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Submatrix inverse by updating
  Calculates the inverse of a submatrix by updating.
2024.Nov.25 07:33:58
m, n No. of rows and columns of A. •
Random, .seed Random and (ignored if not) repeatability. •
Matrix A Matrix A (m×n); ignored if 'random'. •
Columns vector, .V Vector (1×m) of the columns of B. •
New col.s vector, .W Vector (1×m) of the columns of B'. •

From the supposedly known inverse of B, a certain submatrix of A, calculates the inverse of another submatrix, B', in which one (only) column is different. Matrix B is made of the V columns of A, and matrix B' of the W columns. Exactly one element of V and W must be different.

The advantage of this procedure is that it is simply B'−1 = E B−1, thus avoiding its direct inversion (with E a simple, quasi-identity matrix). The procedure is used in Linear Programming, typically "linked" to this algorithm, but is general.

If 'random', the matrix elements are generated in [1, 10].

(Caution: no proviso is included to guarantee that any of the matrices is non-singular.)

References: Plate: SubmatrixIUpdate

• Google: update of inverse matrix

Update of the inverse matrix by the Sherman-Morrison formula (ALGLIB).

• 1892-01-28: Bonferroni, Carlo Emilio (1960-08-18)   (Clapeyron †1864).

 
 
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Created: 2012-01-28 — Last modified: 2012-02-05