Biostat 216
using Pkg
Pkg.activate(pwd())
Pkg.instantiate()
Pkg.status() Activating project at `~/Documents/github.com/ucla-biostat-216/2023fall/slides/09-det`Status `~/Documents/github.com/ucla-biostat-216/2023fall/slides/09-det/Project.toml`
[91a5bcdd] Plots v1.39.0
[0c5d862f] Symbolics v5.10.0
[37e2e46d] LinearAlgebrausing LinearAlgebra, Plots, SymbolicsWe review some basic facts about matrix determinant.
The determinant of a square matrix \(\mathbf{A} \in \mathbb{R}^{n \times n}\) is \[ \det (\mathbf{A}) = \sum (-1)^{\phi(j_1,\ldots,j_n)} \prod_{i=1}^n a_{ij_i}, \] where the summation is over all permutation \((j_1, \ldots, j_n)\) of the set of integers \((1,\ldots,n)\) and \(\phi(j_1,\ldots,j_n)\) is the number of transpositions to change \((1,\ldots,n)\) to \((j_1,\ldots,j_n)\). \((-1)^{\phi(j_1,\ldots,j_n)}\) is also called the sign of permutation.
Examples: \(n = 2\) and 3. \[ \det \begin{pmatrix} a_{11} & a_{12} \\ a_{21} & a_{22} \end{pmatrix} = (-1)^{\phi(1,2)} a_{11} a_{22} + (-1)^{\phi(2,1)} a_{12} a_{21} = a_{11} a_{22} - a_{12} a_{21}. \]
# n = 2
@variables A[1:2, 1:2]1-element Vector{Symbolics.Arr{Num, 2}}:
A[1:2,1:2]det(A) |> Symbolics.scalarize\[ \begin{equation} A_{1}ˏ_1 A_{2}ˏ_2 - A_{1}ˏ_2 A_{2}ˏ_1 \end{equation} \]
# n = 3
@variables A[1:3, 1:3]1-element Vector{Symbolics.Arr{Num, 2}}:
A[1:3,1:3]det(A) |> Symbolics.scalarize |> expand\[ \begin{equation} A_{1}ˏ_1 A_{2}ˏ_2 A_{3}ˏ_3 - A_{1}ˏ_1 A_{2}ˏ_3 A_{3}ˏ_2 - A_{1}ˏ_2 A_{2}ˏ_1 A_{3}ˏ_3 + A_{1}ˏ_2 A_{2}ˏ_3 A_{3}ˏ_1 + A_{1}ˏ_3 A_{2}ˏ_1 A_{3}ˏ_2 - A_{1}ˏ_3 A_{2}ˏ_2 A_{3}ˏ_1 \end{equation} \]
# n = 4
@variables A[1:4, 1:4]1-element Vector{Symbolics.Arr{Num, 2}}:
A[1:4,1:4]det(A) |> Symbolics.scalarize |> expand\[ \begin{equation} A_{1}ˏ_1 A_{2}ˏ_2 A_{3}ˏ_3 A_{4}ˏ_4 - A_{1}ˏ_1 A_{2}ˏ_2 A_{3}ˏ_4 A_{4}ˏ_3 - A_{1}ˏ_1 A_{2}ˏ_3 A_{3}ˏ_2 A_{4}ˏ_4 + A_{1}ˏ_1 A_{2}ˏ_3 A_{3}ˏ_4 A_{4}ˏ_2 + A_{1}ˏ_1 A_{2}ˏ_4 A_{3}ˏ_2 A_{4}ˏ_3 - A_{1}ˏ_1 A_{2}ˏ_4 A_{3}ˏ_3 A_{4}ˏ_2 - A_{1}ˏ_2 A_{2}ˏ_1 A_{3}ˏ_3 A_{4}ˏ_4 + A_{1}ˏ_2 A_{2}ˏ_1 A_{3}ˏ_4 A_{4}ˏ_3 + A_{1}ˏ_2 A_{2}ˏ_3 A_{3}ˏ_1 A_{4}ˏ_4 - A_{1}ˏ_2 A_{2}ˏ_3 A_{3}ˏ_4 A_{4}ˏ_1 - A_{1}ˏ_2 A_{2}ˏ_4 A_{3}ˏ_1 A_{4}ˏ_3 + A_{1}ˏ_2 A_{2}ˏ_4 A_{3}ˏ_3 A_{4}ˏ_1 + A_{1}ˏ_3 A_{2}ˏ_1 A_{3}ˏ_2 A_{4}ˏ_4 - A_{1}ˏ_3 A_{2}ˏ_1 A_{3}ˏ_4 A_{4}ˏ_2 - A_{1}ˏ_3 A_{2}ˏ_2 A_{3}ˏ_1 A_{4}ˏ_4 + A_{1}ˏ_3 A_{2}ˏ_2 A_{3}ˏ_4 A_{4}ˏ_1 + A_{1}ˏ_3 A_{2}ˏ_4 A_{3}ˏ_1 A_{4}ˏ_2 - A_{1}ˏ_3 A_{2}ˏ_4 A_{3}ˏ_2 A_{4}ˏ_1 - A_{1}ˏ_4 A_{2}ˏ_1 A_{3}ˏ_2 A_{4}ˏ_3 + A_{1}ˏ_4 A_{2}ˏ_1 A_{3}ˏ_3 A_{4}ˏ_2 + A_{1}ˏ_4 A_{2}ˏ_2 A_{3}ˏ_1 A_{4}ˏ_3 - A_{1}ˏ_4 A_{2}ˏ_2 A_{3}ˏ_3 A_{4}ˏ_1 - A_{1}ˏ_4 A_{2}ˏ_3 A_{3}ˏ_1 A_{4}ˏ_2 + A_{1}ˏ_4 A_{2}ˏ_3 A_{3}ˏ_2 A_{4}ˏ_1 \end{equation} \]
Another interpretation of the determinant is the volume changing factor when operating on a set in \(\mathbb{R}^n\). \(\text{vol}(f(S)) = |\det(\mathbf{A})| \text{vol}(S)\) where \(f: \mathbb{R}^n \mapsto \mathbb{R}^n\) is the linear mapping defined by \(\mathbf{A}\).
Recall that for differentiable function \(f: \mathbb{R}^n \mapsto \mathbb{R}^n\), the Jacobian matrix \(\operatorname{D} f(\mathbf{x}) \in \mathbb{R}^{n \times n}\) is \[ \operatorname{D} f(\mathbf{x}) = \begin{pmatrix} \frac{\partial f_1}{\partial x_1} (\mathbf{x}) & \frac{\partial f_1}{\partial x_2} (\mathbf{x}) & \cdots & \frac{\partial f_1}{\partial x_n} (\mathbf{x}) \\ \frac{\partial f_2}{\partial x_1} (\mathbf{x}) & \frac{\partial f_2}{\partial x_2} (\mathbf{x}) & \cdots & \frac{\partial f_2}{\partial x_n} (\mathbf{x}) \\ \vdots & \vdots & & \vdots \\ \frac{\partial f_n}{\partial x_1} (\mathbf{x}) & \frac{\partial f_n}{\partial x_2} (\mathbf{x}) & \cdots & \frac{\partial f_n}{\partial x_n} (\mathbf{x}) \end{pmatrix} = \begin{pmatrix} \nabla f_1(\mathbf{x})' \\ \nabla f_2(\mathbf{x})' \\ \vdots \\ \nabla f_n(\mathbf{x})' \end{pmatrix}. \] Its determinant, the Jacobian determinant, appears in the higher-dimensional version of integration by substitution or change of variable \[ \int_{f(U)} \phi(\mathbf{v}) \, \operatorname{d} \mathbf{v} = \int_U \phi(f(\mathbf{u})) | \det \operatorname{D} f(\mathbf{u})| \, \operatorname{d} \mathbf{u} \] for function \(\phi: \mathbb{R}^n \mapsto \mathbb{R}\). This result will be used in transformation of random variables in 202A.
For an example of \(n=1\), an indefinite integral can be transformed to a definite integral over box [-1,1] via change of variable \(v = u / (1-u^2)\): \[ \int_{-\infty}^\infty f(v) \, dv = \int_{-1}^1 f\left(\frac{u}{1-u^2}\right) \frac{1+u^2}{(1-u^2)^2} \, du. \]
The determinant of a lower or upper triangular matrix \(\mathbf{A}\) is the product of the diagonal elements \(\prod_{i=1}^n a_{ii}\). (Why?)
Any square matrix \(\mathbf{A}\) is singular if and only if \(\det(\mathbf{A}) = 0\).
Proof (optional): see BR p287.
Product rule: \(\det(\mathbf{A} \mathbf{B}) = \det(\mathbf{A}) \det(\mathbf{B})\).
Proof (optional): see BR p288-289.
Product rule is extremely useful. For example, computer calculates the determinant of a square matrix \(\mathbf{A}\) by first computing the LU decomposition \(\mathbf{A} = \mathbf{L} \mathbf{U}\) and then \(\det(\mathbf{A}) = \det(\mathbf{L}) \det(\mathbf{U})\).
Determinant of an orthogonal matrix is 1 (rotation) or -1 (reflection).
This classifies orthogonal matrices into two classes: rotations and reflections.
# a rotator
θ = π/4
A = [cos(θ) -sin(θ);
sin(θ) cos(θ)]2×2 Matrix{Float64}:
0.707107 -0.707107
0.707107 0.707107det(A)1.0# a reflector
B = [cos(θ) sin(θ);
sin(θ) -cos(θ)]2×2 Matrix{Float64}:
0.707107 0.707107
0.707107 -0.707107B'B2×2 Matrix{Float64}:
1.0 0.0
0.0 1.0det(B)-1.0# 3 points for a triangle
X = [1 1 2 1; 1 3 1 1]
# rotation
Xrot = A * X
# reflection
Xref = B * X2×4 Matrix{Float64}:
1.41421 2.82843 2.12132 1.41421
-1.11022e-16 -1.41421 0.707107 -1.11022e-16plt = plot(X[1, :], X[2, :], color = :blue,
legend = :none, xlims = (-3, 3), ylims = (-3, 3),
xticks = -3:1:3, yticks = -3:1:3,
framestyle = :origin,
aspect_ratio = :equal)
plot!(plt, Xrot[1, :], Xrot[2, :])
plot!(plt, Xref[1, :], Xref[2, :],
annotations = [(-1.5, 2, "rotation"), (2, -1.75, "reflection")])\(\det(\mathbf{A}') = \det(\mathbf{A})\).
\(\det(\mathbf{A}^{-1}) = 1/\det(\mathbf{A})\).
\(\det(c\mathbf{A}) = c^n \det(\mathbf{A})\).
Determinant of a permutation matrix is the sign of the corresponding permutation.
Determinant of triangular block matrix \[\begin{eqnarray*} \det \left( \begin{pmatrix} \mathbf{A} & \mathbf{B} \\ \mathbf{O} & \mathbf{D} \end{pmatrix} \right) = \det (\mathbf{A}) \det (\mathbf{D}). \end{eqnarray*}\]
For \(\mathbf{A}\) and \(\mathbf{D}\) square and nonsingular, \[\begin{eqnarray*} \det \left( \begin{pmatrix} \mathbf{A} & \mathbf{B} \\ \mathbf{C} & \mathbf{D} \end{pmatrix} \right) = \det (\mathbf{A}) \det (\mathbf{D} - \mathbf{C} \mathbf{A}^{-1} \mathbf{B}) = \det(\mathbf{D}) \det(\mathbf{A} - \mathbf{B} \mathbf{D}^{-1} \mathbf{C}). \end{eqnarray*}\]
Proof: Take determinant on the both sides of the matrix identity \[\begin{eqnarray*} \begin{pmatrix} \mathbf{A} & \mathbf{0} \\ \mathbf{0} & \mathbf{D} - \mathbf{C} \mathbf{A}^{-1} \mathbf{B} \end{pmatrix} = \begin{pmatrix} \mathbf{I} & \mathbf{0} \\ - \mathbf{C} \mathbf{A}^{-1} & \mathbf{I} \end{pmatrix} \begin{pmatrix} \mathbf{A} & \mathbf{B} \\ \mathbf{C} & \mathbf{D} \end{pmatrix} \begin{pmatrix} \mathbf{I} & - \mathbf{A}^{-1} \mathbf{B} \\ \mathbf{0} & \mathbf{I} \end{pmatrix}. \end{eqnarray*}\]