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INVERSION OF AN M M OR N N MATRIX
ANTONY JAMESON
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and
1
1
2
V BV = ,
..
.
N
the solution of (1) is easily obtained as
1 ,
X = U XV
where
cij
xij =
i + j
and
C = U 1 CV.
In fact the matrix of the expanded system (2) is reduced to a diagonal form by the trans-
formation
h T i
V 1 U (IN A) + B T IM V U 1
T
1 + 1
2 + 1
3 + 1
..
=
. .
+
1 2
..
.
M + N
C0 = 0,
C1 =C = AX + XB,
C2 = AC1 C1 B + AC0 B = A2 X XB 2 ,
C3 = AC2 C2 B + AC1 B = A3 X + XB 3 ,
Ck = ACk1 Ck1B + ACk2B = Ak X (1)k XB k ,
|I A| = M + a1 M 1 + + aM = ( 1 ) ( 2 ) ( M ) = 0
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and
|I B| = N + b1 N 1 + + bN = ( 1 ) ( 2 ) ( N ) = 0.
According to the Cayley-Hamilton theorem these are satisfied by A and B themselves. There-
fore
CN b1 CN 1 + + (1)N 1 bN 1 C1
= AN X b1 AN 1 X + + (1)N 1 bN 1 AX + (1)N bN X
and
CM a1 CM 1 + + aM 1 C1
h i
= aM X (1)M XB M a1 XB M 1 + + (1)M 1 aM 1 XB .
Thus
h i
X = G1 CN b1 CN 1 + + (1)N 1 bN 1 C1
= (1)M 1 [CM + a1 CM 1 + + aM 1 C1 ] H 1,
where
G = AN b1 AN 1 + + (1)N bN I
= (A + 1 I) (A + 2 I) (A + N I)
and
H = B M a1 B M 1 + + (1)M aM I
= (B + 1 I) (B + 2 I) (B + M I) .
a1 = tr (A) ,
1
a2 = a1 tr (A) + tr A2 ,
2
1
a3 = a2 tr (A) + a1 tr A2 + tr A3 ,
3
1
aM 1 tr (A) + aM 2 tr A2 + + tr AM = (1)M |A| .
aM =
M
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In the case of the Lyapunov equation
AX + XAT = C,
the coefficients ai and bi coincide and could be determined in the course of taking the powers
of A to form the G matrix. By adding or subtracting the characteristic equation for A, the
G matrix can also be expressed in the terms of even or odd powers of A only:
G = 2 (1)N aN I + aN 2 A2 +
= 2 (1)N 1 aN 1 A + aN 3 A3 + .
References
[1] S. Lefschetz and J. P. LaSalle, Stability by Lyapunovs Direct Method, Academic Press,
New York, 1961.
[2] R. A. Smith, Matrix Calculations for Liapunov quadratic forms, J. Differential Equations, 2
(1966), pp. 208-217.
[3] S. Barnett and C. Storey, Analysis and synthesis of stability matrices, Ibid., 3 (1967),
pp. 414-422.
[4] Er-Chieh Ma, A finite series solution of the matrix equation AX XB = C, this Journal,
14 (1966), pp. 490-495.
[5] Richard Bellman, Introduction to Matrix Analysis, McGraw-Hill, New York, 1960.
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