Inverse of Rectangular Matrix

Although our matrix to invert \( \boldsymbol{X}^T\boldsymbol{X} \) is a square matrix, our matrix may be singular.

The pseudoinverse is the generalization of the matrix inverse for square matrices to rectangular matrices where the number of rows and columns are not equal.

It is also called the the Moore-Penrose Inverse after two independent discoverers of the method or the Generalized Inverse. It is used for the calculation of the inverse for singular or near singular matrices and for rectangular matrices.

Using the SVD we can obtain the pseudoinverse of a matrix \( \boldsymbol{A} \) (labeled here as \( \boldsymbol{A}_{\mathrm{PI}} \))

where \( \boldsymbol{D}_{\mathrm{PI}} \) can be calculated by creating a diagonal matrix from \( \boldsymbol{\Sigma} \) where we only keep the singular values (the non-zero values). The following code computes the pseudoinvers of the matrix based on the SVD.

import numpy as np
# SVD inversion
def SVDinv(A):
    U, s, VT = np.linalg.svd(A)
    # reciprocals of singular values of s
    d = 1.0 / s
    # create m x n D matrix
    D = np.zeros(A.shape)
    # populate D with n x n diagonal matrix
    D[:A.shape[1], :A.shape[1]] = np.diag(d)
    UT = np.transpose(U)
    V = np.transpose(VT)
    return np.matmul(V,np.matmul(D.T,UT))


A = np.array([ [0.3, 0.4], [0.5, 0.6], [0.7, 0.8],[0.9, 1.0]])
print(A)
# Brute force inversion of super-collinear matrix
B = np.linalg.pinv(A)
print(B)
# Compare our own algorithm with pinv
C = SVDinv(A)
print(np.abs(C-B))

As you can see from this example, our own decomposition based on the SVD agrees with the pseudoinverse algorithm provided by Numpy.