A Householder matrix is an orthogonal matrix of the form
It is easily verified that is
- orthogonal (),
- symmetric (),
- involutory ( that is, is a square root of the identity matrix),
where the last property follows from the first two.
A Householder matrix is a rank- perturbation of the identity matrix and so all but one of its eigenvalues are . The eigensystem can be fully described as follows.
- has an eigenvalue with eigenvector , since .
- has eigenvalues with eigenvectors any set of linearly independent vectors orthogonal to , which can be taken to be mutually orthogonal: for every such .
has trace and determinant , as can be derived directly or deduced from the facts that the trace is the sum of the eigenvalues and the determinant is the product of the eigenvalues.
For , a Householder matrix can be written as
Simple examples of Householder matrices are obtained by choosing , for which . For we obtain the matrices
Note that the matrix is times a Hadamard matrix.
Applying to a vector gives
This equation shows that reflects about the hyperplane , as illustrated in the following diagram, which explains why is sometimes called a Householder reflector. Another way of expressing this property is to write , where is orthogonal to . Then , so the component of in the direction has been reversed. If we take , the th unit vector, then , which has in the position. In this case premultiplying a vector by flips the sign of the th component.
Transforming a Vector
Householder matrices are powerful tools for introducing zeros into vectors. Suppose we are given vectors and and wish to find a Householder matrix such that . Since is orthogonal, we require that , and we exclude the trivial case . Now
and this last equation has the form for some . But is independent of the scaling of , so we can set . Now with we have
and, since ,
as required. Most often we choose to be zero in all but its first component.
What can we say about square roots of a Householder matrix, that is, matrices such that ?
We note first that the eigenvalues of are the square roots of those of and so of them will be and one will be . This means that cannot be real, as the nonreal eigenvalues of a real matrix must appear in complex conjugate pairs.
Write , where is normalized so that . It is natural to look for a square root of the form . Setting leads to the quadratic equation , and hence . As expected, these two square roots are complex even though is real. As an example, gives the following square root of the matrix above corresponding to with :
A good way to understand all the square roots is to diagonalize , which can be done by a similarity transformation with a Householder matrix! Normalizing again, let and . Then from the construction above we know that . Hence
Then and so gives square roots on taking all possible combinations of signs on the diagonal for . Because has repeated eigenvalues these are not the only square roots. The infinitely many others are obtained by taking non-diagonal square roots of , which are of the form , where is any non-diagonal square root of the identity matrix, which in particular could be a Householder matrix!
Block Householder Matrix
It is possible to define an block Householder matrix in terms of a given , where , as
Here, “” denotes the Moore–Penrose pseudoinverse. For , clearly reduces to a standard Householder matrix. It can be shown that (this is most easily proved using the SVD), and so
where is the orthogonal projector onto the range of (that is, , , and ). Hence, like a standard Householder matrix, is symmetric, orthogonal, and involutory. Furthermore, premultiplication of a matrix by has the effect of reversing the component in the range of .
As an example, here is the block Householder matrix corresponding to :
One can show (using the SVD again) that the eigenvalues of are repeated times and repeated times, where . Hence and .
Schreiber and Parlett (1988) note the representation for ,
where and are orthogonal and is symmetric positive definite. This formula neatly generalizes the formula for a standard Householder matrix for given above, and a similar formula holds for odd .
Schreiber and Parlett also show how given () one can construct a block Householder matrix such that
The polar decomposition plays a key role in the theory and algorithms for such .
Rectangular Householder Matrix
We can define a rectangular Householder matrix as follows. Let , , , and
Then , that is, has orthonormal columns, if
Of course, is just the first columns of the Householder matrix built from the vector .
The earliest appearance of Householder matrices is in the book by Turnbull and Aitken (1932). These authors show that if () then a unitary matrix of the form (in their notation) can be constructed so that . They use this result to prove the existence of the Schur decomposition. The first systematic use of Householder matrices for computational purposes was by Householder (1958) who used them to construct the QR factorization.
This is a minimal set of references, which contain further useful references within.
- Massimiliano Fasi and Nicholas J. Higham, Generating Extreme-Scale Matrices with Specified Singular Values or Condition Numbers, MIMS EPrint 2020.8, Manchester Institute for Mathematical Sciences, The University of Manchester, UK, March 2020. (For the use of rectangular Householder matrices.)
- Nicholas J. Higham, Accuracy and Stability of Numerical Algorithms, second edition, Society for Industrial and Applied Mathematics, Philadelphia, PA, USA, 2002. (Chapter 19.)
- Nicholas J. Higham, Functions of Matrices: Theory and Computation, Society for Industrial and Applied Mathematics, Philadelphia, PA, USA, 2008. (Sections 1.5 and 1.6 for the theory of matrix square roots.)
- Robert S. Schreiber and Beresford N. Parlett, Block Reflectors: Theory and Computation, SIAM J. Numer. Anal. 25(1), 189–205, 1988.
Related Blog Posts
- What Is a Generalized Inverse? (2020)
- What Is a Hadamard Matrix? (2020)
- What Is an Orthogonal Matrix? (2020)
- What Is the Polar Decomposition? (2020)
This article is part of the “What Is” series, available from https://nhigham.com/category/what-is and in PDF form from the GitHub repository https://github.com/higham/what-is.