1st Jun, 2010

Pseudoinverses, Rank and Significance

The first day of Eigenvector University 2010 started with a class on Linear Algebra, the “language of chemometrics.” The best question of the day occurred near the end of the course as we were talking about pseudoinverses. We were doing an example with a small data set, shown below, which demonstrates the problem of numerical instability in regression.

X and y for instability demonstration

If you regress Y on X you get regression coefficients of b = [2 0]. On the other hand, if you change the 3rd element of Y to 6.0001, you get b = [3.71 -0.86]. And if you you change this element to 5.9999, then b = [0.29 0.86]. So a change of 1 part in 50,000 in Y changes the answer for b completely.

The problem, of course, is that X is nearly rank deficient. If it weren’t for the 0.0001 added to the 8 in the (4,2) element X would be rank 1. If you use the Singular Value Decomposition (SVD) to do a rank 1 approximation of X and use that for the pseudoinverse, the problem is stabilized. In MATLAB-ese, this is [U,S,V] = svd(X), then Xinv = V(:,1)*inv(S(1,1))*U(:,1)’, and b = Xinv*Y = [0.40 0.80]. If you choose 5.9999, 6.0000 or 6.0001 for the 3rd element of Y, the answer for b stays the same to within 0.00001.

Then the question came: “Why don’t you get the stable solution when you use the pseudoinverse function, pinv, in MATLAB?” The answer is that, to MATLAB, X is not rank 1, it is rank 2. The singular values of X are 12.2 and 3.06e-5. MATLAB would consider a singular value zero if it was less than s = max(size(X))*norm(X)*eps, where eps is the machine precision. In this instance, s = 1.08e-14, and the smaller singular value of X is larger than this by about 9 orders of magnitude.

But just because it is significant with respect to machine precision doesn’t mean that is significant with respect to the precision of the measurements. If X was measured values, and it was known that they could only be reliably measured to 0.001, then clearly the rank 1 approximation of X should be used for this problem. In MATLAB, you can specify the tolerance of the pinv function. So if you use, for instance, Xinv = pinv(X,1e-4), then you get the same stable solution we did when we used the rank 1 approximation explicitly.

Thanks for the good question!

BMW

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