proof of inverse of matrix with small-rank adjustment
We will first prove the formula when .
Suppose that is invertible. Thus
and
Multiply by from the left, and multiply by from theright, we get
The right hand side is equal to , while the left hand side canbe factorized as
So,
After rearranging, we obtain
Therefore
(*) |
For the general case , consider
We can apply (*) with replaced by .