Linear Algebra Review

Tyler Chen

If you’re feeling a bit rusty, these are the linear algebra highlights that you will need to get started with some of the pages on this site.

This is by no means a comprehensive introduction to linear algebra, but hopefully can provide a refresher on the topics necessary to understand the conjugate gradient algorithm. I do assume that you have seen linear algebra before, so if everything here looks foreign, I suggest taking a look at Khan Academy videos first.

Some notation

I’ll generally use capital letters to denote matrices, and lower case letters to denote vectors.

When I am talking about the entries of a matrix (or vector), I will use brackets to indicate this. For instance, \([A]_{4,2}\) is the \(4,2\) entry of the matrix \(A\). If I want to take an etire row or column I will indicate this with a colon. So \([A]_{2,:}\) is the 2nd row of \(A\) (think of this as taking the \((2,i)\)-entries for all \(i\)) while \([A]_{:,1}\) is the first column of \(A\). If \(v\) is a vector, then I will often only write one index. Thus, \([v]_3\) denotes the 3-rd element of \(v\) regardless of if \(v\) is a row or column vector.

Some definitions

We will denote the transpose of a matrix by \({\mathsf{T}}\), and the conjugate transpose (also known as Hermitian transpose) by \({\mathsf{H}}\).

A matrix \(A\) is called symmetric if \(A^{\mathsf{T}} = A\), and is called Hermitian if \(A^{\mathsf{H}} = A\).

The identity matrix will be denoted \(I\). Occasionally it may be denoted by \(I_k\) to emphasize that it is of size \(k\).

A vector is called normal if it has norm one.

Two vectors are called orthogonal if their inner product is zero.

If two vectors are both normal, and are orthogonal to one another, they are called orthonormal.

A matrix \(U\) is called unitary if \(U^{\mathsf{H}}U = U U^{\mathsf{H}} = I\). This is equivalent to all the columns being (pairwise) orthonormal.

A Hermitian (symmetric) matrix is called positive definite if \(x^{\mathsf{H}}Ax > 0\) (\(x^{\mathsf{T}}Ax>0\)) for all \(x\). This is equivalent to having all positive eigenvalues.

An eigenvalue of a square matrix \(A\) is any scaler \(\lambda\) for which there exists a vector \(v\) so that \(Av = \lambda v\). The vector \(v\) is called an eigenvector.

Different perspectives on matrix multiplication

Matrix vector products

Let’s start with a matrix \(A\) of size \(m\times n\) (\(m\) columns and \(n\) rows), and a vector \(v\) of size \(n\times 1\) (\(n\) columns and 1 row).

Then the product \(Av\) is well defined, and the \(i\)-th entry of the product is given by, \[ [Av]_i = \sum_{j=1}^{n} [A]_{i,j} [v]_k \]

There are perhaps two dominant ways of thinking about this product. The first is that the \(i\)-th entry is the matrix product of the \(i\)-th row of \(A\) with \(v\). That is, \[ [Av]_i = [A]_{i,:} v \]

Alternatively, and arguably more usefully, the product \(Av\) can be though of as the linear combination of the columns of \(A\), where the coefficients are the entries of \(v\). That is, \[ Av = \sum_{k=1}^m [v]_k [A]_{:,k} \]

For example, suppose we have vectors \(q_1,q_2,\ldots, q_k \in \mathbb{R}^n\), and that \(Q\) is the \(n\times k\) matrix whose columns are \(\{q_1,q_2,\ldots, q_k\}\). Then saying \(x\) is in the span of \(\{q_1,q_2,\ldots, q_k\}\) by deifnition means that there exists coefficients \(c_i\) such that, \[ x = c_1q_1 + c_2q_2 + \cdots + c_kq_k \]

This this exactly the same as saying there exists a vector \(c\in\mathbb{R}^k\) such that, \[ x = Qc \]

Understanding this perspective on matrix vector products will be very useful in understanding the matrix form of the Arnolidi and Lanczos algorithms.

Matrix matrix products

Now, lets keep our matrix \(A\) of size \(m\times n\), and add a matrix \(B\) of size \(n\times p\). Then the product \(AB\) is well defined, and the \(i,j\) entry of the product is given by, \[ [AB]_{i,j} = \sum_{k=1}^{n} [A]_{i,k}[B]_{k,j} \]

Again we can view the \(i,j\) entry as the matrix product of the \(i\)-th row of \(A\) with the \(j\)-th column of \(B\). That is, \[ [AB]_{i,j} = [A]_{i,:} [B]_{:,j} \]

On the other hand, we can view the \(j\)-th column of \(AB\) as the product of \(A\) with the \(j\)-th column of \(B\). That is, \[ [AB]_{:,j} = AB_{:,j} \]

We can now use either of our perspectives on matrix vector products to view \(AB_{:,j}\). This perspective is again useful for understanding the matrix forms of the Arnoldi and Lanczos algorithms.

Inner products and vector norms

Given two vectors \(x\) and \(y\), the Euclidian inner product is defined as, \[ \langle x,y\rangle = x^{\mathsf{H}}y \]

This naturally defines the Euclidian norm (also called 2-norm) of a vector, \[ \|x\| = \|x\|_2 = \sqrt{\langle x,x\rangle} \]

A symmetric positive definite matrix \(A\) naturally induces the \(A\)-inner product, \(\langle \cdot,\cdot \rangle_A\), defined by \[ \langle x,y\rangle_A = \langle x,Ay\rangle = \langle Ax,y \rangle \]

The associated norm, called the \(A\)-norm will is denoted \(\| \cdot \|_A\) and is defined by, \[ \|x\|_A^2 = \langle x,x \rangle_A = \langle x,Ax \rangle = \| A^{1/2}x \| \]

Matrix norms

Usually the matrix norm 2-norm (also called operator norm, spectral norm, Euclidian norm) is defined by, \[ \|A\| = \sup_{v\neq 0} \frac{\|Av\|}{\|v\|} \]

It’s always the case that the 2-norm of a matrix is the largest singular value of that matrix.

Since the singular values and eigenvalues of a positive definite matrix are the same, the 2-norm of a positive definite matrix is the largest eigenvalue.

The 2-norm is submultiplicative. That is, for any two matrices \(A\) and \(B\), \[ \|AB\| \leq \|A\|\|B\| \]

The 2-norm is unitarily invariant. That is, if \(U\) is unitary then \(\|UA\| = \|AU\| = \|A\|\).


The projection of \(x\) onto \(q\) is \[ \operatorname{proj}_q(x) = \frac{\langle x,q \rangle}{\langle q,q\rangle} q \] If we orthogonalize \(x\) against \(q\), we mean take the component of \(x\) orthogonal to \(q\). That is, \[ x - \operatorname{proj}_q(x) = x - \frac{\langle x,q \rangle}{\langle q,q \rangle} q \]

In both cases, if \(q\) is normal, then \(\langle q,q \rangle = 1\)

A matrix is called a projection if \(P^2 = P\). However, we will generally be more concerned with projecting onto a subspace. If \(Q\) has orthonormal columns, then \(QQ^{\mathsf{H}}\) is a projector onto the span of the columns.

In particular, if \(q_1,q_2,\ldots, q_k\) are the columns of \(Q\), then, \[\begin{align*} QQ^{\mathsf{H}}x &= q_1q_1^{\mathsf{H}}x + q_2q_2^{\mathsf{H}}x + \cdots + q_kq_k^{\mathsf{H}}x \\&= \langle q_1, x \rangle q_1 + \langle q_2,x \rangle q_2 + \cdots + \langle q_k, x \rangle q_k \end{align*}\]

This is just the sum of the projections of \(x\) onto each of \(\{q_1,q_2,\ldots, q_k\}\). Therefore, if we want to project onto a subspace \(V\), it is generally helpful to have an orthonormal basis for this subspace.

The point in a subspace \(V\) nearest to a point \(x\) is the projection of \(x\) onto \(V\) (where projection is done with respect to the inner product and distance is measured with the induced norm).

Similarly, if we want to orthogonalize \(x\) against \(q_1,q_2,\ldots, q_k\) we simply remove the projection of \(x\) onto this space from \(x\). That is, \[ x - QQ^*x = (I- QQ^*)x = x - \langle q_1, x \rangle q_1 - \langle q_2,x \rangle q_2 - \cdots - \langle q_k, x \rangle q_k \]

The resulting vector is orthogonal to each of \(\{q_1,q_2,\ldots, q_k\}\).