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Recursive Methods for Matrix Inversion in Pattern Recognition Environments

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2 Author(s)
Naccarato, D. ; University of New Haven ; Chien, Y.T.

Simple recursive methods for inverting an n x n matrix A + E in terms of A-1and E are presented, where E represents a matrix of modifications of the matrix A. Algorithms for rank one and rank r matrix modifications are given. In addition, simple methods for determining if A + E is invertible are developed. Applications of these methods to pattern recognition problems where the inversion of a matrix (eg., covariance matrix, scatter matrix, etc.) must. be computed and frequently updated as changes in data occur are illustrated.

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Computers, IEEE Transactions on  (Volume:C-27 ,  Issue: 9 )