# Linear Algebra ReviewÂ¶

### January 9, 2018Â¶

In [106]:
import numpy as np
import matplotlib
import matplotlib.pyplot as plt
from IPython.display import HTML, Image

In [107]:
np.set_printoptions(suppress=True, linewidth=120, precision=2)


## 1 IntroductionÂ¶

Why is linear algebra important in machine learning? Machine learning methods often involves a large amount of data. Linear algebra provides a clever way to analyze and manipulate such data. To make the argument more concrete, let's take a look at some sample dataset.

### 1.1 Boston House Prices datasetÂ¶

In [108]:
boston = load_boston()
print(boston.DESCR)

Boston House Prices dataset
===========================

Notes
------
Data Set Characteristics:

:Number of Instances: 506

:Number of Attributes: 13 numeric/categorical predictive

:Median Value (attribute 14) is usually the target

:Attribute Information (in order):
- CRIM     per capita crime rate by town
- ZN       proportion of residential land zoned for lots over 25,000 sq.ft.
- INDUS    proportion of non-retail business acres per town
- CHAS     Charles River dummy variable (= 1 if tract bounds river; 0 otherwise)
- NOX      nitric oxides concentration (parts per 10 million)
- RM       average number of rooms per dwelling
- AGE      proportion of owner-occupied units built prior to 1940
- DIS      weighted distances to five Boston employment centres
- TAX      full-value property-tax rate per $10,000 - PTRATIO pupil-teacher ratio by town - B 1000(Bk - 0.63)^2 where Bk is the proportion of blacks by town - LSTAT % lower status of the population - MEDV Median value of owner-occupied homes in$1000's

:Missing Attribute Values: None

:Creator: Harrison, D. and Rubinfeld, D.L.

This is a copy of UCI ML housing dataset.
http://archive.ics.uci.edu/ml/datasets/Housing

This dataset was taken from the StatLib library which is maintained at Carnegie Mellon University.

The Boston house-price data of Harrison, D. and Rubinfeld, D.L. 'Hedonic
prices and the demand for clean air', J. Environ. Economics & Management,
vol.5, 81-102, 1978.   Used in Belsley, Kuh & Welsch, 'Regression diagnostics
...', Wiley, 1980.   N.B. Various transformations are used in the table on
pages 244-261 of the latter.

The Boston house-price data has been used in many machine learning papers that address regression
problems.

**References**

- Belsley, Kuh & Welsch, 'Regression diagnostics: Identifying Influential Data and Sources of Collinearity', Wiley, 1980. 244-261.
- Quinlan,R. (1993). Combining Instance-Based and Model-Based Learning. In Proceedings on the Tenth International Conference of Machine Learning, 236-243, University of Massachusetts, Amherst. Morgan Kaufmann.
- many more! (see http://archive.ics.uci.edu/ml/datasets/Housing)



The dataset is loaded as an object that has the following attributes.

In [109]:
print(boston.__dir__())

dict_keys(['data', 'target', 'DESCR', 'feature_names'])


You can access the features and target values as NumPy arrays. In array, each row corresponds to a sample. Here, I show the first 10 samples by slicing the array.

In [110]:
print(boston.feature_names)
print(boston.data[:10])

['CRIM' 'ZN' 'INDUS' 'CHAS' 'NOX' 'RM' 'AGE' 'DIS' 'RAD' 'TAX' 'PTRATIO' 'B' 'LSTAT']
[[   0.01   18.      2.31    0.      0.54    6.58   65.2     4.09    1.    296.     15.3   396.9     4.98]
[   0.03    0.      7.07    0.      0.47    6.42   78.9     4.97    2.    242.     17.8   396.9     9.14]
[   0.03    0.      7.07    0.      0.47    7.18   61.1     4.97    2.    242.     17.8   392.83    4.03]
[   0.03    0.      2.18    0.      0.46    7.     45.8     6.06    3.    222.     18.7   394.63    2.94]
[   0.07    0.      2.18    0.      0.46    7.15   54.2     6.06    3.    222.     18.7   396.9     5.33]
[   0.03    0.      2.18    0.      0.46    6.43   58.7     6.06    3.    222.     18.7   394.12    5.21]
[   0.09   12.5     7.87    0.      0.52    6.01   66.6     5.56    5.    311.     15.2   395.6    12.43]
[   0.14   12.5     7.87    0.      0.52    6.17   96.1     5.95    5.    311.     15.2   396.9    19.15]
[   0.21   12.5     7.87    0.      0.52    5.63  100.      6.08    5.    311.     15.2   386.63   29.93]
[   0.17   12.5     7.87    0.      0.52    6.     85.9     6.59    5.    311.     15.2   386.71   17.1 ]]

In [111]:
print('MEDV')
print(boston.target[:10][:, np.newaxis])

MEDV
[[ 24. ]
[ 21.6]
[ 34.7]
[ 33.4]
[ 36.2]
[ 28.7]
[ 22.9]
[ 27.1]
[ 16.5]
[ 18.9]]


### 1.2 Linear regression modelÂ¶

Linear regression model is one of the most simple statistical models. It assumes that the target variable $y$ can be explained by weighted sum of feature variables $x_1, x_2, \dots, x_n$. In an equation, a house price can be explained as

$$y = w_{CRIM}x_{CRIM} + w_{ZN}x_{ZN} +, \dots, + w_{MEDV}x_{MEDV} + b.$$

Is the relationship really that simple?

Essentially, all models are wrong, but some are useful.

-- George Box, 1987

Assuming this model is valid and we know all the weights (including the bias term), we can estimate a house price from the feature values. But we don't know the weights... What do we have? Training samples (features and target value pair)!

If we find weights with which the above equation (at least approximately) holds for the training samples, we can say that our model is a "good" (here I'm intentionally being ambiguous) estimator. How do we find such weights? System of equations!

\begin{align*} y^1 &= w_{CRIM}x_{CRIM}^1 + w_{ZN}x_{ZN}^1 +, \dots, + w_{MEDV}x_{MEDV}^1 + b \\ y^2 &= w_{CRIM}x_{CRIM}^2 + w_{ZN}x_{ZN}^2 +, \dots, + w_{MEDV}x_{MEDV}^2 + b \\ \vdots & \\ y^n &= w_{CRIM}x_{CRIM}^n + w_{ZN}x_{ZN}^n +, \dots, + w_{MEDV}x_{MEDV}^n + b \end{align*}

Great, we can solve it (can we?). Let's rewrite the equations with a better notation.

$$\begin{bmatrix} y^1 \\ y^2 \\ \vdots \\ y^n \end{bmatrix} = \begin{bmatrix} x_{CRIM}^1 & x_{ZN}^1 & x_{MEDV}^1 & 1 \\ x_{CRIM}^2 & x_{ZN}^2 & x_{MEDV}^2 & 1 \\ \vdots x_{CRIM}^n & x_{ZN}^n & x_{MEDV}^n & 1 \end{bmatrix} \begin{bmatrix} w_{CRIM} \\ w_{ZN} \\ \vdots \\ w_{MEDV} \\ b \end{bmatrix}$$

More simply, $$\begin{bmatrix} y^1 \\ y^2 \\ \vdots \\ y^n \end{bmatrix} = \begin{bmatrix} \boldsymbol{x^1} \\ \boldsymbol{x^2} \\ \vdots \\ \boldsymbol{x^n} \end{bmatrix} \boldsymbol{w}$$

or even...,

$$\boldsymbol{y} = X\boldsymbol{w}$$

Yes, this is beautiful. This notation is used in linear algebra, and it is a very powerful tool for us to tackle machine learing problems. The objective here is to find parameters $\boldsymbol{w}$ that makes this equation valid, i.e. to solve the equation for $\boldsymbol{w}$. We call this process to learn a model (parameterized function) from data.

## 2. Matrices and VectorsÂ¶

### 2.1 MatrixÂ¶

$$A= \begin{bmatrix} 0 & 1 & 2 \\ 3 & 4 & 5 \end{bmatrix}, \quad A \in \mathbb{R}^{2\times3}$$

A matrix is a rectangular array of numbers. The dimension of matrix is number of rows by number of columns. $A_{ij}$ is the $i, j$ entry of $A$, which is in the $i$ th row and the $j$ th column.

In [112]:
A = np.array(np.arange(0, 6)).reshape((2, 3))
print(A)
print(A.shape)

for i in range(A.shape[0]):
for j in range(A.shape[1]):
print("{},{} entry: {}".format(i, j, A[i, j]))##  Matrices and Vectors

[[0 1 2]
[3 4 5]]
(2, 3)
0,0 entry: 0
0,1 entry: 1
0,2 entry: 2
1,0 entry: 3
1,1 entry: 4
1,2 entry: 5


### 2.2 VectorÂ¶

$$\boldsymbol{y} = \begin{bmatrix} 0 \\ 2 \\ 4 \\ 6 \end{bmatrix} , \quad \boldsymbol{y} \in \mathbb{R}^4$$

A vector is a $n\times 1$ matrix. Here $\boldsymbol{y}$ is said to be a 4-dimensional vector because it has 4 elements in it. $\boldsymbol{y}_i$ denotes the $i$ th element of $\boldsymbol{y}$.

In [113]:
y = np.array(2*np.arange(0, 4))
print(y)
print(y.shape)

for i in range(y.shape[0]):
print("{} element: {}".format(i, y[i]))

[0 2 4 6]
(4,)
0 element: 0
1 element: 2
2 element: 4
3 element: 6


## 3 Basic operations on matrices and vectorsÂ¶

$\begin{bmatrix} 1 & 0 \ 2 & 5 \ 3 & 1 \end{bmatrix} • \begin{bmatrix} 4 & 0.5 \ 2 & 5 \ 0 & 1 \end{bmatrix} = \begin{bmatrix} 5 & 0.5 \ 4 & 10 \ 3 & 2 \end{bmatrix}$

The shapes have to be the same.

In [115]:
A = np.array([[1, 0],
[2, 5],
[3, 1]])
B = np.array([[4, 0.5],
[2, 5],
[0, 1]])
assert A.shape == B.shape
print(A + B)

[[  5.    0.5]
[  4.   10. ]
[  3.    2. ]]


### 3.2 Scalar MultiplicationÂ¶

$3 \times \begin{bmatrix} 1 & 0 \\ 2 & 5 \\ 3 & 1 \end{bmatrix} = \begin{bmatrix} 3 & 0 \\ 6 & 15 \\ 9 & 3 \end{bmatrix}$

In [117]:
A = np.array([[1, 0],
[2, 5],
[3, 1]])
print(3*A)

[[ 3  0]
[ 6 15]
[ 9  3]]


### 3.3 Matrix Vector MultiplicationÂ¶

$A\boldsymbol{x} = \boldsymbol{y}$

$A := m \times n$ matrix (m rows, n columns)
$\boldsymbol{x} := n \times 1$ matrix (n-dimensional vector)
$\boldsymbol{y} := m \times 1$ matrix (m-dimensional vector)

To get $y_i$, multiply $A$'s ith row with vector $x$ element-wise, and add them up.

$\begin{bmatrix} 1 & 2 & 1 & 5 \\ 0 & 3 & 0 & 4 \\ -1 & -2 & 0 & 0 \end{bmatrix} \begin{bmatrix} 1 \\ 3 \\ 2 \\ 1 \end{bmatrix} = ?$

Hint: $\mathbb{R}^{3\times4} \times \mathbb{R}^{4\times1} = \mathbb{R}^{3\times1}$

In [118]:
A = np.array([[1, 2, 1, 5],
[0, 3, 0, 4],
[-1, -2, 0, 0]])
x = np.array([[1],
[3],
[2],
[1]])
y = np.dot(A, x)
y = A.dot(x)  # Another way to get dot product
assert x.shape[0] == A.shape[1]
print(y)

[[14]
[13]
[-7]]


### 3.4 Matrix Matrix MultiplicationÂ¶

$AB = C$

$A := l \times m$ matrix (l rows, m columns matrix)
$B := m \times n$ matrix (m rows, n columns matrix)
$C := l \times n$ matrix (l rows, n columns matrix)

$\begin{bmatrix} 1 & 4 \\ 5 & 3 \\ 2 & 6 \end{bmatrix} \begin{bmatrix} 1 & 8 & 7 & 4 \\ 5 & 6 & 2 & 3 \end{bmatrix} = ?$

Hint: $\mathbb{R}^{3\times2} \times \mathbb{R}^{2\times4} = \mathbb{R}^{3\times4}$

Note that $AB$ and $BA$ are not the same, i.e. matrix multiplication is NOT commutative. Actually, the latter is not even defined. Check the dimension.

In [119]:
A = np.array([[1, 4],
[5, 3],
[2, 6]])
B = np.array([[1, 8, 7, 4],
[5, 6, 2, 3]])
print(A)
print(B)

[[1 4]
[5 3]
[2 6]]
[[1 8 7 4]
[5 6 2 3]]

In [120]:
print(A.dot(B))

[[21 32 15 16]
[20 58 41 29]
[32 52 26 26]]

In [121]:
print(B.dot(A))

---------------------------------------------------------------------------
ValueError                                Traceback (most recent call last)
<ipython-input-121-bd85bdc9bf98> in <module>()
----> 1 print(B.dot(A))

ValueError: shapes (2,4) and (3,2) not aligned: 4 (dim 1) != 3 (dim 0)

## 4. Properties of matricesÂ¶

Is linear algebra all about saving papers? Definitely NO! Do you remember terminologies such as linear independence, rank, span, etc that you learned in the linear algebra course? Did you get the idea of those concepts? Being able to calculate those values is important, but understanding the essense and usage of those comcept is more (at least as) important for the purpose of this course. Let's review those concepts through the Boston house price example. We want to solve this equation.

$$\boldsymbol{y} = X\boldsymbol{w}$$

where $X\in \mathbb{R}^{m\times n}$ and $m>n$. $m$ is greater than $n$ because there are more samples than the number of features (remember rows are samples). In other words, $X$ is a vertically long matrix.

### 4.1 Linear independenceÂ¶

Here, let's assume that all the features (columns of $X$) are linearly independent.

A set of vectors $\{x_1, x_2, \dots, x_n\}\in\mathbb{R}^m$ is said to be (linearly) independent if no vector can be represented as a linear combination of the remaining vectors. [1]

Otherwise, it is linearly dependent. For example, if we have temperature in Fahrenheit and in Celsius as two different features, the latter is represented in terms of the first as

$$FAHRENHEIT = \frac{9}{5}CELSIUS + 32.$$

Such features are linearly dependent. For another example, if we have categorical features like gender, we could have two columns one for male and the other for female. For male samples we can have ones in the male column and zeros in the female column, and do the opposite for female samples. Did you notice that we have a linear dependence here because these features can be represented in the form

$$FEMALE = -MALE + 1.$$

### 4.2 RankÂ¶

For a matrix $A \in \mathbb{R}^{m\times n}$ where $m>n$, if its columns are linearly independent, it is said to be full rank. Formally,

The column rank of a matrix $A \in \mathbb{R}^{m\times n}$ is the size of the largest subset of columns of $A$ that constitute a linearly independent set. With some abuse of terminology, this is often referred to simply as the number of linearly independent columns of $A$. In the same way, the row rank is the largest number of rows of $A$ that constitute a linearly independent set.

For any matrix $A \in \mathbb{R}^{m\times n}$, it turns out that the column rank of $A$ is equal to the row rank of $A$ (though we will not prove this), and so both quantities are referred to collectively as the rank of $A$, denoted as $rank(A)$.

For $A \in \mathbb{R}^{m\times n}$, $rank(A) \leq \min(m, n)$. If $rank(A) = \min(m, n)$, then $A$ is said to be full rank. [1]

Therefore, the first statement holds.

So, again, let's assume that the columns of $X$ are linearly independent, i.e. $X$ is full rank. Here's our first attempt to solve the equation for $\boldsymbol{w}$.

#### The first attemptÂ¶

\begin{align} \boldsymbol{y} &= X\boldsymbol{w} \\ \boldsymbol{w} &= X^{-1}\boldsymbol{y} \end{align}

### 4.3 InverseÂ¶

The inverse of a square matrix $A\in\mathbb{R}^{n\times n}$ is denoted $A^{-1}$, and is the unique matrix such that

$$A^{-1}A=I=AA^{-1}.$$

Note that not all matrices have inverses. Non-square matrices, for example, do not have inverses by definition. However, for some square matrices $A$, it may still be the case that $A^{−1}$ may not exist. In particular, we say that $A$ is invertible or non-singular if $A^{−1}$ exists and non-invertible or singular otherwise. In order for a square matrix $A$ to have an inverse $A^{−1}$, then $A$ must be full rank. [1]

Now, remember that our $X$ is a vertically long matrix i.e. non-square, and cannot be inverted. Threfore, we can't do $\boldsymbol{w} = X^{-1}\boldsymbol{y}$. What can we do, then? Here's our second attempt.

#### The second attemptÂ¶

\begin{align} \boldsymbol{y} &= X\boldsymbol{w} \\ X^{T}\boldsymbol{y} &= X^{T}X\boldsymbol{w} \\ \boldsymbol{w} &= {(X^{T}X)}^{-1}X^{T}\boldsymbol{y} \end{align}

### 4.4 TransposeÂ¶

By convention, an n-dimensional vector is often thought of as a matrix with n rows and 1 column, known as a column vector. If we want to explicitly represent a row vector — a matrix with 1 row and n columns — we typically write $\boldsymbol{x}^T$. [1]

$$\boldsymbol{y} = \begin{bmatrix} 0 \\ 1 \\ 2 \\ 3 \end{bmatrix}, \quad\boldsymbol{y}^T = \begin{bmatrix} 0 & 1 & 2 & 3 \end{bmatrix}, \quad \boldsymbol{y}\in\mathbb{R}^4$$

The transpose can be generalized to matrices.

The transpose of a matrix results from "flipping" the rows and columns. Given a matrix $A\in\mathbb{R}^{m\times n}$, its transpose, written $A^T\in\mathbb{R}^{n\times m}$, is the $n\times m$ matrix whose entries are given by

$$(A^T)_{ij} = A_{ji}.$$

[1]

$$A = \begin{bmatrix} 1 & 2 \\ 3 & 4 \\ 5 & 6 \end{bmatrix}, \quad A^T = \begin{bmatrix} 1 & 3 & 5 \\ 2 & 4 & 6 \end{bmatrix}$$

What is the dimension of $A^TA$?

In [98]:
A = np.array([[1, 2],
[3, 4],
[5, 6]])
print(A)
print(np.dot(A.T, A))

[[1 2]
[3 4]
[5 6]]
[[35 44]
[44 56]]


$A^TA$ is always a square matrix ($\mathbb{R}^{n\times m}\mathbb{R}^{m\times n} = \mathbb{R}^{n\times n}$), and if $A$ is full rank, it is also invertible.

#### The second attemptÂ¶

\begin{align} \boldsymbol{y} &= X\boldsymbol{w} \\ X^{T}\boldsymbol{y} &= X^{T}X\boldsymbol{w} \\ \boldsymbol{w} &= {(X^{T}X)}^{-1}X^{T}\boldsymbol{y} \end{align}

Note that the second equality of the second attempt multiplies both sides by the transpose of $X$. This is to make $X$ invertible so that the third line is valid. This is a correct algebraic approach.

Why don't we get the intuition behind the algebraic manipulations. Consider the linear system

$$\boldsymbol{y} = X\boldsymbol{w}$$

where we have some data such that

$$\boldsymbol{y} = \begin{bmatrix} 1 \\ 2 \\ 2 \end{bmatrix}, \quad X = \begin{bmatrix} 1 & 1 \\ 1 & 2 \\ 1 & 3 \end{bmatrix}$$

for simplicity. This equation is saying that $\boldsymbol{y}$ is a linear combination of column vectors of $X$, i.e.

$$\begin{bmatrix} 1 \\ 2 \\ 2 \end{bmatrix} = w_1\begin{bmatrix} 1 \\ 1 \\ 1 \end{bmatrix} + w_2\begin{bmatrix} 1 \\ 2 \\ 3 \end{bmatrix}.$$

### 4.5 Span and RangeÂ¶

However, there are no such weights. In the linear algebra's terminology, $\boldsymbol{y}$ doesn't lie in the column space of $X$, or the space that column vectors of $X$ spans. Formally,

The $span$ of a set of vectors $\{\boldsymbol{x}_1, \boldsymbol{x}_2, \dots, \boldsymbol{x}_n\}$ is the set of all vectors that can be expressed as a linear combination of $\{\boldsymbol{x}_1, \boldsymbol{x}_2, \dots, \boldsymbol{x}_n\}$. That is,

$$\text{span}(\{\boldsymbol{x}_1, \dots, \boldsymbol{x}_n\}) = \Big\{v:v=\sum_{i=1}^{n}\alpha_{i}\boldsymbol{x}_{i}, \alpha_{i}\in\mathbb{R}\Big\}.$$

[1]

Especially, when $\boldsymbol{x}$'s are the columns of a matrix $X$, their span is said to be the range or the column space of $X$ and denoted $\mathcal{R}(X)$.

Back to the equation

$$\begin{bmatrix} 1 \\ 2 \\ 2 \end{bmatrix} = w_1\begin{bmatrix} 1 \\ 1 \\ 1 \end{bmatrix} + w_2\begin{bmatrix} 1 \\ 2 \\ 3 \end{bmatrix},$$

although the target vector $\boldsymbol{y}$ is 3-dimensional, there are only two column vectors that span the space, i.e. the range of $X$ is just a 2-dimensional plane. Therefore, there certainly exists 3-dimensional vectors that don't lie on this space, like our $\boldsymbol{y}$. Visually, it looks something like this.

In [126]:
Image('../data/column-space.jpg')

Out[126]:

But we want to represent $\boldsymbol{y}$ in terms of $\boldsymbol{x}_i$'s. The best we can do is to find a vector that lies in the range of $X$, but is also as close as possible to $\boldsymbol{y}$.

### 4.6 NormÂ¶

This objective can be formulated by using norm by saying to find $\boldsymbol{w}$ that minimizes $||y - X\boldsymbol{w}||_2$.

A norm of a vector $\Vert x\Vert$ is informally a measure of the “length” of the vector. For example, we have the commonly-used Euclidean or $\ell_2$ norm,

$$\Vert\boldsymbol{x}\Vert_2 = \sqrt{\sum_{i=1}^nx_i^2}.$$

Note that $\Vert \boldsymbol{x}\Vert_2^2 = \boldsymbol{x}^T\boldsymbol{x}$. [1]

If you take the norm of difference of vectors, it is a measure of distance between them. There are several types of norms, but another popular one is $\ell_1$ norm. Given a vector $\boldsymbol{x}\in\mathbb{R}^n$,

$${\Vert\boldsymbol{x}\Vert}_1 = \sum_{i=0}^{n}|x_i|$$

Let's use $\ell_2$ norm as a measure of distance for now. For convinience, we can minimize the square of $\ell_2$ norm without loss of generality. To find weights that minimizes $\Vert\boldsymbol{y} - X\boldsymbol{w}\Vert_2^2$, we can take the derivative of it with respect to $\boldsymbol{w}$ and set to zero. Easy, right?

To this end, the notion of gradient, which is a natural extension of partial derivatives to a vector setting, comes in handy.

Suppose that $f:\mathbb{R}^{m\times n} \rightarrow \mathbb{R}$ is a function that takes as input a matrix $A$ of size $m\times n$ and returns a real value. Then the gradient of $f$ (with respect to $A\in\mathbb{R}^{m\times n}$) is the matrix of partial derivatives, defined as:

$$\nabla_{A}f(A)\in \mathbb{R}^{m\times n}=\begin{bmatrix} \frac{\partial f(A)}{\partial A_{11}} & \frac{\partial f(A)}{\partial A_{12}} & \dots & \frac{\partial f(A)}{\partial A_{1n}} \\ \frac{\partial f(A)}{\partial A_{21}} & \frac{\partial f(A)}{\partial A_{22}} & \dots & \frac{\partial f(A)}{\partial A_{2n}} \\ \vdots & \vdots & \ddots & \vdots \\ \frac{\partial f(A)}{\partial A_{m1}} & \frac{\partial f(A)}{\partial A_{m2}} & \dots & \frac{\partial f(A)}{\partial A_{mn}} \end{bmatrix}$$

i.e., an $m\times n$ matrix with

$${(\nabla_{A}f(A))}_{ij} = \frac{\partial f(A)}{\partial A_{ij}}.$$

Note that the size of $\nabla_{A}f(A)$ is always the same as the size of $A$. So if, in particular, $A$ is just a vector $x\in\mathbb{R}^n$,

$$\nabla_{x}f(x)=\begin{bmatrix} \frac{\partial f(x)}{\partial x_{1}} \\ \frac{\partial f(x)}{\partial x_{2}} \\ \vdots \\ \frac{\partial f(x)}{\partial x_{mx}} \end{bmatrix}$$

[1]

Let $RSS(\boldsymbol{w})$ denote $\Vert y - X\boldsymbol{w}\Vert_2^2$, meaning resisual sum of squares. Minimize $RSS(\boldsymbol{w})$ by taking its gradient with respect to $\boldsymbol{w}$ and set to zero.

\begin{align} RSS(\boldsymbol{w}) &= \Vert\boldsymbol{y} - X\boldsymbol{w}\Vert_2^2 \\ &= {\Bigg(\sqrt{\sum_{i=0}^{m}(y_i - \boldsymbol{x}^i\boldsymbol{w})^2}\Bigg)}^2 \\ &= \sum_{i=0}^{m}{\big(y_i - \boldsymbol{x}^i\boldsymbol{w}\big)}^2 \end{align}\begin{align} \frac{\partial}{\partial w_k}RSS(\boldsymbol{w}) &= \frac{\partial}{\partial w_k}\sum_{i=0}^{m}{\big(y_i - \boldsymbol{x}^i\boldsymbol{w}\big)}^2 \\ &= \frac{\partial}{\partial w_k}\sum_{i=0}^{m}{\big(y_i-\sum_{j=0}^nx_j^iw_j\big)}^2 \\ &= \sum_{i=0}^{m}{\frac{\partial}{\partial w_k}\big(y_i - \sum_{j=0}^nx_j^iw_j\big)}^2 \\ &= \sum_{i=0}^{m}{2\big(y_i - \sum_{j=0}^nx_j^iw_j\big)\frac{\partial}{\partial w_k}\big(y_i - \sum_{j=0}^nx_j^iw_j\big)} \\ &= -2\sum_{i=0}^{m}{(y_i - \boldsymbol{x}^i\boldsymbol{w})x_k^i} \\ &= -2X_k^T(\boldsymbol{y} - X\boldsymbol{w}) \quad (X_k \text{ denotes k-th column of }X) \\ \end{align}

Therefore,

$$\nabla_w RSS(\boldsymbol{w}) = -2X^T(\boldsymbol{y} - X\boldsymbol{w}).$$

By setting the gradient to a zero vector,

\begin{align} \nabla_w RSS(\boldsymbol{w}) &= \boldsymbol{0} \\ -2X^T(\boldsymbol{y} - X\boldsymbol{w}) &= \boldsymbol{0} \\ X^T\boldsymbol{y} &= X^TX\boldsymbol{w} \\ \boldsymbol{w} &= {(X^TX)}^{-1}X^T\boldsymbol{y} \end{align}

Yay! We got the same answer as the algebraic solution by an analytical approach!

### Matrix CalculusÂ¶

Don't worry, you don't have to calculate this all the time. The gradient is a special case of matrix calculus, where we take the derivative of a scalar function with respect to a vector. Similarly, there are cases we take the derivative of vector with respect to vector and derivative of scalar function with respect to matrix, etc. Fortunatelly, matrix/vector calculus can be done by natural analogies of multivariable calculus, and here are some formulas that we can use.

\begin{array}{c c} f & \frac{\partial f}{\partial x} \\\hline A\boldsymbol{x} & A^T \\ \boldsymbol{x}^TA & A \\ \boldsymbol{x}^T\boldsymbol{x} & 2\boldsymbol{x} \\ \boldsymbol{x}^T\boldsymbol{x} & A\boldsymbol{x}+A^T\boldsymbol{x} \\ \end{array}

Therefore,

\begin{align} \frac{\partial}{\partial\boldsymbol{w}}RSS(\boldsymbol{w}) &= \frac{\partial}{\partial\boldsymbol{w}}\Vert\boldsymbol{y} - X\boldsymbol{w}\Vert_2^2 \\ &= \frac{\partial}{\partial\boldsymbol{w}}{(\boldsymbol{y} - X\boldsymbol{w})}^T(\boldsymbol{y} - X\boldsymbol{w}) \\ &= 2(\boldsymbol{y} - X\boldsymbol{w})\frac{\partial}{\partial\boldsymbol{w}}(\boldsymbol{y} - X\boldsymbol{w}) \\ &= -2(\boldsymbol{y} - X\boldsymbol{w})X^T \\ \end{align}

The rest is the same.

### ProjectionÂ¶

I'll give another perspective to the linear regression solution. This is a geometric approach.

The projection of a vector $y\in\mathbb{R}^m$ onto the span of $\{\boldsymbol{x}_1, \dots, \boldsymbol{x}_n\}$ (here we assume $\boldsymbol{x}_i\in\mathbb{R}^m$) is the vector $\boldsymbol{v}\in\text{span}(\boldsymbol{x}_1,\dots,\boldsymbol{x}_n\})$, such that $\boldsymbol{v}$ is as close as possible to $\boldsymbol{y}$, as measured by the Euclidean norm $\Vert \boldsymbol{v}-\boldsymbol{y}\Vert_2$. We denote the projection as $\text{Proj}(\boldsymbol{y};\{\boldsymbol{x}_1,\dots,\boldsymbol{x}_n\})$ and can define it formally as,

$$\text{Proj}(\boldsymbol{y}; \{\boldsymbol{x}_1,\dots,\boldsymbol{x}_n\})=\text{argmin}_{v\in\text{span}(\{\boldsymbol{x}_1,\dots,\boldsymbol{x}_n\})}\Vert\boldsymbol{y}-\boldsymbol{v}\Vert_2$$

[1]

In [127]:
Image('../data/column-space-2.jpg')

Out[127]:

This is exactly what we are looking for! We want to get the projection of $\boldsymbol{y}$ onto the span of $X$. The target vector is the orange one in the image above.

The projection of a vector onto a plane can be calculated by subtracting the component of the vector that is orthogonal to the plane from itself.

### OrthogonalityÂ¶

orthogonality is the generalization of perpendicularity to the higher dimension.

Two vectors $\boldsymbol{x},\boldsymbol{y}\in\mathbb{R}^n$ are orthogonal if $\boldsymbol{x}^T\boldsymbol{y} = 0$. A vector $\boldsymbol{x}\in\mathbb{R}^n$ is normalized if $\Vert x\Vert_2=1$. A square matrix $U\in\mathbb{R}^{n\times n}$ is orthogonal (note the different meanings when talking about vectors versus matrices) if all its columns are orthogonal to each other and are normalized (the columns are then referred to as being orthonormal). [1]

The component of $\boldsymbol{y}$ which is orthogonal to the span of $X$ is the difference between $\boldsymbol{y}$ and $X\hat{\boldsymbol{w}}$.

$$\boldsymbol{y}-X\hat{\boldsymbol{w}}$$

We know this vector is orthogonal to any vector on the plane including all the column vectors of $X$. It means that their dot product is zero. Collectively, it can be formulated as the equation below.

$$X \perp \boldsymbol{y} - X\hat{\boldsymbol{w}}$$\begin{align} X \cdot (\boldsymbol{y} - X\hat{\boldsymbol{w}}) &= 0 \\ X^T(\boldsymbol{y} - X\hat{\boldsymbol{w}}) &= 0 \\ X^T\boldsymbol{y} - X^T X\hat{\boldsymbol{w}} &= 0 \end{align}$$\boldsymbol{w} = {(X^T X)}^{-1}X^T\boldsymbol{y}$$

Note that this solution is exactly what we got from the algebraic and analytical approach.

## ConclusionÂ¶

We reviewed the basic operations and properties of linear algebra through the linear regression model. Also, we have shown that the weights of the model can be solved as $\boldsymbol{w} = {(X^T X)}^{-1}X^T\boldsymbol{y}$ by several approaches. Unfortunately, however, this form of solution is almost never used for the real world problems for mainly two reasons. First, computing the inverse of matrix is too expensive ($\mathcal{O}(n^3)$) to be practical. Second, it is unstable especially when $X$ is almost singular. To learn more about singularity and linear algebra in general, please refer the Appendix A.

## AppendixÂ¶

### A. Linear algebra visualizedÂ¶

Are you curious why matrices have to be full rank to be invertible? What that means to multiply a vector by a matrix or to multiply matrices by their inverse? Watch these videos. These are some selections from a 15-ish series of linear algebra short course. It visualizes abstract concepts very very very well. I recommend everybody to watch this series.

In [103]:
HTML('<iframe width="560" height="315" src="https://www.youtube.com/embed/k7RM-ot2NWY?rel=0" frameborder="0" allowfullscreen></iframe>')

Out[103]:
In [121]:
HTML('<iframe width="560" height="315" src="https://www.youtube.com/embed/kYB8IZa5AuE?rel=0" frameborder="0" allowfullscreen></iframe>')

Out[121]:
In [122]:
HTML('<iframe width="560" height="315" src="https://www.youtube.com/embed/uQhTuRlWMxw?rel=0" frameborder="0" allowfullscreen></iframe>')

Out[122]:

### B. Transpose and 1d arrays in NumPyÂ¶

You might be wondering why vectors are printed horizontally in NumPy. When 1d arrays are used, NumPy does not distinguish column vectors and row vectors unlike mathematical expressions. To see this:

In [95]:
a = np.array(np.arange(0, 3))
at = a.transpose()
print(a, at)
print(a.shape, at.shape)

[0 1 2] [0 1 2]
(3,) (3,)


To create a column vector, you need to create an n by 1 2D array explicitly.

In [56]:
a = np.array([[i] for i in range(3)])
print(a)
print(a.shape)
print(a.T)

[[0]
[1]
[2]]
(3, 1)
[[0 1 2]]


Note that in order to access the $i$ th element of a column vector $\boldsymbol{y}$, we need to use y[i][0], not y[i]. Also, we cannot easily mask/index arrays with (n, 1) array like we can with (n,) arrays. These subtle differences often cause a bug (at least for me). Therefore, although we use column vectors in mathematical expression, I recommend using (n,) arrays in code unless you really need (n, 1) arrays. In case you want to collapse dimensions, you can use ravel() method.

In [96]:
print(a.ravel())

[0 1 2]