Statistics/Numerical Methods/Basic Linear Algebra and GramSchmidt Orthogonalization
Introduction
editBasically, all the sections found here can be also found in a linear algebra book. However, the GramSchmidt Orthogonalization is used in statistical algorithm and in the solution of statistical problems. Therefore, we briefly jump into the linear algebra theory which is necessary to understand GramSchmidt Orthogonalization.
The following subsections also contain examples. It is very important for further understanding that the concepts presented here are not only valid for typical vectors as tuple of real numbers, but also functions that can be considered vectors.
Fields
editDefinition
editA set with two operations and on its elements is called a field (or short ), if the following conditions hold:
 For all holds
 For all holds (commutativity)
 For all holds (associativity)
 It exist a unique element , called zero, such that for all holds
 For all a unique element , such that holds
 For all holds
 For all holds (commutativity)
 For all holds (associativity)
 It exist a unique element , called one, such that for all holds
 For all nonzero a unique element , such that holds
 For all holds (distributivity)
The elements of are also called scalars.
Examples
editIt can easily be proven that real numbers with the well known addition and multiplication are a field. The same holds for complex numbers with the addition and multiplication. Actually, there are not many more sets with two operations which fulfill all of these conditions.
For statistics, only the real and complex numbers with the addition and multiplication are important.
Vector spaces
editDefinition
editA set with two operations and on its elements is called a vector space over R, if the following conditions hold:
 For all holds
 For all holds (commutativity)
 For all holds (associativity)
 It exist a unique element , called origin, such that for all holds
 For all exists a unique element , such that holds
 For all and holds
 For all and holds (associativity)
 For all and holds
 For all and for all holds (distributivity wrt. vector addition)
 For all and for all holds (distributivity wrt. scalar addition)
Note that we used the same symbols and for different operations in and . The elements of are also called vectors.
Examples:
 The set with the realvalued vectors with elementwise addition and the elementwise multiplication is a vector space over .
 The set of polynomials of degree , , with usual addition and multiplication is a vector space over .
Linear combinations
editA vector can be written as a linear combination of vectors , if
with .
Examples:
 is a linear combination of since
 is a linear combination of since
Basis of a vector space
editA set of vectors is called a basis of the vector space , if
1. for each vector exist scalars such that 2. there is no subset of such that 1. is fulfilled.
Note, that a vector space can have several bases.
Examples:
 Each vector can be written as . Therefore is a basis of .
 Each polynomial of degree can be written as linear combination of and therefore forms a basis for this vector space.
Actually, for both examples we would have to prove condition 2., but it is clear that it holds.
Dimension of a vector space
editA dimension of a vector space is the number of vectors which are necessary for a basis. A vector space has infinitely many number of basis, but the dimension is uniquely determined. Note that the vector space may have a dimension of infinity, e.g. consider the space of continuous functions.
Examples:
 The dimension of is three, the dimension of is .
 The dimension of the polynomials of degree is .
Scalar products
editA mapping is called a scalar product if the following holds for all and :
 with
 with
Examples:
 The typical scalar product in is .
 is a scalar product on the vector space of polynomials of degree .
Norm
editA norm of a vector is a mapping , if holds
 for all and (positive definiteness)
 for all and all
 for all (triangle inequality)
Examples:
 The norm of a vector in is defined as .
 Each scalar product generates a norm by , therefore is a norm for the polynomials of degree .
Orthogonality
editTwo vectors and are orthogonal to each other if . In it holds that the cosine of the angle between two vectors can expressed as
.
If the angle between and is ninety degree (orthogonal) then the cosine is zero and it follows that .
A set of vectors is called orthonormal, if
.
If we consider a basis of a vector space then we would like to have a orthonormal basis. Why ?
Since we have a basis, each vector and can be expressed by and . Therefore the scalar product of and reduces to
Consequently, the computation of a scalar product is reduced to simple multiplication and addition if the coefficients are known. Remember that for our polynomials we would have to solve an integral!
GramSchmidt orthogonalization
editAlgorithm
editThe aim of the GramSchmidt orthogonalization is to find for a set of vectors an equivalent set of orthonormal vectors such that any vector which can be expressed as linear combination of can also be expressed as linear combination of :
1. Set and
2. For each set and , in each step the vector is projected on and the result is subtracted from .
Example
editConsider the polynomials of degree two in the interval with the scalar product and the norm . We know that and are a basis for this vector space. Let us now construct an orthonormal basis:
Step 1a:
Step 1b:
Step 2a:
Step 2b:
Step 3a:
Step 3b:
It can be proven that and form a orthonormal basis with the above scalarproduct and norm.
Numerical instability
editConsider the vectors and . Assume that is so small that computing holds on a computer (see http://en.wikipedia.org/wiki/Machine_epsilon). Let compute a orthonormal basis for this vectors in with the standard scalar product and the norm .
Step 1a.
Step 1b. with
Step 2a.
Step 2b.
Step 3a.
Step 3b.
It obvious that for the vectors



the scalarproduct . All other pairs are also not zero, but they are multiplied with such that we get a result near zero.
Modified GramSchmidt
editTo solve the problem a modified GramSchmidt algorithm is used:
 Set for all
 for each from to compute
 for each from to compute
The difference is that we compute first our new and subtract it from all other . We apply the wrongly computed vector to all vectors instead of computing each separately.
Example (recomputed)
editStep 1. , ,
Step 2a. with
Step 2b.
Step 2c.
Step 3a.
Step 3b.
Step 4a.
We can easily verify that .
Application
editExploratory Project Pursuit
editIn the analysis of highdimensional data we usually analyze projections of the data. The approach results from the Theorem of CramerWold that states that the multidimensional distribution is fixed if we know all onedimensional projections. Another theorem states that most (onedimensional) projections of multivariate data are looking normal, even if the multivariate distribution of the data is highly nonnormal.
Therefore in Exploratory Projection Pursuit we judge the interestingness of a projection by comparison with a (standard) normal distribution. If we assume that the onedimensional data are standard normal distributed then after the transformation with the cumulative distribution function of the standard normal distribution then is uniformly distributed in the interval .
Thus the interesting can measured by with a density estimated from the data. If the density is equal to in the interval then the integral becomes zero and we have found that our projected data are normally distributed. An value larger than zero indicates a deviation from the normal distribution of the projected data and hopefully an interesting distribution.
Expansion with orthonormal polynomials
editLet a set of orthonormal polynomials with the scalar product and the norm . What can we derive about a densities in the interval ?
If for some maximal degree then it holds
We can also write or empirically we get an estimator .
We describe the term and get for our integral
So using a orthonormal function set allows us to reduce the integral to a summation of coefficient which can be estimated from the data by plugging in the formula above. The coefficients can be precomputed in advance.
Normalized Legendre polynomials
editThe only problem left is to find the set of orthonormal polynomials upto degree . We know that form a basis for this space. We have to apply the GramSchmidt orthogonalization to find the orthonormal polynomials. This has been started in the first example.
The resulting polynomials are called normalized Legendre polynomials. Up to a scaling factor the normalized Legendre polynomials are identical to Legendre polynomials. The Legendre polynomials have a recursive expression of the form
So computing our integral reduces to computing and and using the recursive relationship to compute the 's. Please note that the recursion can be numerically unstable!
References
edit Halmos, P.R. (1974). FiniteDimensional Vector Spaces, Springer: New York