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Distance to a column space
Let and . What is the squared distance from to the column space of ? Give a fraction in lowest terms.
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Hint
The closest point of the column space is the least squares fit, and what is left over is orthogonal to every column.
Solution
- The closest point is , where solves the normal equations and .
- From the first, ; substituting into the second gives , so and .
- The closest point is , so the residual is .
- Its squared length is .
Answer: