The Gram-Schmidt process (or procedure) is a sequence of operations that allow to transform a set of linearly independent vectors into a set of orthonormal vectors that span the same space spanned by the original set.
Let us review some notions that are essential to understand the Gram-Schmidt process.
Remember that two vectors and are said to be orthogonal if and only if their inner product is equal to zero, that is,
Given an inner product, we can define the norm (length) of a vector as follows:
A set of vectors is called orthonormal if and only if its elements have unit norm and are orthogonal to each other. In other words, a set of vectors is orthonormal if and only if
We have proved that the vectors of an orthonormal set are linearly independent.
In the Gram-Schmidt process, we repeatedly use the next proposition, which shows that every vector can be decomposed into two parts: 1) its projection on an orthonormal set and 2) a residual that is orthogonal to the given orthonormal set.
Proposition Let be a vector space equipped with an inner product . Let be an orthonormal set. For any , we havewhere is orthogonal to for any
DefineThen, for each , we have thatwhere: in steps and we have used the fact that the inner product is linear in its first argument; in step we have used the fact that if since we are dealing with an orthonormal set; in step we have used the fact that the norm of is equal to 1. Therefore, , as defined above, is orthogonal to all the elements of the orthonormal set, which proves the proposition.
The termis called the linear projection of on the orthonormal set , while the term is called the residual of the linear projection.
Another perhaps obvious fact that we are going to repeatedly use in the Gram-Schmidt process is that, if we take any non-zero vector and we divide it by its norm, then the result of the division is a new vector that has unit norm.
In other words, if then, by the definiteness property of the norm, we have that
As a consequence, we can defineand, by the positivity and absolute homogeneity of the norm, we have
Now that we know how to normalize a vector and how to decompose it into a projection on an orthonormal set and a residual, we are ready to explain the Gram-Schmidt procedure.
We are going to provide an overview of the process, after which we will express it formally as a proposition and we will discuss all the technical details in the proof of the proposition.
Here is the overview.
We are given a set of linearly independent vectors .
To start the process, we normalize the first vector, that is, we define
In the second step, we project on :where is the residual of the projection.
Then, we normalize the residual:
We will later prove that (so that the normalization can be performed) because the starting vectors are linearly independent.
The two vectors and thus obtained are orthonormal.
In the third step, we project on and :and we compute the residual of the projection .
We then normalize it:
We proceed in this manner until we obtain the last normalized residual .
At the end of the process, the vectors form an orthonormal set because:
they are the result of a normalization, and as a consequence they have unit norm;
each is obtained from a residual that has the property of being orthogonal to .
Since the vectors are linearly independent combinations of , any vector that can be written as a linear combination of can also be written as a linear combination of . Therefore, the spans of the two sets of vectors coincide:
We formalize here the Gram-Schmidt process as a proposition, whose proof contains all the technical details of the procedure.
Proposition Let be a vector space equipped with an inner product . Let be linearly independent vectors. Then, there exists a set of orthonormal vectors such thatfor any .
The proof is by induction: first we prove that the proposition is true for , and then we prove that it is true for a generic if it holds for . When , the vectorhas unit norm and it constitutes by itself an orthonormal set: there are no other vectors, so the orthogonality condition is trivially satisfied. The setis the set of all scalar multiples of , which are also scalar multiples of (and vice versa). Therefore, Now, suppose that the proposition is true for . Then, we can project on :where the residual is orthogonal to . Suppose that . Then,Since, by assumption, for any , we have that for any , where are scalars. Therefore,In other words, the assumption that leads to the conclusion that is a linear combination of . But this is impossible because one of the assumptions of the proposition is that are linearly independent. As a consequence, it must be that . We can therefore normalize the residual and define the vectorwhich has unit norm. We already know that is orthogonal to . This implies that also is orthogonal to . Thus, is an orthonormal set. Now, take any vector that can be written aswhere are scalars. Since, by assumption, we have that equation (2) can also be written aswhere are scalars, and: in step we have used equation (1); in step we have used the definition of . Thus, we have proved that every vector that can be written as a linear combination of can also be written as a linear combination of . Assumption (3) allows to prove the converse in a completely analogous manner:In other words, every linear combination of is also a linear combination of . This proves that and concludes the proof.
The following proposition presents an important consequence of the Gram-Schmidt process.
Proposition Let be a vector space equipped with an inner product . If has finite dimension , then there exists an orthonormal basis for .
Since is finite-dimensional, there exists at least one basis for , consisting of vectors . We can apply the Gram-Schmidt procedure to the basis and obtain an orthonormal set . Since is a basis, it spans . Therefore, Thus, is an orthonormal basis of .
Below you can find some exercises with explained solutions.
Consider the space of all vectors having real entries and the inner productwhere and is the transpose of . Define the vector
The norm of isTherefore, the normalization of is
Consider the space of all vectors having real entries and the inner productwhere . Consider the two linearly independent vectors
Transform them into an orthonormal set by using the Gram-Schmidt process.
The norm of is Therefore, the first orthonormal vector isThe inner product of and isThe projection of on isThe residual of the projection isThe norm of the residual isand the normalized residual isThus, the orthonormal set we were looking for is
Please cite as:
Taboga, Marco (2017). "Gram-Schmidt process", Lectures on matrix algebra. https://www.statlect.com/matrix-algebra/Gram-Schmidt-process.
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