Model fitting by least squares |

When we use the steepest-descent method,
we iteratively find solutions by this updating:

(61) | |||

(62) | |||

(63) |

After we have iterated to convergence, the gradient vanishes. Adding any to does not change the residual . Because is unchanged, remains zero and . Thus, we conclude that any null space in the initial guess remains there unaffected by the gradient-descent process. So, in the presense of null space, the answer we get from an iterative method depends on the starting guess. Oops! The analytic solution does not do any better. It needs to deal with a singular matrix. Existence of a null space destroys the uniqueness of any resulting model.

Linear algebra theory enables us to dig up the entire null space
should we so desire.
On the other hand, the computer demands might be vast.
Even the memory for holding the many vectors could be prohibitive.
A much simpler and more practical goal
is to find out if the null space has any members,
and if so, to view some members.
To try to see a member of the null space,
we take two starting guesses,
and we run our iterative solver for each.
If the two solutions,
and ,
are the same, there is no null space.
If the solutions differ, the difference
is a member of the null space.
Let us see why:
Suppose after iterating to minimum residual we find:

(64) | |||

(65) |

We know that the residual squared is a convex quadratic function of the unknown . Mathematically that means the minimum value is unique, so . Subtracting, we find proving that is a model in the null space. Adding to any to any model does not change the modeled data.

A practical way to learn about the existence of null spaces and see samples is to try gradient-descent methods beginning from various different starting guesses. |

``Did I fail to run my iterative solver long enough?'' is a question you might have. If two residuals from two starting solutions are not equal, , then you should be running your solver through more iterations.

If two different starting solutions produce two different residuals, then you did not run your solver through enough iterations. |

Model fitting by least squares |

2014-12-01