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I need to solve the following equation for $\boldsymbol{\mathrm{B}}$

$$\boldsymbol{\mathrm{A}}_{m\times p}=\boldsymbol{\mathrm{B}}^{-1}_{m\times m}\boldsymbol{\mathrm{C}}_{m\times p}$$

The problem is that the matrix $\boldsymbol{\mathrm{C}}$ is not invertible. Any way to approximate or solve this equation for $\boldsymbol{\mathrm{B}}$. Thanks for your time and help.

Note

$p$ could be 1 and in that case $\mathrm{C}\mathrm{C}^{T}$ is not invertible.

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I imagine B^(-1) is invertible (even though you did not say it is), and also A; if A is this is gtg as we can left and right multiply by these to be left with B. It's easy to see that if A isn't invertible uniqueness fails. –  Adam Dec 2 '11 at 23:31
    
My bad, I realized you can't left multiply by B as A is an mxp matrix. As mentioned, there are counterexamples still unless you have stricter conditions. Also, these matrices are of strange sizes. –  Adam Dec 2 '11 at 23:33

3 Answers 3

up vote 3 down vote accepted

If $m<p$ and $\operatorname{rank}(\boldsymbol{\mathrm{C}}) = m$ then the $p\times m$ matrix $\boldsymbol{\mathrm{D}}=\boldsymbol{\mathrm{C}}^T(\boldsymbol{\mathrm{C}} \boldsymbol{\mathrm{C}}^T)^{-1}$ is a right inverse of $\boldsymbol{\mathrm{C}}$, i.e. we have $\boldsymbol{\mathrm{C}}\boldsymbol{\mathrm{D}}= \boldsymbol{\mathrm{I}}_{m\times m}$. So multiplying both sides of the equation on the right by that will give you $\boldsymbol{\mathrm{B}}^{-1}$.

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Thanks for your answer. My bad for typo. Actually $\mathrm{B}$ is a square matrix. –  MYaseen208 Dec 2 '11 at 23:40
    
OK, I've edited my answer according to your revised version of the question. –  Michael Hardy Dec 2 '11 at 23:51
    
If $p=1$ then $CC^{T}$ is not invertible. What would be the solution in this case? –  MYaseen208 Dec 3 '11 at 0:10
    
I think the solution would not be unique in that case. To be continued....... –  Michael Hardy Dec 3 '11 at 2:34

What you seem to need here is to compute a Moore-Penrose pseudoinverse (essentially the same as Michael's answer, but recast in different form).

Start with

$$\mathbf A=\mathbf B^{-1}\mathbf C$$

Now $\mathbf C$ always has a singular value decomposition (SVD): $\mathbf C=\mathbf U\mathbf \Sigma\mathbf V^\top$, where $\mathbf U$ and $\mathbf V$ are orthogonal, and $\mathbf \Sigma$ is diagonal. The Moore-Penrose inverse can be computed as

$$\mathbf C^+=\mathbf V\mathbf \Sigma^+\mathbf U^\top$$

where $\mathbf \Sigma^+$ is obtained by reciprocating only the nonzero diagonal entries (or, in inexact arithmetic, reciprocate the entries that are larger than $\varepsilon\sigma_1$, where $\sigma_1$ is the largest diagonal entry, and $\varepsilon$ is machine epsilon.) This coincides with the usual inverse if $\mathbf C$ is in fact invertible.

Having the SVD on hand, we can do the following:

$$\begin{align*} \mathbf A&=\mathbf B^{-1}\mathbf C\\ \mathbf A&=\mathbf B^{-1}(\mathbf U\mathbf \Sigma\mathbf V^\top)\\ \mathbf A\mathbf V&=\mathbf B^{-1}\mathbf U\mathbf \Sigma\\ \mathbf A\mathbf V\mathbf \Sigma^+&=\mathbf B^{-1}\mathbf U\\ \mathbf A\mathbf V\mathbf \Sigma^+\mathbf U^\top&=\mathbf B^{-1}\\ \mathbf B&=(\mathbf A\mathbf V\mathbf \Sigma^+\mathbf U^\top)^{-1} \end{align*}$$

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MYaseen208 mentioned that it's possible that $m>p$ in which case $A V \Sigma^+ U^T$ is not invertible. –  p.s. Dec 3 '11 at 2:12
    
$\mathbf A\mathbf V\mathbf \Sigma^+=\mathbf B^{-1}\mathbf U$ would not necessarily follow in cases where some of the singular values are $0$. –  Michael Hardy Dec 3 '11 at 2:33
    
It's the best he can do, especially in inexact arithmetic. @p.s., the inverses should be replaced by Moore-Penrose pseudoinverses whenever appropriate. –  J. M. Dec 3 '11 at 2:37
    
Neither my answer nor this one is compmlete. The next step is to say what happens if either $m>p$ or the matrix $\Bbb C$ otherwise fails to have rank as large as $m$. There would be a non-unique solution and the task would be to describe the space of solutions. –  Michael Hardy Dec 3 '11 at 5:47

If you want to do this computationally (with particular numbers), then let $x_j$ be the $j$th row of $B^{-1}$, and let $a_j$ be the $j$th row of $A$. Then you're just trying to solve $x_j C = a_j$ for $x_j$, which is a standard Gaussian elimination problem. If $C$ has rank $m$ then the solution will exist and be unique; if $C$ has rank less than $m$ then there will either be no solution or infinitely many solutions. Once you have $B^{-1}$ or a candidate for $B^{-1}$, then it's equally easy to compute its inverse (again by Gaussian elimination) or show that it's not invertible.

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The problem is Gaussian elimination isn't terribly reliable for rank determination in inexact arithmetic. (If exact arithmetic is available, it's fine.) Golub and Van Loan have a nice discussion on the subtleties of "numerical rank" in their book. –  J. M. Dec 3 '11 at 5:13

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