Orthogonal Projection onto Closed Linear Span

Theorem
Let $H$ be a Hilbert space with inner product $\innerprod \cdot \cdot$ and inner product norm $\norm \cdot$.

Let $E = \set {e_1, \ldots, e_n}$ be an orthonormal subset of $H$.

Let $M = \vee E$, where $\vee E$ is the closed linear span of $E$.

Let $P$ be the orthogonal projection onto $M$.

Then:


 * $\forall h \in H: P h = \ds \sum_{k \mathop = 1}^n \innerprod h {e_k} e_k$

Proof
Let $h \in H$.

Let:


 * $\ds u = \sum_{k \mathop = 1}^n \innerprod h {e_k} e_k$

We have that:


 * $u \in \map \span E$

so we have by the definition of closure:


 * $u \in M$

Let $v = h - u$

We want to show that $v \in M^\bot$.

From Intersection of Orthocomplements is Orthocomplement of Closed Linear Span, it suffices to show that:


 * $v \in E^\bot$

Note that for each $l$ we have:


 * $\innerprod v {e_l} = \innerprod h {e_l} - \innerprod u {e_l}$

since the inner product is linear in its first argument.

We have:

so:


 * $\innerprod v {e_l} = 0$

That is:


 * $v \in E^\bot$

so, by Intersection of Orthocomplements is Orthocomplement of Closed Linear Span, we have:


 * $v \in M^\bot$

We can therefore decompose each $h \in H$ as:


 * $h = u + v$

with $u \in M$ and $v \in M^\bot$.

So we have:

for each $h \in H$.