What Is an M-Matrix?

An M-matrix is a matrix A\in\mathbb{R}^{n \times n} of the form

\notag      A = sI - B, \quad \mathrm{where}~B \ge 0~\mathrm{and}~s > \rho(B).      \qquad (*)

Here, \rho(B) is the spectral radius of B, that is, the largest modulus of any eigenvalue of B, and B \ge 0 denotes that B has nonnegative entries. An M-matrix clearly has nonpositive off-diagonal elements. It also has positive diagonal elements, which can be shown using the result that

\notag  \rho(A) = \lim_{k\to\infty} \|A^k\|^{1/k}   \qquad (\dagger)

for any consistent matrix norm:

\notag  s > \rho(B) = \lim_{k\to\infty} \|B^k\|_{\infty}^{1/k}          \ge  \lim_{k\to\infty} \|\mathrm{diag}(b_{ii})^k\|_{\infty}^{1/k}          = \max_i b_{ii}.

Although the definition of an M-matrix does not specify s, we can set it to \max_i a_{ii}. Indeed let s satisfy (*) and set \widetilde{s} = \max_i a_{ii} and \widetilde{B} = \widetilde{s}I - A. Then \widetilde{B} \ge 0, since \widetilde{b}_{ii} = \widetilde{s} - a_{ii} \ge 0 and \widetilde{b}_{ij} = -a_{ij} = b_{ij} \ge 0 for i \ne j. Furthermore, for a nonnegative matrix the spectral radius is an eigenvalue, by the Perron–Frobenius theorem, so \rho(B) is an eigenvalue of B and \rho(\widetilde{B)} is an eigenvalue of \widetilde{B}. Hence \rho(\widetilde{B}) = \rho( (\widetilde{s}-s)I + B) = \widetilde{s}  -s + \rho(B) < \widetilde{s}.

The concept of M-matrix was introduced by Ostrowski in 1937. M-matrices arise in a variety of scientific settings, including in finite difference methods for PDEs, input-output analysis in economics, and Markov chains in stochastic processes.

An immediate consequence of the definition is that the eigenvalues of an M-matrix lie in the open right-half plane, which means that M-matrices are special cases of positive stable matrices. Hence an M-matrix is nonsingular and the determinant, being the product of the eigenvalues, is positive. Moreover, since C = s^{-1}B satisfies \rho(C) < 1,

\notag     A^{-1} = s^{-1}(I - C)^{-1}            = s^{-1}(I + C + C^2 + \cdots) \ge 0.

In fact, nonnegativity of the inverse characterizes M-matrices. Define

\notag     Z_n = \{ \, A \in \mathbb{R}^{n\times n}: a_{ij} \le 0, \; i\ne j \,\}.

Theorem 1.

A nonsingular matrix A\in Z_n is an M-matrix if and only if A^{-1} \ge 0.

Sometimes an M-matrix is defined to be a matrix with nonpositive off-diagonal elements and a nonnegative inverse. In fact, this condition is just one of a large number of conditions equivalent to a matrix with nonpositive off-diagonal elements being an M-matrix, fifty of which are given in Berman and Plemmons (1994, Chap. 6).

It is easy to check from the definitions, or using Theorem 1, that a triangular matrix T with positive diagonal and nonpositive off-diagonal is an M-matrix. An example is

\notag     T_4 = \left[\begin{array}{@{\mskip 5mu}c*{3}{@{\mskip 15mu} r}@{\mskip 5mu}}      1 &   -1  &  -1  & -1 \\        &    1  &  -1  & -1 \\        &       &   1  & -1 \\        &       &      &  1            \end{array}\right], \quad   T_4^{-1} =    \begin{bmatrix}    1 & 1 & 2 & 4\\   & 1 & 1 & 2\\   &   & 1 & 1\\   &   &   & 1    \end{bmatrix}.

Bounding the Norm of the Inverse

An M-matrix can be constructed from any nonsingular triangular matrix by taking the comparison matrix. The comparison matrix associated with a general B\in\mathbb{R}^{n \times n} is the matrix

\notag   M(B) = (m_{ij}), \quad m_{ij} =    \begin{cases} |b_{ii}|, & i=j, \\                 -|b_{ij}|, & i\ne j.     \end{cases}

For a nonsingular triangular T, M(T) is an M-matrix, and it easy to show that

\notag       |T^{-1}| \le |M(T)^{-1}|,

where the absolute value is taken componentwise. This bound, and weaker related bounds, can be useful for cheaply bounding the norm of the inverse of a triangular matrix. For example, with e denoting the vector of ones, since M(T)^{-1} is nonnegative we have

\notag    \|T^{-1}\|_{\infty} \le \|M(T)^{-1}\|_{\infty}                         = \|M(T)^{-1}e\|_{\infty},

and \|M(T)^{-1}e\|_{\infty} can be computed in O(n^2) flops by solving a triangular system, whereas computing T^{-1} costs O(n^3) flops.

More generally, if we have an LU factorization PA = LU of an M-matrix A\in\mathbb{R}^{n \times n} then, since A^{-1} \ge 0,

\notag   \|A^{-1}\|_{\infty} = \|A^{-1}e\|_{\infty}                       = \|U^{-1}L^{-1}Pe\|_{\infty}                       = \|U^{-1}L^{-1}e\|_{\infty}.

Therefore the norm of the inverse can be computed in O(n^2) flops with two triangular solves, instead of the O(n^3) flops that would be required if A^{-1} were to be formed explicitly.

Connections with Symmetric Positive Definite Matrices

There are many analogies between M-matrices and symmetric positive definite matrices. For example, every principal submatrix of a symmetric positive definite matrix is symmetric positive definite and every principal submatrix of an M-matrix is an M-matrix. Indeed if \widetilde{B} is a principal submatrix of a nonnegative B then \rho(\widetilde{B}) \le \rho(B), which follows from (\dagger) for the \infty-norm (for example). Hence on taking principal submatrices in (*) we have s > \rho(\widetilde{B}) with the same s.

A symmetric M-matrix is known as a Stieltjes matrix, and such a matrix is positive definite. An example of a Stieltjes matrix is minus the second difference matrix (the tridiagonal matrix arising from a central difference discretization of a second derivative), illustrated for n = 4 by

\notag     A_4 = \left[\begin{array}{@{\mskip 5mu}c*{3}{@{\mskip 15mu} r}@{\mskip 5mu}}      2 &   -1  &      &    \\     -1 &    2  &  -1  &    \\        &    -1 &   2  &  -1 \\        &       &  -1  &  2            \end{array}\right], \quad   A_4^{-1} =    \begin{bmatrix}   \frac{4}{5} & \frac{3}{5} & \frac{2}{5} & \frac{1}{5}\\[\smallskipamount]   \frac{3}{5} & \frac{6}{5} & \frac{4}{5} & \frac{2}{5}\\[\smallskipamount]   \frac{2}{5} & \frac{4}{5} & \frac{6}{5} & \frac{3}{5}\\[\smallskipamount]   \frac{1}{5} & \frac{2}{5} & \frac{3}{5} & \frac{4}{5} \end{bmatrix}.

LU Factorization

Since the leading principal submatrices of an M-matrix A have positive determinant it follows that A has an LU factorization with U having positive diagonal elements. However, more is true, as the next result shows.

Theorem 2.

An M-matrix A has an LU factorization A = LU in which L and U are M-matrices.

Proof. We can write

\notag    A =    \begin{array}[b]{@{\mskip27mu}c@{\mskip-20mu}c@{\mskip-10mu}c@{}}    \scriptstyle 1 &    \scriptstyle n-1 &    \\    \multicolumn{2}{c}{        \left[\begin{array}{c@{~}c@{~}}                  \alpha & b^T \\                  c^T    & E  \\              \end{array}\right]}    & \mskip-14mu\          \begin{array}{c}              \scriptstyle 1 \\              \scriptstyle n-1              \end{array}    \end{array},   \quad \alpha > 0, \quad b\le 0, \quad c \le 0.

The first stage of LU factorization is

\notag   A = \begin{bmatrix}           \alpha & b^T \\              c   & E       \end{bmatrix}    =       \begin{bmatrix}               1          & 0   \\              \alpha^{-1}c & I       \end{bmatrix}       \begin{bmatrix}               \alpha  & b^T   \\                 0     & S       \end{bmatrix} = L_1U_1, \quad S = E - \alpha^{-1} c\mskip1mu b^T,

where S is the Schur complement of \alpha in A. The first column of L_1 and the first row of U_1 are of the form required for a triangular M-matrix. We have

\notag   A^{-1} = U_1^{-1}L_1^{-1} =       \begin{bmatrix}               \alpha^{-1} & -\alpha^{-1}b^TS^{-1}  \\                     0     & S^{-1}       \end{bmatrix}       \begin{bmatrix}               1          & 0   \\              -\alpha^{-1}c & I       \end{bmatrix}     =       \begin{bmatrix}               \times          & \times   \\              \times & S^{-1}       \end{bmatrix}.

Since A^{-1} \ge 0 it follows that S^{-1} \ge 0. It is easy to see that S\in Z_n, and hence Theorem 1 shows that S is an M-matrix. The result follows by induction.

The question now arises of what can be said about the numerical stability of LU factorization of an M-matrix. To answer it we use another characterization of M-matrices, that DA is strictly diagonally dominant by columns for some diagonal matrix D = \mathrm{diag}(d_i) with d_i>0 for all i, that is,

\notag        d_j|a_{jj}| > \sum_{i\ne j} d_i |a_{ij}|, \quad j=1\colon n.

(This condition can also be written as d^TA > 0 because of the sign pattern of A.) Matrices that are diagonally dominant by columns have the properties that an LU factorization without pivoting exists, the growth factor \rho_n \le 2, and partial pivoting does not require row interchanges. The effect of row scaling on LU factorization is easy to see:

\notag   A = LU \;\Rightarrow\; DA = DLD^{-1} \cdot DU       \equiv \widetilde{L} \widetilde{U},

where \widetilde{L} is unit lower triangular, so that \widetilde{L} and \widetilde{U} are the LU factors of DA. It is easy to see that the growth factor bound of 2 for a matrix diagonally dominant by columns translates into the bound

\notag       \rho_n \le 2\mskip1mu\displaystyle\frac{\max_i d_i}{\min_i d_i} \qquad(\ddagger)

for an M-matrix, which was obtained by Funderlic, Neumann, and Plemmons (1982). Unfortunately, this bound can be large. Consider the matrix

\notag  A = \begin{bmatrix}             \epsilon& 0& -1\\            -1& 1& -1\\             0& 0&  1    \end{bmatrix} \in Z_3, \quad 0 < \epsilon < 1.

We have

\notag  A^{-1} =    \begin{bmatrix}        \displaystyle\frac{1}{\epsilon}& 0& \displaystyle\frac{1}{\epsilon}\\[\bigskipamount]        \displaystyle\frac{1}{\epsilon}& 1 & \displaystyle\frac{1 + \epsilon}{\epsilon}\\[\bigskipamount]                  0&           0&     1    \end{bmatrix} \ge 0,

so A is an M-matrix. The (2,3) element of the LU factor U of A is -1 - 1/\epsilon, which means that

\notag     \rho_3 \ge \displaystyle\frac{1}{\epsilon} + 1,

and this lower bound can be arbitrarily large. One can verify experimentally that numerical instability is possible when \rho_3 is large, in that the computed LU factors have a large relative residual. We conclude that pivoting is necessary for numerical stability in LU factorization of M-matrices.

Stationery Iterative Methods

A stationery iterative method for solving a linear system Ax = b is based on a splitting A = M - N with M nonsingular, and has the form Mx_{k+1} = Nx_k + b. This iteration converges for all starting vectors x_0 if \rho(M^{-1}N) < 1. Much interest has focused on regular splittings, which are defined as ones for which M^{-1}\ge 0 and N \ge 0. An M-matrix has the important property that \rho(M^{-1}N) < 1 for every regular splitting, and it follows that the Jacobi iteration, the Gauss-Seidel iteration, and the successive overrelaxation (SOR) iteration (with 0 < \omega \le 1) are all convergent for M-matrices.

Matrix Square Root

The principal square root A^{1/2} of an M-matrix A is an M-matrix, and it is the unique such square root. An expression for A^{1/2} follows from (*):

\notag \begin{aligned}      A^{1/2} &= s^{1/2}(I - C)^{1/2} \quad (C = s^{-1}B, ~\rho(C) < 1),\\              &= s^{1/2} \sum_{j=0}^{\infty} {\frac{1}{2} \choose j} (-C)^j. \end{aligned}

This expression does not necessarily provide the best way to compute A^{1/2}.

Singular M-Matrices

The theory of M-matrices extends to the case where the condition on s is relaxed to s \ge \rho(B) in (*), though the theory is more complicated and extra conditions such as irreducibility are needed for some results. Singular M-matrices occur in Markov chains (Berman and Plemmons, 1994, Chapter 8), for example. Let P be the transition matrix of a Markov chain. Then P is stochastic, that is, nonnegative with unit row sums, so Pe = e. A nonnegative vector y with y^Te = 1 such that y^T P = y^T is called a stationary distribution vector and is of interest for describing the properties of the Markov chain. To compute y we can solve the singular system Ay = (I - P^T)y = 0. Clearly, A\in Z_n and \rho(P) = 1, so A is a singular M-matrix.


A more general concept is that of H-matrix: A\in\mathbb{R}^{n \times n} is an H-matrix if the comparison matrix M(A) is an M-matrix. Many results for M-matrices extend to H-matrices. For example, for an H-matrix with positive diagonal elements the principal square root exists and is the unique square root that is an H-matrix with positive diagonal elements. Also, the growth factor bound (\ddagger) holds for any H-matrix for which DA is diagonally dominant by columns.


This is a minimal set of references, which contain further useful references within.

Related Blog Posts

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.

5 thoughts on “What Is an M-Matrix?

  1. Excuse me, can you prove the inequalities for the inveres M-matrix bound, i.e |A^{-1}| \leq M(A)^{-1} ? Thanks in advance

  2. Thankyou for the replies, Sir. First of all, i have already read an article about M-Matrices and H-Matrices (https://www.sciencedirect.com/science/article/abs/pii/S0024379519305087). In that article (pg 5), there is a statement :
    A well known relationship between an invertible H-matrix and its comparison matrix due to Ostrowski [10] states that, for an invertible H-matrix A ∈ C^{n×n}, the inequality |A^{−1}| ≤ (M(A))^{−1} holds.

    I am confused to prove this statement. Any advice?

  3. Please is there any result that shows that the inverse of a strictly diagonally dominant matrix is also strictly diagonally dominant?
    I checked this numerically which holds, but could not find any analytic proof to support this.

    Many thanks

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