Note on the weighted generalized inverse of the product of matrices (Q2430492)

Let \(A\in \mathbb{C}^{m\times n},\;M\in \mathbb{C}^{m\times m},\;N\in \mathbb{C}^{n\times n}\), where \(M,N\) are positive definite Hermite matrices. The unique matrix \(X\in \mathbb{C}^{n\times m}\) satisfying \(A\,X\,A=A,\;X\,A\,X=X,\;(M\,A\,X)^{*}=M\,A\,X,\;(N\,X\,A)^{*}=N\,X\,A\) is called the weighted generalized inverse of \(A\) and denoted \(X=A^{\dagger}_{MN}\). The presented short note finds the weighted generalized inverse of the product of matrices \(A\in \mathbb{C}^{m\times n}\) and \(B\in \mathbb{C}^{n\times l}\) (for suitable positive definite Hermite matrices \(M,N,L\)) in the form \((AB)^\dagger_{ML}=(B_2)^\dagger_{NL}(A_2)^\dagger_{MN}\), where \(A_2=ABB^\dagger_{NL}\) and \(B_2=(A_2)^\dagger_{MN}A_2 B\).