Matrix Decomposition and its Application in Statistics

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Matrix Decomposition and its Application in Statistics

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Matrix Decomposition and its Application in Statistics

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Matrix Decomposition and its Application in Statistics

Nishith Kumar

Lecturer

Department of Statistics

Begum Rokeya University, Rangpur.

Email: nk.bru09@gmail.com

- Introduction
- LU decomposition
- QR decomposition
- Cholesky decomposition
- Jordan Decomposition
- Spectral decomposition
- Singular value decomposition
- Applications

Some of most frequently used decompositions are the LU, QR, Cholesky, Jordan, Spectral decomposition and Singular value decompositions.

- This Lecture covers relevant matrix decompositions, basic numerical methods, its computation and some of its applications.
- Decompositions provide a numerically stable way to solve a system of linear equations, as shown already in [Wampler, 1970], and to invert a matrix. Additionally, they provide an important tool for analyzing the numerical stability of a system.

Some linear system that can be easily solved

The solution:

Lower triangular matrix:

Solution: This system is solved using forward substitution

Upper Triangular Matrix:

Solution:This system is solved using Backward substitution

LU decomposition was originally derived as a decomposition of quadratic and bilinear forms. Lagrange, in the very first paper in his collected works( 1759) derives the algorithm we call Gaussian elimination. Later Turing introduced the LU decomposition of a matrix in 1948 that is used to solve the system of linear equation.

Let A be a m × m with nonsingular square matrix. Then there exists two matrices L and U such that, where L is a lower triangular matrix and U is an upper triangular matrix.

and

Where,

J-L Lagrange

(1736 –1813)

A. M. Turing

(1912-1954)

A…U (upper triangular) U = Ek E1 A A = (E1)-1 (Ek)-1U

If each such elementary matrix Ei is a lower triangular matrices,it can be proved that (E1)-1,, (Ek)-1 are lower triangular, and(E1)-1 (Ek)-1is a lower triangular matrix.Let L=(E1)-1 (Ek)-1 then A=LU.

U E2 E1 A

Now reducing the first column we have

=

If A is a Non singular matrix then for each L (lower triangular matrix) the upper triangular matrix is unique but an LU decomposition is not unique. There can be more than one such LU decomposition for a matrix. Such as

Now

Therefore,

=

=LU

=LU

=

Calculation of L and U (cont.)

Thus LU decomposition is not unique. Since we compute LU decomposition by elementary transformation so if we change L then U will be changed such that A=LU

To find out the unique LU decomposition, it is necessary to put some restriction on L and U matrices. For example, we can require the lower triangular matrix L to be a unit one (i.e. set all the entries of its main diagonal to ones).

LU Decomposition in R:

- library(Matrix)
- x<-matrix(c(3,2,1, 9,3,4,4,2,5 ),ncol=3,nrow=3)
- expand(lu(x))

- Note: there are also generalizations of LU to non-square and singular matrices, such as rank revealing LU factorization.
- [Pan, C.T. (2000). On the existence and computation of rank revealing LU factorizations. Linear Algebra and its Applications, 316: 199-222.
- Miranian, L. and Gu, M. (2003). Strong rank revealing LU factorizations. Linear Algebra and its Applications, 367: 1-16.]
- Uses: The LU decomposition is most commonly used in the solution of systems of simultaneous linear equations. We can also find determinant easily by using LU decomposition (Product of the diagonal element of upper and lower triangular matrix).

Suppose we would like to solve a m×m system AX = b. Then we can find a LU-decomposition for A, then to solve AX =b, it is enough to solve the systems

Thus the system LY = b can be solved by the method of forward substitution and the system UX = Y can be solved by the method of

backward substitution. To illustrate, we give some examples

Consider the given system AX = b, where

and

We have seen A = LU, where

Thus, to solve AX = b, we first solve LY = b by forward substitution

Then

Now, we solve UX =Y by backward substitution

then

If A is a m×n matrix with linearly independent columns, then A can be decomposed as , where Q is a m×n matrix whose columns form an orthonormal basis for the column space of A and R is an nonsingular upper triangular matrix.

Firstly QR decomposition

originated with Gram(1883).

Later Erhard Schmidt (1907)

proved the QR Decomposition

Theorem

Jørgen Pedersen Gram

(1850 –1916)

Erhard Schmidt

(1876-1959)

Theorem : If A is a m×n matrix with linearly independent columns, then A can be decomposed as , where Q is a m×n matrix whose columns form an orthonormal basis for the column space of A and R is an nonsingular upper triangular matrix.

Proof: Suppose A=[u1 | u2| . . . | un] and rank (A) = n.

Apply the Gram-Schmidt process to {u1, u2 , . . . ,un} and the

orthogonal vectors v1, v2 , . . . ,vn are

Let for i=1,2,. . ., n. Thus q1, q2 , . . . ,qn form a orthonormal

basis for the column space of A.

Now,

i.e.,

Thus uiisorthogonal to qj for j>i;

Let Q= [q1 q2 . . . qn] , so Q is a m×n matrix whose columns form an

orthonormal basis for the column space of A .

Now,

i.e., A=QR.

Where,

Thus A can be decomposed as A=QR , where R is an upper triangular and nonsingular matrix.

Example: Find the QR decomposition of

Applying Gram-Schmidt process of computing QR decomposition

1st Step:

2nd Step:

3rd Step:

4th Step:

5th Step:

6th Step:

Therefore, A=QR

R code for QR Decomposition:

x<-matrix(c(1,2,3, 2,5,4, 3,4,9),ncol=3,nrow=3)

qrstr <- qr(x)

Q<-qr.Q(qrstr)

R<-qr.R(qrstr)

Uses: QR decomposition is widely used in computer codes to find the eigenvalues of a matrix, to solve linear systems, and to find least squares approximations.

The least square solution of b is

Let X=QR. Then

Therefore,

Cholesky died from wounds received on the battle field on 31 August 1918 at 5 o'clock in the morning in the North of France. After his death one of his fellow officers, Commandant Benoit, published Cholesky's method of computing solutions to the normal equations for some least squares data fitting problems published in the Bulletin géodesique in 1924. Which is known as Cholesky Decomposition

Cholesky Decomposition: If A is a real, symmetric and positive definite matrix then there exists a unique lower triangular matrix L with positive diagonal element such that .

Andre-Louis Cholesky

1875-1918

Theorem: If A is a n×n real, symmetric and positive definite matrix then there exists a unique lower triangular matrix G with positive diagonal element such that .

Proof: Since A is a n×n real and positive definite so it has a LU decomposition, A=LU. Also let the lower triangular matrix L to be a unit one (i.e. set all the entries of its main diagonal to ones). So in that case LU decomposition is unique. Let us suppose observe that . is a unit upper triangular matrix.

Thus, A=LDMT .Since A is Symmetric so, A=AT . i.e., LDMT =MDLT. From the uniqueness we have L=M. So, A=LDLT . Since A is positive definite so all diagonal elements of D are positive. Let

then we can write A=GGT.

Procedure To find out the cholesky decomposition

Suppose

We need to solve

the equation

For k from 1 to n

For j from k+1 to n

Suppose

Then Cholesky Decomposition

Now,

- x<-matrix(c(4,2,-2, 2,10,2, -2,2,5),ncol=3,nrow=3)
- cl<-chol(x)
- If we Decompose A as LDLT then
and

Cholesky Decomposition is used to solve the system of linear equation Ax=b, where A is real symmetric and positive definite.

In regression analysis it could be used to estimate the parameter if XTX is positive definite.

In Kernel principal component analysis, Cholesky decomposition is also used (Weiya Shi; Yue-Fei Guo; 2010)

Any nonzero vector x is said to be a characteristic vector of a matrix A, If there exist a number λ such that Ax= λx;

Where A is a square matrix, also then λ is said to be a characteristic root of the matrix A corresponding to the characteristic vector x.

Characteristic root is unique but characteristic vector is not unique.

We calculate characteristics root λfrom thecharacteristic equation |A- λI|=0

For λ=λithe characteristics vectoris thesolution of x from the following homogeneous system of linear equation(A- λiI)x=0

Theorem: If A is a real symmetric matrix and λi and λj are two distinct latent root of A then the corresponding latent vector xi and xj are orthogonal.

Algebraic Multiplicity: The number of repetitions of a certain eigenvalue. If, for a certain matrix, λ={3,3,4}, then the algebraic multiplicity of 3 would be 2 (as it appears twice) and the algebraic multiplicity of 4 would be 1 (as it appears once). This type of multiplicity is normally represented by the Greek letter α, where α(λi) represents the algebraic multiplicity of λi.

Geometric Multiplicity: the geometric multiplicity of an eigenvalue is the number of linearly independent eigenvectors associated with it.

- Let A be any n×n matrix then there exists a nonsingular matrix P and JK(λ) a k×k matrix form
Such that

Camille Jordan

(1838-1921)

where k1+k2+ … + kr =n. Also λi , i=1,2,. . ., r are the characteristic roots

And kiare the algebraic multiplicity of λi ,

Jordan Decomposition is used in Differential equation and time series analysis.

Let A be a m × m real symmetric matrix. Then there exists an orthogonal matrix P such that

or , where Λ is a diagonal matrix.

A. L. Cauchy established the Spectral

Decomposition in 1829.

CAUCHY, A.L.(1789-1857)

By using spectral decomposition we can write

In multivariate analysis our data is a matrix. Suppose our data is X matrix. Suppose X is mean centered i.e.,

and the variance covariance matrix is ∑. The variance covariance matrix ∑ is real and symmetric.

Using spectral decomposition we can write ∑=PΛPT . Where Λ is a diagonal matrix.

Also

tr(∑) = Total variation of Data =tr(Λ)

The Principal component transformation is the transformation

Y=(X-µ)P

Where,

- E(Yi)=0
- V(Yi)=λi
- Cov(Yi ,Yj)=0 if i ≠ j
- V(Y1) ≥ V(Y2) ≥ . . . ≥ V(Yn)

x<-matrix(c(1,2,3, 2,5,4, 3,4,9),ncol=3,nrow=3)

eigen(x)

Application:

- For Data Reduction.
- Image Processing and Compression.
- K-Selection for K-means clustering
- Multivariate Outliers Detection
- Noise Filtering
- Trend detection in the observations.

There are five mathematicians who were responsible for establishing the existence of the

singular value decomposition and developing its theory.

Camille Jordan

(1838-1921)

James Joseph

Sylvester

(1814-1897)

Erhard Schmidt

(1876-1959)

Hermann Weyl

(1885-1955)

Eugenio Beltrami

(1835-1899)

The Singular Value Decomposition was originally developed by two mathematician in the

mid to late 1800’s

1. Eugenio Beltrami , 2.Camille Jordan

Several other mathematicians took part in the final developments of the SVD including James

Joseph Sylvester, Erhard Schmidt and Hermann Weyl who studied the SVD into the mid-1900’s.

C.Eckart and G. Young prove low rank approximation of SVD (1936).

C.Eckart

Any real (m×n) matrix X, where (n≤ m), can be

decomposed,

X = UΛVT

- U is a (m×n) column orthonormal matrix (UTU=I), containing the eigenvectors of the symmetric matrix XXT.
- Λ is a (n×n ) diagonal matrix, containing the singular values of matrix X. The number of non zero diagonal elements of Λ corresponds to the rank ofX.
- VTis a (n×n) row orthonormal matrix (VTV=I), containing the eigenvectors of the symmetric matrix XTX.

Theorem (Singular Value Decomposition) : Let X be m×n of rank r, r ≤ n ≤ m. Then there exist matrices U , V and a diagonal matrix Λ, with positive diagonal elements such that,

Proof: Since X is m × n of rank r, r ≤ n ≤ m. So XXT and XTX both ofrank r ( by using the concept of Grammian matrix ) and of dimension m × m and n × n respectively. Since XXT is real symmetric matrix so we can write by spectral decomposition,

Where Q and D are respectively, the matrices of characteristic vectors and corresponding characteristic roots of XXT.

Again since XTX is real symmetric matrix so we can write by spectral decomposition,

Where R is the (orthogonal) matrix of characteristic vectors and M is diagonal matrix of the corresponding characteristic roots.

Since XXT and XTX are both of rank r, only r of their characteristic roots are positive, the remaining being zero. Hence we can write,

Also we can write,

We know that the nonzero characteristic roots of XXT and XTX are equal so

Partition Q, R conformably with D and M, respectively

i.e., ; such that Qris m × r , Rris n × r and correspond respectively to the nonzero characteristic roots of XXT and XTX. Now take

Where are the positive characteristic roots of XXT and hence those of XTX as well (by using the concept of grammian matrix.)

Now define,

Now we shall show that S=X thus completing the proof.

Similarly,

From the first relation above we conclude that for an arbitrary orthogonal matrix, say P1 ,

While from the second we conclude that for an arbitrary orthogonal matrix, say P2

We must have

The preceding, however, implies that for arbitrary orthogonal matrices P1 , P2 the matrix X satisfies

Which in turn implies that,

Thus

x<-matrix(c(1,2,3, 2,5,4, 3,4,9),ncol=3,nrow=3)

sv<-svd(x)

D<-sv$d

U<-sv$u

V<-sv$v

Matrix A

Full column rank

Lu decomposition

Not always unique

QR Decomposition

Rectangular

Square

Asymmetric

Symmetric

SVD

AM=GM

AM>GM

PD

Similar

Diagonalization

P-1AP=Λ

Jordan

Decomposition

Cholesky

Decomposition

Spectral

Decomposition

Rewriting the SVD

where

r = rank of A

λi = the i-th diagonal element of Λ.

ui and vi are the i-th columns of U and V respectively.

Theorem: If A=UΛVT is the SVD of A and the

singular values are sorted as ,

then for any l <r, the best rank-l approximation

to A is

;

Low rank approximation technique is very much

important for data compression.

- SVD can be used to compute optimal low-rank approximations.
- Approximation of A is Ã of rank k such that
If are the characteristics roots of ATA then

Ã and X are both mn matrices.

Frobenius norm

column notation: sum

of rank 1 matrices

- Solution via SVD

set smallest r-k

singular values to zero

K=2

- How good (bad) is this approximation?
- It’s the best possible, measured by the Frobenius norm of the error:
- where the λi are ordered such that λi λi+1.

Now

Suppose Ri and cjrepresent the i-th row and j-th column of A. The SVD

of A and is

The SVD equation for Ri is

We can approximate Ri by ; l<r

where i = 1,…,m.

Also the SVD equation for Cj is,

where j = 1, 2, …, n

We can also approximate Cj by ; l<r

By using SVD we can solve the inconsistent system.This gives the least square solution.

The least square solution

where Agbe the MP inverse of A.

The SVD of Ag is

This can be written as

Where

Basic Results of SVD

If we reduced variable by using SVD then it performs like PCA.

Suppose Xis a mean centered data matrix, Then

X using SVD, X=UΛVT

wecan write- XV = UΛ

SupposeY = XV = UΛ

Then the first columns of Yrepresents the first

principal component score and so on.

- SVD Based PC is more Numerically Stable.
- If no. of variables is greater than no. of observations then SVD based PCA will give efficient result(Antti Niemistö, Statistical Analysis of Gene Expression Microarray Data,2005)

Application of SVD

- Data Reduction both variables and observations.
- Solving linear least square Problems
- Image Processing and Compression.
- K-Selection for K-means clustering
- Multivariate Outliers Detection
- Noise Filtering
- Trend detection in the observations and the variables.

Prof. Ruben Gabriel, “The founder of biplot”

Courtesy of Prof. Purificación Galindo

University of Salamanca, Spain

- Gabriel (1971)
- One of the most important advances in data analysis in recent decades
- Currently…
- > 50,000 web pages
- Numerous academic publications
- Included in most statistical analysis packages

- Still a very new technique to most scientists

- “Biplot” = “bi” + “plot”
- “plot”
- scatter plot of two rows OR of two columns, or
- scatter plot summarizing the rows ORthe columns

- “bi”
- BOTH rows AND columns

- “plot”
- 1 biplot >> 2 plots

Practical definition of a biplot“Any two-way table can be analyzed using a 2D-biplot as soon as it can be sufficiently approximated by a rank-2 matrix.” (Gabriel, 1971)

(Now 3D-biplots are also possible…)

Matrix decomposition

E1

G2

G1

P(4, 3) G(3, 2) E(2, 3)

E2

G4

E3

G3

G-by-E table

The ‘rank’ of Y, i.e., the minimum number of PC required to fully represent Y

Matrix characterising the rows

Matrix characterising the columns

“Singular values”

Biplot

Plot

Plot

SVD:

Common uses value

of f

f=1

SVP:

f=0

f=1/2

Rows scores

Column scores

- The simplest biplot is to show the first two PCs together with the projections of the axes of the original variables
- x-axis represents the scores for the first principal component
- Y-axis the scores for the second principal component.
- The original variables are represented by arrows which graphically indicate the proportion of the original variance explained by the first two principal components.
- The direction of the arrows indicates the relative loadings on the first and second principal components.
- Biplot analysis can help to understand the multivariate data
i) Graphically

ii) Effectively

iii) Conveniently.

1= Setosa

2= Versicolor

3= Virginica

Pansy Flower image, collected from

http://www.ats.ucla.edu/stat/r/code/pansy.jpg

This image is 600×465 pixels

Plot of the singular values

Rank-1 approximation

Rank- 5 approximation

Rank-20 approximation

Rank-30 approximation

Rank-50 approximation

Rank-80 approximation

Rank-100 approximation

Rank-120 approximation

Rank-150 approximation

True Image

Nishith and Nasser (2007,MSc. Thesis) propose a graphical method of outliers detection using SVD.

It is suitable for both general multivariate data and regression data. For this we construct the scatter plots of first two PC’s, and first PC and third PC. We also make a box in the scatter plot whose range lies

median(1stPC) ± 3 × mad(1stPC) in the X-axis and median(2ndPC/3rdPC) ± 3 × mad(2ndPC/3rdPC) in the Y-axis.

Where mad = median absolute deviation.

The points that are outside the box can be considered as extreme outliers. The points outside one side of the box is termed as outliers. Along with the box we may construct another smaller box bounded by 2.5/2 MAD line

HAWKINS-BRADU-KASS

(1984) DATA

Data set containing 75 observations

with 14 influential observations.

Among them there are ten high

leverage outliers (cases 1-10)

and for high leverage points

(cases 11-14) -Imon (2005).

Scatter plot of Hawkins, Bradu and kass data (a) scatter plot of first two PC’s and

(b) scatter plot of first and third PC.

MODIFIED BROWN DATA

Data set given by Brown (1980).

Ryan (1997) pointed out that the

original data on the 53 patients

which contains 1 outlier

(observation number 24).

Imon and Hadi(2005) modified

this data set by putting two more

outliers as cases 54 and 55.

Also they showed that observations

24, 54 and 55 are outliers by using

generalized standardized

Pearson residual (GSPR)

Scatter plot of modified Brown data (a) scatter plot of first

two PC’s and (b) scatter plot of first and third PC.

Singular Value Decomposition is also used for cluster detection (Nishith, Nasser and Suboron, 2011).

The methods for clustering data using first three PC’s are given below,

median (1st PC) ± k × mad (1st PC) in the X-axis and median (2nd PC/3rd PC) ± k × mad (2nd PC/3rd PC) in the Y-axis.

Where mad = median absolute deviation. The value of k = 1, 2, 3.

The climatic variables are,

- Rainfall (RF) mm
- Daily mean temperature (T-MEAN)0C
- Maximum temperature (T-MAX)0C
- Minimum temperature (T-MIN)0C
- Day-time temperature (T-DAY)0C
- Night-time temperature (T-NIGHT)0C
- Daily mean water vapor pressure (VP) MBAR
- Daily mean wind speed (WS) m/sec
- Hours of bright sunshine as percentage of maximum possible sunshine hours (MPS)%
- Solar radiation (SR) cal/cm2/day

Generally many missing values may present in the data. It may also contain

unusual observations. Both types of problem can not handle Classical singular

value decomposition.

Robust singular value decomposition can solve both types of problems.

Robust singular value decomposition can be obtained by alternating L1 regression approach (Douglas M. Hawkins, Li Liu, and S. Stanley Young, (2001)).

The Alternating L1 Regression Algorithm for Robust Singular Value Decomposition.

There is no obvious choice of the initial values of

Initialize the leading

left singular vector

Fit the L1 regression coefficient cj by minimizing ; j=1,2,…,p

Calculate right singular vector v1=c/║c║

, where ║.║ refers to Euclidean norm.

Again fit the L1 regression coefficient

di by minimizing ; i=1,2,….,n

Calculate the resulting estimate of the left eigenvector ui=d/ ║d║

- Iterate this process untill it converge.

For the second and subsequent of the SVD, we replaced X by a deflated matrix

obtained by subtracting the most recently found them in the SVD X X-λkukvkT

- Brown B.W., Jr. (1980). Prediction analysis for binary data. in Biostatistics Casebook, R.G. Miller, Jr., B. Efron, B. W. Brown, Jr., L.E. Moses (Eds.), New York: Wiley.
- Dhrymes, Phoebus J. (1984), Mathematics for Econometrics, 2nd ed. Springer Verlag, New York.
- Hawkins D. M., Bradu D. and Kass G.V.(1984),Location of several outliers in multiple regression data using elemental sets. Technometrics, 20, 197-208.
- Imon A. H. M. R. (2005). Identifying multiple influential observations in linear Regression. Journal of Applied Statistics 32, 73 – 90.
- Kumar, N. , Nasser, M., and Sarker, S.C., 2011. “A New Singular Value Decomposition Based Robust Graphical Clustering Technique and Its Application in Climatic Data” Journal of Geography and Geology, Canadian Center of Science and Education , Vol-3, No. 1, 227-238.
- Ryan T.P. (1997). Modern Regression Methods, Wiley, New York.
- Stewart, G.W. (1998). Matrix Algorithms, Vol 1. Basic Decompositions, Siam, Philadelphia.
- Matrix Decomposition. http://fedc.wiwi.hu-berlin.de/xplore/ebooks/html/csa/node36.html