The Woodbury Identity (identity)
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The Woodbury identity rewrites the inverse of a matrix plus a low-rank correction in terms of the inverse of the original matrix and a much smaller inverse. It is the algebraic fact behind every method that updates a large system cheaply.
The sizes are what makes it useful: the correction inverse is of the order of the rank rather than of the matrix, so an update of rank \(r\) costs \(r^{3}\) work instead of \(n^{3}\).
Identity (Woodbury). Let \(A \in \mathbb{R}^{n \times n}\) be invertible, and let \(U \in \mathbb{R}^{n \times r}\), \(C \in \mathbb{R}^{r \times r}\) and \(V \in \mathbb{R}^{r \times n}\) with \(C\) and \(A + UCV\) invertible. Then
$$ \left(A + UCV\right)^{-1} = A^{-1} - A^{-1} U \left(C^{-1} + V A^{-1} U\right)^{-1} V A^{-1}, $$where the middle inverse is \(r \times r\). The identity is verified by multiplying the right-hand side by \(A + UCV\) and collecting terms; the special case \(C = I\), \(V = U^{\top}\) gives the update used when a low-rank term is added to a covariance.
In a model, the pattern shows up whenever a large linear system is modified by something thin — a new adapter, a few constrained directions, a rank-limited edit — since the identity turns the cost of the update from the size of the matrix into the size of the change.