding eigenvectors can be computed as

– For = 0, one possible solution is x = (2, -1)– For = 5, one possible solution is x = (1, 2)

5,0)41(02241)41(

0

4221

2

2211222112211

2

aaaaaa

A

00

1224

1224

05005

4221

5

00

4221

4221

00000

4221

0

yxyx

yx

yx

yxyx

yx

yx

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Geometric Interpretation of eigen roots and vectors

We know from the definition of eigen roots and vectors Ax = λx; (**)

where A is m×m matrix, x is m tuples vector and λ is scalar quantity.

From the right side of (**) we see that the vector is multiplied by a scalar. Hence the direction of x and λx is on the same line.

The left side of(**)shows the effect of matrix multiplication of matrix A (matrix operator) with vector x. But matrix operator may change the direction and magnitude of the vector.

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Geometric Interpretation of eigen roots and vectors

Hence our goal is to find such kind of vectors that change in magnitude but remain on the same line after matrix multiplication.

Now the question arises: does these eigen vectors along with their respective change in magnitude characterize the matrix?

Answer is the DECOMPOSITION THEOREMS

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Geometric Interpretation of eigen Roots and Vectors

Y

X

x1

x2

[A] Y

X

Ax1

Geometric Interpretation

Ax2

ZZ

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More to Notice

1 1

2 2

00 a x x

aa x x

1 1

2 2

1 1

2 2

0 0 0 0, 0 b 0 0 0 b

00 b

a x x aa bx x

a x axx bx

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Properties of Eigen Values and Vectors

If B=CAC-1, where A, B and C are all n×n then A and B have same eigen roots. If x is the eigen Vector of A then Cx for BThe eigen roots of A and AT are same.A eigen Vector x≠o can not be associated with more than one eigen Root The eigen Vectors of a matrix A are linearly independent if they corresponds to distinct roots.Let A be a square matrix of order m and suppose all its roots are distinct. Then A is similar to a diagonal matrix Λ,i.e. P-

1AP= Λ.eigen Roots and vectors are all real for any real symmetric matrix, A If λi and λj are two distinct roots of a real symmetric matrix A, then vectors xi and xj are orthogonal

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If λ1, λ2, … , λm are the eigen roots of the non-singular matrix A then λ1

-1, λ2-1, … , λm

-1 are the eigen roots of A-1.

Let A, B be two square matrices of order m. Then the eigen roots of AB are exactly the eigen roots of BA.

Let A, B be respectively m×n and n×m matrices, where m≤n. Then the eigen Roots of (BA)n×n consists of n-m zeros and the m eigen Roots of (AB)m×m.

Properties of Eigen Values and Vectors

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Let A be a square matrix of order m and λ1, λ2, … , λm be its eigen Roots then .Let A be a m×m matrix with eigen Roots λ1, λ2, … , λm then tr(A) = tr(Λ) = λ1+ λ2+ … + λm .

If A has eigen Roots λ1, λ2, … , λm then A-kI has eigen Roots λ1-k, λ2-k, … , λm-k and kA has the eigen Roots kλ1, kλ2, … , kλm , where k is scalar.

If A is an orthogonal matrix then all its eigen Roots have absolute value 1.Let A be a square matrix of order m; suppose further that A is idempotent. Then its eigen Roots are either 0 or 1.

m

i iA1

Properties of Eigen Values and Vectors

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Eigen/diagonal Decomposition

• Let be a square matrix with m linearly independent eigenvectors (a “non-defective” matrix)

• Theorem: Exists an eigen decomposition

– (cf. matrix diagonalization theorem)

• Columns of U are eigenvectors of S• Diagonal elements of are eigenvalues of

diagonalUnique for

distinct eigen-values

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Diagonal decomposition: why/how

mvvU ...1Let U have the eigenvectors as columns:

m

mmmm vvvvvvSSU

............

1

1111

Then, SU can be written

And S=UU–1.

Thus SU=U, or U–1SU=

UM

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Diagonal decomposition - example

Recall .3,1;2112

21

S

The eigenvectors and form

11

11

1111

U

Inverting, we have

2/12/12/12/11U

Then, S=UU–1 =

2/12/1

2/12/13001

1111

RecallUU–1 =1.

UM

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Example continued

Let’s divide U (and multiply U–1) by 2

2/12/12/12/1

3001

2/12/12/12/1

Then, S=

Q (Q-1= QT )

Why? …

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Symmetric Eigen Decomposition

• If is a symmetric matrix:

• Theorem: Exists a (unique) eigen decomposition• where Q is orthogonal:

– Q-1= QT

– Columns of Q are normalized eigenvectors

– Columns are orthogonal.

– (everything is real)

TQQS

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Spectral Decomposition theorem• If A is a symmetric m ×m matrix with i and ei,

i = 1 m being the m eigenvector and eigenvalue pairs, then

– This is also called the eigen( spectral) decomposition theorem

• Any symmetric matrix can be reconstructed using its eigenvalues and eigenvectors

Tm

i m

Ti

miimmm

Tm

mmm

m

T

mm

T

mmmPPeeAeeeeeeA

1 111112

122

11

111

m

mmmmm

00

0000

,, 2

1

21 eeeP

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Example for Spectral Decomposition• Let A be a symmetric, positive definite matrix

• The eigenvectors for the corresponding eigenvalues are

• Consequently,

02316.016.65

0det8.24.04.02.2

2

IAA

51,

52,

52,

51

21TT ee

4.08.08.06.1

4.22.12.16.0

51

52

51

52

25

25

1

52

51

38.24.04.02.2

A

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The Square Root of a MatrixThe spectral decomposition allows us to express a

square matrix in terms of its eigenvalues and eigenvectors.

This expression enables us to conveniently create a square root matrix.A is a p x p positive definite matrix with the spectral

decomposition:

k

'i i i

i 1A ee P = [ e1 e2 e3 … ep]

k

' 'i i i

i 1A ee P P

where P’P = PP’ = I and = diag(i).

If

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The Square Root of a Matrix

112 2

p

0 00 0

0 0This implies (P1/2P’)PP’ = P1/2P’ = (PP’)

Let

The matrix

1 1k

' '2 2i i i

i 1P P ee A

Is called he square root of A

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Matrix Square Root Properties

The square root of A has the following properties(prove them):

'1 12 2A A

1 12 2A A A

-1 1 1 -12 2 2 2A A A A I

-1 -1 -1 112 2 2 2 where

-1

A A A A A

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Physical Interpretation of SPD(Spectral Decomposition)

e1e2

Suppose xT Ax = c2. For p = 2, all x that satisfy this equation form an ellipse, i.e., c2 = 1(xTe1)2

+ 2(xT e2)2 (using SPD of p.d. A).

Let x1 = c 1-1/2 e1 and x2 = c λ2

-1/2 e2. Both x satisfy the above equation in the direction of eigenvector. Note that the length of x is c 1

-1/2. ||x|| is inversely propotional to sqrt of eigen values of A.

What w

ill be the case if w

e replace A by A

-1 ?

Var(eTi

x)=e

iTVar(X)eT=

Λi ith eigen value

ofVar(X)

All points at same ellipse-distance.

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Matrix Inequalitiesand 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

(b’d)2 (b’Bb)(d’B-1d)with equality iff b=kB-1d or (or d=kB -1d) for some constant c.

- Maximization Lemma – let d be a given p x 1 vector and B be a p x p positive definite matrix. Then for an arbitrary nonzero vector x

21' 'max 'x 0

x dd B dx Bx

with the maximum attained when x = kB-1d for any constant k.

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Matrix Inequalitiesand 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

1 1

p p

' (attained when = )max '' (attained when = )min '

x 0

x 0

x Bx x ex xx Bx x ex x

1 kk+1 k+1,

' (attained when , k 1,2, ,p-1)max 'x e e

x Bx x ex x

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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

Calculation in R

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Thank you