Matrix Inversion Lemma

The Matrix Inversion Lemma is the equation

(A BD

C ) = A1 + A1 B ( D C A1 B ) C A1
1 1

(1)

Proof: We construct an augmented matrix A, B, C, and D and its inverse: 1 A B E F C D = G H We then construct the two products A B E F A E + B G A F + B H I 0 C D G H = C E + D G C F + D H = 0 I and E F A B E A + F C E B + F D I 0 G H C D = G A + H C G B + H D = 0 I Submatrices in (3) and (4) are broken out to form eight matrix equations: A E + B G = I A F + B H = 0 C E + D G = 0 CF + DH = I

(2)

(3)

(4) (5) (6) (7) (8)

E A + F C = I (9) EB+ F D = 0 (10) G A + H C = 0 (11) GB+ H D = I (12) Combining (5) through (12) in various orders gives two sets of equations for E, F, G and H from A, B, C, and D:

E = ( A B D 1 C )
1

(13) (14) (15) (16) (17) (18) (19) (20)

1

F = ( A B D 1 C ) B D 1 G = D 1 C ( A B D 1 C ) and H = D 1 + D 1 C ( A B D 1 C ) B D 1
1

E = A1 + A1 B ( D C A1 B ) C A1
1

F = A1 B ( D C A1 B )
1

G = ( D C A1 B ) C A1 H = ( D C A1 B )
1

The proof is completed by combining either (13) and (17) or (16) and (20). Conditions are that all the involved inverses exist.