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Approximating the inverse of a symmetric matrix with non-negative elements

6 February 2012
T. Yan
Xu Jinfeng
Yang Yaning
ArXiv (abs)PDFHTML
Abstract

For an n×nn\times nn×n symmetric positive definite matrix T=(ti,j)T=(t_{i,j})T=(ti,j​) with positive elements satisfying ti,i≥∑j≠iti,jt_{i,i}\ge \sum_{j\neq i} t_{i,j}ti,i​≥∑j=i​ti,j​ and certain bounding conditions, we propose to use the matrix S=(si,j)S=(s_{i,j})S=(si,j​) to approximate its inverse, where si,j=δi,j/ti,i−1/t..s_{i,j}=\delta_{i,j}/t_{i,i}-1/t_{..}si,j​=δi,j​/ti,i​−1/t..​, δi,j\delta_{i,j}δi,j​ is the Kronecker delta function, and t..=∑i,j=1n(1−δi,j)ti,jt_{..}=\sum_{i,j=1}^{n}(1-\delta_{i,j}) t_{i,j}t..​=∑i,j=1n​(1−δi,j​)ti,j​. An explicit bound on the approximation error is obtained, showing that the inverse is well approximated to order 1/(n−1)21/(n-1)^21/(n−1)2 uniformly. The results are further extended to allow some off-diagonal elements of TTT to be zeros.

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