Three Iterative Methods for Solving the Eigenproblemfor Various Classes of Matrices
Nicholas BenthemKurt O’HearnConnor ScholtenDecember 9, 2011
1 Introduction
Our paper presents and discusses three iterative techniques for solving the eigenproblem: the Powermethod, the
QR
algorithm, and the Jacobi method. Of these methods, the Power method and the
QR
algorithm can be employed on any square matrix in order to determine its eigen-information.Furthermore, the Jacobi method can be used to determine eigen-information for symmetric matrices. Inaddition to providing the steps of and some examples using these methods, the paper also discusesindicators of convergence rates and variations upon these three methods.
1.1 Motivation
We ﬁrst deﬁne the meaning of the terms direct method and iterative method. A
direct method
produces aresult in a ﬁnite number of prescribed computations. An
indirect method
produces a sequence of approximations for a result that (hopefully) converges to the true solution. With this distinction betweendirect and iterative methods in mind, we now consider the following question: why are iterativemethods necessary in solving the eigen-problem?Recall that every
n
x
n
matrix has an associated characteristic equation, which is an
n
degree polynomial.To determine the eigenvalues of a matrix, we must solve this polynomial. Hence, solving theeigen-problem is equivalent to solving polynomials. Now, also consider the following result established by Niels Hendrik Abel in 1823.
Theorem 1
(Abel’s Theorem)
.
Let
p
(
x
)
be a polynomial of degree
n
with complex coefﬁcients. Then if
n
≥
5
,
p
has no ‘solution by radicals’. That is, there exists no direct method to determine the roots of
p
by means of a ﬁnitenumber of elementary operations.
Thus, Abel proved that there is no direct method for ﬁnding the roots of polymonials of degree 5 orhigher. This astonishing historical result means we must employ iterative methods to approximate thesolutions of polynomials, or equivalently to approximate the eigenvalues of
n
x
n
matrices where
n
≥
5
.
1.2 Deﬁnitions, Notations, and Remarks Concerning this Paper
For this paper, all matrices will be square with real entries. We will use the following notation:
Notation 1.
Let
A
n
x
n
be a matrix with real entries. The following expressions are equivalent.1.
A
is an
n
x
n
real matrix2.
A
∈
R
n
x
n
1