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Eigenvalues Rho1 = Rho; Rho = R' * Y; If (I == 1) Example 5.0.1 (Analytic Solution of Homogeneous Linear Ordinary Differential Equations)

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Eigenvalues Rho1 = Rho; Rho = R' * Y; If (I == 1) Example 5.0.1 (Analytic Solution of Homogeneous Linear Ordinary Differential Equations) MATLAB PCG algorithm function x = pcg(Afun,b,tol,maxit,Binvfun,x0) x = x0; r = b - feval(Afun,x); rho = 1; for i = 1 : maxit y = feval(Binvfun,r); 5 Eigenvalues rho1 = rho; rho = r' * y; if (i == 1) Example 5.0.1 (Analytic solution of homogeneous linear ordinary differential equations). → [47, p = y; else Remark 5.6.1] beta = rho / rho1; p = y + beta * p; Autonomous homogeneous linear ordinary differential equation (ODE): end q = feval(Afun,p); y˙ = Ay , A ∈ Cn,n . (5.0.1) alpha = rho /(p' * q); x = x + alpha * p; λ 1 if (norm(b - evalf(Afun,x)) <= tolb*norm(b)) , return; end 1 z=S− y A = S ... S−1 , S ∈ Cn,n regular =⇒ y˙ = Ay ←→ z˙ = Dz . r = r - alpha * q; end λn =:D Dubious termination criterion ! | {z } ➣ solution of initial value problem: △ n −1 4º¿ y˙ = Ay , y(0) = y0 ∈ C ⇒ y(t) = Sz(t) , z˙ = Dz , z(0) = S y0 . 5º¼ Summary: Ôº ¾77 Ôº ¾79 Advantages of Krylov methods vs. direct elimination (, IF they converge at all/sufficiently fast). The initial value problem for the decoupled homogeneous linear ODE z˙ = Dz has a simple analytic • They require system matrix A in procedural form y=evalA(x) ↔ y = Ax only. solution −1 T • They can perfectly exploit sparsity of system matrix. zi(t) = exp(λit)(z0)i = exp(λit) (S )i,:y0 . • They can cash in on low accuracy requirements (, IF viable termination criterion available). In light of Rem. ??: • They can benefit from a good initial guess. λ1 A = S ... S−1 ⇔ A (S) = λ (S) i = 1,..., n . (5.0.2) :,i i :,i λn In order to find the transformation matrix S all non-zero solution vectors (= eigenvectors) x ∈ Cn of 4.4 Essential Skills Learned in Chapter 4 the linear eigenvalue problem Ax = λx You should know: have to be found. • the relation between a linear system of equations with a s.p.d. matrix and a quadratic minimization problem 3 • how the steepest descendent method works and its convergence properties Example 5.0.2 (Normal mode analysis). → [?] • the idea behind the conjugate gradient method and its convergence properties In the computation of the IR spectra of a molecule one is interested into the vibrational frequencies • how to use the Matlab-function pcg n 4º4 of a molecule which is described by n positional degrees of freedom x ∈ R and corresponding 5º¼ the importance of the preconditioner dx n • Ôº ¾78 R Ôº ¾8¼ velocities x˙ = dt ∈ . m 2 6.In case of different masses we end with the system Suppose all masses are equal with an effective mass m kinetic energy K(x, x˙ ) = 2 kx˙ k2 Ma¨ = −Ha . Model for total potential energy U(x) with the mass matrix M which is symmetric, positiv-definite, but not necessarily diagonal. We 1. find a local minimum x∗ of the potential energy: thus must perform normal mode analysis on the matrix M−1H: ∗ 2 ∗ DU(x ) = 0 , H = D U(x ) sym. pos. semi-def. , −1 j j j j M Hw = λjw ⇐⇒ Hw = λjMw . hence with Taylor we have near the local minimum: find a local minimum x∗ of the potential 3 energy: 1 U(x∗ + a) = U(x∗) + aT Ha . 2 2. Newton’mechanics near the local minimum: 5.1 Theory of eigenvalue problems ∗ mx¨ = ma¨ = −DaU(x + a) . As we are around the minimum: ∗ 1 T ma¨ = −Da(U(x ) + a Ha) = −Ha . 2 Definition 5.1.1 (Eigenvalues and eigenvectors). • λ ∈ C eigenvalue (ger.: Eigenwert) of A ∈ Kn,n :⇔ det(λI − A) = 0 characteristic polynomial χ(λ) 5º¼ 5º½ • spectrum of A ∈ Kn,n: σ(A) := {λ ∈ C: λ eigenvalue of|A} {z } Ôº ¾8½ Ôº ¾8¿ 3. As H is real and symmetric, its eigenvectors wj, with j = 1,..., n are orthogonal and hence eigenspace (ger.: Eigenraum) associated with eigenvalue : they form a conveninent basis for representing any vector: Two simple facts: 1 n a = c1(t)w + ... + cn(t)w . λ ∈ σ(A) ⇒ dim EigA(λ) > 0 , (5.1.1) Inserting into the system of second-order ODEs, we get: det(A) = det(AT ) ∀A ∈ Kn,n ⇒ σ(A) = σ(AT ) . (5.1.2) m(c¨ w1 + ... + c¨ wn) = −(c Hw1 + ... + c Hwn) = −(λ w1 + ... + λ wn) 1 n 1 n 1 n ✎ notation: ρ(A) := max{|λ|: λ ∈ σ(A)} =ˆ spectral radius of A ∈ Kn,n j j where we denoted the associated eigenvalues by λj: Hw = λjw . 4. Taking the scalar product with the eigenvector k we obtain an uncoupled set of equations for ' $ w Theorem 5.1.2 (Bound for spectral radius). each , : ck(t) k = 1,..., n For any matrix norm k·k induced by a vector norm (→ Def. 2.4.2) mc¨k = −λkck . ρ(A) ≤ kAk . & % 5. Looking for solutions of the form ck = αk sin(ωkt) and substituting it into the differential equation one get the angular vibrational frequency of the normal mode ωk = λk/m ' $ Lemma 5.1.3 (Gershgorin circle theorem). For any A ∈ Kn,n holds true p n σ(A) ⊂ {z ∈ C: |z − a | ≤ |a |} . jj i6=j ji 5º¼ j[=1 X 5º½ Ôº ¾8¾ & %Ôº ¾84 ' $ Eigenvalue Lemma 5.1.4 (Similarity and spectrum). problems: ➊ Given A ∈ Kn,n find all eigenvalues (= spectrum of A). (EVPs) The spectrum of a matrix is invariant with respect to similarity transformations: ➋ Given A ∈ Kn,n find σ(A) plus all eigenvectors. ➌ Given A Kn,n find a few eigenvalues and associated eigenvectors ∀A ∈ Kn,n: σ(S−1AS) = σ(A) ∀ regular S ∈ Kn,n . ∈ & % (Linear) generalized eigenvalue problem: ' $ Given A ∈ Cn,n, regular B ∈ Cn,n, seek x 6= 0, λ ∈ C Lemma 5.1.5. Existence of a one-dimensional invariant subspace Ax = λBx ⇔ B−1Ax = λx . (5.1.3) ∀C ∈ Cn,n: ∃u ∈ Cn: C (Span {u}) ⊂ Span {u} . x =ˆ generalized eigenvector, λ =ˆ generalized eigenvalue & % Obviously every generalized eigenvalue problem is equivalent to a standard eigenvalue problem ' $ −1 Theorem 5.1.6 (Schur normal form). Ax = λBx ⇔ B A = λx . However, usually it is not advisable to use this equivalence for numerical purposes! ∀A ∈ Kn,n: ∃U ∈ Cn,n unitary: UHAU = T with T ∈ Cn,n upper triangular . Remark 5.1.1 (Generalized eigenvalue problems and Cholesky factorization). & % If B = BH s.p.d. (→ Def. 2.6.2) with Cholesky factorization B = RHR 5º½ 5º½ Ax = λBx ⇔ Ay = λy where A := R−HAR−1, y := Rx . Ôº ¾85 Ôº ¾87 ➞ e e ' $ This transformation can be used for efficient computations. Corollary 5.1.7 (Principal axis transformation). △ n,n H H n,n H A ∈ K , AA = A A: ∃U ∈ C unitary: U AU = diag(λ1,..., λn) , λi ∈ C . & % A matrix A ∈ Kn,n with AAH = AHA is called normal. 5.2 “Direct” Eigensolvers • Hermitian matrices: AH = A ➤ σ(A) ⊂ R Examples of normal matrices are • unitary matrices: AH = A−1 ➤ |σ(A)| = 1 Purpose: solution of eigenvalue problems ➊, ➋ for dense matrices “up to machine precision” • skew-Hermitian matrices: A = −AH ➤ σ(A) ⊂ iR MATLAB-function: eig ➤ Normal matrices can be diagonalized by unitary similarity transformations n,n d = eig(A) : computes spectrum σ(A) = {d1,..., dn} of A ∈ C [V,D] = eig(A) : computes V ∈ Cn,n, diagonal D ∈ Cn,n such that AV = VD Symmetric real matrices can be diagonalized by orthogonal similarity transformations Remark 5.2.1 (QR-Algorithm). → [20, Sect. 7.5] In Thm. 5.1.7: – λ1,..., λn = eigenvalues of A Note: All “direct” eigensolvers are iterative methods – Columns of U = orthonormal basis of eigenvectors of A 5º½ 5º¾ Ôº ¾86 Ôº ¾88 d = eig(A,B) : computes all generalized eigenvalues Idea: Iteration based on successive unitary similarity transformations [V,D] = eig(A,B) : computes V ∈ Cn,n, diagonal D ∈ Cn,n such that AV = BVD diagonal matrix , if A = AH , (0) (1) Note: (Generalized) eigenvectors can be recovered as columns of V: A = A −→ A −→ ... −→ upper triangular matrix , else. (→ Thm. 5.1.6) AV = VD ⇔ A(V):,i = (D)i,iV:,i , (superior stability of unitary transformations, see Rem. ??) if D = diag(d1,..., dn). Code 5.2.2: QR-algorithm with shift QR-algorithm (with shift) 1 function d = e i g q r (A, t o l ) Remark 5.2.4 (Computational effort for eigenvalue computations). 2 n = size (A, 1 ) ; in general: quadratic conver- 3 while (norm( t r i l (A,−1)) > t o l ∗norm(A)) Computational effort (#elementary operations) for eig(): gence 4 s h i f t = A( n , n ) ; cubic convergence for normal 5 [Q,R] = qr ( A − s h i f t ∗ eye ( n )) ; eigenvalues & eigenvectors of A ∈ Kn,n ∼ 25n3 + O(n2) matrices 6 A = Q’ ∗A∗Q; only eigenvalues of A ∈ Kn,n ∼ 10n3 + O(n2) ( [20, Sect. 7.5,8.2]) 7 end → eigenvalues and eigenvectors A AH Kn,n 3 2 3 8 d = diag (A) ; = ∈ ∼ 9n + O(n ) O(n )! H Kn,n 4 3 2 only eigenvalues of A = A ∈ ∼ 3n + O(n ) ) only eigenvalues of tridiagonal A = AH ∈ Kn,n ∼ 30n2 + O(n) Computational cost: O(n3) operations per step of the QR-algorithm Note: eig not available for sparse matrix arguments # Exception: Library implementations of the QR-algorithm provide numerically stable d=eig(A) for sparse Hermitian matrices eigensolvers (→ Def.??) 5º¾ △ 5º¾ Ôº ¾89 Ôº ¾9½ " ! Example 5.2.5 (Runtimes of eig). △ Code 5.2.6: measuring runtimes of eig Remark 5.2.3 (Unitary similarity transformation to tridiagonal form). 1 function e i g t i m i n g 2 H Successive Householder similarity transformations of A = A : 3 A = rand (500 ,500) ; B = A’ ∗A; (➞ =ˆ affected rows/columns, =ˆ targeted vector) 4 C = gallery ( ’ t r i d i a g ’ ,500 ,1 ,3 ,1) ; 5 times = []; 6 for n=5:5:500 0 0 0 0 0 0 0 0 0 0 7 An = A( 1 : n , 1 : n ) ; Bn = B( 1 : n , 1 : n ) ; Cn = C( 1 : n , 1 : n ) ; 0 0 0 0 0 0 0 8 t1 = 1000; for k =1:3 , t i c ; d = eig (An) ; t1 = min ( t1 , toc ) ; end −→ −→ −→ 0 9 t2 = 1000; for k =1:3 , t i c ;[ V,D] = eig (An) ; t2 = min ( t2 , toc ) ; end 0 t3 = 1000; for k =1:3 , t i c ; d = eig (Bn) ; t3 = min ( t3 , toc ) ; end 0 0 0 0 0 0 1 t4 = 1000; for k =1:3 , t i c ;[ V,D] = eig (Bn) ; t4 = min ( t4 , toc ) ; end transformation to tridiagonal form ! (for general matrices a similar strategy can achieve a 2 t5 = 1000; for k =1:3 , t i c ; d = eig (Cn) ; t5 = min ( t5 , toc ) ; end 3 times = [ times ; n t1 t2 t3 t4 t5 ]; similarity transformation to upper Hessenberg form) 4 end 5 6 figure ; this transformation is used as a preprocessing step for QR-algorithm ➣ eig.
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