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Linear Algebra Basics
Machine Learning CS 4641
Nakul Gopalan
Georgia Tech
These slides are based on slides from Le Song and Andres Mendez-Vazquez, Chao Zhang, Mahdi Roozbahani, Rodrigo Valente
Some logistics
โข Creating team.
โข Office hours are started from next week.
โข First quiz out this Thursday.
โข First assignment out this Thursday (early release).
Outline
โข Linear Algebra Basics
โข Norms
โข Multiplications
โข Matrix Inversion
โข Trace and Determinant
โข Eigen Values and Eigen Vectors
โข Singular Value Decomposition
โข Matrix Calculus
Why Linear Algebra?
๐ ร ๐๐ ๐
๐๐
๐
๐
1
Example
Linear Algebra Basics
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๐ ร ๐
Outline
โข Linear Algebra Basics
โข Norms
โข Multiplications
โข Matrix Inversion
โข Trace and Determinant
โข Eigen Values and Eigen Vectors
โข Singular Value Decomposition
Norms
๐
๐
๐
๐
๐
Norms
10
๐
๐๐
Vector Norm Examples
Special Matrices
๐ ร ๐
๐
๐ ร ๐
๐
Outline
โข Linear Algebra Basics
โข Norms
โข Multiplications
โข Matrix Inversion
โข Trace and Determinant
โข Eigen Values and Eigen Vectors
โข Singular Value Decomposition
Multiplications
๐ ร ๐ ๐ ร ๐
๐ ร ๐ ๐
๐
๐
๐ ๐
๐ฅ๐ฆ๐
๐ฅ๐๐ฆ: ๐ฅ โ ๐ฆ
๐ฅ๐ฆ๐
Multiplications
T๐ฅ โ ๐ฆ =
Inner Product Properties
Inner Product Properties
Inner Product Properties
Example
Matrix multiplication geometric meaning
Outline
โข Linear Algebra Basics
โข Norms
โข Multiplications
โข Matrix Inversion
โข Trace and Determinant
โข Eigen Values and Eigen Vectors
โข Matrix Decomposition
Linear Independence and Matrix Rank
๐๐
๐
๐
๐ ร ๐
Matrix Rank: Examples
What are the ranks for the following matrices?
Geometric meaning
Matrix Inverse
๐ ร ๐
Outline
โข Linear Algebra Basics
โข Norms
โข Multiplications
โข Matrix Inversion
โข Trace and Determinant
โข Eigen Values and Eigen Vectors
โข Singular Value Decomposition
Matrix Trace
๐ ร ๐
๐ ร ๐
๐ ร ๐
๐ ร ๐
๐
Matrix Determinant
๐
Properties of Matrix Determinant
Outline
โข Linear Algebra Basics
โข Norms
โข Multiplications
โข Matrix Inversion
โข Trace and Determinant
โข Eigen Values and Eigen Vectors
โข Singular Value Decomposition
Eigenvalues and Eigenvectors
๐ ร ๐๐
Computing Eigenvalues and Eigenvectors
๐.
๐ ๐
(๐ด โ ๐๐ผ)
(๐ด โ ๐๐ผ) (๐ด โ ๐๐ผ)
(๐ด โ ๐๐ผ)
Eigenvalue Example
Slide credit: Shubham Kumbhar
Matrix Eigen Decomposition
columns
๐
๐
Outline
โข Linear Algebra Basics
โข Norms
โข Multiplications
โข Matrix Inversion
โข Trace and Determinant
โข Eigen Values and Eigen Vectors
โข Singular Value Decomposition
Covariance matrix
Covariance matrix
Correlation matrix
Correlation matrix
Singular Value Decomposition
43
๐๐ร๐n: instancesd: dimensionsX is a centered matrix
๐ = ๐ฮฃ๐๐
๐๐ร๐ โ ๐ข๐๐๐ก๐๐๐ฆ ๐๐๐ก๐๐๐ฅ โ ๐ ร ๐๐ = ๐ผ
ฮฃ๐ร๐ โ ๐๐๐๐๐๐๐๐ ๐๐๐ก๐๐๐ฅ
V๐ร๐ โ ๐ข๐๐๐ก๐๐๐ฆ ๐๐๐ก๐๐๐ฅ โ ๐ ร ๐๐ = ๐ผ
=
ddd
d
dd
nn
n
vv
vv
uu
uu
X
.........
...
...
......
.........
000
000
00
00
00
.........
...
...
......
.........
1
11111
11
111
๐ ฮฃ ๐๐
๐ < ๐
๐ถ๐ร๐ =๐๐๐
๐
๐ = ๐ฮฃ๐๐
๐ถ =๐๐๐
๐
๐ถ =๐ฮฃ๐๐๐๐ฮฃ๐๐
๐=๐ฮฃ2๐๐
๐
Covariance matrix:
๐ถ =๐ฮฃ2๐๐
๐= ๐
ฮฃ2
๐๐๐
So, we can directly calculate eigenvalue of a covariance matrix by having the singular value of matrix X directly
๐๐ =ฮฃ๐2
๐โ The eigenvalues of covariance matrix
According to Eigen-decomposition definition โ๐ถ๐ = Vฮ
๐ถ๐ = ๐ฮฃ2
๐๐๐๐ = ๐
ฮฃ2
๐
๐๐: Eigenvalue of ๐ถ or covariance matrix
ฮฃ๐: Singular value of ๐ matrix
Geometric Meaning of SVD
Image Credit: Kevin Binz
Summary
โข Linear Algebra Basics
โข Norms
โข Multiplications
โข Matrix Inversion
โข Trace and Determinant
โข Eigen Values and Eigen Vectors
โข Singular Value Decomposition