MATH1813

Mathematical Methods for

Actuarial Science

Dr. Yat-Ming Chan

Department of Mathematics
The University of Hong Kong

First Semester 2010-11

Content Outline

1. Matrices, determinants, system of linear equations

2. Eigenvalues, Eigenvectors, Diagonalization

3. Vector Spaces

4. Partial Differentiation

5. Vector Functions

6. Optimization

7. Multiple Integrals

8. Differential Equations

Reference Books

Main Reference

1. Class lecture notes — This course will follow closely with the lecture notes
which can be downloaded from the course website.

2. K. Binmore and J. Davies, Calculus – Concepts and Methods, Cambridge

University Press (2001)

Suggested Readings

1. Steven J. Leon, Linear Algebra with Applications, 7th edition, Pearson Edu-
cation International

2. George B. Thomas; as revised by Maurice D. Weir, Joel Hass and Frank R.

Giordano, Thomas’ Calculus, 11th edition, Addison Wesley
Ch1/MATH1813/YMC/2010-11/1st 1

Chapter 1. Matrices, determinants, system of linear equa-

tions

1.1. Matrix Arithmetic and Operations

This section is devoted to developing the arithmetic of matrices. We will see some of the
differences between arithmetic of real numbers and matrices.

Definition 1.1 Let m, n be positive integers. An m × n matrix A is an array of real numbers

 
a11 a12 ··· a1n
 a21 a22 ··· a2n 
 
A=
 .. .. .. .. 
 . . . . 


am1 am2 ··· amn

where aij ∈ R is the (i, j)-th entry of A. We shall write A = (aij )1≤i≤m;1≤j≤n for short, or
A = (aij ) if the size of A is understood. Denote by Mm×n (R) the set of all m × n matrices
with real entries.

Matrices of the shape m × 1 are called column vectors, whereas matrices of the shape 1 × n
are called row vectors. Note that the integer m need not be equal to n. In the case of m = n,
we have a n × n matrix, and it is called a square matrix of order n. Denote by Mn (R) the set
of all square matrices of order n with real entries. The following are some examples of matrices:
 
  4
! 1 9 2 −6
a11 a12 a13 a14
A= , B= 7 5 −3 , C= 
   
a21 a22 a23 a24 5
−5 8 4
1
Matrix A is a general 2 × 4 matrix with entries aij ∈ R where 1 ≤ i ≤ 2 and 1 ≤ j ≤ 4. Matrix
B is a square matrix of order 3, and C is a 4 × 1 matrix (column vector).

Example 1.2 A zero matrix 0m×n ∈ Mm×n (R) (or just 0 if the size is understood) is a matrix
with all its entries equal to zero, i.e. aij = 0 for 1 ≤ i ≤ m and 1 ≤ j ≤ n. Another special
matrix is the n × n identity matrix whose entries δij are the Kronecker delta:

1 if i = j;
δij =
0 if i 6= j,

for 1 ≤ i, j ≤ n, i.e. the diagonal entries are all one while the off-diagonal entries are all
zero. Often the identity matrices are denoted by In . As you will see later, the zero and identity
matrices play a similar role as 0 and 1 in the arithmetic of real numbers. 2
Ch1/MATH1813/YMC/2010-11/1st 2

Definition 1.3 If A, B ∈ Mm×n (R) then we say that A = B provided corresponding entries
from each matrix are equal, that is, A = B provided aij = bij for all i and j. Matrices of
different sizes cannot be equal.

Now we define addition and subtraction of matrices:

Definition 1.4 Let A, B ∈ Mm×n (R), with A = (aij ) and B = (bij ). Then the sum and the
difference of A and B, written as A + B and A − B, are also m × n matrices with entries given
by aij + bij and aij − bij respectively. Matrices of different sizes cannot be added or subtracted.

Next we proceed to multiplication involving matrices. Note that we can define two kinds of
multiplication, namely scalar multiplication and matrix multiplication. We first look at scalar
multiplication:

Definition 1.5 Let A = (aij )m×n ∈ Mm×n (R). For any λ ∈ R, the scalar multiple of A by λ
is defined by λA = (λaij )m×n . In particular, (−1) A is simply written as −A.

Proposition 1.6 For any A, B, C ∈ Mm×n (R) and for any α, λ ∈ R, we have

1. A + B = B + A, (Commutative law for addition)

2. A + (B + C) = (A + B) + C, (Associative law for addition)

3. A + 0 = A = 0 + A,

4. α(λA) = (αλ)A,

5. (α + λ)A = αA + λA,

6. λ(A + B) = λA + λB.

Proof. Exercise. (The zero matrix takes the place of the real number 0 in matrix addition.) 2

We now define matrix multiplication:

Definition 1.7 If A = (aij ) ∈ Mm×n (R) and B = (bij ) ∈ Mn×p (R), then the product AB
lies in Mm×p (R) and is the matrix C = (cij ) with
n
X
cij = aik bkj
k=1

for 1 ≤ i ≤ m and 1 ≤ j ≤ p.

Remark We have to pay extra attention on the sizes of the matrices when we are doing matrix
multiplication. The product AB is only defined if the number of elements in a row of A equals
the number of elements in a column of B. The (i, j)th entry of the new matrix, if defined, is
computed by multiplying the ith row of A with the jth column of B.
Ch1/MATH1813/YMC/2010-11/1st 3

 
! 6 −1 0
3 1 5
Example 1.8 Let A = and B = 0 4 −5. Then AB is defined and
 
0 −2 1
2 7 12
!
28 36 55
equals while BA is not defined in this case. Observe that this makes a differ-
2 −1 22
ence between real number and matrix arithmetic. The product of two matrices is not always
defined, and even it is defined, the order in which the product is expressed is important. It is
possible that we have AB 6= BA for some matrices A, B. In other words, we do not necessarily
have commutative law for matrix multiplication. 2

Proposition 1.9 Whenever the sums and products are defined, we have

1. (AB)C = A(BC), (Associative law for multiplication)

2. A(B + C) = AB + AC, (Left distributive law)

3. (B + C)A = BA + CA, (Right distributive law)

4. for any λ ∈ R, λ(AB) = (λA)B = A(λB),

5. AI = A = IA.

Proof. Exercise. (The identity matrix takes the place of the real number 1 in matrix multiplica-
tion. Note that the identity matrices in (5) may have different sizes.) 2

In real number arithmetic, we know that if ab = 0, then either a = 0 or b = 0. This property

is not valid in general for matrix arithmetic.
! !
1 2 4 −10
Example 1.10 Take A = and B = . Then we have AB = 0 despite the
3 6 −2 5
fact that A 6= 0 and B 6= 0. 2

For every matrix A ∈ Mm×n (R), there exists a matrix B ∈ Mm×n (R) such that A + B =
0 = B + A, namely B = (−aij ). We call B the additive inverse of A and write −A for it. Now
what about multiplicative inverse? Does it always exist? Let us focus on the case of square
matrices:

Definition 1.11 Let A ∈ Mn (R). If there exists B ∈ Mn (R) such that

AB = BA = In ,

then we call A invertible or nonsingular, and B the (multiplicative) inverse of A. We shall write
A−1 for the inverse matrix of A. If there is no such a matrix B, we call A a singular matrix.

Note that if A is invertible with inverse B, then B is also invertible with inverse A. Before
proceeding to some examples, we show in the following theorem that the inverse of a matrix is
unique, if it exists:
Ch1/MATH1813/YMC/2010-11/1st 4

Theorem 1.12 If A ∈ Mn (R) is invertible, then it has a unique inverse.

Proof. Suppose B and C are inverses of A, then from Definition 1.11 we have

AB = BA = In , and AC = CA = In .

Multiply both sides of AB = In by C to get C(AB) = CIn = C. However, by the associative

law of multiplication from Proposition 1.9 we also have C(AB) = (CA)B = In B = B. It
follows that we must have B = C. 2

Example 1.13 (1) Any n×n zero matrices are not invertible; Every identity matrix is invertible,
with inverse being itself.
! !
1 x 1 −x
(2) The matrix A = is invertible, with A−1 = for any x ∈ R. 2
0 1 0 1

Exercise (1) Show that if A, B ∈ Mn (R) are invertible, then AB is also invertible. What is
the inverse of it?

(2) Show that if A ∈ Mn (R) is invertible, then Ak is invertible for k = 0, 1, 2, . . . , with

(Ak )−1 = (A−1 )k .

Let us now introduce some matrix operations that do not have any equivalent operations
with real numbers.

Definition 1.14 Let A = (aij ) ∈ Mm×n (R). The transpose of A, denoted by AT , is the
matrix AT = (bij ) where bij = aji . In other words, the transpose of A is the matrix obtained
by interchanging the rows and columns of A. In particular, AT ∈ Mn×m (R).

 
!T 1 7 !T !
1 5 3 −5 −3 −5 3
Example 1.15 = 5 1 and = 2
 
7 1 6 3 0 −3 0
3 6

Proposition 1.16 Let A, B ∈ Mm×n (R) and C ∈ Mn×p (R). Then

1. (AT )T = A,

2. (A + B)T = AT + B T ,

3. (λA)T = λAT ,

4. (BC)T = C T B T .

Proof. We prove the last one and leave the others as straightforward exercises. The (i, j)-th
entry of BC is given by
Xn
bik ckj .
k=1
Ch1/MATH1813/YMC/2010-11/1st 5

By definition, the (i, j)-th entry of (BC)T is the (j, i)-th entry of BC, which is equal to
n
X
bjk cki .
k=1

Now let us denote by b̄ij and c̄ij the entries of B T and C T respectively. Then, by definition, we
have b̄ij = bji and c̄ij = cji . It follows that the (i, j)-th entry of C T B T is given by
n
X n
X
c̄ik b̄kj = cki bjk ,
k=1 k=1

which is exactly the (i, j)-th entry of (BC)T . This completes the proof. 2

Remark Property 4 can be extended to the case where there are more than two matrices:

(A1 A2 · · · Al )T = ATl · · · AT2 AT1 .

Exercise Show that if A ∈ Mn (R) is invertible, then so is AT and (AT )−1 = (A−1 )T .

Definition 1.17 Let A = (aij ) ∈ Mn (R). We say that A is a symmetric matrix if AT = A,

that is, aij = aji for all i, j = 1, . . . , n. We say that A is a skew-symmetric matrix if AT = −A,
that is, aij = −aji for all i, j = 1, . . . , n.

By definition, all the diagonal entries of a skew-symmetric matrix are zero, since aii = −aii
⇒ aii = 0 for all i.

 
! 0 7 −1
4 6
Example 1.18 is symmetric; −7 0 −3 is skew-symmetric.
 
6 −5
1 3 0

Proposition 1.19 Let A, B ∈ Mn (R) be symmetric matrices, and λ ∈ R. Then

1. A ± B is symmetric,

2. λA is symmetric,

3. AT is symmetric.

Remark Note that every A ∈ Mn (R) can be expressed as a sum B + C, where B = 12 (A + AT )

is the symmetric part of A, and C = 21 (A − AT ) is the skew-symmetric part of A.

Here is another operation which is only defined on square matrices:

Definition 1.20 Let A = (aij ) ∈ Mn (R). The trace of A, denoted by tr(A), is the sum of all
the entries on the main diagonal, that is,
n
X
tr(A) = aii .
i=1
Ch1/MATH1813/YMC/2010-11/1st 6

 
4 5 −12 !
5 −7
Example 1.21 tr(In ) = n; tr−32 −1 13  = 0 = tr . 2
 
17 −5
8 27 −3

Proposition 1.22 Let A, B ∈ Mn (R). Then

1. tr(AT ) = tr(A),

2. tr(A + B) = tr(A) + tr(B),

3. tr(λA) = λ tr(A) for any λ ∈ R.

Proof. Exercise. 2

Exercise Show that if A ∈ Mm×n (R) and B ∈ Mn×m (R), then tr(AB) = tr(BA).

1.2. Determinants

For every square matrix A one can associate to it a real number called the determinant,
denoted by det(A), or sometimes |A|. We can also interpret the determinant of a square matrix
A as a real-valued function on Mn (R), that is, det: Mn (R) −→ R with A 7→ det(A). For
n = 1, we have A = (a), and det(A) is defined to be the number a. For n ≥ 2, we need the
following two definitions:

Definition 1.23 If A = (aij ) ∈ Mn (R), then the minor of the entry aij , denoted by Mij , is
the determinant of the submatrix that results from removing the ith row and jth column of A.
The cofactor of aij , denoted by Cij , is the number (−1)i+j Mij .
!
5 −1
Example 1.24 Let A = . Then the minors are: M11 = det(2) = 2, M12 =
−3 2
det(−3) = −3, M21 = det(−1) = −1 and M22 = det(5) = 5, and the cofactors are: C11 =
(−1)1+1 M11 = 2, C12 = (−1)1+2 M12 = 3, C21 = (−1)2+1 M21 = 1 and C22 = (−1)2+2 M22
= 5. 2

We can now define the determinant of an 2 × 2 matrix A = (aij ) as follows:

det(A) = a11 C11 + a12 C12 . (*)

!
a b
Thus if A = , then we have det(A) = ad − bc. One can generalize (*) to obtain a way
c d
of defining determinants of larger matrices:

Definition 1.25 For n ≥ 2, the determinant of A = (aij ) ∈ Mn (R) is defined as follows:

det(A) = a11 C11 + a12 C12 + · · · + a1n C1n (1.1)

where Cij is the cofactor of aij .

Ch1/MATH1813/YMC/2010-11/1st 7

The expression (1.1) is an inductive definition for the determinant of an n × n square matrix.
Such an expression is called the cofactor expansion of det(A) along the first row of A. However,
(1.1) is by no means the only way of defining det(A). In fact, we can pick up any row/column
of A, go across that row/column and multiply each entry by its cofactor, add all these products
up and we will obtain the determinant for the matrix.
 
3 4 1
Example 1.26 To compute the determinant of A = 2 5 2 we expand along the first
 

4 1 3
row as in (1.1). The corresponding cofactors are: C11 = 13, C12 = 2 and C13 = −18. It follows
that
det(A) = 3C11 + 4C12 + C13 = 3 × 13 − 4 × 2 + (−18) = 29. 

Determinants arise naturally in the solution of a system of linear equations. Suppose we have

ax + by = e,
cx + dy = f,

where a, b, c, d, e, f are given and x, y are to be solved. Then elementary algebra gives
de − bf af − ce
x= and y = ,
ad − bc ad − bc
!
a b
provided ad − bc 6= 0. Thus we see that if the determinant of matrix is nonzero, then
c d
we can always solve the above system of equations (uniquely). We shall discuss solving systems
of linear equations later.

Properties of determinants

We give here some basic properties of determinants and towards the end we will see a nice
test for the invertibility of a matrix.

Theorem 1.27 Let A ∈ Mn (R).

(a) If B is the matrix that results from interchanging two rows or two columns of A, then
det(B) = − det(A).

(b) If B is the matrix that results from multiplying a row/column of A by a scalar λ, then
det(B) = λ det(A).

(c) If B is the matrix that results from adding to one row/column of A a multiple of another
row/column of A, then det(B) = det(A).

Remark The above operations are called elementary row/column operations on a matrix. We
shall discuss these operations again later.
Ch1/MATH1813/YMC/2010-11/1st 8

Example 1.28 We apply Theorem 1.27 to evaluate the determinant of A in Example 1.26:
 
3 4 1
 
2 5 2 .
 
 
4 1 3

Subtract the third column from the first column to give

 
2 4 1
 
0 5 2
 
 
1 1 3

and then subtract twice the third row from the first row to give
 
0
 2 −5 
2 −5

0 5 2  = 1·  = 29. 
   
  5 2 
1 1 3 

Theorem 1.29 Let A ∈ Mn (R) and λ ∈ R. Then det(λA) = λn det(A).

Proof. Apply (b) of Theorem 1.27. 2

Theorem 1.30 If A, B ∈ Mn (R), then det(AB) = det(A) det(B).

Proof. Omitted. 2

Theorem 1.30 implies that the determinant function is multiplicative. The next theorem
relates determinants of matrices and their inverses:

Theorem 1.31 Suppose A ∈ Mn (R) is an invertible matrix, then we have det(A−1 ) =

det(A)−1 .

Proof. Apply Theorem 1.30 for B = A−1 . 2

A matrix and its transpose have the same determinant:

Theorem 1.32 Let A ∈ Mn (R). Then det(AT ) = det(A).

Proof. Exercise. (Use mathematical induction on n. Note the relation between the cofactor
expansion of det(A) along the first row of A and that of det(AT ) along the first column of AT .)
2
Ch1/MATH1813/YMC/2010-11/1st 9

Computing inverse using cofactors

We introduce a way of finding the inverse of an invertible matrix using cofactors. Let’s first
define the adjoint of a matrix:

Definition 1.33 Let A = (aij ) ∈ Mn (R) and Cij be the cofactor of aij . The adjoint of A,
denoted by adj(A), is defined as
 T
C11 C12 ··· C1n
 C21 C22 ··· C2n 
 
adj(A) = 
 .. .. ..  .
.. 
 . . . . 
Cn1 Cn2 ··· Cnn

In other words, the adjoint of A is the transpose of the so called cofactor matrix (Cij ) of A,
that is, adj(A)ij = Cji .

Theorem 1.34 If A ∈ Mn (R) is invertible, then A adj(A) = adj(A)A = det(A) In . Thus we

have
1
A−1 = adj(A).
det(A)

     
3 1 2 −14 6 −2 3
 1 2
Example 1.35 adj5 4 6 =  −8 8 −8 and 5 4 6 = −16. Therefore, the
     
 
2 5 4 17 −13 7 2 5 4
inverse is given by
 −1  
3 1 2 −14 6 −2
−1 
5 4 6 =  −8 8 −8 . 
  
16
2 5 4 17 −13 7

It follows from Theorem 1.34 one of the most important result in matrix algebra:

Theorem 1.36 A matrix A ∈ Mn (R) is invertible (or nonsingular) if and only if det(A) 6= 0.

Remark A matrix A ∈ Mn (R) is singular if and only if det(A) = 0.

Ch1/MATH1813/YMC/2010-11/1st 10

1.3. Solving systems of linear equations

Given a system of linear equations, say

a11 x1 + a12 x2 + · · · + a1n xn = b1 ,

a21 x1 + a22 x2 + · · · + a2n xn = b2 ,
..
.
am1 x1 + am2 x2 + · · · + amn xn = bm ,

we can write this as Ax = b in short, where

     
a11 a12 ··· a1n x1 b1
 a21 a22 ··· a2n   x2   b2 
     
A=
 .. .. ..  , x =  ..  and b =  ..  .
..     
 . . . .   .   . 
am1 am2 ··· amn xn bm

In this system the unknowns are x1 , · · · , xn and the aij and bi are known. We call the m × n-
matrix A the coefficient matrix, and the m × (n + 1)-matrix (A| b) the augmented matrix of
the system of equations. Our aim in this section is to provide an approach to solving systems
of linear equations, namely the Gauss–Jordan elimination. We first introduce the reduced row
echelon form of a matrix:

Definition 1.37 An m × n-matrix M is in reduced row echelon form if

1. The zero rows of M (if any) all come below the non-zero rows;

2. In each non-zero row the leading entry is one;

3. If row i and i + 1 are non-zero rows, then the leading entry of row i + 1 is strictly to the
right of the leading entry of row i;

4. If a column contains a leading entry of a non-zero row, then all its other entries are zero.

Example 1.38 Examples of matrices in reduced row echelon form are

 
  1  
0 1 0 0 1 0 0 2 0 0 1
0 0 1 ,   , 0 0 1 3 −4 0 0 .
     
0
0 0 0 0 0 0 0 0 1 1
0

Examples of matrices not in reduced row echelon form are

 
  1 1 0 0 0
! 0 1 2 3
1 0 0 0 1 0 0
, 0 1 1 5 ,  . 
   
0 2 0 0 0 0 0
0 0 0 0
0 1 0 0 0
Ch1/MATH1813/YMC/2010-11/1st 11

Next we introduce elementary row operations on matrices:

Definition 1.39 The following operations are called elementary row operations on a matrix:

(I) Swap row i and j (write Ri ↔ Rj );

(II) Multiply row i by a non-zero λ ∈ R (write Ri → λRi );

(III) Add to row i a multiple of row j for i 6= j (write Ri → Ri + λRj ).

Definition 1.40 An elementary matrix is a square matrix of order n obtained by applying an

elementary row operation on the identity matrix In .

Accordingly, there are three types of elementary matrices:

 
1
 .. 

 . 

 
 1 
 

 0 ··· ··· 0 1 

 .. 

 . 1 0 

 .. .. .. 
(I) 
 . . .


 .. 
0 1 .
 
 
 

 1 0 ··· ··· 0 

1
 
 
.. 
 
. 


1

 
1
 .. 

 . 

1
 
 
 
(II) 
 λ 
 (λ 6= 0)
1
 
 
..
 
.
 
 
1
Ch1/MATH1813/YMC/2010-11/1st 12

   
1 1
 ..   .. 
 . λ   . 
(III)  or  ((i, j)th entry is λ for some i 6= j)
   
 .. .. 

 . 


 λ . 

1 1

Remark
(i) The reverse of an elementary row operation is again an elementary row operation of the
same type. Equivalently, if E is an elementary matrix, then E −1 exists and is itself an
elementary matrix of the same type.

(ii) The matrix obtained by applying an elementary row operation on A is exactly equal to
EA, where E is the elementary matrix corresponding to that elementary row operation.

Remark If a matrix B is obtained from A by applying elementary row operations, we say that
A and B are row equivalent. Equivalently, B is row equivalent to A if and only if there are
elementary matrices E1 , . . . , Ek such that
B = Ek Ek−1 · · · E1 A.

The following two examples illustrate how to reduce a matrix to its reduced row echelon form
by applying elementary row operations:

!
0 2 −6
Example 1.41 Let M = . Then
2 4 8
! ! ! !
0 2 −6 R1 ↔R2 2 4 8 R1 → 12 R1 1 2 4 R2 → 12 R2 1 2 4
M= −−−−−→ −−−−− −→ −−−−− −→
2 4 8 0 2 −6 0 2 −6 0 1 −3

!
R1 →R1 −2R2 1 0 10
−−−−−−−−→ .
0 1 −3
2

 
0 1 0
Example 1.42 Let M = 0 0 1. Then
 

3 3 0
       
0 1 0 1
0 1 0 1 1 0 1 1 0
 R3 → 3 R3   R ↔R3   R2 ↔R3 
M = 0 0 1 −−−−− −→ 0 0 1 −−1−−−→ 0 0 1 −
− −−−→ 0 1 0
 

3 3 0 1 1 0 0 1 0 0 0 1

 
1 0 0
R →R1 −R2 
−−1−−−−−−→ 0 1 0 .


0 0 1
2
Ch1/MATH1813/YMC/2010-11/1st 13

Now suppose we are given a system of equations of the form Ax = b, and suppose the
augmented matrix M = (A| b) is in reduced row echelon form. Then we can easily read off the
solutions of the equation system:

 
1 0 0 4
Example 1.43 (1) Consider 0 1 0 5. There is exactly one solution to this system,
 

0 0 1 6
namely x1 = 4, x2 = 5 and x3 = 6.
 
1 0 0 5 0
(2) Consider 0 1 4 7 0. There is no solution to this system. We say that the system
 

0 0 0 0 1
of equations is inconsistent.
 
1 0 0 0 −5 0
(3) Consider 0 0 1 0 3 0, we have
 

0 0 0 1 0 0

x1 − 5x5 = 0,
x3 + 3x5 = 0,
x4 = 0.

The variables corresponding to columns containing a leading 1 are called leading variables. In
this case x1 , x3 and x4 are leading variables. A non-leading variable is called a free variable.
Here we have free variables x2 and x5 . They are free because one can choose x2 and x5 to be
any value, say x2 = α ∈ R and x5 = β ∈ R. Now we can write the solutions of this system of
equations as follows:

x1 = 5β, x2 = α, x3 = −3β, x4 = 0, x5 = β

for α, β ∈ R. We therefore obtain infinitely many solutions. 2

If the augmented matrix M = (A| b) is not in reduced row echelon form, we can then perform
elementary row operations on M . The following algorithm describes how to solve the system
Ax = b by Gauss–Jordan elimination:

Gauss–Jordan elimination Given Ax = b where A ∈ Mm×n (R), x ∈ Mn×1 (R) and

b ∈ Mm×1 (R).
Step 1: Form the augmented matrix M = (A| b).
Step 2: Transform M to reduced row echelon form E.

Output:

(a) E has a row (0 0 · · · 0 | 1). Then the system is inconsistent, that is, it has no solution.
Ch1/MATH1813/YMC/2010-11/1st 14

(b) If (a) does not occur, then all the leading entries of E appear in columns 1 to n. If column
j, for 1 ≤ j ≤ n, does not contain a leading entry, then assign a parameter αj to xj to
make it a free variable. Use the equations corresponding to the nonzero rows of E to solve
for the remaining variables.

Before proceeding to the example, let us classify the solution type of a system of linear equa-
tions:

Theorem 1.44 A system of linear equations is either

(1) inconsistent if the reduced row echelon form of the augmented matrix has a row of the
form
(0 · · · 0 | 1)

(2) consistent with exactly one solution if the number of leading variables equals the number
of variables;

(3) consistent with infinitely many solutions if the number of leading variables is less than the
number of variables, that is, there are free variables.

Remark Number of variables in the system = Number of leading variables + Number of free
variables. Thus the number of parameters in the final solution is the number of variables − the
number of leading variables.

Example 1.45 Given

3x1 + x2 + 2x3 = −1,
x1 + 2x2 − x3 = 3,
x1 + x3 = −1,
2x1 + 3x2 − x3 = 4.
The augmented matrix is
 
3 1 2 −1
 1 2 −1 3 
M =  .
 
 1 0 1 −1 
2 3 −1 4
Performing elementary row operations on the augmented matrix gives
 
1 0 1 −1
 0 1 −1 2 
E =  .
 
 0 0 0 0 
0 0 0 0

The leading entries appear in column 1 and 2 of E and there is no leading entry in column 3.
Hence x1 and x2 are leading variables, whereas x3 is a free variable. Set x3 = α ∈ R. The first
Ch1/MATH1813/YMC/2010-11/1st 15

row of E gives x1 = −1 − α and the second row gives x2 = 2 + α. In matrix form, the solutions
can be expressed as:
       
x1 −1 − α −1 −1
x2  =  2 + α  =  2  + α  1 
       

x3 α 0 1
where α ∈ R. 2

Invertible matrices and system of linear equations

Proposition 1.46 Let A ∈ Mn (R). The following are equivalent:

(1) A is invertible (or nonsingular).

(2) The reduced row echelon form of A is In (or equivalently, A is row equivalent to In ).

(3) The only solution to the system Ax = 0 is the trivial solution, i.e. x = 0.

(4) The system Ax = b has a unique solution for any b ∈ Mn×1 (R).

Example 1.47 Let  

1 2 −4
A = 2 3 8 .
 

3 −2 −4
We have det(A) = 120 6= 0. Theorem 1.36 tells us that A is invertible. You can easily verify,
by applying elementary row operations on A, that the reduced row echelon form of A is equal
to I3 . Now consider the system of equations:

x + 2y − 4z = 0,
2x + 3y + 8z = 0,
3x − 2y − 4z = 0.

Performing elementary row operations on the augmented matrix M = (A|0) gives

 
1 0 0 0
E =  0 1 0 0 .
 

0 0 1 0

Hence the solution to the system Ax = 0 is given by x = y = z = 0, and this is the only solution.

Suppose b = (−6, 9, 0)T ∈ M3×1 (R). Applying Gauss-Jordan elimination to the system Ax
= b, we have  
1 0 0 1
E =  0 1 0 −1  .
 

0 0 1 5/4
Ch1/MATH1813/YMC/2010-11/1st 16

Therefore, the unique solution to this system is given by x = 1, y = −1 and z = 5/4. 2

If A ∈ Mn (R) is invertible, then by (2) of Proposition 1.46 the reduced row echelon form of A
is In . This means if we apply a series of elementary row operations to A, the result is the identity
matrix. Now suppose we begin by the identity matrix In , what do we get after applying the same
series of elementary row operations to In as to A? Let us perform the operations simultaneously:

 
1 0 2
Example 1.48 Let A = 2 1 3 . We first form the new matrix
 

4 −1 8
 
1 0 2 1 0 0
 2 1 3 0 1 0 ,
 

4 −1 8 0 0 1
then we apply elementary row operations to the whole matrix:
   
1 0 2 1 0 0 1 0 2 1 0 0
 R2 →R2 −2R1 , R3 →R3 −4R1 
 2 1 3 0 1 0  −−−−−−−−−−−−−−−−−−→  0 1 −1 −2 1 0 
 

4 −1 8 0 0 1 0 −1 0 −4 0 1
 
1 0 2 1 0 0
R3 →R3 +R2 , R3 →−R3 
−−−−−−−−−−−−−−−→  0 1 −1 −2 1 0 


0 0 1 6 −1 −1
 
1 0 0 −11 2 2
R1 →R1 −2R3 , R2 →R2 +R3 
−−−−−−−−−−−−−−−−−→  0 1 0 4 0 −1  .


0 0 1 6 −1 −1
We stop here as we have already transformed A to the identity matrix I3 in the left part of the
matrix. Now the matrix in the right part is exactly the inverse of A. 2

The above example illustrates the fact that if the given matrix A is invertible, then

(A | In ) −→ · · · · · · −→ (In | B)

where B = A−1 . This gives an effective way of computing the inverse of an invertible matrix.

Cramer’s Rule

Here we provide a method of solving a system of linear equations by means of determinants.

Theorem 1.49 Suppose that A ∈ Mn (R) is an invertible matrix. Then the solution to the
system Ax = b is given by
det(Aj )
xj = ,
det(A)
Ch1/MATH1813/YMC/2010-11/1st 17

where Aj is the matrix formed by replacing the jth column of A by the column vector b
= (b1 , . . . , bn )T .

Proof. Since A is invertible, we have

1
x = A−1 b = adj(A)b
det(A)
where the last equality follows from Theorem 1.34. Then
1
xj = (b1 C1j + b2 C2j + · · · + bn Cnj )
det(A)
det(Aj )
= .
det(A)
2

Example 1.50 Use Cramers Rule to determine the solution to the following system of equations.

3x1 + x2 − 2x3 = 4,
x1 − 2x2 + x3 = 1,
2x1 + 3x2 + x3 = 3.

The coefficient matrix A is given by

 
3 1 −2
A = 1 −2 1
 

2 3 1

with det(A) = −28. Hence A is invertible and Cramer’s Rule can be applied  to 
this system.
4
Now A1 is given by replacing the first column of A by the column vector b = 1. Thus we
 

3
have  
4 1 −2
A1 = 1 −2 1 
 

3 3 1
with det(A1 ) = −36. Similarly we have
 
3 4 −2
A2 = 1 1 1
 

2 3 1

with det(A2 ) = −4 and  

3 1 4
A3 = 1 −2 1
 

2 3 3
with det(A3 ) = 0. It follows from Theorem 1.49 that the solution to the above system is given
by x1 = 9/7, x2 = 1/7 and x3 = 0. 2