Determinants and Their Properties: det as Signed Volume
Prerequisite:Matrices and Linear Systems: Coordinate Representations of Linear Maps and the Structure of Solutions
0. Key points
Section titled “0. Key points”- Among all maps that assign a number to a list of column vectors, exactly one is linear in each column (multilinearity), vanishes whenever two columns coincide (alternation), and takes the value at the identity matrix (normalization): that map is the determinant . Both the Leibniz formula and cofactor expansion are merely expressions derived from this characterization.
- We have . This is the algebraic form of the geometric fact that composing transformations multiplies the volume scaling factors.
- The conditions "", ” is invertible”, “the columns of are linearly independent”, and ” has only the trivial solution” are all equivalent. The determinant is a device that decides, with a single number, whether space is being collapsed.
- is the volume of the parallelepiped onto which maps the unit cube, and the sign records whether the transformation preserves or reverses orientation.
- The Leibniz formula (a sum of terms) is never used for actual numerical computation. Triangularizing by row operations costs only multiplications and divisions.
1. Motivation: telling solvability from a single number
Section titled “1. Motivation: telling solvability from a single number”Let us solve the system of two linear equations
by brute force. Multiplying the first equation by and the second by and subtracting gives ; multiplying the first by and the second by and subtracting gives . Hence, as soon as , the solution is determined:
Conversely, when , the solution fails to be unique (there may be no solution, or infinitely many). A single number , built from the coefficients alone, decides solvability without any reference to the right-hand side .
Pushing the same computation through for three equations in three unknowns, the deciding number becomes the six-term sum
Two naive questions arise here. First, for a general system of linear equations in unknowns, how should this “deciding number” be written? Second, why does such a number exist at all — how can a complicated web of relations among coefficients be condensed into a single scalar?
The first question has had an answer since the end of the seventeenth century. Seki Takakazu treated it in 1683 in Kaifukudai no Hō as an expression arising in the course of elimination, and Leibniz handled a similar expression in a 1693 letter to L’Hôpital. Cramer, in a book of 1750, wrote the solution of a system of linear equations explicitly as a quotient. The general theory was organized, and the word determinant acquired its present meaning, through Cauchy’s work in the early nineteenth century.
In this article we give two answers to the first question: an explicit formula using signs of permutations (the Leibniz formula) and an inductive formula that lowers the size by one (cofactor expansion). The two look completely different, yet they describe the same function. The answer to the second question is precisely the identity of that “same function”: multilinearity and alternation. The determinant is the unique function pinned down by these two properties together with a normalization, and the two formulas are simply different computational recipes for it.
In the final sections we shall see that the determinant is, in essence, a signed volume. A linear system fails to be uniquely solvable exactly when the linear map defined by the coefficient matrix collapses space into a lower dimension, and “collapsed” means “of volume ”. The reason could serve as a criterion is, in the end, that it was the area of a parallelogram.
We take matrix products, inverses, and Gaussian elimination for linear systems as known from Matrices and Linear Systems (for the definition of the product see Definition 4.1[Matrices and Linear Systems], and for elimination see Theorem 7.4[Matrices and Linear Systems]).
2. Preliminaries: permutations and their signs
Section titled “2. Preliminaries: permutations and their signs”Throughout this article denotes or (everything below works verbatim over an arbitrary commutative field). We write for the set of matrices, and for we denote its -th column by and display column by column as
Here is the standard basis of , the identity matrix, and the zero matrix.
To define the determinant we need a device for enumerating the rearrangements of row indices.
Definition 2.1(Permutations and their signs)
A bijection from onto itself is called a permutation of degree , and the set of all permutations is denoted . Under composition the set is a group, and it has elements.
For distinct , the permutation sending and and fixing everything else is called a transposition and is written .
For , the number of pairs of indices whose order is reversed,
is called the number of inversions of , and is called the sign of . When we call even, and when we call it odd.
For instance, take the permutation with . The pair is inverted since , the pair is inverted since , and the pair is not, since . Hence and .
Everything convenient about signs is contained in the next lemma. Its proof uses the difference product
the simplest polynomial with the property that interchanging variables changes nothing but the sign.
Lemma 2.2(Basic properties of the sign)
Let and . Then the following hold.
- As an identity of polynomials, .
- . Moreover and .
- For every transposition we have .
- Every can be written as a product of finitely many transpositions, and if is written as a product of transpositions then . In particular the parity of the number of transpositions does not depend on the chosen factorization.
Proof(Lemma 2.2)
(1) We have . Since is a bijection, the assignment is a bijection of the set of two-element subsets onto itself. Hence, up to sign, the factors on the right correspond one-to-one with the factors of . The factor (with ) is literally a factor of when , whereas when it equals , producing one sign. The number of pairs for which the latter happens is exactly , so altogether we get .
(2) Since (1) is an identity of polynomials, it remains valid under any substitution of the variables. Setting we get , whence
As is not the zero polynomial, comparing coefficients on both sides gives . The identity has no inversions, so ; combined with this yields , and since signs take only the values we get .
(3) Put with and count inversions directly. There are only three kinds of inverted pairs. The pair itself is inverted, since (one pair). For each with , the pair is inverted, since ( pairs). For the same , the pair is inverted, since ( pairs). Every other pair either has both indices fixed, or has just one index equal to or with the other lying outside the interval, and in these cases the order is unchanged. Hence is odd and .
(4) We prove that is a product of transpositions by induction on the number of indices moved by . If we regard it as the empty product (a product of zero transpositions). If , choose with and set ; then , and moreover every index fixed by is still fixed by . Thus moves strictly fewer indices than , so by the induction hypothesis is a product of transpositions. Since is its own inverse, is one as well. The second assertion follows at once from (2) and (3).
3. Definition I: the Leibniz formula
Section titled “3. Definition I: the Leibniz formula”Looking closely at the six-term sum in the case, each term is a product of entries chosen one from each column, from mutually distinct rows. Writing for the row indices chosen for columns , the assignment is nothing but a permutation, and the sign attached is the sign of that permutation. We adopt this directly as the definition for general .
Definition 3.1(The determinant (Leibniz formula))
For , the quantity
is called the determinant of . Besides and , one also writes the entries enclosed between vertical bars.
The sum has terms, and for half of them carry a plus sign and half a minus sign. Let us write the definition out for small .
-
: since , we get .
-
: here with signs and respectively, so
This reproduces the quantity that decided solvability in §1.
-
: among the six elements of , the identity and the two 3-cycles are even (sign ), while the three transpositions are odd (sign ). Therefore
which again agrees with the expression in §1. For matrices only, this can be memorized as Sarrus’ rule: add the three products along the descending diagonals and subtract the three along the ascending ones. This mnemonic fails from size onwards (a determinant has terms, and the eight products obtained by criss-crossing are nowhere near enough).
Example 3.2(Computing a 3 × 3 determinant straight from the definition)
Let us compute the determinant of
by substituting directly into the six-term formula above.
Adding the first three and subtracting the last three,
We shall confirm this value later by the expansion of Theorem 5.2.
As a computational tool the Leibniz formula is inefficient (as we shall see in §9), but it has the virtue of being theoretically very transparent. Here are two properties obtained by merely inspecting the symmetry of the defining formula.
Proposition 3.3(Invariance under transposition; triangular matrices)
Let . Then the following hold.
- . That is, the determinant is invariant under transposition, so every property that holds for rows has a counterpart for columns and vice versa.
- If is upper triangular ( whenever ) or lower triangular ( whenever ), then . In particular , and the determinant of a diagonal matrix is the product of its diagonal entries.
Proof(Proposition 3.3)
(1) Put , so that . By definition,
Each term is a product of finitely many factors, so the factors may be reordered. Reindexing by , that is , gives . Moreover by Lemma 2.2 (2), and as ranges over all of so does . Therefore
(2) Suppose is upper triangular. For a term to be nonzero we need for every , that is . For , from we get . For , from and we get . Proceeding in the same way for successive (since have used up , the condition forces ), we conclude . Only the single term survives. The lower triangular case reduces to (1), since the transpose is upper triangular. Finally is diagonal with all diagonal entries equal to , so .
4. Two properties that characterize the determinant
Section titled “4. Two properties that characterize the determinant”The Leibniz formula is a perfectly clear definition, but expanding it every time one wants to prove a property is painful work. In fact almost all properties of the determinant come not from the fine structure of the formula but from just the following two properties.
Definition 4.1(Multilinearity and alternation)
Consider a map , that is, a map assigning a scalar to vectors .
- is multilinear if, for each , it is linear as a function of when the other arguments are held fixed; that is, for all and , (the arguments in the positions marked are the same throughout and are held fixed).
- is alternating if whenever and .
For we regard and treat as a function of the columns.
Theorem 4.2(Characterization of the determinant)
If is multilinear and alternating, then for all
In particular, is the unique multilinear alternating map with .
Proof(Theorem 4.2)
Step 1 (from alternation to antisymmetry). Let be multilinear and alternating. Fix and put the same vector in both the -th and the -th slot; alternation gives
Expanding the left-hand side by multilinearity, first in the -th slot and then in the -th, produces four terms, of which and both vanish by alternation. What remains is
that is, interchanging two arguments changes the sign (antisymmetry).
Next we show that for every
By Lemma 2.2 (4) we may write with each a transposition, and . We induct on . The case is trivial. Write with a transposition and a product of transpositions, and set . Then , so . As interchanges two arguments, the antisymmetry just proved shows this equals , and the induction hypothesis turns this into .
Step 2 (reduction to the standard basis). Write in coordinates and expand by multilinearity, starting from the first argument:
Among the index tuples , those in which some value occurs twice or more contribute by alternation and drop out. What remains are the tuples with pairwise distinct, that is, those for which is a permutation . By Step 1 we have , so
which is the asserted identity.
Step 3 ( really does satisfy the conditions). Uniqueness alone might be vacuous, so we check that itself is multilinear and alternating with .
Multilinearity. Each term of the defining formula contains exactly one entry from the -th column, and no other factor depends on that column. Hence each term is homogeneous of degree one in the entries of the -th column, and so is their sum ; that is, is linear in the -th column.
Alternation. Suppose the -th and -th columns coincide (), that is, for all . Using the transposition , consider the assignment ; it is a fixed-point-free involution of (a bijection which is its own inverse), so splits into pairs . Comparing the two terms of a pair: for we have ; for we have ; and for we have (in the second equality of each we used that the two columns agree). The products are therefore exactly equal, and only the sign is reversed, by Lemma 2.2 (2) and (3). The contributions of each pair cancel, so .
Normalization. The identity is Proposition 3.3 (2).
This theorem is used in two ways. First, it lets us start from the properties, saying “the determinant is the function with these properties”. Second, once we have constructed a multilinear alternating map, we can identify it automatically as a constant multiple of . The latter shows its power in the product theorem of §6. First, though, let us record a corollary that bears directly on everyday computation.
Proposition 4.3(Elementary operations and the determinant)
Let .
- Interchanging two columns multiplies the determinant by .
- Multiplying one column by multiplies the determinant by . In particular .
- Adding a scalar multiple of one column to another leaves the determinant unchanged: for and ,
- If some column is the zero vector, then the determinant is .
- All of the above remain true with “column” replaced by “row”.
Proof(Proposition 4.3)
Statement (1) is precisely Step 1 (antisymmetry) of the proof of Theorem 4.2. Statement (2) is the homogeneity half of multilinearity; multiplying all columns by produces a total of times, giving . For (3), additivity in the -th argument gives
and the second term on the right vanishes by alternation, since there the -th and -th columns are both . For (4), take in (2): . Finally (5) follows because Proposition 3.3 (1) allows rows and columns to exchange roles.
Item (3) is the important one. The operation used in Gaussian elimination — adding a constant multiple of one row to another — does not change the determinant at all, which is why determinant computations go so well with elimination. We put this to use in §9.
5. Definition II: cofactor expansion and the adjugate
Section titled “5. Definition II: cofactor expansion and the adjugate”The Leibniz formula settles the case in one stroke, but there is also a recursion reducing size to size . This is cofactor expansion; theoretically it yields a closed formula for the inverse, and in practice it is used to lighten hand computations by picking a row or column with many zeros.
Definition 5.1(Minors, cofactors and the adjugate)
For with , let denote the matrix obtained by deleting the -th row and the -th column, and call its determinant the minor of . The quantity
is called the cofactor. The matrix obtained by arranging the cofactors transposed,
is called the adjugate of . Note carefully the interchange of the indices.
Theorem 5.2(Cofactor expansion (Laplace expansion))
Let and .
- For each fixed (expansion along the -th column),
- For each fixed (expansion along the -th row),
Proof(Theorem 5.2)
Step 1. Decompose the -th column along the standard basis. Since , linearity in the -th column (verified in Theorem 4.2) gives
where is with its -th column replaced by . It therefore suffices to prove .
Step 2 (moving the column and the row to the edge). In , move the -th column to the last position by interchanges with neighbouring columns (the relative order of the other columns is preserved). Then move the -th row to the bottom by interchanges with neighbouring rows. By Proposition 4.3 (1) and (5), these operations multiply the determinant by . Calling the resulting matrix , we get
Let us determine the shape of . The last column was originally , whose only sat in the -th row; since that row has moved to the bottom, the last column of is . Moreover the upper-left block consists of the entries of with the -th row and -th column deleted, in their original order, that is, . Hence
where is the -th row of with its -th entry removed.
Step 3 (). We return to the definition. In , the -th column is , so only when , in which case . The permutations with correspond bijectively to permutations of , and since is fixed no additional inversions appear, so . Furthermore, for with , the entry lies in the upper-left block, that is, it is the entry of . Therefore
Combining with Step 2 gives , which proves (1).
Step 4 (expansion along rows). Apply (1) to . The submatrix of is the transpose of the submatrix of , so by Proposition 3.3 (1) its determinant equals ; also . Hence the expansion of along its -th column is exactly the expansion of along its -th row.
Cofactor expansion pays off the more zeros the chosen column (or row) has. The practical technique is to create zeros by elementary operations first and then expand.
Example 5.3(The 3 × 3 Vandermonde determinant)
For we compute the determinant of
First subtract times the second row from the third row, and then subtract times the first row from the second row (the order matters: if we changed the second row first, the row used in the third-row operation would already have changed). By Proposition 4.3 (3) and (5) the determinant is unchanged.
The third row becomes , and the second row becomes . That is,
Applying Theorem 5.2 along the first column, the only nonzero entry is the in position , whose sign is , so
Factoring out of the first column and out of the second (Proposition 4.3 (2)),
This is exactly the difference product of §2: the polynomial used in the theory of signs reappears as a determinant in its own right. Repeating the same computation in size proves . In particular, if are pairwise distinct then , which is equivalent to the existence of exactly one polynomial of degree at most through distinct points (uniqueness of Lagrange interpolation).
Another consequence of cofactor expansion is a closed formula for the inverse.
Proposition 5.4(The fundamental identity for the adjugate)
For and ,
In particular, if then is invertible with .
Proof(Proposition 5.4)
We have .
When , this is exactly the expansion along the -th row from Theorem 5.2 (2), hence equals .
Now suppose . Let be the matrix obtained from by replacing its -th row with its -th row. Then has equal -th and -th rows, so by alternation (Step 3 of Theorem 4.2, which holds for rows as well by Proposition 3.3 (1)). On the other hand the cofactor of is formed by deleting the -th row, so it coincides with the cofactor of (since and agree outside the -th row), while the entry of is . Expanding along its -th row therefore gives
Altogether . The identity follows in the same way, using expansion along columns (Theorem 5.2 (1)) and alternation in the columns. The last assertion follows by dividing both sides by when ; since both the left and the right product equal , the matrix really is the inverse.
Remark 5.5(Cramer's rule)
When , the solution of is , so componentwise
where is with its -th column replaced by (the last equality is precisely the expansion of along its -th column: the cofactor of is formed by deleting the -th column, so it is the same as for ). Written out for , this agrees with , computed by hand in §1. The formula is theoretically beautiful, but it requires computing determinants of size , so it is not used in numerical work.
6. The product theorem
Section titled “6. The product theorem”The determinant of a product of matrices is the product of the determinants. This fact is the heart of the theory of determinants, and its proof is a model illustration of how Theorem 4.2 is used to “identify” a map.
Theorem 6.1(Product theorem)
For ,
Proof(Theorem 6.1)
Fix . Writing column by column, the definition of the matrix product shows that the -th column of is . So consider the map
and verify that it is multilinear and alternating.
Multilinearity. Since is linear, we have and ; inserting these in the -th column slot of and using the linearity of in the -th column (Step 3 of Theorem 4.2) shows that is linear in the -th argument.
Alternation. If with , then , so the -th and -th columns inside coincide, and by the alternation of .
Hence Theorem 4.2 applies and gives
Finally , and is nothing but the -th column of , so this equals . Therefore .
The following consequences are immediate. If is invertible, so that there is with , taking determinants of both sides gives . Since is a field, this identity forces and at the same time yields
Also, for an invertible we get , so similar matrices have the same determinant. This means that the determinant is a quantity attached to the linear map itself, independent of the choice of basis, and it is the foundation for the relation with eigenvalues discussed later (see Eigenvalues and Eigenvectors). Finally, follows by induction.
7. Determinants as a criterion for invertibility
Section titled “7. Determinants as a criterion for invertibility”We can now give a complete answer to the question raised in §1: can solvability be read off from a single number?
Theorem 7.1(Criterion for invertibility)
For , the following five conditions are equivalent.
- .
- is invertible; that is, there exists with .
- The columns are linearly independent.
- The only solution of the homogeneous equation is .
- For every , the equation has exactly one solution.
Proof(Theorem 7.1)
We prove the implications in the order .
By Proposition 5.4, the matrix satisfies . (For we have with , and we may take ; the case can be checked directly in the same way in what follows.)
Setting gives , so a solution exists. For uniqueness, if then multiplying on the left by gives .
Apply (5) with . Since , the vector is one solution of , and by (5) there is only one solution, so it is the only one.
By the definition of the matrix-vector product, . Hence the statement “the only solution of is ” is the same as ” implies ”, which is the definition of linear independence (Definition 5.1[Vector Spaces and Linear Maps]).
The vectors are linearly independent vectors in the -dimensional vector space , hence a basis of (Proposition 5.7[Vector Spaces and Linear Maps]; see Vector Spaces and Linear Maps). Consequently each standard basis vector can be written . Assembling these coefficients into a matrix , these identities together read . Taking determinants of both sides and using Theorem 6.1 gives , so .
Remark 7.2(Linearly dependent columns force det = 0 (direct proof))
The contrapositive of , namely “if the columns are linearly dependent then ”, can be proved directly from multilinearity without invoking the theory of bases. Indeed, if , then linearity in the -th argument gives
and each term on the right vanishes by alternation, since there the -th and -th columns are both . In practice one most often uses this direction, reading "" as “there is a linear relation among the columns (or rows)”.
Thanks to this theorem, the determinant acts as a detector at key points of the theory. For example, is an eigenvalue of when there exists with , that is, when has a nontrivial solution. By of Theorem 7.1, this is equivalent to
It is thanks to this equivalence that questions about eigenvalues translate into “find the roots of a polynomial of degree ”. The polynomial is called the characteristic polynomial(Definition 4.1)[固有値と固有ベクトル]; it is treated in detail in Eigenvalues and Eigenvectors.
8. Geometric meaning: signed volume
Section titled “8. Geometric meaning: signed volume”Why can the determinant, treated so far purely algebraically, measure whether space is being collapsed? The answer is area and volume. Let us first prove this completely in two dimensions.
Proposition 8.1(The 2 × 2 determinant and the area of a parallelogram)
Let and be vectors in and put . Then the area of the parallelogram spanned by ,
has an area (is Jordan measurable), and that area equals . Here area is meant in the sense of multiple integrals, area via the double integral(Definition 5.1)[重積分と累次積分] (the double integral of the indicator function).
Proof(Proposition 8.1)
As written out for in §3, Definition 3.1 gives .
In multiple integrals, for a matrix with columns and , the parallelogram is denoted , and with it is proved in the area of a parallelogram is the absolute value of the determinant(Lemma 6.4)[重積分と累次積分] that has an area and that this area is . That proof writes the parallelogram as a region between the graphs of two continuous functions and computes its area directly by integration; it uses neither base and height nor angles.
Taking gives and , so , and agrees with as defined in this article. Hence has an area, equal to .
Thinking in terms of “base times height” gives the same value. If and is the angle between them (Definition 4.6[内積空間とグラム・シュミット直交化]), then the square of is . However, the formula “area of a parallelogram = base times height” is itself a fact that has to be proved from the definition of area, which is why the proof above relies on the computation by integration.
The same holds for general . Let be the parallelepiped spanned by , and write for its volume. Listing naively the properties that a notion of “volume” ought to satisfy, we get the following.
- Normalization: the unit cube has volume .
- Homogeneity: scaling one edge by scales the volume by .
- Shear invariance: adding a constant multiple of one edge to another leaves the volume unchanged (the base and the height are unaffected).
- Degeneration: if the edges are linearly dependent, the parallelepiped is squashed into a lower dimension and the volume is .
If we now pass to the quantity carrying a sign (signed volume: positive for a right-handed frame, negative for a left-handed one), then homogeneity holds for as well, and together with additivity this becomes multilinearity. Shear invariance and degeneration are alternative expressions of alternation. In other words, is a multilinear alternating map giving the value to the unit cube, so by Theorem 4.2 it must satisfy
The determinant is just another name for signed volume. Rigorously, this is stated as the identity for the Lebesgue measure on and measurable sets , and its proof is given in analysis as part of the change-of-variables formula for multiple integrals.
Example 8.2(Scaling, shear and reflection)
The right-hand side of the figure is the image under
The unit square (of area ) is mapped to a parallelogram of area . Applying Proposition 8.1 with and gives the same value, .
Lining up some typical transformations makes it plain what the determinant measures. Consider the following five matrices.
| Matrix | Transformation | Determinant | Geometric meaning |
|---|---|---|---|
| shear | only tilts; preserves area and orientation | ||
| rotation | preserves area and orientation | ||
| swap of axes (reflection) | preserves area but reverses orientation | ||
| stretching in one direction | multiplies area by 3 | ||
| projection onto the first axis | collapses onto a line; area disappears |
The last row is the geometric content of Theorem 7.1. That means the image of the unit cube “loses thickness”; in that case discards information, so no inverse transformation can exist.
The product theorem too can be read geometrically. If multiplies volume by and multiplies volume by , then performing them one after the other should multiply volume by . Theorem 6.1 is the precise form of this intuition. Likewise reads as “to undo an expansion, shrink by the same factor”.
9. Computation and appearances in data analysis
Section titled “9. Computation and appearances in data analysis”The theoretical definition and the actual computational procedure are different things. The Leibniz formula is a sum of terms, each involving multiplications, so it needs roughly multiplications. By contrast, reducing to upper triangular form by row operations and then multiplying the diagonal entries (Gaussian elimination, LU decomposition) needs only about multiplications and divisions.
| Number of terms in the Leibniz formula | Multiplications/divisions in elimination (about ) | |
|---|---|---|
| about | ||
| about | ||
| about | about | |
| about | about |
Already at , a machine evaluating terms per second would need more than 70 years for the Leibniz formula. One must not implement the defining formula literally.
Example 9.1(Computing a 4 × 4 determinant in two ways)
Method 1: row operations. First interchange the first and second rows. By Proposition 4.3 (1) and (5) this multiplies the determinant by , so if denotes the interchanged matrix then .
Next subtract times the first row from the third, and times the first row from the fourth. By Proposition 4.3 (3) and (5) the determinant is unchanged.
Then subtract times the second row from the third and fourth rows, and finally subtract times the third row from the fourth.
The matrix is now upper triangular, so by Proposition 3.3 (2) its determinant is . This equals , whence .
Method 2: cofactor expansion. The first row contains a , so it is a good choice for expansion. Using Theorem 5.2 (2) with , the signs are , so
(the term with drops out). We compute the three minors by expanding each of them along its first row.
Hence , in agreement with Method 1. Even at size , cofactor expansion requires computing three determinants of size , and it becomes rapidly less competitive as the size grows.
Numerical libraries also use LU decomposition internally.
import numpy as np
A = np.array([ [0.0, 1.0, 2.0, 1.0], [2.0, 1.0, 3.0, 1.0], [6.0, 5.0, 16.0, 5.0], [2.0, 3.0, 9.0, 4.0],])
print(np.linalg.det(A)) # a value very close to -6.0 (with floating-point error)
sign, logabsdet = np.linalg.slogdet(A)print(sign, np.exp(logabsdet)) # values very close to -1.0 and 6.0Here slogdet returns the sign and separately. In high dimensions itself easily overflows or underflows (it is a product of diagonal entries, so multiplying a thousand copies of gives ), which is why statistics and machine learning work with rather than . For a symmetric positive definite matrix , the Cholesky decomposition gives
(we used Theorem 6.1 and Proposition 3.3 (1) and (2)).
Example 9.2(The determinant of a covariance matrix (generalized variance))
Suppose that from bivariate data we obtain the sample covariance matrix
Here , and this value is called the generalized variance. Let us see what it means.
First compute the eigenvalues. We have , with roots , numerically and . Their product is and their sum is .
The agreement of the products is no accident. In the characteristic polynomial , the term of the Leibniz formula with is while all other terms have degree at most , so is a monic polynomial of degree in . Hence over the complex numbers it factors as . Substituting , the left-hand side is (Proposition 4.3 (2)) and the right-hand side is , so
holds in general. The determinant is the product of the eigenvalues (Corollary 4.5[固有値と固有ベクトル]; see also Diagonalization and Jordan Normal Form).
The geometric meaning is equally clear. The ellipse (the equiprobability ellipse describing the scatter of the data) is the image of the unit disc under , so by the generalization of Proposition 8.1 its area is . Thus the generalized variance measures the “volume of the spread” of the data cloud. If the two variables were perfectly correlated, the ellipse would collapse to a segment and .
This viewpoint leads directly to principal component analysis (PCA). PCA diagonalizes the covariance matrix by an orthogonal matrix to extract the directions of largest variance, and is the product of the variances of the principal components, that is, the volume of the overall spread. If some is extremely small, there is almost no information in that direction, and little is lost by reducing the dimension. Likewise the term appearing in the log-likelihood of a multivariate normal distribution acts as a penalty on this “volume of spread”. The general theory of diagonalization by orthogonal matrices is treated in Inner Product Spaces and Gram-Schmidt Orthogonalization and The Spectral Theorem (that a real symmetric matrix is diagonalizable by an orthogonal matrix is Corollary 4.3[スペクトル定理]).
10. Exercises
Section titled “10. Exercises”Exercise 10.1Easy
Using determinants, find the area of the triangle in the plane with vertices , , . Determine also whether the circuit runs counterclockwise or clockwise.
Solution
Taking as base point, and . By Proposition 8.1, the area of the parallelogram spanned by these two vectors is
The triangle is half of this parallelogram, so its area is .
As for the sign, , so has the same orientation as the standard basis , that is, the circuit is counterclockwise. As stated in §8, the absolute value of the determinant carries the area and its sign carries the orientation.
Exercise 10.2Standard
Let be odd and let be skew-symmetric (). Show that . Show also, by an example with , that the conclusion fails when is even.
Solution
By Proposition 3.3 (1) we have . Substituting the hypothesis gives . Now is obtained from by multiplying all columns by , so by Proposition 4.3 (2). Since is odd, , and therefore
Adding to both sides gives . As in , we conclude .
When is even we have and the argument above says nothing. Indeed, for the matrix
is skew-symmetric, satisfying , yet . So the hypothesis that is odd was essential.
Exercise 10.3Standard
Let and . Let , , let be a matrix and the zero matrix, and put
Show that .
Solution
Following the definition (Definition 3.1), consider . The entries of satisfy when and (the position of the lower-left block ).
For a term to be nonzero we need for every . This says that maps into , and since is injective and the set is finite, it maps onto itself. Consequently also maps the remainder onto itself. Defining to be the restriction of to and by , we get a one-to-one correspondence between and the pair .
Now compare signs. Inverted pairs fall into three kinds. The number of inversions among pairs with both indices in is , and the number among pairs with both indices in is . For a pair with we have , so it is never inverted. Hence , that is, .
As for the products, for , and for with . Putting all of this together,
and the right-hand side is . Note that the upper-right block does not appear in the result at all. This is the block version of the formula for triangular matrices in Proposition 3.3 (2).
Exercise 10.4Hard
Let . Show that for every (including the case ).
Solution
By Proposition 5.4 we have . Taking determinants of both sides and using Theorem 6.1 together with Proposition 4.3 (2) (so that ),
Case 1: . Dividing both sides of by gives .
Case 2: . Here the right-hand side is since , so it suffices to show (the relation merely reads and gives no information, so a different argument is needed). Suppose, for contradiction, that . By Theorem 7.1, the matrix is invertible and has an inverse . On the other hand, Proposition 5.4 together with gives , so multiplying on the right by yields . But if , then all its submatrices are zero matrices of size , whose determinants are (Proposition 4.3 (4)), so all cofactors vanish, that is, . This contradicts the invertibility of . Hence .
(The hypothesis is essential in Case 2. For one sets by convention, so and the conclusion still holds, but the argument above does not apply as it stands.)
References
Section titled “References”- Saito Masahiko, Senkei Daisū Nyūmon, University of Tokyo Press, 1966 (in Japanese) — the chapter on determinants. The standard route from signs of permutations through the Leibniz formula to cofactor expansion.
- Satake Ichiro, Senkei Daisūgaku, Shokabo (Sūgaku Sensho), reissued edition 2015 (in Japanese) — the chapter on determinants. A lucid treatment of the determinant as an alternating multilinear form.
- S. Lang, Linear Algebra, 3rd ed., Springer, 1987 — the chapter on determinants. Built around an axiomatic characterization like Theorem 4.2 in this article.
- Sugiura Mitsuo, Kaiseki Nyūmon II, University of Tokyo Press, 1985 (in Japanese) — the change-of-variables formula for multiple integrals. The analytic proof that appears as the volume scaling factor.
- G. H. Golub, C. F. Van Loan, Matrix Computations, 4th ed., Johns Hopkins University Press, 2013 — the chapters on Gaussian elimination and LU decomposition. Numerical computation of determinants and the handling of overflow.
- M. Kline, Mathematical Thought from Ancient to Modern Times, Oxford University Press, 1972 — the chapters on determinants and matrices. The historical route from Seki Takakazu and Leibniz through Cramer to Cauchy.
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