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Eigenvalues, Diagonalization, and the Jordan Canonical Form 1 4.1 Eigenvalues, Eigenvectors, and the Characteristic Polynomial

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Eigenvalues, Diagonalization, and the Jordan Canonical Form 1 4.1 Eigenvalues, Eigenvectors, and the Characteristic Polynomial Linear Algebra (part 4): Eigenvalues, Diagonalization, and the Jordan Form (by Evan Dummit, 2020, v. 2.00) Contents 4 Eigenvalues, Diagonalization, and the Jordan Canonical Form 1 4.1 Eigenvalues, Eigenvectors, and The Characteristic Polynomial . 1 4.1.1 Eigenvalues and Eigenvectors . 2 4.1.2 Eigenvalues and Eigenvectors of Matrices . 3 4.1.3 Eigenspaces . 6 4.2 Diagonalization . 10 4.3 Generalized Eigenvectors and the Jordan Canonical Form . 15 4.3.1 Generalized Eigenvectors . 16 4.3.2 The Jordan Canonical Form . 20 4.4 Applications of Diagonalization and the Jordan Canonical Form . 24 4.4.1 Spectral Mapping and the Cayley-Hamilton Theorem . 24 4.4.2 Transition Matrices and Incidence Matrices . 24 4.4.3 Systems of Linear Dierential Equations . 27 4.4.4 Matrix Exponentials and the Jordan Form . 29 4.4.5 The Spectral Theorem for Hermitian Operators . 31 4 Eigenvalues, Diagonalization, and the Jordan Canonical Form In this chapter, we will discuss eigenvalues and eigenvectors: these are characteristic values (and vectors) associated to a linear operator T : V ! V that will allow us to study T in a particularly convenient way. Our ultimate goal is to describe methods for nding a basis for V such that the associated matrix for T has an especially simple form. We will rst describe diagonalization, the procedure for (trying to) nd a basis such that the associated matrix for T is a diagonal matrix, and characterize the linear operators that are diagonalizable. Unfortunately, not all linear operators are diagonalizable, so we will then discuss a method for computing the Jordan canonical form of matrix, which is the representation that is as close to a diagonal matrix as possible. We close with a few applications of the Jordan canonical form, including a proof of the Cayley-Hamilton theorem that any matrix satises its characteristic polynomial. 4.1 Eigenvalues, Eigenvectors, and The Characteristic Polynomial • Suppose that we have a linear transformation T : V ! V from a (nite-dimensional) vector space V to itself. We would like to determine whether there exists a basis of such that the associated matrix β is a β V [T ]β diagonal matrix. ◦ Ultimately, our reason for asking this question is that we would like to describe T in as simple a way as possible, and it is unlikely we could hope for anything simpler than a diagonal matrix. So suppose that and the diagonal entries of β are . ◦ β = fv1;:::; vng [T ]β fλ1; : : : ; λng 1 ◦ Then, by assumption, we have T (vi) = λivi for each 1 ≤ i ≤ n: the linear transformation T behaves like scalar multiplication by λi on the vector vi. ◦ Conversely, if we were able to nd a basis β of V such that T (vi) = λivi for some scalars λi, with , then the associated matrix β would be a diagonal matrix. 1 ≤ i ≤ n [T ]β ◦ This suggests we should study vectors v such that T (v) = λv for some scalar λ. 4.1.1 Eigenvalues and Eigenvectors • Denition: If T : V ! V is a linear transformation, a nonzero vector v with T (v) = λv is called an eigenvector of T , and the corresponding scalar λ is called an eigenvalue of T . ◦ Important note: We do not consider the zero vector 0 an eigenvector. (The reason for this convention is to ensure that if v is an eigenvector, then its corresponding eigenvalue λ is unique.) ◦ Note also that (implicitly) λ must be an element of the scalar eld of V , since otherwise λv does not make sense. ◦ When V is a vector space of functions, we often use the word eigenfunction in place of eigenvector. • Here are a few examples of linear transformations and eigenvectors: ◦ Example: If T : R2 ! R2 is the map with T (x; y) = h2x + 3y; x + 4yi, then the vector v = h3; −1i is an eigenvector of T with eigenvalue 1, since T (v) = h3; −1i = v. ◦ Example: If T : C2 ! C2 is the map with T (x; y) = h2x + 3y; x + 4yi, the vector w = h1; 1i is an eigenvector of T with eigenvalue 5, since T (w) = h5; 5i = 5w. 1 1 ◦ Example: If T : M ( ) ! M ( ) is the transpose map, then the matrix is an eigenvector 2×2 R 2×2 R 1 3 of T with eigenvalue 1. 0 −2 ◦ Example: If T : M ( ) ! M ( ) is the transpose map, then the matrix is an eigenvector 2×2 R 2×2 R 2 0 of T with eigenvalue −1. ◦ Example: If T : P (R) ! P (R) is the map with T (f(x)) = xf 0(x), then for any integer n ≥ 0, the polynomial xn is an eigenfunction of T with eigenvalue n, since T (xn) = x · nxn−1 = nxn. ◦ Example: If V is the space of innitely-dierentiable functions and D : V ! V is the dierentiation operator, the function f(x) = erx is an eigenfunction with eigenvalue r, for any real number r, since D(erx) = rerx. ◦ Example: If T : V ! V is any linear transformation and v is a nonzero vector in ker(T ), then v is an eigenvector of V with eigenvalue 0. In fact, the eigenvectors with eigenvalue 0 are precisely the nonzero vectors in ker(T ). • Finding eigenvectors is a generalization of computing the kernel of a linear transformation, but, in fact, we can reduce the problem of nding eigenvectors to that of computing the kernel of a related linear transformation: • Proposition (Eigenvalue Criterion): If T : V ! V is a linear transformation, the nonzero vector v is an eigenvector of T with eigenvalue λ if and only if v is in ker(λI − T ) = ker(T − λI), where I is the identity transformation on V . ◦ This criterion reduces the computation of eigenvectors to that of computing the kernel of a collection of linear transformations. ◦ Proof: Assume v 6= 0. Then v is an eigenvalue of T with eigenvalue λ () T (v) = λv () (λI)v − T (v) = 0 () (λI − T )(v) = 0 () v is in the kernel of λI − T . The equivalence ker(λI − T ) = ker(T − λI) is also immediate. • We will remark that some linear operators may have no eigenvectors at all. Example: If is the integration operator x , show that has no eigenvectors. • I : R[x] ! R[x] I(p) = 0 p(t) dt I ´ 2 Suppose that , so that x . ◦ I(p) = λp 0 p(t) dt = λp(x) ◦ Then, dierentiating both sides´ with respect to x and applying the fundamental theorem of calculus yields p(x) = λp0(x). ◦ If p had positive degree n, then λp0(x) would have degree at most n − 1, so it could not equal p(x). ◦ Thus, p must be a constant polynomial. But the only constant polynomial with I(p) = λp is the zero polynomial, which is by denition not an eigenvector. Thus, I has no eigenvectors. • In other cases, the existence of eigenvectors may depend on the scalar eld being used. • Example: Show that T : F 2 ! F 2 dened by T (x; y) = hy; −xi has no eigenvectors when F = R, but does have eigenvectors when F = C. ◦ If T (x; y) = λ hx; yi, we get y = λx and −x = λy, so that (λ2 + 1)y = 0. ◦ If y were zero then x = −λy would also be zero, impossible. Thus y 6= 0 and so λ2 + 1 = 0. ◦ When F = R there is no such scalar λ, so there are no eigenvectors in this case. ◦ However, when F = C, we get λ = ±i, and then the eigenvectors are hx; −ixi with eigenvalue i and hx; ixi with eigenvalue −i. • Computing eigenvectors of general linear transformations on innite-dimensional spaces can be quite dicult. ◦ For example, if V is the space of innitely-dierentiable functions, then computing the eigenvectors of the map T : V ! V with T (f) = f 00 + xf 0 requires solving the dierential equation f 00 + xf 0 = λf for an arbitrary λ. ◦ It is quite hard to solve that particular dierential equation for a general λ (at least, without resorting to using an innite series expansion to describe the solutions), and the solutions for most values of λ are non-elementary functions. • In the nite-dimensional case, however, we can recast everything using matrices. • Proposition (Eigenvalues and Matrices): Suppose V is a nite-dimensional vector space with ordered basis β and that T : V ! V is linear. Then v is an eigenvector of T with eigenvalue λ if and only if [v]β is an eigenvector of left-multiplication by β with eigenvalue . [T ]β λ ◦ Proof: Note that v 6= 0 if and only if [v]β 6= 0, so now assume v 6= 0. ◦ Then v is an eigenvector of T with eigenvalue λ () T (v) = λv () [T (v)]β = [λv]β () β is an eigenvector of left-multiplication by β with eigenvalue . [T ]β[v]β = λ[v]β () [v]β [T ]β λ 4.1.2 Eigenvalues and Eigenvectors of Matrices • We will now study eigenvalues and eigenvectors of matrices. For convenience, we restate the denition for this setting: • Denition: For A an n × n matrix, a nonzero vector x with Ax = λx is called1 an eigenvector of A, and the corresponding scalar λ is called an eigenvalue of A. 2 3 3 ◦ Example: If A = , the vector x = is an eigenvector of A with eigenvalue 1, because 1 4 −1 2 3 3 3 Ax = = = x. 1 4 −1 −1 1Technically, such a vector x is a right eigenvector of A: this stands in contrast to a vector y with yA = λy, which is called a left eigenvector of A.
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