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Eigenvalue Problems Eigenvalue Problems Eigenvalue Problems Existence, Uniqueness, and Conditioning Existence, Uniqueness, and Conditioning Computing Eigenvalues and Eigenvectors Computing Eigenvalues and Eigenvectors Outline Scientific Computing: An Introductory Survey Chapter 4 – Eigenvalue Problems 1 Eigenvalue Problems Prof. Michael T. Heath 2 Existence, Uniqueness, and Conditioning Department of Computer Science University of Illinois at Urbana-Champaign 3 Computing Eigenvalues and Eigenvectors Copyright c 2002. Reproduction permitted for noncommercial, educational use only. Michael T. Heath Scientific Computing 1 / 87 Michael T. Heath Scientific Computing 2 / 87 Eigenvalue Problems Eigenvalue Problems Eigenvalue Problems Eigenvalue Problems Existence, Uniqueness, and Conditioning Eigenvalues and Eigenvectors Existence, Uniqueness, and Conditioning Eigenvalues and Eigenvectors Computing Eigenvalues and Eigenvectors Geometric Interpretation Computing Eigenvalues and Eigenvectors Geometric Interpretation Eigenvalue Problems Eigenvalues and Eigenvectors Eigenvalue problems occur in many areas of science and Standard eigenvalue problem : Given n × n matrix A, find engineering, such as structural analysis scalar λ and nonzero vector x such that Eigenvalues are also important in analyzing numerical A x = λ x methods λ is eigenvalue, and x is corresponding eigenvector Theory and algorithms apply to complex matrices as well as real matrices λ may be complex even if A is real With complex matrices, we use conjugate transpose, AH , Spectrum = λ(A) = set of eigenvalues of A T instead of usual transpose, A Spectral radius = ρ(A) = maxfjλj : λ 2 λ(A)g Michael T. Heath Scientific Computing 3 / 87 Michael T. Heath Scientific Computing 4 / 87 Eigenvalue Problems Eigenvalue Problems Eigenvalue Problems Eigenvalue Problems Existence, Uniqueness, and Conditioning Eigenvalues and Eigenvectors Existence, Uniqueness, and Conditioning Eigenvalues and Eigenvectors Computing Eigenvalues and Eigenvectors Geometric Interpretation Computing Eigenvalues and Eigenvectors Geometric Interpretation Geometric Interpretation Examples: Eigenvalues and Eigenvectors 1 0 1 0 A = : λ = 1; x = ; λ = 2; x = 0 2 1 1 0 2 2 1 Matrix expands or shrinks any vector lying in direction of 1 1 1 1 A = : λ = 1; x = ; λ = 2; x = eigenvector by scalar factor 0 2 1 1 0 2 2 1 Expansion or contraction factor is given by corresponding 3 −1 1 1 A = : λ = 2; x = ; λ = 4; x = eigenvalue λ −1 3 1 1 1 2 2 −1 Eigenvalues and eigenvectors decompose complicated 1:5 0:5 1 −1 A = : λ = 2; x = ; λ = 1; x = behavior of general linear transformation into simpler 0:5 1:5 1 1 1 2 2 1 actions 0 1 1 i A = : λ = i; x = ; λ = −i; x = −1 0 1 1 i 2 2 1 p where i = −1 Michael T. Heath Scientific Computing 5 / 87 Michael T. Heath Scientific Computing 6 / 87 Eigenvalue Problems Characteristic Polynomial Eigenvalue Problems Characteristic Polynomial Existence, Uniqueness, and Conditioning Relevant Properties of Matrices Existence, Uniqueness, and Conditioning Relevant Properties of Matrices Computing Eigenvalues and Eigenvectors Conditioning Computing Eigenvalues and Eigenvectors Conditioning Characteristic Polynomial Example: Characteristic Polynomial Equation Ax = λx is equivalent to Characteristic polynomial of previous example matrix is (A − λI)x = 0 3 −1 1 0 which has nonzero solution x if, and only if, its matrix is det − λ = singular −1 3 0 1 Eigenvalues of A are roots λi of characteristic polynomial 3 − λ −1 det = det(A − λI) = 0 −1 3 − λ in λ of degree n (3 − λ)(3 − λ) − (−1)(−1) = λ2 − 6λ + 8 = 0 Fundamental Theorem of Algebra implies that n × n matrix A always has n eigenvalues, but they may not be real nor so eigenvalues are given by distinct p 6 ± 36 − 32 Complex eigenvalues of real matrix occur in complex λ = ; or λ = 2; λ = 4 2 1 2 conjugate pairs: if α + iβpis eigenvalue of real matrix, then so is α − iβ, where i = −1 Michael T. Heath Scientific Computing 7 / 87 Michael T. Heath Scientific Computing 8 / 87 Eigenvalue Problems Characteristic Polynomial Eigenvalue Problems Characteristic Polynomial Existence, Uniqueness, and Conditioning Relevant Properties of Matrices Existence, Uniqueness, and Conditioning Relevant Properties of Matrices Computing Eigenvalues and Eigenvectors Conditioning Computing Eigenvalues and Eigenvectors Conditioning Companion Matrix Characteristic Polynomial, continued Monic polynomial n−1 n p(λ) = c0 + c1λ + ··· + cn−1λ + λ Computing eigenvalues using characteristic polynomial is is characteristic polynomial of companion matrix not recommended because of 2 3 0 0 ··· 0 −c0 work in computing coefficients of characteristic polynomial 61 0 ··· 0 −c1 7 sensitivity of coefficients of characteristic polynomial 6 7 60 1 ··· 0 −c2 7 Cn = 6 7 work in solving for roots of characteristic polynomial 6. .. 7 4. 5 0 0 ··· 1 −cn−1 Characteristic polynomial is powerful theoretical tool but usually not useful computationally Roots of polynomial of degree > 4 cannot always computed in finite number of steps So in general, computation of eigenvalues of matrices of order > 4 requires (theoretically infinite) iterative process Michael T. Heath Scientific Computing 9 / 87 Michael T. Heath Scientific Computing 10 / 87 Eigenvalue Problems Characteristic Polynomial Eigenvalue Problems Characteristic Polynomial Existence, Uniqueness, and Conditioning Relevant Properties of Matrices Existence, Uniqueness, and Conditioning Relevant Properties of Matrices Computing Eigenvalues and Eigenvectors Conditioning Computing Eigenvalues and Eigenvectors Conditioning Example: Characteristic Polynomial Multiplicity and Diagonalizability Consider Multiplicity is number of times root appears when 1 A = polynomial is written as product of linear factors 1 p Eigenvalue of multiplicity 1 is simple where is positive number slightly smaller than mach Exact eigenvalues of A are 1 + and 1 − Defective matrix has eigenvalue of multiplicity k > 1 with fewer than k linearly independent corresponding Computing characteristic polynomial in floating-point eigenvectors arithmetic, we obtain Nondefective matrix A has n linearly independent 2 2 2 det(A − λI) = λ − 2λ + (1 − ) = λ − 2λ + 1 eigenvectors, so it is diagonalizable which has 1 as double root X−1AX = D Thus, eigenvalues cannot be resolved by this method even though they are distinct in working precision where X is nonsingular matrix of eigenvectors Michael T. Heath Scientific Computing 11 / 87 Michael T. Heath Scientific Computing 12 / 87 Eigenvalue Problems Characteristic Polynomial Eigenvalue Problems Characteristic Polynomial Existence, Uniqueness, and Conditioning Relevant Properties of Matrices Existence, Uniqueness, and Conditioning Relevant Properties of Matrices Computing Eigenvalues and Eigenvectors Conditioning Computing Eigenvalues and Eigenvectors Conditioning Eigenspaces and Invariant Subspaces Relevant Properties of Matrices Properties of matrix A relevant to eigenvalue problems Eigenvectors can be scaled arbitrarily: if Ax = λx, then Property Definition A(γx) = λ(γx) for any scalar γ, so γx is also eigenvector diagonal aij = 0 for i 6= j corresponding to λ tridiagonal aij = 0 for ji − jj > 1 triangular a = 0 for i > j (upper) Eigenvectors are usually normalized by requiring some ij a = 0 for i < j (lower) norm of eigenvector to be 1 ij Hessenberg aij = 0 for i > j + 1 (upper) Eigenspace = Sλ = fx : Ax = λxg aij = 0 for i < j − 1 (lower) n n Subspace S of R (or C ) is invariant if AS ⊆ S orthogonal AT A = AAT = I unitary AH A = AAH = I For eigenvectors x ··· x , span([x ··· x ]) is invariant 1 p 1 p symmetric A = AT subspace Hermitian A = AH normal AH A = AAH Michael T. Heath Scientific Computing 13 / 87 Michael T. Heath Scientific Computing 14 / 87 Eigenvalue Problems Characteristic Polynomial Eigenvalue Problems Characteristic Polynomial Existence, Uniqueness, and Conditioning Relevant Properties of Matrices Existence, Uniqueness, and Conditioning Relevant Properties of Matrices Computing Eigenvalues and Eigenvectors Conditioning Computing Eigenvalues and Eigenvectors Conditioning Examples: Matrix Properties Examples, continued T 1 2 1 3 p p Transpose: = 0 1 −1 0 2=2 2=2 3 4 2 4 Orthogonal: ; ; p p 1 0 0 −1 − 2=2 2=2 H p p 1 + i 1 + 2i 1 − i 2 + i i 2=2 2=2 Conjugate transpose: = Unitary: p p 2 − i 2 − 2i 1 − 2i 2 + 2i − 2=2 −i 2=2 1 2 Symmetric: 1 1 2 3 Nonorthogonal: 1 2 1 3 Nonsymmetric: 21 2 03 2 4 Normal: 40 1 25 1 1 + i Hermitian: 2 0 1 1 − i 2 1 1 1 1 + i Nonnormal: NonHermitian: 0 1 1 + i 2 Michael T. Heath Scientific Computing 15 / 87 Michael T. Heath Scientific Computing 16 / 87 Eigenvalue Problems Characteristic Polynomial Eigenvalue Problems Characteristic Polynomial Existence, Uniqueness, and Conditioning Relevant Properties of Matrices Existence, Uniqueness, and Conditioning Relevant Properties of Matrices Computing Eigenvalues and Eigenvectors Conditioning Computing Eigenvalues and Eigenvectors Conditioning Properties of Eigenvalue Problems Conditioning of Eigenvalue Problems Properties of eigenvalue problem affecting choice of algorithm and software Condition of eigenvalue problem is sensitivity of Are all eigenvalues needed, or only a few? eigenvalues and eigenvectors to changes in matrix Are only eigenvalues needed, or are corresponding Conditioning of eigenvalue problem is not same as eigenvectors also needed? conditioning of solution to linear system for same matrix Is matrix real or complex? Different eigenvalues and eigenvectors are not necessarily Is matrix relatively small and dense, or large and sparse? equally sensitive to perturbations
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