Model-based estimation methods: Bonus Sheet 1

Batkhongor Chagnaa, 123456

Vincent Klippel, 444547
April 26, 2024

Bonus Problem 1
a)
||Qx||22 = (Qx)⊤ Qx = x⊤ Q⊤ Q x = x⊤ x = ||x||22 ⇒ ||Qx||22 = ||x||22 ⇔ ||Qx||2 = ||x||2 (1)
| {z }
I

The last step follows from the fact that vector norms are real and nonnegative.

b)
p p
||Q||2 λmax (Q⊤ Q) λmax (I) 1
κ2 (Q) = = = = =1 (2)
||Q−1 ||2
p p
λmin (Q⊤ Q) λmin (I) 1
Using the fact that the eigenvalues of a diagonal matrix are equal to the diagonal entries, thus all
eigenvalues of the identity matrix are 1.

c)
One intermediary result from b) is that ||Q||2 = Q⊤ 2
= 1.

||AQ||2 ≤ ||A||2 ||Q||2 = ||A||2 (3)

||A||2 = AQQ⊤ 2
≤ ||AQ||2 Q⊤ 2
⇒ ||A||2 ≤ ||AQ||2 (4)
By the squeeze theorem, it must follow from ||AQ||2 ≤ ||A||2 ≤ ||AQ||2 that ||AQ||2 = ||A||2 .

With x̃ := Bx:
||QBx||2 ||Qx̃||2 ||x̃||2 ||Bx||2
||QB||2 = sup = sup = sup = sup = ||B||2 (5)
x ||x||2 x ||x||2 x ||x||2 x ||x||2

The third step follows from equation 1.

1
d)
From the definition of the orthogonal matrix it trivially follows that Q−1 = Q⊤ .
κ2 (QA) = ||QA||2 (QA)−1 2
= ||QA||2 A−1 Q⊤ 2
= ||A||2 A−1 2
= κ2 (A) (6)
The third steps follows from the properties shown in c).
κ2 (AQ) = ||AQ||2 (AQ)−1 2
= ||AQ||2 Q⊤ A−1 2
= ||A||2 A−1 2
= κ2 (A) (7)
With the same logic.

e)
Determining the eigenvalues of Q with eigenvector vi ∈ Rn and corresponding eigenvalue λi ∈ R:
Qvi = λi vi ⇒ ||Qvi ||22 = ||λi vi ||22 ⇒ (Qvi )⊤ Qvi = (λi vi )⊤ λi vi ⇒ vi⊤ Q⊤ Q vi = λ2i v ⊤ vi ⇒ 1 = λ2i
| {z }
I
(8)
From thisQfollows that λi ∈ {−1, 1}. Using the connection between the determinant and the eigenvalues
det Q = ni=1 λi (Q) shows that the determinant can only be -1 or 1.

f)
Using the definition of the orthogonal matrix:
 ⊤
QQ̃ QQ̃ = Q̃⊤ Q⊤ Q Q̃ = Q̃⊤ Q̃ = I (9)
| {z } | {z }
I I

Thus their product is also orthogonal.

g)
From the definition of an orthogonal matrix and looking at the matrix as columns follows for all
i, j = 1 . . . n:
 
q1⊤ (
q ⊤   1 if i = j
2
Q⊤ Q = I ⇒ q ⊤  · q1 q2 q3 . . . = I ⇒ qi⊤ qj =

(10)
 
 3 0 otherwise.
..
.
The columns are thus orthogonal to each other and normalized. Another intermediary proof that will be
needed, using Q̃ := Q⊤ with its columns q̃i (which satisfy equation 10 as well because Q⊤ is orthogonal
too) and the column elements qi,j and q̃i,j :
   Pn Pn   
2 2 ⊤ ⊤
n n
X  i,1q q i,1 q i,2 . . . q
i i,1 i q i,1 q i,2 . . . q̃ 1 q̃ 1 q̃ 1 q̃ 2 . . .
X 2 Pn P n 2  ⊤ ⊤
qi qi⊤ = qi,2 qi,1 qi,2 . . . =  i qi,2 qi,1 i qi,2 . . . = q̃2 q̃1 q̃2 q̃2 . . . = I

.
.. .
.. ... .
.. .
.. ... .
.. .
.. ..
i=1 i=1 .
(11)

2
Now for the two proofs that were asked for:
n n n
!
X X X
qi αi = qi qi⊤ y = qi qi⊤ y=y (12)
i=1 i=1 i=1

n 2 n X
n n
X X X
||y||22 = αi qi = αi2 qi⊤ qj = αi2 (13)
i=1 2 i=1 j=1 i=1

The last step follows from equation 10.