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  • Chapter 1

    Eigenvalues and Eigenvectors

    Among problems in numerical linear algebra, the determination of the eigenvaluesand eigenvectors of matrices is second in importance only to the solution of lin-ear systems. In this chapter we first give some theoretical results relevant to theresolution of algebraic eigenvalue problems. In particular, we consider eigenvaluedecompositions which relate a given matrix A to another matrix that has the sameeigenvalues as A, but such that these are easily determined. The bulk of the chapteris devoted to algorithms for the determination of either a few or all the eigenvaluesand eigenvectors of a given matrix. In many cases, these algorithms compute anapproximation to an eigenvalue decomposition of the given matrix.

    1.1 Introduction

    Given an n n matrix A, the algebraic eigenvalue problem is to find a Ck anda vector x Cn satisfying

    Ax = x , x 6= 0 .(1.1)

    The scalar is called an eigenvalue of A and the nonzero vector x a (right) eigen-vector of A corresponding to . Note that an eigenvector can be determined only upto a multiplicative constant since, for any nonvanishing Ck, x is an eigenvectorof A whenever x is.

    Clearly, is an eigenvalue of A if and only if the matrix A I is singular, i.e.,if and only if

    det(A I) = 0 .(1.2)

    The polynomial det(A I) of degree n in , referred to as the characteristicpolynomial corresponding to A, has n roots some of which may be repeated. Theset of all eigenvalues of a matrix A, i.e., the set of all roots of the characteristicpolynomial, is called the spectrum of A, and is denoted by (A). Recall the basicresult that the roots of a polynomial depend continuously on the coefficients of thepolynomial. Then, since the eigenvalues of a matrix are the roots of its characteristicpolynomial, and since the coefficients of the characteristic polynomial are continuousfunctions of the entries of the matrix (in fact, they are polynomial functions), we

    1

  • 2 1. Eigenvalues and Eigenvectors

    can conclude that the eigenvalues of a matrix depend continuously on the entriesof the matrix.

    There is a converse to the above correspondence between the eigenvalues of amatrix A and the roots of its characteristic polynomial. Given any monic polynomialp() = a0 +a1+a22 + +an1n1 +n in of degree n, there exists a matrixC whose eigenvalues are the roots of p(), i.e., such that p() = det(C I) is thecharacteristic polynomial for C. One such matrix is the companion matrix

    C =

    0 0 0 a01 0 0 a10 1 0 a2...

    .... . .

    ......

    0 0 1 an1

    .

    It is well know that, in general, one cannot determine the roots of a polynomial ofdegree 5 or higher using a finite number of rational operations. This observationand the correspondences between the eigenvalues of a matrix and the roots of itscharacteristic polynomial have an immediate implication concerning algorithms fordetermining the eigenvalues of a matrix: in general, one cannot determine the eigen-values of a matrix in a finite number of rational operations. Thus, any algorithmfor determining eigenvalues is necessarily iterative in character, and one must settlefor approximations to the eigenvalues.

    We say that an eigenvalue has algebraic multiplicity ma() if it is repeatedma() times as a root of the characteristic polynomial (1.2). The sum of the alge-braic multiplicities of the distinct eigenvalues of an n n matrix is equal to n.

    A vector x is an eigenvector of A corresponding to the eigenvalue if x N (AI). Any linear combination of eigenvectors corresponding to a single eigenvalue isitself an eigenvector corresponding to that same eigenvalue, i.e., if x(1),x(2), . . . ,x(k)

    are all eigenvectors of a matrix A corresponding to the same eigenvalue , then,for any cj Ck, j = 1, . . . , k, the vector

    kj=1 cjx

    (j) is also an eigenvector of Acorresponding to .

    The geometric multiplicity of an eigenvalue is the integer mg() = dim N (AI). Note that for any eigenvalue , ma() mg() 1; thus, it is possible for thesum of the geometric multiplicities to be less than n. This sum gives the dimensionof the subspace of Ckn spanned by the eigenvectors of A. If ma() > mg() we callthe eigenvalue defective; if ma() = mg(), is called nondefective. If A has atleast one defective eigenvalue, A itself is called defective; if all the eigenvalues of Aare nondefective, A itself is called nondefective. Thus a nondefective matrix A has acomplete set of eigenvectors, i.e., there exists a set of eigenvectors of a nondefectiven n matrix that span Ckn.

  • 1.1. Introduction 3

    Example 1.1 Consider the matrix

    A =

    3 1 0 00 3 0 00 0 2 00 0 0 2

    .The characteristic polynomial is given (3)2(2)2 and the eigenvalues are 2 and3, each having algebraic multiplicity 2. Note that N (A 2I) = span {(0 0 1 0)T ,(0 0 0 0 1)T } and N (A 3I) = span{ ( 1 0 0 0 )T } so that the geometricmultiplicity of the eigenvalue 2 is 2, and that of the eigenvalue 3 is 1. Thus, theeigenvalue 3 is defective, the eigenvalue 2 is nondefective, and the matrix A isdefective.

    In general, if an eigenvalue of a matrix is known, then a corresponding eigen-vector x can be determined by solving for any particular solution of the singularsystem (A I)x = 0. If one finds mg() vectors which constitute a basis forN (A I), then one has found a set of linearly independent eigenvectors corre-sponding to that is of maximal possible cardinality. One may find a basis for thenull space of a matrix by, e.g., Gauss elimination or through a QR factorization.

    If an eigenvector x of a matrix A is known then, using (1.1), the correspondingeigenvalue may be determined from the Rayleigh quotient

    =xAxxx

    .(1.3)

    Alternately, one may also use

    =(Ax)j(x)j

    (1.4)

    for any integer j such that 1 j n and for which (x)j 6= 0.If x is an exact eigenvector of A, and if is determined from (1.3) or (1.4), we

    have that (AI)x = 0. If (, z) is not an exact eigenpair, then r = (AI)z 6= 0;we call r the residual of the approximate eigenpair (, z). An important propertyof the Rayleigh quotient with respect to the residual is given in the following result.

    Proposition 1.1 Let A be a given n n matrix and let z Ckn, z 6= 0, be agiven vector. Then, the residual norm r2 = (A I)z2 is minimized when is chosen to be the Rayleigh quotient for z, i.e., if = zAz/zz.

    Proof. It is easier to work with r22 which is given by

    r22 = z(A I)(A I)z= ||2zz

  • 4 1. Eigenvalues and Eigenvectors

    We say that a subspace S is invariant for a matrix A if x S implies thatAx S. If S = span{p(1),p(2), . . . ,p(s) } is an invariant subspace for an n nmatrix A, then there exists an s s matrix B such that AP = PB, where thecolumns of the n s matrix P are the vectors p(j), j = 1, . . . , s. Trivially, thespace spanned by n linearly independent vectors belonging to Ckn is an invariantsubspace for any n n matrix; in this case, the relation between the matrices A,B, and P is given a special name.

    Let A and B be n n matrices. Then A and B are said to be similar if thereexists an invertible matrix P , i.e., a matrix with linearly independent columns, suchthat

    B = P1AP .(1.5)

    The relation (1.5) itself is called a similarity transformation. B is said to be unitarilysimilar to A if P is unitary, i.e., if B = P AP and P P = I.

    The following proposition shows that similar matrices have the same character-istic polynomial and thus the same set of eigenvalues having the same algebraicmultiplicities; the geometric multiplicites of the eigenvalues are also unchanged.

    Proposition 1.2 Let A be an n n matrix and P an n n nonsingular matrix.Let B = P1AP . If is an eigenvalue of A of algebraic (geometric) multiplicityma (mg), then is an eigenvalue of B of algebraic (geometric) multiplicity ma(mg). Moreover, if x is an eigenvector of A corresponding to then P1x is aneigenvector of B corresponding to the same eigenvalue .

    Proof. Since Ax = x and P is invertible, we have that

    P1AP (P1x) = P1x

    so that if (,x) is an eigenpair of A then (, P1x) is an eigenpair of B. Todemonstrate that the algebraic multiplicities are unchanged after a similarity trans-formation, we show that A and B have the same characteristic polynomial. Indeed,

    det(B I) = det(P1AP I) = det(P1(A I)P )= det(P1) det(A I) detP = det(A I) .

    That the geometric multiplicities are also unchanged follows from

    0 = (A I)x = P (B I)(P1x)

    and the invertibility of P . 2

    It is easily seen that any set consisting of eigenvectors of a matrix A is an invari-ant set for A. In particular, the eigenvectors corresponding to a single eigenvalue form an invariant set. Since linear combinations of eigenvectors corresponding to asingle eigenvalue are also eigenvectors, it is often the case that these invariant setsare of more interest than the individual eigenvectors.

  • 1.1. Introduction 5

    If an n n matrix is defective, the set of eigenvectors does not span Cn. Infact, the cardinality of any set of linearly independent eigenvectors is necessarilyless than or equal to the sum of the geometric multiplicities of the eigenvalues ofA. Corresponding to any defective eigenvalue of a matrix A, one may definegeneralized eigenvectors that satisfy, instead of (1.1),

    Ay = y + z ,(1.6)

    where z is either an eigenvector or another generalized eigenvector of A. The num-ber of linearly independent generalized eigenvectors corresponding to a defectiveeigenvalue is given by ma() mg(), so that the total number of generalizedeigenvectors of a defective n n matrix A is n k, where k =

    Kj=1 mg(j) and

    j , j = 1, . . . ,K, denote the distinct eigenvalues of A. The set of eigenvectors andgeneralized eigenvectors corresponding to