The inverse of the sum of two matrices in *Applied statistical decision theory *.

96 Views Asked by At

I am following Applied statistical decision theory [by] Raiffa, Howard. Which can be consulted online here.

A theorem at the page linked states that if two matrices $A,B$ are non-singular and of dimension $r \times r$, then:

$$(A+B)^{-1} = B^{-1}(B^{-1}+A^{-1})A^{-1} = A^{-1}(A^{-1}+B^{-1})B^{-1} $$

Why is this true?

(a link to a proof will suffice).

1

There are 1 best solutions below

0
On BEST ANSWER

$$(A+B)^{-1}=[B(B^{-1}A+I)]^{-1}=[B(B^{-1}+A^{-1})A]^{-1}$$

Now use that $(XY)^{-1}=X^{-1}Y^{-1}$ to get

$$[B(B^{-1}+A^{-1})A]^{-1}=A^{-1}(B^{-1}+A^{-1})^{-1}B^{-1}$$

Notice that there is a missing $-1$ in your formula.

To get the other equation start with

$$(A+B)^{-1}=[A(I+A^{-1}B)]^{-1}=[A(B^{-1}+A^{-1})B]^{-1}$$ and then

$$[A(B^{-1}+A^{-1})B]^{-1}=B^{-1}(B^{-1}+A^{-1})^{-1}A^{-1}$$