Compute the (Moore-Penrose) pseudo-inverse of a matrix.
Calculate the generalized inverse of a matrix using its singular-value decomposition (SVD) and including all large singular values.
a : (M, N) array_like
rcond : float
B : (N, M) ndarray
The pseudo-inverse of a matrix A, denoted , is defined as: “the matrix that ‘solves’ [the least-squares problem] ,” i.e., if is said solution, then is that matrix such that .
It can be shown that if is the singular value decomposition of A, then , where are orthogonal matrices, is a diagonal matrix consisting of A’s so-called singular values, (followed, typically, by zeros), and then is simply the diagonal matrix consisting of the reciprocals of A’s singular values (again, followed by zeros). [R40]
|[R40]||(1, 2) G. Strang, Linear Algebra and Its Applications, 2nd Ed., Orlando, FL, Academic Press, Inc., 1980, pp. 139-142.|
The following example checks that a * a+ * a == a and a+ * a * a+ == a+:
>>> a = np.random.randn(9, 6) >>> B = np.linalg.pinv(a) >>> np.allclose(a, np.dot(a, np.dot(B, a))) True >>> np.allclose(B, np.dot(B, np.dot(a, B))) True