Linear Inverse Problems

A MATLAB TutorialPresented by Johnny Samuels

What do we want to do?

• We want to develop a method to determine the best fit to a set of data: e.g.

The Plan

• Review pertinent linear algebra topics• Forward/inverse problem for linear systems• Discuss well-posedness• Formulate a least squares solution for an

overdetermined system

Linear Algebra Review• Represent m linear equations with n variables:

• A = m x n matrix, y = n x 1 vector, b = m x 1 vector

• If A = m x n and B = n x p then AB = m x p (number of columns of A = number of rows of B)

11 1 12 2 1 1

21 1 22 2 2 2

1 1 2 2

n n

n n

m m mn n m

a y a y a y ba y a y a y b

a y a y a y b

1 111 1

1

n

m mn n m

y bA

y ba a

a a y b

Linear Algebra Review:Example

•

• Solve system using MATLAB’s backslash operator “\”: A = [1 -1 3 1;3 -3 1 0;1 1 0 -2]; b=[2;-1;3]; y = A\b

1 2 3 4

1 2 3

1 2 4

3 23 3 1

2 2

y y y yy y yy y y

1

2

3

4

1 1 3 1 23 3 1 0 11 1 0 2 3

bAy

yyyy

Linear Algebra Review:What does it mean?

•

• Graphical Representation:

1 2

1 2

12 1

y yy y

1

2

1 1 12 1 1

byA

yy

Linear Algebra Review:Square Matrices

• A = square matrix if A has n rows and n columns

• The n x n identity matrix =

• If there exists s.t. then A is invertible

1 0 0 00 1 0 0

0 1

I

1A 1A A I

Linear Algebra ReviewSquare Matrices cont.

• If then

• Compute (by hand) and verify (with MATLAB’s “*” command) the inverse of

a bA

c d

1 1 d bA

c aad bc

2 11 3

A

Linear Algebra Review:One last thing…

• The transpose of a matrix A with entries Aij is defined as Aji and is denoted as AT – that is, the columns of AT are the rows of A

• Ex: implies

• Use MATLAB’s “ ‘ “ to compute transpose

1 2 30 0 4

A

1 02 03 4

TA

Forward Problem:An Introduction

• We will work with the linear system Ay = b where (for now) A = n x n matrix, y = n x 1 vector, b = n x 1 vector

• The forward problem consists of finding b given a particular y

Forward Problem:Example

• g = 2y : Forward problem consists of finding g for a given y

• If y = 2 then g = 4

• What if and ?

• What is the forward problem for vibrating beam?

47 2889 53

A

11

y

Inverse Problem

• For the vibrating beam, we are given data (done in lab) and we must determine m, c and k.

• In the case of linear system Ay=b, we are provided with A and b, but must determine y

Inverse Problem:Example

• g = 2y : Inverse problem consists of finding y for a given g

• If g = 10 then

•

•

• Use A\b to determine y

1 12 2 2 10 5y y

1

2

3

0 1 1 32 4 1 12 5 4 2

byA

yyy

1

1

2

3

0 1 1 32 4 1 12 5 4 2

yyy

1 1 1Ay b A Ay A b y A b

Well-posedness• The solution technique produces

the correct answer when Ay=b is well-posed

• Ay=b is well-posed when 1. Existence – For each b there exists an y such that

Ay=b2. Uniqueness – 3. Stability – is continuous

• Ay=b is ill-posed if it is not well-posed

1y A b

1 2 1 2Ay Ay y y 1A

Well-posedness:Example

• In command window type y=well_posed_ex(4,0)

• y is the solution to

• K = condition number; the closer K is to 1 the more trusted the solution is

1

2

3

4

1 0 0 0 10 1 0 0 10 0 1 0 10 0 0 1 1

byA

yyyy

Ill-posedness:Example

• In command window type y=ill_posed_ex(4,0)

• y is the solution to where

• Examine error of y=ill_posed_ex(8,0)

• Error is present because H is ill-conditioned

1111

H y

1.0000 0.5000 0.3333 0.2500 0.5000 0.3333 0.2500 0.2000 0.3333 0.2500 0.2000 0.1667 0.2500 0.2000 0.1667 0.1429

H

What is an ill conditioned system?

• A system is ill conditioned if some small perturbation in the system causes a relatively large change in the exact solution

• Ill-conditioned system:

Ill-Conditioned System:Example II

•

•

1

2

.835 .667 .168

.333 .266 .067yA b

yy

1

2

??

yy

1

2

.835 .667 .168

.333 .266 .066yA b

yy

1

2

??

yy

What is the effect of noisy data?

• Data from vibrating beam will be corrupted by noise (e.g. measurement error)

• Compare:1. y=well_posed_ex(4,0) and z=well_posed(4,.1)2. y=well_posed_ex(10,0) and z=well_posed(10,.2)3. y=ill_posed_ex(4,0) and z=ill_posed(4,.1)4. y=ill_posed_ex(10,0) and z=ill_posed(10,.2)

• How to deal with error? Stay tuned for next talk

Are we done?

• What if A is not a square matrix? In this case does not exist

• Focus on an overdetermined system (i.e. A is m x n where m > n)

• Usually there exists no exact solution to Ay=b when A is overdetermined

• In vibrating beam example, # of data points will be much larger than # of parameters to solve (i.e. m > n)

1A

Overdetermined System:Example

•

•

• Minimize

22

TAy b Ay b Ay b

2 2 2 21 22 1

n

i ni

x x x x x

Obtaining the Normal Equations• We want to minimize :

• is minimized when y solves• provides the least squares

solution

Ty Ay b Ay b

2

TTT

T T

T T T T

T T

y A Ay b Ay b A

A Ay b A Ay b

A Ay A b A Ay A b

A Ay A b

y T TA Ay A b

1T Ty A A A b

Least Squares:Example

• Approximate the spring constant k for Hooke’s Law: l is measured lengths of spring, E is equilibrium position, and F is the resisting force

• least_squares_ex.m determines the least squares solution to the above equation for a given data set

byA

l E k F

1T Tk l E l E l E F

What did we learn?

• Harmonic oscillator is a nonlinear system, so the normal equations are not directly applicable

• Many numerical methods approximate the nonlinear system with a linear system, and then apply the types of results we obtained here