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Concept
Schur complement
Summary
In linear algebra and the theory of matrices, the Schur complement of a block matrix is defined as follows.
Suppose p, q are nonnegative integers, and suppose A, B, C, D are respectively p × p, p × q, q × p, and q × q matrices of complex numbers. Let
so that M is a (p + q) × (p + q) matrix.
If D is invertible, then the Schur complement of the block D of the matrix M is the p × p matrix defined by
If A is invertible, the Schur complement of the block A of the matrix M is the q × q matrix defined by
In the case that A or D is singular, substituting a generalized inverse for the inverses on M/A and M/D yields the generalized Schur complement.
The Schur complement is named after Issai Schur who used it to prove Schur's lemma, although it had been used previously. Emilie Virginia Haynsworth was the first to call it the Schur complement. The Schur complement is a key tool in the fields of numerical analysis, statistics, and matrix analysis.
The Schur complement arises when performing a block Gaussian elimination on the matrix M. In order to eliminate the elements below the block diagonal, one multiplies the matrix M by a block lower triangular matrix on the right as follows:
where Ip denotes a p×p identity matrix. As a result, the Schur complement appears in the upper-left p×p block.
Continuing the elimination process beyond this point (i.e., performing a block Gauss–Jordan elimination),
leads to an LDU decomposition of M, which reads
Thus, the inverse of M may be expressed involving D−1 and the inverse of Schur's complement, assuming it exists, as
The above relationship comes from the elimination operations that involve D−1 and M/D. An equivalent derivation can be done with the roles of A and D interchanged. By equating the expressions for M−1 obtained in these two different ways, one can establish the matrix inversion lemma, which relates the two Schur complements of M: M/D and M/A (see "Derivation from LDU decomposition" in ).
If p and q are both 1 (i.e.
Official source
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