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Lecture 8
Least-norm solutions of undetermined
equations
8–1
Underdetermined linear equations
we consider
y = Ax
where A ∈ Rm×n is fat (m < n), i.e.,
we’ll assume that A is full rank (m), so for each y ∈ Rm, there is a solution
{ x | Ax = y } = { xp + z | z ∈ N (A) }
minimize kxk
subject to Ax = y
N (A) = { x | Ax = 0 }
xln
• A† = (AT A)−1 AT
• Q ∈ Rn×m, QT Q = Im
then
• kxlnk = kR−T yk
minimize xT x
subject to Ax = y
∇xL = 2x + AT λ = 0, ∇λ L = Ax − y = 0
• find least norm force that transfers mass unit distance with zero final
velocity, i.e., y = (1, 0)
0.04
xln
0.02
−0.02
−0.04
−0.06
0 2 4 6 8 10 12
1
t
0.8
position
0.6
0.4
0.2
0
0 2 4 6 8 10 12
0.2
t
velocity
0.15
0.1
0.05
0
0 2 4 6 8 10 12
T
−1
xµ = A A + µI AT y
T
−1 T T T −1
A A + µI A →A AA
consider problem
minimize kAx − bk
subject to Cx = d
with variable x
• equivalent to
minimize (1/2)kAx − bk2
subject to Cx = d
• Lagrangian is
∇xL = AT Ax − AT b + C T λ = 0, ∇λL = Cx − d = 0
x = (AT A)−1(AT b − C T λ)
C(AT A)−1(AT b − C T λ) = d
so
T −1 T −1 T −1 T
λ = C(A A) C C(A A) A b−d