Matrix Analysis
for Scientists & Engineers
Matrix Analysis
for Scientists & Engineers
This page intentionally left blank This page intentionally left blank
Matrix Analysis
for Scientists & Engineers
Alan J. Laub
University of California
Davis, California
slam.
Matrix Analysis
for Scientists & Engineers
Alan J. Laub
University of California
Davis, California
Copyright © 2005 by the Society for Industrial and Applied Mathematics.
1 0 9 8 7 6 5 4 3 2 1
All rights reserved. Printed in the United States of America. No part of this book
may be reproduced, stored, or transmitted in any manner without the written permission
of the publisher. For information, write to the Society for Industrial and Applied
Mathematics, 3600 University City Science Center, Philadelphia, PA 191042688.
MATLAB® is a registered trademark of The MathWorks, Inc. For MATLAB product information,
please contact The MathWorks, Inc., 3 Apple Hill Drive, Natick, MA 017602098 USA,
5086477000, Fax: 5086477101, info@mathworks.com, www.mathworks.com
Mathematica is a registered trademark of Wolfram Research, Inc.
Mathcad is a registered trademark of Mathsoft Engineering & Education, Inc.
Library of Congress CataloginginPublication Data
Laub, Alan J., 1948
Matrix analysis for scientists and engineers / Alan J. Laub.
p. cm.
Includes bibliographical references and index.
ISBN 0898715768 (pbk.)
1. Matrices. 2. Mathematical analysis. I. Title.
QA188138 2005
512.9'434—dc22
2004059962
About the cover: The original artwork featured on the cover was created by freelance
artist Aaron Tallon of Philadelphia, PA. Used by permission.
slam is a registered trademark.
Copyright © 2005 by the Society for Industrial and Applied Mathematics.
10987654321
All rights reserved. Printed in the United States of America. No part of this book
may be reproduced, stored, or transmitted in any manner without the written permission
of the publisher. For information, write to the Society for Industrial and Applied
Mathematics, 3600 University City Science Center, Philadelphia, PA 191042688.
MATLAB® is a registered trademark of The MathWorks, Inc. For MATLAB product information,
please contact The MathWorks, Inc., 3 Apple Hill Drive, Natick, MA 017602098 USA,
5086477000, Fax: 5086477101, info@mathworks.com, wwwmathworks.com
Mathematica is a registered trademark of Wolfram Research, Inc.
Mathcad is a registered trademark of Mathsoft Engineering & Education, Inc.
Library of Congress CataloginginPublication Data
Laub, Alan J., 1948
Matrix analysis for scientists and engineers / Alan J. Laub.
p. cm.
Includes bibliographical references and index.
ISBN 0898715768 (pbk.)
1. Matrices. 2. Mathematical analysis. I. Title.
QA 188.L38 2005
512.9'434dc22
2004059962
About the cover: The original artwork featured on the cover was created by freelance
artist Aaron Tallon of Philadelphia, PA. Used by permission .
•
5.lam... is a registered trademark.
To my wife, Beverley
(who captivated me in the UBC math library
nearly forty years ago)
To my wife, Beverley
(who captivated me in the UBC math library
nearly forty years ago)
This page intentionally left blank This page intentionally left blank
Contents
Preface xi
1 Introduction and Review 1
1.1 Some Notation and Terminology 1
1.2 Matrix Arithmetic 3
1.3 Inner Products and Orthogonality 4
1.4 Determinants 4
2 Vector Spaces 7
2.1 Definitions and Examples 7
2.2 Subspaces 9
2.3 Linear Independence 10
2.4 Sums and Intersections of Subspaces 13
3 Linear Transformations 17
3.1 Definition and Examples 17
3.2 Matrix Representation of Linear Transformations 18
3.3 Composition of Transformations 19
3.4 Structure of Linear Transformations 20
3.5 Four Fundamental Subspaces 22
4 Introduction to the MoorePenrose Pseudoinverse 29
4.1 Definitions and Characterizations 29
4.2 Examples 30
4.3 Properties and Applications 31
5 Introduction to the Singular Value Decomposition 35
5.1 The Fundamental Theorem 35
5.2 Some Basic Properties 38
5.3 Row and Column Compressions 40
6 Linear Equations 43
6.1 Vector Linear Equations 43
6.2 Matrix Linear Equations 44
6.3 A More General Matrix Linear Equation 47
6.4 Some Useful and Interesting Inverses 47
vii
Contents
Preface
1 Introduction and Review
1.1 Some Notation and Terminology
1.2 Matrix Arithmetic . . . . . . . .
1.3 Inner Products and Orthogonality .
1.4 Determinants
2 Vector Spaces
2.1 Definitions and Examples .
2.2 Subspaces.........
2.3 Linear Independence . . .
2.4 Sums and Intersections of Subspaces
3 Linear Transformations
3.1 Definition and Examples . . . . . . . . . . . . .
3.2 Matrix Representation of Linear Transformations
3.3 Composition of Transformations . .
3.4 Structure of Linear Transformations
3.5 Four Fundamental Subspaces . . . .
4 Introduction to the MoorePenrose Pseudoinverse
4.1 Definitions and Characterizations.
4.2 Examples..........
4.3 Properties and Applications . . . .
5 Introduction to the Singular Value Decomposition
5.1 The Fundamental Theorem . . .
5.2 Some Basic Properties .....
5.3 Rowand Column Compressions
6 Linear Equations
6.1 Vector Linear Equations . . . . . . . . .
6.2 Matrix Linear Equations ....... .
6.3 A More General Matrix Linear Equation
6.4 Some Useful and Interesting Inverses.
vii
xi
1
1
3
4
4
7
7
9
10
13
17
17
18
19
20
22
29
29
30
31
35
35
38
40
43
43
44
47
47
viii Contents
7 Projections, Inner Product Spaces, and Norms 51
7.1 Projections 51
7.1.1 The four fundamental orthogonal projections 52
7.2 Inner Product Spaces 54
7.3 Vector Norms 57
7.4 Matrix Norms 59
8 Linear Least Squares Problems 65
8.1 The Linear Least Squares Problem 65
8.2 Geometric Solution 67
8.3 Linear Regression and Other Linear Least Squares Problems 67
8.3.1 Example: Linear regression 67
8.3.2 Other least squares problems 69
8.4 Least Squares and Singular Value Decomposition 70
8.5 Least Squares and QR Factorization 71
9 Eigenvalues and Eigenvectors 75
9.1 Fundamental Definitions and Properties 75
9.2 Jordan Canonical Form 82
9.3 Determination of the JCF 85
9.3.1 Theoretical computation 86
9.3.2 On the +1's in JCF blocks 88
9.4 Geometric Aspects of the JCF 89
9.5 The Matrix Sign Function 91
10 Canonical Forms 95
10.1 Some Basic Canonical Forms 95
10.2 Definite Matrices 99
10.3 Equivalence Transformations and Congruence 102
10.3.1 Block matrices and definiteness 104
10.4 Rational Canonical Form 104
11 Linear Differential and Difference Equations 109
11.1 Differential Equations 109
11.1.1 Properties of the matrix exponential 109
11.1.2 Homogeneous linear differential equations 112
11.1.3 Inhomogeneous linear differential equations 112
11.1.4 Linear matrix differential equations 113
11.1.5 Modal decompositions 114
11.1.6 Computation of the matrix exponential 114
11.2 Difference Equations 118
11.2.1 Homogeneous linear difference equations 118
11.2.2 Inhomogeneous linear difference equations 118
11.2.3 Computation of matrix powers 119
11.3 HigherOrder Equations 120
viii
7 Projections, Inner Product Spaces, and Norms
7.1 Projections ..................... .
7.1.1 The four fundamental orthogonal projections
7.2 Inner Product Spaces
7.3 Vector Norms
7.4 Matrix Norms ....
8 Linear Least Squares Problems
8.1 The Linear Least Squares Problem . . . . . . . . . . . . . .
8.2 Geometric Solution . . . . . . . . . . . . . . . . . . . . . .
8.3 Linear Regression and Other Linear Least Squares Problems
8.3.1 Example: Linear regression ...... .
8.3.2 Other least squares problems ...... .
8.4 Least Squares and Singular Value Decomposition
8.5 Least Squares and QR Factorization . . . . . . .
9 Eigenvalues and Eigenvectors
9.1 Fundamental Definitions and Properties
9.2 Jordan Canonical Form .... .
9.3 Determination of the JCF .... .
9.3.1 Theoretical computation .
9.3.2 On the + l's in JCF blocks
9.4 Geometric Aspects of the JCF
9.5 The Matrix Sign Function.
10 Canonical Forms
10.1 Some Basic Canonical Forms .
10.2 Definite Matrices . . . . . . .
10.3 Equivalence Transformations and Congruence
10.3.1 Block matrices and definiteness
10.4 Rational Canonical Form . . . . . . . . .
11 Linear Differential and Difference Equations
ILl Differential Equations . . . . . . . . . . . . . . . .
11.1.1 Properties ofthe matrix exponential . . . .
11.1.2 Homogeneous linear differential equations
11.1.3 Inhomogeneous linear differential equations
11.1.4 Linear matrix differential equations . .
11.1.5 Modal decompositions . . . . . . . . .
11.1.6 Computation of the matrix exponential
11.2 Difference Equations . . . . . . . . . . . . . .
11.2.1 Homogeneous linear difference equations
11.2.2 Inhomogeneous linear difference equations
11.2.3 Computation of matrix powers .
11.3 HigherOrder Equations. . . . . . . . . . . . . . .
Contents
51
51
52
54
57
59
65
65
67
67
67
69
70
71
75
75
82
85
86
88
89
91
95
95
99
102
104
104
109
109
109
112
112
113
114
114
118
118
118
119
120
Contents ix
12 Generalized Eigenvalue Problems 125
12.1 The Generalized Eigenvalue/Eigenvector Problem 125
12.2 Canonical Forms 127
12.3 Application to the Computation of System Zeros 130
12.4 Symmetric Generalized Eigenvalue Problems 131
12.5 Simultaneous Diagonalization 133
12.5.1 Simultaneous diagonalization via SVD 133
12.6 HigherOrder Eigenvalue Problems 135
12.6.1 Conversion to firstorder form 135
13 Kronecker Products 139
13.1 Definition and Examples 139
13.2 Properties of the Kronecker Product 140
13.3 Application to Sylvester and Lyapunov Equations 144
Bibliography 151
Index 153
Contents
12 Generalized Eigenvalue Problems
12.1 The Generalized EigenvaluelEigenvector Problem
12.2 Canonical Forms ................ .
12.3 Application to the Computation of System Zeros .
12.4 Symmetric Generalized Eigenvalue Problems .
12.5 Simultaneous Diagonalization ........ .
12.5.1 Simultaneous diagonalization via SVD
12.6 HigherOrder Eigenvalue Problems ..
12.6.1 Conversion to firstorder form
13 Kronecker Products
13.1 Definition and Examples ............ .
13.2 Properties of the Kronecker Product ...... .
13.3 Application to Sylvester and Lyapunov Equations
Bibliography
Index
ix
125
125
127
130
131
133
133
135
135
139
139
140
144
151
153
This page intentionally left blank This page intentionally left blank
Preface
This book is intended to be used as a text for beginning graduatelevel (or even seniorlevel)
students in engineering, the sciences, mathematics, computer science, or computational
science who wish to be familar with enough matrix analysis that they are prepared to use its
tools and ideas comfortably in a variety of applications. By matrix analysis I mean linear
algebra and matrix theory together with their intrinsic interaction with and application to
linear dynamical systems (systems of linear differential or difference equations). The text
can be used in a onequarter or onesemester course to provide a compact overview of
much of the important and useful mathematics that, in many cases, students meant to learn
thoroughly as undergraduates, but somehow didn't quite manage to do. Certain topics
that may have been treated cursorily in undergraduate courses are treated in more depth
and more advanced material is introduced. I have tried throughout to emphasize only the
more important and "useful" tools, methods, and mathematical structures. Instructors are
encouraged to supplement the book with specific application examples from their own
particular subject area.
The choice of topics covered in linear algebra and matrix theory is motivated both by
applications and by computational utility and relevance. The concept of matrix factorization
is emphasized throughout to provide a foundation for a later course in numerical linear
algebra. Matrices are stressed more than abstract vector spaces, although Chapters 2 and 3
do cover some geometric (i.e., basisfree or subspace) aspects of many of the fundamental
notions. The books by Meyer [18], Noble and Daniel [20], Ortega [21], and Strang [24]
are excellent companion texts for this book. Upon completion of a course based on this
text, the student is then wellequipped to pursue, either via formal courses or through self
study, followon topics on the computational side (at the level of [7], [11], [23], or [25], for
example) or on the theoretical side (at the level of [12], [13], or [16], for example).
Prerequisites for using this text are quite modest: essentially just an understanding
of calculus and definitely some previous exposure to matrices and linear algebra. Basic
concepts such as determinants, singularity of matrices, eigenvalues and eigenvectors, and
positive definite matrices should have been covered at least once, even though their recollec
tion may occasionally be "hazy." However, requiring such material as prerequisite permits
the early (but "outoforder" by conventional standards) introduction of topics such as pseu
doinverses and the singular value decomposition (SVD). These powerful and versatile tools
can then be exploited to provide a unifying foundation upon which to base subsequent top
ics. Because tools such as the SVD are not generally amenable to "hand computation," this
approach necessarily presupposes the availability of appropriate mathematical software on
a digital computer. For this, I highly recommend MA TL A B® although other software such as
xi
Preface
This book is intended to be used as a text for beginning graduatelevel (or even seniorlevel)
students in engineering, the sciences, mathematics, computer science, or computational
science who wish to be familar with enough matrix analysis that they are prepared to use its
tools and ideas comfortably in a variety of applications. By matrix analysis I mean linear
algebra and matrix theory together with their intrinsic interaction with and application to
linear dynamical systems (systems of linear differential or difference equations). The text
can be used in a onequarter or onesemester course to provide a compact overview of
much of the important and useful mathematics that, in many cases, students meant to learn
thoroughly as undergraduates, but somehow didn't quite manage to do. Certain topics
that may have been treated cursorily in undergraduate courses are treated in more depth
and more advanced material is introduced. I have tried throughout to emphasize only the
more important and "useful" tools, methods, and mathematical structures. Instructors are
encouraged to supplement the book with specific application examples from their own
particular subject area.
The choice of topics covered in linear algebra and matrix theory is motivated both by
applications and by computational utility and relevance. The concept of matrix factorization
is emphasized throughout to provide a foundation for a later course in numerical linear
algebra. Matrices are stressed more than abstract vector spaces, although Chapters 2 and 3
do cover some geometric (i.e., basisfree or subspace) aspects of many of the fundamental
notions. The books by Meyer [18], Noble and Daniel [20], Ortega [21], and Strang [24]
are excellent companion texts for this book. Upon completion of a course based on this
text, the student is then wellequipped to pursue, either via formal courses or through self
study, followon topics on the computational side (at the level of [7], [II], [23], or [25], for
example) or on the theoretical side (at the level of [12], [13], or [16], for example).
Prerequisites for using this text are quite modest: essentially just an understanding
of calculus and definitely some previous exposure to matrices and linear algebra. Basic
concepts such as determinants, singularity of matrices, eigenvalues and eigenvectors, and
positive definite matrices should have been covered at least once, even though their recollec
tion may occasionally be "hazy." However, requiring such material as prerequisite permits
the early (but "outoforder" by conventional standards) introduction of topics such as pseu
doinverses and the singular value decomposition (SVD). These powerful and versatile tools
can then be exploited to provide a unifying foundation upon which to base subsequent top
ics. Because tools such as the SVD are not generally amenable to "hand computation," this
approach necessarily presupposes the availability of appropriate mathematical software on
a digital computer. For this, I highly recommend MAlLAB® although other software such as
xi
xii Preface
Mathematica® or Mathcad® is also excellent. Since this text is not intended for a course in
numerical linear algebra per se, the details of most of the numerical aspects of linear algebra
are deferred to such a course.
The presentation of the material in this book is strongly influenced by computa
tional issues for two principal reasons. First, "reallife" problems seldom yield to simple
closedform formulas or solutions. They must generally be solved computationally and
it is important to know which types of algorithms can be relied upon and which cannot.
Some of the key algorithms of numerical linear algebra, in particular, form the foundation
upon which rests virtually all of modern scientific and engineering computation. A second
motivation for a computational emphasis is that it provides many of the essential tools for
what I call "qualitative mathematics." For example, in an elementary linear algebra course,
a set of vectors is either linearly independent or it is not. This is an absolutely fundamental
concept. But in most engineering or scientific contexts we want to know more than that.
If a set of vectors is linearly independent, how "nearly dependent" are the vectors? If they
are linearly dependent, are there "best" linearly independent subsets? These turn out to
be much more difficult problems and frequently involve researchlevel questions when set
in the context of the finiteprecision, finiterange floatingpoint arithmetic environment of
most modern computing platforms.
Some of the applications of matrix analysis mentioned briefly in this book derive
from the modern statespace approach to dynamical systems. Statespace methods are
now standard in much of modern engineering where, for example, control systems with
large numbers of interacting inputs, outputs, and states often give rise to models of very
high order that must be analyzed, simulated, and evaluated. The "language" in which such
models are conveniently described involves vectors and matrices. It is thus crucial to acquire
a working knowledge of the vocabulary and grammar of this language. The tools of matrix
analysis are also applied on a daily basis to problems in biology, chemistry, econometrics,
physics, statistics, and a wide variety of other fields, and thus the text can serve a rather
diverse audience. Mastery of the material in this text should enable the student to read and
understand the modern language of matrices used throughout mathematics, science, and
engineering.
While prerequisites for this text are modest, and while most material is developed from
basic ideas in the book, the student does require a certain amount of what is conventionally
referred to as "mathematical maturity." Proofs are given for many theorems. When they are
not given explicitly, they are either obvious or easily found in the literature. This is ideal
material from which to learn a bit about mathematical proofs and the mathematical maturity
and insight gained thereby. It is my firm conviction that such maturity is neither encouraged
nor nurtured by relegating the mathematical aspects of applications (for example, linear
algebra for elementary statespace theory) to an appendix or introducing it "onthefly" when
necessary. Rather, one must lay a firm foundation upon which subsequent applications and
perspectives can be built in a logical, consistent, and coherent fashion.
I have taught this material for many years, many times at UCSB and twice at UC
Davis, and the course has proven to be remarkably successful at enabling students from
disparate backgrounds to acquire a quite acceptable level of mathematical maturity and
rigor for subsequent graduate studies in a variety of disciplines. Indeed, many students who
completed the course, especially the first few times it was offered, remarked afterward that
if only they had had this course before they took linear systems, or signal processing,
xii Preface
Mathematica® or Mathcad® is also excellent. Since this text is not intended for a course in
numerical linear algebra per se, the details of most of the numerical aspects of linear algebra
are deferred to such a course.
The presentation of the material in this book is strongly influenced by computa
tional issues for two principal reasons. First, "reallife" problems seldom yield to simple
closedform formulas or solutions. They must generally be solved computationally and
it is important to know which types of algorithms can be relied upon and which cannot.
Some of the key algorithms of numerical linear algebra, in particular, form the foundation
upon which rests virtually all of modem scientific and engineering computation. A second
motivation for a computational emphasis is that it provides many of the essential tools for
what I call "qualitative mathematics." For example, in an elementary linear algebra course,
a set of vectors is either linearly independent or it is not. This is an absolutely fundamental
concept. But in most engineering or scientific contexts we want to know more than that.
If a set of vectors is linearly independent, how "nearly dependent" are the vectors? If they
are linearly dependent, are there "best" linearly independent subsets? These tum out to
be much more difficult problems and frequently involve researchlevel questions when set
in the context of the finiteprecision, finiterange floatingpoint arithmetic environment of
most modem computing platforms.
Some of the applications of matrix analysis mentioned briefly in this book derive
from the modem statespace approach to dynamical systems. Statespace methods are
now standard in much of modem engineering where, for example, control systems with
large numbers of interacting inputs, outputs, and states often give rise to models of very
high order that must be analyzed, simulated, and evaluated. The "language" in which such
models are conveniently described involves vectors and matrices. It is thus crucial to acquire
a working knowledge of the vocabulary and grammar of this language. The tools of matrix
analysis are also applied on a daily basis to problems in biology, chemistry, econometrics,
physics, statistics, and a wide variety of other fields, and thus the text can serve a rather
diverse audience. Mastery of the material in this text should enable the student to read and
understand the modem language of matrices used throughout mathematics, science, and
engineering.
While prerequisites for this text are modest, and while most material is developed from
basic ideas in the book, the student does require a certain amount of what is conventionally
referred to as "mathematical maturity." Proofs are given for many theorems. When they are
not given explicitly, they are either obvious or easily found in the literature. This is ideal
material from which to learn a bit about mathematical proofs and the mathematical maturity
and insight gained thereby. It is my firm conviction that such maturity is neither encouraged
nor nurtured by relegating the mathematical aspects of applications (for example, linear
algebra for elementary statespace theory) to an appendix or introducing it "onthef1y" when
necessary. Rather, one must lay a firm foundation upon which subsequent applications and
perspectives can be built in a logical, consistent, and coherent fashion.
I have taught this material for many years, many times at UCSB and twice at UC
Davis, and the course has proven to be remarkably successful at enabling students from
disparate backgrounds to acquire a quite acceptable level of mathematical maturity and
rigor for subsequent graduate studies in a variety of disciplines. Indeed, many students who
completed the course, especially the first few times it was offered, remarked afterward that
if only they had had this course before they took linear systems, or signal processing.
Preface xiii
or estimation theory, etc., they would have been able to concentrate on the new ideas
they wanted to learn, rather than having to spend time making up for deficiencies in their
background in matrices and linear algebra. My fellow instructors, too, realized that by
requiring this course as a prerequisite, they no longer had to provide as much time for
"review" and could focus instead on the subject at hand. The concept seems to work.
— AJL, June 2004
Preface XIII
or estimation theory, etc., they would have been able to concentrate on the new ideas
they wanted to learn, rather than having to spend time making up for deficiencies in their
background in matrices and linear algebra. My fellow instructors, too, realized that by
requiring this course as a prerequisite, they no longer had to provide as much time for
"review" and could focus instead on the subject at hand. The concept seems to work.
AJL, June 2004
This page intentionally left blank This page intentionally left blank
Chapter 1
Introduction and Review
1.1 Some Notation and Terminology
We begin with a brief introduction to some standard notation and terminology to be used
throughout the text. This is followed by a review of some basic notions in matrix analysis
and linear algebra.
The following sets appear frequently throughout subsequent chapters:
1. R
n
= the set of ntuples of real numbers represented as column vectors. Thus, x e Rn
means
where xi e R for i e n.
Henceforth, the notation n denotes the set {1, . . . , n}.
Note: Vectors are always column vectors. A row vector is denoted by y
T
, where
y G Rn and the superscript T is the transpose operation. That a vector is always a
column vector rather than a row vector is entirely arbitrary, but this convention makes
it easy to recognize immediately throughout the text that, e.g., X
T
y is a scalar while
xy
T
is an n x n matrix.
2. Cn = the set of ntuples of complex numbers represented as column vectors.
3. R
mxn
= the set of real (or realvalued) m x n matrices.
4. R
mxnr
= the set of real m x n matrices of rank r. Thus, R
nxnn
denotes the set of real
nonsingular n x n matrices.
5. C
mxn
= the set of complex (or complexvalued) m x n matrices.
6. C
mxn
= the set of complex m x n matrices of rank r.
1
Chapter 1
Introduction and Review
1.1 Some Notation and Terminology
We begin with a brief introduction to some standard notation and terminology to be used
throughout the text. This is followed by a review of some basic notions in matrix analysis
and linear algebra.
The following sets appear frequently throughout subsequent chapters:
I. IR
n
= the set of ntuples of real numbers represented as column vectors. Thus, x E IR
n
means
where Xi E IR for i E !!.
Henceforth, the notation!! denotes the set {I, ... , n }.
Note: Vectors are always column vectors. A row vector is denoted by y ~ where
y E IR
n
and the superscript T is the transpose operation. That a vector is always a
column vector rather than a row vector is entirely arbitrary, but this convention makes
it easy to recognize immediately throughout the text that, e.g., x
T
y is a scalar while
xyT is an n x n matrix.
2. en = the set of ntuples of complex numbers represented as column vectors.
3. IR
rn
xn = the set of real (or realvalued) m x n matrices.
4. 1R;n xn = the set of real m x n matrices of rank r. Thus, I R ~ xn denotes the set of real
nonsingular n x n matrices.
5. e
rnxn
= the set of complex (or complexvalued) m x n matrices.
6. e;n xn = the set of complex m x n matrices of rank r.
Chapter 1. Introduction and Review
Each of the above also has a "block" analogue obtained by replacing scalar components in
the respective definitions by block submatrices. For example, if A e R
nxn
, B e R
mx n
, and
C e R
mxm
, then the (m+ n) x (m+ n) matrix [ A0 Bc ] is block upper triangular.
The transpose of a matrix A is denoted by A
T
and is the matrix whose (i, j)th entry
is the (7, Oth entry of A, that is, (A
7
),, = a,,. Note that if A e R
mx
", then A
7
" e E"
xm
.
If A e C
mx
", then its Hermitian transpose (or conjugate transpose) is denoted by A
H
(or
sometimes A*) and its (i, j)\h entry is (A
H
),
7
= («77), where the bar indicates complex
conjugation; i.e., if z = a + jf$ (j = i = v^T), then z = a — jfi. A matrix A is symmetric
if A = A
T
and Hermitian if A = A
H
. We henceforth adopt the convention that, unless
otherwise noted, an equation like A = A
T
implies that A is realvalued while a statement
like A = A
H
implies that A is complexvalued.
Remark 1.1. While \/—\ is most commonly denoted by i in mathematics texts, j is
the more common notation in electrical engineering and system theory. There is some
advantage to being conversant with both notations. The notation j is used throughout the
text but reminders are placed at strategic locations.
Example 1.2.
Transposes of block matrices can be defined in an obvious way. For example, it is
easy to see that if A,, are appropriately dimensioned subblocks, then
is symmetric (and Hermitian).
is complexvalued symmetric but not Hermitian.
is Hermitian (but not symmetric).
2
We now classify some of the more familiar "shaped" matrices. A matrix A e
(or A eC"
x
")i s
• diagonal if a,
7
= 0 for i ^ j.
• upper triangular if a,
;
= 0 for i > j.
• lower triangular if a,
7
= 0 for / < j.
• tridiagonal if a
(y
= 0 for z — j\ > 1.
• pentadiagonal if a
i;
= 0 for / — j\ > 2.
• upper Hessenberg if a
f
j = 0 for i — j > 1.
• lower Hessenberg if a,
;
= 0 for j — i > 1.
2 Chapter 1. Introduction and Review
We now classify some of the more familiar "shaped" matrices. A matrix A E IR
n
xn
(or A E e
nxn
) is
• diagonal if aij = 0 for i i= }.
• upper triangular if aij = 0 for i > }.
• lower triangular if aij = 0 for i < }.
• tridiagonal if aij = 0 for Ii  JI > 1.
• pentadiagonal if aij = 0 for Ii  J I > 2.
• upper Hessenberg if aij = 0 for i  j > 1.
• lower Hessenberg if aij = 0 for }  i > 1.
Each of the above also has a "block" analogue obtained by replacing scalar components in
the respective definitions by block submatrices. For example, if A E IR
nxn
, B E IR
nxm
, and
C E jRmxm, then the (m + n) x (m + n) matrix [ ~ ~ ] is block upper triangular.
The transpose of a matrix A is denoted by AT and is the matrix whose (i, j)th entry
is the (j, i)th entry of A, that is, (AT)ij = aji. Note that if A E jRmxn, then AT E jRnxm.
If A E em xn, then its Hermitian transpose (or conjugate transpose) is denoted by A H (or
sometimes A*) and its (i, j)th entry is (AH)ij = (aji), where the bar indicates complex
conjugation; i.e., if z = IX + jfJ (j = i = R), then z = IX  jfJ. A matrix A is symmetric
if A = A T and Hermitian if A = A H. We henceforth adopt the convention that, unless
otherwise noted, an equation like A = A T implies that A is realvalued while a statement
like A = AH implies that A is complexvalued.
Remark 1.1. While R is most commonly denoted by i in mathematics texts, } is
the more common notation in electrical engineering and system theory. There is some
advantage to being conversant with both notations. The notation j is used throughout the
text but reminders are placed at strategic locations.
Example 1.2.
1. A = [
; ~ ] is symmetric (and Hermitian).
2. A = [
5
7+}
7 + j ]
2 is complexvalued symmetric but not Hermitian.
[
5 7+} ]
3 A  2 is Hermitian (but not symmetric).
·  7  j
Transposes of block matrices can be defined in an obvious way. For example, it is
easy to see that if Aij are appropriately dimensioned subblocks, then
r = [
1.2. Matrix Arithmetic
1.2 Matrix Arithmetic
It is assumed that the reader is familiar with the fundamental notions of matrix addition,
multiplication of a matrix by a scalar, and multiplication of matrices.
A special case of matrix multiplication occurs when the second matrix is a column
vector x, i.e., the matrixvector product Ax. A very important way to view this product is
to interpret it as a weighted sum (linear combination) of the columns of A. That is, suppose
The importance of this interpretation cannot be overemphasized. As a numerical example,
take A = [96 85 74]x = 2 . Then we can quickly calculate dot products of the rows of A
with the column x to find Ax =[50 32]' but this matrixvector product can also be computed
v1a
For large arrays of numbers, there can be important computerarchitecturerelated advan
tages to preferring the latter calculation method.
For matrix multiplication, suppose A e R
mxn
and B = [bi,...,b
p
] e R
nxp
with
bi e W
1
. Then the matrix product A B can be thought of as above, applied p times:
There is also an alternative, but equivalent, formulation of matrix multiplication that appears
frequently in the text and is presented below as a theorem. Again, its importance cannot be
overemphasized. It is deceptively simple and its full understanding is well rewarded.
Theorem 1.3. Let U = [M I , . . . , u
n
] e R
mxn
with u
t
e R
m
and V = [v
{
,..., v
n
] e R
pxn
with v
t
e R
p
. Then
If matrices C and D are compatible for multiplication, recall that (CD)
T
= D
T
C
T
(or (CD}
H
— D
H
C
H
). This gives a dual to the matrixvector result above. Namely, if
C eR
mxn
has row vectors cj e E
lx
", and is premultiplied by a row vector y
T
e R
l xm
,
then the product can be written as a weighted linear sum of the rows of C as follows:
3
Theorem 1.3 can then also be generalized to its "row dual." The details are left to the readei
Then
1.2. Matrix Arithmetic 3
1 .2 Matrix Arithmetic
It is assumed that the reader is familiar with the fundamental notions of matrix addition,
multiplication of a matrix by a scalar, and multiplication of matrices.
A special case of matrix multiplication occurs when the second matrix is a column
vector x, i.e., the matrixvector product Ax. A very important way to view this product is
to interpret it as a weighted sum (linear combination) of the columns of A. That is, suppose
I ]
A = la' ....• a"1 E JR
m
" with a, E JRm and x = l
Then
Ax = Xjal + ... + Xnan E jRm.
The importance of this interpretation cannot be overemphasized. As a numerical example,
take A = ! x = Then we can quickly calculate dot products of the rows of A
with the column x to find Ax = but this matrixvector product can also be computed
via
3.[ J+2.[ J+l.[ l
For large arrays of numbers, there can be important computerarchitecturerelated advan
tages to preferring the latter calculation method.
For matrix multiplication, suppose A E jRmxn and B = [hI,.'" h
p
] E jRnxp with
hi E jRn. Then the matrix product AB can be thought of as above, applied p times:
There is also an alternative, but equivalent, formulation of matrix multiplication that appears
frequently in the text and is presented below as a theorem. Again, its importance cannot be
overemphasized. It is deceptively simple and its full understanding is well rewarded.
Theorem 1.3. Let U = [Uj, ... , un] E jRmxn with Ui E jRm and V = [VI, .•. , Vn] E lR
Pxn
with Vi E jRP. Then
n
UV
T
= LUiVr E jRmxp.
i=I
If matrices C and D are compatible for multiplication, recall that (C D)T = DT C
T
(or (C D)H = DH C
H
). This gives a dual to the matrixvector result above. Namely, if
C E jRmxn has row vectors cJ E jRlxn, and is premultiplied by a row vector yT E jRlxm,
then the product can be written as a weighted linear sum of the rows of C as follows:
yTC=YICf EjRlxn.
Theorem 1.3 can then also be generalized to its "row dual." The details are left to the reader.
Chapter 1. Introduction and Review
1.3 Inner Products and Orthogonality
For vectors x, y e R", the Euclidean inner product (or inner product, for short) of x and
y is given by
Note that the inner product is a scalar.
If x, y e C", we define their complex Euclidean inner product (or inner product,
for short) by
and we see that, indeed, (x, y)
c
= (y, x)
c
.
Note that x
T
x = 0 if and only if x = 0 when x e Rn but that this is not true if x e Cn.
What is true in the complex case is that X
H
x = 0 if and only if x = 0. To illustrate, consider
the nonzero vector x above. Then X
T
X = 0 but X
H
X = 2.
Two nonzero vectors x, y e R are said to be orthogonal if their inner product is
zero, i.e., x
T
y = 0. Nonzero complex vectors are orthogonal if X
H
y = 0. If x and y are
orthogonal and X
T
X = 1 and y
T
y = 1, then we say that x and y are orthonormal. A
matrix A e R
nxn
is an orthogonal matrix if A
T
A = AA
T
= /, where / is the n x n
identity matrix. The notation /„ is sometimes used to denote the identity matrix in R
nx
"
(orC"
x
"). Similarly, a matrix A e C
nxn
is said to be unitary if A
H
A = AA
H
= I. Clearly
an orthogonal or unitary matrix has orthonormal rows and orthonormal columns. There is
no special name attached to a nonsquare matrix A e R
mxn
(or € C
mxn
) with orthonormal
rows or columns.
1.4 Determinants
It is assumed that the reader is familiar with the basic theory of determinants. For A e R
nxn
(or A 6 C
nxn
) we use the notation det A for the determinant of A. We list below some of
Note that (x, y)
c
= (y, x)
c
, i.e., the order in which x and y appear in the complex inner
product is important. The more conventional definition of the complex inner product is
( x , y )
c
= y
H
x = Eni=1 xiyi but throughout the text we prefer the symmetry with the real
case.
Example 1.4. Let x = [ 1j ] and y = [ 1/ 2 ]. Then
while
44 Chapter 1. Introduction and Review
1.3 Inner Products and Orthogonality
For vectors x, y E IRn, the Euclidean inner product (or inner product, for short) of x and
y is given by
n
(x, y) := x
T
y = Lx;y;.
;=1
Note that the inner product is a scalar.
If x, y E <en, we define their complex Euclidean inner product (or inner product,
for short) by
n
(x'Y}c :=xHy = Lx;y;.
;=1
Note that (x, y)c = (y, x}c, i.e., the order in which x and y appear in the complex inner
product is important. The more conventional definition of the complex inner product is
(x, y)c = yH x = L:7=1 x;y; but throughout the text we prefer the symmetry with the real
case.
Example 1.4. Let x = [} ] and y = [ ~ ] . Then
(x, Y}c = [ } JH [ ~ ] = [I  j] [ ~ ] = 1  2j
while
and we see that, indeed, (x, Y}c = {y, x)c'
Note that x
T
x = 0 if and only if x = 0 when x E IR
n
but that this is not true if x E en.
What is true in the complex case is that x
H
x = 0 if and only if x = O. To illustrate, consider
the nonzero vector x above. Then x
T
x = 0 but x
H
X = 2.
Two nonzero vectors x, y E IR
n
are said to be orthogonal if their inner product is
zero, i.e., x
T
y = O. Nonzero complex vectors are orthogonal if x
H
y = O. If x and y are
orthogonal and x
T
x = 1 and yT y = 1, then we say that x and y are orthonormal. A
matrix A E IR
nxn
is an orthogonal matrix if AT A = AAT = I, where I is the n x n
identity matrix. The notation In is sometimes used to denote the identity matrix in IR
nxn
(or en xn). Similarly, a matrix A E en xn is said to be unitary if A H A = AA H = I. Clearly
an orthogonal or unitary matrix has orthonormal rows and orthonormal columns. There is
no special name attached to a nonsquare matrix A E ]Rrn"n (or E e
mxn
) with orthonormal
rows or columns.
1.4 Determinants
It is assumed that the reader is familiar with the basic theory of determinants. For A E IR
n
xn
(or A E en xn) we use the notation det A for the determinant of A. We list below some of
1.4. Determinants
the more useful properties of determinants. Note that this is not a minimal set, i.e., several
properties are consequences of one or more of the others.
1. If A has a zero row or if any two rows of A are equal, then det A = 0.
2. If A has a zero column or if any two columns of A are equal, then det A = 0.
3. Interchanging two rows of A changes only the sign of the determinant.
4. Interchanging two columns of A changes only the sign of the determinant.
5. Multiplying a row of A by a scalar a results in a new matrix whose determinant is
a det A.
6. Multiplying a column of A by a scalar a results in a new matrix whose determinant
is a det A.
7. Multiplying a row of A by a scalar and then adding it to another row does not change
the determinant.
8. Multiplying a column of A by a scalar and then adding it to another column does not
change the determinant.
9. det A
T
= det A (det A
H
= det A if A e C
nxn
).
10. If A is diagonal, then det A = a11a22 • • • a
nn
, i.e., det A is the product of its diagonal
elements.
11. If A is upper triangular, then det A = a11a22 • • • a
nn
.
12. If A is lower triangular, then det A = a11a22 • • • a
nn
.
13. If A is block diagonal (or block upper triangular or block lower triangular), with
square diagonal blocks A11, A22, • • •, A
nn
(of possibly different sizes), then det A =
det A11 det A22 • • • det A
nn
.
14. If A, B eR
nxn
,thendet(AB) = det A det 5.
15. If A € R
nxn
, then det(A
1
) = 1det A.
16. If A e R
nxn
and D e R
mxm
, then det [Ac
B
D
] = del A det ( D – CA–
l
B).
Proof: This follows easily from the block LU factorization
17. If A eR
nxn
and D e RM
mxm
, then det [Ac
B
D
] = det D det(A – BD–
1
C) .
Proof: This follows easily from the block UL factorization
5 1.4. Determinants 5
the more useful properties of determinants. Note that this is not a minimal set, i.e., several
properties are consequences of one or more of the others.
1. If A has a zero row or if any two rows of A are equal, then det A = o.
2. If A has a zero column or if any two columns of A are equal, then det A = O.
3. Interchanging two rows of A changes only the sign of the determinant.
4. Interchanging two columns of A changes only the sign of the determinant.
5. Multiplying a row of A by a scalar ex results in a new matrix whose determinant is
exdetA.
6. Multiplying a column of A by a scalar ex results in a new matrix whose determinant
is ex det A.
7. Multiplying a row of A by a scalar and then adding it to another row does not change
the determinant.
8. Multiplying a column of A by a scalar and then adding it to another column does not
change the determinant.
9. detAT = detA (detA
H
= detA if A E C"X").
10. If A is diagonal, then det A = alla22 ... ann, i.e., det A is the product of its diagonal
elements.
11. If A is upper triangular, then det A = all a22 ... a"n.
12. If A is lower triangUlar, then det A = alla22 ... ann.
13. If A is block diagonal (or block upper triangular or block lower triangular), with
square diagonal blocks A 11, A
22
, ... , An" (of possibly different sizes), then det A =
det A 11 det A22 ... det Ann.
14. If A, B E IR
nxn
, then det(AB) = det A det B.
15. If A E then det(A
1
) = de: A .
16. If A E and DE IR
mxm
, then det = detA det(D  CA
1
B).
Proof" This follows easily from the block LU factorization
] [
17. If A E IR
nxn
and D E then det = det D det(A  B D
1
C).
Proof" This follows easily from the block UL factorization
BD
1
I
] [
Chapter 1. Introduction and Review
Remark 1.5. The factorization of a matrix A into the product of a unit lower triangular
matrix L (i.e., lower triangular with all 1's on the diagonal) and an upper triangular matrix
U is called an LU factorization; see, for example, [24]. Another such factorization is UL
where U is unit upper triangular and L is lower triangular. The factorizations used above
are block analogues of these.
Remark 1.6. The matrix D — CA–
1
B is called the Schur complement of A in [AC BD].
Similarly, A – BD–
l
C is the Schur complement of D in [AC
B
D
].
EXERCISES
1. If A e R
nxn
and or is a scalar, what is det(aA)? What is det(–A)?
2. If A is orthogonal, what is det A? If A is unitary, what is det A?
3. Let x, y e Rn. Show that det(I – xy
T
) = 1 – y
T
x.
4. Let U1, U
2
, . . ., Uk € R
nxn
be orthogonal matrices. Show that the product U =
U1 U2 • • • Uk is an orthogonal matrix.
5. Let A e R
n x n
. The trace of A, denoted TrA, is defined as the sum of its diagonal
elements, i.e., TrA = Eni=1
aii.
(a) Show that the trace is a linear function; i.e., if A, B e R
nxn
and a, ft e R, then
Tr(aA + fiB)= aTrA + fiTrB.
(b) Show that Tr(Afl) = Tr(£A), even though in general AB ^ B A.
(c) Let S € R
nxn
be skewsymmetric, i.e., S
T
= S. Show that TrS = 0. Then
either prove the converse or provide a counterexample.
6. A matrix A e W
x
" is said to be idempotent if A
2
= A.
/ x ™ . , • , ! T 2cos
2
<9 sin 20 1 . . _ ,
(a) Show that the matrix A =  . _ .. _ .
2rt
is idempotent for all #.
2 _ sin 2^ 2sm
z
# J
r
(b) Suppose A e IR"
X
" is idempotent and A ^ I. Show that A must be singular.
66 Chapter 1. Introduction and Review
Remark 1.5. The factorization of a matrix A into the product of a unit lower triangular
matrix L (i.e., lower triangular with all l's on the diagonal) and an upper triangular matrix
V is called an LV factorization; see, for example, [24]. Another such factorization is VL
where V is unit upper triangular and L is lower triangular. The factorizations used above
are block analogues of these.
Remark 1.6. The matrix D  e A I B is called the Schur complement of A in [ ~ ~ ].
Similarly, A  BDIe is the Schur complement of Din [ ~ ~ l
EXERCISES
1. If A E jRnxn and a is a scalar, what is det(aA)? What is det(A)?
2. If A is orthogonal, what is det A? If A is unitary, what is det A?
3. Letx,y E jRn. Showthatdet(lxyT) = 1 yTx.
4. Let VI, V2, ... ,Vk E jRn xn be orthogonal matrices. Show that the product V =
VI V2 ... V
k
is an orthogonal matrix.
5. Let A E jRNxn. The trace of A, denoted Tr A, is defined as the sum of its diagonal
elements, i.e., TrA = L ~ = I au·
(a) Show that the trace is a linear function; i.e., if A, B E JRn xn and a, f3 E JR, then
Tr(aA + f3B) = aTrA + f3TrB.
(b) Show that Tr(AB) = Tr(BA), even though in general AB i= BA.
(c) Let S E jRnxn be skewsymmetric, i.e., ST = So Show that TrS = O. Then
either prove the converse or provide a counterexample.
6. A matrix A E jRnxn is said to be idempotent if A2 = A.
I [ 2cos
2
0
(a) Show that the matrix A =  . 2f)
2 sm 0
sin 20 J. . d .. II II
2sin
2
0 IS I empotent lor a o.
(b) Suppose A E jRn xn is idempotent and A i= I. Show that A must be singular.
Chapter 2
Vector Spaces
In this chapter we give a brief review of some of the basic concepts of vector spaces. The
emphasis is on finitedimensional vector spaces, including spaces formed by special classes
of matrices, but some infinitedimensional examples are also cited. An excellent reference
for this and the next chapter is [10], where some of the proofs that are not given here may
be found.
2.1 Definitions and Examples
Definition 2.1. A field is a set F together with two operations +, • : F x F — > F such that
Axioms (A1)(A3) state that (F, +) is a group and an abelian group if (A4) also holds.
Axioms (M1)(M4) state that (F \ {0}, •) is an abelian group.
Generally speaking, when no confusion can arise, the multiplication operator "•" is
not written explicitly.
7
(Al) a + (P + y ) = (a + p ) + y f o r all a, f t, y € F.
(A2) there exists an element 0 e F such that a + 0 = a. for all a e F.
(A3 ) for all a e F, there exists an element (—a) e F such that a + (— a) = 0.
(A4 ) a + p = ft + afar all a, ft e F.
(M l) a  ( p  y ) = ( a  p )  y f o r al l a, p, y e F.
(M 2) there exists an element 1 e F such that a • I = a for all a e F.
(M 3 ) for all a e ¥, a ^0, there exists an element a"
1
€ F such that a • a~
l
= 1.
(M 4 ) a • p = P • a for all a, p e F.
(D) a  ( p + y)=ci p+a y f or alia, p,ye¥.
Chapter 2
Vector Spaces
In this chapter we give a brief review of some of the basic concepts of vector spaces. The
emphasis is on finitedimensional vector spaces, including spaces formed by special classes
of matrices, but some infinitedimensional examples are also cited. An excellent reference
for this and the next chapter is [10], where some of the proofs that are not given here may
be found.
2.1 Definitions and Examples
Definition 2.1. A field is a set IF together with two operations +, . : IF x IF ~ IF such that
(Al) a + (,8 + y) = (a +,8) + y for all a,,8, y Elf.
(A2) there exists an element 0 E IF such that a + 0 = a for all a E IF.
(A3) for all a E IF, there exists an element (a) E IF such that a + (a) = O.
(A4) a + ,8 = ,8 + a for all a, ,8 Elf.
(Ml) a· (,8, y) = (a·,8)· y for all a,,8, y Elf.
(M2) there exists an element I E IF such that a . I = a for all a E IF.
(M3) for all a E IF, a f. 0, there exists an element aI E IF such that a . aI = 1.
(M4) a·,8 =,8 . afar all a, ,8 E IF.
(D) a· (,8 + y) = a·,8 +a· y for all a, ,8, y Elf.
Axioms (Al)(A3) state that (IF, +) is a group and an abelian group if (A4) also holds.
Axioms (MI)(M4) state that (IF \ to), .) is an abelian group.
Generally speaking, when no confusion can arise, the multiplication operator "." is
not written explicitly.
7
Chapter 2. Vector Spaces
Example 2.2.
1. R with ordinary addition and multiplication is a field.
2. C with ordinary complex addition and multiplication is a field.
3. Raf. r] = the field of rational functions in the indeterminate x
8
where Z+ = {0,1,2, . . . }, is a field.
4. RMr
mxn
= { m x n matrices of rank r with real coefficients) is clearly not a field since,
for example, (Ml) does not hold unless m = n. Moreover, R"
x
" is not a field either
since (M4) does not hold in general (although the other 8 axioms hold).
Definition 2.3. A vector space over a field F is a set V together with two operations
+ :V x V ^V and : F xV »• V such that
A vector space is denoted by (V, F) or, when there is no possibility of confusion as to the
underlying fie Id, simply by V.
Remark 2.4. Note that + and • in Definition 2.3 are different from the + and • in Definition
2.1 in the sense of operating on different objects in different sets. In practice, this causes
no confusion and the • operator is usually not even written explicitly.
Example 2.5.
1. (R", R) with addition defined by
and scalar multiplication defined by
is a vector space. Similar definitions hold for (C", C).
(VI) (V, +) is an abelian group.
(V2) ( a  p )  v = a  ( P ' V ) f o r all a, p e F and for all v e V.
(V3) (a + ft) • v = a • v + p • v for all a, p € F and for all v e V.
(V4) a(v + w)=av + a w for all a e F and for all v, w e V.
(V5) 1 • v = v for all v e V (1 e F).
8 Chapter 2. Vector Spaces
Example 2.2.
I. IR with ordinary addition and multiplication is a field.
2. e with ordinary complex addition and multiplication is a field.
3. Ra[x] = the field of rational functions in the indeterminate x
= {a
o
+ atX + ... + apxP +}
:aj,f3i EIR ;P,qEZ ,
f30 + f3t
X
+ ... + f3qX
q
where Z+ = {O,l,2, ... }, is a field.
4. I R ~ xn = { m x n matrices of rank r with real coefficients} is clearly not a field since,
for example, (MI) does not hold unless m = n. Moreover, l R ~ x n is not a field either
since (M4) does not hold in general (although the other 8 axioms hold).
Definition 2.3. A vector space over a field IF is a set V together with two operations
+ : V x V + V and· : IF x V + V such that
(VI) (V, +) is an abelian group.
(V2) (a· f3) . v = a . (f3 . v) for all a, f3 E IF andfor all v E V.
(V3) (a + f3). v = a· v + f3. v for all a, f3 Elf andforall v E V.
(V4) a· (v + w) = a . v + a . w for all a ElF andfor all v, w E V.
(V5) I· v = v for all v E V (1 Elf).
A vector space is denoted by (V, IF) or, when there is no possibility of confusion as to the
underlying field, simply by V.
Remark 2.4. Note that + and· in Definition 2.3 are different from the + and . in Definition
2.1 in the sense of operating on different objects in different sets. In practice, this causes
no confusion and the· operator is usually not even written explicitly.
Example 2.5.
I. (IRn, IR) with addition defined by
and scalar multiplication defined by
is a vector space. Similar definitions hold for (en, e).
2.2. Subspaces
3. Let (V, F) be an arbitrary vector space and V be an arbitrary set. Let O (X > , V) be the
set of functions / mapping D to V. Then O (D, V) is a vector space with addition
defined by
2.2 Subspaces
Definition 2.6. Let (V, F) be a vector space and let W c V, W = 0. Then (W, F) is a
subspace of (V, F) i f and only i f (W, F) is i tself a vector space or, equi valently, i f and only
i f ( a w 1 + ß W 2 ) e W for all a, ß e ¥ and for all w 1 , w
2
e W.
Remark 2.7. The latter characterization of a subspace is often the easiest way to check
or prove that something is indeed a subspace (or vector space); i.e., verify that the set in
question is closed under addition and scalar multiplication. Note, too, that since 0 e F, this
implies that the zero vector must be in any subspace.
Notation: When the underlying field is understood, we write W c V, and the symbol c,
when used with vector spaces, is henceforth understood to mean "is a subspace of." The
less restrictive meaning "is a subset of" is specifically flagged as such.
9
2. (E
mxn
, E) is a vector space with addition defined by
and scalar multiplication defined by
and scalar multiplication defined by
Special Cases:
(a) V = [to, t \ ] , (V, F) = (IR", E), and the functions are piecewise continuous
=: (PC[f
0
, t\ ] )
n
or continuous =: (C[?
0
, h] )
n
.
4. Let A € R"
x
". Then (x(t) : x ( t ) = Ax(t}} is a vector space (of dimension n) .
2.2. Subspaces 9
2.
(JRmxn, JR) is a vector space with addition defined by
[ ." + P"
al2 + fJI2 aln + fJln
l
a21 + fJ2I a22 + fJ22 a2n + fJ2n
A+B= .
amI + fJml am2 + fJm2 amn + fJmn
and scalar multiplication defined by
[ ya"
y
a
l2
ya," l
y
a
21 y
a
22 ya2n
yA = . . .
yaml ya
m
2
ya
mn
3. Let (V, IF) be an arbitrary vector space and '0 be an arbitrary set. Let cf>('O, V) be the
set of functions f mapping '0 to V. Then cf>('O, V) is a vector space with addition
defined by
(f + g)(d) = fed) + g(d) for all d E '0 and for all f, g E cf>
and scalar multiplication defined by
(af)(d) = af(d) for all a E IF, for all d ED, and for all f E cf>.
Special Cases:
(a) '0 = [to, td, (V, IF) = (JR
n
, JR), and the functions are piecewise continuous
=: (PC[to, td)n or continuous =: (C[to, td)n.
(b) '0 = [to, +00), (V, IF) = (JRn, JR), etc.
4. Let A E JR(nxn. Then {x(t) : x(t) = Ax(t)} is a vector space (of dimension n).
2.2 Subspaces
Definition 2.6. Let (V, IF) be a vector space and let W ~ V, W f= 0. Then (W, IF) is a
subspace of (V, IF) if and only if (W, IF) is itself a vector space or, equivalently, if and only
if(awl + fJw2) E W foral! a, fJ E IF andforall WI, W2 E W.
Remark 2.7. The latter characterization of a subspace is often the easiest way to check
or prove that something is indeed a subspace (or vector space); i.e., verify that the set in
question is closed under addition and scalar multiplication. Note, too, that since 0 E IF, this
implies that the zero vector must be in any subspace.
Notation: When the underlying field is understood, we write W ~ V, and the symbol ~ ,
when used with vector spaces, is henceforth understood to mean "is a subspace of." The
less restrictive meaning "is a subset of' is specifically flagged as such.
Then W
a
,ß is a subspace of V if and only if ß = 0. As an interesting exercise, sketch
W2,1, W2,o, W1/2,1, and W1/2,
0
. Note, too, that the vertical line through the origin (i.e.,
a = oo) is also a subspace.
All lines through the origin are subspaces. Shifted subspaces W
a
,ß with ß = 0 are
called linear varieties.
Henceforth, we drop the explicit dependence of a vector space on an underlying field.
Thus, V usually denotes a vector space with the underlying field generally being R unless
explicitly stated otherwise.
Definition 2.9. If 12, and S are vector spaces (or subspaces), then R = S if and only if
R C S and S C R.
Note: To prove two vector spaces are equal, one usually proves the two inclusions separately:
An arbitrary r e R is shown to be an element of S and then an arbitrary 5 € S is shown to
be an element of R.
2.3 Linear Independence
Let X = { v1 , v2, • • •} be a nonempty collection of vectors u, in some vector space V.
Definition 2.10. X is a linearly dependent set of vectors if and only if there exist k distinct
elements v1, . . . , vk e X and scalars a1, . . . , ak not all zero such that
10 Chapter 2. Vector Spaces
Example 2.8.
1. Consider (V, F) = (R"
X
",R) and let W = [A e R"
x
" : A is symmetric}. Then
We V.
Proof: Suppose A\, A
2
are symmetric. Then it is easily shown that ctA\ + fiAi is
symmetric for all a, ft e R.
2. Let W = { A € R"
x
" : A is orthogonal}. Then W is /wf a subspace of R"
x
".
3. Consider (V, F) = (R
2
, R) and for each v € R
2
of the form v = [v1v2 ] identify v1 with
the jccoordinate in the plane and u
2
with the ycoordinate. For a, ß e R, define
X is a linearly independent set of vectors if and only if for any collection of k distinct
elements v1, . . . ,Vk of X and for any scalars a1, . . . , ak,
10 Chapter 2. Vector Spaces
Example 2.S.
1. Consider (V,lF) = (JR.nxn,JR.) and let W = {A E JR.nxn : A is symmetric}. Then
Proof' Suppose AI, A2 are symmetric. Then it is easily shown that aAI + f3A2 is
symmetric for all a, f3 E R
2. Let W = {A E ]Rnxn : A is orthogonal}. Then W is not a subspace of JR.nxn.
3. Consider (V, IF) = (]R2, JR.) and for each v E ]R2 of the form v = ] identify VI with
the xcoordinate in the plane and V2 with the ycoordinate. For a, f3 E R define
W",/l = {V : v = [ ac f3 ] ; c E JR.} .
Then W",/l is a subspace of V if and only if f3 = O. As an interesting exercise, sketch
W2.I, W2,O, Wi,I' and Wi,o, Note, too, that the vertical line through the origin (i.e.,
a = 00) is also a subspace.
All lines through the origin are subspaces. Shifted subspaces W",/l with f3 =1= 0 are
called linear varieties.
Henceforth, we drop the explicit dependence of a vector space on an underlying field.
Thus, V usually denotes a vector space with the underlying field generally being JR. unless
explicitly stated otherwise.
Definition 2.9. ffR and S are vector spaces (or subspaces), then R = S if and only if
R R.
Note: To prove two vector spaces are equal, one usually proves the two inclusions separately:
An arbitrary r E R is shown to be an element of S and then an arbitrary s E S is shown to
be an element of R.
2.3 Linear Independence
Let X = {VI, V2, •.• } be a nonempty collection of vectors Vi in some vector space V.
Definition 2.10. X is a linearly dependent set of vectors if and only if there exist k distinct
elements VI, ... , Vk E X and scalars aI, ..• , (Xk not all zero such that
X is a linearly independent set of vectors if and only if for any collection of k distinct
elements VI, ... , Vk of X and for any scalars aI, ••• , ak,
al VI + ... + (XkVk = 0 implies al = 0, ... , ak = O.
2.3. Linear Independence 11
(since 2v\ — v
2
+ v3 = 0).
2. Let A e R
xn
and 5 e R"
xm
. Then consider the rows of e
tA
B as vectors in C
m
[t
0
, t1]
(recall that e
fA
denotes the matrix exponential, which is discussed in more detail in
Chapter 11). Independence of these vectors turns out to be equivalent to a concept
called controllability, to be studied further in what follows.
Let v
f
e R", i e k, and consider the matrix V = [ v1 , ... ,Vk] e R
nxk
. The linear
dependence of this set of vectors is equivalent to the existence of a nonzero vector a e R
k
such that Va = 0. An equivalent condition for linear dependence is that the k x k matrix
V
T
V is singular. If the set of vectors is independent, and there exists a e R* such that
Va = 0, then a = 0. An equivalent condition for linear independence is that the matrix
V
T
V is nonsingular.
Definition 2.12. Let X = [ v1 , v2, . . . } be a collection of vectors vi. e V. Then the span of
X is defined as
Example 2.13. Let V = R
n
and define
Then Sp{e1, e
2
, ...,e
n
} = Rn.
Definition 2.14. A set of vectors X is a basis for V if and only ij
1. X is a linearly independent set (of basis vectors), and
2. Sp(X) = V.
Example 2.11.
is a linearly independent set. Why?
s a linearly dependent set However,
1. LetV = R
3
. Then
where N = {1, 2, ...}.
2.3. Linear Independence 11
Example 2.11.
I. 1£t V = Then {[ H i Hi] } i" independent.. Why?
Howe,."I [ i 1 [ i 1 [ l ] } is a Iin=ly
(since 2vI  V2 + V3 = 0).
2. Let A E ]Rnxn and B E ]Rnxm. Then consider the rows of etA B as vectors in em [to, tIl
(recall that etA denotes the matrix exponential, which is discussed in more detail in
Chapter 11). Independence of these vectors turns out to be equivalent to a concept
called controllability, to be studied further in what follows.
Let Vi E ]Rn, i E If, and consider the matrix V = [VI, ... , Vk] E ]Rnxk. The linear
dependence of this set of vectors is equivalent to the existence of a nonzero vector a E ]Rk
such that Va = O. An equivalent condition for linear dependence is that the k x k matrix
VT V is singular. If the set of vectors is independent, and there exists a E ]Rk such that
Va = 0, then a = O. An equivalent condition for linear independence is that the matrix
V T V is nonsingular.
Definition 2.12. Let X = {VI, V2, ..• } be a collection of vectors Vi E V. Then the span of
X is defined as
Sp(X) = Sp{VI, V2, ... }
= {v : V = (Xl VI + ... + (XkVk ; (Xi ElF, Vi EX, kEN},
where N = {I, 2, ... }.
Example 2.13. Let V = ]Rn and define
0 0
0 1 0
el =
0
, e2 =
0
,'" ,en =
0
o o
Then SpIel, e2, ... , en} = ]Rn.
Definition 2.14. A set of vectors X is a basis for V if and only if
1. X is a linearly independent set (of basis vectors), and
2. Sp(X) = V.
12 Chapter 2. Vector Spaces
Example 2.15. [e\,..., e
n
} is a basis for IR" (sometimes called the natural basis).
Now let b1, ..., b
n
be a basis (with a specific order associated with the basis vectors)
for V. Then for all v e V there exists a unique ntuple {E1 , . . . , E n} such that
Definition 2.16. The scalars {Ei} are called the components (or sometimes the coordinates)
of v with respect to the basis (b1, ..., b
n
] and are unique. We say that the vector x of
components represents the vector v with respect to the basis B.
Example 2.17. In Rn,
we have
To see this, write
Then
Theorem 2.18. The number of elements in a basis of a vector space is independent of the
particular basis considered.
Definition 2.19. If a basis X for a vector space V= 0) has n elements, V is said to
be ndimensional or have dimension n and we write dim(V) = n or dim V — n. For
We can also determine components of v with respect to another basis. For example, while
with respect to the basis
where
12 Chapter 2. Vector Spaces
Example 2.15. {el, ... , en} is a basis for]Rn (sometimes called the natural basis).
Now let b
l
, ... , b
n
be a basis (with a specific order associated with the basis vectors)
for V. Then for all v E V there exists a unique ntuple ... , such that
v = + ... + = Bx,
where
B [b".,b.l. x D J
Definition 2.16. The scalars } are called the components (or sometimes the coordinates)
of v with respect to the basis {b
l
, ... , b
n
} and are unique. We say that the vector x of
components represents the vector v with respect to the basis B.
Example 2.17. In]Rn,
VI ]
: = vlel + V2e2 + ... + vne
n
·
Vn
We can also determine components of v with respect to another basis. For example, while
with respect to the basis
we have
To see this, write
Then
[ ] = I . el + 2 . e2,
[ ] = 3 . [ ] + 4· [ l
[ ] = XI • [  ] + X2 • [ _! ]
= [  ! ] [ l
[ ] = [ ; 1 r I [ ; ] = [ l
Theorem 2.18. The number of elements in a basis of a vector space is independent of the
particular basis considered.
Definition 2.19. If a basis X for a vector space V(Jf 0) has n elements, V is said to
be n.dimensional or have dimension n and we write dim (V) = n or dim V = n. For
2.4 Sums and Intersections of Subspaces
Definition 2.21. Let (V, F) be a vector space and let 71, S c V. The sum and intersection
of R, and S are defined respectively by:
The subspaces R, and S are said to be complements of each other in T.
Remark 2.23. The union of two subspaces, R C S, is not necessarily a subspace.
Definition 2.24. T = R 0 S is the direct sum of R and S if
Theorem 2.22.
2.4. Sums and Intersections of Subspaces 13
consistency, and because the 0 vector is in any vector space, we define dim(O) = 0. A
vector space V is finitedimensional if there exists a basis X with n < +00 elements;
otherwise, V is infinitedimensional.
Thus, Theorem 2.18 says that dim(V) = the number of elements in a basis.
Example 2.20.
1. d i m(Rn)=n.
2. dim(R
mxn
) = mn.
Note: Check that a basis for R
mxn
is given by the mn matrices Eij; i e m, j e n,
where E
f
j is a matrix all of whose elements are 0 except for a 1 in the (i, j)th location.
The collection of Eij matrices can be called the "natural basis matrices."
3. dim(C[to, t1])  +00.
4. dim{A € R
nxn
: A = A
T
} = {1/2(n + 1).
1
2
(To see why, determine 1/ 2n( n + 1) symmetric basis matrices.)
5. dim{A e R
nxn
: A is upper (lower) triangular} = 1/ 2n( n + 1).
1. n + S = {r + s : r e U, s e 5}.
2. ft H 5 = {v : v e 7^ and v e 5}.
K
1. K + S C V (in general, U\  \ h 7^ =: ]T ft/ C V, for finite k).
1=1
2. 72. D 5 C V (in general, f] * R,
a
C V/ or an arbitrary index set A).
a e A
1. n n S = 0, and
2. U + S = T (in general ft; n (^ ft,) = 0 am/ ]Pft, = T).
y>f «
2.4. Sums and Intersections of Subspaces 13
consistency, and because the 0 vector is in any vector space, we define dim(O) = O. A
vector space V is finitedimensional if there exists a basis X with n < +00 elements;
otherwise, V is infinitedimensional.
Thus, Theorem 2.18 says that dim (V) = the number of elements in a basis.
Example 2.20.
1. = n.
2. = mn.
Note: Check that a basis for is given by the mn matrices Eij; i E m, j E
where Eij is a matrix all of whose elements are 0 except for a 1 in the (i, J)th location.
The collection of E;j matrices can be called the "natural basis matrices."
3. dim(C[to, tJJ) = +00.
4. dim{A E : A = AT} = !n(n + 1).
(To see why, determine !n(n + 1) symmetric basis matrices.)
5. dim{A E : A is upper (lower) triangular} = !n(n + 1).
2.4 Sums and Intersections of Subspaces
Definition 2.21. Let (V, JF') be a vector space and let R, S S; V. The sum and intersection
ofR and S are defined respectively by:
1. R + S = {r + s : r E R, s E S}.
2. R n S = {v : v E R and v E S}.
Theorem 2.22.
k
1. R + S S; V (in general, RI + ... + Rk =: L R; S; V, for finite k).
;=1
2. R n S S; V (in general, n Ra S; V for an arbitrary index set A).
CiEA
Remark 2.23. The union of two subspaces, R U S, is not necessarily a subspace.
Definition 2.24. T = REB S is the direct sum ofR and S if
1. R n S = 0, and
2. R + S = T (in general, R; n (L R
j
) = 0 and L Ri = T).
H;
The subspaces Rand S are said to be complements of each other in T.
14 Chapter 2. Vector Spaces
Remark 2.25. The complement of ft (or S) is not unique. For example, consider V = R
2
and let ft be any line through the origin. Then any other distinct line through the origin is
a complement of ft. Among all the complements there is a unique one orthogonal to ft.
We discuss more about orthogonal complements elsewhere in the text.
Theorem 2.26. Suppose T =R O S. Then
1. every t € T can be written uniquely in the form t = r + s with r e R and s e S.
2. dim(T) = dim(ft) + dim(S).
Proof: To prove the first part, suppose an arbitrary vector t e T can be written in two ways
as t = r1 + s1 = r2 + S2, where r1, r2 e R. and s1, S2 e S. Then r1 — r2 = s2— s\. But
r1 –r2 £ ft and 52 — si e S. Since ft fl S = 0, we must have r\ = ri and s\ = si from
which uniqueness follows.
The statement of the second part is a special case of the next theorem. D
Theorem 2.27. For arbitrary subspaces ft, S of a vector space V,
EXERCISES
1. Suppose {vi,..., Vk} is a linearly dependent set. Then show that one of the vectors
must be a linear combination of the others.
2. Let x\, *2, . . . , x/c E R" be nonzero mutually orthogonal vectors. Show that [x\,...,
X k} must be a linearly independent set.
3. Let v\,... ,v
n
be orthonormal vectors in R". Show that Av\,..., Av
n
are also or
thonormal if and only if Ae R"
x
" is orthogonal.
4. Consider the vectors v\ — [2 l]
r
and 1*2 = [3 l]
r
. Prove that vi and V2 form a basis
for R
2
. Find the components of the vector v = [4 l]
r
with respect to this basis.
Example 2.28. Let U be the subspace of upper triangular matrices in E"
x
" and let £ be the
subspace of lower triangular matrices in R
nxn
. Then it may be checked that U + L = R
nxn
while U n £ is the set of diagonal matrices in R
nxn
. Using the fact that dim (diagonal
matrices} = n, together with Examples 2.20.2 and 2.20.5, one can easily verify the validity
of the formula given in Theorem 2.27.
Example 2.29. Let (V, F) = (R
nxn
, R), let ft be the set of skewsymmetric matrices in
R"
x
", and let S be the set of symmetric matrices in R"
x
". Then V = U 0 S.
Proof: This follows easily from the fact that any Ae R"
x
" can be written in the form
The first matrix on the righthand side above is in S while the second is in ft.
14 Chapter 2. Vector Spaces
Remark 2.25. The complement of R (or S) is not unique. For example, consider V = jR2
and let R be any line through the origin. Then any other distinct line through the origin is
a complement of R. Among all the complements there is a unique one orthogonal to R.
We discuss more about orthogonal complements elsewhere in the text.
Theorem 2.26. Suppose T = R EB S. Then
1. every t E T can be written uniquely in the form t = r + s with r E Rand s E S.
2. dim(T) = dim(R) + dim(S).
Proof: To prove the first part, suppose an arbitrary vector t E T can be written in two ways
as t = rl + Sl = r2 + S2, where rl, r2 E Rand SI, S2 E S. Then r,  r2 = S2  SI. But
rl  r2 E Rand S2  SI E S. Since R n S = 0, we must have rl = r2 and SI = S2 from
which uniqueness follows.
The statement of the second part is a special case of the next theorem. 0
Theorem 2.27. For arbitrary subspaces R, S of a vector space V,
dim(R + S) = dim(R) + dim(S)  dim(R n S).
Example 2.28. Let U be the subspace of upper triangular matrices in jRn xn and let .c be the
subspace of lower triangUlar matrices in jRn xn. Then it may be checked that U + .c = jRn xn
while un.c is the set of diagonal matrices in jRnxn. Using the fact that dim {diagonal
matrices} = n, together with Examples 2.20.2 and 2.20.5, one can easily verify the validity
of the formula given in Theorem 2.27.
Example 2.29. Let (V, IF) = (jRnxn, jR), let R be the set of skewsymmetric matrices in
jRnxn, and let S be the set of symmetric matrices in jRnxn. Then V = n $ S.
Proof: This follows easily from the fact that any A E jRnxn can be written in the form
1 TIT
A=2:(A+A )+2:(AA).
The first matrix on the righthand side above is in S while the second is in R.
EXERCISES
1. Suppose {VI, ... , vd is a linearly dependent set. Then show that one of the vectors
must be a linear combination of the others.
2. Let XI, X2, ... , Xk E jRn be nonzero mutually orthogonal vectors. Show that {XI, ... ,
Xk} must be a linearly independent set.
3. Let VI, ... , Vn be orthonormal vectors in jRn. Show that Av" •.. , AV
n
are also or
thonormal if and only if A E jRnxn is orthogonal.
4. Consider the vectors VI = [2 1 f and V2 = [3 1 f. Prove that VI and V2 form a basis
for jR2. Find the components of the vector v = [4 If with respect to this basis.
Exercises 15
5. Let P denote the set of polynomials of degree less than or equal to two of the form
Po + p\x + pix
2
, where po, p\, p2 e R. Show that P is a vector space over E. Show
that the polynomials 1, *, and 2x
2
— 1 are a basis for P. Find the components of the
polynomial 2 + 3x + 4x
2
with respect to this basis.
6. Prove Theorem 2.22 (for the case of two subspaces R and S only).
7. Let P
n
denote the vector space of polynomials of degree less than or equal to n, and of
the form p( x) = po + p\x + • • • + p
n
x
n
, where the coefficients /?, are all real. Let PE
denote the subspace of all even polynomials in P
n
, i.e., those that satisfy the property
p(—x} = p(x). Similarly, let PQ denote the subspace of all odd polynomials, i.e.,
those satisfying p(—x} = – p( x) . Show that P
n
= P
E
© PO
8. Repeat Example 2.28 using instead the two subspaces 7" of tridiagonal matrices and
U of upper triangular matrices.
Exercises 15
5. Let P denote the set of polynomials of degree less than or equal to two of the form
Po + PI X + P2x2, where Po, PI, P2 E R Show that P is a vector space over R Show
that the polynomials 1, x, and 2x2  1 are a basis for P. Find the components of the
polynomial 2 + 3x + 4x
2
with respect to this basis.
6. Prove Theorem 2.22 (for the case of two subspaces Rand S only).
7. Let P
n
denote the vector space of polynomials of degree less than or equal to n, and of
the form p(x) = Po + PIX + ... + Pnxn, where the coefficients Pi are all real. Let PE
denote the subspace of all even polynomials in P
n
, i.e., those that satisfy the property
p( x) = p(x). Similarly, let Po denote the subspace of all odd polynomials, i.e.,
those satisfying p(x) = p(x). Show that P
n
= PE EB Po·
8. Repeat Example 2.28 using instead the two subspaces T of tridiagonal matrices and
U of upper triangular matrices.
This page intentionally left blank This page intentionally left blank
Chapter 3
Linear Transformations
3.1 Definition and Examples
We begin with the basic definition of a linear transformation (or linear map, linear function,
or linear operator) between two vector spaces.
Definition 3.1. Let (V, F) and (W, F) be vector spaces. Then C : V > W is a linear
transformation if and only if
£(avi + pv
2
) = aCv\ + fi£v
2
far all a, £ e F and far all v
}
,v
2
e V.
The vector space V is called the domain of the transformation C while VV, the space into
which it maps, is called the codomain.
Example 3.2.
1. Let F = R and take V = W = PC[f
0
, +00).
Define £ : PC[t
0
, +00) > PC[t
0
, +00) by
2. Let F = R and take V = W = R
mx
". Fix M e R
mxm
.
Define £ : R
mx
" > M
mxn
by
3. Let F = R and take V = P" = (p(x) = a
0
+ ct
}
x H h a
n
x" : a, E R} and
w = p
n

1
.
Define C.: V —> W by Lp — p', where' denotes differentiation with respect to x.
17
Chapter 3
Linear Transformations
3.1 Definition and Examples
We begin with the basic definition of a linear transformation (or linear map, linear function,
or linear operator) between two vector spaces.
Definition 3.1. Let (V, IF) and (W, IF) be vector spaces. Then I: : V + W is a linear
transformation if and only if
I:(avi + {3V2) = al:vi + {3I:V2 for all a, {3 ElF and for all VI, V2 E V.
The vector space V is called the domain of the transformation I: while W, the space into
which it maps, is called the codomain.
Example 3.2.
1. Let IF = JR and take V = W = PC[to, +00).
Define I: : PC[to, +00) + PC[to, +00) by
vet) f+ wet) = (I:v)(t) = 11 e(tr)v(r) dr.
to
2. Let IF = JR and take V = W = JRmxn. Fix ME JRmxm.
Define I: : JRmxn + JRmxn by
X f+ Y = I:X = MX.
3. Let IF = JR and take V = pn = {p(x) = ao + alx + ... + anx
n
: ai E JR} and
W = pnl.
Define I: : V + W by I: p = p', where I denotes differentiation with respect to x.
17
18 Chapters. Li near Transformations
3.2 Matrix Representation of Linear Transformations
Linear transformations between vector spaces with specific bases can be represented con
veniently in matrix form. Specifically, suppose £ : (V, F) — > • (W, F) is linear and further
suppose that {u,, i e n} and {Wj, j e m] are bases for V and W, respectively. Then the
ith column of A = Mat £ (the matrix representation of £ with respect to the given bases
for V and W) is the representation of £i> , with respect to {w
}
•, j e raj. In other words,
represents £ since
where W = [w\,..., w
m
] and
is the z'th column of A. Note that A = Mat £ depends on the particular bases for V and W.
This could be reflected by subscripts, say, in the notation, but this is usually not done.
The action of £ on an arbitrary vector v e V is uniquely determined (by linearity)
by its action on a basis. Thus, if v = E1v1 + • • • + E
n
v
n
= Vx (where u, and hence jc, is
arbitrary), then
Thinking of A both as a matrix and as a linear transformation from Rn to R
m
usually causes no
confusion. Change of basis then corresponds naturally to appropriate matrix multiplication.
Thus, £V = WA since x was arbitrary.
When V = R", W = R
m
and [vi , i e n}, [wj , j e m} are the usual (natural) bases
the equation £V = WA becomes simply £ = A. We thus commonly identify A as a linea
transformation with its matrix representation, i.e.,
18 Chapter 3. Linear Transformations
3.2 Matrix Representation of Linear Transformations
Linear transformations between vector spaces with specific bases can be represented con
veniently in matrix form. Specifically, suppose L : (V, IF) (W, IF) is linear and further
suppose that {Vi, i E and {w j, j E !!!.} are bases for V and W, respectively. Then the
ith column of A = Mat L (the matrix representation of L with respect to the given bases
for V and W) is the representation of LVi with respect to {w j, j E m}. In other words,
represents L since
A=
al
n
]
: E JR.mxn
a
mn
LVi = aliwl + ... + amiWm
=Wai,
where W = [WI, ... , w
m
] and
is the ith column of A. Note that A = Mat L depends on the particular bases for V and W.
This could be reflected by subscripts, say, in the notation, but this is usually not done.
The action of L on an arbitrary vector V E V is uniquely determined (by linearity)
by its action on a basis. Thus, if V = VI + ... + Vn = V x (where v, and hence x, is
arbitrary), then
LVx = Lv = + ... +
= WAx.
Thus, LV = W A since x was arbitrary.
When V = JR.n, W = lR.
m
and {Vi, i E {W j' j E !!!.} are the usual (natural) bases,
the equation LV = W A becomes simply L = A. We thus commonly identify A as a linear
transformation with its matrix representation, i.e.,
Thinking of A both as a matrix and as a linear transformation from JR." to lR.
m
usually causes no
confusion. Change of basis then corresponds naturally to appropriate matrix multiplication.
3.3. Composition of Transformations 19
3.3 Composition of Transformations
Consider three vector spaces U, V, and W and transformations B from U to V and A from
V to W. Then we can define a new transformation C as follows:
formula
Two Special Cases:
Inner Product: Let x, y e Rn. Then their inner product is the scalar
Outer Product: Let x e R
m
, y e Rn. Then their outer product is the m x n
matrix
Note that any rankone matrix A e R
mxn
can be written in the form A = xy
T
above (or xy
H
if A e C
mxn
). A rankone symmetric matrix can be written in
the form XX
T
(or XX
H
).
The above diagram illustrates the composition of transformations C = AB. Note that in
most texts, the arrows above are reversed as follows:
However, it might be useful to prefer the former since the transformations A and B appear
in the same order in both the diagram and the equation. If dimZ// = p, dimV = n,
and dim W = m, and if we associate matrices with the transformations in the usual way,
then composition of transformations corresponds to standard matrix multiplication. That is,
we have C — A B . The above is sometimes expressed componentwise by the
3.3. Composition ofTransformations 19
3.3 Composition of Transformations
Consider three vector spaces U, V, and Wand transformations B from U to V and A from
V to W. Then we can define a new transformation C as follows:
C
The above diagram illustrates the composition of transformations C = AB. Note that in
most texts, the arrows above are reversed as follows:
C
However, it might be useful to prefer the former since the transformations A and B appear
in the same order in both the diagram and the equation. If dimU = p, dim V = n,
and dim W = m, and if we associate matrices with the transformations in the usual way,
then composition of transformations corresponds to standard matrix mUltiplication. That is,
we have CAB . The above is sometimes expressed componentwise by the
mxp
formula
Two Special Cases:
nxp
n
cij = L aikbkj.
k=1
Inner Product: Let x, y E ~ n . Then their inner product is the scalar
n
xTy = Lx;y;.
;=1
Outer Product: Let x E ~ m , y E ~ n . Then their outer product is the m x n
matrix
Note that any rankone matrix A E ~ m x n can be written in the form A = xyT
above (or xyH if A E c
mxn
). A rankone symmetric matrix can be written in
the form xx
T
(or xx
H
).
20 Chapter 3. Li near Transformations
3.4 Structure of Linear Transformations
Let A : V —> W be a linear transformation.
Definition 3.3. The range of A, denotedlZ( A), is the set {w e W : w = Av for some v e V}.
Equivalently, R(A) — {Av : v e V}. The range of A is also known as the image of A and
denoted Im(A).
The nullspace of A, denoted N(A), is the set {v e V : Av = 0}. The nullspace of
A is also known as the kernel of A and denoted Ker (A).
Theorem 3.4. Let A : V — >• W be a linear transformation. Then
1. R( A) C W.
2. N(A) c V.
Note that N(A) and R(A) are, in general, subspaces of different spaces.
Theorem 3.5. Let A e R
mxn
. If A is written in terms of its columns as A = [a\,... ,a
n
],
then
Proof: The proof of this theorem is easy, essentially following immediately from the defi
nition. D
Remark 3.6. Note that in Theorem 3.5 and throughout the text, the same symbol (A) is
used to denote both a linear transformation and its matrix representation with respect to the
usual (natural) bases. See also the last paragraph of Section 3.2.
Definition 3.7. Let {v1 , . . . , vk] be a set of nonzero vectors u, e Rn. The set is said to
be orthogonal if' vjvj = 0 for i ^ j and orthonormal if vf vj = 8
ij
, where 8
t
j is the
Kronecker delta defined by
Example 3.8.
is an orthogonal set.
is an orthonormal set.
3. If { t > i , . . . , Vk} with u, € M." is an orthogonal set, then I — /==,  ., — /===  is an
I ^/v, vi ^/v'
k
v
k
]
orthonormal set.
then
20 Chapter 3. LinearTransformations
3.4 Structure of Linear Transformations
Let A : V + W be a linear transformation.
Definition3.3. The range of A, denotedR(A), is the set {w E W : w = Av for some v E V}.
Equivalently, R(A) = {Av : v E V}. The range of A is also known as the image of A and
denoted Im(A).
The nullspace of A, denoted N(A), is the set {v E V : Av = O}. The nullspace of
A is also known as the kernel of A and denoted Ker (A).
Theorem 3.4. Let A : V + W be a linear transformation. Then
1. R(A) S; W.
2. N(A) S; V.
Note that N(A) and R(A) are, in general, subspaces of different spaces.
Theorem 3.5. Let A E If A is written in terms of its columns as A = [ai, ... , an],
then
R(A) = Sp{al, ... , an} .
Proof: The proof of this theorem is easy, essentially following immediately from the defi
nition. 0
Remark 3.6. Note that in Theorem 3.5 and throughout the text, the same symbol (A) is
used to denote both a linear transformation and its matrix representation with respect to the
usual (natural) bases. See also the last paragraph of Section 3.2.
Definition 3.7. Let {VI, ... , vd be a set of nonzero vectors Vi E The set is said to
be orthogonal if vr v j = 0 for i f= j and orthonormal if vr v j = 8ij' where 8ij is the
Kronecker delta defined by
8 {I ifi=j,
ij = 0 if i f= j.
Example 3.8.
1. {[ J. [ : J} is an orthogonal set.
2. {[ ] ,[ J} is an orthonormal set.
3 If { }
. h 1Tlln • h I th { .
. VI, •.• ,Vk Wit Vi E.IN,. IS an ort ogona set, en ... , IS an
VI
orthonormal set.
3.4. Structure of Linear Transformations 21
Definition 3.9. Let S c Rn. Then the orthogonal complement of S is defined as the set
S
1
 = {v e Rn : V
T
S = 0 for all s e S}.
Example 3.10. Let
Then it can be shown that
Working from the definition, the computation involved is simply to find all nontrivial (i.e.,
nonzero) solutions of the system of equations
Note that there is nothing special about the two vectors in the basis defining S being or
thogonal. Any set of vectors will do, including dependent spanning vectors (which would,
of course, then give rise to redundant equations).
Theorem 311 Let R S C R
n
The
Proof: We prove and discuss only item 2 here. The proofs of the other results are left as
exercises. Let { v1 , ..., v
k
} be an orthonormal basis for S and let x e Rn be an arbitrary
vector. Set
3.4. Structure of Li near Transformations 21
Definition 3.9. Let S <; ]Rn. Then the orthogonal complement of S is defined as the set
vTs=OforallsES}.
Example 3.10. Let
Then it can be shown that
Working from the definition, the computation involved is simply to find all nontrivial (i.e.,
nonzero) solutions of the system of equations
3xI + 5X2 + 7X3 = 0,
4xI + X2 + X3 = 0.
Note that there is nothing special about the two vectors in the basis defining S being or
thogonal. Any set of vectors will do, including dependent spanning vectors (which would,
of course, then give rise to redundant equations).
Theorem 3.11. Let n, S <; ]Rn. Then
2. S \B = ]Rn.
3. = S.
4. n <; S if and only if <;
5. (n + = nl. n
6. (n n = +
Proof: We prove and discuss only item 2 here. The proofs of the other results are left as
exercises. Let {VI, ... , Vk} be an orthonormal basis for S and let x E ]Rn be an arbitrary
vector. Set
k
XI = L (xT Vi)Vi,
;=1
X2 = X XI.
we see that x2 is orthogonal to v1, ..., Vk and hence to any linear combination of these
vectors. In other words, X2 is orthogonal to any vector in S. We have thus shown that
S + S
1
= Rn. We also have that S U S
1
=0 since the only vector s e S orthogonal to
everything in S (i.e., including itself) is 0.
It is also easy to see directly that, when we have such direct sum decompositions, we
can write vectors in a unique way with respect to the corresponding subspaces. Suppose,
for example, that x = x1 + x2. = x'1+ x'
2
, where x\, x 1 E S and x2, x'
2
e S
1
. Then
(x'1 — x1)
T
( x'
2
— x2) = 0 by definition of ST . But then (x'1 — x1)
T
( x' 1 – x1) = 0 since
x
2
— X2 = — (x'1 — x1) (which follows by rearranging the equation x1+x2 = x'1 + x'
2
) . Thus,
x1 — x'1 and x2 = x
2
. D
Theorem 3.12. Let A : Rn —> R
m
. Then
1. N(A)
1
" = 7£(A
r
). (Note: This holds only for finitedimensional vector spaces.)
2. 'R,(A)
1
~ — J\f(A
T
). (Note: This also holds for infinitedimensional vector spaces.)
Proof: To prove the first part, take an arbitrary x e A/ "(A). Then Ax = 0 and this is
equivalent to y
T
Ax = 0 for all v. But y
T
Ax = ( A
T
y ) x. Thus, Ax = 0 if and only if x
is orthogonal to all vectors of the form A
T
v, i.e., x e R(A
r
) . Since x was arbitrary, we
have established that N(A)
1
= U(A
T
}.
The proof of the second part is similar and is left as an exercise. D
Definition 3.13. Let A : R
n
> R
m
. Then {v e R" : Av = 0} is sometimes called the
right nullspace of A. Similarly, (w e R
m
: W
T
A = 0} is called the left nullspace of A.
Clearly, the right nullspace is A/"(A) while the left nullspace is J\f(A
T
).
Theorem 3.12 and part 2 of Theorem 3.11 can be combined to give two very fun
damental and useful decompositions of vectors in the domain and codomain of a linear
transformation A. See also Theorem 2.26.
Theorem 3.14 (Decomposition Theorem). Let A : R" > R
m
. Then
7. every vector v in the domain space R" can be written in a unique way as v = x + y,
where x € M(A) and y € J\f(A)
±
= ft(A
r
) (i.e., R" = M(A) 0 ft(A
r
)).
2. every vector w in the codomain space R
m
can be written in a unique way asw = x+y,
where x e U(A) and y e ft(A)
1
 = Af(A
T
) (i.e., R
m
= 7l(A) 0 M(A
T
)).
This key theorem becomes very easy to remember by carefully studying and under
standing Figure 3.1 in the next section.
3.5 Four Fundamental Subspaces
Consider a general matrix A € E^
x
". When thought of as a linear transformation from E"
to R
m
, many properties of A can be developed in terms of the four fundamental subspaces
22 Chapters. L i near Transformations
Then x\ e < S and, since
22 Chapter 3. Linear Transformations
Then XI E S and, since
T T T
x
2
V j = X V j  X I V j
=XTVjXTVj=O,
we see that X2 is orthogonal to VI, .•. , Vk and hence to any linear combination of these
vectors. In other words, X2 is orthogonal to any vector in S. We have thus shown that
S + S.l = IRn. We also have that S n S.l = 0 since the only vector s E S orthogonal to
everything in S (i.e., including itself) is O.
It is also easy to see directly that, when we have such direct sum decompositions, we
can write vectors in a unique way with respect to the corresponding subspaces. Suppose,
for example, that x = XI + X2 = x; + x ~ , where XI, x; E Sand X2, x ~ E S.l. Then
(x;  XI/ ( x ~  X2) = 0 by definition of S.l. But then (x;  XI)T (x;  xd = 0 since
x ~ X2 = (x; XI) (which follows by rearranging the equation XI +X2 = x; + x ~ ) . Thus,
XI = x; andx2 = x ~ . 0
Theorem 3.12. Let A : IR
n
+ IRm. Then
1. N(A).l = R(A
T
). (Note: This holds only for finitedimensional vector spaces.)
2. R(A).l = N(A
T
). (Note: This also holds for infinitedimensional vector spaces.)
Proof: To prove the first part, take an arbitrary x E N(A). Then Ax = 0 and this is
equivalent to yT Ax = 0 for all y. But yT Ax = (AT y{ x. Thus, Ax = 0 if and only if x
is orthogonal to all vectors of the form AT y, i.e., x E R(AT).l. Since x was arbitrary, we
have established thatN(A).l = R(A
T
).
The proof of the second part is similar and is left as an exercise. 0
Definition 3.13. Let A : IR
n
+ IRm. Then {v E IR
n
: A v = O} is sometimes called the
right nullspace of A. Similarly, {w E IR
m
: w
T
A = O} is called the left nullspace of A.
Clearly, the right nullspace is N(A) while the left nullspace is N(A
T
).
Theorem 3.12 and part 2 of Theorem 3.11 can be combined to give two very fun
damental and useful decompositions of vectors in the domain and codomain of a linear
transformation A. See also Theorem 2.26.
Theorem 3.14 (Decomposition Theorem). Let A : IR
n
+ IRm. Then
1. every vector v in the domain space IR
n
can be written in a unique way as v = x + y,
where x E N(A) and y E N(A).l = R(AT) (i.e., IR
n
= N(A) EB R(A
T
».
2. every vector w in the codomain space IR
m
can be written ina unique way as w = x+y,
where x E R(A) and y E R(A).l = N(A
T
) (i.e., IR
m
= R(A) EBN(A
T
».
This key theorem becomes very easy to remember by carefully studying and under
standing Figure 3.1 in the next section.
3.5 Four Fundamental Subspaces
Consider a general matrix A E lR;,xn. When thought of as a linear transformation from IR
n
to IRm, many properties of A can be developed in terms of the four fundamental subspaces
3.5. Four Fundamental Subspaces 23
Figure 3.1. Four fundamental subspaces.
7£(A), 'R.(A)^, Af ( A) , and N(A)T. Figure 3.1 makes many key properties seem almost
obvious and we return to this figure frequently both in the context of linear transformations
and in illustrating concepts such as controllability and observability.
Definition 3.15. Let V and W be vector spaces and let A : V
motion.
1. A is onto (also called epic or surjective) ifR,(A) = W.
W be a linear transfor
2. A is onetoone or 11 (also called monic or infective) ifJ\f(A) = 0. Two equivalent
characterizations of A being 11 that are often easier to verify in practice are the
following:
Definition 3.16. Let A : E" > R
m
. Then rank(A) = dimftCA). This is sometimes called
the column rank of A (maximum number of independent columns). The row rank of A is
3.5. Four Fundamental Subspaces 23
A
r
N(A)1
r
EB {OJ
X {O}Gl
nr m r
Figure 3.1. Four fundamental subspaces.
R(A), R(A)1, N(A), and N(A)1. Figure 3.1 makes many key properties seem almost
obvious and we return to this figure frequently both in the context of linear transformations
and in illustrating concepts such as controllability and observability.
Definition 3.15. Let V and W be vector spaces and let A : V + W be a linear transfor
mation.
1. A is onto (also called epic or surjective) ifR(A) = W.
2. A is onetoone or 11 (also called monic or injective) if N(A) = O. Two equivalent
characterizations of A being 11 that are often easier to verify in practice are the
following:
(a) AVI = AV2 ===} VI = V2 .
(b) VI t= V2 ===} AVI t= AV2 .
Definition 3.16. Let A : IR
n
+ IRm. Then rank(A) = dim R(A). This is sometimes called
the column rank of A (maximum number of independent columns). The row rank of A is
24 Chapter3. Linear Transformations
dim 7£(A
r
) (maximum number of independent rows). The dual notion to rank is the nullity
of A, sometimes denoted nullity(A) or corank(A), and is defined as dim A/"(A).
Theorem 3.17. Let A : R
n
> R
m
. Then dim K(A) = dimA/ '(A)
±
. (Note: Since
A/^A)
1
" = 7l(A
T
), this theorem is sometimes colloquially stated "row rank of A = column
rank of A.")
Proof: Define a linear transformation T : J\f(A)~
L
— >• 7£(A) by
Clearly T is 11 (since A/"(T) = 0). To see that T is also onto, take any w e 7£(A). Then
by definition there is a vector x e R" such that Ax — w. Write x = x\ + X2, where
x\ e A/^A)
1
 and jc
2
e A/"(A). Then Ajti = u; = r*i since *i e A/^A)
1
. The last equality
shows that T is onto. We thus have that dim7?.(A) = dimA/^A^ since it is easily shown
that if { ui , . . . , iv} is abasis forA/'CA)
1
, then {Tv\, . . . , Tv
r
] is abasis for 7?.(A). Finally, if
we apply this and several previous results, the following string of equalities follows easily:
"column rank of A" = rank(A) = dim7e(A) = dim A/^A)
1
= dim7l(A
T
) = rank(A
r
) =
"row rank of A." D
The following corollary is immediate. Like the theorem, it is a statement about equality
of dimensions; the subspaces themselves are not necessarily in the same vector space.
Corollary 3.18. Let A : R" > R
m
. Then dimA/"(A) + dimft(A) = n, where n is the
dimension of the domain of A.
Proof: From Theorems 3.11 and 3.17 we see immediately that
For completeness, we include here a few miscellaneous results about ranks of sums
and products of matrices.
Theorem 3.19. Let A, B e R"
xn
. Then
Part 4 of Theorem 3.19 suggests looking at the general problem of the four fundamental
subspaces of matrix products. The basic results are contained in the following easily proved
theorem.
24 Chapter 3. LinearTransformations
dim R(AT) (maximum number of independent rows). The dual notion to rank is the nullity
of A, sometimes denoted nullity(A) or corank(A), and is defined as dimN(A).
Theorem 3.17. Let A : ]Rn ~ ]Rm. Then dim R(A) = dimNCA)L. (Note: Since
N(A)L = R(A
T
), this theorem is sometimes colloquially stated "row rank of A = column
rank of A.")
Proof: Define a linear transformation T : N(A)L ~ R(A) by
Tv = Av for all v E N(A)L.
Clearly T is 11 (since N(T) = 0). To see that T is also onto, take any W E R(A). Then
by definition there is a vector x E ]Rn such that Ax = w. Write x = Xl + X2, where
Xl E N(A)L andx2 E N(A). Then AXI = W = TXI since Xl E N(A)L. The last equality
shows that T is onto. We thus have that dim R(A) = dimN(A)L since it is easily shown
that if {VI, ... , v
r
} is a basis for N(A)L, then {TVI, ... , Tv
r
} is a basis for R(A). Finally, if
we apply this and several previous results, the following string of equalities follows easily:
"column rank of A" = rank(A) = dim R(A) = dimN(A)L = dim R(AT) = rank(AT) =
"row rank of A." 0
The following corollary is immediate. Like the theorem, it is a statement about equality
of dimensions; the subspaces themselves are not necessarily in the same vector space.
Corollary 3.18. Let A : ]Rn ~ ]Rm. Then dimN(A) + dim R(A) = n, where n is the
dimension of the domain of A.
Proof: From Theorems 3.11 and 3.17 we see immediately that
n = dimN(A) + dimN(A)L
= dimN(A) + dim R(A) . 0
For completeness, we include here a few miscellaneous results about ranks of sums
and products of matrices.
Theorem 3.19. Let A, B E ]Rnxn. Then
1. O:s rank(A + B) :s rank(A) + rank(B).
2. rank(A) + rank(B)  n :s rank(AB) :s min{rank(A), rank(B)}.
3. nullity(B) :s nullity(AB) :s nullity(A) + nullity(B).
4. if B is nonsingular, rank(AB) = rank(BA) = rank(A) and N(BA) = N(A).
Part 4 of Theorem 3.19 suggests looking atthe general problem of the four fundamental
subspaces of matrix products. The basic results are contained in the following easily proved
theorem.
3.5. Four F u n d a me n t a l Subspaces 25
Theorem 3.20. Let A e R
mxn
, B e R
nxp
. Then
The next theorem is closely related to Theorem 3.20 and is also easily proved. It
is extremely useful in text that follows, especially when dealing with pseudoinverses and
linear least squares problems.
Theorem 3.21. Let A e R
mxn
. Then
We now characterize 11 and onto transformations and provide characterizations in
terms of rank and invertibility.
Theorem 3.22. Let A : R
n
» R
m
. Then
1. A is onto if and only //"rank(A) — m (A has linearly independent rows or is said to
have full row rank; equivalently, AA
T
is nonsingular).
2. A is 11 if and only z/r a nk(A) = n (A has linearly independent columns or is said
to have full column rank; equivalently, A
T
A is nonsingular).
Proof: Proof of part 1: If A is onto, dim7?,(A) — m — rank (A). Conversely, let y e R
m
be arbitrary. Let jc = A
T
(AA
T
)~
]
y e R
n
. Then y = Ax, i.e., y e 7?.(A), so A is onto.
Proof of part 2: If A is 11, then A/"(A) = 0, which implies that dim A/^A)
1
—n —
dim 7£(A
r
), and hence dim 7£(A) = n by Theorem 3.17. Conversely, suppose Ax\ = Ax^.
Then A
r
A;t i = A
T
Ax2, which implies x\ = x^. since A
r
A is invertible. Thus, A is
11. D
Definition 3.23. A : V —» W is invertible (or bijective) if and only if it is 11 and onto.
Note that if A is invertible, then dim V — dim W. Also, A : W
1
»• E" is invertible or
nonsingular if and only z/r ank(A) = n.
Note that in the special case when A € R"
x
", the transformations A, A
r
, and A"
1
are all 11 and onto between the two spaces M(A)
±
and 7£(A). The transformations A
T
and A~
!
have the same domain and range but are in general different maps unless A is
orthogonal. Similar remarks apply to A and A~
T
.
3.5. Four Fundamental Subspaces 25
Theorem 3.20. Let A E IRmxn, B E IRnxp. Then
1. RCAB) S; RCA).
2. N(AB) ;2 N(B).
3. R«AB)T) S; R(B
T
).
4. N«AB)T) ;2 N(A
T
).
The next theorem is closely related to Theorem 3.20 and is also easily proved. It
is extremely useful in text that follows, especially when dealing with pseudoinverses and
linear least squares problems.
Theorem 3.21. Let A E IRmxn. Then
1. R(A) = R(AA
T
).
2. R(AT) = R(A
T
A).
3. N(A) = N(A
T
A).
4. N(A
T
) = N(AA
T
).
We now characterize II and onto transformations and provide characterizations in
terms of rank and invertibility.
Theorem 3.22. Let A : IR
n
+ IRm. Then
1. A is onto if and only if rank (A) = m (A has linearly independent rows or is said to
have full row rank; equivalently, AA T is nonsingular).
2. A is 11 if and only ifrank(A) = n (A has linearly independent columns or is said
to have full column rank; equivalently, AT A is nonsingular).
Proof' Proof of part 1: If A is onto, dim R(A) = m = rank(A). Conversely, let y E IRm
be arbitrary. Let x = AT (AAT)I Y E IRn. Then y = Ax, i.e., y E R(A), so A is onto.
Proof of part 2: If A is 11, then N(A) = 0, which implies that dimN(A)1 = n =
dim R(A
T
), and hence dim R(A) = n by Theorem 3.17. Conversely, suppose AXI = AX2.
Then AT AXI = AT AX2, which implies XI = X2 since AT A is invertible. Thus, A is
11. D
Definition 3.23. A : V + W is invertible (or bijective) if and only if it is 11 and onto.
Note that if A is invertible, then dim V = dim W. Also, A : IRn + IR
n
is invertible or
nonsingular ifand only ifrank(A) = n.
Note that in the special case when A E I R ~ x n , the transformations A, AT, and AI
are all 11 and onto between the two spaces N(A)1 and R(A). The transformations AT
and A I have the same domain and range but are in general different maps unless A is
orthogonal. Similar remarks apply to A and A T.
26 Chapters. Li near Transformations
If a linear transformation is not invertible, it may still be right or left invertible. Defi
nitions of these concepts are followed by a theorem characterizing left and right invertible
transformations.
Definition 3.24. Let A : V > W. Then
1. A is said to be right invertible if there exists a right inverse transformation A~
R
:
W —> V such that AA~
R
= I
w
, where I
w
denotes the identity transformation on W.
2. A is said to be left invertible if there exists a left inverse transformation A~
L
: W —>
V such that A~
L
A = I
v
, where I
v
denotes the identity transformation on V.
Theorem 3.25. Let A : V > W. Then
1. A is right invertible if and only if it is onto.
2. A is left invertible if and only if it is 11.
Moreover, A is invertible if and only if it is both right and left invertible, i.e., both 11 and
onto, in which case A~
l
= A~
R
= A~
L
.
Note: From Theorem 3.22 we see that if A : E" >• E
m
is onto, then a right inverse
is given by A~
R
= A
T
(AA
T
) . Similarly, if A is 11, then a left inverse is given by
A~
L
= (A
T
A)~
1
A
T
.
Theorem 3.26. Let A : V » V.
1. If there exists a unique right inverse A~
R
such that AA~
R
= I, then A is invertible.
2. If there exists a unique left inverse A~
L
such that A~
L
A = I, then A is invertible.
Proof: We prove the first part and leave the proof of the second to the reader. Notice the
following:
Thus, (A
R
+ A
R
A — /) must be a right inverse and, therefore, by uniqueness it must be
the case that A~
R
+ A~
R
A — I = A~
R
. But this implies that A~
R
A = /, i.e., that A~
R
is
a left inverse. It then follows from Theorem 3.25 that A is invertible. D
Example 3.27.
1. Let A = [1 2] : E
2
»• E
1
. Then A is onto. (Proof: Take any a € E
1
; then one
can always find v e E
2
such that [1 2][^] = a). Obviously A has full row rank
(=1) and A~
R
= [ _j j is a right inverse. Also, it is clear that there are infinitely many
right inverses for A. In Chapter 6 we characterize all right inverses of a matrix by
characterizing all solutions of the linear matrix equation AR = I.
26 Chapter 3. linear Transformations
If a linear transformation is not invertible, it may still be right or left invertible. Defi
nitions of these concepts are followed by a theorem characterizing left and right invertible
transformations.
Definition 3.24. Let A : V + W. Then
1. A is said to be right invertible if there exists a right inverse transformation A
R
:
W + V such that AA R = I
w
, where Iw denotes the identity transfonnation on W.
2. A is said to be left invertible if there exists a left inverse transformation A L : W +
V such that A L A = Iv, where Iv denotes the identity transfonnation on V.
Theorem 3.25. Let A : V + W. Then
1. A is right invertible if and only if it is onto.
2. A is left invertible if and only ifit is 11.
Moreover, A is invertible if and only if it is both right and left invertible, i.e., both 11 and
onto, in which case A I = A R = A L.
Note: From Theorem 3.22 we see that if A : ]Rn + ]Rm is onto, then a right inverse
is given by A R = AT (AAT) I. Similarly, if A is 11, then a left inverse is given by
A
L
= (AT A)I AT.
Theorem 3.26. Let A : V + V.
1. If there exists a unique right inverse A  R such that A A  R = I, then A is invertible.
2. If there exists a unique left inverse A L such that A L A = I, then A is invertible.
Proof: We prove the first part and leave the proof of the second to the reader. Notice the
following:
A(A
R
+ ARA I) = AA
R
+ AARA  A
= I + I A  A since AA R = I
= I.
Thus, (A R + A R A  I) must be a right inverse and, therefore, by uniqueness it must be
the case that A R + A R A  I = A R. But this implies that A R A = I, i.e., that A R is
a left inverse. It then follows from Theorem 3.25 that A is invertible. 0
Example 3.27.
1. Let A = [1 2]:]R2 + ]R I. Then A is onto. (Proo!' Take any a E ]R I; then one
can always find v E ]R2 such that [1 2][ ~ ~ ] = a). Obviously A has full row rank
(= 1) and A  R = [ _ ~ ] is a right inverse. Also, it is clear that there are infinitely many
right inverses for A. In Chapter 6 we characterize all right inverses of a matrix by
characterizing all solutions of the linear matrix equation A R = I.
Exercises 27
2. Let A = [J] : E
1
> E
2
. ThenAis 11. (Proof: The only solution to 0 = Av = [
I
2
]v
is v = 0, whence A/"(A) = 0 so A is 11). It is now obvious that A has full column
rank (=1) and A~
L
= [3 — 1] is a left inverse. Again, it is clear that there are
infinitely many left inverses for A. In Chapter 6 we characterize all left inverses of a
matrix by characterizing all solutions of the linear matrix equation LA = I.
3. The matrix
when considered as a linear transformation on IE
below bases for its four fundamental subspaces.
\ is neither 11 nor onto. We give
EXERCISES
3 4
1. Let A = [
8 5
J and consider A as a linear transformation mapping E
3
to E
2
.
Find the matrix representation of A with respect to the bases
2. Consider the vector space R
nx
" over E, let S denote the subspace of symmetric
matrices, and let 7£ denote the subspace of skewsymmetric matrices. For matrices
X, Y e E
nx
" define their inner product by (X, Y) = Tr( X
r
F) . Show that, with
respect to this inner product, 'R, — S^.
3. Consider the differentiation operator C defined in Example 3.2.3. Is £ 11? Is£
onto?
4. Prove Theorem 3.4.
of R
3
and
of E
2
.
Exercises 27
2. LetA = [i]:]Rl ~ ]R2. Then A is 11. (Proof The only solution toO = Av = [i]v
is v = 0, whence N(A) = 0 so A is 11). It is now obvious that A has full column
rank (=1) and A L = [3  1] is a left inverse. Again, it is clear that there are
infinitely many left inverses for A. In Chapter 6 we characterize all left inverses of a
matrix by characterizing all solutions of the linear matrix equation LA = I.
3. The matrix
[
1 1
A = 2 1
3 1
when considered as a linear transformation on ]R3, is neither 11 nor onto. We give
below bases for its four fundamental subspaces.
EXERCISES
1. Let A = [ ~ ; i) and consider A as a linear transformation mapping ]R3 to ]R2.
Find the matrix representation of A with respect to the bases
{[lHHU]}
{ [ i l [ ~ J }
2. Consider the vector space ]Rnxn over ]R, let S denote the subspace of symmetric
matrices, and let R denote the subspace of skewsymmetric matrices. For matrices
X, Y E ]Rnxn define their inner product by (X, y) = Tr(X
T
Y). Show that, with
respect to this inner product, R = S J. .
3. Consider the differentiation operator £, defined in Example 3.2.3. Is £, II? Is £,
onto?
4. Prove Theorem 3.4.
28 Chapters. Linear Transformations
5. Prove Theorem 3.11.4.
6. Prove Theorem 3.12.2.
7. Determine bases for the four fundamental subspaces of the matrix
8. Suppose A e R
mxn
has a left inverse. Show that A
T
has a right inverse.
9. Let A = [ J o]. Determine A/"(A) and 7£(A). Are they equal? Is this true in general?
If this is true in general, prove it; if not, provide a counterexample.
10. Suppose A € Mg
9x48
. How many linearly independent solutions can be found to the
homogeneous linear system Ax = 0?
11. Modify Figure 3.1 to illustrate the four fundamental subspaces associated with A
T
e
R
nxm
thought of as a transformation from R
m
to R".
28 Chapter 3. Linear Transformations
5. Prove Theorem 3.Il.4.
6. Prove Theorem 3.12.2.
7. Detennine bases for the four fundamental subspaces of the matrix
2 5 5 3
8. Suppose A E IR
m
xn has a left inverse. Show that A T has a right inverse.
9. Let A = n DetennineN(A) and R(A). Are they equal? Is this true in general?
If this is true in general, prove it; if not, provide a counterexample.
10. Suppose A E How many linearly independent solutions can be found to the
homogeneous linear system Ax = O?
11. Modify Figure 3.1 to illustrate the four fundamental subspaces associated with ATE
IR
nxm
thought of as a transformation from IR
m
to IRn.
Chapter 4
Introduction to the
MoorePen rose
Pseudoinverse
In this chapter we give a brief introduction to the MoorePenrose pseudoinverse, a gener
alization of the inverse of a matrix. The MoorePenrose pseudoinverse is defined for any
matrix and, as is shown in the following text, brings great notational and conceptual clarity
to the study of solutions to arbitrary systems of linear equations and linear least squares
problems.
4.1 Definitions and Characterizations
Consider a linear transformation A : X —>• y, where X and y are arbitrary finite
dimensional vector spaces. Define a transformation T : Af(A)
1
 —>• Tl(A) by
Then, as noted in the proof of Theorem 3.17, T is bijective (11 and onto), and hence we
can define a unique inverse transformation T~
l
: 7£(A) —>• J\f(A}~
L
. This transformation
can be used to give our first definition of A
+
, the MoorePenrose pseudoinverse of A.
Unfortunately, the definition neither provides nor suggests a good computational strategy
for determining A
+
.
Definition 4.1. With A and T as defined above, define a transformation A
+
: y —» • X by
where y = y\ + j2 with y\ e 7£(A) and yi e Tl(A}
L
. Then A
+
is the MoorePenrose
pseudoinverse of A.
Although X and y were arbitrary vector spaces above, let us henceforth consider the
case X = W
1
and y = R
m
. We have thus defined A+ for all A e IR ™
X
" . A purely algebraic
characterization of A
+
is given in the next theorem, which was proved by Penrose in 1955;
see [22].
29
Chapter 4
Introduction to the
MoorePenrose
Pseudoinverse
In this chapter we give a brief introduction to the MoorePenrose pseudoinverse, a gener
alization of the inverse of a matrix. The MoorePenrose pseudoinverse is defined for any
matrix and, as is shown in the following text, brings great notational and conceptual clarity
to the study of solutions to arbitrary systems of linear equations and linear least squares
problems.
4.1 Definitions and Characterizations
Consider a linear transformation A : X + y, where X and Y are arbitrary finite
dimensional vector spaces. Define a transformation T : N(A).l + R(A) by
Tx = Ax for all x E NCA).l.
Then, as noted in the proof of Theorem 3.17, T is bijective Cll and onto), and hence we
can define a unique inverse transformation T
1
: RCA) + NCA).l. This transformation
can be used to give our first definition of A +, the MoorePenrose pseudoinverse of A.
Unfortunately, the definition neither provides nor suggests a good computational strategy
for determining A + .
Definition 4.1. With A and T as defined above, define a transformation A + : Y + X by
where Y = YI + Yz with Yl E RCA) and Yz E RCA).l. Then A+ is the MoorePenrose
pseudoinverse of A.
Although X and Y were arbitrary vector spaces above, let us henceforth consider the
case X = ~ n and Y = lP1.
m
. We have thus defined A + for all A E lP1.;" xn. A purely algebraic
characterization of A + is given in the next theorem, which was proved by Penrose in 1955;
see [22].
29
30 Chapter 4. Introduction to the MoorePenrose Pseudoinverse
Theorem 4.2. Let A e R?
xn
. Then G = A
+
i f and only i f
(PI) AGA = A.
(P2) GAG = G.
(P3) (AGf = AG.
(P4) (GA)
T
= GA.
Furthermore, A
+
always exi sts and i s uni que.
Note that the inverse of a nonsingular matrix satisfies all four Penrose properties. Also,
a right or left inverse satisfies no fewer than three of the four properties. Unfortunately, as
with Definition 4.1, neither the statement of Theorem 4.2 nor its proof suggests a computa
tional algorithm. However, the Penrose properties do offer the great virtue of providing a
checkable criterion in the following sense. Given a matrix G that is a candidate for being
the pseudoinverse of A, one need simply verify the four Penrose conditions (P1)(P4). If G
satisfies all four, then by uniqueness, it must be A
+
. Such a verification is often relatively
straightforward.
Example 4.3. Consider A = [' ]. Verify directly that A
+
= [ f ] satisfies (P1)(P4).
Note that other left inverses (for example, A~
L
= [3 — 1]) satisfy properties (PI), (P2),
and (P4) but not (P3).
Still another characterization of A
+
is given in the following theorem, whose proof
can be found in [1, p. 19]. While not generally suitable for computer implementation, this
characterization can be useful for hand calculation of small examples.
Theorem 4.4. Let A e R™
xn
. Then
4.2 Examples
Each of the following can be derived or verified by using the above definitions or charac
terizations.
Example 4.5. A
+
= A
T
(AA
T
)~ if A is onto (independent rows) (A is right invertible).
Example 4.6. A
+
= (A
T
A)~ A
T
i f A is 11 (independent columns) (A is left invertible).
Example 4.7. For any scalar a,
30 Chapter 4. Introduction to the MoorePenrose Pseudoinverse
Theorem 4.2. Let A E lR;" xn. Then G = A + if and only if
(Pl) AGA = A.
(P2) GAG = G.
(P3) (AG)T = AG.
(P4) (GA)T = GA.
Furthermore, A + always exists and is unique.
Note that the inverse of a nonsingular matrix satisfies all four Penrose properties. Also,
a right or left inverse satisfies no fewer than three of the four properties. Unfortunately, as
with Definition 4.1, neither the statement of Theorem 4.2 nor its proof suggests a computa
tional algorithm. However, the Penrose properties do offer the great virtue of providing a
checkable criterion in the following sense. Given a matrix G that is a candidate for being
the pseudoinverse of A, one need simply verify the four Penrose conditions (P1)(P4). If G
satisfies all four, then by uniqueness, it must be A +. Such a verification is often relatively
straightforward.
Example 4.3. Consider A = [a Verify directly that A+ = [! ~ ] satisfies (PI)(P4).
Note that other left inverses (for example, A L = [3  1]) satisfy properties (PI), (P2),
and (P4) but not (P3).
Still another characterization of A + is given in the following theorem, whose proof
can be found in [1, p. 19]. While not generally suitable for computer implementation, this
characterization can be useful for hand calculation of small examples.
Theorem 4.4. Let A E lR;" xn. Then
4.2 Examples
A + = lim (AT A + 8
2
1) I AT
6+0
= limAT(AAT +8
2
1)1.
6+0
(4.1)
(4.2)
Each of the following can be derived or verified by using the above definitions or charac
terizations.
Example 4.5. X
t
= AT (AA T) I if A is onto (independent rows) (A is right invertible).
Example 4.6. A+ = (AT A)I AT if A is 11 (independent columns) (A is left invertible).
Example 4.7. For any scalar a,
if a t= 0,
if a =0.
4.3. Properties and Appl ications 31
Example 4.8. For any vector v e M",
Example 4.9.
Example 4.10.
4.3 Properties and Applications
This section presents some miscellaneous useful results on pseudoinverses. Many of these
are used in the text that follows.
Theorem 4.11. Let A e R
mx
" and suppose U e R
mxm
, V e R
nx
" are orthogonal (M is
orthogonal if M
T
= M
1
). Then
Proof: For the proof, simply verify that the expression above does indeed satisfy each c
the four Penrose conditions. D
Theorem 4.12. Let S e R
nxn
be symmetric with U
T
SU = D, where U is orthogonal an
D is diagonal. Then S
+
= UD
+
U
T
, where D
+
is again a diagonal matrix whose diagonc
elements are determined according to Example 4.7.
Theorem 4.13. For all A e R
mxn
,
Proof: Both results can be proved using the limit characterization of Theorem 4.4. The
proof of the first result is not particularly easy and does not even have the virtue of being
especially illuminating. The interested reader can consult the proof in [1, p. 27]. The
proof of the second result (which can also be proved easily by verifying the four Penrose
conditions) is as follows:
4.3. Properties and Applications
Example 4.8. For any vector v E jRn,
Example 4.9.
[ ~ ~ r = [
0
~ l
[ ~ ~ r = [
I I
1
Example 4.10.
4 4
I I
4 4
4.3 Properties and Applications
if v i= 0,
if v = O.
31
This section presents some miscellaneous useful results on pseudoinverses. Many of these
are used in the text that follows.
Theorem 4.11. Let A E jRmxn and suppose U E jRmxm, V E jRnxn are orthogonal (M is
orthogonal if MT = M
1
). Then
Proof: For the proof, simply verify that the expression above does indeed satisfy each of
the four Penrose conditions. 0
Theorem 4.12. Let S E jRnxn be symmetric with U
T
SU = D, where U is orthogonal and
D is diagonal. Then S+ = U D+U
T
, where D+ is again a diagonal matrix whose diagonal
elements are determined according to Example 4.7.
Theorem 4.13. For all A E jRmxn,
1. A+ = (AT A)+ AT = AT (AA
T
)+.
2. (A
T
)+ = (A+{.
Proof: Both results can be proved using the limit characterization of Theorem 4.4. The
proof of the first result is not particularly easy and does not even have the virtue of being
especially illuminating. The interested reader can consult the proof in [1, p. 27]. The
proof of the second result (which can also be proved easily by verifying the four Penrose
conditions) is as follows:
(A
T
)+ = lim (AA
T
+ 8
2
l)IA
~   + O
= lim [AT(AAT + 8
2
l)1{
~   + O
= [limAT(AAT + 8
2
l)1{
~   + O
= (A+{. 0
32 Chapter 4. Introduction to the MoorePenrose Pseudoinverse
Note that by combining Theorems 4.12 and 4.13 we can, in theory at least, compute
the MoorePenrose pseudoinverse of any matrix (since A A
T
and A
T
A are symmetric). This
turns out to be a poor approach in finiteprecision arithmetic, however (see, e.g., [7], [11],
[23]), and better methods are suggested in text that follows.
Theorem 4.11 is suggestive of a "reverseorder" property for pseudoinverses of prod
nets of matrices such as exists for inverses of nroducts TTnfortnnatelv. in peneraK
As an example consider A = [0 1J and B = LI. Then
while
However, necessary and sufficient conditions under which the reverseorder property does
hold are known and we quote a couple of moderately useful results for reference.
Theorem 4.14. (AB)
+
= B
+
A
+
if and only if
Proof: For the proof, see [9]. D
Theorem 4.15. (AB)
+
= B?A+, where BI = A+AB and A) = AB\B+.
Proof: For the proof, see [5]. D
Theorem 4.16. If A e R
n
r
xr
, B e R
r
r
xm
, then (AB)
+
= B+A+.
Proof: Since A e R
n
r
xr
, then A
+
= (A
T
A)~
l
A
T
, whence A
+
A = I
r
. Similarly, since
B e W
r
xm
, we have B
+
= B
T
(BB
T
)~\ whence BB
+
= I
r
. The result then follows by
taking BI = B, A\ = A in Theorem 4.15. D
The following theorem gives some additional useful properties of pseudoinverses.
Theorem 4.17. For all A e R
mxn
,
32 Chapter 4. Introduction to the MoorePenrose Pseudo inverse
Note that by combining Theorems 4.12 and 4.13 we can, in theory at least, compute
the MoorePenrose pseudoinverse of any matrix (since AAT and AT A are symmetric). This
turns out to be a poor approach in finiteprecision arithmetic, however (see, e.g., [7], [II],
[23]), and better methods are suggested in text that follows.
Theorem 4.11 is suggestive of a "reverseorder" property for pseudoinverses of prod
ucts of matrices such as exists for inverses of products. Unfortunately, in general,
As an example consider A = [0 I] and B = [ : J. Then
(AB)+ = 1+ = I
while
B+ A+ = [ ] =
However, necessary and sufficient conditions under which the reverseorder property does
hold are known and we quote a couple of moderately useful results for reference.
Theorem 4.14. (AB)+ = B+ A + if and only if
1. n(BB
T
AT) n(AT)
and
2. n(A T AB) nCB) .
Proof: For the proof, see [9]. 0
Theorem 4.15. (AB)+ = B{ Ai, where BI = A+ AB and AI = ABIB{.
Proof: For the proof, see [5]. 0
Theorem 4.16. If A E B E then (AB)+ = B+ A+.
Proof' Since A E then A+ = (AT A)I AT, whence A+ A = f
r
• Similarly, since
B E lR;xm, we have B+ = BT(BBT)I, whence BB+ = f
r
. The result then follows by
takingB
t
= B,At = A in Theorem 4.15. 0
The following theorem gives some additional useful properties of pseudoinverses.
Theorem 4.17. For all A E lR
mxn
,
1. (A+)+ = A.
2. (AT A)+ = A+(A
T
)+, (AA
T
)+ = (A
T
)+ A+.
3. n(A+) = n(A
T
) = n(A+ A) = n(A
T
A).
4. N(A+) = N(AA+) = N«AA
T
)+) = N(AA
T
) = N(A
T
).
5. If A is normal, then AkA+ = A+ Ak and (Ak)+ = (A+)kforall integers k > O.
Exercises 33
Note: Recall that A e R"
xn
is normal if AA
T
= A
T
A. For example, if A is symmetric,
skewsymmetric, or orthogonal, then it is normal. However, a matrix can be none of the
preceding but still be normal, such as
for scalars a, b e E.
The next theorem is fundamental to facilitating a compact and unifying approach
to studying the existence of solutions of (matrix) linear equations and linear least squares
problems.
Theorem 4.18. Suppose A e R
nxp
, B e E
MX m
. Then K(B) c U(A) if and only if
AA+B = B.
Proof: Suppose K(B) c U(A) and take arbitrary jc e R
m
. Then Bx e H(B) c H(A), so
there exists a vector y e R
p
such that Ay = Bx. Then we have
where one of the Penrose properties is used above. Since x was arbitrary, we have shown
that B = AA+B.
To prove the converse, assume that AA
+
B = B and take arbitrary y e K(B). Then
there exists a vector x e R
m
such that Bx = y, whereupon
EXERCISES
1. Use Theorem 4.4 to compute the pseudoinverse of \
2 2
1 •
2. If jc, y e R", show that (xy
T
)
+
= (x
T
x)
+
(y
T
y)
+
yx
T
.
3. For A e R
mxn
, prove that 7£(A) = 7£(AA
r
) using only definitions and elementary
properties of the MoorePenrose pseudoinverse.
4. For A e R
mxn
, prove that ft(A+) = ft(A
r
).
5. For A e R
pxn
and 5 € R
mx
", show that JV(A) C A/"(S) if and only if fiA+A = B.
6. Let A G M"
xn
, 5 e E
nxm
, and D € E
mxm
and suppose further that D is nonsingular.
(a) Prove or disprove that
(b) Prove or disprove that
Exercises 33
Note: Recall that A E IRn xn is normal if A A T = A T A. For example, if A is symmetric,
skewsymmetric, or orthogonal, then it is normal. However, a matrix can be none of the
preceding but still be normal, such as
A=[ a b]
b a
for scalars a, b E R
The next theorem is fundamental to facilitating a compact and unifying approach
to studying the existence of solutions of (matrix) linear equations and linear least squares
problems.
Theorem 4.18. Suppose A E IRnxp, B E IRnxm. Then R(B) S; R(A) if and only if
AA+B = B.
Proof: Suppose R(B) S; R(A) and take arbitrary x E IRm. Then Bx E R(B) S; RCA), so
there exists a vector y E IRP such that Ay = Bx. Then we have
Bx = Ay = AA + Ay = AA + Bx,
where one of the Penrose properties is used above. Since x was arbitrary, we have shown
that B = AA+ B.
To prove the converse, assume that AA + B = B and take arbitrary y E R(B). Then
there exists a vector x E IR
m
such that Bx = y, whereupon
y = Bx = AA+Bx E R(A). 0
EXERCISES
1. Use Theorem 4.4 to compute the pseudoinverse of U ;].
2. If x, Y E IRn, show that (xyT)+ = (x
T
x)+(yT y)+ yx
T
.
3. For A E IRmxn, prove that RCA) = R(AAT) using only definitions and elementary
properties of the MoorePenrose pseudoinverse.
4. For A E IRmxn, prove that R(A+) = R(A
T
).
5. For A E IRPxn and BE IRmxn, show thatN(A) S; N(B) if and only if BA+ A = B.
6. Let A E IRn xn, B E JRn xm , and D E IRm xm and suppose further that D is nonsingular.
(a) Prove or disprove that
[ ~
AB
r = [
A+ A+ABD
i
].
D 0
D
i
(b) Prove or disprove that
[ ~
B
r =[
A+ A+BD
1
l
D 0
D
i
This page intentionally left blank This page intentionally left blank
Chapter 5
Introduction to the Singular
Value Decomposition
In this chapter we give a brief introduction to the singular value decomposition (SVD). We
show that every matrix has an SVD and describe some useful properties and applications
of this important matrix factorization. The SVD plays a key conceptual and computational
role throughout (numerical) linear algebra and its applications.
5.1 The Fundamental Theorem
Theorem 5.1. Let A e R™
xn
. Then there exist orthogonal matrices U e R
mxm
and
V € R
nxn
such that
where S = [J °
0
], S = diagfcri, ... , o>) e R
rxr
, and a\ > • • • > o
r
> 0. More
specifically, we have
The submatrix sizes are all determined by r (which must be < min{m, «}), i.e., U\ e W
nxr
,
U
2 e
^x(mr)
; Vi e R
«xr
j
y
2 €
Rnxfor^
and the
0
JM
^/ocJb in E are compatibly
dimensioned.
Proof: Since A
r
A> 0 ( A
r
Ai s symmetric and nonnegative definite; recall, for example,
[24, Ch. 6]), its eigenvalues are all real and nonnegative. (Note: The rest of the proof follows
analogously if we start with the observation that A A
T
> 0 and the details are left to the reader
as an exercise.) Denote the set of eigenvalues of A
T
A by {of , / e n} with a\ > • • • > a
r
>
0 = o>
+
i = • • • = a
n
. Let {u, , i e n} be a set of corresponding orthonormal eigenvectors
and let V\ = [v\, ..., v
r
] , Vi = [v
r+
\, . . . , v
n
]. Letting S — diag(cri, . . . , cf
r
), we can
write A
r
AVi = ViS
2
. Premultiplying by Vf gives Vf A
T
AVi = VfV^S
2
= S
2
, the latter
equality following from the orthonormality of the r;, vectors. Pre and postmultiplying by
S~
l
eives the emotion
35
Chapter 5
Introduction to the Singular
Value Decomposition
In this chapter we give a brief introduction to the singular value decomposition (SVD). We
show that every matrix has an SVD and describe some useful properties and applications
of this important matrix factorization. The SVD plays a key conceptual and computational
role throughout (numerical) linear algebra and its applications.
5.1 The Fundamental Theorem
Theorem 5.1. Let A E Then there exist orthogonal matrices U E IRmxm and
V E IR
nxn
such that
A =
(5.1)
where =
n
S diag(ul, ... , u
r
) E
IRrxr, and UI
> > U
r
> O. More
specifically, we have
U2) [
0
] [
V
T
]
A = [U
I
I
(5.2)
0
VT
2
= Ulsvt·
(5.3)
The submatrix sizes are all determined by r (which must be S min{m, n}), i.e., UI E IRmxr,
U2 E IRrnx(mrl, VI E IRnxr, V
2
E IRnx(nr), and the Osubblocks in are compatibly
dimensioned.
Proof: Since AT A ::::: 0 (AT A is symmetric and nonnegative definite; recall, for example,
[24, Ch. 6]), its eigenvalues are all real and nonnegative. (Note: The rest of the proof follows
analogously if we start with the observation that AAT ::::: 0 and the details are left to the reader
as an exercise.) Denote the set of eigenvalues of AT A by {U?, i E !!.} with UI ::::: ... ::::: U
r
>
0= Ur+1 = ... = Un. Let {Vi, i E !!.} be a set of corresponding orthonormal eigenvectors
and let VI = [VI, ... ,V
r
), V2 = [Vr+I, ... ,V
n
]. LettingS = diag(uI, ... ,u
r
), we can
write A T A VI = VI S2. Premultiplying by vt gives vt A T A VI = vt VI S2 = S2, the latter
equality following from the orthonormality of the Vi vectors. Pre and postmultiplying by
SI gives the equation
(5.4)
35
36 Chapter 5. Introduction to the Singular Value Decomposition
Turning now to the eigenvalue equations corresponding to the eigenvalues o
r+
\, . . . , a
n
we
have that A
T
AV
2
= V
2
0 = 0, whence Vf A
T
AV
2
= 0. Thus, AV
2
= 0. Now define the
matrix Ui e M
mx/
" by U\ = AViS~
l
. Then from (5.4) we see that UfU\ = /; i.e., the
columns of U\ are orthonormal. Choose any matrix U
2
£ ^
7 7 I X(
™~
r)
such that [U\ U
2
] is
orthogonal. Then
since A V
2
=0. Referring to the equation U\ = A V\ S
l
defining U\, we see that U{ AV\ =
S and 1/2 AVi = U^UiS = 0. The latter equality follows from the orthogonality of the
columns of U\ andU
2
. Thus, we see that, in fact, U
T
AV = [Q Q], and defining this matrix
to be S completes the proof. D
Definition 5.2. Let A = t/E V
T
be an SVD of A as in Theorem 5.1.
1. The set [a\,..., a
r
} is called the set of (nonzero) singular values of the matrix A and
i
is denoted £(A). From the proof of Theorem 5.1 we see that cr,(A) = A
(
2
(A
T
A) =
A.? (AA
T
). Note that there are alsomin{m, n] — r zero singular values.
2. The columns ofU are called the left singular vectors of A (and are the orthonormal
eigenvectors of AA
T
).
3. The columns of V are called the right singular vectors of A (and are the orthonormal
eigenvectors of A
1
A).
Remark 5.3. The analogous complex case in which A e C™
x
" is quite straightforward.
The decomposition is A = t/E V
H
, where U and V are unitary and the proof is essentially
identical, except for Hermitian transposes replacing transposes.
Remark 5.4. Note that U and V can be interpreted as changes of basis in both the domain
and codomain spaces with respect to which A then has a diagonal matrix representation.
Specifically, let C, denote A thought of as a linear transformation mapping W to W. Then
rewriting A = U^V
T
as AV = U E we see that Mat £ is S with respect to the bases
[v\,..., v
n
} for R" and {u\,..., u
m
] for R
m
(see the discussion in Section 3.2). See also
Remark 5.16.
Remark 5.5. The singular value decomposition is not unique. For example, an examination
of the proof of Theorem 5.1 reveals that
• any orthonormal basis for jV(A) can be used for V
2
.
there may be nonuniqueness associated with the columns of V\ (and hence U\) cor
responding to multiple cr/' s.
36 Chapter 5. Introduction to the Singular Value Decomposition
Turning now to the eigenvalue equations corresponding to the eigenvalues ar+l, ... , an we
have that A T A V
z
= VzO = 0, whence Vi A T A V
2
= O. Thus, A V
2
= O. Now define the
matrix VI E IRmxr by VI = AViSI. Then from (5.4) we see that VrVI = /; i.e., the
columns of VI are orthonormal. Choose any matrix V2 E IRmx(mr) such that [VI V2] is
orthogonal. Then
V
T
AV = [
VrAV
I
VIAV
I
=[
VrAV
I
vIA VI
Vr AV
z
]
vI AV
z
]
since A V
2
= O. Referring to the equation V I = A VI SI defining VI, we see that V r A VI =
S and vI A VI = vI VI S = O. The latter equality follows from the orthogonality of the
columns of VI and V
2
. Thus, we see that, in fact, VT A V = and defining this matrix
to be completes the proof. 0
Definition 5.2. Let A = V"i:. VT be an SVD of A as in Theorem 5.1.
1. The set {ai, ... , a
r
} is called the set of (nonzero) singular values of the matrix A and
I
is denoted From the proof of Theorem 5.1 we see that ai(A) = A;' (AT A) =
I
At (AA
T
). Note that there are also min{m, n}  r zero singular values.
2. The columns of V are called the left singular vectors of A (and are the orthonormal
eigenvectors of AA
T
).
3. The columns of V are called the right singular vectors of A (and are the orthonormal
eigenvectors of AT A).
Remark 5.3. The analogous complex case in which A E xn is quite straightforward.
The decomposition is A = V"i:. V H, where V and V are unitary and the proof is essentially
identical, except for Hermitian transposes replacing transposes.
Remark 5.4. Note that V and V can be interpreted as changes of basis in both the domain
and codomain spaces with respect to which A then has a diagonal matrix representation.
Specifically, let C denote A thought of as a linear transformation mapping IR
n
to IRm. Then
rewriting A = V"i:. VT as A V = V"i:. we see that Mat C is "i:. with respect to the bases
{VI, ... , v
n
} for IR
n
and {u I, •.. , u
m
} for IR
m
(see the discussion in Section 3.2). See also
Remark 5.16.
Remark 5.5. The !:ingular value decomposition is not unique. For example, an examination
of the proof of Theorem 5.1 reveals that
• £lny orthonormal basis for N(A) can be used for V2.
• there may be nonuniqueness associated with the columns of VI (and hence VI) cor
responding to multiple O'i'S.
5.1. The Fundamental Theorem 37
• any C/
2
can be used so long as [U\ Ui] is orthogonal.
• columns of U and V can be changed (in tandem) by sign (or multiplier of the form
e
je
in the complex case).
What is unique, however, is the matrix E and the span of the columns of U\, f/2, Vi, and
¥2 (see Theorem 5.11). Note, too, that a "full SVD" (5.2) can always be constructed from
a "compact SVD" (5.3).
Remark 5.6. Computing an SVD by working directly with the eigenproblem for A
T
A or
AA
T
is numerically poor in finiteprecision arithmetic. Better algorithms exist that work
directly on A via a sequence of orthogonal transformations; see, e.g., [7], [11], [25].
F/vamnlp 5.7.
Example 5.10. Let A e R
MX
" be symmetric and positive definite. Let V be an orthogonal
matrix of eigenvectors that diagonalizes A, i.e., V
T
AV = A > 0. Then A = VAV
T
is an
SVD of A.
A factorization t/SV
r
o f a n m x n matrix A qualifies as an SVD if U and V are
orthogonal and £ is an m x n "diagonal" matrix whose diagonal elements in the upper
left corner are positive (and ordered). For example, if A = f/E V
T
is an SVD of A, then
VS
r
C/
r
i sanSVDof A
T
.
where U is an arbitrary 2x2 orthogonal matrix, is an SVD.
Example 5.8.
where 0 is arbitrary, is an SVD.
Example 5.9.
is an SVD.
5.1. The Fundamental Theorem 37
• any U2 can be used so long as [U
I
U2] is orthogonal.
• columns of U and V can be changed (in tandem) by sign (or multiplier of the form
e
j8
in the complex case).
What is unique, however, is the matrix I: and the span of the columns of UI, U2, VI, and
V
2
(see Theorem 5.11). Note, too, that a "full SVD" (5.2) can always be constructed from
a "compact SVD" (5.3).
Remark 5.6. Computing an SVD by working directly with the eigenproblem for A T A or
AA T is numerically poor in finiteprecision arithmetic. Better algorithms exist that work
directly on A via a sequence of orthogonal transformations; see, e.g., [7], [11], [25],
Example 5.7.
A  [1 0 ]  U I U
T
 01 ,
where U is an arbitrary 2 x 2 orthogonal matrix, is an SVD.
Example 5.8.
A _ [ 1
 0  ~ ] = [
where e is arbitrary, is an SVD.
Example 5.9.
cose
 sine
sin e
cose J [ ~ ~ J [
cose
sine
A=U n=[
I 2y'5
2 ~ ][ 3 ~ 0][
3
5
2
y'5
4y'5 0 0
3 S 15
2
0
_y'5 0 0
3
3
[
I
]
3
3J2 [ ~
~ ]
=
2
3
2
3
is an SVD.
Sine]
cose '
v'2 v'2
]
T T
v'2 v'2
T
2
Example 5.10. Let A E IR
nxn
be symmetric and positive definite. Let V be an orthogonal
matrix of eigenvectors that diagonalizes A, i.e., VT A V = A > O. Then A = V A V
T
is an
SVDof A.
A factorization UI: VT of an m x n matrix A qualifies as an SVD if U and V are
orthogonal and I: is an m x n "diagonal" matrix whose diagonal elements in the upper
left comer are positive (and ordered). For example, if A = UI:V
T
is an SVD of A, then
VI:TU
T
is an SVD of AT.
38 Chapter 5. Introduction to the Singular Value Decomposition
5.2 Some Basic Properties
Theorem 5.11. Let A e R
mxn
have a singular value decomposition A = VLV
T
. Using
the notation of Theorem 5.1, the following properties hold:
1. rank(A) = r = the number of nonzero singular values of A.
2. Let U =. [ H I , ..., u
m
] and V = [v\, ..., v
n
]. Then A has the dyadic (or outer
product) expansion
Remark 5.12. Part 4 of the above theorem provides a numerically superior method for
finding (orthonormal) bases for the four fundamental subspaces compared to methods based
on, for example, reduction to row or column echelon form. Note that each subspace requires
knowledge of the rank r. The relationship to the four fundamental subspaces is summarized
nicely in Figure 5.1.
Remark 5.13. The elegance of the dyadic decomposition (5.5) as a sum of outer products
and the key vector relations (5.6) and (5.7) explain why it is conventional to write the SVD
as A = UZV
T
rather than, say, A = UZV.
Theorem 5.14. Let A e E
mx
" have a singular value decomposition A = UHV
T
as in
TheoremS.]. Then
where
3. The singular vectors satisfy the relations
38 Chapter 5. Introduction to the Singular Value Decomposition
5.2 Some Basic Properties
Theorem 5.11. Let A E jRrnxn have a singular value decomposition A = U'£ V
T
. Using
the notation of Theorem 5.1, the following properties hold:
1. rank(A) = r = the number of nonzero singular values of A.
2. Let V = [UI, ... , urn] and V = [VI, ... , v
n
]. Then A has the dyadic (or outer
product) expansion
r
A = Laiuiv;.
i=1
3. The singular vectors satisfy the relations
for i E r.
AVi = ajui,
AT Uj = aivi
(5.5)
(5.6)
(5.7)
4. LetUI = [UI, ... , u
r
], U2 = [Ur+I, ... , urn], VI = [VI, ... , v
r
], andV2 = [Vr+I, ... , V
n
].
Then
(a) R(VI) = R(A) = N(A
T
/.
(b) R(U
2
) = R(A)1 = N(A
T
).
(c) R(VI) = N(A)1 = R(A
T
).
(d) R(V2) = N(A) = R(AT)1.
Remark 5.12. Part 4 of the above theorem provides a numerically superior method for
finding (orthonormal) bases for the four fundamental subspaces compared to methods based
on, for example, reduction to row or column echelon form. Note that each subspace requires
knowledge of the rank r. The relationship to the four fundamental subspaces is summarized
nicely in Figure 5.1.
Remark 5.13. The elegance of the dyadic decomposition (5.5) as a sum of outer products
and the key vector relations (5.6) and (5.7) explain why it is conventional to write the SVD
as A = U'£V
T
rather than, say, A = U,£V.
Theorem 5.14. Let A E jRmxn have a singular value decomposition A = U,£V
T
as in
Theorem 5.1. Then
(5.8)
where
5.2. Some Basic Properties 39
Figure 5.1. SVD and the four fundamental subspaces.
with the Qsubblocks appropriately sized. Furthermore, if we let the columns of U and V
be as defined in Theorem 5.11, then
Proof: The proof follows easily by verifying the four Penrose conditions. D
Remark 5.15. Note that none of the expressions above quite qualifies as an SVD of A
+
if we insist that the singular values be ordered from largest to smallest. However, a simple
reordering accomplishes the task:
This can also be written in matrix terms by using the socalled reverseorder identity matrix
(or exchange matrix) P = \e
r
,e
r
^\, ..., e^, e\\, which is clearly orthogonal and symmetric.
5.2. Some Basic Properties 39
A
r r
E9 {O}
/ {O)<!l
nr mr
Figure 5.1. SVD and the four fundamental subspaces.
with the Osubblocks appropriately sized. Furthermore, if we let the columns of U and V
be as defined in Theorem 5.11, then
r 1
= L v;u;, (5.10)
;=1 U;
Proof' The proof follows easily by verifying the four Penrose conditions. 0
Remark 5.15. Note that none of the expressions above quite qualifies as an SVD of A +
if we insist that the singular values be ordered from largest to smallest. However, a simple
reordering accomplishes the task:
(5.11)
This can also be written in matrix terms by using the socalled reverseorder identity matrix
(or exchange matrix) P = [e
r
, erI, ... , e2, ed, which is clearly orthogonal and symmetric.
is the matrix version of (5.11). A "full SVD" can be similarly constructed.
Remark 5.16. Recall the linear transformation T used in the proof of Theorem 3.17 and
in Definition 4.1. Since T is determined by its action on a basis, and since ( v \ , . . . , v
r
} is a
basis forJ\f(A)
±
, then T can be defined by TV; = cr, w, , / e r. Similarly, since [u\, ... ,u
r
}
isabasisfor7£(.4), then T~
l
can be defined by T^' M, = ^u, , / e r. From Section 3.2, the
matrix representation for T with respect to the bases { v \ , ..., v
r
} and { MI , . . . , u
r
] is clearly
S, while the matrix representation for the inverse linear transformation T~
l
with respect to
the same bases is 5""
1
.
5.3 Row and Column Compressions
Row compression
Let A E R
mxn
have an SVD given by (5.1). Then
Notice that M(A)  M(U
T
A) = A/"(SV,
r
) and the matrix SVf e R
r x
" has full row
rank. I n other words, premultiplication of A by U
T
is an orthogonal transformation that
"compresses" A by row transformations. Such a row compression can also be accomplished
D _
by orthogonal row transformations performed directly on A to reduce it to the form
0
,
where R is upper triangular. Both compressions are analogous to the socalled rowreduced
echelon form which, when derived by a Gaussian elimination algorithm implemented in
finiteprecision arithmetic, is not generally as reliable a procedure.
Column compression
Again, let A e R
mxn
have an SVD given by (5.1). Then
This time, notice that H(A) = K(AV) = K(UiS) and the matrix UiS e R
mxr
has full
column rank. I n other words, postmultiplication of A by V is an orthogonal transformation
that "compresses" A by column transformations. Such a compression is analogous to the
40 Chapters. Introduction to the Singular Value Decomposition
Then
40 Chapter 5. Introduction to the Singular Value Decomposition
Then
A+ = (VI p)(PS1 p)(PVr)
is the matrix version of (5.11). A "full SVD" can be similarly constructed.
Remark 5.16. Recall the linear transformation T used in the proof of Theorem 3.17 and
in Definition 4.1. Since T is determined by its action on a basis, and since {VI, ... , v
r
} is a
basisforN(A).l, then T can be defined by TVj = OjUj , i E ~ . Similarly, since {UI, ... , u
r
}
is a basis forR(A), then T
I
canbedefinedbyTIu; = tv; ,i E ~ . From Section 3.2, the
matrix representation for T with respect to the bases {VI, ... , v
r
} and {u I, ... , u
r
} is clearly
S, while the matrix representation for the inverse linear transformation T
I
with respect to
the same bases is SI.
5.3 Rowand Column Compressions
Row compression
Let A E lR.
mxn
have an SVD given by (5.1). Then
VT A = :EVT
= [ ~ ~ ] [ ~ i ]
 [ SVr ] lR.
mxn
 0 E .
Notice that N(A) = N(V
T
A) = N(svr> and the matrix SVr E lR.
rxll
has full row
rank. In other words, premultiplication of A by VT is an orthogonal transformation that
"compresses" A by row transformations. Such a row compression can also be accomplished
by orthogonal row transformations performed directly on A to reduce it to the form [ ~ ] ,
where R is upper triangular. Both compressions are analogous to the socalled rowreduced
echelon form which, when derived by a Gaussian elimination algorithm implemented in
finiteprecision arithmetic, is not generally as reliable a procedure.
Column compression
Again, let A E lR.
mxn
have an SVD given by (5.1). Then
AV = V:E
= [VI U2] [ ~ ~ ]
=[VIS 0] ElR.mxn.
This time, notice that R(A) = R(A V) = R(UI S) and the matrix VI S E lR.
m
xr has full
column rank. In other words, postmultiplication of A by V is an orthogonal transformation
that "compresses" A by I;olumn transformations. Such a compression is analogous to the
Exercises 41
socalled columnreduced echelon form, which is not generally a reliable procedure when
performed by Gauss transformations in finiteprecision arithmetic. For details, see, for
example, [7], [11], [23], [25].
EXERCISES
1. Let X € M
mx
". If X
T
X = 0, show that X = 0.
2. Prove Theorem 5.1 starting from the observation that AA
T
> 0.
3. Let A e E"
xn
be symmetric but indefinite. Determine an SVD of A.
4. Let x e R
m
, y e R
n
be nonzero vectors. Determine an SVD of the matrix A e R™
defined by A = xy
T
.
6. Let A e R
mxn
and suppose W eR
mxm
and 7 e R
nxn
are orthogonal.
(a) Show that A and W A F have the same singular values (and hence the same rank).
(b) Suppose that W and Y are nonsingular but not necessarily orthogonal. Do A
and WAY have the same singular values? Do they have the same rank?
7. Let A € R"
XM
. Use the SVD to determine a polar factorization of A, i.e., A = QP
where Q is orthogonal and P = P
T
> 0. Note: this is analogous to the polar form
z = re
l&
ofa complex scalar z (where i = j = V^T).
5. Determine SVDs of the matrices
Exercises 41
socalled columnreduced echelon form, which is not generally a reliable procedure when
performed by Gauss transformations in finiteprecision arithmetic. For details, see, for
example, [7], [11], [23], [25].
EXERCISES
1. Let X E IRmxn. If XT X = 0, show that X = o.
2. Prove Theorem 5.1 starting from the observation that AAT ~ O.
3. Let A E IR
nxn
be symmetric but indefinite. Determine an SVD of A.
4. Let x E IRm, y E ~ n be nonzero vectors. Determine an SVD of the matrix A E ~ ~ xn
defined by A = xyT.
5. Determine SVDs of the matrices
(a)
[
1
]
0 1
(b)
[
~ l
6. Let A E ~ m x n and suppose W E IR
mxm
and Y E ~ n x n are orthogonal.
(a) Show that A and WAY have the same singular values (and hence the same rank).
(b) Suppose that Wand Yare nonsingular but not necessarily orthogonal. Do A
and WAY have the same singular values? Do they have the same rank?
7. Let A E ~ ~ x n . Use the SVD to determine a polar factorization of A, i.e., A = Q P
where Q is orthogonal and P = p
T
> O. Note: this is analogous to the polar form
z = re
iO
of a complex scalar z (where i = j = J=I).
This page intentionally left blank This page intentionally left blank
Chapter 6
Li near Equations
In this chapter we examine existence and uniqueness of solutions of systems of linear
equations. General linear systems of the form
are studied and include, as a special case, the familiar vector system
6.1 Vector Li near Equations
We begin with a review of some of the principal results associated with vector linear systems.
Theorem 6.1. Consider the system of linear equations
1. There exists a solution to (6.3) if and only ifbeH(A).
2. There exists a solution to (6.3} for all b e R
m
if and only ifU(A) = W", i.e., A is
onto; equivalently, there exists a solution if and only j/"rank([A, b]) = rank(A), and
this is possible only ifm < n (since m = dimT^(A) = rank(A) < min{m, n}).
3. A solution to (6.3) is unique if and only ifJ\f(A) = 0, i.e., A is 11.
4. There exists a unique solution to (6.3) for all b e W" if and only if A is nonsingular;
equivalently, A G M
mxm
and A has neither a 0 singular value nor a 0 eigenvalue.
5. There exists at most one solution to (6.3) for all b e W
1
if and only if the columns of
A are linearly independent, i.e., A/"(A) = 0, and this is possible only ifm > n.
6. There exists a nontrivial solution to the homogeneous system Ax = 0 if and only if
rank(A) < n.
43
Chapter 6
Linear Equations
In this chapter we examine existence and uniqueness of solutions of systems of linear
equations. General linear systems of the form
(6.1)
are studied and include, as a special case, the familiar vector system
Ax = b; A E ]Rn xn, b E ]Rn.
(6.2)
6.1 Vector Linear Equations
We begin with a review of some of the principal results associated with vector linear systems.
Theorem 6.1. Consider the system of linear equations
Ax = b; A E lR
m
xn, b E lRm.
(6.3)
1. There exists a solution to (6.3) if and only if b E R(A).
2. There exists a solution to (6.3) for all b E lR
m
if and only ifR(A) = lR
m
, i.e., A is
onto; equivalently, there exists a solution if and only ifrank([A, b]) = rank(A), and
this is possible only ifm :::: n (since m = dim R(A) = rank(A) :::: min{m, n n.
3. A solution to (6.3) is unique if and only if N(A) = 0, i.e., A is 11.
4. There exists a unique solution to (6.3) for all b E ]Rm if and only if A is nonsingular;
equivalently, A E lR
mxm
and A has neither a 0 singular value nor a 0 eigenvalue.
5. There exists at most one solution to (6.3) for all b E lR
m
if and only if the columns of
A are linearly independent, i.e., N(A) = 0, and this is possible only ifm ::: n.
6. There exists a nontrivial solution to the homogeneous system Ax = 0 if and only if
rank(A) < n.
43
44 Chapter 6. Linear Equations
Proof: The proofs are straightforward and can be consulted in standard texts on linear
algebra. Note that some parts of the theorem follow directly from others. For example, to
prove part 6, note that x = 0 is always a solution to the homogeneous system. Therefore, we
must have the case of a nonunique solution, i.e., A is not 11, which implies rank(A) < n
by part 3. D
6.2 Matrix Linear Equations
In this section we present some of the principal results concerning existence and uniqueness
of solutions to the general matrix linear system (6.1). Note that the results of Theorem
6.1 follow from those below for the special case k = 1, while results for (6.2) follow by
specializing even further to the case m = n.
Theorem 6.2 (Existence). The matrix linear equation
and this is clearly of the form (6.5).
has a solution if and only ifl^(B) C 7£(A); equivalently, a solution exists if and only if
AA
+
B = B.
Proof: The subspace inclusion criterion follows essentially from the definition of the range
of a matrix. The matrix criterion is Theorem 4.18.
Theorem 6.3. Let A e R
mxn
, B eR
mxk
and suppose that AA
+
B = B. Then any matrix
of the form
is a solution of
Furthermore, all solutions of (6.6) are of this form.
Proof: To verify that (6.5) is a solution, premultiply by A:
That all solutions arc of this form can be seen as follows. Let Z be an arbitrary solution of
(6.6), i.e., AZ — B. Then we can write
44 Chapter 6. Linear Equations
Proof: The proofs are straightforward and can be consulted in standard texts on linear
algebra. Note that some parts of the theorem follow directly from others. For example, to
prove part 6, note that x = 0 is always a solution to the homogeneous system. Therefore, we
must have the case of a nonunique solution, i.e., A is not II, which implies rank(A) < n
by part 3. 0
6.2 Matrix Linear Equations
In this section we present some of the principal results concerning existence and uniqueness
of solutions to the general matrix linear system (6.1). Note that the results of Theorem
6.1 follow from those below for the special case k = 1, while results for (6.2) follow by
specializing even further to the case m = n.
Theorem 6.2 (Existence). The matrix linear equation
AX = B; A E JR.
mxn
, BE JR.mxk, (6.4)
has a solution if and only ifR(B) S; R(A); equivalently, a solution exists if and only if
AA+B = B.
Proof: The subspace inclusion criterion follows essentially from the definition of the range
of a matrix. The matrix criterion is Theorem 4.18. 0
Theorem 6.3. Let A E JR.mxn, B E JR.mxk and suppose that AA + B = B. Then any matrix
of the form
X = A+ B + (/  A+ A)Y, where Y E JR.nxk is arbitrary, (6.5)
is a solution of
AX=B. (6.6)
Furthermore, all solutions of (6.6) are of this form.
Proof: To verify that (6.5) is a solution, premultiply by A:
AX = AA+ B + A(I  A+ A)Y
= B + (A  AA+ A)Y by hypothesis
= B since AA + A = A by the first Penrose condition.
That all solutions are of this form can be seen as follows. Let Z be an arbitrary solution of
(6.6). i.e .. AZ :::: B. Then we can write
Z=A+AZ+(IA+A)Z
=A+B+(IA+A)Z
and this is clearly of the form (6.5). 0
6.2. Matrix Linear Equations 45
Remark 6.4. When A is square and nonsingular, A
+
= A"
1
and so (/ — A
+
A) = 0. Thus,
there is no "arbitrary" component, leaving only the unique solution X• = A~
1
B.
Remark 6.5. It can be shown that the particular solution X = A
+
B is the solution of (6.6)
that minimizes TrX
7
X. (Tr() denotes the trace of a matrix; recall that TrX
r
X = £\ • jcj.)
Theorem 6.6 (Uniqueness). A solution of the matrix linear equation
is unique if and only if A
+
A = /; equivalently, (6.7) has a unique solution if and only if
M(A) = 0.
Proof: The first equivalence is immediate from Theorem 6.3. The second follows by noting
that A
+
A = / can occur only if r — n, where r = rank(A) (recall r < h). But rank(A) = n
if and only if A is 11 or _ /V(A) = 0. D
Example 6.7. Suppose A e E"
x
". Find all solutions of the homogeneous system Ax — 0.
Solution:
where y e R" is arbitrary. Hence, there exists a nonzero solution if and only if A
+
A /= I.
This is equivalent to either rank (A) = r < n or A being singular. Clearly, if there exists a
nonzero solution, it is not unique.
Computation: Since y is arbitrary, it is easy to see that all solutions are generated
from a basis for 7£(7 — A
+
A). But if A has an SVD given by A = f/E V
T
, then it is easily
checked that /  A+A = V
2
V
2
r
and U(V
2
V^) = K(V
2
) = N(A).
Example 6.8. Characterize all right inverses of a matrix A e ]R
mx
"; equivalently, find all
solutions R of the equation AR = I
m
. Here, we write I
m
to emphasize the m x m identity
matrix.
Solution: There exists a right inverse if and only if 7£(/
m
) c 7£(A) and this is
equivalent to AA
+
I
m
= I
m
. Clearly, this can occur if and only if rank(A) = r = m (since
r < m) and this is equivalent to A being onto (A
+
is then a right inverse). All right inverses
of A are then of the form
where Y e E"
xm
is arbitrary. There is a unique right inverse if and only if A
+
A = /
(AA(A) = 0), in which case A must be invertible and R = A"
1
.
Example 6.9. Consider the system of linear firstorder difference equations
6.2. Matrix Linear Equations 45
Remark 6.4. When A is square and nonsingular, A + = AI and so (I  A + A) = O. Thus,
there is no "arbitrary" component, leaving only the unique solution X = AI B.
Remark 6.5. It can be shown that the particular solution X = A + B is the solution of (6.6)
that minimizes TrXT X. (TrO denotes the trace of a matrix; recall that TrXT X = Li,j xlj.)
Theorem 6.6 (Uniqueness). A solution of the matrix linear equation
AX = B; A E lR,mxn, BE lR,mxk
(6,7)
is unique if and only if A + A = I; equivalently, (6.7) has a unique solution if and only if
N(A) = O.
Proof: The first equivalence is immediate from Theorem 6.3. The second follows by noting
thatA+ A = I can occur only ifr = n, wherer = rank(A) (recallr ::: n), Butrank(A) = n
if and only if A is Ilor N(A) = O. 0
Example 6.7. Suppose A E lR,nxn. Find all solutions of the homogeneous system Ax = 0,
Solution:
x=A+O+(IA+A)y
= (IA+A)y,
where y E lR,n is arbitrary. Hence, there exists a nonzero solution if and only if A + A t= I,
This is equivalent to either rank(A) = r < n or A being singular. Clearly, if there exists a
nonzero solution, it is not unique,
Computation: Since y is arbitrary, it is easy to see that all solutions are generated
from a basis for R(I  A + A). But if A has an SVD given by A = U h VT, then it is easily
checked that 1 A+ A = Vz V[ and R(Vz vD = R(Vz) = N(A),
Example 6.S. Characterize all right inverses of a matrix A E lR,mxn; equivalently, find all
solutions R of the equation AR = 1
m
, Here, we write 1m to emphasize the m x m identity
matrix,
Solution: There exists a right inverse if and only if R(Im) S; R(A) and this is
equivalent to AA + 1m = 1m. Clearly, this can occur if and only if rank(A) = r = m (since
r ::: m) and this is equivalent to A being onto (A + is then a right inverse). All right inverses
of A are then of the form
R = A+ 1m + (In  A+ A)Y
=A++(IA+A)Y,
where Y E lR,nxm is arbitrary, There is a unique right inverse if and only if A+ A I
(N(A) = 0), in which case A must be invertible and R = AI.
Example 6.9. Consider the system of linear firstorder difference equations
(6,8)
46 Chapter 6. Linear Equations
with A e R"
xn
and fieR"
xm
(rc>l,ra>l). The vector Jt* in linear system theory is
known as the state vector at time k while Uk is the input (control) vector. The general
solution of (6.8) is given by
for k > 1. We might now ask the question: Given X Q = 0, does there exist an input sequence
{uj } y~ Q such that x^ takes an arbitrary va
of reachability. Since m > 1, from the
see that (6.8) is reachable if and only if
[ Uj }
k
jj^ such that X k takes an arbitrary value in W ? In linear system theory, this is a question
of reachability. Since m > 1, from the fundamental Existence Theorem, Theorem 6.2, we
or, equivalently, if and only if
A related question is the following: Given an arbitrary initial vector X Q , does there ex
ist an input sequence {"y} "~ o such that x
n
= 0? In linear system theory, this is called
controllability. Again from Theorem 6.2, we see that (6.8) is controllable if and only if
Clearly, reachability always implies controllability and, if A is nonsingular, control
lability and reachability are equivalent. The matrices A = [ °
1
Q
1 and 5 = f ^ 1 provide an
example of a system that is controllable but not reachable.
The above are standard conditions with analogues for continuoustime models (i.e.,
linear differential equations). There are many other algebraically equivalent conditions.
Example 6.10. We now introduce an output vector y
k
to the system (6.8) of Example 6.9
by appending the equation
with C e R
pxn
and D € R
pxm
(p > 1). We can then pose some new questions about the
overall system that are dual in the systemtheoretic sense to reachability and controllability.
The answers are cast in terms that are dual in the linear algebra sense as well. The condition
dual to reachability is called observability: When does knowledge of {"
7
}"!Q and {y_ / } "~ o
suffice to determine (uniquely) Jt
0
? As a dual to controllability, we have the notion of
reconstructibility: When does knowledge of {w
y
} "~ Q and {;y/ } "Io suffice to determine
(uniquely) x
n
l The fundamental duality result from linear system theory is the following:
(A, B) is reachable [ controllable] if and only if (A
T
, B
T
] is observable [ reconstructive].
46 Chapter 6. Linear Equations
with A E IR
nx
" and B E IR
nxm
(n I, m I). The vector Xk in linear system theory is
known as the state vector at time k while Uk is the input (control) vector. The general
solution of (6.8) is given by
kJ
Xk = Akxo + LAkJj BUj
j=O
k kJ Uk2
[
UkJ ]
•...• A B]
(6.9)
(6.10)
for k 1. We might now ask the question: Given Xo = 0, does there exist an input sequence
{u j 1 such that Xk takes an arbitrary value in 1R"? In linear system theory, this is a question
of reacbability. Since m I, from the fundamental Existence Theorem, Theorem 6.2, we
see that (6.8) is reachable if and only if
R([ B, AB, ... , A
n

J
B]) = 1R"
or, equivalently, if and only if
rank [B, AB, ... , A
n

J
B] = n.
A related question is the following: Given an arbitrary initial vector Xo, does there ex
ist an input sequence {u j l'/:b such that Xn = O? In linear system theory, this is called
controllability. Again from Theorem 6.2, we see that (6.8) is controllable if and only if
Clearly, reachability always implies controllability and, if A is nonsingular, control
lability and reachability are equivalent. The matrices A = and B = provide an
example of a system that is controllable but not reachable.
The above are standard conditions with analogues for continuoustime models (i.e.,
linear differential equations). There are many other algebraically equivalent conditions.
Example 6.10. We now introduce an output vector Yk to the system (6.8) of Example 6.9
by appending the equation
(6.11)
with C E IR
Pxn
and D E IR
Pxm
(p 1). We can then pose some new questions about the
overall system that are dual in the systemtheoretic sense to reachability and controllability.
The answers are cast in terms that are dual in the linear algebra sense as well. The condition
dual to reachability is called observability: When does knowledge of {u j r/:b and {Yj l';:b
suffice to determine (uniquely) xo? As a dual to controllability, we have the notion of
reconstructibility: When does knowledge of {u j r/:b and {YJ lj:b suffice to determine
(uniquely) xn? The fundamental duality result from linear system theory is the following:
(A. B) iJ reachable [controllablcl if and only if (A T. B T) is observable [reconsrrucrible]
6.4 Some Us ef u l and I nt er es t i ng Inverses 47
To derive a condition for observability, notice that
Thus,
Let v denote the (known) vector on the lefthand side of (6.13) and let R denote the matrix on
the righthand side. Then, by definition, v e Tl(R), so a solution exists. By the fundamental
Uniqueness Theorem, Theorem 6.6, the solution is then unique if and only if N(R) = 0,
or, equivalently, if and only if
6.3 A More General Matrix Linear Equation
Theorem 6.11. Let A e R
mxn
, B e R
mxq
, and C e R
pxti
. Then the equation
has a solution if and only if AA
+
BC
+
C = B, in which case the general solution is of the
where Y € R
n
*
p
is arbitrary.
A compact matrix criterion for uniqueness of solutions to (6.14) requires the notion
of the Kronecker product of matrices for its statement. Such a criterion (CC
+
< g) A
+
A — I)
is stated and proved in Theorem 13.27.
6.4 Some Useful and Interesting Inverses
In many applications, the coefficient matrices of interest are square and nonsingular. Listed
below is a small collection of useful matrix identities, particularly for block matrices, as
sociated with matrix inverses. In these identities, A e R
nxn
, B E R
nxm
, C e R
mxn
,
and D € E
mxm
. Invertibility is assumed for any component or subblock whose inverse is
indicated. Verification of each identity is recommended as an exercise for the reader.
6.4 Some Useful and Interesting Inverses
Thus,
To derive a condition for observability, notice that
kl
Yk = CAkxo + L CAk1j BUj + DUk.
j=O
r
Yo  Duo
Yl  CBuo  Du]
Yn]  L j : ~ CA
n

2
j BUj  DUnl
47
(6.12)
(6.13)
Let v denote the (known) vector on the lefthand side of (6.13) and let R denote the matrix on
the righthand side. Then, by definition, v E R(R), so a solution exists. By the fundamental
Uniqueness Theorem, Theorem 6.6, the solution is then unique if and only if N(R) = 0,
or, equivalently, if and only if
6.3 A More General Matrix Linear Equation
Theorem 6.11. Let A E jRmxn, B E jRmx
q
, and C E jRpxq. Then the equation
AXC=B (6.14)
has a solution if and only if AA + BC+C = B, in which case the general solution is of the
form
(6.15)
where Y E jRnxp is arbitrary.
A compact matrix criterion for uniqueness of solutions to (6.14) requires the notion
of the Kronecker product of matrices for its statement. Such a criterion (C C+ ® A + A = I)
is stated and proved in Theorem 13.27.
6.4 Some Useful and Interesting Inverses
In many applications, the coefficient matrices of interest are square and nonsingular. Listed
below is a small collection of useful matrix identities, particularly for block matrices, as
sociated with matrix inverses. In these identities, A E jRnxn, B E jRnxm, C E jRmxn,
and D E jRm xm. Invertibility is assumed for any component or subblock whose inverse is
indicated. Verification of each identity is recommended as an exercise for the reader.
48 Chapter 6. Linear Equations
1. (A + BDCr
1
= A~
l
 A~
l
B(D~
l
+ CA~
l
B)~
[
CA~
l
.
This result is known as the ShermanMorrisonWoodbury formula. It has many
applications (and is frequently "rediscovered") including, for example, formulas for
the inverse of a sum of matrices such as (A + D)"
1
or (A"
1
+ D"
1
) . It also
yields very efficient "updating" or "downdating" formulas in expressions such as
T — 1
(A + JUT ) (with symmetric A e R"
x
" and ;c e E") that arise in optimization
theory.
EXERCISES
1. As in Example 6.8, characterize all left inverses of a matrix A e M
mx
".
2. Let A € E
mx
", B e R
mxk
and suppose A has an SVD as in Theorem 5.1. Assuming
7Z(B) c 7£(A), characterize all solutions of the matrix linear equation
Both of these matrices satisfy the matrix equation X^ = I from which it is obvious
that X~
l
= X. Note that the positions of the / and — / blocks may be exchanged.
where E = (D — CA B) (E is the inverse of the Schur complement of A). This
result follows easily from the block LU factorization in property 16 of Section 1.4.
where F = (A — ED C) . This result follows easily from the block UL factor
ization in property 17 of Section 1.4.
in terms of the SVD of A
48 Chapter 6. Linear Equations
1. (A + BDC)I = AI  AIB(D
I
+ CAIB)ICAI.
This result is known as the ShermanMorrisonWoodbury formula. It has many
applications (and is frequently "rediscovered") including, for example, formulas for
the inverse of a sum of matrices such as (A + D)lor (AI + DI)I. It also
yields very efficient "updating" or "downdating" formulas in expressions such as
(A + xx
T
) I (with symmetric A E lR
nxn
and x E lRn) that arise in optimization
theory.
2. r
l
= [
3. !/ r
l
= l r
l
= 1
Both of these matrices satisfy the matrix equation X2 = / from which it is obvious
that XI = X. Note that the positions of the / and  / blocks may be exchanged.
4. r
l
= [
AI BD
I
]
D I .
5. r
l
= 1
6. [ / +c
BC
r
l
= [!C / 1
7. r
l
= [ AI l
where E = (D  CA
I
B)I (E is the inverse of the Schur complement of A). This
result follows easily from the block LU factorization in property 16 of Section 1.4.
8. r
l
= D
I
l
where F = (A  B D
I
C) I. This result follows easily from the block UL factor
ization in property 17 of Section 1.4.
EXERCISES
1. As in Example 6.8, characterize all left inverses of a matrix A E lR
m
xn .
2. Let A E lRmxn, B E lR
fflxk
and suppose A has an SVD as in Theorem 5.1. Assuming
R(B) R(A), characterize all solutions of the matrix linear equation
AX=B
in terms of the SVD of A.
Exercises 49
3. Let jc, y e E" and suppose further that X
T
y ^ 1. Show that
4. Let x, y € E" and suppose further that X
T
y ^ 1. Show that
where c = 1/(1 — x
T
y).
5. Let A e R"
x
" and let A"
1
have columns c\, ..., c
n
and individual elements y
;y
.
Assume that x/
(
7^ 0 for some / and j. Show that the matrix B — A —
l
—ei e
T
: (i.e.,
A with — subtracted from its (zy)th element) is singular.
Hint: Show that c
t
< = M(B).
6. As in Example 6.10, check directly that the condition for reconstructibility takes the
form
Exercises 49
3. Let x, y E IR
n
and suppose further that x T y i= 1. Show that
T 1 1 T
(/  xy) = I  xy .
xTy 1
4. Let x, y E IR
n
and suppose further that x T y i= 1. Show that
cxJ
C '
where C = 1/(1  x
T
y).
5. Let A E 1 R ~ xn and let A 1 have columns Cl, ... ,C
n
and individual elements Yij.
Assume that Yji i= 0 for some i and j. Show that the matrix B = A  ~ i e;e; (i.e.,
A with yl subtracted from its (ij)th element) is singular.
l'
Hint: Show that Ci E N(B).
6. As in Example 6.10, check directly that the condition for reconstructibility takes the
form
N[
fA J ~ N(A
n
).
CA
n

1
This page intentionally left blank This page intentionally left blank
Chapter 7
Projections, Inner Product
Spaces, and Norms
7.1 Projections
Definition 7.1. Let V be a vector space with V = X 0 y. By Theorem 2.26, every v e V
has a unique decomposition v = x + y with x e X and y e y. Define PX y • V — > • X c V
by
Figure 7.1. Oblique projections.
Theorem 7.2. Px,y is linear and P# y — Px,y
Theorem 7.3. A linear transformation P is a projection if and only if it is idempotent, i.e.,
P
2
= P. Also, P is a projection if and only if I —P is a projection. Infact, Py,x — I — Px,y
Proof: Suppose P is a projection, say on X along y (using the notation of Definition 7.1).
51
Px,y is called the (oblique) projection on X along 3^.
Figure 7.1 displays the projection of v on both X and 3^ in the case V =
Chapter 7
Projections, Inner Product
Spaces, and Norms
7.1 Projections
Definition 7.1. Let V be a vector space with V = X EEl Y. By Theorem 2.26, every v E V
has a unique decomposition v = x + y with x E X and y E y. Define pX,y : V + X <; V
by
PX,yV = x for all v E V.
PX,y is called the (oblique) projection on X along y.
Figure 7.1 displays the projection of von both X and Y in the case V = ]R2.
y
x
Figure 7.1. Oblique projections.
Theorem 7.2. px.y is linear and pl.
y
= px.y.
Theorem 7.3. A linear transformation P is a projection if and only if it is idempotent, i.e.,
p2 = P. Also, P isaprojectionifandonlyifl P isaprojection. Infact, Py.x = I px.y.
Proof: Suppose P is a projection, say on X along Y (using the notation of Definition 7.1).
51
52 Chapter 7. Projections, Inner Product Spaces, and Norms
Let u e V be arbitrary. Then Pv = P(x + y) = Px = x. Moreover, P
2
v = PPv —
Px = x = Pv. Thus, P
2
= P. Conversely, suppose P
2
= P. Let X = {v e V : Pv = v}
and y = {v € V : Pv = 0}. It is easy to check that X and 3^ are subspaces. We now prove
that V = X 0 y. First note that tfveX, then Pv = v. If v e y, then Pv = 0. Hence
i f v € X n y, then v = 0. Now let u e V be arbitrary. Then v = Pv + (I  P)v. Let
x = Pv, y = (I  P)v. Then Px = P
2
v = Pv = x so x e X, while Py = P(I  P}v =
Pv  P
2
v = 0 so y e y. Thus, V = X 0 y and the projection on X along y is P.
Essentially the same argument shows that / — P is the projection on y along X. D
Definition 7.4. In the speci al case where y = X^, PX.X
L
*
s
called an orthogonal projec
tion and we then use the notati on PX = PX,X
L

Theorem 7.5. P e E"
xn
i s the matri x of an orthogonal projecti on (onto K(P)} i f and only
i fP
2
= p = P
T
.
Proof: Let P be an orthogonal projection (on X, say, along X
L
} and let jc, y e R" be
arbitrary. Note that (/  P)x = (I  PX,X^X = P
x
±,
x
x by Theorem 7.3. Thus,
(/  P)x e X
L
. Since Py e X, we have ( P y f ( I  P)x = y
T
P
T
(I  P)x = 0.
Since x and y were arbitrary, we must have P
T
(I — P) = 0. Hence P
T
= P
T
P = P,
with the second equality following since P
T
P is symmetric. Conversely, suppose P is a
symmetric projection matrix and let x be arbitrary. Write x = Px + (I — P)x. Then
x
T
P
T
(I  P)x = x
T
P(I  P}x = 0. Thus, since Px e U(P), then (/  P)x 6 ft(P)
1
and P must be an orthogonal projection. D
7.1.1 The four fundamental orthogonal projections
Using the notation of Theorems 5.1 and 5.11, let A 6 R
mxn
with SVD A = UT,V
T
=
UtSVf. Then
are easily checked to be (unique) orthogonal projections onto the respective four funda
mental subspaces,
52 Chapter 7. Projections, Inner Product Spaces, and Norms
Let v E V be arbitrary. Then Pv = P(x + y) = Px = x. Moreover, p
2
v = P Pv =
Px = x = Pv. Thus, p2 = P. Conversely, suppose p2 = P. Let X = {v E V : Pv = v}
and Y = {v E V : Pv = OJ. It is easy to check that X and Y are subspaces. We now prove
that V = X $ y. First note that if v E X, then Pv = v. If v E Y, then Pv = O. Hence
if v E X ny, then v = O. Now let v E V be arbitrary. Then v = Pv + (I  P)v. Let
x = Pv, y = (I  P)v. Then Px = p
2
v = Pv = x so x E X, while Py = P(l  P)v =
Pv  p
2
v = 0 so Y E y. Thus, V = X $ Y and the projection on X along Y is P.
Essentially the same argument shows that I  P is the projection on Y along X. 0
Definition 7.4. In the special case where Y = X1, px.xl. is called an orthogonal projec
tion and we then use the notation P
x
= PX.XL
Theorem 7.5. P E jRnxn is the matrix of an orthogonal projection (onto R(P)) if and only
if p2 = P = pT.
Proof: Let P be an orthogonal projection (on X, say, along X 1) and let x, y E jR" be
arbitrary. Note that (I  P)x = (I  px.xJ.)x = PXJ..xx by Theorem 7.3. Thus,
(I  P)x E X1. Since Py E X, we have (py)T (I  P)x = yT pT (I  P)x = O.
Since x and y were arbitrary, we must have pT (I  P) = O. Hence pT = pT P = P,
with the second equality following since pT P is symmetric. Conversely, suppose P is a
symmetric projection matrix and let x be arbitrary. Write x = P x + (I  P)x. Then
x
T
pT (I  P)x = x
T
P(l  P)x = O. Thus, since Px E R(P), then (I  P)x E R(P)1
and P must be an orthogonal projection. 0
7.1 .1 The four fundamental orthogonal projections
Using the notation of Theorems 5.1 and 5.11, let A E jRmxII with SVD A = U!:V
T
U\SVr Then
r
PR(A)
AA+
U\U[
Lu;uT,
;=1
m
PR(A).L
1 AA+
U2
U
! LUiUT,
i=r+l
11
PN(A)
1 A+A
V2V{
L ViVf,
i=r+l
r
PN(A)J.
A+A
VIV{
LViVT
i=l
are easily checked to be (unique) orthogonal projections onto the respective four funda
mental subspaces.
7.1. Projections 53
Example 7.6. Determine the orthogonal projection of a vector v e M" on another nonzero
vector w e R
n
.
Solution: Think of the vector w as an element of the onedimensional subspace IZ(w).
Then the desired projection is simply
(using Example 4.8)
Moreover, the vector z that is orthogonal to w and such that v = Pv + z is given by
z = PK(
W
)±V = (/ — PK(W))V = v — (^^ j w. See Figure 7.2. A direct calculation shows
that z and u; are, in fact, orthogonal:
Figure 7.2. Orthogonal projection on a "line."
Example 7.7. Recall the proof of Theorem 3.11. There, {v\ , ..., Vk} was an orthornormal
basis for a subset S of W
1
. An arbitrary vector x e R" was chosen and a formula for x\
appeared rather mysteriously. The expression for x\ is simply the orthogonal projection of
x on S. Specifically,
Example 7.8. Recall the diagram of the four fundamental subspaces. The indicated direct
sum decompositions of the domain E" and codomain R
m
are given easily as follows.
Let x e W
1
be an arbitrary vector. Then
7.1. Projections 53
Example 7.6. Determine the orthogonal projection of a vector v E IR
n
on another nonzero
vector w E IRn.
Solution: Think of the vector w as an element of the onedimensional subspace R( w).
Then the desired projection is simply
Pn(w)v = ww+v
wwTv
(using Example 4.8)
= (WTV)
T W.
W W
Moreover, the vector z that is orthogonal to wand such that v = P v + z is given by
z = Pn(w)"' v = (l  Pn(w»v = v  ( : ; ~ ) w. See Figure 7.2. A direct calculation shows
that z and ware, in fact, orthogonal:
v
z
Pv w
Figure 7.2. Orthogonal projection on a "line."
Example 7.7. Recall the proof of Theorem 3.11. There, {VI, ... , Vk} was an orthomormal
basis for a subset S of IRn. An arbitrary vector x E IR
n
was chosen and a formula for XI
appeared rather mysteriously. The expression for XI is simply the orthogonal projection of
X on S. Specifically,
Example 7.8. Recall the diagram of the four fundamental subspaces. The indicated direct
sum decompositions of the domain IR
n
and codomain IR
m
are given easily as follows.
Let X E IR
n
be an arbitrary vector. Then
X = PN(A)u + PN(A)X
= A+ Ax + (I  A+ A)x
= VI vt x + V
2
Vi x (recall VVT = I).
54 Chapter 7. Projections, Inner Product Spaces, and Norms
Similarly, let y e ]R
m
be an arbitrary vector. Then
Example 7.9. Let
Then
and we can decompose the vector [2 3 4]
r
uniquely into the sum of a vector in A/' CA)
1
and a vector in J\f(A), respectively, as follows:
7.2 Inner Product Spaces
Definition 7.10. Let V be a vector space over R. Then { • , • ) : V x V
product if
is a real inner
1. (x, x) > Qfor all x 6V and ( x , x } =0 if and only ifx = 0.
2. (x, y) = (y,x)forallx,y e V.
3. { *, cryi + ^2) = a(x, y\) + / 3( j t, y^} for all jc, yi, j2 ^ V and for alia, ft e R.
Example 7.11. Let V = R". Then { ^, y} = X
T
y is the "usual" Euclidean inner product or
dot product.
Example 7.12. Let V = E". Then ( j c, y)
Q
= X
T
Qy, where Q = Q
T
> 0 is an arbitrary
n x n positive definite matrix, defines a "weighted" inner product.
Definition 7.13. If A e R
mx
", then A
T
e R
nxm
is the unique linear transformation or map
such that (x, Ay)  (A
T
x, y) for all x € R
m
and for all y e R".
54 Chapter 7. Projections, Inner Product Spaces, and Norms
Similarly, let Y E IR
m
be an arbitrary vector. Then
Y = PR(A)Y +
= AA+y + (l AA+)y
= U1Ur y + U2U[ Y (recall UU
T
= I).
Example 7.9. Let
Then
1/4
1/4
o
1/4 ]
1/4
o
and we can decompose the vector [2 3 4V uniquely into the sum of a vector in N(A)L
and a vector in N(A), respectively, as follows:
[ ! ] A' Ax + (l  A' A)x
[
1/2 1/2 0] [ 2] [
= ! +
[
5/2] [1/2]
= + .
7.2 Inner Product Spaces
1/2
1/2
o
1/2
1/2
o
Definition 7.10. Let V be a vector space over IR. Then (', .) : V x V + IR is a real inner
product if
1. (x, x) ::: Of or aU x E V and (x, x) = 0 if and only ifx = O.
2. (x, y) = (y, x) for all x, y E V.
3. (x, aYI + PY2) = a(x, Yl) + f3(x, Y2) for all x, Yl, Y2 E V and/or all a, f3 E IR.
Example 7.11. Let V = IRn. Then (x, y) = x
T
Y is the "usual" Euclidean inner product or
dot product.
Example 7.12. Let V = IRn. Then (x, y) Q = X T Qy, where Q = Q T > 0 is an arbitrary
n x n positive definite matrix, defines a "weighted" inner product.
Definition 7.13. If A E IR
m
xn, then ATE IR
n
xm is the unique linear transformation or map
such that {x, Ay) = {AT x, y) for all x E IR
m
andfor all y e IRn.
7.2. Inner Product Spaces 55
It is easy to check that, with this more "abstract" definition of transpose, and if the
(/, y)th element of A is a
(;
, then the (i, y)t h element of A
T
is a/ , . It can also be checked
that all the usual properties of the transpose hold, such as (Afl) = B
T
A
T
. However, the
definition above allows us to extend the concept of transpose to the case of weighted inner
products in the following way. Suppose A e R
mxn
and let {, }g and (•, }
R
, with Q and
R positive definite, be weighted inner products on R
m
and W, respectively. Then we can
define the "weighted transpose" A
#
as the unique map that satisfies
(x, Ay)
Q
= (A
#
x, y)
R
for all x e R
m
and for all y e W
1
.
By Example 7.12 above, we must then have X
T
QAy = x
T
(A
#
) Ry for all x, y. Hence we
must have QA = (A
#
) R. Taking transposes (of the usual variety) gives A
T
Q = RA
#
.
Since R is nonsingular, we find
A* = /r'A' Q.
We can also generalize the notion of orthogonality (x
T
y = 0) to Q orthogonality (Q is
a positive definite matrix). Two vectors x, y e W are <2orthogonal (or conjugate with
respect to Q) if ( x, y}
Q
= X
T
Qy = 0. Q orthogonality is an important tool used in
studying conjugate direction methods in optimization theory.
Definition 7.14. Let V be a vector space over C. Then {, •} : V x V > C is a complex
inner product if
1. ( x, x) > Qfor all x e V and ( x, x) =0 if and only ifx = 0.
2. (x, y) = (y, x) for all x, y e V.
3. (x,ayi + fiy
2
) = a(x, y\) + fi(x, y
2
}forallx, y\, y
2
e V and for alia, ft 6 C.
Remark 7.15. We could use the notation {•, }
c
to denote a complex inner product, but
if the vectors involved are complexvalued, the complex inner product is to be understood.
Note, too, from part 2 of the definition, that ( x, x) must be real for all x.
Remark 7.16. Note from parts 2 and 3 of Definition 7.14 that we have
(ax\ + fix
2
, y) = a(x\, y) + P(x
2
, y}.
Remark 7.17. The Euclidean inner product of x, y e C" is given by
The conventional definition of the complex Euclidean inner product is (x, y} = y
H
x but we
use its complex conjugate x
H
y here for symmetry with the real case.
Remark 7.18. A weighted inner product can be defined as in the real case by (x, y}
Q
—
X
H
Qy, for arbitrary Q = Q
H
> 0. The notion of Q orthogonality can be similarly
generalized to the complex case.
7.2. Inner product Spaces 55
It is easy to check that, with this more "abstract" definition of transpose, and if the
(i, j)th element of A is aij, then the (i, j)th element of AT is ap. It can also be checked
that all the usual properties of the transpose hold, such as (AB) = BT AT. However, the
definition above allows us to extend the concept of transpose to the case of weighted inner
products in the following way. Suppose A E ]Rm xn and let (., .) Q and (., .) R, with Q and
R positive definite, be weighted inner products on IR
m
and IRn, respectively. Then we can
define the "weighted transpose" A # as the unique map that satisfies
(x, AY)Q = (A#x, Y)R for all x E IRm and for all Y E IRn.
By Example 7.l2 above, we must then have x
T
QAy = x
T
(A#{ Ry for all x, y. Hence we
must have QA = (A#{ R. Taking transposes (of the usual variety) gives AT Q = RA#.
Since R is nonsingular, we find
A# = R1A
T
Q.
We can also generalize the notion of orthogonality (x
T
y = 0) to Qorthogonality (Q is
a positive definite matrix). Two vectors x, y E IRn are Qorthogonal (or conjugate with
respect to Q) if (x, y) Q = X T Qy = O. Qorthogonality is an important tool used in
studying conjugate direction methods in optimization theory.
Definition 7.14. Let V be a vector space over <C. Then (., .) : V x V + C is a complex
inner product if
1. (x, x) :::: 0 for all x E V and (x, x) = 0 if and only if x = O.
2. (x, y) = (y, x) for all x, y E V.
3. (x, aYI + f3Y2) = a(x, yll + f3(x, Y2) for all x, YI, Y2 E V andfor all a, f3 E c.
Remark 7.15. We could use the notation (., ·)e to denote a complex inner product, but
if the vectors involved are complexvalued, the complex inner product is to be understood.
Note, too, from part 2 of the definition, that (x, x) must be real for all x.
Remark 7.16. Note from parts 2 and 3 of Definition 7.14 that we have
Remark 7.17. The Euclidean inner product of x, y E C
n
is given by
n
(x, y) = LXiYi = xHy.
i=1
The conventional definition of the complex Euclidean inner product is (x, y) = yH x but we
use its complex conjugate x
H
y here for symmetry with the real case.
Remark 7.1S. A weighted inner product can be defined as in the real case by (x, y)Q =
x
H
Qy, for arbitrary Q = QH > o. The notion of Qorthogonality can be similarly
generalized to the complex case.
56 Chapter 7. Projections, Inner Product Spaces, and Norms
Definition 7.19. A vector space (V, F) endowed with a specific inner product is called an
inner product space. If F = C, we call V a complex inner product space. If F = R, we
call V a real inner product space.
Example 7.20.
1. Check that V = R"
x
" with the inner product (A, B) = Tr A
T
B is a real inner product
space. Note that other choices are possible since by properties of the trace function,
TrA
T
B = TrB
T
A = TrAB
T
= TrBA
T
.
2. Check that V = C
nx
" with the inner product (A, B) = Tr A
H
B is a complex inner
product space. Again, other choices are possible.
Definition 7.21. Let V be an inner product space. For v e V, we define the norm (or
length) ofv by \\v\\ = */(v, v). This is called the norm induced by (  ,  ) .
Example 7.22.
1. If V = E." with the usual inner product, the induced norm is given by   i>   =
xV—*« 9\ 7
( E , =i < Y )
2

2. If V = C" with the usual inner product, the induced norm is given by \\v\\ =
(£ ?
=
, l » ,  l
2
)* .
Theorem 7.23. Let P be an orthogonal projection on an inner product space V. Then
\\Pv\\ < \\v\\forallv e V.
Proof: Since P is an orthogonal projection, P
2
= P = P
#
. (Here, the notation P
#
denotes
the unique linear transformation that satisfies ( P u , v } = (u, P
#
v) for all u, v e V. If this
seems a little too abstract, consider V = R" (or C"), where P
#
is simply the usual P
T
(or
P
H
)). Hence ( P v , v) = (P
2
v, v) = (Pv, P
#
v) = ( P v , Pv) = \\Pv\\
2
> 0. Now /  P is
also a projection, so the above result applies and we get
from which the theorem follows.
Definition 7.24. The norm induced on an inner product space by the "usual" inner product
is called the natural norm.
In case V = C" or V = R", the natural norm is also called the Euclidean norm. In
the next section, other norms on these vector spaces are defined. A converse to the above
procedure is also available. That is, given a norm defined by \\x\\ — • > /(• * > x), an inner
product can be defined via the following.
56 Chapter 7. Projections, Inner Product Spaces, and Norms
Definition 7.19. A vector space (V, IF) endowed with a specific inner product is called an
inner product space. If IF = e, we call V a complex inner product space. If IF = R we
call V a real inner product space.
Example 7.20.
1. Check that V = IR
n
xn with the inner product (A, B) = Tr AT B is a real inner product
space. Note that other choices are possible since by properties of the trace function,
Tr AT B = Tr B T A = Tr A B T = Tr BAT.
2. Check that V = e
nxn
with the inner product (A, B) = Tr AH B is a complex inner
product space. Again, other choices are possible.
Definition 7.21. Let V be an inner product space. For v E V, we define the norm (or
length) ofv by IIvll = J(V,V). This is called the norm induced by (', .).
Example 7.22.
1. If V = IR
n
with the usual inner product, the induced norm is given by II v II
n 2 1
(Li=l V
i
)2.
2. If V = en with the usual inner product, the induced norm is given by II v II =
"n 2 !
(L...i=l IVi I ) .
Theorem 7.23. Let P be an orthogonal projection on an inner product space V. Then
IIPvll ::::: Ilvll for all v E V.
Proof: Since P is an orthogonal projection, p2 = P = pH. (Here, the notation p# denotes
the unique linear transformation that satisfies (Pu, v) = (u, p#v) for all u, v E V. If this
seems a little too abstract, consider V = IR
n
(or en), where p# is simply the usual pT (or
pH)). Hence (Pv, v) = (P
2
v, v) = (Pv, p#v) = (Pv, Pv) = IIPvll
2
::: O. Now / P is
also a projection, so the above result applies and we get
0::::: ((I  P)v. v) = (v. v)  (Pv, v)
= IIvll2  IIPvll
2
from which the theorem follows. 0
Definition 7.24. The norm induced on an inner product space by the "usual" inner product
is called the natural norm.
In case V = en or V = IR
n
, the natural norm is also called the Euclidean norm. In
the next section, other norms on these vector spaces are defined. A converse to the above
procedure is also available. That is, given a norm defined by IIx II = .j(X,X}, an inner
product can be defined via the following.
7.3. Vector Norms 57
Theorem 7.25 (Polarization Identity).
1. For x, y € R", an inner product is defined by
7.3 Vector Norms
Definition 7.26. Let (V, F) be a vector space. Then \ \  \ \ : V >• R is a vector norm if it
satisfies the following three properties:
2. For x, y e C", an inner product is defined by
where j = i = \/—T.
(This is called the triangle inequality, as seen readily from the usual diagram illus
trating the sum of two vectors in R
2
.)
Remark 7.27. It is convenient in the remainder of this section to state results for complex
valued vectors. The specialization to the real case is obvious.
Definition 7.28. A vector space (V, F) is said to be a normed linear space if and only if
there exists a vector norm  •  : V > R satisfying the three conditions of Definition 7.26.
Example 7.29.
1. For x e C", the Holder norms, or pnorms, are defined by
Special cases:
(The second equality is a theorem that requires proof.)
7.3. Vector Norms
Theorem 7.25 (Polarization Identity).
1. For x, y E an inner product is defined by
(x,y)=xTy=
2. For x, y E en, an inner product is defined by
where j = i = .J=I.
7.3 Vector Norms
IIx + yll2 _ IIxll2 _ lIyll2
2
57
Definition 7.26. Let (V, IF) be a vector space. Then II . II : V + IR is a vector norm ifit
satisfies the following three properties:
1. Ilxll::: Of or all x E V and IIxll = 0 ifand only ifx = O.
2. Ilaxll = lalllxllforallx E Vandforalla E IF.
3. IIx + yll :::: IIxll + IIYliforall x, y E V.
(This is called the triangle inequality, as seen readily from the usual diagram illus
trating the sum of two vectors in ]R2 .)
Remark 7.27. It is convenient in the remainder of this section to state results for complex
valued vectors. The specialization to the real case is obvious.
Definition 7.28. A vector space (V, IF) is said to be a normed linear space if and only if
there exists a vector norm II . II : V + ]R satisfying the three conditions of Definition 7.26.
Example 7.29.
1. For x E en, the HOlder norms, or pnorms, are defined by
Special cases:
(a) Ilx III = L:7=1 IXi I (the "Manhattan" norm).
1 1
(b) Ilxllz = (L:7=1Ix;l2)2 = (X
H
X)2 (the Euclidean norm).
(c) Ilxlioo = maxlx;l = lim IIxllp
IE!! p++oo
(The second equality is a theorem that requires proof.)
58 Chapter 7. Projections, Inner Product Spaces, and Norms
2. Some weighted pnorms:
(a)   JC  , .
D
= E^rf/l*/!, where 4 > 0.
(b) I k llz . g — (x
h
Q
X
Y > where Q = Q
H
> 0 (this norm is more commonly
denoted  • 
c
).
3. On the vector space (C[to, t \ ] , R), define the vector norm
On the vector space ((C[to, t\])
n
, R), define the vector norm
Fhcorem 7.30 (Holder Inequality). Let x, y e C". Ther,
A particular case of the Holder inequality is of special interest.
Theorem 7.31 (CauchyBunyakovskySchwarz Inequality). Let x, y e C". Then
with equality if and only if x and y are linearly dependent.
Proof: Consider the matrix [x y] e C"
x2
. Since
is a nonnegative definite matrix, its determinant must be nonnegative. In other words,
0 < ( x
H
x ) ( y
H
y ) — ( x
H
y ) ( y
H
x ) . Since y
H
x = x
H
y, we see immediately that \X
H
y\ <
\\X\\2\\y\\2
D
Note: This is not the classical algebraic proof of the CauchyBunyakovskySchwarz
(CBS) inequality (see, e.g., [20, p. 217]). However, it is particularly easy to remember.
Remark 7.32. The angle 0 between two nonzero vectors x, y e C" may be defined by
cos# = I, „ .^ , 0 < 0 < 5. The CBS inequality is thus equivalent to the statement
IlMmlylb — ^
COS 0 <1.
Remark 7.33. Theorem 7.31 and Remark 7.32 are true for general inner product spaces.
Remark 7.34. The norm  • 
2
is unitarily invariant, i.e., if U € C"
x
" is unitary, then
\\Ux\\
2
= \\x\\
2
(Proof. \\Ux\\l = x
H
U
H
Ux = X
H
X = \\x\\\). However,   , and   1^
58 Chapter 7. Projections, Inner Product Spaces, and Norms
2. Some weighted pnorms:
(a) IIxll1.D = whered; > O.
1
(b) IIx IIz.Q = (x
H
Qx) 2, where Q = QH > 0 (this norm is more commonly
denoted II . IIQ)'
3. On the vector space (C[to, ttl, 1Ft), define the vector norm
11111 = max 1/(t)I·
On the vector space «e[to, ttlr, 1Ft), define the vector norm
1111100 = max II/(t) 11
00
,
Theorem 7.30 (HOlder Inequality). Let x, y E en. Then
I I
+=1.
p q
A particular case of the HOlder inequality is of special interest.
Theorem 7.31 (CauchyBunyakovskySchwarz Inequality). Let x, y E en. Then
with equality if and only if x and yare linearly dependent.
Proof' Consider the matrix [x y] E en
x2
. Since
is a nonnegative definite matrix, its determinant must be nonnegative. In other words,
o (x
H
x)(yH y)  (x
H
y)(yH x). Since yH x = x
H
y, we see immediately that IXH yl
IIxll2l1yllz. 0
Note: This is not the classical algebraic proof of the CauchyBunyakovskySchwarz
(CBS) inequality (see, e.g., [20, p. 217]). However, it is particularly easy to remember.
Remark 7.32. The angle e between two nonzero vectors x, y E en may be defined by
cos e = 0 e I' The CBS inequality is thus equivalent to the statement
1 cose 1 1.
Remark 7.33. Theorem 7.31 and Remark 7.32 are true for general inner product spaces.
Remark 7.34. The norm II . 112 is unitarily invariant, i.e., if U E e
nxn
is unitary, then
IIUxll2 = IIxll2 (Proof IIUxili = XHUHUx = xHx = IIxlli)· However, 11·111 and 1I·IIClO
7.4. Matrix Norms 59
are not unitarily invariant. Similar remarks apply to the unitary invariance of norms of real
vectors under orthogonal transformation.
Remark 7.35. If x, y € C" are orthogonal, then we have the Pythagorean Identity
7.4 Matrix Norms
In this section we introduce the concept of matrix norm. As with vectors, the motivation for
using matrix norms is to have a notion of either the size of or the nearness of matrices. The
former notion is useful for perturbation analysis, while the latter is needed to make sense of
"convergence" of matrices. Attention is confined to the vector space (W
nxn
, R) since that is
what arises in the majority of applications. Extension to the complex case is straightforward
and essentially obvious.
Definition 7.39.  •  : R
mx
" > E is a matrix norm if it satisfies the following three
properties:
2 _ _/ / .
the proof of which follows easily from z2 = z z.
Theorem 7.36. All norms on C" are equivalent; i.e., there exist constants c\, ci (possibly
depending onn) such that
Example 7.37. For x G C", the following inequalities are all tight bounds; i.e., there exist
vectors x for which equality holds:
Finally, we conclude this section with a theorem about convergence of vectors. Con
vergence of a sequence of vectors to some limit vector can be converted into a statement
about convergence of real numbers, i.e., convergence in terms of vector norms.
Theorem 7.38. Let \\ • \\ be a vector norm and suppose v, i»
( 1 )
, v
(2
\ ... e C". Then
7.4. Matrix Norms 59
are not unitarily invariant. Similar remarks apply to the unitary invariance of norms of real
vectors under orthogonal transformation.
Remark 7.35. If x, y E en are orthogonal, then we have the Pythagorean Identity
Ilx ± = +
the proof of which follows easily from liz = ZH z.
Theorem 7.36. All norms on en are equivalent; i.e., there exist constants CI, C2 (possibly
depending on n) such that
Example 7.37. For x E en, the following inequalities are all tight bounds; i.e., there exist
vectors x for which equality holds:
Ilxlll :::: Jn Ilxlb
Ilxll2:::: IIxll»
IIxlloo :::: IIxll»
Ilxlll :::: n IIxlloo;
IIxl12 :::: Jn Ilxll
oo
;
IIxlioo :::: IIxllz.
Finally, we conclude this section with a theorem about convergence of vectors. Con
vergence of a sequence of vectors to some limit vector can be converted into a statement
about convergence of real numbers, i.e., convergence in terms of vector norms.
Theorem 7.38. Let II· II be a vector norm and suppose v, v(l), v(2), ... E en. Then
lim V(k) = v if and only if lim II v(k)  v II = O.
k4+00
7.4 Matrix Norms
In this section we introduce the concept of matrix norm. As with vectors, the motivation for
using matrix norms is to have a notion of either the size of or the nearness of matrices. The
former notion is useful for perturbation analysis, while the latter is needed to make sense of
"convergence" of matrices. Attention is confined to the vector space (IRm xn , IR) since that is
what arises in the majority of applications. Extension to the complex case is straightforward
and essentially obvious.
Definition 7.39. II· II : IR
mxn
IR is a matrix norm if it satisfies the following three
properties:
1. IIAII Of or all A E IR
mxn
and IIAII = 0 if and only if A = O.
2. lIaAl1 = lalliAliforall A E IR
mxn
andfor all a E IR.
3. IIA + BII :::: IIAII + IIBII for all A, BE IRmxn.
(As with vectors, this is called the triangle inequality.)
60 Chapter 7. Projections, Inner Product Spaces, and Norms
Example 7.40. Let A e R
mx
". Then the Frobenius norm (or matrix Euclidean norm) is
defined by
^wncic r = laiiK^/i;;.
Example 7.41. Let A e R
mxn
. Then the matrix pnorms are defined by
The following three special cases are important because they are "computable." Each is a
theorem and requires a proof.
1. The "maximum column sum" norm is
2. The "maximum row sum" norm is
3. The spectral norm is
Example 7.42. Let A E R
mxn
. The Schatten/7norms are defined by
Some special cases of Schatten /?norms are equal to norms defined previously. For example,
 . 
5 2
=  . \\
F
and  • 
5i00
=  • 
2
. The norm  • 
5>1
is often called the trace norm.
Example 7.43. Let A e K
mx
". Then "mixed" norms can also be defined by
Example 7.44. The "matrix analogue of the vector 1norm,"  A\\
s
= ^ j \a
i}
; , is a norm.
The concept of a matrix norm alone is not altogether useful since it does not allow us
to estimate the size of a matrix product A B in terms of the sizes of A and B individually.
60 Chapter 7. Projections, Inner Product Spaces, and Norms
Example 7.40. Let A E lR,mxn. Then the Frobenius norm (or matrix Euclidean norm) is
defined by
IIAIIF ~ (t. t ai;) I ~ (t. altA)) 1 ~ (T, (A' A)) 1 ~ (T, (AA '));
(where r = rank(A)).
Example 7.41. Let A E lR,mxn. Then the matrix pnorms are defined by
IIAxll
IIAII = max _P = max IIAxll .
P Ilxllp;60 Ilxli
p
IIxllp=1 p
The following three special cases are important because they are "computable." Each is a
theorem and requires a proof.
I. The "maximum column sum" norm is
2. The "maximum row sum" norm is
IIAlioo = max
rE!!l. (
t laUI ).
J=1
3. The spectral norm is
tTL T
IIAII2 = Amax(A A) = A ~ a x ( A A ) = a1(A).
Note: IIA+llz = l/ar(A), where r = rank(A).
Example 7.42. Let A E lR,mxn. The Schattenpnorms are defined by
I
IIAlls.p = (at' + ... + a!)"".
Some special cases of Schatten pnorms are equal to norms defined previously. For example,
11·115.2 = II . IIF and 11'115,00 = II . 112' The norm II . 115.1 is often called the trace norm.
Example 7.43. Let A E lR,mxn _ Then "mixed" norms can also be defined by
IIAII = max IIAxil
p
p,q 11.<110#0 IIxllq
Example 7.44. The "matrix analogue of the vector Inorm," IIAlis = Li.j laij I, is a norm.
The concept of a matrix norm alone is not altogether useful since it does not allow us
to estimate the size of a matrix product AB in terms of the sizes of A and B individually.
7.4. Matrix Norms 61
Notice that this difficulty did not arise for vectors, although there are analogues for, e.g.,
inner products or outer products of vectors. We thus need the following definition.
Definition 7.45. Let A e R
mxn
, B e R
nxk
. Then the norms \\ • \\
a
, \\ • \\
p
, and \\ • \\
y
are
mutually consistent if \\ A B \\
a
< \\A\\p\\B\\
y
. A matrix norm\\ • \\ is said to be consistent
if \\AB\\ <  A   fi whenever the matrix product is defined.
Example 7.46.
1.  • /7 and  • 
p
for all p are consistent matrix norms.
2. The "mixed" norm
is a matrix norm but it is not consistent. For example, take A = B = \ \ J1. Then
  Af l  
l i 00
= 2whil e  A 
l i 00
  B 
1 >00
= l.
The p norms are examples of matrix norms that are subordinate to (or induced by)
a vector norm, i.e.,
11^ 4^ 11
(or, more generally, A = max^o ., . .
p
) . For such subordinate norms, also called oper
ator norms, we clearly have Aj c < A1jt. Since   Af ij c  <   A    f l j c  < Aflj t,
it follows that all subordinate norms are consistent.
Theorem 7.47. There exists a vector x* such that Ajt* = A jc* if the matrix normis
subordinate to the vector norm.
Theorem 7.48. If \\ • \\
m
is a consistent matrix norm, there exists a vector norm \\ • \\
v
consistent with it, i.e., H Aj c JI ^ < \\A\\
m
\\x\\
v
.
Not every consistent matrix norm is subordinate to a vector norm. For example,
consider  • \\
F
. Then  A^ 
2
< A
F
j c
2
, so  • 
2
is consistent with  • 
F
, but there does
not exist a vector norm  •  such that A
F
is given by max^o \^ •
Useful Results
The following miscellaneous results about matrix norms are collected for future reference.
The interested reader is invited to prove each of them as an exercise.
2. For A e R"
x
", the following inequalities are all tight, i.e., there exist matrices A for
which equality holds:
7.4. Matrix Norms 61
Notice that this difficulty did not arise for vectors, although there are analogues for, e.g.,
inner products or outer products of vectors. We thus need the following definition.
Definition 7.45. Let A E ]Rmxn, B E ]Rnxk. Then the norms II . II", II· Ilfl' and II . lIy are
mutuallyconsistentifIlABII,,::S IIAllfllIBlly. A matrix norm 11·11 is said to be consistent
if II A B II ::s II A 1111 B II whenever the matrix product is defined.
Example 7.46.
1. II· II F and II . II p for all p are consistent matrix norms.
2. The "mixed" norm
IIAxll1
II· 11
100
= max = max laijl
, x;60 Ilx 1100 i,j
is a matrix norm but it is not consistent. For example, take A = B = [: :]. Then
IIABIII,oo = 2 while IIAIII,ooIlBIII,oo = 1.
The pnorms are examples of matrix norms that are subordinate to (or induced by)
a vector norm, i.e.,
IIAxl1
IIAII = max  = max IIAxl1
x;60 IIx II Ilxll=1
IIAxll .
(or, more generally, IIAllp,q = maxx;60 IIxll
q
P
), For such subordmate norms, also caUedoper
atornorms, wec1earlyhave IIAxll ::s IIAllllxll· Since IIABxl1 ::s IIAlIllBxll ::s IIAIIIIBllllxll,
it follows that all subordinate norms are consistent.
Theorem 7.47. There exists a vector x* such that IIAx*11 = IIAllllx*11 if the matrix norm is
subordinate to the vector norm.
Theorem 7.48. If II . 11m is a consistent matrix norm, there exists a vector norm II . IIv
consistent with it, i.e., IIAxliv ::s IIAlim Ilxli
v
'
Not every consistent matrix norm is subordinate to a vector norm. For example,
consider II . II F' Then II Ax 112 ::s II A II Filx 112, so II . 112 is consistent with II . II F, but there does
not exist a vector norm II . II such that IIAIIF is given by max
x
;60 " , ~ ~ i ' .
Useful Results
The following miscellaneous results about matrix norms are collected for future reference.
The interested reader is invited to prove each of them as an exercise.
1. II In II p = 1 for all p, while IIIn II F = .jii.
2. For A E ]Rnxn, the following inequalities are all tight, i.e., there exist matrices A for
which equality holds:
IIAIII ::s .jii IIAlb
IIAII2 ::s.jii IIAII
I
,
II A 1100 ::s n IIAII
I
,
IIAIIF ::s.jii IIAII
I
,
IIAIII ::s n IIAlloo,
IIAII2 ::s .jii IIAlloo,
IIAlioo ::s .jii IIAII2,
IIAIIF ::s .jii IIAlb
IIAIII ::s .jii II
A
IIF;
IIAII2::S IIAIIF;
IIAlioo ::s .jii IIAIIF;
IIAIIF ::s .jii IIAlioo'
62 Chapter 7. Projections, Inner Product Spaces, and Norms
3. For A eR
mxa
.
4. The norms  • \\
F
and  • 
2
(as well as all the Schatten /?norms, but not necessarily
other pnorms) are unitarily invariant; i.e., for all A e R
mx
" and for all orthogonal
matrices Q zR
mxm
and Z e M"
x
", (MZ
a
=   A 
a
fora = 2 or F.
Convergence
The following theorem uses matrix norms to convert a statement about convergence of a
sequence of matrices into a statement about the convergence of an associated sequence of
scalars.
Theorem 7.49. Let \\ \\bea matrix normand suppose A, A
( 1)
, A
(2)
, ... e R
mx
". Then
EXERCISES
1. If P is an orthogonal projection, prove that P
+
= P.
2. Suppose P and Q are orthogonal projections and P + Q = I. Prove that P — Q
must be an orthogonal matrix.
3. Prove that / — A
+
A is an orthogonal projection. Also, prove directly that V
2
V/ is an
orthogonal projection, where ¥2 is defined as in Theorem 5.1.
4. Suppose that a matrix A e W
nxn
has linearly independent columns. Prove that the
orthogonal projection onto the space spanned by these column vectors is given by the
matrix P = A(A
T
A)~
}
A
T
.
5. Find the (orthogonal) projection of the vector [2 3 4]
r
onto the subspace of R
3
spanned by the plane 3;c — v + 2z = 0.
6. Prove that E"
x
" with the inner product (A, B) = Tr A
T
B is a real inner product
space.
7. Show that the matrix norms  • 
2
and  • \\
F
are unitarily invariant.
8. Definition: Let A e R
nxn
and denote its set of eigenvalues (not necessarily distinct)
by { Ai , . . . , > . „ } . The spectral radius of A is the scalar
62 Chapter 7. Projections, Inner Product Spaces, and Norms
3. For A E IR
mxn
,
max laijl :::: IIAII2 :::: ~ max laijl.
l.] l.]
4. The norms II . IIF and II . 112 (as well as all the Schatten pnorms, but not necessarily
other pnorms) are unitarily invariant; i.e., for all A E IR
mxn
and for all orthogonal
matrices Q E IR
mxm
and Z E IR
nxn
, IIQAZlia = IIAlla fora = 2 or F.
Convergence
The following theorem uses matrix norms to convert a statement about convergence of a
sequence of matrices into a statement about the convergence of an associated sequence of
scalars.
Theorem 7.49. Let II ·11 be a matrix norm and suppose A, A(I), A(2), ... E IRmxn. Then
lim A (k) = A if and only if lim IIA (k)  A II = o.
k ~ + o o k ~ + o o
EXERCISES
1. If P is an orthogonal projection, prove that p+ = P.
2. Suppose P and Q are orthogonal projections and P + Q = I. Prove that P  Q
must be an orthogonal matrix.
3. Prove that I  A + A is an orthogonal projection. Also, prove directly that V
2
Vl is an
orthogonal projection, where V2 is defined as in Theorem 5.1.
4. Suppose that a matrix A E IR
mxn
has linearly independent columns. Prove that the
orthogonal projection onto the space spanned by these column vectors is given by the
matrix P = A(AT A) 1 AT.
5. Find the (orthogonal) projection of the vector [2 3 4f onto the subspace of 1R
3
spanned by the plane 3x  y + 2z = O.
6. Prove that IR
n
xn with the inner product (A, B) = Tr AT B is a real inner product
space.
7. Show that the matrix norms II . 112 and II . IIF are unitarily invariant.
8. Definition: Let A E IR
nxn
and denote its set of eigenvalues (not necessarily distinct)
by P.l, ... , An}. The spectral radius of A is the scalar
p(A) = max IA;I.
i
Exercises 63
Determine A
F
, H AI d , A
2
, H AH ^ , and p(A). (An n x n matrix, all of whose
columns and rows as well as main d iagonal and antid iagonal sum to s = n(n
2
+ l)/2,
is called a "magic square" matrix. I f M is a magic square matrix, it can be proved
that  M U p = s for all/?.)
10. Let A = xy
T
, where both x, y e R" are nonzero. Determine A
F
, Aj, A
2
,
and Aoo in terms of \\x\\
a
and /or \\y\\p, where a and ft take the value 1, 2, or oo as
appropriate.
Let
9. Let
Determine A
F
, \\A\\
lt
A
2
, H A^ , and p(A).
Exercises 63
Let
A = [ ~ 0 ~ ] .
14 12 5
Determine IIAIIF' IIAII
I
, IIAlb IIAlloo, and peA).
9. Let
A = [ ~ ~ ~ ] .
492
Determine IIAIIF' IIAII
I
, IIAlb IIAlloo, and peA). (An n x n matrix, all of whose
columns and rows as well as main diagonal and antidiagonal sum to s = n (n
2
+ 1) /2,
is called a "magic square" matrix. If M is a magic square matrix, it can be proved
that IIMllp = s for all p.)
10. Let A = xyT, where both x, y E IR
n
are nonzero. Determine IIAIIF' IIAIII> IIAlb
and II A 1100 in terms of IIxlla and/or IlylljJ, where ex and {3 take the value 1,2, or (Xl as
appropriate.
This page intentionally left blank This page intentionally left blank
Chapter 8
Li near Least Squares
Problems
8.1 The Li near Least Squares Problem
Problem: Suppose A e R
mx
" with m > n and b <= R
m
is a given vector. The linear least
squares problem consists of finding an element of the set
Solution: The set X has a number of easily verified properties:
1. A vector x e X if and only if A
T
r = 0, where r = b — Ax is the residual associated
with x. The equations A
T
r — 0 can be rewritten in the form A
T
Ax = A
T
b and the
latter form is commonly known as the normal equations, i.e., x e X if and only if
x is a solution of the normal equations. For further details, see Section 8.2.
2. A vector x E X if and onlv if x is of the form
To see why this must be so, write the residual r in the form
Now, (Pn(A)b — AJ C ) is clearly in 7£(A) , while
so these two vectors are orthogonal. Hence,
from the Pythagorean identity (Remark 7.35). Thus, A.x — b\\\ (and hence p ( x ) =
\\Ax —b\\2) assumes its minimum value if and only if
65
Chapter 8
Linear Least Squares
Problems
8.1 The Linear Least Squares Problem
Problem: Suppose A E jRmxn with m 2: nand b E jRm is a given vector. The linear least
squares problem consists of finding an element of the set
x = {x E jRn : p(x) = IIAx  bll
2
is minimized}.
Solution: The set X has a number of easily verified properties:
1. A vector x E X if and only if AT r = 0, where r = b  Ax is the residual associated
with x. The equations AT r = 0 can be rewritten in the form A T Ax = AT b and the
latter form is commonly known as the normal equations, i.e., x E X if and only if
x is a solution of the normal equations. For further details, see Section 8.2.
2. A vector x E X if and only if x is of the form
x=A+b+(IA+A)y, whereyEjRnisarbitrary. (8.1)
To see why this must be so, write the residual r in the form
r = (b  PR(A)b) + (PR(A)b  Ax).
Now, (PR(A)b  Ax) is clearly in 'R(A), while
(b  PR(A)b) = (I  PR(A))b
= PR(A),,b E 'R(A)L
so these two vectors are orthogonal. Hence,
= lib 
= lib  + IIPR(A)b 
from the Pythagorean identity (Remark 7.35). Thus, IIAx  (and hence p(x) =
II Ax  b 112) assumes its minimum value if and only if
(8.2)
65
66 Chapter 8. Linear Least Squares Problems
and this equation always has a solution since AA
+
b e 7£(A). By Theorem 6.3, all
solutions of (8.2) are of the form
where y e W is arbitrary. The minimum value of p ( x ) is then clearly equal to
the last inequality following by Theorem 7.23.
3. X is convex. To see why, consider two arbitrary vectors jci = A
+
b + (I — A+A)y
and *2 = A+b + (I — A+A)z in X. Let 6 e [0, 1]. Then the convex combination
0*i + (1  #)*
2
= A+b + (I  A
+
A)(Oy + (1  0)z) is clearly in X.
4. X has a unique element x* of minimal 2norm. In fact, x* = A
+
b is the unique vector
that solves this "double minimization" problem, i.e., x * minimizes the residual p ( x )
and is the vector of minimum 2norm that does so. This follows immediately from
convexity or directly from the fact that all x e X are of the form (8.1) and
which follows since the two vectors are orthogonal.
5. There is a unique solution to the least squares problem, i.e., X = {x*} = {A+b}, if
and only if A
+
A = I or, equivalently, if and only if rank (A) = n.
Just as for the solution of linear equations, we can generalize the linear least squares
problem to the matrix case.
Theorem 8.1. Let A e E
mx
" and B € R
mxk
. The general solution to
is of the form
where Y € R"
xfc
is arbitrary. The unique solution of minimum 2norm or Fnorm is
X = A+B.
Remark 8.2. Notice that solutions of the linear least squares problem look exactly the
same as solutions of the linear system AX = B. The only difference is that in the case
of linear least squares solutions, there is no "existence condition" such as K(B) c 7£(A).
If the existence condition happens to be satisfied, then equality holds and the least squares
66 Chapter 8. Linear Least Squares Problems
and this equation always has a solution since AA+b E R(A). By Theorem 6.3, all
solutions of (8.2) are of the form
x = A+ AA+b + (I  A+ A)y
=A+b+(IA+A)y,
where y E ]R.n is arbitrary. The minimum value of p (x) is then clearly equal to
lib  PR(A)bll
z
= 11(1  AA+)bI1
2
~ Ilbll z,
the last inequality following by Theorem 7.23.
3. X is convex. To see why, consider two arbitrary vectors Xl = A + b + (I  A + A) y
and Xz = A+b + (I  A+ A)z in X. Let 8 E [0,1]. Then the convex combination
8x, + (1  8)xz = A+b + (I  A+ A)(8y + (1  8)z) is clearly in X.
4. X has a unique element x" of minimal2norm. In fact, x" = A + b is the unique vector
that solves this "double minimization" problem, i.e., x* minimizes the residual p(x)
and is the vector of minimum 2norm that does so. This follows immediately from
convexity or directly from the fact that all x E X are of the form (8.1) and
which follows since the two vectors are orthogonal.
5. There is a unique solution to the least squares problem, i.e., X = {x"} = {A+b}, if
and only if A + A = lor, equivalently, if and only if rank(A) = n.
Just as for the solution of linear equations, we can generalize the linear least squares
problem to the matrix case.
Theorem 8.1. Let A E ]R.mxn and BE ]R.mxk. The general solution to
min IIAX  Bib
XElR
Plxk
is of the form
X=A+B+(IA+A)Y,
where Y E ]R.nxk is arbitrary. The unique solution of minimum 2norm or Fnorm is
X = A+B.
Remark 8.2. Notice that solutions of the linear least squares problem look exactly the
same as solutions of the linear system AX = B. The only difference is that in the case
of linear least squares solutions, there is no "existence condition" such as R(B) S; R(A).
If the existence condition happens to be satisfied. then equality holds and the least squares
8.3 Linear Regression and Other Linear Least Squares Problems 67
residual is 0. Of all solutions that give a residual of 0, the unique solution X = A
+
B has
minimum 2norm or Fnorm.
Remark 8.3. If we take B = I
m
in Theorem 8.1, then X = A
+
can be interpreted as
saying that the MoorePenrose pseudoinverse of A is the best (in the matrix 2norm sense)
matrix such that AX approximates the identity.
Remark 8.4. Many other interesting and useful approximation results are available for the
matrix 2norm (and Fnorm). One such is the following. Let A e M™
x
" with SVD
8.2 Geometric Solution
Looking at the schematic provided in Figure 8.1, it is apparent that minimizing  Ax — b\\
2
is equivalent to finding the vector x e W
1
for which p — Ax is closest to b (in the Euclidean
norm sense). Clearly, r = b — Ax must be orthogonal to 7£(A). Thus, if Ay is an arbitrary
vector in 7£(A) (i.e., y is arbitrary), we must have
Then a best rank k approximation to A for l <f c <r , i . e . , a solution to
is given by
The special case in which m = n and k = n — 1 gives a nearest singular matrix to A e
Since y is arbitrary, we must have A
T
b — A
T
Ax = 0 or A
r
A;c = A
T
b.
Special case: If A is full (column) rank, then x = (A
T
A) A
T
b.
8.3 Linear Regression and Other Linear Least Squares
Problems
8.3.1 Example: Linear regression
Suppose we have m measurements (t\,y\), . . . , (t
m
,y
m
) for which we hypothesize a linear
(affine) relationship
8.3 Linear Regression and Other Linear Least Squares Problems 67
residual is O. Of all solutions that give a residual of 0, the unique solution X = A + B has
minimum 2norm or F norm.
Remark 8.3. If we take B = 1m in Theorem 8.1, then X = A+ can be interpreted as
saying that the MoorePenrose pseudoinverse of A is the best (in the matrix 2norm sense)
matrix such that AX approximates the identity.
Remark 8.4. Many other interesting and useful approximation results are available for the
matrix 2norm (and F norm). One such is the following. Let A E with SVD
A = = LOiUiV!.
i=l
Then a best rank k approximation to A for 1 :s k :s r, i.e., a solution to
min IIA  MIi2,
MEJRZ'xn
is given by
k
Mk = LOiUiV!.
i=1
The special case in which m = nand k = n  1 gives a nearest singular matrix to A E x n .
8.2 Geometric Solution
Looking at the schematic provided in Figure 8.1, it is apparent that minimizing IIAx  bll
2
is equivalent to finding the vector x E lR
n
for which p = Ax is closest to b (in the Euclidean
norm sense). Clearly, r = b  Ax must be orthogonal to R(A). Thus, if Ay is an arbitrary
vector in R(A) (i.e., y is arbitrary), we must have
0= (Ay)T (b  Ax)
=yTAT(bAx)
= yT (ATb _ AT Ax).
Since y is arbitrary, we must have AT b  AT Ax = 0 or AT Ax = AT b.
Special case: If A is full (column) rank, then x = (AT A)l ATb.
8.3 Linear Regression and Other Linear Least Squares
Problems
8.3.1 Example: Linear regression
Suppose we have m measurements (ll, YI), ... , (trn, Ym) for which we hypothesize a linear
(affine) relationship
y = at + f3
(8.3)
68 Chapter 8. Linear Least Squares Problems
Figure 8.1. Projection of b on K(A).
for certain constants a. and ft. One way to solve this problem is to find the line that best fits
the data in the least squares sense; i.e., with the model (8.3), we have
where &\,..., 8
m
are "errors" and we wish to minimize 8\ + • • • + 8^ Geometrically, we
are trying to find the best line that minimizes the (sum of squares of the) distances from the
given data points. See, for example, Figure 8.2.
Figure 8.2. Simple linear regression.
Note that distances are measured in the vertical sense from the points to the line (as
indicated, for example, for the point (t\, y\}}. However, other criteria arc possible. For ex
ample, one could measure the distances in the horizontal sense, or the perpendicular distance
from the points to the line could be used. The latter is called total least squares. Instead
of 2norms, one could also use 1norms or oonorms. The latter two are computationally
68 Chapter 8. Linear Least Squares Problems
b
r
p=Ax Ay E R(A)
Figure S.l. Projection of b on R(A).
for certain constants a and {3. One way to solve this problem is to find the line that best fits
the data in the least squares sense; i.e., with the model (8.3), we have
YI = all + {3 + 81,
Y2 = al2 + {3 + 82
where 8
1
, ... , 8
m
are "errors" and we wish to minimize 8? + ... + 8;. Geometrically, we
are trying to find the best line that minimizes the (sum of squares of the) distances from the
given data points. See, for example, Figure 8.2.
y
Figure 8.2. Simple linear regression.
Note that distances are measured in the venical sense from the point!; to [he line (a!;
indicated. for example. for the point (tl. YIn. However. other criteria nrc For cx
ample, one could measure the distances in the horizontal sense, or the perpendiculnr distance
from the points to the line could be used. The latter is called total least squares. Instead
of 2norms, one could also use Inorms or oonorms. The latter two are computationally
8.3. Linear Regression and Other Linear Least Squares Problems 69
much more difficult to handle, and thus we present only the more tractable 2norm case in
text that follows.
The ra "error equations" can be written in matrix form as
where
We then want to solve the problem
or, equivalently,
Solution: x — [^1 is a solution of the normal equations A
T
Ax = A
T
y where, for the
special form of the matrices above, we have
and
8.3.2 Other least squares problems
Suppose the hypothesized model is not the linear equation (8.3) but rather is of the form
y = f ( t ) =
Cl
0!(0+ • • • 4 c
n
<t>
n
(t). (8.5)
In (8.5) the < / > ,(0 are given (basis) functions and the c
;
are constants to be determined to
minimize the least squares error. The matrix problem is still (8.4), where we now have
An important special case of (8.5) is least squares polynomial approximation, which
corresponds to choosing 0,• (?) = t'~
l
, i
;
e n, although this choice can lead to computational
The solution for the parameters a and ft can then be written
8.3. Linear Regression and Other Linear Least Squares Problems 69
much more difficult to handle, and thus we present only the more tractable 2norm case in
text that follows.
The m "error equations" can be written in matrix form as
Y = Ax +0,
where
We then want to solve the problem
minoT 0 = min (Ax  y)T (Ax  y)
x
or, equivalently,
min = min II Ax 
x
Solution: x = is a solution of the normal equations AT Ax
special form of the matrices above, we have
and
AT Y = [ Li ti Yi J.
LiYi
The solution for the parameters a and f3 can then be written
8.3.2 Other least squares problems
(8.4)
AT y where, for the
Suppose the hypothesized model is not the linear equation (S.3) but rather is of the form
(8.5)
In (8.5) the ¢i(t) are given (basis) functions and the Ci are constants to be determined to
minimize the least squares error. The matrix problem is still (S.4), where we now have
An important special case of (8.5) is least squares polynomial approximation, which
corresponds to choosing ¢i (t) = t
i

1
, i E !!, although this choice can lead to computational
70 Chapter 8. Linear Least Squares Problems
difficulties because of numerical ill conditioning for large n. Numerically better approaches
are based on orthogonal polynomials, piecewise polynomial functions, splines, etc.
The key feature in (8.5) is that the coefficients c, appear linearly. The basis functions
< / > , can be arbitrarily nonlinear. Sometimes a problem in which the c, 's appear nonlinearly
can be converted into a linear problem. For example, if the fitting function is of the form
y = f ( t ) = c\e
C2i
, then taking logarithms yields the equation logy = logci + cjt. Then
defining y — logy, c\ = logci, and GI = cj_ results in a standard linear least squares
problem.
8.4 Least Squares and Singular Value Decomposition
In the numerical linear algebra literature (e.g., [4], [7], [11], [23]), it is shown that solution
of linear least squares problems via the normal equations can be a very poor numerical
method in finite precision arithmetic. Since the standard Kalman filter essentially amounts
to sequential updating of normal equations, it can be expected to exhibit such poor numerical
behavior in practice (and it does). Better numerical methods are based on algorithms that
work directly and solely on A itself rather than A
T
A. Two basic classes of algorithms are
based on S VD and QR (orthogonal upper triangular) factorization, respectively. The former
is much more expensive but is generally more reliable and offers considerable theoretical
insight.
In this section we investigate solution of the linear least squares problem
The last equality follows from the fact that if v = [£ ], then u^ =   i> i \\\ + \\vi\\\ (note
that orthogonality is not what is used here; the subvectors can have different lengths). This
explains why it is convenient to work above with the square of the norm rather than the
norm. As far as the minimization is concerned, the two are equivalent. In fact, the last
quantity above is clearly minimized by taking z\ = S~
l
c\. The subvector z
2
is arbitrary,
while the minimum value of \\Ax — b\\^ is l ^l l r
via the SVD. Specifically, we assume that A has an SVD given by A = UT, V
T
= U\SVf
as in Theorem 5.1. We now note that
70 Chapter 8. Linear Least Squares Problems
difficulties because of numerical ill conditioning for large n. Numerically better approaches
are based on orthogonal polynomials, piecewise polynomial functions, splines, etc.
The key feature in (8.5) is that the coefficients Ci appear linearly. The basis functions
¢i can be arbitrarily nonlinear. Sometimes a problem in which the Ci'S appear nonlinearly
can be converted into a linear problem. For example, if the fitting function is of the form
Y = f (t) = c, e
C2
/ , then taking logarithms yields the equation log y = log c, + c2f. Then
defining y = log y, c, = log c" and C2 = C2 results in a standard linear least squares
problem.
8.4 Least Squares and Singular Value Decomposition
In the numerical linear algebra literature (e.g., [4], [7], [11], [23]), it is shown that solution
of linear least squares problems via the normal equations can be a very poor numerical
method in finiteprecision arithmetic. Since the standard Kalman filter essentially amounts
to sequential updating of normal equations, it can be expected to exhibit such poor numerical
behavior in practice (and it does). Better numerical methods are based on algorithms that
work directly and solely on A itself rather than AT A. Two basic classes of algorithms are
based on SVD and QR (orthogonalupper triangular) factorization, respectively. The former
is much more expensive but is generally more reliable and offers considerable theoretical
insight.
In this section we investigate solution of the linear least squares problem
min II Ax  b11
2
, A E IR
mxn
, bE IR
m
, (8.6)
x
via the SVD. Specifically, we assume that A has an SVD given by A = = U,SVr
as in Theorem 5.1. We now note that
IIAx  = x 
= II VT X  U
T
bll; since II . Ib is unitarily invariant
wherez=VTx,c=UTb
= II [ ]  [ ] II:
= II [ c, ] II:
The last equality follows from the fact that if v = then II v II = II viii + II v211 (note
that orthogonality is not what is used here; the subvectors can have different lengths). This
explains why it is convenient to work above with the square of the norm rather than the
norm. As far as the minimization is concerned. the two are equivalent. In fact. the last
quantity above is clearly minimized by taking z, = S'c,. The subvector Z2 is arbitrary,
while the minimum value of II Ax  b II is II czll
8.5. Least Squares and QR Factorization 71
Now transform back to the original coordinates:
The last equality follows from
Note that since 12 is arbitrary, V
2
z
2
is an arbitrary vector in 7Z(V
2
) = A/"(A). Thus, x has
been written in the form x = A
+
b + (/ — A
+
A ) _ y, where y e R
m
is arbitrary. This agrees,
of course, with (8.1).
The minimum value of the least squares residual is
and we clearly have that
minimum least squares residual is 0 4=> b is orthogonal to all vectors in U
2
•<=^ b is orthogonal to all vectors in 7l(A}
L
Another expression for the minimum residual is  (/ — AA
+
) b 
2
. This follows easily since
(7  AA+)b\\
2
2
 \\U2Ufb\\l = b
T
U
2
U^U
2
UJb = b
T
U
2
U*b = \\U?b\\
2
2
.
Finally, an important special case of the linear least squares problem is the
socalled fullrank problem, i.e., A e 1R™
X
" . In this case the SVD of A is given by
A = UZV
T
= [U
{
t/ 2][o]^i
r
> and there is thus "no V
2
part" to the solution.
8.5 Least Squares and QR Factorization
In this section, we again look at the solution of the linear least squares problem (8.6) but this
time in terms of the QR factorization. This matrix factorization is much cheaper to compute
than an SVD and, with appropriate numerical enhancements, can be quite reliable.
To simplify the exposition, we add the simplifying assumption that A has full column
rank, i.e., A e R™
X M
. It is then possible, via a sequence of socalled Householder or Givens
transformations, to reduce A in the following way. A finite sequence of simple orthogonal
row transformations (of Householder or Givens type) can be performed on A to reduce it
to triangular form. If we label the product of such orthogonal row transformations as the
orthogonal matrix Q
T
€ R
mxm
, we have
B.S. Least Squares and QR Factorization 71
Now transform back to the original coordinates:
x = Vz
= [VI V
2
1 [ ]
= VIZI + V2Z2
= VISici + V2Z2
= vlsIufb + V
2
Z
2
.
The last equality follows from
c = U T b = [ f: ] = [ l
Note that since Z2 is arbitrary, V
2
Z
2
is an arbitrary vector in R(V
2
) = N(A). Thus, x has
been written in the form x = A + b + (I  A + A) y, where y E ffi.m is arbitrary. This agrees,
of course, with (8.1).
The minimum value of the least squares residual is
and we clearly have that
minimum least squares residual is 0 {::=:} b is orthogonal to all vectors in U2
{::=:} b is orthogonal to all vectors in R(A)l.
{::=:} b E R(A).
Another expression for the minimum residual is II (I  AA +)bllz. This follows easily since
11(1 = = b
T
U
Z
V!V
2
V!b = bTVZV!b =
Finally, an important special case of the linear least squares problem is the
socalled fullrank problem, i.e., A E In this case the SVD of A is given by
A = V:EV
T
= [VI Vzl[g]Vr, and there is thus "no V
2
part" to the solution.
8.5 Least Squares and QR Factorization
In this section, we again look at the solution of the linear least squares problem (8.6) but this
time in terms of the QR factorization. This matrix factorization is much cheaper to compute
than an SVD and, with appropriate numerical enhancements, can be quite reliable.
To simplify the exposition, we add the simplifying assumption that A has full column
rank, i.e., A E It is then possible, via a sequence of socalled Householder or Givens
transformations, to reduce A in the following way. A finite sequence of simple orthogonal
row transformations (of Householder or Givens type) can be performed on A to reduce it
to triangular form. If we label the product of such orthogonal row transformations as the
orthogonal matrix QT E ffi.mxm, we have
(8.7)
72 Chapter 8. Linear Least Squares Problems
where R e M£
x
" is upper triangular. Now write Q = [Q\ Q
2
], where Q\ e R
mx
" and
Q
2
€ K"
IX(m
~"
)
. Both Q\ and <2
2
have orthonormal columns. Multiplying through by Q
in (8.7), we see that
Any of (8.7), (8.8), or (8.9) are variously referred to as QR factorizations of A. Note that
(8.9) is essentially what is accomplished by the GramSchmidt process, i.e., by writing
AR~
l
= Q\ we see that a "triangular" linear combination (given by the coefficients of
R~
l
) of the columns of A yields the orthonormal columns of Q\.
Now note that
The last quantity above is clearly minimized by taking x = R
l
c\ and the minimum residual
is \\C 2\\2 Equivalently, we have x = R~
l
Q\b = A
+
b and the minimum residual is IIC?^!^
EXERCISES
1. For A € W
xn
, b e E
m
, and any y e R", check directly that (I  A
+
A)y and A
+
b
are orthogonal vectors.
2. Consider the following set of measurements (*,, y
t
):
(a) Find the best (in the 2norm sense) line of the form y = ax + ft that fits this
data.
(b) Find the best (in the 2norm sense) line of the form jc = ay + (3 that fits this
data.
3. Suppose qi and q
2
are two orthonormal vectors and b is a fixed vector, all in R".
(a) Find the optimal linear combination aq^ + fiq
2
that is closest to b (in the 2norm
sense).
(b) Let r denote the "error vector" b — ctq\ — flq
2
 Show that r is orthogonal to
both^i and q
2
.
72 Chapter 8. Linear Least Squares Problems
where R E is upper triangular. Now write Q = [QI Qz], where QI E ffi.mxn and
Qz E ffi.m x (mn). Both Q I and Qz have orthonormal columns. Multiplying through by Q
in (8.7), we see that
(8.8)
= [QI Qz] [ ]
= QIR.
(8.9)
Any of (8.7), (8.8), or (8.9) are variously referred to as QR factorizations of A. Note that
(8.9) is essentially what is accomplished by the GramSchmidt process, i.e., by writing
AR
1
= QI we see that a "triangular" linear combination (given by the coefficients of
R
I
) of the columns of A yields the orthonormal columns of Q I.
Now note that
IIAx  = IIQ
T
Ax  since II . 112 is unitarily invariant
= II [ ] x  [ ] If:,
The last quantity above is clearly minimized by taking x = R
I
Cl and the minimum residual
is Ilczllz. Equivalently, we have x = R
1
Qf b = A +b and the minimum residual is II Qr bllz'
EXERCISES
1. For A E ffi.
mxn
, b E ffi.
m
, and any y E ffi.
n
, check directly that (I  A + A)y and A +b
are orthogonal vectors.
2. Consider the following set of measurements (Xi, Yi):
(1,2), (2,1), (3,3).
(a) Find the best (in the 2norm sense) line of the form y = ax + fJ that fits this
data.
(b) Find the best (in the 2norm sense) line of the form x = ay + fJ that fits this
data.
3. Suppose q, and qz are two orthonormal vectors and b is a fixed vector, all in ffi.
n
•
(a) Find the optimallinear combination aql + (3q2 that is closest to b (in the 2norm
sense).
(b) Let r denote the "error vector" b  aql  {3qz. Show that r is orthogonal to
both ql and q2.
Exercises 73
4. Find all solutions of the linear least squares problem
5. Consider the problem of finding the minimum 2norm solution of the linear least
«rmarp« nrr»h1<=>m
(a) Consider a perturbation E\ = [
0
pi of A, where 8 is a small positive number.
Solve the perturbed version of the above problem,
where AI = A + E\. What happens to jt* — y 
2
as 8 approaches 0?
(b) Now consider the perturbation EI = \
0 s
~\ of A, where again 8 is a small
positive number. Solve the perturbed problem
where A
2
— A + E
2
. What happens to \\x* — z
2
as 8 approaches 0?
6. Use the four Penrose conditions and the fact that Q\ has orthonormal columns to
verify that if A e R™
x
" can be factored in the form (8.9), then A+ = R~
l
Q\.
1. Let A e R"
x
", not necessarily nonsingular, and suppose A = QR, where Q is
orthogonal. Prove that A
+
= R
+
Q
T
.
Exercises 73
4. Find all solutions of the linear least squares problem
min II Ax  bll
2
x
when A = [
5. Consider the problem of finding the minimum 2norm solution of the linear least
squares problem
min II Ax  bl1
2
x
when A = ] and b = [ ! 1 The solution is
(a) Consider a perturbation EI = of A, where 8 is a small positive number.
Solve the perturbed version of the above problem,
where AI = A + E
I
. What happens to IIx*  yII2 as 8 approaches O?
(b) Now consider the perturbation E2 = n of A, where again 8 is a small
positive number. Solve the perturbed problem
min II A
2
z  bib
z
where A2 = A + E
2
• What happens to IIx*  zll2 as 8 approaches O?
6. Use the four Penrose conditions and the fact that QI has orthonormal columns to
verify that if A E can be factored in the form (8.9), then A+ = R
I
Qf.
7. Let A E not necessarily nonsingular, and suppose A = QR, where Q is
orthogonal. Prove that A + = R+ QT .
This page intentionally left blank This page intentionally left blank
Chapter 9
Eigenvalues and
Eigenvectors
9.1 Fundamental Definitions and Properties
Definition 9.1. A nonzero vector x e C" is a right eigenvector of A e C
nxn
if there exists
a scalar A. e C, called an eigenvalue, such that
Similarly, a nonzero vector y e C" is a left eigenvector corresponding to an eigenvalue
a if
By taking Hermitian transposes in (9.1), we see immediately that X
H
is a left eigen
vector of A
H
associated with A . Note that if x [y] is a right [left] eigenvector of A, then
so is ax [ay] for any nonzero scalar a E C. One oftenused scaling for an eigenvector is
a — \j';t so that the scaled eigenvector has norm 1. The 2norm is the most common
norm used for such scaling.
Definition 9.2. The polynomial n (A.) = det(A —A ,/ ) is called the characteristic polynomial
of A. (Note that the characteristic polynomial can also be defined as det(A . / — A ). This
results in at most a change of sign and, as a matter of convenience, we use both forms
throughout the text.}
The following classical theorem can be very useful in hand calculation. It can be
proved easily from the Jordan canonical form to be discussed in the text to follow (see, for
example, [21]) or directly using elementary properties of inverses and determinants (see,
for example, [3]).
Theorem 9.3 (CayleyHamilton). For any A e C
nxn
, n(A) = 0.
Example 9.4. Let A = [~g ~g] . Then n(k) = X
2
+ 2A , — 3. It is an easy exercise to
verify that n(A) = A
2
+ 2A  31 = 0.
It can be proved from elementary properties of determinants that if A e C"
x
", then
7 t (X) is a polynomial of degree n. Thus, the Fundamental Theorem of A lgebra says that
75
Chapter 9
Eigenvalues and
Eigenvectors
9.1 Fundamental Definitions and Properties
Definition 9.1. A nonzero vector x E en is a right eigenvector of A E e
nxn
if there exists
a scalar A E e, called an eigenvalue, such that
Ax = AX. (9.1)
Similarly, a nonzero vector y E en is a left eigenvector corresponding to an eigenvalue
Mif
(9.2)
By taking Hennitian transposes in (9.1), we see immediately that x
H
is a left eigen
vector of A H associated with I. Note that if x [y] is a right [left] eigenvector of A, then
so is ax [ay] for any nonzero scalar a E C. One oftenused scaling for an eigenvector is
a = 1/ IIx II so that the scaled eigenvector has nonn 1. The 2nonn is the most common
nonn used for such scaling.
Definition 9.2. The polynomialn (A) = det (A  A l) is called the characteristic polynomial
of A. (Note that the characteristic polynomial can also be defined as det(Al  A). This
results in at most a change of sign and, as a matter of convenience, we use both forms
throughout the text.)
The following classical theorem can be very useful in hand calculation. It can be
proved easily from the Jordan canonical fonn to be discussed in the text to follow (see, for
example, [21D or directly using elementary properties of inverses and determinants (see,
for example, [3]).
Theorem 9.3 (CayleyHamilton). For any A E e
nxn
, n(A) = O.
Example 9.4. Let A = [  ~  ~ ] . Then n(A) = A2 + 2A  3. It is an easy exercise to
verify that n(A) = A2 + 2A  31 = O.
It can be proved from elementary properties of detenninants that if A E e
nxn
, then
n(A) is a polynomial of degree n. Thus, the Fundamental Theorem of Algebra says that
75
and set X = 0 in this identity, we get the interesting fact that del (A) = AI • A.2 • • • A
M
(see
also Theorem 9.25).
If A e W
xn
, then n(X) has real coefficients. Hence the roots of 7 r( A) , i.e., the
eigenvalues of A, must occur in complex conjugate pairs.
Example 9.6. Let a, ft e R and let A = [ _^ £ ]. Then jr( A. ) = A.
2
 2aA + a
2
+ ft
2
and
A has eigenvalues a ± fij (where j = i = •>/—!)•
If A € R"
x
", then there is an easily checked relationship between the left and right
eigenvectors of A and A
T
(take Hermitian transposes of both sides of (9.2)). Specifically, if
y is a left eigenvector of A corresponding to A e A( A) , then y is a right eigenvector of A
T
corresponding to A. € A ( A) . Note, too, that by elementary properties of the determinant,
we always have A ( A ) = A ( A
r
) , but that A ( A ) = A ( A ) only if A e R"
x
".
Definition 9.7. IfX is a root of multiplicity m ofjr(X), we say that X is an eigenvalue of A
of algebraic multiplicity m. The geometric multiplicity ofX is the number of associated
independent eigenvectors = n — rank( A — A/) = dim J \ f(A — XI).
If A € A ( A ) has algebraic multiplicity m, then 1 < di mA/ "(A — A/) < m. Thus, if
we denote the geometric multiplicity of A by g, then we must have 1 < g < m.
Definition 9.8. A matrix A e W
x
" is said to be defective if it has an eigenvalue whose
geometric multiplicity is not equal to (i.e., less than) its algebraic multiplicity. Equivalently,
A is said to be defective if it does not have n linearly independent (right or left) eigenvectors.
From the CayleyHamilton Theorem, we know that n(A) = 0. However, it is pos
sible for A to satisfy a lowerorder polynomial. For example, if A = \
1
Q
®], then A sat
isfies (1 — I)
2
= 0. But it also clearly satisfies the smaller degree polynomial equation
a  n = o.
Definition 5.5. The minimal polynomial of A G K""" is the polynomial o/ (X) of least
degree such that a (A) =0.
It can be shown that or(l) is essentially unique (unique if we force the coefficient
of the highest power of A to be +1, say; such a polynomial is said to be monic and we
generally write et (A) as a monic polynomial throughout the text). Moreover, it can also be
7 6 Chapt er 9. Ei g e n va l ue s and Ei genvect ors
7 r( A) has n roots, possibly repeated. These roots, as solutions of the determinant equation
are the eigenvalues of A and imply the singularity of the matrix A — XI, and hence further
guarantee the existence of corresponding nonzero eigenvectors.
Definition 9.5. The spectrum of A e C"
x
" is the set of all eigenvalues of A, i.e., the set of
all roots of its characteristic polynomial n(X). The spectrum of A is denoted A ( A) .
Let the eigenvalues of A e C"
x
" be denoted X\ ,..., X
n
. Then if we write (9.3) in the
form
76 Chapter 9. Eigenvalues and Eigenvectors
n(A) has n roots, possibly repeated. These roots, as solutions of the determinant equation
n(A) = det(A  AI) = 0, (9.3)
are the eigenvalues of A and imply the singularity of the matrix A  AI, and hence further
guarantee the existence of corresponding nonzero eigenvectors.
Definition 9.5. The spectrum of A E c
nxn
is the set of all eigenvalues of A, i.e., the set of
all roots of its characteristic polynomialn(A). The spectrum of A is denoted A(A).
Let the eigenvalues of A E en xn be denoted A], ... , An. Then if we write (9.3) in the
form
n(A) = det(A  AI) = (A]  A) ... (An  A) (9.4)
and set A = 0 in this identity, we get the interesting fact that det(A) = A] . A2 ... An (see
also Theorem 9.25).
If A E 1Ftnxn, then n(A) has real coefficients. Hence the roots of n(A), i.e., the
eigenvalues of A, must occur in complex conjugate pairs.
Example 9.6. Let a, f3 E 1Ft and let A = [ ~ f 3 !]. Then n(A) = A
2
 2aA + a
2
+ f32 and
A has eigenvalues a ± f3j (where j = i = R).
If A E 1Ftnxn, then there is an easily checked relationship between the left and right
eigenvectors of A and AT (take Hermitian transposes of both sides of (9.2». Specifically, if
y is a left eigenvector of A corresponding to A E A(A), then y is a right eigenvector of AT
corresponding to I E A(A). Note, too, that by elementary properties of the determinant,
we always have A(A) = A(AT), but that A(A) = A(A) only if A E 1Ftnxn.
Definition 9.7. If A is a root of multiplicity m of n(A), we say that A is an eigenvalue of A
of algebraic multiplicity m. The geometric multiplicity of A is the number of associated
independent eigenvectors = n  rank(A  AI) = dimN(A  AI).
If A E A(A) has algebraic multiplicity m, then I :::: dimN(A  AI) :::: m. Thus, if
we denote the geometric multiplicity of A by g, then we must have I :::: g :::: m.
Definition 9.8. A matrix A E 1Ft
nxn
is said to be defective if it has an eigenvalue whose
geometric multiplicity is not equal to (i.e., less than) its algebraic multiplicity. Equivalently,
A is said to be defective if it does not have n linearly independent (right or left) eigenvectors.
From the CayleyHamilton Theorem, we know that n(A) = O. However, it is pos
sible for A to satisfy a lowerorder polynomial. For example, if A = [ ~ ~ ] , then A sat
isfies (Je  1)2 = O. But it also clearly satisfies the smaller degree polynomial equation
(it.  1) ;;;:; 0
neftnhion ~ . ~ . Thll minimal polynomial Of A l::: l!if.nxn ix (hI' polynomilll a(A) oJ IPll.ft
degree such that a(A) ~ O.
It can be shown that a(Je) is essentially unique (unique if we force the coefficient
of the highest power of A to be + 1. say; such a polynomial is said to be monic and we
generally write a(A) as a monic polynomial throughout the text). Moreover, it can also be
9.1. Fundamental Definitions and Properties 77
shown that a (A.) divides every nonzero polynomial fi(k} for which ft (A) = 0. In particular,
a(X) divides n(X).
There is an algorithm to determine or ( A . ) directly ( without knowing eigenvalues and as
sociated eigenvector structure). Unfortunately, this algorithm, called the Bezout algorithm,
is numerically unstable.
Example 9.10. The above definitions are illustrated below for a series of matrices, each
of which has an eigenvalue 2 of algebraic multiplicity 4, i. e. , 7r( A ) = ( A — 2)
4
. We denote
the geometric multiplicity by g.
A t this point, one might speculate that g plus the degree of a must always be five.
Unfortunately, such is not the case. The matrix
Theorem 9.11. Let A e C«
x
"
ana
[
e
t A ., be an eigenvalue of A with corresponding right
eigenvector j c,. Furthermore, let yj be a left eigenvector corresponding to any A
;
e A ( A )
such that Xj =£ A . ,. Then yfx{ = 0.
Proof: Since Ax
t
= A ,*,,
9.1. Fundamental Definitions and Properties 77
shown that a(A) divides every nonzero polynomial f3(A) for which f3(A) = O. In particular,
a(A) divides n(A).
There is an algorithm to determine a(A) directly (without knowing eigenvalues and as
sociated eigenvector structure). Unfortunately, this algorithm, called the Bezout algorithm,
is numerically unstable.
Example 9.10. The above definitions are illustrated below for a series of matrices, each
of which has an eigenvalue 2 of algebraic multiplicity 4, i.e., n(A) = (A  2)4. We denote
the geometric multiplicity by g.
A  [ ~
0
! ] ha,"(A) ~ (A  2)' ""d g ~ 1.
2 I
 0
0 2
0 0 0
A ~ [ ~
0
~ ] ha< a(A) ~ (A  2)' ""d g ~ 2.
2
0 2
0 0
A ~ U
I 0
~ ] h'" a(A) ~ (A  2)2 ""d g ~ 3.
2 0
0 2
0 0
A ~ U
0 0
~ ] ha<a(A) ~ (A  2) andg ~ 4.
2 0
0 2
0 0
At this point, one might speculate that g plus the degree of a must always be five.
Unfortunately, such is not the case. The matrix
A ~ U
I 0
!]
2 0
0 2
0 0
has a(A) = (A  2)2 and g = 2.
Theorem 9.11. Let A E cc
nxn
and let Ai be an eigenvalue of A with corresponding right
eigenvector Xi. Furthermore, let Yj be a left eigenvector corresponding to any Aj E l\(A)
such that Aj 1= Ai. Then YY Xi = O.
Proof' Since AXi = AiXi,
(9.5)
78 Chapter 9. Eigenvalues and Eigenvectors
Similarly, since y" A = Xjyf,
Subtracting (9.6) from (9.5), we find 0 = (A., — A
y
)j ^j c, . Since A,, — A.
7
 ^ 0, we must have
yfxt =0.
The proof of Theorem 9.11 is very similar to two other fundamental and important
results.
Theorem 9.12. Let A e C"
x
" be Hermitian, i.e., A = A
H
. Then all eigenvalues of A must
be real.
Proof: Suppose (A ., x) is an arbitrary eigenvalue/eigenvector pair such that Ax = A .J C. Then
Taking Hermitian transposes in (9.7) yields
Using the fact that A is Hermitian, we have that Xx
H
x = Xx
H
x. However, since x is an
eigenvector, we have X
H
X /= 0, from which we conclude A . = A , i.e., A . is real. D
Theorem 9.13. Let A e C"
x
" be Hermitian and suppose X and / J L are distinct eigenvalues
of A with corresponding right eigenvectors x and z, respectively. Then x and z must be
orthogonal.
Proof: Premultiply the equation Ax = A.J C by Z
H
to get Z
H
Ax = X z
H
x . Take the Hermitian
transpose of this equation and use the facts that A is Hermitian and A . is real to get X
H
Az =
Xx
H
z. Premultiply the equation Az = i^z by X
H
to get X
H
Az = / ^X
H
Z = Xx
H
z. Since
A, ^ /z, we must have that X
H
z = 0, i.e., the two vectors must be orthogonal. D
Let us now return to the general case.
Theorem 9.14. Let A €. C
nxn
have distinct eigenvalues A ,
1 ?
. . . , A .
n
with corresponding
right eigenvectors x\,... ,x
n
. Then [x\,..., x
n
} is a linearly independent set. The same
result holds for the corresponding left eigenvectors.
Proof: For the proof see, for example, [21, p. 118].
If A e C
nx
" has distinct eigenvalues, and if A ., e A (A ), then by Theorem 9.11, jc, is
orthogonal to all yj's for which j ^ i. However, it cannot be the case that yf*x
t
= 0 as
well, or else x
f
would be orthogonal to n linearly independent vectors (by Theorem 9.14)
and would thus have to be 0, contradicting the fact that it is an eigenvector. Since yf*Xi ^ 0
for each i, we can choose the normalization of the *, 's, or the y, 's, or both, so that y
t
H
x; = 1
f or / € n.
78 Chapter 9. Eigenvalues and Eigenvectors
Similarly, since YY A = A j yy,
(9.6)
Subtracting (9.6) from (9.5), we find 0 = (Ai  Aj)YY xi. Since Ai  Aj =1= 0, we must have
YyXi = O. 0
The proof of Theorem 9.11 is very similar to two other fundamental and important
results.
Theorem 9.12. Let A E c
nxn
be Hermitian, i.e., A = AH. Then all eigenvalues of A must
be real.
Proof: Suppose (A, x) is an arbitrary eigenvalue/eigenvector pair such that Ax = AX. Then
(9.7)
Taking Hermitian transposes in (9.7) yields
Using the fact that A is Hermitian, we have that IXH x = AXH x. However, since x is an
eigenvector, we have xH x =1= 0, from which we conclude I = A, i.e., A is real. 0
Theorem 9.13. Let A E c
nxn
be Hermitian and suppose A and iJ are distinct eigenvalues
of A with corresponding right eigenvectors x and z, respectively. Then x and z must be
orthogonal.
Proof: Premultiply the equation Ax = AX by ZH to get ZH Ax = AZ
H
x. Take the Hermitian
transpose of this equation and use the facts that A is Hermitian and A is real to get x H Az =
AxH z. Premultiply the equation Az = iJZ by x
H
to get x
H
Az = iJXH Z = AXH z. Since
A =1= iJ, we must have that x
H
z = 0, i.e., the two vectors must be orthogonal. 0
Let us now return to the general case.
Theorem 9.14. Let A E c
nxn
have distinct eigenvalues AI, ... , An with corresponding
right eigenvectors XI, ... , x
n
• Then {XI, ... , x
n
} is a linearly independent set. The same
result holds for the corresponding left eigenvectors.
Proof: For the proof see, for example, [21, p. 118]. 0
If A E c
nxn
has distinct eigenvalues, and if Ai E A(A), then by Theorem 9.11, Xi is
orthogonal to all y/s for which j =1= i. However, it cannot be the case that Yi
H
Xi = 0 as
well, or else Xi would be orthogonal to n linearly independent vectors (by Theorem 9.14)
and would thus have to be 0, contradicting the fact that it is an eigenvector. Since yr Xi =1= 0
for each i, we can choose the normalization of the Xi'S, or the Yi 's, or both, so that Yi
H
Xi = 1
for i E !1.
9.1. Fundament al Def i ni t i o ns and Properties 79
Theorem 9.15. Let A e C"
x
" have distinct eigenvalues A .I , ..., A .
n
and let the correspond
ing right eigenvectors form a matrix X = [x\, ..., x
n
]. Similarly, let Y — [y\, ..., y
n
]
be the matrix of corresponding left eigenvectors. Furthermore, suppose that the left and
right eigenvectors have been normalized so that yf
1
Xi = 1, / en. Finally, let A =
di ag ( A ,j , . . . , X
n
) e W
txn
. Then A J C, = A ., * /, / e n, can be written in matrix form as
Example 9.16. Let
Then n(X) = det( A  A ./) =  (A .
3
+ 4A .
2
+ 9 A . + 10) =  (A . + 2 )(A .
2
+ 2 A , + 5), from
which we find A ( A ) = { — 2 , — 1 ± 2 j } . We can now find the right and left eigenvectors
corresponding to these eigenvalues.
For A  i = — 2 , solve the 3 x 3 linear system (A — (—2 } I)x\ = 0 to get
while y^Xj = 5,
;
, / en, y' e n, is expressed by the equation
These matrix equations can be combined to yield the following matrix factorizations:
and
Note that one component of ;ci can be set arbitrarily, and this then determines the other two
(since di mA /XA — ( — 2 )7) = 1). To get the corresponding left eigenvector y\, solve the
linear system y\(A + 2 1) = 0 to get
This time we have chosen the arbitrary scale factor for y\ so that y f x \ = 1.
For A
2
= — 1 + 2 j , solve the linear system (A — (— 1 + 2 j )I)x
2
= 0 to get
9.1. Fundamental Definitions and Properties 79
Theorem 9.15. Let A E en xn have distinct eigenvalues A I, ... , An and let the correspond
ing right eigenvectors form a matrix X = [XI, ... , xn]. Similarly, let Y = [YI,"" Yn]
be the matrix of corresponding left eigenvectors. Furthermore, suppose that the left and
right eigenvectors have been normalized so that YiH Xi = 1, i E !!:: Finally, let A =
diag(AJ, ... , An) E ]Rnxn. Then AXi = AiXi, i E !!, can be written in matrixform as
AX=XA (9.8)
while YiH X j = oij, i E!!, j E !!, is expressed by the equation
yHX = I.
(9.9)
These matrix equations can be combined to yield the following matrix factorizations:
and
Example 9.16. Let
XlAX = A = yRAX
n
A = XAX
I
= XAyH = LAixiyr
2
5
3
3
2
i=1
~ ] .
4
(9.10)
(9.11)
Then rr(A) = det(A  AI) = (A
3
+ 4A2 + 9)" + 10) = ()" + 2)(),,2 + 2)" + 5), from
which we find A(A) = {2, 1 ± 2j}. We can now find the right and left eigenvectors
corresponding to these eigenvalues.
For Al = 2, solve the 3 x 3 linear system (A  (2)l)xI = 0 to get
Note that one component of XI can be set arbitrarily, and this then determines the other two
(since dimN(A  (2)1) = 1). To get the corresponding left eigenvector YI, solve the
linear system yi (A + 21) = 0 to get
This time we have chosen the arbitrary scale factor for YJ so that yi XI = 1.
For A2 = 1 + 2j, solve the linear system (A  (1 + 2j) I)x2 = 0 to get
[
3+ j ]
X2 = 3 ~ / .
80 Chapter 9. Eigenvalues and Eigenvectors
Solve the linear system y" (A — (1 + 27')/) = 0 and normalize y>
2
so that y"x
2
= 1 to get
For X T , = — 1 — 2 j, we could proceed to solve linear systems as for A.
2
. However, we
can also note that x$ =x
2
' and yi = jj. To see this, use the fact that A, 3 = A.2 and simply
conjugate the equation A;c
2
— ^.2 *2 to get Ax^ = ^2 X 2  A similar argument yields the result
for left eigenvectors.
Now define the matrix X of right eigenvectors:
It is then easy to verify that
Other results in Theorem 9.15 can also be verified. For example,
Finally, note that we could have solved directly only for *i and x
2
(and X T , = x
2
). Then,
instead of determining the j,'s directly, we could have found them instead by computing
X ~
l
and reading off its rows.
Example 9.17. Let
Then 7r(A.) = det(A  A./) = (A
3
+ 8A
2
+ 19X + 12) = (A. + 1)(A. + 3)(A, + 4),
from which we find A (A) = { —1, —3, —4}. Proceeding as in the previous example, it is
straightforward to compute
and
80 Chapter 9. Eigenvalues and Eigenvectors
Solve the linear system yf (A  ( I + 2 j) I) = 0 and nonnalize Y2 so that yf X2 = 1 to get
For A3 = I  2j, we could proceed to solve linear systems as for A2. However, we
can also note that X3 = X2 and Y3 = Y2. To see this, use the fact that A3 = A2 and simply
conjugate the equation AX2 = A2X2 to get AX2 = A2X2. A similar argument yields the result
for left eigenvectors.
Now define the matrix X of right eigenvectors:
3+j 3
j
]
3j 3+j .
2 2
It is then easy to verify that
.!.=.L
4
l+j
4
!.±1
4
.!.=.L
4
Other results in Theorem 9.15 can also be verified. For example,
[
2 0
XIAX=A= 0 1+2j
o 0
Finally, note that we could have solved directly only for XI and X2 (and X3 = X2). Then,
instead of detennining the Yi'S directly, we could have found them instead by computing
XI and reading off its rows.
Example 9.17. Let
A = .
o 3
Then Jl"(A) = det(A  AI) = _(A
3
+ 8A
2
+ 19A + 12) = (A + I)(A + 3)(A + 4),
from which we find A(A) = {I, 3, 4}. Proceeding as in the previous example, it is
gtruightforw!U"d to
I
i ]
0
I
and
1 2 1
] y'
3 0 3
2 2 2
9.1. Fundamental Definitions and Properties 81
We also have X~
l
AX = A = di ag( —1, —3, —4 ) , which is equivalent to the dyadic expan
sion
Theorem 9.18. Eigenvalues (but not eigenvectors) are invariant under a similarity trans
formation T.
Proof: Suppose (A, jc) is an eigenvalue/eigenvector pair such that Ax = Xx. Then, since T
is nonsingular, we have the equivalent statement (T~
l
AT)(T~
l
x) = X ( T ~
l
x ) , from which
the theorem statement follows. For left eigenvectors we have a similar statement, namely
y
H
A = Xy
H
ifandon\yif(T
H
y)
H
(T~
1
AT) =X(T
H
yf. D
Remark 9.19. If / is an analytic function (e.g., f ( x ) is a polynomial, or e
x
, or sin*,
or, in general, representable by a power series X^^o
fl
n*
n
)> then it is easy to show that
the eigenvalues of /( A) (defined as X^o^A") are /( A) , but /( A) does not necessarily
have all the same eigenvectors (unless, say, A is diagonalizable). For example, A = T
0 O
j
has only one right eigenvector corresponding to the eigenvalue 0, but A
2
= f
0 0
1 has two
independent right eigenvectors associated with the eigenvalue 0. What is true is that the
eigenvalue/eigenvector pair (A, x) maps to ( /( A) , x) but not conversely.
The following theorem is useful when solving systems of linear differential equations.
Details of how the matrix exponential e'
A
is used to solve the system x = Ax are the subject
of Chapter 11.
Theorem 9.20. Let A e R"
xn
and suppose X~~
1
AX — A, where A is diagonal. Then
9.1. Fundamental Definitions and Properties 81
We also have XI AX = A = diag( 1, 3, 4), which is equivalent to the dyadic expan
sion
3
A = LAixiyr
i=1
W j 0
+(4) [ ; ]
1
 
3
(I) [
I I I
J + (3) [
I
0
I
] + (4) [
I I I
l
(;
3
(;
2
2 3
3
3
I 2 I
0 0 0
I I I
3 3 3
3
3
3
I I I
I
0
I
I I I
(;
3
(;
2
2
3
3
3
Theorem 9.18. Eigenvalues (but not eigenvectors) are invariant under a similarity trans
formation T.
Proof: Suppose (A, X) is an eigenvalue/eigenvector pair such that Ax = AX. Then, since T
is nonsingular, we have the equivalent statement (T
I
AT)(T
I
x) = A(T
I
x), from which
the theorem statement follows. For left eigenvectors we have a similar statement, namely
yH A = AyH if and only if (T
H
y)H (T
1
AT) = A(T
H
y)H. D
Remark 9.19. If f is an analytic function (e.g., f(x) is a polynomial, or eX, or sinx,
or, in general, representable by a power series anxn), then it is easy to show that
the eigenvalues of f(A) (defined as are f(A), but f(A) does not necessarily
have all the same eigenvectors (unless, say, A is diagonalizable). For example, A = 6 ]
has only one right eigenvector corresponding to the eigenvalue 0, but A
2
= ] has two
independent right eigenvectors associated with the eigenvalue o. What is true is that the
eigenvalue/eigenvector pair (A, x) maps to (f(A), x) but not conversely.
The following theorem is useful when solving systems of linear differential equations.
Details of how the matrix exponential etA is used to solve the system i = Ax are the subject
of Chapter 11.
Theorem 9.20. Let A E jRnxn and suppose XI AX = A, where A is diagonal. Then
n
= LeA,txiYiH.
i=1
82 Chapter 9. Eigenvalues and Eigenvectors
Proof: Starting from the definition, we have
The following corollary is immediate from the theorem upon setting t = I.
Corollary 9.21. If A e R
nx
" is diagonalizable with eigenvalues A ., , /' en, and right
eigenvectors x
t
•, / € n_, then e
A
has eigenvalues e
X i
, i € n_, and the same eigenvectors.
There are extensions to Theorem 9.20 and Corollary 9.21 for any function that is
analytic on the spectrum of A , i.e., f ( A ) = X f ( A ) X ~
l
= Xdi ag ( / ( A . i ) , . . . , f ( X
t t
) ) X ~
l
.
It is desirable, of course, to have a version of Theorem 9.20 and its corollary in which
A is not necessarily diagonalizable. It is necessary first to consider the notion of Jordan
canonical form, from which such a result is then available and presented later in this chapter.
9.2 Jordan Canonical Form
Theorem 9.22.
1. Jordan Canonical Form (/CF): For all A e C"
x
" with eigenvalues X\,..., k
n
e C
(not necessarily distinct), there exists X € C^
x
" such that
where each of the Jordan block matrices / i , . . . , J
q
is of the form
82 Chapter 9. Eigenvalues and Eigenvectors
Proof' Starting from the definition, we have
n
= LeA;IXiYiH. 0
i=1
The following corollary is immediate from the theorem upon setting t = I.
Corollary 9.21. If A E ]Rn xn is diagonalizable with eigenvalues Ai, i E ~ , and right
eigenvectors Xi, i E ~ , then e
A
has eigenvalues e
A
" i E ~ , and the same eigenvectors.
There are extensions to Theorem 9.20 and Corollary 9.21 for any function that is
analytic on the spectrum of A, i.e., f(A) = Xf(A)X
I
= Xdiag(J(AI), ... , f(An))X
I
.
It is desirable, of course, to have a version of Theorem 9.20 and its corollary in which
A is not necessarily diagonalizable. It is necessary first to consider the notion of Jordan
canonical form, from which such a result is then available and presented later in this chapter.
9.2 Jordan Canonical Form
Theorem 9.22.
I. lordan Canonical Form (JCF): For all A E c
nxn
with eigenvalues AI, ... , An E C
(not necessarily distinct), there exists X E c ~ x n such that
XI AX = 1 = diag(ll, ... , 1q), (9.12)
where each of the lordan block matrices 1
1
, ••• , 1q is of the form
Ai
0 o
0
Ai
0
1i =
Ai
(9.13)
o
Ai
o o Ai
9.2. Jordan Canonical Form 83
2. Real Jordan Canonical Form: For all A € R
nx
" with eigenvalues Xi, . . . , X
n
(not
necessarily distinct), there exists X € R"
xn
such that
where each of the Jordan block matrices J\, ..., J
q
is of the form
in the case of real eigenvalues A., e A (A), and
where M
;
= [ _»' ^ 1 and I
2
= \
0
A in the case of complex conjugate eigenvalues
a
i
±jp
i
eA(A
>
).
Proof: For the proof see, for example, [21, pp. 120124]. D
Transformations like T = I " _, "•{ "] allow us to go back and forth between a real JCF
and its complex counterpart:
For nontrivial Jordan blocks, the situation is only a bit more complicated. With
9.2. Jordan Canonical Form 83
and L;=1 ki = n.
2. Real Jordan Canonical Form: For all A E jRnxn with eigenvalues AI, ... , An (not
necessarily distinct), there exists X E such that
(9.14)
where each of the Jordan block matrices 11, ... , 1q is of the form
where Mi = [ ] and h = [6 in the case of complex conjugate eigenvalues
(Xi ± jfJi E A(A).
Proof: For the proof see, for example, [21, pp. 120124]. 0
Transformations like T = [ _  { ] allow us to go back and forth between a real JCF
and its complex counterpart:
TI [ (X + jfJ O. ] T = [ (X fJ ] = M.
o (X  JfJ fJ (X
For nontrivial Jordan blocks, the situation is only a bit more complicated. With
1
o
j
o
j
o
1 o 0 '
o j 1
84 Chapter 9. Ei genval ues and Eigenvectors
it is easily checked that
Definition 9.23. The characteristic polynomials of the Jordan blocks defined in Theorem
9 . 2 2 are called the elementary divisors or invariant factors of A.
Theorem 9.24. The characteristic polynomial of a matrix is the product of its elementary
divisors. The minimal polynomial of a matrix is the product of the elementary divisors of
highest degree corresponding to distinct eigenvalues.
Theorem 9.25. Let A e C"
x
" with eigenvalues AI, . . . , X
n
. Then
Proof:
1. From Theorem 9.22 we have that A = X J X ~
l
. Thus,
det(A) = det(XJX
1
) = det(7) = ] ~ [ "
=l
A,  .
2. Again, from Theorem 9.22 we have that A = X J X ~
l
. Thus,
Tr(A) = Tr(XJX~
l
) = TrC/X"
1
*) = Tr(/) = £"
=1
A., . D
Example 9.26. Suppose A e E
7x7
is known to have 7r(A) = (A.  1)
4
(A  2)
3
and
a (A.) = (A. — I)
2
(A. — 2)
2
. Then A has two possible JCFs (not counting reorderings of the
diagonal blocks):
Note that 7
(1)
has elementary divisors (A  I )
2
, (A.  1), (A.  1), (A,  2)
2
, and (A  2),
while /(
2)
has elementary divisors (A  I )
2
, (A  I )
2
, (A  2)
2
, and (A  2).
84 Chapter 9. Eigenvalues and Eigenvectors
it is easily checked that
[ "+ jfi
0 0
] T ~ [ ~
T
I
0
et + jf3 0 0
h
l
0 0 et  jf3 M
0 0 0 et  jf3
Definition 9.23. The characteristic polynomials of the Jordan blocks defined in Theorem
9.22 are called the elementary divisors or invariant factors of A.
Theorem 9.24. The characteristic polynomial of a matrix is the product of its elementary
divisors. The minimal polynomial of a matrix is the product of the elementary divisors of
highest degree corresponding to distinct eigenvalues.
Theorem 9.25. Let A E c
nxn
with eigenvalues AI, .. " An. Then
n
1. det(A) = nAi.
i=1
n
2. Tr(A) = 2,)i.
i=1
Proof:
1. From Theorem 9.22 we have that A = X J XI. Thus,
det(A) = det(X J XI) = det(J) = n7=1 Ai.
2. Again, from Theorem 9.22 we have that A = X J XI. Thus,
Tr(A) = Tr(X J XI) = Tr(JX
1
X) = Tr(J) = L7=1 Ai. 0
Example 9.26. Suppose A E lR.
7x7
is known to have :rr(A) = (A  1)4(A  2)3 and
et(A) = (A  1)2(A  2)2. Then A has two possible JCFs (not counting reorderings of the
diagonal blocks):
1 0 0 0 0 0 1 0 0 0 0 0
0 1 0 0 0 0 0 0 0 0 0 0 0
0 0 1 0 0 0 0 0 0 1 I 0 0 0
J(l) =
0 0 0 1 0 0 0
and f2) =
0 0 0 1 0 0 0
0 0 0 0 2 1 0 0 0 0 0 2 1 0
0 0 0 0 0 2 0 0 0 0 0 0 2 0
0 0 0 0 0 0 2
0 0 0 0 0 0 2
Note that J(l) has elementary divisors (A  1)z, (A  1), (A  1), (A  2)2, and (A  2),
while J(2) has elementary divisors (A  1)2, (A  1)2, (A  2)2, and (A  2).
9.3. Determination of the JCF &5
Example 9.27. Knowing T T (A.), a ( A ) , and rank (A — A,,7) for distinct A., is not sufficient to
determine the JCF of A uniquely. T he matrices
both have 7r( A . ) = (A. — a) , a( A . ) = (A. — a) , and rank( A — al) = 4, i.e., three eigen
vectors.
9.3 Determination of the JCF
T he first critical item of information in determining the JCF of a matrix A e W
lxn
is its
number of eigenvectors. For each distinct eigenvalue A , , , the associated number of linearly
independent right (or left) eigenvectors is given by dim A^(A — A.,7) = n — rank( A — A.
(
7).
T he straightforward case is, of course, when X, is simple, i.e., of algebraic multiplicity 1; it
then has precisely one eigenvector. T he more interesting (and difficult) case occurs when
A, is of algebraic multiplicity greater than one. For example, suppose
T hen
has rank 1, so the eigenvalue 3 has two eigenvectors associated with it. If we let [^i £2 &]
T
denote a solution to the linear system (A — 3/) £ = 0, we find that 2£
2
+ £3=0. T hus, both
are eigenvectors (and are independent). T o get a third vector JC3 such that X = [x\ KJ_ XT,]
reduces A to JCF, we need the notion of principal vector.
Definition 9.28. Let A e C"
xn
(or R"
x
") . Then x is a right principal vector of degree k
associated with X e A (A) if and only if (A  XI)
k
x = 0 and (A  U}
k
~
l
x ^ 0.
Remark 9.29.
1. An analogous definition holds for a left principal vector of degree k.
9.3. Determination of the JCF 85
Example 9.27. Knowing rr(A), a(A), and rank(A  Ai l) for distinct Ai is not sufficient to
determine the JCF of A uniquely. The matrices
a 0 0 0 0 0 a 0 0 0 0 0
0 a 0 0 0 0 0 a 0 0 0 0
0 0 a 0 0 0 0 0 0 a 0 0 0 0
Al=
0 0 0 a 0 0
A2 =
0 0 0 a 0 0
0 0 0 0 a 0 0 0 0 0 0 a 0
0 0 0 0 0 a 1 0 0 0 0 0 a 0
0 0 0 0 0 0 a 0 0 0 0 0 0 a
both have rr(A) = (A  a)7, a(A) = (A  a)\ and rank(A  al) = 4, i.e., three eigen
vectors.
9.3 Determination of the JCF
The first critical item of information in determining the JCF of a matrix A E ]R.nxn is its
number of eigenvectors. For each distinct eigenvalue Ai, the associated number of linearly
independent right (or left) eigenvectors is given by dimN(A  A;l) = n  rank(A  A;l).
The straightforward case is, of course, when Ai is simple, i.e., of algebraic multiplicity 1; it
then has precisely one eigenvector. The more interesting (and difficult) case occurs when
Ai is of algebraic multiplicity greater than one. For example, suppose
[3 2
n
A = 0 3
o 0
Then
A3I= U
2 I]
o 0
o 0
has rank 1, so the eigenvalue 3 has two eigenvectors associated with it. If we let
denote a solution to the linear system (A  = 0, we find that + = O. Thus, both
are eigenvectors (and are independent). To get a third vector X3 such that X = [Xl X2 X3]
reduces A to JCF, we need the notion of principal vector.
Definition 9.28. Let A E c
nxn
(or ]R.nxn). Then X is a right principal vector of degree k
associated with A E A(A) ifand only if(A  ulx = 0 and (A  AI)kl x i= o.
Remark 9.29.
1. An analogous definition holds for a left principal vector of degree k.
86 Chapter 9. Eigenvalues and Eigenvectors
2. The phrase "of grade k" is often used synonymously with "of degree k."
3. Principal vectors are sometimes also called generalized eigenvectors, but the latter
term will be assigned a much different meaning in Chapter 12.
4. The case k = 1 corresponds to the "usual" eigenvector.
5. A right (or left) principal vector of degree k is associated with a Jordan block ji of
dimension k or larger.
9.3.1 Theoretical computation
To motivate the development of a procedure for determining principal vectors, consider a
2x2 Jordan block {h
0
h1. Denote by x
(1)
and x
(2)
the two columns of a matrix X e R
2
,x
2
that reduces a matrix A to this JCF. Then the equation AX = XJ can be written
The first column yields the equation Ax
(1)
= hx
(1)
which simply says that x
(1)
is a right
eigenvector. The second column yields the following equation for x
(2)
, the principal vector
of degree 2:
If we premultiply (9.17) by (A  XI), we find (A  XI )
z
x
( 2 )
= (A  XI)x
w
= 0. Thus,
the definition of principal vector is satisfied.
This suggests a "general" procedure. First, determine all eigenvalues of A e R"
x
"
(or C
nxn
). Then for each distinct X e A (A) perform the following:
1. Solve
This step finds all the eigenvectors (i.e., principal vectors of degree 1) associated with
X. The number of eigenvectors depends on the rank of A — XI. For example, if
rank(A — XI) = n — 1, there is only one eigenvector. If the algebraic multiplicity of
X is greater than its geometric multiplicity, principal vectors still need to be computed
from succeeding steps.
2. For each independent jc
(1)
, solve
The number of linearly independent solutions at this step depends on the rank of
(A — XI )
2
. If, for example, this rank is n — 2 , there are two linearly independent
solutions to the homogeneous equation (A — XI)
2
x^ = 0. One of these solutions
is, of course, x
(l)
(^ 0), since (A  XI )
2
x
( l )
= (A  XI)0 = 0. The other solution
is the desired principal vector of degree 2. (It may be necessary to take a linear
combination of jc
(1)
vectors to get a righthand side that is in 7£(A — XI). See, for
example, Exercise 7.)
86 Chapter 9. Eigenvalues and Eigenvectors
2. The phrase "of grade k" is often used synonymously with "of degree k."
3. Principal vectors are sometimes also called generalized eigenvectors, but the latter
term will be assigned a much different meaning in Chapter 12.
4. The case k = 1 corresponds to the "usual" eigenvector.
S. A right (or left) principal vector of degree k is associated with a Jordan block J; of
dimension k or larger.
9.3.1 Theoretical computation
To motivate the development of a procedure for determining principal vectors, consider a
2 x 2 Jordan block [ ~ i]. Denote by x(l) and x(2) the two columns of a matrix X E l R ~ X 2
that reduces a matrix A to this JCF. Then the equation AX = X J can be written
A [x(l) x(2)] = [x(l) X(2)] [ ~ ~ J.
The first column yields the equation Ax(!) = AX(!), which simply says that x(!) is a right
eigenvector. The second column yields the following equation for x(2), the principal vector
of degree 2:
(A  A/)x(2) = x(l). (9.17)
If we premultiply (9.17) by (A  AI), we find (A  A1)2 x(2) = (A  A1)X(l) = O. Thus,
the definition of principal vector is satisfied.
This suggests a "general" procedure. First, determine all eigenvalues of A E lR
nxn
(or c
nxn
). Then for each distinct A E A(A) perform the following:
1. Solve
(A  A1)X(l) = O.
This step finds all the eigenvectors (i.e., principal vectors of degree I) associated with
A. The number of eigenvectors depends on the rank of A  AI. For example, if
rank(A  A/) = n  1, there is only one eigenvector. If the algebraic multiplicity of
A is greater than its geometric multiplicity, principal vectors still need to be computed
from succeeding steps.
2. For each independent x(l), solve
(A  A1)x(2) = x(l).
The number of linearly independent solutions at this step depends on the rank of
(A  uf. If, for example, this rank is n  2, there are two linearly independent
solutions to the homogeneous equation (A  AI)2x (2) = o. One of these solutions
is, of course, x(l) (1= 0), since (A  'A1)
2
x(l) = (A  AI)O = o. The other solution
is the desired principal vector of degree 2. (It may be necessary to take a linear
combination of x(l) vectors to get a righthand side that is in R(A  AI). See, for
example, Exercise 7.)
9. 3. Determination of the JCF 87
4. Continue in this way until the total number of independent eigenvectors and principal
vectors is equal to the algebraic multiplicity of A.
Unfortunately, this naturallooking procedure can fail to find all Jordan vectors. For
more extensive treatments, see, for example, [20] and [21]. Determination of eigenvectors
and principal vectors is obviously very tedious for anything beyond simple problems (n = 2
or 3, say). Attempts to do such calculations in finiteprecision floatingpoint arithmetic
generally prove unreliable. There are significant numerical difficulties inherent in attempting
to compute a JCF, and the interested student is strongly urged to consult the classical and very
readable [8] to learn why. Notice that highquality mathematical software such as MATLAB
does not offer a jcf command, although a jordan command is available in MATLAB'S
Symbolic Toolbox.
Theorem 9.30. Suppose A e C
kxk
has an eigenvalue A, of algebraic multiplicity k and
suppose further that rank(A — AI) = k — 1. Let X = [ x
( l )
, . . . , x
(k)
], where the chain of
vectors x(i) is constructed as above. Then
Theorem 9.31. (x
( 1)
, . . . , x
(k)
} is a linearly independent set.
Theorem 9.32. Principal vectors associated with different Jordan blocks are linearly inde
pendent.
Example 9.33. Let
The eigenvalues of A are A1 = 1, h2 = 1, and h
3
= 2. First, find the eigenvectors associated
with the distinct eigenvalues 1 and 2.
,(1)
(A  2/)x3(1) = 0 yields
3. For each independent x
(2)
from step 2, solve
9.3. Determination of the JCF 87
3. For each independent X(2) from step 2, solve
(A  AI)x(3) = x(2).
4. Continue in this way until the total number of independent eigenvectors and principal
vectors is equal to the algebraic multiplicity of A.
Unfortunately, this naturallooking procedure can fail to find all Jordan vectors. For
more extensive treatments, see, for example, [20] and [21]. Determination of eigenvectors
and principal vectors is obviously very tedious for anything beyond simple problems (n = 2
or 3, say). Attempts to do such calculations in finiteprecision floatingpoint arithmetic
generally prove unreliable. There are significant numerical difficulties inherent in attempting
to compute a JCF, and the interested student is strongly urged to consult the classical and very
readable [8] to learn why. Notice that highquality mathematical software such as MATLAB
does not offer a j cf command, although a j ardan command is available in MATLAB's
Symbolic Toolbox.
Theorem 9.30. Suppose A E C
kxk
has an eigenvalue A of algebraic multiplicity k and
suppose further that rank(A  AI) = k  1. Let X = [x(l), ... , X(k)], where the chain of
vectors x(i) is constructed as above. Then
Theorem 9.31. {x(l), ... , X(k)} is a linearly independent set.
Theorem 9.32. Principal vectors associated with different Jordan blocks are linearly inde
pendent.
Example 9.33. Let
1 ;].
002
The eigenvalues of A are AI = I, A2 = 1, and A3 = 2. First, find the eigenvectors associated
with the distinct eigenvalues 1 and 2.
(A  = 0 yields
88 Chapter 9. Eigenvalues and Eigenvectors
(A l/)x,
(1)
=0 yields
Then it is easy to check that
9.3.2 On the +1 's in JCF blocks
In this subsection we show that the nonzero superdiagonal elements of a JCF need not be
1 's but can be arbitrary — so long as they are nonzero. For the sake of defmiteness, we
consider below the case of a single Jordan block, but the result clearly holds for any JCF.
Supposed A € R
nxn
and
Let D = d i a g ( d 1 , . . . , d
n
) be a nonsingular "scaling" matrix. Then
To find a principal vector of degree 2 associated with the multiple eigenvalue 1, solve
( A – l/)x,
(2)
= x,
(1)
toeet
Now let
88 Chapter 9. Eigenvalues and Eigenvectors
(A  11)x?J = 0 yields
To find a principal vector of degree 2 associated with the multiple eigenvalue 1, solve
(A  1I)xl
2
) = xiI) to get
[ 0 ]
(2)
x, = ~ .
Now let
xl" xl"] ~ [ ~
0 5
l
X = [xiI) 1 3
0
Then it is easy to check that
X  ' ~ U
0
5 ] [ I
n
1
i and XlAX = ~
1
0 0
9.3.2 On the +1 's in JCF blocks
In this subsection we show that the nonzero superdiagonal elements of a JCF need not be
1 's but can be arbitrary  so long as they are nonzero. For the sake of definiteness, we
consider below the case of a single Jordan block, but the result clearly holds for any JCF.
Suppose A E jRnxn and
Let D = diag(d" ... , d
n
) be a nonsingular "scaling" matrix. Then
A
4l.
0 0
d,
0
)...
!b.
0
d,
D'(X' AX)D = D' J D = j =
A
d
n

I
0
d
n

2
A
d
n
d
n

I
0 0
)...
9.4. Geometric Aspects of the JCF 89
Appropriate choice of the di 's then yields any desired nonzero superdiagonal elements.
This result can also be interpreted in terms of the matrix X = [x\,..., x
n
] of eigenvectors
and principal vectors that reduces A to its JCF. Specifically, J is obtained from A via the
similarity transformation XD = \d\x\,..., d
n
x
n
}.
In a similar fashion, the reverseorder identity matrix (or exchange matrix)
9.4 Geometric Aspects of the JCF
Note that di mM( A — A.,/ )
w
= «,.
Definition 9.35. Let V be a vector space over F and suppose A : V —>• V is a linear
transformation. A subspace S c V is Ainvariant if AS c S, where AS is defined as the
set {As : s e S}.
can be used to put the superdiagonal elements in the subdiagonal instead if that is desired:
The matrix X that reduces a matrix A e IR"
X
" (or C
nxn
) to a JCF provides a change of basis
with respect to which the matrix is diagonal or block diagonal. It is thus natural to expect an
associated direct sum decomposition of R. Such a decomposition is given in the following
theorem.
Theorem 9.34. Suppose A e R"
x
" has characteristic polynomial
and minimal polynomial
with A i , . . . , A.
m
distinct. Then
9.4. Geometric Aspects of the JCF 89
Appropriate choice of the di's then yields any desired nonzero superdiagonal elements.
This result can also be interpreted in terms of the matrix X = [x[, ... ,x
n
] of eigenvectors
and principal vectors that reduces A to its lCF. Specifically, j is obtained from A via the
similarity transformation XD = [d[x[, ... , dnxn].
In a similar fashion, the reverseorder identity matrix (or exchange matrix)
0 0 I
0
p = pT = p[ =
(9.18)
0 1
I 0 0
can be used to put the superdiagonal elements in the subdiagonal instead if that is desired:
A I 0 0 A 0 0
0 A 0 A 0
p[
A
p=
0 1 A
0
A I A 0
0 0 A 0 0 A
9.4 Geometric Aspects of the JCF
The matrix X that reduces a matrix A E jH.nxn (or c
nxn
) to a lCF provides a change of basis
with respect to which the matrix is diagonal or block diagonal. It is thus natural to expect an
associated direct sum decomposition of jH.n. Such a decomposition is given in the following
theorem.
Theorem 9.34. Suppose A E jH.nxn has characteristic polynomial
n(A) = (A  A[)n) ... (A  Amt
m
and minimal polynomial
a(A) = (A  A[)V) '" (A  Am)V
m
with A I, ... , Am distinct. Then
jH.n = N(A  AlIt) E6 ... E6 N(A  AmItm
= N (A  A 1 I) v) E6 ... E6 N (A  Am I) Vm .
Note that dimN(A  AJ)Vi = ni.
Definition 9.35. Let V be a vector space over IF and suppose A : V + V is a linear
transformation. A subspace S ~ V is A invariant if AS ~ S, where AS is defined as the
set {As: s E S}.
90 Chapter 9. Eigenvalues and Eigenvectors
If V is taken to be R" over R, and S e R"
x
* is a matrix whose columns s\,..., s/t
span a /^dimensional subspace <S, i.e., K(S) = <S, then <S is Ainvariant if and only if there
exists M eR
kxk
such that
This follows easily by comparing the /th columns of each side of (9.19):
Example 9.36. The equation Ax = A* = xA defining a right eigenvector x of an eigenvalue
X says that * spans an Ainvariant subspace (of dimension one).
Example 9.37. Suppose X block diagonalizes A, i.e.,
Rewriting in the form
we have that A A, = A", /,, / = 1, 2, so the columns of A, span an Amvanant subspace.
Theorem 9.38. Suppose A e E"
x
".
7. Let p(A) = «o/ + o?i A + • • • + <x
q
A
q
be a polynomial in A. Then N(p(A)) and
7£(p(A)) are Ainvariant.
2. S isAinvariant if and only ifS
1
 is A
T
invariant.
Theorem 9.39. If V isa vector space over F such that V = N\ ® • • • 0 N
m
, where each
A// isAinvariant, then a basisfor V can be chosen with respect to which A hasa block
diagonal representation.
The Jordan canonical form is a special case of the above theorem. If A has distinct
eigenvalues A,, as in Theorem 9.34, we could choose bases for N(A — A.,/)"' by SVD, for
example (note that the power n, could be replaced by v,). We would then get a block diagonal
representation for A with full blocks rather than the highly structured Jordan blocks. Other
such "canonical" forms are discussed in text that follows.
Suppose A" = [ X i , . . . , X
m
] e R"
n
xn
is such that X ^AX = diag(7i,. . . , J
m
), where
each Ji = diag(/,i,..., //*,.) and each /,* is a Jordan block corresponding to A, e A(A).
We could also use other block diagonal decompositions (e.g., via SVD), but we restrict our
attention here to only the Jordan block case. Note that A A", = A*, /,, so by (9.19) the columns
of A", (i.e., the eigenvectors and principal vectors associated with A.,) span an Ainvariant
subspace of W.
Finally, we return to the problem of developing a formula for e'
A
in the case that A
is not necessarily diagonalizable. Let 7, € C"
x
"' be a Jordan basis for N(A
T
— A.,/)"' .
Equivalently, partition
90 Chapter 9. Eigenvalues and Eigenvectors
If V is taken to be ]Rn over Rand S E ]Rn xk is a matrix whose columns SI, ... , Sk
span a kdimensional subspace S, i.e., R(S) = S, then S is Ainvariant if and only if there
exists M E ]Rkxk such that
AS = SM. (9.19)
This follows easily by comparing the ith columns of each side of (9.19):
Example 9.36. The equation Ax = AX = x A defining a right eigenvector x of an eigenvalue
A says that x spans an Ainvariant subspace (of dimension one).
Example 9.37. Suppose X block diagonalizes A, i.e.,
XI AX = [ ~ J
2
].
Rewriting in the form
~ J,
we have that AX
i
= X;li, i = 1,2, so the columns of Xi span an Ainvariant subspace.
Theorem 9.38. Suppose A E ]Rnxn.
1. Let peA) = CloI + ClIA + '" + ClqAq be a polynomial in A. Then N(p(A)) and
R(p(A)) are Ainvariant.
2. S is A invariant if and only if S 1. is A T invariant.
Theorem 9.39. If V is a vector space over IF such that V = NI EB ... EB N
m
, where each
N; is Ainvariant, then a basis for V can be chosen with respect to which A has a block
diagonal representation.
The Jordan canonical form is a special case of the above theorem. If A has distinct
eigenvalues Ai as in Theorem 9.34, we could choose bases for N(A  Ai/)n, by SVD, for
example (note that the power ni could be replaced by Vi). We would then get a block diagonal
representation for A with full blocks rather than the highly structured Jordan blocks. Other
such "canonical" forms are discussed in text that follows.
Suppose X = [Xl ..... Xm] E ] R ~ x n is such that XI AX = diag(J1, ... , J
m
), where
each J
i
= diag(JiI,"" Jik,) and each Jik is a Jordan block corresponding to Ai E A(A).
We could also use other block diagonal decompositions (e.g., via SVD), but we restrict our
attention here to only the Jordan block case. Note that AXi = Xi J
i
, so by (9.19) the columns
of Xi (i.e., the eigenvectors and principal vectors associated with Ai) span an Ainvariant
subspace of]Rn.
Finally, we return to the problem of developing a formula for e
l
A in the case that A
is not necessarily diagonalizable. Let Yi E <e
nxn
, be a Jordan basis for N (AT  A;lt.
Equivalently, partition
9.5. The Matrix Sign Function 91
compatibly. Then
In a similar fashion we can compute
which is a useful formula when used in conjunction with the result
for a k x k Jordan block 7, associated with an eigenvalue A. = A.,.
9.5 The Matrix Sign Function
In this section we give a very brief introduction to an interesting and useful matrix function
called the matrix sign function. It is a generalization of the sign (or signum) of a scalar. A
survey of the matrix sign function and some of its applications can be found in [15].
Definition 9.40. Let z E C with Re(z) ^ 0. Then the sign of z is defined by
Definition 9.41. Suppose A e C"
x
" has no eigenvalues on the imaginary axis, and let
be a Jordan canonical form for A, with N containing all Jordan blocks corresponding to the
eigenvalues of A in the left halfplane and P containing all Jordan blocks corresponding to
eigenvalues in the right halfplane. Then the sign of A, denoted sgn(A), is given by
9.S. The Matrix Sign Function
compatibly. Then
A = XJX
I
= XJy
H
= [XI, ... , Xm] diag(JI, ... , J
m
) [Y
I
, ••• , Ym]H
m
= LX;JiYi
H
.
i=1
In a similar fashion we can compute
m
etA = LXietJ;YiH,
i=1
which is a useful formula when used in conjunction with the result
A 0 0
eAt teAt
.lt
2
e
At
2!
0 A
0
eAt teAt
exp t
A 0
0 0
eAt
1
0 0 A
0 0
for a k x k Jordan block J
i
associated with an eigenvalue A = Ai.
9.5 The Matrix Sign Function
91
In this section we give a very brief introduction to an interesting and useful matrix function
called the matrix sign function. It is a generalization of the sign (or signum) of a scalar. A
survey of the matrix sign function and some of its applications can be found in [15].
Definition 9.40. Let z E C with Re(z) f= O. Then the sign of z is defined by
Re(z) {+1
sgn(z) = IRe(z) I = 1
ifRe(z) > 0,
ifRe(z) < O.
Definition 9.41. Suppose A E cnxn has no eigenvalues on the imaginary axis, and let
be a Jordan canonical form for A, with N containing all Jordan blocks corresponding to the
eigenvalues of A in the left halfplane and P containing all Jordan blocks corresponding to
eigenvalues in the right halfplane. Then the sign of A, denoted sgn(A), is given by
[
/ 0] I
sgn(A) = X 0 / X ,
92 Chapter 9. Eigenvalues and Eigenvectors
where the negative and positive identity matrices are of the same dimensions as N and P,
respectively.
There are other equivalent definitions of the matrix sign function, but the one given
here is especially useful in deriving many of its key properties. The JCF definition of the
matrix sign function does not generally lend itself to reliable computation on a finiteword
length digital computer. In fact, its reliable numerical calculation is an interesting topic in
its own right.
We state some of the more useful properties of the matrix sign function as theorems.
Their straightforward proofs are left to the exercises.
Theorem 9.42. Suppose A e C"
x
" has no eigenvalues on the imaginary axis, and let
S = sgn(A). Then the following hold:
1. S is diagonalizable with eigenvalues equal to del.
2. S
2
= I.
3. AS = SA.
4. sgn(A") = (sgn(A))".
5. sgn(T
l
AT) = T
l
sgn(A)TforallnonsingularT e C"
x
".
6. sgn(cA) = sgn(c) sgn(A)/or all nonzero real scalars c.
Theorem 9.43. Suppose A e C"
x
" has no eigenvalues on the imaginary axis, and let
S — sgn(A). Then the following hold:
1. 7l(S — /) is an Ainvariant subspace corresponding to the left halfplane eigenvalues
of A (the negative invariant subspace).
2. R(S+/) is an Ainvariant subspace corresponding to the right halfplane eigenvalues
of A (the positive invariant subspace).
3. negA = (/ — S)/2 is a projection onto the negative invariant subspace of A.
4. posA = (/ + S)/2 is a projection onto the positive invariant subspace of A.
EXERCISES
1. Let A e C
nxn
have distinct eigenvalues AI, ..., X
n
with corresponding right eigen
vectors Xi, ... ,x
n
and left eigenvectors y\, ..., y
n
, respectively. Let v e C" be an
arbitrary vector. Show that v can be expressed (uniquely) as a linear combination
of the right eigenvectors. Find the appropriate expression for v as a linear combination
of the left eigenvectors as well.
92 Chapter 9. Eigenvalues and Eigenvectors
where the negative and positive identity matrices are of the same dimensions as N and p,
respectively.
There are other equivalent definitions of the matrix sign function, but the one given
here is especially useful in deriving many of its key properties. The JCF definition of the
matrix sign function does not generally lend itself to reliable computation on a finiteword
length digital computer. In fact, its reliable numerical calculation is an interesting topic in
its own right.
We state some of the more useful properties of the matrix sign function as theorems.
Their straightforward proofs are left to the exercises.
Theorem 9.42. Suppose A E e
nxn
has no eigenvalues on the imaginary axis, and let
S = sgn(A). Then the following hold:
1. S is diagonalizable with eigenvalues equal to ± 1.
2. S2 = I.
3. AS = SA.
4. sgn(AH) = (sgn(A»H.
5. sgn(T1AT) = T1sgn(A)T foralinonsingularT E e
nxn
.
6. sgn(cA) = sgn(c) sgn(A) for all nonzero real scalars c.
Theorem 9.43. Suppose A E e
nxn
has no eigenvalues on the imaginary axis, and let
S = sgn(A). Then the following hold:
I. R(S l) is an Ainvariant subspace corresponding to the left halfplane eigenvalues
of A (the negative invariant subspace).
2. R(S + l) is an A invariant subspace corresponding to the right halfplane eigenvalues
of A (the positive invariant subspace).
3. negA == (l  S) /2 is a projection onto the negative invariant subspace of A.
4. posA == (l + S)/2 is a projection onto the positive invariant subspace of A.
EXERCISES
1. Let A E e
nxn
have distinct eigenvalues ),.1> ••• , ),.n with corresponding right eigen
vectors Xl, ... , Xn and left eigenvectors Yl, ••. , Yn, respectively. Let v E en be an
arbitrary vector. Show that v can be expressed (uniquely) as a linear combination
of the right eigenvectors. Find the appropriate expression for v as a linear combination
of the left eigenvectors as well.
Exercises 93
2. Suppose A € C"
x
" is skewHermitian, i.e., A
H
= —A. Prove that all eigenvalues of
a skewHermitian matrix must be pure imaginary.
3. Suppose A e C"
x
" is Hermitian. Let A be an eigenvalue of A with corresponding
right eigenvector x. Show that x is also a left eigenvector for A. Prove the same result
if A is skewHermitian.
5. Determine the eigenvalues, right eigenvectors and right principal vectors if necessary,
and (real) JCFs of the following matrices:
6. Determine the JCFs of the following matrices:
Find a nonsingular matrix X such that X
1
AX = J, where J is the JCF
Hint: Use[ — 1 1 — l]
r
as an eigenvector. The vectors [0 1 — l]
r
and[ l 0 0]
r
are both eigenvectors, but then the equation (A — /)jc
(2)
= x
(1)
can't be solved.
8. Show that all right eigenvectors of the Jordan block matrix in Theorem 9.30 must be
multiples of e\ e R*. Characterize all left eigenvectors.
9. Let A e R"
x
" be of the form A = xy
T
, where x, y e R" are nonzero vectors with
x
T
y = 0. Determine the JCF of A.
10. Let A e R"
xn
be of the form A = / + xy
T
, where x, y e R" are nonzero vectors
with x
T
y = 0. Determine the JCF of A.
11. Suppose a matrix A e R
16x 16
has 16 eigenvalues at 0 and its JCF consists of a single
Jordan block of the form specified in Theorem 9.22. Suppose the small number 10~
16
is added to the (16,1) element of J. What are the eigenvalues of this slightly perturbed
matrix?
4. Suppose a matrix A € R
5x5
has eigenvalues {2, 2, 2, 2, 3}. Determine all possible
JCFs for A.
7. Let
Exercises 93
2. Suppose A E rc
nxn
is skewHermitian, i.e., AH = A. Prove that all eigenvalues of
a skewHermitian matrix must be pure imaginary.
3. Suppose A E rc
nxn
is Hermitian. Let A be an eigenvalue of A with corresponding
right eigenvector x. Show that x is also a left eigenvector for A. Prove the same result
if A is skewHermitian.
4. Suppose a matrix A E lR.
5x5
has eigenvalues {2, 2, 2, 2, 3}. Determine all possible
JCFs for A.
5. Determine the eigenvalues, right eigenvectors and right principal vectors if necessary,
and (real) JCFs of the following matrices:
[
2 1 ]
(a) 1 0 '
6. Determine the JCFs of the following matrices:
<a) U j n
2
1
2
=n
7. Let
A = [H 1]·
2 2"
Find a nonsingular matrix X such that XI AX = J, where J is the JCF
J = [ ~ ~ ~ ] .
001
Hint: Use[1 1  I]T as an eigenvector. The vectors [0 If and[1 0 of
are both eigenvectors, but then the equation (A  I)x(2) = x(1) can't be solved.
8. Show that all right eigenvectors of the Jordan block matrix in Theorem 9.30 must be
multiples of el E lR.
k
. Characterize all left eigenvectors.
9. Let A E lR.
nxn
be of the form A = xyT, where x, y E lR.
n
are nonzero vectors with
x
T
y = O. Determine the JCF of A.
10. Let A E lR.
nxn
be of the form A = 1+ xyT, where x, y E lR.
n
are nonzero vectors
with x
T
y = O. Determine the JCF of A.
11. Suppose a matrix A E lR.
16x
16 has 16 eigenvalues at 0 and its JCF consists of a single
Jordan block of the form specified in Theorem 9.22. Suppose the small number 10
16
is added to the (16,1) element of J. What are the eigenvalues of this slightly perturbed
matrix?
94 Chapter 9. Eigenvalues and Eigenvectors
12. Show that every matrix A e R"
x
" can be factored in the form A = Si$2, where Si
and £2 are real symmetric matrices and one of them, say Si, is nonsingular.
Hint: Suppose A = X J X ~
l
is a reduction of A to JCF and suppose we can construct
the "symmetric factorization" of J . Then A = ( X S i X
T
) ( X ~
T
S
2
X ~
l
) would be the
required symmetric factorization of A. Thus, it suffices to prove the result for the
JCF. The transformation P in (9.18) is useful.
13. Prove that every matrix A e W
x
" is similar to its transpose and determine a similarity
transformation explicitly.
Hint: Use the factorization in the previous exercise.
14. Consider the block upper triangular matrix
where A e M"
xn
and A
n
e R
kxk
with 1 < k < n. Suppose A
u
^ 0 and that we
want to block diagonalize A via the similarity transformation
where X e R*
x
<«  *), i.e.,
Find a matrix equation that X must satisfy for this to be possible. If n = 2 and k = 1,
what can you say further, in terms of AU and A 22, about when the equation for X is
solvable?
15. Prove Theorem 9.42.
16. Prove Theorem 9.43.
17. Suppose A e C"
xn
has all its eigenvalues in the left half plane. Prove that
sgn(A) =  /.
94 Chapter 9. Eigenvalues and Eigenvectors
12. Show that every matrix A E jRnxn can be factored in the form A = SIS2, where SI
and S2 are real symmetric matrices and one of them, say S1, is nonsingular.
Hint: Suppose A = Xl XI is a reduction of A to JCF and suppose we can construct
the "symmetric factorization" of 1. Then A = (X SIXT)(X
T
S2XI) would be the
required symmetric factorization of A. Thus, it suffices to prove the result for the
JCF. The transformation P in (9.18) is useful.
13. Prove that every matrix A E jRn xn is similar to its transpose and determine a similarity
transformation explicitly.
Hint: Use the factorization in the previous exercise.
14. Consider the block upper triangular matrix
A _ [ All
 0
Al2 ]
A22 '
where A E jRnxn and All E jRkxk with 1 ::s: k ::s: n. Suppose Al2 =1= 0 and that we
want to block diagonalize A via the similarity transformation
where X E IRkx(nk), i.e.,
TIAT = [A 011 0 ]
A22 .
Find a matrix equation that X must satisfy for this to be possible. If n = 2 and k = 1,
what can you say further, in terms of All and A22, about when the equation for X is
solvable?
15. Prove Theorem 9.42.
16. Prove Theorem 9.43.
17. Suppose A E en xn has all its eigenvalues in the left halfplane. Prove that
sgn(A) = 1.
Chapter 10
Canonical Forms
10.1 Some Basic Canonical Forms
Problem: Let V and W be vector spaces and suppose A : V — > • W is a linear transformation.
Find bases in V and W with respect to which Mat A has a "simple form" or "canonical
form." In matrix terms, if A e R
mxn
, find P e R™
xm
and Q e R
n
n
xn
such that PAQ has a
"canonical form." The transformation A M» PAQ is called an equivalence; it is called an
orthogonal equivalence if P and Q are orthogonal matrices.
Remark 10.1. We can also consider the case A e C
m xn
and unitary equivalence if P and
< 2 are unitary.
Two special cases are of interest:
1. If W = V and < 2 = P"
1
, the transformation A H> PAP"
1
is called a similarity.
2 . If W = V and if Q = P
T
is orthogonal, the transformation A i» PAP
T
is called
an orthogonal similarity (or unitary similarity in the complex case).
The following results are typical of what can be achieved under a unitary similarity. If
A = A
H
6 C"
x
" has eigenvalues AI, . . . , A
n
, then there exists a unitary matrix £7 such that
U
H
AU — D, where D = di ag( A. j , . . . , A.
n
). This is proved in Theorem 10.2 . What other
matrices are "diagonalizable" under unitary similarity? The answer is given in Theorem
10.9, where it is proved that a general matrix A e C"
x
" is unitarily similar to a diagonal
matrix if and only if it is normal (i.e., AA
H
= A
H
A). Normal matrices include Hermitian,
skewHermitian, and unitary matrices (and their "real" counterparts: symmetric, skew
symmetric, and orthogonal, respectively), as well as other matrices that merely satisfy the
definition, such as A = [ _
a
b
^1 for real scalars a and b. If a matrix A is not normal, the
most "diagonal" we can get is the JCF described in Chapter 9.
Theorem 10.2. Let A = A
H
e C"
x
" have (real) eigenvalues A. I, . . . , X
n
. Then there
exists a unitary matrix X such that X
H
AX = D = diag(A.j , . . . , X
n
) (the columns ofX are
orthonormal eigenvectors for A).
95
Chapter 10
Canonical Forms
10.1 Some Basic Canonical Forms
Problem: Let V and W be vector spaces and suppose A : V + W is a linear transformation.
Find bases in V and W with respect to which Mat A has a "simple form" or "canonical
form." In matrix terms, if A E IR
mxn
, find P E lR;;:xm and Q E l R ~ x n such that P AQ has a
"canonical form." The transformation A f+ P AQ is called an equivalence; it is called an
orthogonal equivalence if P and Q are orthogonal matrices.
Remark 10.1. We can also consider the case A E e
mxn
and unitary equivalence if P and
Q are unitary.
Two special cases are of interest:
1. If W = V and Q = p
1
, the transformation A f+ PAPI is called a similarity.
2. If W = V and if Q = pT is orthogonal, the transformation A f+ P ApT is called
an orthogonal similarity (or unitary similarity in the complex case).
The following results are typical of what can be achieved under a unitary similarity. If
A = A H E en xn has eigenvalues AI, ... , An, then there exists a unitary matrix U such that
U
H
AU = D, where D = diag(AJ, ... , An). This is proved in Theorem 10.2. What other
matrices are "diagonalizable" under unitary similarity? The answer is given in Theorem
10.9, where it is proved that a general matrix A E e
nxn
is unitarily similar to a diagonal
matrix if and only if it is normal (i.e., AA H = AHA). Normal matrices include Hermitian,
skewHermitian, and unitary matrices (and their "real" counterparts: symmetric, skew
symmetric, and orthogonal, respectively), as well as other matrices that merely satisfy the
definition, such as A = [ _ ~ !] for real scalars a and h. If a matrix A is not normal, the
most "diagonal" we can get is the JCF described in Chapter 9.
Theorem 10.2. Let A = A H E en xn have (real) eigenvalues AI, ... ,An. Then there
exists a unitary matrix X such that X
H
AX = D = diag(Al, ... , An) (the columns of X are
orthonormal eigenvectors for A).
95
96 Chapter 10. Canonical Forms
Proof: Let x\ be a right eigenvector corresponding to X\, and normalize it such that xf*x\ =
1. Then there exist n — 1 additional vectors x
2
, ..., x
n
such that X = [x\,..., x
n
] =
[x\ X
2
] is unitary. Now
Then x^U
2
= 0 (/ € k) means that x
f
is orthogonal to each of the n — k columns of U
2
.
But the latter are orthonormal since they are the last n — k rows of the unitary matrix U.
Thus, [Xi f/2] is unitary. D
The construction called for in Theorem 10.2 is then a special case of Theorem 10.3
for k = 1. We illustrate the construction of the necessary Householder matrix for k — 1.
For simplicity, we consider the real case. Let the unit vector x\ be denoted by [£i, ..., %
n
]
T
.
In (10.1) we have used the fact that Ax\ = k\x\. When combined with the fact that
x"xi = 1, we get Ai remaining in the (l,l)block. We also get 0 in the (2,l)block by
noting that x\ is orthogonal to all vectors in X
2
. In (10.2), we get 0 in the (l,2)block by
noting that X
H
AX is Hermitian. The proof is completed easily by induction upon noting
that the (2,2)block must have eigenvalues X
2
,..., A.
n
. D
Given a unit vector x\ e E", the construction of X
2
e ]R"
X
("
1
) such that X —
[x\ X
2
] is orthogonal is frequently required. The construction can actually be performed
quite easily by means of Householder (or Givens) transformations as in the proof of the
following general result.
Theorem 10.3. Let X\ e C
nxk
have orthonormal columns and suppose U is a unitary
matrix such that UX\ = \
0
1, where R € C
kxk
is upper triangular. Write U
H
= [U\ U
2
]
with Ui € C
nxk
. Then [Xi U
2
] is unitary.
Proof: Let X\ = [x\,..., Xk]. Construct a sequence of Householder matrices (also known
as elementary reflectors) H\,..., H
k
in the usual way (see below) such that
where R is upper triangular (and nonsingular since x\, ..., Xk are orthonormal). Let U =
H
k
...H
v
. Then U
H
= / / , • • H
k
and
96 Chapter 10. Canonical Forms
Proof' Let XI be a right eigenvector corresponding to AI, and normalize it such that XI =
1. Then there exist n  1 additional vectors X2, ... , Xn such that X = (XI, ... , xn] =
[XI X
2
] is unitary. Now
XHAX = [
xH
] A [XI X2] = [
]
I
XH
XfAxl XfAX
2
2
=[
Al
]
(10.1)
0 XfAX
2
=[
Al 0
l
(10.2)
0
XfAX
z
In (l0.1) we have used the fact that AXI = AIXI. When combined with the fact that
XI = 1, we get Al remaining in the (l,I)block. We also get 0 in the (2, I)block by
noting that XI is orthogonal to all vectors in Xz. In (10.2), we get 0 in the (l,2)block by
noting that XH AX is Hermitian. The proof is completed easily by induction upon noting
that the (2,2)block must have eigenvalues A2, ... , An. 0
Given a unit vector XI E JRn, the construction of X
z
E JRnx(nl) such that X =
[XI X
2
] is orthogonal is frequently required. The construction can actually be performed
quite easily by means of Householder (or Givens) transformations as in the proof of the
following general result.
Theorem 10.3. Let XI E C
nxk
have orthonormal columns and suppose V is a unitary
matrix such that V X I = [ where R E C
kxk
is upper triangular. Write V H = [VI Vz]
with VI E C
nxk
. Then [XI V
2
] is unitary.
Proof: Let X I = [XI, ... ,xd. Construct a sequence of Householder matrices (also known
as elementary reflectors) HI, ... , Hk in the usual way (see below) such that
Hk ... HdxI, ... , xd = [ l
where R is upper triangular (and nonsingular since XI, ... , Xk are orthonormal). Let V =
Hk'" HI. Then VH = HI'" Hk and
Then X
i
H
U2 = 0 (i E means that Xi is orthogonal to each of the n  k columns of V2.
But the latter are orthonormal since they are the last n  k rows of the unitary matrix U.
Thus. [XI U2] is unitary. 0
The construction called for in Theorem 10.2 is then a special case of Theorem 10.3
for k = 1. We illustrate the construction of the necessary Householder matrix for k = 1.
For simplicity, we consider the real case. Let the unit vector XI be denoted by .. , ,
10.1. Some Basic Canonical Forms 97
Then the necessary Householder matrix needed for the construction of X^ is given by
U = I — 2uu
+
= I — ^UU
T
, where u = [t\ ± 1, £2, • • •» £«]
r
 It can easily be checked
that U is symmetric and U
T
U = U
2
= I, so U is orthogonal. To see that U effects the
necessary compression of j ci, it is easily verified that U
T
U = 2 ± 2£i and U
T
X\ = 1 ± £1.
Thus,
Further details on Householder matrices, including the choice of sign and the complex case,
can be consulted in standard numerical linear algebra texts such as [7], [11], [23], [25].
The real version of Theorem 10.2 is worth stating separately since it is applied fre
quently in applications.
Theorem 10.4. Let A = A
T
e E
nxn
have eigenvalues k\, ... ,X
n
. Then there exists an
orthogonal matrix X e W
lxn
(whose columns are orthonormal eigenvectors of A) such that
X
T
AX = D = diag(Xi, . . . , X
n
).
Note that Theorem 10.4 implies that a symmetric matrix A (with the obvious analogue
from Theorem 10.2 for Hermitian matrices) can be written
which is often called the spectral representation of A. In fact, A in (10.3) is actually a
weighted sum of orthogonal projections P, (onto the onedimensional eigenspaces corre
sponding to the A., 's), i.e.,
where P, = PUM —
x
i
x
f =
x
i
x
j since xj xi — 1.
The following pair of theorems form the theoretical foundation of the doubleFrancis
QR algorithm used to compute matrix eigenvalues in a numerically stable and reliable way.
10.1. Some Basic Canonical Forms 97
Then the necessary Householder matrix needed for the construction of X
2
is given by
U = I  2uu+ = I  +uu
T
, where u = [';1 ± 1, ';2, ... , ';nf. It can easily be checked
u u
that U is symmetric and U
T
U = U
2
= I, so U is orthogonal. To see that U effects the
necessary compression of Xl, it is easily verified that u
T
u = 2 ± 2';1 and u
T
Xl = 1 ± ';1.
Thus,
Further details on Householder matrices, including the choice of sign and the complex case,
can be consulted in standard numerical linear algebra texts such as [7], [11], [23], [25].
The real version of Theorem 10.2 is worth stating separately since it is applied fre
quently in applications.
Theorem 10.4. Let A = AT E jRnxn have eigenvalues AI, ... , An. Then there exists an
orthogonal matrix X E jRn xn (whose columns are orthonormal eigenvectors of A) such that
XT AX = D = diag(Al, ... , An).
Note that Theorem 10.4 implies that a symmetric matrix A (with the obvious analogue
from Theorem 10.2 for Hermitian matrices) can be written
n
A = XDX
T
= LAiXiXT,
(10.3)
i=1
which is often called the spectral representation of A. In fact, A in (10.3) is actually a
weighted sum of orthogonal projections Pi (onto the onedimensional eigenspaces corre
sponding to the Ai'S), i.e.,
n
A = LAiPi,
i=l
where Pi = PR(x;) = xiXt = xixT since xT Xi = 1.
The following pair of theorems form the theoretical foundation of the doubleFrancis
QR algorithm used to compute matrix eigenvalues in a numerically stable and reliable way.
98 Chapter 10. Canonical Forms
Theorem 10.5 (Schur). Let A e C"
x
". Then there exists a unitary matrix U such that
U
H
AU = T, where T is upper triangular.
Proof: The proof of this theorem is essentially the same as that of Theorem 10.2 except that
in this case (using the notation U rather than X) the (l,2)block wf AU2 is not 0. D
In the case of A e R"
x
", it is thus unitarily similar to an upper triangular matrix, but
if A has a complex conjugate pair of eigenvalues, then complex arithmetic is clearly needed
to place such eigenvalues on the diagonal of T. However, the next theorem shows that every
A e W
xn
is also orthogonally similar (i.e., real arithmetic) to a quasiuppertriangular
matrix. A quasiuppertriangular matrix is block upper triangular with 1 x 1 diagonal
blocks corresponding to its real eigenvalues and 2x2 diagonal blocks corresponding to its
complex conjugate pairs of eigenvalues.
Theorem 10.6 (MurnaghanWintner). Let A e R"
x
". Then there exists an orthogonal
matrix U such that U
T
AU = S, where S is quasiuppertriangular.
Definition 10.7. The triangular matrix T in Theorem 10.5 is called a Schur canonical
form or Schur form. The quasiuppertriangular matrix S in Theorem 10.6 is called a real
Schur canonical form or real Schur form (RSF). The columns of a unitary [orthogonal]
matrix U that reduces a matrix to [real] Schur form are called Schur vectors.
Example 10.8. The matrix
is in RSF. Its real JCF is
Note that only the first Schur vector (and then only if the corresponding first eigenvalue
is real if U is orthogonal) is an eigenvector. However, what is true, and sufficient for virtually
all applications (see, for example, [17]), is that the first k Schur vectors span the same A
invariant subspace as the eigenvectors corresponding to the first k eigenvalues along the
diagonal of T (or S).
While every matrix can be reduced to Schur form (or RSF), it is of interest to know
when we can go further and reduce a matrix via unitary similarity to diagonal form. The
following theorem answers this question.
Theorem 10.9. A matrix A e C"
x
" is unitarily similar to a diagonal matrix if and only if
A is normal (i.e., A
H
A = AA
H
).
Proof: Suppose U is a unitary matrix such that U
H
AU = D, where D is diagonal. Then
so A is normal.
98 Chapter 10. Canonical Forms
Theorem 10.5 (Schur). Let A E c
nxn
. Then there exists a unitary matrix U such that
U
H
AU = T, where T is upper triangular.
Proof: The proof of this theorem is essentially the same as that of Theorem lO.2 except that
in this case (using the notation U rather than X) the (l,2)block ur AU
2
is not O. 0
In the case of A E IR
n
xn , it is thus unitarily similar to an upper triangular matrix, but
if A has a complex conjugate pair of eigenvalues, then complex arithmetic is clearly needed
to place such eigenValues on the diagonal of T. However, the next theorem shows that every
A E IR
nxn
is also orthogonally similar (i.e., real arithmetic) to a quasiuppertriangular
matrix. A quasiuppertriangular matrix is block upper triangular with 1 x 1 diagonal
blocks corresponding to its real eigenvalues and 2 x 2 diagonal blocks corresponding to its
complex conjugate pairs of eigenvalues.
Theorem 10.6 (MurnaghanWintner). Let A E IR
n
xn. Then there exists an orthogonal
matrix U such that U
T
AU = S, where S is quasiuppertriangular.
Definition 10.7. The triangular matrix T in Theorem 10.5 is called a Schur canonical
form or Schur fonn. The quasiuppertriangular matrix S in Theorem 10.6 is called a real
Schur canonical form or real Schur fonn (RSF). The columns of a unitary [orthogonal}
matrix U that reduces a matrix to [real} Schur fonn are called Schur vectors.
Example 10.8. The matrix
s ~ [
2 5
n
2 4
0 0
is in RSF. Its real JCF is
h[
1
n
1 1
0 0
Note that only the first Schur vector (and then only if the corresponding first eigenvalue
is real if U is orthogonal) is an eigenvector. However, what is true, and sufficient for virtually
all applications (see, for example, [17]), is that the first k Schur vectors span the same A
invariant subspace as the eigenvectors corresponding to the first k eigenvalues along the
diagonal of T (or S).
While every matrix can be reduced to Schur form (or RSF), it is of interest to know
when we can go further and reduce a matrix via unitary similarity to diagonal form. The
following theorem answers this question.
Theorem 10.9. A matrix A E c
nxn
is unitarily similar to a diagonal matrix if and only if
A is normal (i.e., AH A = AA
H
).
Proof: Suppose U is a unitary matrix such that U
H
AU = D, where D is diagonal. Then
AAH = U VUHU VHU
H
= U DDHU
H
== U DH DU
H
== AH A
so A is normal.
10.2. Definite Matrices 99
Conversely, suppose A is normal and let U be a unitary matrix such that U
H
AU = T,
where T is an upper triangular matrix (Theorem 10.5). Then
It is then a routine exercise to show that T must, in fact, be diagonal. D
10.2 Definite Matrices
Definition 10.10. A symmetric matrix A e W
xn
is
1. positive definite if and only ifx
T
Ax > Qfor all nonzero x G W
1
. We write A > 0.
2. nonnegative definite (or positive semidefinite) if and only if X
T
Ax > 0 for all
nonzero x e W. We write A > 0.
3. negative definite if—A is positive definite. We write A < 0.
4. nonpositive definite (or negative semidefinite) if— A is nonnegative definite. We
write A < 0.
Also, if A and B are symmetric matrices, we write A > B if and only if A — B > 0 or
B — A < 0. Similarly, we write A > B if and only ifA — B>QorB — A < 0.
Remark 10.11. If A e C"
x
" is Hermitian, all the above definitions hold except that
superscript //s replace Ts. Indeed, this is generally true for all results in the remainder of
this section that may be stated in the real case for simplicity.
Remark 10.12. If a matrix is neither definite nor semidefinite, it is said to be indefinite.
Theorem 10.13. Let A = A
H
e C
nxn
with eigenvalues X
{
> A
2
> • • • > A
n
. Then for all
x eC",
Proof: Let U be a unitary matrix that diagonalizes A as in Theorem 10.2. Furthermore,
let v = U
H
x, where x is an arbitrary vector in C
M
, and denote the components of y by
j]i, i € n. Then
But clearly
10.2. Definite Matrices 99
Conversely, suppose A is normal and let U be a unitary matrix such that U H A U = T,
where T is an upper triangular matrix (Theorem 10.5). Then
It is then a routine exercise to show that T must, in fact, be diagonal. 0
10.2 Definite Matrices
Definition 10.10. A symmetric matrix A E lR.
nxn
is
1. positive definite if and only if x T Ax > 0 for all nonzero x E lR.
n
. We write A > O.
2. nonnegative definite (or positive semidefinite) if and only if x
T
Ax :::: 0 for all
nonzero x E lR.
n
• We write A :::: O.
3. negative definite if  A is positive definite. We write A < O.
4. nonpositive definite (or negative semidefinite) if A is nonnegative definite. We
write A ~ O.
Also, if A and B are symmetric matrices, we write A > B if and only if A  B > 0 or
B  A < O. Similarly, we write A :::: B if and only if A  B :::: 0 or B  A ~ O.
Remark 10.11. If A E e
nxn
is Hermitian, all the above definitions hold except that
superscript H s replace T s. Indeed, this is generally true for all results in the remainder of
this section that may be stated in the real case for simplicity.
Remark 10.12. If a matrix is neither definite nor semidefinite, it is said to be indefinite.
Theorem 10.13. Let A = AH E e
nxn
with eigenvalues AI :::: A2 :::: ... :::: An. Thenfor all
x E en,
Proof: Let U be a unitary matrix that diagonalizes A as in Theorem 10.2. Furthermore,
let y = U H x, where x is an arbitrary vector in en, and denote the components of y by
11;, i En. Then
But clearly
n
x
H
Ax = (U
H
X)H U
H
AU(U
H
x) = yH Dy = LA; 111;12.
n
LA; 11'/;12 ~ AlyH Y = AIX
H
X
;=1
;=1
100 Chapter 10. Canonical Forms
and
from which the theorem follows. D
Remark 10.14. The ratio ^^ for A = A
H
< = C
nxn
and nonzero jc e C" is called the
Rayleigh quotient of jc. Theorem 10.13 provides upper (AO and lower (A.
w
) bounds for
the Rayleigh quotient. If A = A
H
e C"
x
" is positive definite, X
H
Ax > 0 for all nonzero
x E C", soO < X
n
< • • • < A. I.
Corollary 10.15. Let A e C"
x
". Then \\A\\
2
= ^
m
(A
H
A}.
Proof: For all x € C" we have
Let jc be an eigenvector corresponding to X
max
(A
H
A). Then ^pjp
2
= ^^(A" A) , whence
Definition 10.16. A principal submatrix of an nxn matrix A is the (n — k)x(n — k) matrix
that remains by deleting k rows and the corresponding k columns. A leading principal
submatrix of order n — k is obtained by deleting the last k rows and columns.
Theorem 10.17. A symmetric matrix A e E"
x
" is positive definite if and only if any of the
following three equivalent conditions hold:
1. The determinants of all leading principal submatrices of A are positive.
2. All eigenvalues of A are positive.
3. A can be written in the formM
T
M, where M e R"
x
" is nonsingular.
Theorem 10.18. A symmetric matrix A € R"
x
" is nonnegative definite if and only if any
of the following three equivalent conditions hold:
1. The determinants of all principal submatrices of A are nonnegative.
2. All eigenvalues of A are nonnegative.
3. A can be written in the formM
T
M, where M 6 R
ix
" and k > rank(A) — rank(M) .
Remark 10.19. Note that the determinants of all principal eubmatrioes muet bQ nonnogativo
in Theorem 10.18.1, not just those of the leading principal submatrices. For example,
consider the matrix A — [
0
_
l
1. The determinant of the 1x1 leading submatrix is 0 and
the determinant of the 2x2 leading submatrix is also 0 (cf. Theorem 10.17). However, the
100 Chapter 10. Canonical Forms
and
n
LAillJilZ::: AnyHy = An
xHx
,
i=l
from which the theorem follows. 0
Remark 10.14. The ratio XHHAx for A = AH E e
nxn
and nonzero x E en is called the
x x
Rayleigh quotient of x. Theorem 1O.l3 provides upper (A 1) and lower (An) bounds for
the Rayleigh quotient. If A = AH E e
nxn
is positive definite, x
H
Ax > 0 for all nonzero
x E en, so 0 < An ::::: ... ::::: A I.
I
Corollary 10.15. Let A E e
nxn
. Then IIAII2 = Ar1ax(AH A).
Proof: For all x E en we have
I
Let x be an eigenvector corresponding to Amax (A H A). Then = Ar1ax (A H A), whence
IIAxll2 ! H
IIAliz = max = Amax{A A). 0
xfO IIxll2
Definition 10.16. A principal submatrixofan n x n matrix A is the (n k) x (n k) matrix
that remains by deleting k rows and the corresponding k columns. A leading principal
submatrix of order n  k is obtained by deleting the last k rows and columns.
Theorem 10.17. A symmetric matrix A E is positive definite if and only if any of the
following three equivalent conditions hold:
1. The determinants of all leading principal submatrices of A are positive.
2. All eigenvalues of A are positive.
3. A can be written in the form MT M, where M E xn is nonsingular.
Theorem 10.18. A symmetric matrix A E xn is nonnegative definite if and only if any
of the following three equivalent conditions hold:
1. The determinants of all principal submatrices of A are nonnegative.
2. All eigenvalues of A are nonnegaTive.
3. A can be wrirren in [he/orm MT M, where M E IRb<n and k ranlc(A) "" ranlc(M).
R.@mllrk 10.19. Not@th!ltthl!dl!termin!lntl:ofnllprincip!ll "ubm!ltriC[!!l mu"t bB nonnBgmivB
in Theorem 10.18.1, not just those of the leading principal submatrices. For example,
consider the matrix A = _ The determinant of the I x 1 leading submatrix is 0 and
the determinant of the 2 x 2 leading submatrix is also 0 (cf. Theorem 10.17). However, the
10.2. Definite Matrices 101
principal submatrix consisting of the (2,2) element is, in fact, negative and A is nonpositive
definite.
Remark 10.20. The factor M in Theorem 10.18.3 is not unique. For example, if
Recall that A > B if the matrix A — B is nonnegative definite. The following
theorem is useful in "comparing" symmetric matrices. Its proof is straightforward from
basic definitions.
Theorem 10.21. Let A, B e R
nxn
be symmetric.
1. If A >BandMe R
nxm
, then M
T
AM > M
T
BM.
2. If A >B and M e R
nxm
, then M
T
AM > M.
T
BM.
j m
The following standard theorem is stated without proof (see, for example, [16, p.
181]). It concerns the notion of the "square root" of a matrix. That is, if A € E"
xn
, we say
that S e R
nx
" is a square root of A if S
2
— A. In general, matrices (both symmetric and
nonsymmetric) have infinitely many square roots. For example, if A = /2, any matrix S of
the form [
c
s
°*
e
e
_
c
s
™
9
e
] is a square root.
Theorem 10.22. Let A e R"
x
" be nonnegative definite. Then A has a unique nonnegative
definite square root S. Moreover, SA = AS and rankS = rank A (and hence S is positive
definite if A is positive definite).
A stronger form of the third characterization in Theorem 10.17 is available and is
known as the Cholesky factorization. It is stated and proved below for the more general
Hermitian case.
Theorem 10.23. Let A e <C
nxn
be Hermitian and positive definite. Then there exists a
unique nonsingular lower triangular matrix L with positive diagonal elements such that
A = LL
H
.
Proof: The proof is by induction. The case n = 1 is trivially true. Write the matrix A in
the form
By our induction hypothesis, assume the result is true for matrices of order n — 1 so that B
may be written as B = L\L^, where L\ e C
1
""
1
^""^ is nonsingular and lower triangular
then M can be
10.2. Definite Matrices 101
principal submatrix consisting of the (2,2) element is, in fact, negative and A is nonpositive
definite.
Remark 10.20. The factor M in Theorem 10.18.3 is not unique. For example, if
then M can be
[1 0], [ fz
ti
o [ ~ 0]
o l ~ 0 , ...
v'3 0
Recall that A :::: B if the matrix A  B is nonnegative definite. The following
theorem is useful in "comparing" symmetric matrices. Its proof is straightforward from
basic definitions.
Theorem 10.21. Let A, B E jRnxn be symmetric.
1. 1f A :::: Band M E jRnxm, then MT AM :::: MT BM.
2. If A> Band M E j R ~ x m , then MT AM> MT BM.
The following standard theorem is stated without proof (see, for example, [16, p.
181]). It concerns the notion of the "square root" of a matrix. That is, if A E lR.
nxn
, we say
that S E jRn xn is a square root of A if S2 = A. In general, matrices (both symmetric and
nonsymmetric) have infinitely many square roots. For example, if A = lz, any matrix S of
h
" [COSO Sino] .
t e 10rm sinO _ cosO IS a square root.
Theorem 10.22. Let A E lR.
nxn
be nonnegative definite. Then A has a unique nonnegative
definite square root S. Moreover, SA = AS and rankS = rankA (and hence S is positive
definite if A is positive definite).
A stronger form of the third characterization in Theorem 10.17 is available and is
known as the Cholesky factorization. It is stated and proved below for the more general
Hermitian case.
Theorem 10.23. Let A E c
nxn
be Hermitian and positive definite. Then there exists a
unique nonsingular lower triangular matrix L with positive diagonal elements such that
A = LLH.
Proof: The proof is by induction. The case n = 1 is trivially true. Write the matrix A in
the form
By our induction hypothesis, assume the result is true for matrices of order n  1 so that B
may be written as B = L1Lf, where Ll E c(nl)x(nl) is nonsingular and lower triangular
102 Chapt er 10. Ca n o n i c a l Forms
with positive diagonal elements. It remains to prove that we can write the n x n matrix A
in the form
10.3 Equivalence Transformations and Congruence
Theorem 10.24. Let A € C™*
7 1
. Then there exist matrices P e C ™
xm
and Q e C"
n
x
" such
that
Proof: A classical proof can be consulted in, for example, [21, p. 131]. Alternatively,
suppose A has an SVD of the form (5.2) in its complex version. Then
Note that the greater freedom afforded by the equivalence transformation of Theorem
10.24, as opposed to the more restrictive situation of a similarity transformation, yields a
far "simpler" canonical form (10.4). However, numerical procedures for computing such
an equivalence directly via, say, Gaussian or elementary row and column operations, are
generally unreliable. The numerically preferred equivalence is, of course, the unitary equiv
alence known as the SVD. However, the SVD is relatively expensive to compute and other
canonical forms exist that are intermediate between (10.4) and the SVD; see, for example
[7, Ch. 5], [4, Ch. 2]. Two such forms are stated here. They are more stably computable
than (10.4) and more efficiently computable than a ful l SVD. Many similar results are also
available.
where a is positive. Performing the indicated matrix multiplication and equating the cor
responding submatrices, we see that we must have L\c = b and a
nn
= C
H
C + a
2
. Clearly
c is given simply by c = L^b. Substituting in the expression involving a, we find
a
2
= a
nn
— b
H
L\
H
L\
l
b = a
nn
— b
H
B~
l
b (= the Schur complement of B in A). But we
know that
Since det (fi ) > 0, we must have a
nn
—b
H
B
l
b > 0. Choosing a to be the positive square
root of «„„ — b
H
B~
l
b completes the proof. D
102 Chapter 10. Canonical Forms
with positive diagonal elements. It remains to prove that we can write the n x n matrix A
in the form
b ] = [L
J
0 ] [Lf c J,
ann c a 0 a
where a is positive. Performing the indicated matrix multiplication and equating the cor
responding submatrices, we see that we must have L I C = b and ann = c
H
c + a
2
• Clearly
c is given simply by c = C,lb. Substituting in the expression involving a, we find
a
2
= ann  b
H
LIH L11b = ann  b
H
B1b (= the Schur complement of B in A). But we
know that
o < det(A) = det [
b ] = det(B) det(a
nn
_ b
H
B1b).
ann
Since det(B) > 0, we must have ann  b
H
B1b > O. Choosing a to be the positive square
root of ann  b
H
B1b completes the proof. 0
10.3 Equivalence Transformations and Congruence
Theorem 10.24. Let A E c;,xn. Then there exist matrices P E C:
xm
and Q E such
that
(l0.4)
Proof: A classical proof can be consulted in, for example, [21, p. 131]. Alternatively,
suppose A has an SVD of the form (5.2) in its complex version. Then
[
Sl 0 ] [ U
H
] [I 0 ]
o I Uf AV = 0 0 .
Take P = [ 'f [I ] and Q = V to complete the proof. 0
Note that the greater freedom afforded by the equivalence transformation of Theorem
10.24, as opposed to the more restrictive situation of a similarity transformation, yields a
far "simpler" canonical form (10.4). However, numerical procedures for computing such
an equivalence directly via, say, Gaussian or elementary row and column operations, are
generally unreliable. The numerically preferred equivalence is, of course, the unitary equiv
alence known as the SVD. However, the SVD is relatively expensive to compute and other
canonical forms exist that are intermediate between (l0.4) and the SVD; see, for example
[7, Ch. 5], [4, Ch. 2]. Two such forms are stated here. They are more stably computable
than (lOA) and more efficiently computable than a full SVD. Many similar results are also
available.
10.3. Equivalence Transformations and Congruence 103
Theorem 10.25 (Complete Orthogonal Decomposition). Let A e C™
x
". Then there exist
unitary matrices U e C
mxm
and V e C
nxn
such that
where R e €,
r
r
xr
is upper (or lower) triangular with positive diagonal elements.
Proof: For the proof, see [4]. D
Theorem 10.26. Let A e C™
x
". Then there exists a unitary matrix Q e C
mxm
and a
permutation matrix Fl e C"
x
" such that
where R E C
r
r
xr
is upper triangular and S e C
r x(
"
r)
is arbitrary but in general nonzero.
Proof: For the proof, see [4]. D
Remark 10.27. When A has full column rank but is "near" a rank deficient matrix,
various rank revealing QR decompositions are available that can sometimes detect such
phenomena at a cost considerably less than a full SVD. Again, see [4] for details.
Definition 10.28. Let A e C
nxn
and X e C
n
n
xn
. The transformation A i> X
H
AX is called
a congruence. Note that a congruence is a similarity if and only ifX is unitary.
Note that congruence preserves the property of being Hermitian; i.e., if A is Hermitian,
then X
H
AX is also Hermitian. It is of interest to ask what other properties of a matrix are
preserved under congruence. It turns out that the principal property so preserved is the sign
of each eigenvalue.
Definition 10.29. Let A = A
H
e C"
x
" and let 7t, v, and £ denote the numbers of positive,
negative, and zero eigenvalues, respectively, of A. Then the inertia of A is the triple of
numbers In(A) = (n, v, £). The signature of A is given by sig(A) = n — v.
Example 10.30.
2. If A = A" eC
n x
" , t h enA > 0 if and only if In (A) = (n, 0, 0).
3. If In(A) = (TT, v, £), then rank(A) = n + v.
Theorem 10.31 (Sylvester's Law of Inertia). Let A = A
H
e C
nxn
and X e C
n
n
xn
. Then
In(A) = ln(X
H
AX).
Proof: For the proof, see, for example, [21, p. 134]. D
Theorem 10.31 guarantees that rank and signature of a matrix are preserved under
congruence. We then have the following.
10.3. Equivalence Transformations and Congruence 103
Theorem 10.25 (Complete Orthogonal Decomposition). Let A E e ~ x n . Then there exist
unitary matrices U E e
mxm
and V E e
nxn
such that
where R E e;xr is upper (or lower) triangular with positive diagonal elements.
Proof: For the proof, see [4]. 0
(10.5)
Theorem 10.26. Let A E e ~ x n . Then there exists a unitary matrix Q E e
mxm
and a
permutation matrix IT E en xn such that
QAIT = [ ~ ~ l
(10.6)
where R E e;xr is upper triangular and S E erx(nr) is arbitrary but in general nonzero.
Proof: For the proof, see [4]. 0
Remark 10.27. When A has full column rank but is "near" a rank deficient matrix,
various rank revealing QR decompositions are available that can sometimes detect such
phenomena at a cost considerably less than a full SVD. Again, see [4] for details.
Definition 10.28. Let A E e
nxn
and X E e ~ x n . The transformation A H XH AX is called
a congruence. Note that a congruence is a similarity if and only if X is unitary.
Note that congruence preserves the property of being Hermitian; i.e., if A is Hermitian,
then X H AX is also Hermitian. It is of interest to ask what other properties of a matrix are
preserved under congruence. It turns out that the principal property so preserved is the sign
of each eigenvalue.
Definition 10.29. Let A = AH E e
nxn
and let rr, v, and ~ denote the numbers of positive,
negative, and zero eigenvalues, respectively, of A. Then the inertia of A is the triple of
numbers In(A) = (rr, v, n The signature of A is given by sig(A) = rr  v.
Example 10.30.
l.In[! 1
o 0
00] o 0
10 =(2,1,1).
o 0
2. If A = AH E e
nxn
, then A> 0 if and only if In(A) = (n, 0, 0).
3. If In(A) = (rr, v, n, then rank(A) = rr + v.
Theorem 10.31 (Sylvester's Law of Inertia). Let A = A HE en xn and X E e ~ xn. Then
In(A) = In(X
H
AX).
Proof: For the proof, see, for example, [21, p. 134]. D
Theorem 10.31 guarantees that rank and signature of a matrix are preserved under
congruence. We then have the following.
104 Chapter 10. Canonical Forms
Theorem 10.32. Let A = A
H
e C"
xn
with In(A) = (jt, v, £). Then there exists a matrix
X e C"
n
xn
such that X
H
AX = diag(l, . . . , 1, 1,..., 1, 0, . . . , 0), where the number of
1 's is 7i, the number of — l's is v, and the number 0/0 's is (,.
Proof: Let AI , . . . , X
w
denote the eigenvalues of A and order them such that the first TT are
positive, the next v are negative, and the final £ are 0. By Theorem 10.2 there exists a unitary
matrix U such that U
H
AU = diag(Ai, . . . , A
w
). Define the n x n matrix
Then it is easy to check that X = U W yields the desired result. D
10.3.1 Block matrices and definiteness
Theorem 10.33. Suppose A = A
T
and D = D
T
. Then
if and only if either A > 0 and D  B
T
A~
l
B > 0, or D > 0 and A  BD^B
T
> 0.
Proof: The proof follows by considering, for example, the congruence
The details are straightforward and are left to the reader. D
Remark 10.34. Note the symmetric Schur complements of A (or D) in the theorem.
Theorem 10.35. Suppose A = A
T
and D = D
T
. Then
if and only ifA>0, AA
+
B = B, and D  B
T
A
+
B > 0.
Proof: Consider the congruence with
and proceed as in the proof of Theorem 10.33. D
10.4 Rational Canonical Form
One final canonical form to be mentioned is the rational canonical form.
104 Chapter 10. Canonical Forms
Theorem 10.32. Let A = AH E c
nxn
with In(A) = (Jr, v, O. Then there exists a matrix
X E such that XH AX = diag(1, ... , I, I, ... , 1,0, ... ,0), where the number of
1 's is Jr, the number of I 's is v, and the numberofO's
Proof: Let A I, ... , An denote the eigenvalues of A and order them such that the first Jr are
positive, the next v are negative, and the final are O. By Theorem 10.2 there exists a unitary
matrix V such that VH AV = diag(AI, ... , An). Define the n x n matrix
vv = ... , 1/.fArr+I' ... , I/.fArr+v, I, ... ,1).
Then it is easy to check that X = V VV yields the desired result. 0
10.3.1 Block matrices and definiteness
Theorem 10.33. Suppose A = AT and D = DT. Then
ifand only ifeither A> ° and D  BT AI B > 0, or D > 0 and A  BD
I
BT > O.
Proof: The proof follows by considering, for example, the congruence
B ] [I _AI B JT [ A
D 0 I BT
] [
The details are straightforward and are left to the reader. 0
Remark 10.34. Note the symmetric Schur complements of A (or D) in the theorem.
Theorem 10.35. Suppose A = AT and D = DT. Then
B ] > °
D 
if and only if A:::: 0, AA+B = B. and D  BT A+B:::: o.
Proof: Consider the congruence with
and proceed as in the proof of Theorem 10.33. 0
10.4 Rational Canonical Form
One final canonical form to be mentioned is the rational canonical form.
10.4. Rational Canonical Form 105
Definition 10.36. A matrix A e M"
x
" is said to be nonderogatory if its minimal polynomial
and characteristic polynomial are the same or, equivalently, if its Jordan canonical f orm
has only one block associated with each distinct eigenvalue.
Suppose A E W
xn
is a nonderogatory matrix and suppose its characteristic polyno
mial is 7 r( A ) = A " — ( a
0
+ «A +
is similar to a matrix of the form
+ a
n
_ i A
n
~ ' )  Then it can be shown (see [12]) that A
Definition 10.37. A matrix A e E
nx
" of the f orm (10.7) is called a companion matrix or
is said to be in companion form.
Companion matrices also appear in the literature in several equivalent forms. To
illustrate, consider the companion matrix
This matrix is a special case of a matrix in lower Hessenberg form. Using the reverseorder
identity similarity P given by (9.18), A is easily seen to be similar to the following matrix
in upper Hessenberg form:
Moreover, since a matrix is similar to its transpose (see exercise 13 in Chapter 9), the
following are also companion matrices similar to the above:
Notice that in all cases a companion matrix is nonsingular if and only if aO /= 0.
In fact, the inverse of a nonsingular companion matrix is again in companion form. For
£*Yamr\1j=»
10.4. Rational Canonical Form 105
Definition 10.36. A matrix A E lR
n
Xn is said to be nonderogatory ifits minimal polynomial
and characteristic polynomial are the same or; equivalently, if its Jordan canonical form
has only one block associated with each distinct eigenvalue.
Suppose A E lR
nxn
is a nonderogatory matrix and suppose its characteristic polyno
mial is n(A) = An  (ao + alA + ... + an_IAnI). Then it can be shown (see [12]) that A
is similar to a matrix of the form
o o o
o 0
o
(10.7)
o o
Definition 10.37. A matrix A E lR
nxn
of the form (10.7) is called a cornpanion rnatrix or
is said to be in cornpanion forrn.
Companion matrices also appear in the literature in several equivalent forms. To
illustrate, consider the companion matrix
(l0.8)
This matrix is a special case of a matrix in lower Hessenberg form. Using the reverseorder
identity similarity P given by (9.18), A is easily seen to be similar to the following matrix
in upper Hessenberg form:
a2 al
o 0
1 0
o 1
6]
o .
o
(10.9)
Moreover, since a matrix is similar to its transpose (see exercise 13 in Chapter 9), the
following are also companion matrices similar to the above:
l
:: ~ ! ~ 0 1 ] .
ao 0 0
(10.10)
Notice that in all cases a companion matrix is nonsingular if and only if ao i= O.
In fact, the inverse of a nonsingular companion matrix is again in companion form. For
example,
o
1
o
 ~
ao
1
o
o
 ~
ao
o
o
_!!l
o
o
(10.11)
106 Chapter 10. Canonical Forms
with a similar result for companion matrices of the form (10.10).
If a companion matrix of the form (10.7) is singular, i.e., if ao = 0, then its pseudo
inverse can still be computed. Let a e M""
1
denote the vector \a\, 02,..., a
n
i] and let
c =
l+
l
a
r
a
. Then it is easily verified that
Note that / — caa
T
= (I + aa
T
) , and hence the pseudoinverse of a singular companion
matrix is not a companion matrix unless a = 0.
Companion matrices have many other interesting properties, among which, and per
haps surprisingly, is the fact that their singular values can be found in closed form; see
[14].
Theorem 10.38. Let a\ > GI > • • • > a
n
be the singular values of the companion matrix
A in (10.7). Let a = a\ + a\ + • • • +a%_
{
and y = 1 + «.Q + a. Then
Remark 10.39. Explicit formulas for all the associated right and left singular vectors can
also be derived easily.
If A € R
nx
" is derogatory, i.e., has more than one Jordan block associated with
at least one eigenvalue, then it is not similar to a companion matrix of the form (10.7).
However, it can be shown that a derogatory matrix is similar to a block diagonal matrix,
each of whose diagonal blocks is a companion matrix. Such matrices are said to be in
rational canonical form (or Frobenius canonical form). For details, see, for example, [12].
Companion matrices appear frequently in the control and signal processing literature
but unfortunately they are often very difficult to work with numerically. Algorithms to reduce
an arbitrary matrix to companion form are numerically unstable. Moreover, companion
matrices are known to possess many undesirable numerical properties. For example, in
general and especially as n increases, their eigenstructure is extremely ill conditioned,
nonsingular ones are nearly singular, stable ones are nearly unstable, and so forth [14].
Ifao ^ 0, the largest and smallest singular values can also be written in the equivalent form
106 Chapter 10. Canonical Forms
with a similar result for companion matrices of the form (10.10).
If a companion matrix of the form (10.7) is singular, i.e., if ao = 0, then its pseudo
inverse can still be computed. Let a E JRn1 denote the vector [ai, a2, ... , anIf and let
c = I + ~ T a' Then it is easily verified that
o
o
o
o
o o
o
o
+
o
1 caa
T
o J.
ca
Note that I  caa T = (I + aa T) I , and hence the pseudoinverse of a singular companion
matrix is not a companion matrix unless a = O.
Companion matrices have many other interesting properties, among which, and per
haps surprisingly, is the fact that their singular values can be found in closed form; see
[14].
Theorem 10.38. Let al ~ a2 ~ ... ~ an be the singular values of the companion matrix
A in (10.7). Leta = ar + ai + ... + a;_1 and y = 1 + aJ + a. Then
2 _ 1 ( J 2 2)
a
l
 2 y + y  4a
o
'
a? = 1 for i = 2, 3, ... , n  1,
a; = ~ (y  J y2  4a
J
) .
If ao =1= 0, the largest and smallest singular values can also be written in the equivalent form
Remark 10.39. Explicit formulas for all the associated right and left singular vectors can
also be derived easily.
If A E JRnxn is derogatory, i.e., has more than one Jordan block associated with
at least one eigenvalue, then it is not similar to a companion matrix of the form (10.7).
However, it can be shown that a derogatory matrix is similar to a block diagonal matrix,
each of whose diagonal blocks is a companion matrix. Such matrices are said to be in
rational canonical form (or Frobenius canonical form). For details, see, for example, [12].
Companion matrices appear frequently in the control and signal processing literature
but unfortunately they are often very difficult to work with numerically. Algorithms to reduce
an arbitrary matrix to companion form are numerically unstable. Moreover, companion
matrices are known to possess many undesirable numerical properties. For example, in
general and especially as n increases, their eigenstructure is extremely ill conditioned,
nonsingular ones are nearly singular, stable ones are nearly unstable, and so forth [14].
Exercises 107
Companion matrices and rational canonical forms are generally to be avoided in floating
point computation.
Remark 10.40. Theorem 10.38 yields some understanding of why difficult numerical
behavior might be expected for companion matrices. For example, when solving linear
systems of equations of the form (6.2), one measure of numerical sensitivity is K
P
(A) =
I I ^ I I
p
I I A~
l
I I
p
>
m
e socalled condition number of A with respect to inversion and with respect
to the matrix Pnorm. I f this number is large, say 0(10*), one may lose up to k digits of
precision. I n the 2norm, this condition number is the ratio of largest to smallest singular
values which, by the theorem, can be determined explicitly as
I t is easy to show that y/2/ao < k2(A) < £,, and when GO is small or y is large (or both),
then K2(A) ^ T~I. I t is not unusual for y to be large for large n. Note that explicit formulas
for K\ (A) and K oo(A) can also be determined easily by using (10.11).
EXERCISES
1. Show that if a triangular matrix is normal, then it must be diagonal.
2. Prove that if A e M"
x
" is normal, then Af(A) = A/"(A
r
).
3. Let A G C
nx
" and define p(A) = maxx
€
A(A) I ' M Then p(A) is called the spectral
radius of A. Show that if A is normal, then p(A) = A
2
. Show that the converse
is true if n = 2.
4. Let A € C
nxn
be normal with eigenvalues y1 , ..., y
n
and singular values a\ > a
2
>
• • • > o
n
> 0. Show that a, (A) = A.,(A) for i e n.
5. Use the reverseorder identity matrix P introduced in (9.18) and the matrix U in
Theorem 10.5 to find a unitary matrix Q that reduces A e C"
x
" to lower triangular
form.
6. Let A = I J MeC
2x2
. Find a unitary matrix U such that
7. I f A e W
xn
is positive definite, show that A
[
must also be positive definite.
3. Suppose A e E"
x
" is positive definite. I s [ ^ /i 1 > 0?
}. Let R, S 6 E
nxn
be symmetric. Show that [ * J 1 > 0 if and only if S > 0 and
R> S
Exercises 107
Companion matrices and rational canonical forms are generally to be avoided in fioating
point computation.
Remark 10.40. Theorem 10.38 yields some understanding of why difficult numerical
behavior might be expected for companion matrices. For example, when solving linear
systems of equations of the form (6.2), one measure of numerical sensitivity is Kp(A) =
II A II p II A ] II p' the socalled condition number of A with respect to inversion and with respect
to the matrix pnorm. If this number is large, say O(lO
k
), one may lose up to k digits of
precision. In the 2norm, this condition number is the ratio of largest to smallest singular
values which, by the theorem, can be determined explicitly as
y+J
y
2 4
a5
21
a
ol
It is easy to show that :::: K2(A) :::: 1:01' and when ao is small or y is large (or both),
then K2(A) It is not unusualfor y to be large forlarge n. Note that explicit formulas
for K] (A) and Koo(A) can also be determined easily by using (l0.11).
EXERCISES
1. Show that if a triangular matrix is normal, then it must be diagonal.
2. Prove that if A E jRnxn is normal, then N(A) = N(A
T
).
3. Let A E cc
nxn
and define peA) = max)..EA(A) IAI. Then peA) is called the spectral
radius of A. Show that if A is normal, then peA) = IIAII2' Show that the converse
is true if n = 2.
4. Let A E en xn be normal with eigenvalues A], ... , An and singular values 0'1 0'2
... an O. Show that a; (A) = IA;(A)I for i E!l.
5. Use the reverseorder identity matrix P introduced in (9.18) and the matrix U in
Theorem 10.5 to find a unitary matrix Q that reduces A E cc
nxn
to lower triangular
form.
6. Let A = :] E CC
2x2
. Find a unitary matrix U such that
7. If A E jRn xn is positive definite, show that A I must also be positive definite.
8. Suppose A E jRnxn is positive definite. Is [1 O?
9. Let R, S E jRnxn be symmetric. Show that > 0 if and only if S > 0 and
R > SI.
108 Chapter 10. Canonical Forms
10. Find the inertia of the following matrices:
108
10. Find the inertia of the following matrices:
(a) [ ~ ~ l (b) [
(d) [1 1 + j ]
1  j 1 .
Chapter 10. Canonical Forms
2 1 + j ]
1  j 2 '
Chapter 11
Linear Differential and
Difference Equations
11.1 Differential Equations
In this section we study solutions of the linear homogeneous system of differential equations
for t > IQ. This is known as an initialvalue problem. We restrict our attention in this
chapter only to the socalled timeinvariant case, where the matrix A e R
nxn
is constant
and does not depend on t. The solution of (11.1) is then known always to exist and be
unique. It can be described conveniently in terms of the matrix exponential.
Definition 11.1. For all A e R
nxn
, the matrix exponential e
A
e R
nxn
is defined by the
power series
The series (11.2) can be shown to converge for all A (has radius of convergence equal
to +00). The solution of (11.1) involves the matrix
which thus also converges for all A and uniformly in t.
11.1.1 Properties of the matrix exponential
1. e° = I.
Proof: This follows immediately from Definition 11.1 by setting A = 0.
2. For all A G R"
XM
, (e
A
f  e^.
Proof: This follows immediately from Definition 11.1 and linearity of the transpose.
109
Chapter 11
Linear Differential and
Difference Equations
11.1 Differential Equations
In this section we study solutions of the linear homogeneous system of differential equations
x(t) = Ax(t); x(to) = Xo E JR.n (11.1)
for t 2: to. This is known as an initialvalue problem. We restrict our attention in this
chapter only to the socalled timeinvariant case, where the matrix A E JR.nxn is constant
and does not depend on t. The solution of (11.1) is then known always to exist and be
unique. It can be described conveniently in terms of the matrix exponential.
Definition 11.1. For all A E JR.nxn, the matrix exponential e
A
E JR.nxn is defined by the
power series
+00 1
e
A
= L ,Ak.
k=O k.
(11.2)
The series (11.2) can be shown to converge for all A (has radius of convergence equal
to +(0). The solution of (11.1) involves the matrix
(11.3)
which thus also converges for all A and uniformly in t.
11.1.1 Properties of the matrix exponential
1. eO = I.
Proof This follows immediately from Definition 11.1 by setting A = O.
T T
2. For all A E JR.nxn, (e
A
) = e
A
•
Proof This follows immediately from Definition 11.1 and linearity of the transpose.
109
110 Chapter 11. Linear Differential and Difference Equations
3. For all A e R"
x
" and for all t, r e R, e
(t
+
T)A
= e'
A
e
rA
= e
lA
e'
A
.
Proof: Note that
Compare like powers of A in the above two equations and use the binomial theorem
on (t + T)*.
4. For all A, B e R"
xn
and for all t e R, e
t(A+B)
=^e'
A
e'
B
= e'
B
e'
A
if and only if A
and B commute, i.e., AB = B A.
Proof: Note that
and
and
while
Compare like powers of t in the first equation and the second or third and use the
binomial theorem on (A + B)
k
and the commutativity of A and B.
5. For all A e R"
x
" and for all t e R, (e'
A
)~
l
= e~'
A
.
Proof: Simply take T = — t in property 3.
6. Let £ denote the Laplace transform and £~
!
the inverse Laplace transform. Then for
all A € R"
x
" and for all t € R,
(a) C{e
tA
} = (sIAr
l
.
(b) £
1
{(j/A)
1
} = «
M
.
Proof: We prove only (a). Part (b) follows similarly.
110 Chapter 11. Linear Differential and Difference Equations
3. For all A E JRnxn and for all t, T E JR, e(t+r)A = etA erA = erAe
tA
.
Proof" Note that
(t + T)2 2
e(t+r)A = I + (t + T)A + A + ...
2!
and
tA rA t 2 T 2
(
2 )( 2 )
e e = I + t A + 2! A +... I + T A + 2! A +... .
Compare like powers of A in the above two equations and use the binomial theorem
on(t+T)k.
4. For all A, B E JRnxn and for all t E JR, et(A+B) =etAe
tB
= etBe
tA
if and only if A
and B commute, i.e., AB = BA.
Proof' Note that
and
while
t
2
et(A+B) = I + teA + B) + (A + B)2 + ...
2!
tB tA t 2 t 2
(
2 )( 2 )
e e = 1+ tB + 2iB +... 1+ tA + 2!A +... .
Compare like powers of t in the first equation and the second or third and use the
binomial theorem on (A + B/ and the commutativity of A and B.
5. ForaH A E JRnxn and for all t E JR, (etA)1 = e
tA
.
Proof" Simply take T = t in property 3.
6. Let £ denote the Laplace transform and £1 the inverse Laplace transform. Then for
all A E JRnxn and for all t E lR,
(a) .l{e
tA
} = (sI  A)I.
(b) .lI{(sl A)I} = erA.
Proof" We prove only (a). Part (b) follows similarly.
{+oo
= io et(sl)e
tA
dt
(+oo
= io ef(Asl) dt since A and (sf) commute
11.1. Differential Equations 111
= (sl A)
1
.
The matrix (s I — A) ~' is called the resolvent of A and is defined for all s not in A (A).
Notice in the proof that we have assumed, for convenience, that A is diagonalizable.
If this is not the case, the scalar dyadic decomposition can be replaced by
using the JCF. All succeeding steps in the proof then follow in a straightforward way.
7. For all A e R"
x
" and for all t e R, £(e'
A
) = Ae
tA
= e'
A
A.
Proof: Since the series (11.3) is uniformly convergent, it can be differentiated termby
term from which the result follows immediately. Alternatively, the formal definition
can be employed as follows. For any consistent matrix norm,
11.1. Differential Equations 111
= {+oo t e(AiS)t x;y;H dt assuming A is diagonalizable
10 ;=1
= e(AiS)t dt]x;y;H
n 1
= '"' Xi y;H assuming Re s > Re Ai for i E !!
L..... s  A"
i=1 I
= (sI  A)I.
The matrix (s I  A) I is called the resolvent of A and is defined for all s not in A (A).
Notice in the proof that we have assumed, for convenience, that A is diagonalizable.
If this is not the case, the scalar dyadic decomposition can be replaced by
m
et(Asl) = L Xiet(Jisl)y;H
;=1
using the JCF. All succeeding steps in the proof then follow in a straightforward way.
7. For all A E JRnxn and for all t E JR, 1h(e
tA
) = Ae
tA
= etA A.
Proof: Since the series (11.3) is uniformly convergent, it can be differentiated termby
term from which the result follows immediately. Alternatively, the formal definition
d e(t+M)A _ etA
_(/A) = lim
d t L'lt
can be employed as follows. For any consistent matrix norm,
II
etA II III II
u.  Ae
tA
= L'lt  /A)  Ae
tA
= II  etA)  Ae
tA
II
= II  l)e
tA
 Ae
tA
II
II
I ( (M)2 2 ) tA tAil
= L'lt M A + A +... e  Ae
= II ( Ae
tA
+ A
2
e
tA
+ ... )  Ae
tA
II
= II ( A2 + A
3
+ .. , ) etA II
< MIIA21111e
tA
II _ + IIAII + IIAI12 + ...
(
1 L'lt (L'lt)2 )
 2! 3! 4!
< L'lt1lA21111e
tA
Il (1 + L'ltiIAIl + IIAII2 + ... )
= L'lt IIA 21111e
tA
112 Chapter 11. Linear Differential and Difference Equations
For fixed t, the righthand side above clearly goes to 0 as At goes to 0. Thus, the
limit exists and equals Ae'
A
. A similar proof yields the limit e'
A
A, or one can use the
fact that A commutes with any polynomial of A of finite degree and hence with e'
A
.
11.1.2 Homogeneous linear differential equations
Theorem 11.2. Let A e R
nxn
. The solution of the linear homogeneous initialvalue problem
Proof: Differentiate (11.5) and use property 7 of the matrix exponential to get x( t ) =
Ae
( t
~
to) A
xo = Ax( t) . Also, x( t
0
) — e
( fo
~
t
° '
) A
X Q — X Q so, by the fundamental existence and
uniqueness theorem for ordinary differential equations, (11.5) is the solution of (11.4). D
11.1.3 Inhomogeneous linear differential equations
Theorem 11.3. Let A e R
nxn
, B e W
xm
and let the vectorvalued function u be given
and, say, continuous. Then the solution of the linear inhomogeneous initialvalue problem
for t > IQ is given by the variation of parameters formula
Proof: Differentiate (11.7) and again use property 7 of the matrix exponential. The general
formula
is used to get x( t ) = Ae
{
'
to) A
x
0
+ f'
o
Ae
(
'
s) A
Bu( s) ds + Bu( t) = Ax( t) + Bu( t) . Also,
*('o)
=
< ?
(f
° ~
fo)/ 1
.¥ o + 0 = X Q so, by the fundamental existence and uniqueness theorem for
ordinary differential equations, (11.7) is the solution of (11.6). D
Remark 11.4. The proof above simply verifies the variation of parameters formula by
direct differentiation. The formula can be derived by means of an integrating factor "trick"
as follows. Premultiply the equation x — Ax = Bu by e~
tA
to get
112 Chapter 11. Linear Differential and Difference Equations
For fixed t, the righthand side above clearly goes to 0 as t:.t goes to O. Thus, the
limit exists and equals Ae
t
A • A similar proof yields the limit e
t
A A, or one can use the
fact that A commutes with any polynomial of A of finite degree and hence with etA.
11.1.2 Homogeneous linear differential equations
Theorem 11.2. Let A E IR
n
xn. The solution of the linear homogeneous initialvalue problem
x(t) = Ax(l); x(to) = Xo E IR
n
(11.4)
for t ::: to is given by
(11.5)
Proof: Differentiate (11.5) and use property 7 of the matrix exponential to get x (t) =
Ae(tto)A
xo
= Ax(t). Also, x(to) = e(toto)A Xo = Xo so, by the fundamental existence and
uniqueness theorem for ordinary differential equations, (11.5) is the solution of (11.4). 0
11.1.3 Inhomogeneous linear differential equations
Theorem 11.3. Let A E IR
nxn
, B E IR
nxm
and let the vectorvalued function u be given
and, say, continuous. Then the solution of the linear inhomogeneous initialvalue problem
x(t) = Ax(t) + Bu(t); x(to) = Xo E IR
n
for t ::: to is given by the variation of parameters formula
x(t) = e(tto)A
xo
+ t e(ts)A Bu(s) ds.
l t o
(11.6)
(11.7)
Proof: Differentiate (11.7) and again use property 7 of the matrix exponential. The general
formula
d l
q
(t) l
q
(t) af(x t) dq(t) dp(t)
 f(x, t) dx = ' dx + f(q(t), t)  f(p(t), t)
dt pet) pet) at dt dt
is used to get x(t) = Ae(tto)A Xo + Ir: Ae(ts)A Bu(s) ds + Bu(t) = Ax(t) + Bu(t). Also,
x(t
o
} = e(totolA Xo + 0 = Xo so, by the fundilm()ntill nnd uniqu()Oc:s:s theorem for
ordinary differential equations, (11.7) is the solution of (1l.6). 0
Remark 11.4. The proof above simply verifies the variation of parameters formula by
direct differentiation. The formula can be derived by means of an integrating factor "trick"
as follows. Premultiply the equation x  Ax = Bu by e
tA
to get
(11.8)
11.1. Differential Equations 113
Now integrate (11.8) over the interval [to, t]:
Thus,
and hence
11.1.4 Linear matrix differential equations
Matrixvalued initialvalue problems also occur frequently. The first is an obvious general
ization of Theorem 11.2, and the proof is essentially the same.
Theorem 11.5. Let A e W
lxn
. The solution of the matrix linear homogeneous initialvalue
nrohlcm
for t > to is given by
In the matrix case, we can have coefficient matrices on both the right and left. For
convenience, the following theorem is stated with initial time to = 0.
Theorem 11.6. Let A e Rn
xn
, B e R
mxm
, and C e Rn
xm
. Then the matrix initialvalue
problem
—
a
tA
ra
tB
has the solutionX ( t ) = e Ce
Proof: Differentiate e
tA
Ce
tB
with respect to t and use property 7 of the matrix exponential.
The fact that X ( t ) satisfies the initial condition is trivial. D
Corollary 11.7. Let A, C e IR"
X
". Then the matrix initialvalue problem
has the solution X(t} = e
tA
Ce
tAT
.
When C is symmetric in (11.12), X ( t ) is symmetric and (11.12) is known as a Lya
punov differential equation. The initialvalue problem (11.11) is known as a Sylvester
differential equation.
11.1. Differential Equations
Now integrate (11.8) over the interval [to, t]:
Thus,
and hence
esAx(s) ds = eSABu(s) ds.
1
t d 1t
to ds to
etAx(t)  etoAx(to) = t e
sA
Bu(s) ds
lto
x(t) = e(tt
olA
xo
+ t e(ts)A Bu(s) ds.
lto
11.1.4 Linear matrix differential equations
113
Matrixvalued initialvalue problems also occur frequently. The first is an obvious general
ization of Theorem 11.2, and the proof is essentially the same.
Theorem 11.5. Let A E jRnxn. The solution of the matrix linear homogeneous initialvalue
problem
X(t) = AX(t); X(to) = C E jRnxn (11.9)
for t ::: to is given by
X(t) = e(tto)Ac.
(11.10)
In the matrix case, we can have coefficient matrices on both the right and left. For
convenience, the following theorem is stated with initial time to = O.
Theorem 11.6. Let A E jRnxn, B E jRmxm, and C E ]R.nxm. Then the matrix initialvalue
problem
X(t) = AX(t) + X(t)B; X(O) = C (11.11)
has the solution X(t) = etACe
tB
.
Proof: Differentiate etACe
tB
with respect to t and use property 7 of the matrix exponential.
The fact that X (t) satisfies the initial condition is trivial. 0
Corollary 11.7. Let A, C E ]R.nxn. Then the matrix initialvalue problem
X(t) = AX(t) + X(t)AT; X(O) = C (11.12)
has the solution X(t) = etACetAT.
When C is symmetric in (11.12), X (t) is symmetric and (11.12) is known as a Lya
punov differential equation. The initialvalue problem (11.11) is known as a Sylvester
differential equation.
114 Chapter 11. Linear Differential and Difference Equations
11.1.5 Modal decompositions
Let A E W
xn
and suppose, for convenience, that it is diagonalizable (if A is not diagonaliz
able, the rest of this subsection is easily generalized by using the JCF and the decomposition
A — ^ X f Ji Y
t
H
as discussed in Chapter 9). Then the solution x(t) of (11.4) can be written
The ki s are called the modal velocities and the right eigenvectors *, are called the modal
directions. The decomposition above expresses the solution x(t) as a weighted sum of its
modal velocities and directions.
This modal decomposition can be expressed in a different looking but identical form
if we write the initial condition X Q as a weighted sum of the right eigenvectors
Then
In the last equality we have used the fact that y f * X j = S f j .
Similarly, in the inhomogeneous case we can write
11.1.6 Computation of the matrix exponential
JCF method
Let A e R"
x
" and suppose X e Rn
xn
is such that X"
1
AX = J, where J is a JCF for A.
Then
114 Chapter 11. Linear Differential and Difference Equations
11.1 .5 Modal decompositions
Let A E jRnxn and suppose, for convenience, that it is diagonalizable (if A is not diagonaliz
able, the rest of this subsection is easily generalized by using the JCF and the decomposition
A = L X;li y
i
H
as discussed in Chapter 9). Then the solution x(t) of (11.4) can be written
x(t) = e(tto)A Xo
= (ti.iUtO)Xiyr) Xo
1=1
n
= L(Yi
H
xoeAi(ttO»Xi.
i=1
The Ai s are called the modal velocities and the right eigenvectors Xi are called the modal
directions. The decomposition above expresses the solution x (t) as a weighted sum of its
modal velocities and directions.
This modal decomposition can be expressed in a different looking but identical form
n
if we write the initial condition Xo as a weighted sum of the right eigenvectors Xo = L ai Xi.
Then
n
= L(aieAiUtO»Xi.
i=1
In the last equality we have used the fact that Yi
H
X j = flij.
Similarly, in the inhomogeneous case we can write
i
t e(ts)A Bu(s) ds = t (it eAiUS)YiH Bu(s) dS) Xi.
~ i=1 ~
11.1.6 Computation of the matrix exponential
JCF method
i=1
Let A E jRnxn and suppose X E j R ~ x n is such that XI AX = J, where J is a JCF for A.
Then
etA = etXJX1
= XetJX
1
I
n
Le
A
•
,
X'Yi
H
if A is diagonalizable
1=1
~ t,x;e'J,y;H in geneml.
11.1. Differential Equations 115
If A is diagonalizable, it is then easy to compute e
tA
via the formula e
tA
= Xe
tJ
X '
since e
tj
is simply a diagonal matrix.
In the more general case, the problem clearly reduces simply to the computation of
the exponential of a Jordan block. To be specific, let .7, e <C
kxk
be a Jordan block of the form
Clearly A/ and N commute. Thus, e
tJi
= e'
u
e
tN
by property 4 of the matrix exponential.
The diagonal part is easy: e
tu
= diag(e
x
',..., e
xt
}. But e
tN
is almost as easy since N is
nilpotent of degree k.
Definition 11.8. A matrix M e M
nx
"
M
p
= 0, while M
p
~
l
^ 0.
is nilpotent of degree (or index, or grade) p if
For the matrix N defined above, it is easy to check that while N has 1's along only
its first superdiagonal (and O's elsewhere), N
2
has 1's along only its second superdiagonal,
and so forth. Finally, N
k
~
l
has a 1 in its (1, k) element and has O's everywhere else, and
N
k
= 0. Thus, the series expansion of e'
N
is finite, i.e.,
Thus,
In the case when A. is complex, a real version of the above can be worked out.
11.1. Differential Equations 115
If A is diagonalizable, it is then easy to compute etA via the formula etA = Xe
tl
XI
since e
t
I is simply a diagonal matrix.
In the more general case, the problem clearly reduces simply to the computation of
the exponential of a Jordan block. To be specific, let J
i
E C
kxk
be a Jordan block of the form
J
i
=
A 1
o A
o
o o
o =U+N.
o A
Clearly AI and N commute. Thus, e
t
I, = eO.! e
l
N by property 4 of the matrix exponential.
The diagonal part is easy: e
lH
= diag(e
At
, ••• ,eAt). But e
lN
is almost as easy since N is
nilpotent of degree k.
Definition 11.8. A matrix M E jRnxn is nilpotent of degree (or index, or grade) p if
MP = 0, while MPI t= O.
For the matrix N defined above, it is easy to check that while N has l's along only
its first superdiagonal (and O's elsewhere), N
2
has l's along only its second superdiagonal,
and so forth. Finally, N
k

I
has a 1 in its (1, k) element and has O's everywhere else, and
N
k
= O. Thus, the series expansion of e
lN
is finite, i.e.,
Thus,
t
2
t
k

I
e
IN
=I+tN+N
2
+ ... + N
k

I
2! (k  I)!
o
o o
eAt
teAt
12 At
2I
e
0
eAt teAl
ell; =
0 0
eAt
0 0
t
1
IkI At
(kI)! e
12 At
2I
e
teAl
eAt
In the case when A is complex, a real version of the above can be worked out.
116 Chapter 11. Linear Differential and Difference Equations
Example 11.9. Let A = [ ~ _ \ J]. Then A (A) = {2, 2} and
Interpolation method
This method is numerically unstable in finiteprecision arithmetic but is quite effective for
hand calculation in smallorder problems. The method is stated and illustrated for the
exponential function but applies equally well to other functions.
Given A € E.
nxn
and /(A) = e
tx
, compute f(A) = e'
A
, where t is a fixed scalar.
Suppose the characteristic polynomial of A can be written as n ( X ) = Yi?=i (^ ~~ ^ i)" ' »
where the A.,  s are distinct. Define
where O TQ , . . . , a
n
i are n constants that are to be determined. They are, in fact, the unique
solution of the n equations:
Here, the superscript (&) denotes the fcth derivative with respect to X. With the a, s then
known, the function g is known and /(A) = g(A). The motivation for this method is
the CayleyHamilton Theorem, Theorem 9.3, which says that all powers of A greater than
n — 1 can be expressed as linear combinations of A
k
for k = 0, 1, . . . , n — 1. Thus, all the
terms of order greater than n — 1 in the power series for e'
A
can be written in terms of these
lowerorder powers as well. The polynomial g gives the appropriate linear combination.
Example 11.10. Let
and /(A) = e
tK
. Then j r(A.) = (A. + I)
3
, so m = 1 and n
{
= 3.
Let g(X) — UQ + a\X + o^A.
2
. Then the three equations for the a, s are given by
116 Chapter 11. Linear Differential and Difference Equations
Example 11.9.
Let A = [=i
a Then A(A) = {2, 2} and
etA = Xe
tJ
xI
=[
2 1
] exp t [
2
 ~ ] [
1
]
0
1 2
=[
2
] [ e ~ 2 t
te
2t
] [
1
]
1
e
2t
1 2
Interpolation method
This method is numerically unstable in finiteprecision arithmetic but is quite effective for
hand calculation in smallorder problems. The method is stated and illustrated for the
exponential function but applies equally well to other functions.
Given A E jRnxn and f(A) = etA, compute f(A) = etA, where t is a fixed scalar.
Suppose the characteristic polynomial of A can be written as n(A) = nr=1 (A  Ai t',
where the Ai s are distinct. Define
where ao, ... , anl are n constants that are to be determined. They are, in fact, the unique
solution of the n equations:
g(k)(Ai) = f(k)(Ai); k = 0, I, ... , ni  I, i Em.
Here, the superscript (k) denotes the kth derivative with respect to A. With the aiS then
known, the function g is known and f(A) = g(A). The motivation for this method is
the CayleyHamilton Theorem, Theorem 9.3, which says that all powers of A greater than
n  1 can be expressed as linear combinations of A k for k = 0, I, ... , n  1. Thus, all the
terms of order greater than n  1 in the power series for e
t
A can be written in terms of these
lowerorder powers as well. The polynomial g gives the appropriate linear combination.
Example 11.10. Let
A = [  ~  ~ ~ ]
o 01
and f(A) = etA. Then n(A) = (A + 1)3, so m = 1 and nl = 3.
Let g(A) = ao + alA + a2A2. Then the three equations for the aiS are given by
g(I) = f(1) ==> ao al +a2 = e
t
,
g'(1) = f'(1) ==> at  2a2 = te
t
,
g"(I) = 1"(1) ==> 2a2 = t
2
e
t
•
11.1. Differential Equations 117
Solving for the a, s, we find
Thus,
~4 4i t f f > \ t k TU^^ _/"i\ f \ i o\ 2
Example 11.11. Let A = [ _* J] and /(A) = e
a
. Then 7 r(X ) = (A + 2)
2
so m = 1 and
«i = 2.
Let g(A.) = «o + ofiA.. Then the defining equations for the a,s are given by
Solving for the a,s, we find
Thus,
Other methods
1. Use e
tA
= £~
l
{(sl — A)^
1
} and techniques for inverse Laplace transforms. This
is quite effective for smallorder problems, but general nonsymbolic computational
techniques are numerically unstable since the problem is theoretically equivalent to
knowing precisely a JCF.
2. Use Pade approximation. There is an extensive literature on approximating cer
tain nonlinear functions by rational functions. The matrix analogue yields e
A
=
11 .1. Differential Equations
117
Solving for the ai s, we find
Thus,
Example 11.11. Let A = [ : : : : ~ 6] and f(A) = eO. Then rr(A) = (A + 2)2 so m = 1 and
nL = 2.
Let g(A) = ao + aLA. Then the defining equations for the aiS are given by
g(2) = f(2) ==> ao  2al = e
2t
,
g'(2) = f'(2) ==> al = te
2t
.
Solving for the aiS, we find
Thus,
ao = e
2t
+ 2te
2t
,
aL = te
2t
.
f(A) = etA = g(A) = aoI + al A
= (e
2t
+ 2te
2t
) [ ~
_ [ e
2t
_ 2te
2t
 te
2t
Other methods
o ] + te
2t
[4 4 ]
I I 0
1. Use etA = .cI{(sI  A)I} and techniques for inverse Laplace transforms. This
is quite effective for smallorder problems, but general nonsymbolic computational
techniques are numerically unstable since the problem is theoretically equivalent to
knowing precisely a JCE
2. Use Pade approximation. There is an extensive literature on approximating cer
tain nonlinear functions by rational functions. The matrix analogue yields e
A
~
118 Chapter 11. Linear Differential and Difference Equations
D~
l
(A)N(A), where D(A) = 8
0
I + Si A H h S
P
A
P
and N(A) = v
0
I + v
l
A +
• • • + v
q
A
q
. Explicit formulas are known for the coefficients of the numerator and
denominator polynomials of various orders. Unfortunately, a Fade approximation for
the exponential is accurate only in a neighborhood of the origin; in the matrix case
this means when  A is sufficiently small. This can be arranged by scaling A, say, by
/ * \
2
*
multiplying it by 1/2* for sufficiently large k and using the fact that e
A
= ( e
{ ] / 2 )A
j .
Numerical loss of accuracy can occur in this procedure from the successive squarings.
3. Reduce A to (real) Schur form S via the unitary similarity U and use e
A
= Ue
s
U
H
and successive recursions up the superdiagonals of the (quasi) upper triangular matrix
e
s
.
4. Many methods are outlined in, for example, [19]. Reliable and efficient computation
of matrix functions such as e
A
and log(A) remains a fertile area for research.
11.2 Difference Equations
In this section we outline solutions of discretetime analogues of the linear differential
equations of the previous section. Linear discretetime systems, modeled by systems of
difference equations, exhibit many parallels to the continuoustime differential equation
case, and this observation is exploited frequently.
11.2.1 Homogeneous linear difference equations
Theorem 11.12. Let A e Rn
xn
. The solution of the linear homogeneous system of difference
equations
11.2.2 Inhomogeneous linear difference equations
Theorem 11.14. Let A e R
nxn
, B e R
nxm
and suppose {«*}£§ « a given sequence of
mvectors. Then the solution of the inhomogeneous initialvalue problem
for k > 0 is given by
Proof: The proof is almost immediate upon substitution of (11.14) into (11.13). D
Remark 11.13. Again, we restrict our attention only to the socalled timeinvariant
case, where the matrix A in (11.13) is constant and does not depend on k. We could also
consider an arbitrary "initial time" ko, but since the system is timeinvariant, and since we
want to keep the formulas "clean" (i.e., no double subscripts), we have chosen ko = 0 for
convenience.
118 Chapter 11. Linear Differential and Difference Equations
DI(A)N(A), where D(A) = 001 + olA + ... + opAP and N(A) = vol + vIA +
... + Vq A q. Explicit formulas are known for the coefficients of the numerator and
denominator polynomials of various orders. Unfortunately, a Pad6 approximation for
the exponential is accurate only in a neighborhood of the origin; in the matrix case
this means when IIAII is sufficiently small. This can be arranged by scaling A, say, by
2'
multiplying it by 1/2k for sufficiently large k and using the fact that e
A
= (e( I /2')A )
Numerical loss of accuracy can occur in this procedure from the successive squarings.
3. Reduce A to (real) Schur form S via the unitary similarity U and use e
A
= U e
S
U H
and successive recursions up the superdiagonals of the (quasi) upper triangular matrix
e
S
.
4. Many methods are outlined in, for example, [19]. Reliable and efficient computation
of matrix functions such as e
A
and 10g(A) remains a fertile area for research.
11.2 Difference Equations
In this section we outline solutions of discretetime analogues of the linear differential
equations of the previous section. Linear discretetime systems, modeled by systems of
difference equations, exhibit many parallels to the continuoustime differential equation
case, and this observation is exploited frequently.
11.2.1 Homogeneous linear difference equations
Theorem 11.12. Let A E jRn xn. The solution of the linear homogeneous system of difference
equations
(11.13)
for k 2:: 0 is given by
Proof: The proof is almost immediate upon substitution of (11.14) into (11.13). 0
Remark 11.13. Again, we restrict our attention only to the socalled timeinvariant
case, where the matrix A in (11.13) is constant and does not depend on k. We could also
consider an arbitrary "initial time" ko, but since the system is timeinvariant, and since we
want to keep the formulas "clean" (i.e., no double subscripts), we have chosen ko = 0 for
convenience.
11.2.2 Inhomogeneous linear difference equations
Theorem 11.14. Let A E jRnxn, B E jRnxm and suppose { u d t ~ is a given sequence of
mvectors. Then the solution of the inhomogeneous initialvalue problem
(11.15)
11.2. Difference Equations 119
is given by
11.2.3 Computation of matrix powers
It is clear that solution of linear systems of difference equations involves computation of
A
k
. One solution method, which is numerically unstable but sometimes useful for hand
calculation, is to use ztransforms, by analogy with the use of Laplace transforms to compute
a matrix exponential. One definition of the ztransform of a sequence {gk} is
Assuming z > max A, the ztransform of the sequence {A
k
} is then given by
X€A(A)
Proof: The proof is again almost immediate upon substitution of (11.16) into (11.15). D
Methods based on the JCF are sometimes useful, again mostly for smallorder prob
lems. Assume that A e M"
xn
and let X e R^
n
be such that X~
1
AX = /, where J is a
JCF for A. Then
If A is diagonalizable, it is then easy to compute A
k
via the formula A
k
— XJ
k
X
l
since /* is simply a diagonal matrix.
11.2. Difference Equations
is given by
kI
xk=AkXO+LAkjIBUj, k:::.O.
j=O
119
(11.16)
Proof: The proof is again almost immediate upon substitution of (11.16) into (11.15). 0
11.2.3 Computation of matrix powers
It is clear that solution of linear systems of difference equations involves computation of
A k. One solution method, which is numerically unstable but sometimes useful for hand
calculation, is to use ztransforms, by analogy with the use of Laplace transforms to compute
a matrix exponential. One definition of the ztransform of a sequence {gk} is
+00
= LgkZ
k
.
k=O
Assuming Izl > max IAI, the ztransform of the sequence {Ak} is then given by
AEA(A)
+00
k "'kk 1 12
Z({A})=L...zA =I+A+"2A + ...
k=O z z
= (lzIA)I
= z(zI  A)I.
Methods based on the JCF are sometimes useful, again mostly for smallorder prob
lems. Assume that A E jRnxn and let X E be such that XI AX = J, where J is a
JCF for A. Then
Ak = (XJXI)k
= XJkX
1
_I
 m
LXi Jty
i
H
;=1
if A is diagonalizable,
in general.
If A is diagonalizable, it is then easy to compute Ak via the formula Ak = X Jk XI
since Jk is simply a diagonal matrix.
120 Chapter 11. Linear Differential and Difference Equations
In the general case, the problem again reduces to the computation of the power of a
Jordan block. To be specific, let 7, e C
pxp
be a Jordan block of the form
Writing /,• = XI + N and noting that XI and the nilpotent matrix N commute, it is
then straightforward to apply the binomial theorem to (XI + N)
k
and verify that
The symbol ( ) has the usual definition of ,
(
^ ., and is to be interpreted as 0 if k < q.
In the case when A. is complex, a real version of the above can be worked out.
4
Example 11.15. Let A = [_J J]. Then
Basic analogues of other methods such as those mentioned in Section 11.1.6 can also
be derived for the computation of matrix powers, but again no universally "best" method
exists. For an erudite discussion of the state of the art, see [11, Ch. 18].
11.3 HigherOrder Equations
It is well known that a higherorder (scalar) linear differential equation can be converted to
a firstorder linear system. Consider, for example, the initialvalue problem
with 4 > (t } a given function and n initial conditions
120 Chapter 11. Linear Differential and Difference Equations
In the general case, the problem again reduces to the computation of the power of a
Jordan block. To be specific, let J
i
E Cpxp be a Jordan block of the form
o ... 0 A
Writing J
i
= AI + N and noting that AI and the nilpotent matrix N commute, it is
then straightforward to apply the binomial theorem to (AI + N)k and verify that
Ak
kA kI
(;)A
k

2
(
k ) AkP+I
pl
0
Ak kA
k

1
J/ =
0 0
Ak
( ; ) A
k

2
kA
k

1
0 0
Ak
The symbol (: ) has the usual definition of q ! ( k k ~ q ) ! and is to be interpreted as 0 if k < q.
In the case when A is complex, a real version of the above can be worked out.
Example 11.15. Let A = [=i a Then
Ak = XJkX1 = [2 1 ] [(_2)k k(2)kk
1
] [ 1 2
1
]
1 1 0 (2) 1
_ [ (_2/
1
(2  2k) k( 2l+
1
]
 k( _2)k1 (2l
1
(2k  2) .
Basic analogues of other methods such as those mentioned in Section 11.1.6 can also
be derived for the computation of matrix powers, but again no universally "best" method
exists. For an erudite discussion of the state of the art, see [11, Ch. 18].
11.3 HigherOrder Equations
It is well known that a higherorder (scalar) linear differential equation can be converted to
a firstorder linear system. Consider, for example, the initialvalue problem
(11.17)
with ¢J(t) a given function and n initial conditions
y(O) = Co, y(O) = CI, ... , inI)(O) = CnI' (1l.l8)
Exercises 121
Here, v
(m)
denotes the mth derivative of y with respect to t. Define a vector x (?) e R" with
components *i(0 = y ( t ) , x
2
( t) = y ( t ) , . . . , x
n
( t) = y
{ n
~
l )
( t ) . Then
These equations can then be rewritten as the firstorder linear system
The initial conditions take the form ^(0) = c = [ C Q , c\, ..., C
M
_ I ] .
Note that det(X7 — A) = A." + a
n
\X
n
~
l
H h a\X + ao. However, the companion
matrix A in (11.19) possesses many nasty numerical properties for even moderately sized n
and, as mentioned before, is often well worth avoiding, at least for computational purposes.
A similar procedure holds for the conversion of a higherorder difference equation
EXERCISES
1. Let P € R
nxn
be a projection. Show that e
p
% / + 1.718P.
2. Suppose x, y € R" and let A = xy
T
. Further, let a = x
T
y. Show that e'
A
I + g ( t , a) xy
T
, where
3. Let
with n initial conditions, into a linear firstorder difference equation with (vector) initial
condition.
Exercises 121
Here, y(m) denotes the mth derivative of y with respect to t. Define a vector x (t) E ]Rn with
components Xl (t) = yet), X2(t) = yet), ... , Xn(t) = Inl)(t). Then
Xl (I) = X2(t) = y(t),
X2(t) = X3(t) = yet),
Xnl (t) = Xn(t) = y(nl)(t),
Xn(t) = y(n)(t) = aoy(t)  aly(t)  ...  an_llnl)(t) + ¢(t)
= aOx\ (t)  a\X2(t)  ...  anlXn(t) + ¢(t).
These equations can then be rewritten as the firstorder linear system
0 0 0
0 0 1
x(t)+ [ n ~ ( t )
x(t) =
0
0 0 1
ao a\ a
n
\
The initial conditions take the form X (0) = C = [co, Cl, •.. , C
n
\ r.
(11.19)
Note that det(A!  A) = An + an_1A
n

1
+ ... + alA + ao. However, the companion
matrix A in (11.19) possesses many nasty numerical properties for even moderately sized n
and, as mentioned before, is often well worth avoiding, at least for computational purposes.
A similar procedure holds for the conversion of a higherorder difference equation
with n initial conditions, into a linear firstorder difference equation with (vector) initial
condition.
EXERCISES
1. Let P E lR
nxn
be a projection. Show that e
P
~ ! + 1.718P.
2. Suppose x, y E lR
n
and let A = xyT. Further, let a = XT y. Show that etA
1+ get, a)xyT, where
{
!(eat  I)
g(t,a)= a t
3. Let
if a 1= 0,
if a = O.
122 Chapter 11. L i n ear Di f f eren ti al and Di f f erence Equati on s
where X e M'
nx
" is arbitrary. Show that
4. Let K denote the skewsymmetric matrix
where /„ denotes the n x n identity matrix. A matrix A e R
2n x2n
is said to be
Hamiltonian if K~
1
A
T
K = A and to be symplectic if K~
l
A
T
K  A
1
.
(a) Suppose E is Hamiltonian and let A, be an eigenvalue of H. Show that — A, must
also be an eigenvalue of H.
(b) Suppose S is symplectic and let A. be an eigenvalue of S. Show that 1 /A, must
also be an eigenvalue of S.
(c) Suppose that H is Hamiltonian and S is symplectic. Show that S~
1
HS must be
Hamiltonian.
(d) Suppose H is Hamiltonian. Show that e
H
must be symplectic.
5. Let a, ft € R and
Then show that
6. Find a general expression for
7. Find e
M
when A =
5. Let
(a) Solve the differential equation
122 Chapter 11. Linear Differential and Difference Equations
where X E jRmxn is arbitrary. Show that
e
A = [eo I sinh 1 X ]
~ I .
4. Let K denote the skewsymmetric matrix
[
0 In ]
In 0 '
where In denotes the n x n identity matrix. A matrix A E jR2nx2n is said to be
Hamiltonian if K I AT K =  A and to be symplectic if K I AT K = A I.
(a) Suppose H is Hamiltonian and let).. be an eigenvalue of H. Show that ).. must
also be an eigenvalue of H.
(b) Suppose S is symplectic and let).. be an eigenvalue of S. Show that 1/).. must
also be an eigenValue of S.
(c) Suppose that H is Hamiltonian and S is symplectic. Show that SI H S must be
Hamiltonian.
(d) Suppose H is Hamiltonian. Show that e
H
must be symplectic.
5. Let a, f3 E lR and
Then show that
6. Find a general expression for
7. Find etA when A =
8. Let
ectt cos f3t
_eut sin f3t
ectctrt sin ~ t J.
e cos/A
(a) Solve the differential equation
i = Ax ; x(O) = [ ~ J.
Exercises 123
Show that the eigenvalues of the solution X ( t ) of this problem are the same as those
of Cf or all?.
11. The year is 2004 and there are three large "free trade zones" in the world: Asia (A),
Europe (E), and the Americas (R). Suppose certain multinational companies have
total assets of $40 trillion of which $20 trillion is in E and $20 trillion is in R. Each
year half of the Americas' money stays home, a quarter goes to Europe, and a quarter
goes to Asia. For Europe and Asia, half stays home and half goes to the Americas.
(a) Find the matrix M that gives
(b) Find the eigenvalues and right eigenvectors of M.
(c) Find the distribution of the companies' assets at year k.
(d) Find the limiting distribution of the $40 trillion as the universe ends, i.e., as
k — » • +00 (i.e., around the time the Cubs win a World Series).
(Exercise adapted from Problem 5.3.11 in [24].)
(b) Solve the differential equation
9. Consider the initialvalue problem
for t > 0. Suppose that A e E"
x
" is skewsymmetric and let a = \\XQ\\
2
. Show that
*(OII
2
= af or al l f > 0.
10. Consider the n x n matrix initialvalue problem
12. (a) Find the solution of the initialvalue problem
(b) Consider the difference equation
If £
0
= 1 and z\ = 2, what is the value of Z IQ OO? What is the value of Zk in
general?
Exercises 123
(b) Solve the differential equation
i = Ax + b; x(O) = [ ~ l
9. Consider the initialvalue problem
i(t) = Ax(t); x(O) = Xo
for t ~ O. Suppose that A E ~ n x n is skewsymmetric and let ex = Ilxol12. Show that
I/X(t)1/2 = ex for all t > O.
10. Consider the n x n matrix initialvalue problem
X(t) = AX(t)  X(t)A; X(O) = c.
Show that the eigenvalues of the solution X (t) of this problem are the same as those
of C for all t.
11. The year is 2004 and there are three large "free trade zones" in the world: Asia (A),
Europe (E), and the Americas (R). Suppose certain multinational companies have
total assets of $40 trillion of which $20 trillion is in E and $20 trillion is in R. Each
year half of the Americas' money stays home, a quarter goes to Europe, and a quarter
goes to Asia. For Europe and Asia, half stays home and half goes to the Americas.
(a) Find the matrix M that gives
[
A] [A]
E =M E
R year k+1 R year k
(b) Find the eigenvalues and right eigenvectors of M.
(c) Find the distribution of the companies' assets at year k.
(d) Find the limiting distribution of the $40 trillion as the universe ends, i.e., as
k * +00 (i.e., around the time the Cubs win a World Series).
(Exercise adapted from Problem 5.3.11 in [24].)
12. (a) Find the solution of the initialvalue problem
.Yet) + 2y(t) + yet) = 0; yeO) = 1, .YeO) = O.
(b) Consider the difference equation
Zk+2 + 2Zk+1 + Zk = O.
If Zo = 1 and ZI = 2, what is the value of ZIOOO? What is the value of Zk in
general?
This page intentionally left blank This page intentionally left blank
Chapter 12
Generalized Eigenvalue
Problems
12.1 The Generalized Eigenvalue/Eigenvector Problem
In this chapter we consider the generalized eigenvalue problem
125
where A, B e C"
xn
. The standard eigenvalue problem considered in Chapter 9 obviously
corresponds to the special case that B = I.
Definition 12.1. A nonzero vector x e C" is a right generalized eigenvector of the pair
(A, B) with A, B e C
MX
" if there exists a scalar A. e C, called a generalized eigenvalue,
such that
Similarly, a nonzero vector y e C" is a left generalized eigenvector corresponding to an
eigenvalue X if
When the context is such that no confusion can arise, the adjective "generalized"
is usually dropped. As with the standard eigenvalue problem, if x [y] is a right [left]
eigenvector, then so is ax [ay] for any nonzero scalar a. e C.
Definition 12.2. The matrix A — X B is called a matrix pencil (or pencil of the matrices A
and B).
As with the standard eigenvalue problem, eigenvalues for the generalized eigenvalue
problem occur where the matrix pencil A — X B is singular.
Definition 12.3. The polynomial 7 r(A.) = det(A — A.5) is called the characteristic poly
nomial of the matrix pair (A, B) . The roots ofn(X .) are the eigenvalues of the associated
generalized eigenvalue problem.
Remark 12.4. When A, B e E"
xn
, the characteristic polynomial is obviously real, and
hence nonreal eigenvalues must occur in complex conjugate pairs.
Chapter 12
Generalized Eigenvalue
Problems
12.1 The Generalized Eigenvalue/Eigenvector Problem
In this chapter we consider the generalized eigenvalue problem
Ax = 'ABx,
where A, B E e
nxn
. The standard eigenvalue problem considered in Chapter 9 obviously
corresponds to the special case that B = I.
Definition 12.1. A nonzero vector x E en is a right generalized eigenvector of the pair
(A, B) with A, B E e
nxn
if there exists a scalar 'A E e, called a generalized eigenvalue,
such that
Ax = 'ABx. (12.1)
Similarly, a nonzero vector y E en is a left generalized eigenvector corresponding to an
eigenvalue 'A if
(12.2)
When the context is such that no confusion can arise, the adjective "generalized"
is usually dropped. As with the standard eigenvalue problem, if x [y] is a right [left]
eigenvector, then so is ax [ay] for any nonzero scalar a E <C.
Definition 12.2. The matrix A  'AB is called a matrix pencil (or pencil of the matrices A
and B).
As with the standard eigenvalue problem, eigenvalues for the generalized eigenvalue
problem occur where the matrix pencil A  'AB is singular.
Definition 12.3. The polynomial n('A) = det(A  'AB) is called the characteristic poly
nomial of the matrix pair (A, B). The roots ofn('A) are the eigenvalues of the associated
generalized eigenvalue problem.
Remark 12.4. When A, B E jRnxn, the characteristic polynomial is obviously real, and
hence nonreal eigenvalues must occur in complex conjugate pairs.
125
and there are again four cases to consider.
Case 1: a ^ 0, ft ^ 0. There are two eigenvalues, 1 and ^.
Case 2: a = 0, ft ^ 0. There is only one eigenvalue, 1 (of multiplicity 1).
Case 3: a ^ 0, f3 = 0. There are two eigenvalues, 1 and 0.
Case 4: a = 0, (3 = 0. All A 6 C are eigenvalues since det(B — uA) = 0.
At least for the case of regular pencils, it is apparent where the "missing" eigenvalues have
gone in Cases 2 and 3. That is to say, there is a second eigenvalue "at infinity" for Case 3 of
A — A.B, with its reciprocal eigenvalue being 0 in Case 3 of the reciprocal pencil B — nA.
A similar reciprocal symmetry holds for Case 2.
While there are applications in system theory and control where singular pencils
appear, only the case of regular pencils is considered in the remainder of this chapter. Note
that A and/or B may still be singular. If B is singular, the pencil A — KB always has
126 Chapter 12. Generalized Eigenvalue Problems
Remark 12.5. If B = I (or in general when B is nonsingular), then n ( X ) is a polynomial
of degree n, and hence there are n eigenvalues associated with the pencil A — X B. However,
when B = I, in particular, when B is singular, there may be 0, k e n, or infinitely many
eigenvalues associated with the pencil A — X B. For example, suppose
where a and ft are scalars. Then the characteristic polynomial is
and there are several cases to consider.
Case 1: a ^ 0, ft ^ 0. There are two eigenvalues, 1 and .
Case 2: a = 0, f3 / 0. There are two eigenvalues, 1 and 0.
Case 3: a = 0, f3 = 0. There is only one eigenvalue, 1 (of multiplicity 1).
Case 4: a = 0, f3 = 0. All A e C are eigenvalues since det(A — A. B ) =0.
Definition 12.6. If del (A — X B) is not identically zero, the pencil A — X B is said to be
regular; otherwise, it is said to be singular.
Note that if AA(A) n J\f(B) ^ 0, the associated matrix pencil is singular (as in Case
4 above).
Associated with any matrix pencil A — X B is a reciprocal pencil B — n,A and cor
responding generalized eigenvalue problem. Clearly the reciprocal pencil has eigenvalues
(JL = £. It is instructive to consider the reciprocal pencil associated with the example in
Remark 12.5. With A and B as in (12.3), the characteristic polynomial is
126 Chapter 12. Generalized Eigenvalue Problems
Remark 12.5. If B = I (or in general when B is nonsingular), then rr(A) is a polynomial
of degree n, and hence there are n eigenvalues associated with the pencil A  AB. However,
when B =I I, in particular, when B is singular, there may be 0, k E !!, or infinitely many
eigenvalues associated with the pencil A  AB. For example, suppose
where a and (3 are scalars. Then the characteristic polynomial is
det(A  AB) = (I  AHa  (3A)
and there are several cases to consider.
Case 1: a =I 0, {3 =I O. There are two eigenvalues, I and ~ .
Case 2: a = 0, {3 =I O. There are two eigenvalues, I and O.
Case 3: a =I 0, {3 = O. There is only one eigenvalue, I (of multiplicity 1).
Case 4: a = 0, (3 = O. All A E C are eigenvalues since det(A  AB) == O.
(12.3)
Definition 12.6. If det(A  AB) is not identically zero, the pencil A  AB is said to be
regular; otherwise, it is said to be singular.
Note that if N(A) n N(B) =I 0, the associated matrix pencil is singular (as in Case
4 above).
Associated with any matrix pencil A  AB is a reciprocal pencil B  /.LA and cor
responding generalized eigenvalue problem. Clearly the reciprocal pencil has eigenvalues
/.L = ±. It is instructive to consider the reciprocal pencil associated with the example in
Remark 12.5. With A and B as in (12.3), the characteristic polynomial is
det(B  /.LA) = (1  /.L)({3  a/.L)
and there are again four cases to consider.
Case 1: a =I 0, {3 =I O. There are two eigenvalues, I and ~ .
Case 2: a = 0, {3 =I O. There is only one eigenvalue, I (of multiplicity I).
Case 3: a =I 0, {3 = O. There are two eigenvalues, 1 and O.
Case 4: a = 0, (3 = O. All A E C are eigenvalues since det(B  /.LA) == O.
At least for the case of regular pencils, it is apparent where the "missing" eigenvalues have
gone in Cases 2 and 3. That is to say, there is a second eigenvalue "at infinity" for Case 3 of
A  AB, with its reciprocal eigenvalue being 0 in Case 3 of the reciprocal pencil B  /.LA.
A similar reciprocal symmetry holds for Case 2.
While there are applications in system theory and control where singular pencils
appear, only the case of regular pencils is considered in the remainder of this chapter. Note
that A and/or B may still be singular. If B is singular, the pencil A  AB always has
12. 2. Canonical Forms 127
fewer than n eigenvalues. If B is nonsingular, the pencil A A. f i always has precisely n
eigenvalues, since the generalized eigenvalue problem is then easily seen to be equivalent
to the standard eigenvalue problem B~
l
Ax = Xx (or AB~
l
w = Xw). However, this turns
out to be a very poor numerical procedure for handling the generalized eigenvalue problem
if B is even moderately ill conditioned with respect to inversion. Numerical methods that
work directly on A and B are discussed in standard textbooks on numerical linear algebra;
see, for example, [7, Sec. 7.7] or [25, Sec. 6.7].
12.2 Canonical Forms
Just as for the standard eigenvalue problem, canonical forms are available for the generalized
eigenvalue problem. Since the latter involves a pair of matrices, we now deal with equiva
lencies rather than similarities, and the first theorem deals with what happens to eigenvalues
and eigenvectors under equivalence.
Theorem 12.7. Let A, fl, Q, Z e C
nxn
with Q and Z nonsingular. Then
1. the eigenvalues of the problems A — XB and QAZ — XQBZ are the same (the two
problems are said to be equivalent).
2. ifx is a right eigenvector of A—XB, then Z~
l
x is a right eigenvector of QAZ—XQ B Z.
3. ify is a left eigenvector of A —KB, then Q~
H
y isa left eigenvector ofQAZ — XQBZ.
Proof:
1. det(QAZXQBZ) = det[0(A  XB)Z] = det gdet Zdet(A  XB). Since det 0
and det Z are nonzero, the result follows.
2. The result follows by noting that (A – yB)x  Oif andonly if Q(AXB)Z(Z~
l
x) =
0.
3. Again, the result follows easily by noting that y
H
(A — XB) — 0 if and only if
( Q~
H
y )
H
Q( A– XB ) Z = Q. D
where T
a
and Tp are upper triangular.
By Theorem 12.7, the eigenvalues of the pencil A — XB are then the ratios of the diag
onal elements of T
a
to the corresponding diagonal elements of Tp, with the understanding
that a zero diagonal element of Tp corresponds to an infinite generalized eigenvalue.
There is also an analogue of the MurnaghanWintner Theorem for real matrices.
The first canonical form is an analogue of Schur's Theorem and forms, in fact, the
theoretical foundation for the QZ algorithm, which is the generally preferred method for
solving the generalized eigenvalue problem; see, for example, [7, Sec. 7.7] or [25, Sec. 6.7].
Theorem 12.8. Let A, B e Cn
xn
. Then there exist unitary matrices Q, Z e Cn
xn
such that
12.2. Canonical Forms 127
fewer than n eigenvalues. If B is nonsingular, the pencil A  AB always has precisely n
eigenvalues, since the generalized eigenvalue problem is then easily seen to be equivalent
to the standard eigenvalue problem B
1
Ax = Ax (or AB
1
W = AW). However, this turns
out to be a very poor numerical procedure for handling the generalized eigenvalue problem
if B is even moderately ill conditioned with respect to inversion. Numerical methods that
work directly on A and B are discussed in standard textbooks on numerical linear algebra;
see, for example, [7, Sec. 7.7] or [25, Sec. 6.7].
12.2 Canonical Forms
Just as for the standard eigenvalue problem, canonical forms are available for the generalized
eigenvalue problem. Since the latter involves a pair of matrices, we now deal with equiva
lencies rather than similarities, and the first theorem deals with what happens to eigenvalues
and eigenvectors under equivalence.
Theorem 12.7. Let A, B, Q, Z E c
nxn
with Q and Z nonsingular. Then
1. the eigenvalues of the problems A  AB and QAZ  AQBZ are the same (the two
problems are said to be equivalent).
2. ifx isa right eigenvector of AAB, then Zl x isa righteigenvectorofQAZAQB Z.
3. ify isa left eigenvector of A AB, then QH y isa lefteigenvectorofQAZ AQBZ.
Proof:
1. det(QAZ  AQBZ) = det[Q(A  AB)Z] = det Q det Z det(A  AB). Since det Q
and det Z are nonzero, the result follows.
2. The result follows by noting that (A AB)x = 0 if and only if Q(A AB)Z(Zl x) =
o.
3. Again, the result follows easily by noting that yH (A  AB) o if and only if
(QH y)H Q(A _ AB)Z = O. 0
The first canonical form is an analogue of Schur's Theorem and forms, in fact, the
theoretical foundation for the QZ algorithm, which is the generally preferred method for
solving the generalized eigenvalue problem; see, for example, [7, Sec. 7.7] or [25, Sec. 6.7].
Theorem 12.8. Let A, B E c
nxn
. Then there exist unitary matrices Q, Z E c
nxn
such that
QAZ = T
a
, QBZ = T
fJ
,
where Ta and TfJ are upper triangular.
By Theorem 12.7, the eigenvalues ofthe pencil A  AB are then the ratios of the diag
onal elements of Ta to the corresponding diagonal elements of T
fJ
, with the understanding
that a zero diagonal element of TfJ corresponds to an infinite generalized eigenvalue.
There is also an analogue of the MurnaghanWintner Theorem for real matrices.
128 Chapter 12. Generalized Eigenvalue Problems
Theorem 12.9. Let A, B e R
nxn
. Then there exist orthogonal matrices Q, Z e R"
xn
such
thnt
where T is upper triangular and S is quasiuppertriangular.
When S has a 2 x 2 diagonal block, the 2 x 2 subpencil formed with the corresponding
2x2 diagonal subblock of T has a pair of complex conjugate eigenvalues. Otherwise, real
eigenvalues are given as above by the ratios of diagonal elements of S to corresponding
elements of T.
There is also an analogue of the Jordan canonical form called the Kronecker canonical
form (KCF). A full description of the KCF, including analogues of principal vectors and
so forth, is beyond the scope of this book. In this chapter, we present only statements of
the basic theorems and some examples. The first theorem pertains only to "square" regular
pencils, while the full KCF in all its generality applies also to "rectangular" and singular
pencils.
Theorem 12.10. Let A, B e C
nxn
and suppose the pencil A — XB is regular. Then there
exist nonsingular matrices P, Q € C"
x
" such that
where J is a Jordan canonical form corresponding to the finite eigenvalues of A A.fi and
N is a nilpotent matrix of Jordan blocks associated with 0 and corresponding to the infinite
eigenvalues of A — XB.
Example 12.11. The matrix pencil
with characteristic polynomial (X — 2)
2
has a finite eigenvalue 2 of multiplicty 2 and three
infinite eigenvalues.
Theorem 12.12 (Kronecker Canonical Form). Let A, B e C
mxn
. Then there exist
nonsingular matrices P e C
mxm
and Q e C
nxn
such that
128 Chapter 12. Generalized Eigenvalue Problems
Theorem 12.9. Let A, B E jRnxn. Then there exist orthogonal matrices Q, Z E jRnxn such
that
QAZ = S, QBZ = T,
where T is upper triangular and S is quasiuppertriangular.
When S has a 2 x 2 diagonal block, the 2 x 2 subpencil fonned with the corresponding
2 x 2 diagonal subblock of T has a pair of complex conjugate eigenvalues. Otherwise, real
eigenvalues are given as above by the ratios of diagonal elements of S to corresponding
elements of T.
There is also an analogue of the Jordan canonical fonn called the Kronecker canonical
form (KeF). A full description of the KeF, including analogues of principal vectors and
so forth, is beyond the scope of this book. In this chapter, we present only statements of
the basic theorems and some examples. The first theorem pertains only to "square" regular
pencils, while the full KeF in all its generality applies also to "rectangular" and singular
pencils.
Theorem 12.10. Let A, B E c
nxn
and suppose the pencil A  AB is regular. Then there
exist nonsingular matrices P, Q E c
nxn
such that
peA  AB)Q = [ ~ ~ ]  A [ ~ ~ l
where J is a Jordan canonical form corresponding to the finite eigenvalues of A  AB and
N is a nilpotent matrix of Jordan blocks associated with 0 and corresponding to the infinite
eigenvalues of A  AB.
Example 12.11. The matrix pencil
[2 I
0 0
~ ]> [ ~
0 0
o 0] o 2 0 0 I 0 o 0
o 0 1 0 0 0 I 0
o 0 0 1 0 0 o 0
o 0 0 0 0 0 0 0
with characteristic polynomial (A  2)2 has a finite eigenvalue 2 of multiplicty 2 and three
infinite eigenvalues.
Theorem 12.12 (Kronecker Canonical Form). Let A, B E c
mxn
• Then there exist
nonsingular matrices P E c
mxm
and Q E c
nxn
such that
peA  AB)Q = diag(LII' ... , L
l
" L ~ , ...• L;'. J  A.I, I  )"N),
12.2. Canonical Forms 129
where N is nilpotent, both N and J are in Jordan canonical form, and L^ is the (k + 1) x k
bidiagonal pencil
The /( are called the left minimal indices while the r, are called the right minimal indices.
Left or right minimal indices can take the value 0.
Such a matrix is in KCF. The first block of zeros actually corresponds to LQ, LQ, LQ, LQ ,
LQ, where each LQ has "zero columns" and one row, while each LQ has "zero rows" and
one column. The second block is L\ while the third block is L\. The next two blocks
correspond to
Just as sets of eigenvectors span Ainvariant subspaces in the case of the standard
eigenproblem (recall Definition 9.35), there is an analogous geometric concept for the
generalized eigenproblem.
Definition 12.14. Let A, B e W
lxn
and suppose the pencil A — XB is regular. Then V is a
deflating subspace if
Just as in the standard eigenvalue case, there is a matrix characterization of deflating
subspace. Specifically, suppose S e R n*
xk
is a matrix whose columns span a ^dimensional
subspace S of R
n
, i.e., R ( S) = <S. Then S is a deflating subspace for the pencil A — XB if
and only if there exists M e R
kxk
such that
while the nilpotent matrix N in this example is
12.2. Canonical Forms 129
where N is nilpotent, both Nand J are in Jordan canonical form, and Lk is the (k + I) x k
bidiagonal pencil
A 0 0
A
Lk =
0 0
A
0 0 I
The Ii are called the left minimal indices while the ri are called the right minimal indices.
Left or right minimal indices can take the value O.
Example 12.13. Consider a 13 x 12 block diagonal matrix whose diagonal blocks are
A 0]
I A .
o I
Such a matrix is in KCF. The first block of zeros actually corresponds to Lo, Lo, Lo, L6,
L6, where each Lo has "zero columns" and one row, while each L6 has "zero rows" and
one column. The second block is L\ while the third block is LI The next two blocks
correspond to
[
21
J = 0 2
o 0
while the nilpotent matrix N in this example is
000
Just as sets of eigenvectors span Ainvariant subspaces in the case of the standard
eigenproblem (recall Definition 9.35), there is an analogous geometric concept for the
generalized eigenproblem.
Definition 12.14. Let A, B E and suppose the pencil A  AB is regular. Then V is a
deflating subspace if
dim(AV + BV) = dimV. (12.4)
Just as in the standard eigenvalue case, there is a matrix characterization of deflating
subspace. Specifically, suppose S E is a matrix whose columns span a kdimensional
subspace S of i.e., n(S) = S. Then S is a deflating subspace for the pencil A  AB if
and only if there exists M E such that
AS = BSM. (12.5)
130 Chapter 12. Generalized Eigenvalue Problems
If B = /, then (12.4) becomes dim(AV + V) = dimV, which is clearly equivalent to
AV c V. Similarly, (12.5) becomes AS = SM as before. If the pencil is not regular, there
is a concept analogous to deflating subspace called a reducing subspace.
12.3 Application to the Computation of System Zeros
Consider the linear svstem
which has a root at —2.8 .
The method of finding system zeros via a generalized eigenvalue problem also works
well for general multiinput, multioutput systems. Numerically, however, one must be
careful first to "deflate out" the infinite zeros (infinite eigenvalues of (12.6)). This is accom
plished by computing a certain unitary equivalence on the system pencil that then yields a
smaller generalized eigenvalue problem with only finite generalized eigenvalues (the finite
zeros).
The connection between system zeros and the corresponding system pencil is non
trivial. However, we offer some insight below into the special case of a singleinput,
with A € M
n x n
, B € R"
x m
, C e R
pxn
, and D € R
pxm
. This linear timeinvariant state
space model is often used in multivariable control theory, where x(= x(t)) is called the state
vector, u is the vector of inputs or controls, and y is the vector of outputs or observables.
For details, see, for example, [26].
In general, the (finite) zeros of this system are given by the (finite) complex numbers
z, where the "system pencil"
drops rank. In the special case p = m, these values are the generalized eigenvalues of the
(n + m) x (n + m) pencil.
Example 12.15. Let
Then the transfer matrix (see [26]) of this system is
which clearly has a zero at —2.8 . Checking the finite eigenvalues of the pencil (12.6), we
find the characteristic polynomial to be
130 Chapter 12. Generalized Eigenvalue Problems
If B = I, then (12.4) becomes dim (A V + V) = dim V, which is clearly equivalent to
AV ~ V. Similarly, (12.5) becomes AS = SM as before. lEthe pencil is not regular, there
is a concept analogous to deflating subspace called a reducing subspace.
12.3 Application to the Computation of System Zeros
Consider the linear system
i = Ax + Bu,
y = Cx + Du
with A E jRnxn, B E jRnxm, C E jRPxn, and D E jRPxm. This linear timeinvariant state
space model is often used in multivariable control theory, where x(= x(t)) is called the state
vector, u is the vector of inputs or controls, and y is the vector of outputs or observables.
For details, see, for example, [26].
In general, the (finite) zeros of this system are given by the (finite) complex numbers
z, where the "system pencil"
(12.6)
drops rank. In the special case p = m, these values are the generalized eigenvalues of the
(n + m) x (n + m) pencil.
Example 12.15. Let
A=[
4
2
Then the transfer matrix (see [26)) of this system is
C = [I 2],
55 + 14
g(5)=C(sIA)'B+D= 2 '
5 + 3s + 2
D=O.
which clearly has a zero at 2.8. Checking the finite eigenvalues of the pencil (12.6), we
find the characteristic polynomial to be
det
[
A c
M
B]
D "'" 5A + 14,
which has a root at 2.8.
The method of finding system zeros via a generalized eigenvalue problem also works
well for general mUltiinput, multioutput systems. Numerically, however, one must be
careful first to "deflate out" the infinite zeros (infinite eigenvalues of (12.6». This is accom
plished by computing a certain unitary equivalence on the system pencil that then yields a
smaller generalized eigenvalue problem with only finite generalized eigenvalues (the finite
zeros).
The connection between system zeros and the corresponding system pencil is non
trivial. However, we offer some insight below into the special case of a singleinput.
12.4. Symmetric Generalized Eigenvalue Problems 131
singleoutput system. Specifically, let B = b e Rn, C = c
1
e R
l xn
, and D = d e R.
Furthermore, let g(.s) = c
r
(s7 — A )~
!
Z ? + d denote the system transfer function (matrix),
and assume that g ( s ) can be written in the form
where T T (S ) is the characteristic polynomial of A, and v(s) and T T (S ) are relatively prime
(i.e., there are no "pole/zero cancellations").
Suppose z € C is such that
is singular. Then there exists a nonzero solution to
or
Assuming z is not an eigenvalue of A (i.e., no pole/zero cancellations), then from (12.7) we
get
Substituting this in (12.8), we have
or g ( z ) y = 0 by the definition of g . Now _ y ^ 0 (else x = 0 from (12.9)). Hence g(z) = 0,
i.e., z is a zero of g.
12.4 Symmetric Generalized Eigenvalue Problems
A very important special case of the generalized eigenvalue problem
for A, B e R
nxn
arises when A = A and B = B
1
> 0. For example, the secondorder
system of differential equations
where M is a symmetric positive definite "mass matrix" and K is a symmetric "stiffness
matrix," is a frequently employed model of structures or vibrating systems and yields a
generalized eigenvalue problem of the form (12.10).
Since B is positive definite it is nonsingular. Thus, the problem (12.10) is equivalent
to the standard eigenvalue problem B~
l
Ax = A J C. However, B~
1
A is not necessarily
symmetric.
12.4. Symmetric Generalized Eigenvalue Problems 131
singleoutput system. Specifically, let B = b E ffi.n, C = c
T
E ffi.l xn, and D = d E R
Furthermore, let g(s) = c
T
(s I  A) 1 b + d denote the system transfer function (matrix),
and assume that g(s) can be written in the form
v(s)
g(s) = n(s)'
where n(s) is the characteristic polynomial of A, and v(s) and n(s) are relatively prime
(i.e., there are no "pole/zero cancellations").
Suppose Z E C is such that
[
A  zI b ]
c
T
d
is singular. Then there exists a nonzero solution to
or
(A  zl)x + by = 0,
c
T
x +dy = O.
(12.7)
(12.8)
Assuming z is not an eigenvalue of A (i.e., no pole/zero cancellations), then from (12.7) we
get
x = (A  zl)lby.
(12.9)
Substituting this in (12.8), we have
_c
T
(A  zl)lby + dy = 0,
or g(z)y = 0 by the definition of g. Now y 1= 0 (else x = 0 from (12.9». Hence g(z) = 0,
i.e., z is a zero of g.
12.4 Symmetric Generalized Eigenvalue Problems
A very important special case of the generalized eigenvalue problem
Ax = ABx (12.10)
for A, B E ffi.nxn arises when A = AT and B = BT > O. For example, the secondorder
system of differential equations
Mx+Kx=O,
where M is a symmetric positive definite "mass matrix" and K is a symmetric "stiffness
matrix," is a frequently employed model of structures or vibrating systems and yields a
generalized eigenvalue problem ofthe form (12.10).
Since B is positive definite it is nonsingular. Thus, the problem (12.10) is equivalent
to the standard eigenvalue problem B
1
Ax = AX. However, B
1
A is not necessarily
symmetric.
Nevertheless, the eigenvalues of B
l
A are always real (and are approximately 2.1926
and 3.1926 in Example 12.16).
Theorem 12.17. Let A, B e R
nxn
with A = A
T
and B = B
T
> 0. Then the generalized
eigenvalue problem
whose eigenvalues are approximately 2.1926 and —3.1926 as expected.
The material of this section can, of course, be generalized easily to the case where A
and B are Hermitian, but since realvalued matrices are commonly used in most applications,
we have restricted our attention to that case only.
has n real eigenvalues, and the n corresponding right eigenvectors can be chosen to be
orthogonal with respect to the inner product (x, y)
B
= X
T
By. Moreover, if A > 0, then
the eigenvalues are also all positive.
Proof: Since B > 0, it has a Cholesky factorization B = LL
T
, where L is nonsingular
(Theorem 10.23). Then the eigenvalue problem
can be rewritten as the equivalent problem
Letting C = L
1
AL
J
and z = L
1
x, (12.11) can then be rewritten as
Since C = C
T
, the eigenproblem (12.12) has n real eigenvalues, with corresponding eigen
vectors zi,..., z
n
satisfying
Then x, = L
T
zi, i € n, are eigenvectors of the original generalized eigenvalue problem
and satisfy
Finally, if A = A
T
> 0, then C = C
T
> 0, so the eigenvalues are positive. D
Example 12.18. The Cholesky factor for the matrix B in Example 12.16 is
Then it is easily checked thai
132 Chapter 12. Generalized Eigenvalue Problems
Example 12.16. Let A ThenB~
l
A
132 Chapter 12. Generalized Eigenvalue Problems
Example 12.16. Let A = ; l B = [i J Then A = J
Nevertheless, the eigenvalues of A are always real (and are approximately 2.1926
and 3.1926 in Example 12.16).
Theorem 12.17. Let A, B E jRnxn with A = AT and B = BT > O. Then the generalized
eigenvalue problem
Ax = ABx
has n real eigenvalues, and the n corresponding right eigenvectors can be chosen to be
orthogonal with respect to the inner product (x, y) B = x
T
By. Moreover, if A > 0, then
the eigenvalues are also all positive.
Proof: Since B > 0, it has a Cholesky factorization B = LL T, where L is nonsingular
(Theorem 10.23). Then the eigenvalue problem
Ax = ABx = ALL T x
can be rewritten as the equivalent problem
(12.11)
Letting C = L AL and Z = LT x, (12.11) can then be rewritten as
Cz = AZ. (12.12)
Since C = C
T
, the eigenproblem (12.12) has n real eigenvalues, with corresponding eigen
vectors Z I, •.. , Zn satisfying
zi Zj = Dij.
Then Xi = L Zi, i E !!., are eigenvectors of the original generalized eigenvalue problem
and satisfy
(Xi, Xj)B = xr BXj = (zi L Zj) = Dij.
Finally, if A = AT> 0, then C = C
T
> 0, so the eigenvalues are positive. 0
Example 12.18. The Cholesky factor for the matrix B in Example 12.16 is
1] .
.,fi .,fi
Then it is easily checked that
c = = [ 0 . .5
2.5
2 . .5 ]
1.5 '
whose eigenvalues are approximately 2.1926 and 3.1926 as expected.
The material of this section can, of course, be generalized easily to the case where A
and B are Hermitian, but since realvalued matrices are commonly used in most applications,
we have restricted our attention to that case only.
12.5. Simultaneous Diagonalization 133
12.5 Simultaneous Diagonalization
Recall that many matrices can be diagonalized by a similarity. In particular, normal ma
trices can be diagonalized by a unitary similarity. It turns out that in some cases a pair of
matrices (A, B) can be simultaneously diagonalized by the same matrix. There are many
such results and we present only a representative (but important and useful) theorem here.
Again, we restrict our attention only to the real case, with the complex case following in a
straightforward way.
Theorem 12.19 (Simultaneous Reduction to Diagonal Form). Let A, B e E"
x
" with
A = A
T
and B = B
T
> 0. Then there exists a nonsingular matrix Q such that
\ 2.5.1 Simultaneous diagonalization via SVD
There are situations in which forming C = L~
1
AL~
T
as in the proof of Theorem 12.19 is
numerically problematic, e.g., when L is highly ill conditioned with respect to inversion. In
such cases, simultaneous reduction can also be accomplished via an SVD. To illustrate, let
where D is diagonal. In fact, the diagonal elements of D are the eigenvalues of B
1
A.
Proof: Let B = LL
T
be the Cholesky factorization of B and setC = L~
1
AL~
T
. Since
C is symmetric, there exists an orthogonal matrix P such that P
T
CP = D, where D is
diagonal. Let Q = L~
T
P. Then
and
Finally, since QDQ~
l
= QQ
T
AQQ~
l
= L
T
PP
T
L~
1
A = L~
T
L~
1
A = B~
1
A, we
haveA(D) = A(B~
1
A). D
Note that Q is not in general orthogonal, so it does not preserve eigenvalues of A and B
individually. However, it does preserve the eigenvalues of A — XB. This can be seen directly.
LetA = Q
T
AQandB = Q
T
BQ. Then/HA = Q~
l
B~
l
Q~
T
Q
T
AQ = Q~
1
B~
1
AQ.
Theorem 12.19 is very useful for reducing many statements about pairs of symmetric
matrices to "the diagonal case." The following is typical.
Theorem 12.20. Let A, B e M"
xn
be positive definite. Then A > B if and only if B~
l
>
A
1
.
Proof: By Theorem 12.19, there exists Q e E"
x
" such that Q
T
AQ = D and Q
T
BQ = I,
where D is diagonal. Now D > 0 by Theorem 10.31. Also, since A > B, by Theorem
10.21 we have that Q
T
AQ > Q
T
BQ, i.e., D > I. But then D"
1
< / (this is trivially true
since the two matrices are diagonal). Thus, QD~
l
Q
T
< QQ
T
, i.e., A~
l
< B~
l
. D
12.5. Simultaneous Diagonalization 133
12.5 Simultaneous Diagonalization
Recall that many matrices can be diagonalized by a similarity. In particular, normal ma
trices can be diagonalized by a unitary similarity. It turns out that in some cases a pair of
matrices (A, B) can be simultaneously diagonalized by the same matrix. There are many
such results and we present only a representative (but important and useful) theorem here.
Again, we restrict our attention only to the real case, with the complex case following in a
straightforward way.
Theorem 12.19 (Simultaneous Reduction to Diagonal Form). Let A, B E ] [ ~ n x n with
A = AT and B = BT > O. Then there exists a nonsingular matrix Q such that
where D is diagonal. Infact, the diagonal elements of D are the eigenvalues of B
1
A.
Proof: Let B = LLT be the Cholesky factorization of B and set C = L I AL T. Since
C is symmetric, there exists an orthogonal matrix P such that pTe p = D, where D is
diagonal. Let Q = L  T P. Then
and
QT BQ = pT L I(LLT)L T P = pT P = [.
Finally, since QDQI = QQT AQQI = L T P pT L I A = L T L I A
B
1
A, we
have A(D) = A(B
1
A). 0
Note that Q is not in general orthogonal, so it does not preserve eigenvalues of A and B
individually. However, it does preserve the eigenvalues of A  'AB. This can be seen directly.
Let A = QT AQ and B = QT BQ. Then B
1
A = Q1 B
1
QT QT AQ = Q1 B
1
AQ.
Theorem 12.19 is very useful for reducing many statements about pairs of symmetric
matrices to "the diagonal case." The following is typical.
Theorem 12.20. Let A, B E lR
nxn
be positive definite. Then A 2: B if and only if B
1
2:
AI.
Proof: By Theorem 12.19, there exists Q E l R ~ x n such that QT AQ = D and QT BQ = [,
where D is diagonal. Now D > 0 by Theorem 10.31. Also, since A 2: B, by Theorem
10.21 we have that QT AQ 2: QT BQ, i.e., D 2: [. But then D
I
:::: [(this is trivially true
since the two matrices are diagonal). Thus, Q D
I
QT :::: Q QT, i.e., A I :::: B
1
. 0
12.5.1 Simultaneous diagonalization via SVD
There are situations in which forming C = L I AL T as in the proof of Theorem 12.19 is
numerically problematic, e.g., when L is highly iII conditioned with respect to inversion. In
such cases, simultaneous reduction can also be accomplished via an SVD. To illustrate. let
The problem (12.15) is called a generalized singular value problem and algorithms exist to
solve it (and hence equivalently (12.13)) via arithmetic operations performed only on LA
and LB separately, i.e., without forming the products L
A
L
T
A
or L
B
L
T
B
explicitly; see, for
example, [7, Sec. 8.7.3]. This is analogous to finding the singular values of a matrix M by
operations performed directly on M rather than by forming the matrix M
T
M and solving
the eigenproblem M
T
MX = Xx.
Remark 12.22. Various generalizations of the results in Remark 12.21 are possible, for
example, when A = A
T
> 0. The case when A is symmetric but indefinite is not so
straightforward, at least in real arithmetic. For example, A can be written as A = PDP
T
,
~ ~ ~ ~ T
where D is diagonal and P is orthogonal, but in writing A — PDDP = PD(PD) with
D diagonal, D may have pure imaginary elements.
134 Chapter 12. Generalized Eigenvalue Problems
us assume that both A and B are positive definite. Further, let A = L
A
L
T
A
and B — LsL
T
B
be Cholesky factorizations of A and B, respectively. Compute the SVD
where E e R£
x
" is diagonal. Then the matrix Q = L
B
T
U performs the simultaneous
diagonalization. To check this, note that
while
Remark 12.21. The SVD in (12.13) can be computed without explicitly forming the
indicated matrix product or the inverse by using the socalled generalized singular value
decomposition (GSVD). Note that
and thus the singular values of L
B
L
A
can be found from the eigenvalue problem
Letting x = L
B
z we see that (12.14) can be rewritten in the form L
A
L
A
x = XL
B
z =
ALgL^Lg
7
z, which is thus equivalent to the generalized eigenvalue problem
134 Chapter 12. Generalized Eigenvalue Problems
us assume that both A and B are positive definite. Further, let A = and B =
be Cholesky factorizations of A and B, respectively. Compute the SVD
(12.13)
where L E xn is diagonal. Then the matrix Q = L i/ u performs the simultaneous
diagonalization. To check this, note that
while
QT AQ = U
T
= UTULVTVLTUTU
= L2
QT BQ = U
T
= UTU
= I.
Remark 12.21. The SVD in (12.13) can be computed without explicitly forming the
indicated matrix product or the inverse by using the socalled generalized singular value
decomposition (GSVD). Note that
and thus the singular values of L B 1 L A can be found from the eigenvalue problem
02.14)
Letting x = LBT Z we see that 02.14) can be rewritten in the form = ALBz =
z, which is thus equivalent to the generalized eigenvalue problem
02.15)
The problem (12.15) is called a generalized singular value problem and algorithms exist to
solve it (and hence equivalently (12.13» via arithmetic operations performed only on LA
and L B separately, i.e., without forming the products LA L or L B L explicitly; see, for
example, [7, Sec. 8.7.3]. This is analogous to finding the singular values of a matrix M by
operations performed directly on M rather than by forming the matrix MT M and solving
the eigenproblem MT M x = AX.
Remark 12.22. Various generalizations of the results in Remark 12.21 are possible, for
example, when A = AT::: O. The case when A is symmetric but indefinite is not so
straightforward, at least in real arithmetic. For example, A can be written as A = PDP T,
where Disdiagonaland P is orthogonal,butin writing A = PDDp
T
= PD(PD{ with
D diagonal, b may have pure imaginary elements.
12.6. HigherOrder Eigenvalue Problems 135
12.6 HigherOrder Eigenvalue Problems
Consider the secondorder system of differential equations
where q(t} e W
1
and M, C, K e Rn
xn
. Assume for simplicity that M is nonsingular.
Suppose, by analogy with the firstorder case, that we try to find a solution of (12.16) of the
form q(t) = e
xt
p, where the nvector p and scalar A. are to be determined. Substituting in
(12.16) we get
To get a nonzero solution /?, we thus seek values of A. for which the matrix A.
2
M + A.C + K
is singular. Since the determinantal equation
yields a polynomial of degree 2rc, there are 2n eigenvalues for the secondorder (or
quadratic) eigenvalue problem A.
2
M + A.C + K.
A special case of (12.16) arises frequently in applications: M = I, C = 0, and
K = K
T
. Suppose K has eigenvalues
Let a > k =  f j i k 1
2
• Then the 2n eigenvalues of the secondorder eigenvalue problem A.
2
/ + K
are
If r = n (i.e., K = K
T
> 0), then all solutions of q + Kq = 0 are oscillatory.
12.6.1 Conversion to firstorder form
Let x\ = q and \i = q. Then (12.16) can be written as a firstorder system (with block
companion matrix)
where x(t) €. E
2
". If M is singular, or if it is desired to avoid the calculation of M
l
because
M is too ill conditioned with respect to inversion, the secondorder problem (12.16) can still
be converted to the firstorder generalized linear system
or, since
12.6. HigherOrder Eigenvalue Problems 135
12.6 HigherOrder Eigenvalue Problems
Consider the secondorder system of differential equations
Mq+Cq+Kq=O, (12.16)
where q(t) E ~ n and M, C, K E ~ n x n . Assume for simplicity that M is nonsingular.
Suppose, by analogy with the firstorder case, that we try to find a solution of (12.16) of the
form q(t) = eAt p, where the nvector p and scalar A are to be determined. Substituting in
(12.16) we get
or, since eAt :F 0,
(A
2
M + AC + K) p = O.
To get a nonzero solution p, we thus seek values of A for which the matrix A
2
M + AC + K
is singular. Since the determinantal equation
o = det(A
2
M + AC + K) = A 2n + ...
yields a polynomial of degree 2n, there are 2n eigenvalues for the secondorder (or
quadratic) eigenvalue problem A
2
M + AC + K.
A special case of (12.16) arises frequently in applications: M = I, C = 0, and
K = KT. Suppose K has eigenvalues
IL I ::: ... ::: ILr ::: 0 > ILr+ I ::: ... ::: ILn·
Let Wk = I ILk I !. Then the 2n eigenvalues of the secondorder eigenvalue problem A
2
I + K
are
± jWk; k = 1, ... , r,
± Wk; k = r + 1, ... , n.
If r = n (i.e., K = KT ::: 0), then all solutions of q + K q = 0 are oscillatory.
12.6.1 Conversion to firstorder form
Let XI = q and X2 = q. Then (12.16) can be written as a firstorder system (with block
companion matrix)
. [ 0
X = M1K
where x (t) E ~ 2 n . If M is singular, or if it is desired to avoid the calculation of M
I
because
M is too ill conditioned with respect to inversion, the secondorder problem (12.16) can still
be converted to the firstorder generalized linear system
[
I OJ' [0 I J
o M x = K C x.
136 Chapter 12. Generalized Eigenvalue Problems
Many other firstorder realizations are possible. Some can be useful when M, C, and/or K
have special symmetry or skewsymmetry properties that can exploited.
Higherorder analogues of (12.16) involving, say, the kth derivative of q, lead naturally
to higherorder eigenvalue problems that can be converted to firstorder form using aknxkn
block companion matrix analogue of (11.19). Similar procedures hold for the general k\h
order difference equation
EXERCISES
are the eigenvalues of the matrix A — BD
1
C.
2. Let F, G € C
MX
". Show that the nonzero eigenvalues of FG and GF are the same.
Hint: An easy "trick proof is to verify that the matrices
are similar via the similarity transformation
are identical for all F 6 E"
1
*" and all G G R"
xm
.
Hint: Consider the equivalence
(A similar result is also true for "nonsquare" pencils. In the parlance of control theory,
such results show that zeros are invariant under state feedback or output injection.)
which can be converted to various firstorder systems of dimension kn.
1. Suppose A e R
nx
" and D e R™
xm
. Show that the finite generalized eigenvalues of
the pencil
3. Let F e C
nxm
, G e C
mx
". Are the nonzero singular values of FG and GF the
same?
4. Suppose A € R
nxn
, B e R
n
*
m
, and C e E
wx
". Show that the generalized eigenval
ues of the pencils
and
136 Chapter 12. Generalized Eigenvalue Problems
Many other firstorder realizations are possible. Some can be useful when M, C, andlor K
have special symmetry or skewsymmetry properties that can exploited.
Higherorder analogues of (12.16) involving, say, the kth derivative of q, lead naturally
to higherorder eigenvalue problems that can be converted to firstorder form using a kn x kn
block companion matrix analogue of (11.19). Similar procedures hold for the general kth
order difference equation
which can be converted to various firstorder systems of dimension kn.
EXERCISES
1. Suppose A E lR
n
xn and D E lR::! xm. Show that the finite generalized eigenvalues of
the pencil
[ ~ ~ J  A [ ~ ~ J
are the eigenvalues of the matrix A  B D
1
C.
2. Let F, G E e
nxn
• Show that the nonzero eigenvalues of FG and G F are the same.
Hint: An easy "trick proof' is to verify that the matrices
[Fg ~ ] and [ ~ GOF ]
are similar via the similarity transformation
3. Let F E e
nxm
, G E e
mxn
• Are the nonzero singular values of FG and GF the
same?
4. Suppose A E ]Rnxn, B E lR
nxm
, and C E lRmxn. Show that the generalized eigenval
ues of the pencils
[ ~ ~ J  A [ ~ ~ J
and
[ A + B ~ + GC ~ ] _ A [ ~ ~ ]
are identical for all F E Rm xn and all G E R" xm .
Hint: Consider the equivalence
[
I G][AU B][I 0]
01 CO Fl'
(A similar result is also true for "nonsquare" pencils. In the parlance of control theory,
such results show that zeros are invariant under state feedback or output injection.)
Exercises 137
5. Another family of simultaneous diagonalization problems arises when it is desired
that the simultaneous diagonalizing transformation Q operates on matrices A, B e
]R
nx
" in such a way that Q~
l
AQ~
T
and Q
T
BQ are simultaneously diagonal. Such
a transformation is called contragredient. Consider the case where both A and
B are positive definite with Cholesky factorizations A = L&L
T
A
and B = L#Lg,
respectively, and let UW
T
be an SVD of L
T
B
L
A
.
(a) Show that Q = LA V£~
5
is a contragredient transformation that reduces both
A and B to the same diagonal matrix.
(b) Show that Q~
l
= ^~^U
T
L
T
B
.
(c) Show that the eigenvalues of A B are the same as those of E
2
and hence are
positive.
Exercises 137
5. Another family of simultaneous diagonalization problems arises when it is desired
that the simultaneous diagonalizing transformation Q operates on matrices A, B E
jRnxn in such a way that Ql AQT and QT BQ are simultaneously diagonal. Such
a transformation is called contragredient. Consider the case where both A and
B are positive definite with Cholesky factorizations A = LA L and B = L B L
respectively, and let be an SVD of
(a) Show that Q = LA is a contragredient transformation that reduces both
A and B to the same diagonal matrix.
(b) Show that Ql =
(c) Show that the eigenvalues of AB are the same as those of 1;2 and hence are
positive.
This page intentionally left blank This page intentionally left blank
Chapter 13
Kronecker Products
13.1 Definition and Examples
Definition 13.1. Let A e R
mx
", B e R
pxq
. Then the Kronecker product (or tensor
product) of A and B is defined as the matrix
Obviously, the same definition holds if A and B are complexvalued matrices. We
restrict our attention in this chapter primarily to realvalued matrices, pointing out the
extension to the complex case only where it is not obvious.
Example 13.2.
Note that B < g> A / A < g> B.
2. Foranyfl e!F
X(
7, /
2
< 8 > f l = [o l\
Replacing I
2
by /„ yields a block diagonal matrix with n copies of B along the
diagonal.
3. Let B be an arbitrary 2x2 matrix. Then
139
Chapter 13
Kronecker Products
13.1 Definition and Examples
Definition 13.1. Let A E lR
mxn
, B E lR
pxq
. Then the Kronecker product (or tensor
product) of A and B is defined as the matrix
[
allB
A@B= :
amlB
alnB ]
: E lRmpxnq.
amnB
(13.1)
Obviously, the same definition holds if A and B are complexvalued matrices. We
restrict our attention in this chapter primarily to realvalued matrices, pointing out the
extension to the complex case only where it is not obvious.
Example 13.2.
1. Let A =
2
nand B = [; Then
2
4 2 6
n
A@B = [
2B 3 4 6 6
2B 3 4 2 2
9 4 6 2
Note that B @ A i A @ B.
2. Forany B E lR
pxq
, /z @ B = J.
Replacing 12 by In yields a block diagonal matrix with n copies of B along the
diagonal.
3. Let B be an arbitrary 2 x 2 matrix. Then
l b"
0
b12
0
l
B @/z =
b
ll
0 b12
0
b
2
2
0
b
21
0 b
22
139
140 Chapter 13. Kronecker Products
The extension to arbitrary B and /„ is obvious.
4. Let Jt € R
m
, y e R". Then
5. Let* eR
m
, y eR". Then
13.2 Properties of the Kronecker Product
Theorem 13.3. Let A e R
mx
", 5 e R
rxi
, C e R"
x
^ and D e R
sxt
. Then
Proof: Simply verify that
Theorem 13.4. For all A and B,
Proof: For the proof, simply verify using the definitions of transpose and Kronecker
product. D
Corollary 13.5. If A e R"
xn
and B e R
mxm
are symmetric, then A® B is symmetric.
Theorem 13.6. If A and B are nonsingular,
Proof: Using Theorem 13.3, simply note that
140 Chapter 13. Kronecker Products
The extension to arbitrary B and In is obvious.
4. Let x E y E !R.n. Then
[
T T]T
X ® Y = XIY , ... , XmY
= [XIYJ, ... , XIYn, X2Yl, ... , xmYnf E !R.
mn
.
13.2 Properties of the Kronecker Product
Theorem 13.3. Let A E B E C E and D E Then
(A 0 B)(C 0 D) = AC 0 BD (E
Proof; Simply verify that
=AC0BD. 0
Theorem 13.4. Foral! A and B, (A ® Bl = AT ® BT.
al;kCkPBD ]
amkckpBD
(13.2)
Proof' For the proof, simply verify using the definitions of transpose and Kronecker
product. 0
Corollary 13.5. If A E ]Rn xn and B E !R.
m
xm are symmetric, then A ® B is symmetric.
Theorem 13.6. If A and Bare nonsingular, (A ® B)I = AI ® B
1
.
Proof: Using Theorem 13.3, simply note that (A ® B)(A 1 ® B
1
) = 1 ® 1 = I. 0
Corollary 13.8. If A € E"
xn
is orthogonal and B e M
mxm
15 orthogonal, then A < g > B is
orthogonal.
13.2. Properties of the Kronecker Product 141
Theorem 13.7. If A e IR"
xn
am/ B eR
mxm
are normal, then A® B is normal.
Proof:
yields a singular value decomposition of A < 8 > B (after a simple reordering of the diagonal
elements O/£A < 8 > £5 and the corresponding right and left singular vectors).
Corollary 13.11. Let A e R™
x
" have singular values a\ > • • • > a
r
> 0 and let B e
have singular values T\ > • • • > T
S
> 0. Then A < g ) B (or B < 8 > A) has rs singular values
^iT\ > • • • > ff
r
T
s
> Qand
Theorem 13.12. Let A e R
nx
" have eigenvalues A.,  , / e n, and let B e R
mxw
/zave
eigenvalues jJij, 7 € m. TTzen ?/ze mn eigenvalues of A® B are
Moreover, if x\, ..., x
p
are linearly independent right eigenvectors of A corresponding
to A  i , . . . , A.
p
(p < n), and zi, • • •, z
q
are linearly independent right eigenvectors of B
corresponding to JJL\ , ..., \Ju
q
(q < m), then ;c, < 8 > Zj € ffi.
m
" are linearly independent right
eigenvectors of A® B corresponding to A., /u ,
7
, i e /?, 7 e q.
Proof: The basic idea of the proof is as follows:
If A and B are diag onalizable in Theorem 13.12, we can take p = n and q —mand
thu s g et the complete eig enstru ctu re of A < 8 > B. In g eneral, if A and fi have Jordan form
Example 13.9. Let A and B  Then it is easily seen that
A i s orthog onal wi th eig envalu es e
±j9
and B i s orthog onal wi th eig envalu es e
±j(i>
. T he 4x4
matrix A ® 5 is then also orthog onal with eig envalu es e^'^+'W and e
±
^
( 6>
~^
>
\
Theorem 13.10. Lg f A G E
mx
" have a singular value decomposition l/^E^Vj an^ /ef
fi e ^
pxq
have a singular value decomposition UB^B^B Then
13.2. Properties of the Kronecker Product
Theorem 13.7. If A E IR
nxn
and B E IR
mxm
are normal, then A 0 B is normal.
Proof:
(A 0 B{ (A 0 B) = (AT 0 BT)(A 0 B) by Theorem 13.4
= AT A 0 BT B by Theorem 13.3
= AAT 0 B BT since A and B are normal
= (A 0 B)(A 0 B)T by Theorem 13.3. 0
141
Corollary 13.8. If A E IR
nxn
is orthogonal and B E IR
mxm
is orthogonal, then A 0 B is
orthogonal.
E I 139 L A
[
eose Sine] dB [Cos</> Sin</>] Th ., '1 h
xamp e .• et = _ sin e cose an = _ sin</> cos</>O en It IS easl y seen t at
A is orthogonal with eigenvalues e±jO and B is orthogonal with eigenvalues e±j</J. The 4 x 4
matrix A 0 B is then also orthogonal with eigenvalues e±jeH</» and e±je
fJ
</».
Theorem 13.10. Let A E IR
mxn
have a singular value decomposition VA ~ A vI and let
B E IR
pxq
have a singular value decomposition V B ~ B VI. Then
yields a singular value decomposition of A 0 B (after a simple reordering of the diagonal
elements of ~ A 0 ~ B and the corresponding right and left singular vectors).
Corollary 13.11. Let A E lR;"xn have singular values UI :::: ... :::: U
r
> 0 and let B E IRfx
q
have singular values <I :::: ... :::: <s > O. Then A 0 B (or B 0 A) has rs singular values
U, <I :::: ... :::: U
r
<s > 0 and
rank(A 0 B) = (rankA)(rankB) = rank(B 0 A) .
Theorem 13.12. Let A E IR
n
xn have eigenvalues Ai, i E !!, and let B E IR
m
xm have
eigenvalues JL j, j E m. Then the mn eigenvalues of A 0 Bare
Moreover, if Xl, ••. , xp are linearly independent right eigenvectors of A corresponding
to AI, ... , A p (p ::::: n), and Z I, ... ,Zq are linearly independent right eigenvectors of B
corresponding to JLI, ... ,JLq (q ::::: m), then Xi 0 Zj E IR
mn
are linearly independent right
eigenvectors of A 0 B corresponding to Ai JL j, i E l!! j E 1·
Proof: The basic idea of the proof is as follows:
(A 0 B)(x 0 z) = Ax 0 Bz
= AX 0 JLZ
= AJL(X 0 z). 0
If A and Bare diagonalizable in Theorem 13.12, we can take p = nand q = m and
thus get the complete eigenstructure of A 0 B. In general, if A and B have Jordan form
142 Chapter 13. Kronecker Products
decompositions given by P~
l
AP = JA and Q~
]
BQ = JB, respectively, then we get the
following Jordanlike structure:
Note that JA® JB, while upper triangular, is generally not quite in Jordan form and needs
further reduction (to an ultimate Jordan form that also depends on whether or not certain
eigenvalues are zero or nonzero).
A Schur form for A ® B can be derived similarly. For example, suppose P and
Q are unitary matrices that reduce A and 5, respectively, to Schur (triangular) form, i.e.,
P
H
AP = T
A
and Q
H
BQ = T
B
(and similarly if P and Q are orthogonal similarities
reducing A and B to real Schur form). Then
Corollary 13.13. Let A e R
nxn
and B e R
mxm
. Then
Definition 13.14. Let A e R
nxn
and B e R
mxm
. Then the Kronecker sum (or tensor sum)
of A and B, denoted A © B, is the mn x mn matrix (I
m
< g> A) + (B ® /„). Note that, in
general, A ® B ^ B © A.
Example 13.15.
Then
The reader is invited to compute B 0 A = (/3 ® B) + (A < g> /2) and note the difference
with A © B.
1. Let
142 Chapter 1 3. Kronecker Products
decompositions given by p
I
AP = J
A
and Ql BQ = J
B
, respectively, then we get the
following Jordanlike structure:
(P ® Q)I(A ® B)(P ® Q) = (P
I
® Ql)(A ® B)(P ® Q)
= (P
1
AP) ® (Ql BQ)
= J
A
® J
B ·
Note that h ® JR, while upper triangular, is generally not quite in Jordan form and needs
further reduction (to an ultimate Jordan form that also depends on whether or not certain
eigenvalues are zero or nonzero).
A Schur form for A ® B can be derived similarly. For example, suppose P and
Q are unitary matrices that reduce A and B, respectively, to Schur (triangular) form, i.e.,
pH AP = TA and QH BQ = TB (and similarly if P and Q are orthogonal similarities
reducing A and B to real Schur form). Then
(P ® Q)H (A ® B)(P ® Q) = (pH ® QH)(A ® B)(P ® Q)
= (pH AP) ® (QH BQ)
= TA ® T
R
.
Corollary 13.13. Let A E IR
n
xn and B E IR
rn
xm. Then
1. Tr(A ® B) = (TrA)(TrB) = Tr(B ® A).
2. det(A ® B) = (det A)m(det Bt = det(B ® A).
Definition 13.14. Let A E IR
n
Xn and B E IR
m
xrn. Then the Kronecker sum (or tensor sum)
of A and B, denoted A EEl B, is the mn x mn matrix Urn ® A) + (B ® In). Note that, in
general, A EEl B i= B EEl A.
Example 13.15.
1. Let
2
;
2
Then
2 3 0 0 0 2 0 0 0 0
3 2 1 0 0 0 0 2 0 0 1 0
AfflB = (h®A)+(B®h) =
1 1 4 0 0 0 0 0 2 0 0
0 0 0 2 3
+
2 0 0 3 0 0
0 0 0 3 2 0 2 0 0 3 0
0 0 0 4 0 0 2 0 0 3
The reader is invited to compute B EEl A = (h ® B) + (A 0 h) and note the difference
with A EEl B.
13.2. Properties of the Kronecker Product 143
If A and B are diagonalizable in Theorem 13.16, we can take p = n and q = m and
thus get the complete eigenstructure of A 0 B. In general, if A and B have Jordan form
decompositions given by P~
1
AP = JA and Q"
1
BQ = JB, respectively, then
is a Jordanlike structure for A © B.
Then J can be written in the very compact form J = (4 < 8 > M) + (E^®l2) = M 0 Ek.
Theorem 13.16. Let A e E"
x
" have eigenvalues A,  , i e n, and let B e R
mx
'" have
eigenvalues /z
;
, 7 e ra. TTzen r/ze Kronecker sum A® B = (I
m
(g> A) + (B < g> /„) /za^ ran
e/genva/wes
Moreover, if x\,... ,x
p
are linearly independent right eigenvectors of A corresponding
to AI, . . . , X
p
(p < n), and z\, ..., z
q
are linearly independent right eigenvectors of B
corresponding to f j i \ , . . . , f^
q
(q < ra), then Zj < 8 > Xi € W
1
" are linearly independent right
eigenvectors of A® B corresponding to A., + [ij , i € p, j e q.
Proof: The basic idea of the proof is as follows:
2. Recall the real JCF
where M =
13.2. Properties of the Kronecker Product
2. Recall the real JCF
1=
where M = [
a
f3
M I 0 0
f3
a
o M I 0
M
0
J. Define
0 0
0 0
Ek =
0
I 0
M I
o M
o
o
o
143
E jR2kx2k,
Then 1 can be written in the very compact form 1 = (I} ® M) + (Ek ® h) = M $ E
k
.
Theorem 13.16. Let A E jRnxn have eigenvalues Ai, i E !!. and let B E jRmxm have
eigenvalues fJj, j E I!!. Then the Kronecker sum A $ B = (1m ® A) + (B ® In) has mn
eigenvalues
Al + fJt, ... , AI + fJm, A2 + fJt,···, A2 + fJm, ... , An + fJm'
Moreover, if XI, .•• , xp are linearly independent right eigenvectors of A corresponding
to AI, ... , Ap (p ::s: n), and ZI, ... , Zq are linearly independent right eigenvectors of B
corresponding to fJt, ... , fJq (q ::s: m), then Z j ® Xi E jRmn are linearly independent right
eigenvectors of A $ B corresponding to Ai + fJj' i E E, j E fl·
Proof: The basic idea of the proof is as follows:
[(1m ® A) + (B ® In)](Z ® X) = (Z ® Ax) + (Bz ® X)
= (Z ® Ax) + (fJZ ® X)
= (A + fJ)(Z ® X). 0
If A and Bare diagonalizable in Theorem 13.16, we can take p = nand q = m and
thus get the complete eigenstructure of A $ B. In general, if A and B have Jordan form
decompositions given by pI AP = lA and Qt BQ = l
B
, respectively, then
[(Q ® In)(lm ® p)rt[(lm ® A) + (B ® In)][CQ ® In)(lm ® P)]
= [(1m ® p)I(Q ® In)I][(lm ® A) + (B ® In)][(Q ® In)(/m ® P)]
= [(1m ® pI)(QI ® In)][(lm ® A) + (B ® In)][CQ ® In)(/m <:9 P)]
= (1m ® lA) + (JB ® In)
is a Jordanlike structure for A $ B.
144 Chapter 13. Kronecker Products
A Schur form for A © B can be derived similarly. Again, suppose P and Q are unitary
matrices that reduce A and B, respectively, to Schur (triangular) form, i.e., P
H
AP = T
A
and Q
H
BQ = T
B
(and similarly if P and Q are orthogonal similarities reducing A and B
to real Schur form). Then
((Q ® /„)(/« ® P)]"[(/m < 8 > A) + (B ® /
B
)][(e (g) /„)(/„, ® P)] = (/
m
< 8 > r
A
) + (7* (g) /„),
where [(Q < 8 > /„)(/« ® P)] = (< 2 ® P) is unitary by Theorem 13.3 and Corollary 13.8 .
13.3 Application to Sylvester and Lyapunov Equations
In this section we study the linear matrix equation
A special case of (13.3) is the symmetric equation
obtained by taking B = A
T
. When C is symmetric, the solution X e W
x
" is easily shown
also to be symmetric and (13.4) is known as a Lyapunov equation. Lyapunov equations
arise naturally in stability theory.
The first important question to ask regarding (13.3) is, When does a solution exist?
By writing the matrices in (13.3) in terms of their columns, it is easily seen by equating the
z'th columns that
The coefficient matrix in (13.5) clearly can be written as the Kronecker sum (I
m
* A) +
(B
T
® /„). The following definition is very helpful in completing the writing of (13.5) as
an "ordinary" linear system.
where A e R"
x
", B e R
mxm
, and C e M"
xm
. This equation is now often called a Sylvester
equation in honor of J.J. Sylvester who studied general linear matrix equations of the form
These equations can then be rewritten as the mn x mn linear system
144 Chapter 13. Kronecker Products
A Schur fonn for A EB B can be derived similarly. Again, suppose P and Q are unitary
matrices that reduce A and B, respectively, to Schur (triangular) fonn, i.e., pH AP = TA
and QH BQ = TB (and similarly if P and Q are orthogonal similarities reducing A and B
to real Schur fonn). Then
where [(Q ® In)(lm ® P)] = (Q ® P) is unitary by Theorem 13.3 and Corollary 13.8.
13.3 Application to Sylvester and Lyapunov Equations
In this section we study the linear matrix equation
AX+XB=C, (13.3)
where A E IR
nxn
, B E IR
mxm
, and C E IRnxm. This equation is now often called a Sylvester
equation in honor of 1.1. Sylvester who studied general linear matrix equations of the fonn
k
LA;XB; =C.
;=1
A special case of (13.3) is the symmetric equation
AX +XAT = C (13.4)
obtained by taking B = AT. When C is symmetric, the solution X E IR
n
xn is easily shown
also to be symmetric and (13.4) is known as a Lyapunov equation. Lyapunovequations
arise naturally in stability theory.
The first important question to ask regarding (13.3) is, When does a solution exist?
By writing the matrices in (13.3) in tenns of their columns, it is easily seen by equating the
ith columns that
m
AXi + Xb; = C; = AXi +
j=1
These equations can then be rewritten as the mn x mn linear system
[
A+blll b
21
1
bl21 A + b
2Z
1
blml b2ml
(13.5)
The coefficient matrix in (13.5) clearly can be written as the Kronecker sum (1m 0 A) +
(B
T
0 In). The following definition is very helpful in completing the writing of (13.5) as
an "ordinary" linear system.
13.3. Application to Sylvester and Lyapunov Equations 145
Definition 13.17. Let c
(
€ E.
n
denote the columns ofC e R
nxm
so that C = [n,..., c
m
}.
Then vec(C) is defined to be the mnvector formed by stacking the columns ofC on top of
one another, i.e., vec(C) =
Using Definition 13.17, the linear system (13.5) can be rewritten in the form
There exists a unique solution to (13.6) if and only if [(I
m
® A) + (B
T
® /„)] is nonsingular.
But [(I
m
< 8 > A) + (B
T
(g) /„)] is nonsingular if and only if it has no zero eigenvalues.
From Theorem 13.16, the eigenvalues of [(/
m
<g> A) + (B
T
<8> /„)] are A., + IJ LJ , where
A,, e A (A), i e n_, and ^j e A(fi), j e m. We thus have the following theorem.
Theorem 13.18. Let A e R
nxn
, B G R
mxm
, and C e R"
xm
. 77ie/i the Sylvester equation
has a unique solution if and only if A and —B have no eigenvalues in common.
Sylvester equations of the form (13.3) (or symmetric Lyapunov equations of the form
(13.4)) are generally not solved using the mn x mn "vec" formulation (13.6). The most
commonly preferred numerical algorithm is described in [2]. First A and B are reduced to
(real) Schur form. An equivalent linear system is then solved in which the triangular form
of the reduced A and B can be exploited to solve successively for the columns of a suitably
transformed solution matrix X. Assuming that, say, n > m, this algorithm takes only O(n
3
)
operations rather than the O(n
6
) that would be required by solving (13.6) directly with
Gaussian elimination. A further enhancement to this algorithm is available in [6] whereby
the larger of A or B is initially reduced only to upper Hessenberg rather than triangular
Schur form.
The next few theorems are classical. They culminate in Theorem 13.24, one of many
elegant connections between matrix theory and stability theory for differential equations.
Theorem 13.19. Let A e Rn
xn
, B e R
mxm
, and C e R
nxm
. Suppose further that A and B
are asymptotically stable (a matrix is asymptotically stable if all its eigenvalues have real
parts in the open left halfplane). Then the (unique) solution of the Sylvester equation
can be written as
Proof: Since A and B are stable, A., (A) + A
;
 (B) ^ 0 for all i, j so there exists a unique
solution to(13.8 )by Theorem 13.18. Now integrate the differential equation X = AX + XB
(with X(0) = C) on [0, +00):
13.3. Application to Sylvester and Lyapunov Equations 145
Definition 13.17. Let Ci E jRn denote the columns ofC E jRnxm so that C = [CI, ... , C
m
].
: : ~ ~ : : ~ : : : d ~ ~ : : : O :[]::::fonned by "ocking the colunuu of C on top of
Using Definition 13.17, the linear system (13.5) can be rewritten in the form
[(1m ® A) + (B
T
® In)]vec(X) = vec(C). (13.6)
There exists a unique solution to (13.6) if and only if [(1m ® A) + (B
T
® In)] is nonsingular.
But [(1m ® A) + (B
T
® In)] is nonsingular if and only if it has no zero eigenvalues.
From Theorem 13.16, the eigenvalues of [(1m ® A) + (BT ® In)] are Ai + Mj, where
Ai E A(A), i E!!, and Mj E A(B), j E!!!.. We thus have the following theorem.
Theorem 13.1S. Let A E lR
nxn
, B E jRmxm, and C E jRnxm. Then the Sylvester equation
AX+XB=C
(13.7)
has a unique solution if and only if A and  B have no eigenvalues in common.
Sylvester equations of the form (13.3) (or symmetric Lyapunov equations of the form
(13.4» are generally not solved using the mn x mn "vee" formulation (13.6). The most
commonly preferred numerical algorithm is described in [2]. First A and B are reduced to
(real) Schur form. An equivalent linear system is then solved in which the triangular form
of the reduced A and B can be exploited to solve successively for the columns of a suitably
transformed solution matrix X. Assuming that, say, n :::: m, this algorithm takes only 0 (n
3
)
operations rather than the O(n
6
) that would be required by solving (13.6) directly with
Gaussian elimination. A further enhancement to this algorithm is available in [6] whereby
the larger of A or B is initially reduced only to upper Hessenberg rather than triangular
Schur form.
The next few theorems are classical. They culminate in Theorem 13.24, one of many
elegant connections between matrix theory and stability theory for differential equations.
Theorem 13.19. Let A E jRnxn, B E jRmxm, and C E jRnxm. Suppose further that A and B
are asymptotically stable (a matrix is asymptotically stable if all its eigenvalues have real
parts in the open left halfplane). Then the (unique) solution of the Sylvester equation
AX+XB=C (13.8)
can be written as
(13.9)
Proof: Since A and B are stable, Aj(A) + Aj(B) =I 0 for all i, j so there exists a unique
solution to (13.8) by Theorem 13.18. Now integrate the differential equation X = AX + X B
(with X(O) = C) on [0, +00):
lim XU)  X(O) = A roo X(t)dt + ([+00 X(t)dt) B.
IHoo 10 10
(13.10)
146 Chapter 13. Kronecker Products
Using the results of Section 11.1.6, it can be shown easily that lim e = lim e = 0.
r—> + oo t—v+oo
Hence, using the solution X ( t ) = e
tA
Ce
tB
from Theorem 11.6, we have that lim X ( t ) — 0.
/—<+3C
Substituting in (13.10) we have
Remark 13.20. An equivalent condition for the existence of a unique solution to AX +
XB = C is that [ J _
c
fi
] be similar to [ J _°
B
] (via the similarity [ J _* ]).
Theorem 13.21. Lef A, C e R"
x
". TTzen r/z e Lyapunov equation
has a unique solution if and only if A and —A
T
have no eigenvalues in common. If C is
symmetric and (13.11) has a unique solution, then that solution is symmetric.
Remark 13.22. If the matrix A e W
xn
has eigenvalues A.I ,...,!„, then — A
T
has eigen
values —A.], . . . , —k
n
. Thus, a sufficient condition that guarantees that A and — A
T
have
no common eigenvalues is that A be asymptotically stable. Many useful results exist con
cerning the relationship between stability and Lyapunov equations. Two basic results due
to Lyapunov are the following, the first of which follows immediately from Theorem 13.19.
Theorem 13.23. Let A,C e R"
x
" and suppose further that A is asymptotically stable.
Then the (unique) solution of the Lyapunov equation
can be written as
Theorem 13.24. A matrix A e R"
x
" is asymptotically stable if and only if there exists a
positive definite solution to the Lyapunov equation
Proof: Suppose A is asymptotically stable. By Theorems 13.21 and 13.23 a solution to
(13.13) exists and takes the form (13.12). Now let v be an arbitrary nonz ero vector in E".
Then
and so X
where C 
146 Chapter 13. Kronecker Products
Using the results of Section 11.1.6, it can be shown easily that lim e
lA
= lim e
lB
= O.
1>+00 1 .... +00
Hence, using the solution X (t) = elACe
lB
from Theorem 11.6, we have that lim X (t) = O.
t ~ + x
Substituting in (13.10) we have
C = A (1+
00
elACe
lB
dt) + (1+
00
elACe
lB
dt) B
{+oo
and so X = 1o elACe
lB
dt satisfies (13.8). o
Remark 13.20. An equivalent condition for the existence of a unique solution to AX +
X B = C is that [ ~ _C
B
] be similar to [ ~ _OB] (via the similarity [ ~ _ ~ ]).
Theorem 13.21. Let A, C E jRnxn. Then the Lyapunov equation
AX+XAT = C (13.11)
has a unique solution if and only if A and  A T have no eigenvalues in common. If C is
symmetric and ( 13.11) has a unique solution, then that solution is symmetric.
Remark 13.22. If the matrix A E jRn xn has eigenvalues )"" ... , An, then  AT has eigen
values AI, ... ,  An. Thus, a sufficient condition that guarantees that A and  A T have
no common eigenvalues is that A be asymptotically stable. Many useful results exist con
cerning the relationship between stability and Lyapunov equations. Two basic results due
to Lyapunov are the following, the first of which follows immediately from Theorem 13.19.
Theorem 13.23. Let A, C E jRnxn and suppose further that A is asymptotically stable.
Then the (unique) solution o/the Lyapunov equation
AX+XAT=C
can be written as
(13.12)
Theorem 13.24. A matrix A E jRnxn is asymptotically stable if and only if there exists a
positive definite solution to the Lyapunov equation
AX +XAT = C, (13.13)
where C = C
T
< O.
Proof: Suppose A is asymptotically stable. By Theorems l3.21 and l3.23 a solution to
(13.13) exists and takes the form (13.12). Now let v be an arbitrary nonzero vector in jRn.
Then
13.3. Application to Sylvester and Lyapunov Equations 147
Since — C > 0 and e
tA
is nonsingular for all t, the integrand above is positive. Hence
v
T
Xv > 0 and thus X is positive definite.
Conversely, suppose X = X
T
> 0 and let A. e A (A) with corresponding left eigen
vector y. Then
Since y
H
Xy > 0, we must have A + A = 2 Re A < 0 . Since A was arbitrary, A must be
asymptotically stable. D
Remark 13.25. The Lyapunov equation AX + XA
T
= C can also be written using the
vec notation in the equivalent form
A subtle point arises when dealing with the "dual" Lyapunov equation A
T
X + XA = C.
The equivalent "vec form" of this equation is
However, the complexvalued equation A
H
X + XA = C is equivalent to
The vec operator has many useful properties, most of which derive from one key
result.
Theorem 13.26. For any three matrices A, B, and C for which the matrix product ABC is
defined,
Proof: The proof follows in a fairly straightforward fashion either directly from the defini
tions or from the fact that vec(;t;y
r
) = y <8 > x. D
An immediate application is to the derivation of existence and uniqueness conditions
for the solution of the simple Sylvesterlike equation introduced in Theorem 6.11.
Theorem 13.27. Let A e R
mxn
, B e R
px(}
, and C e R
mxq
. Then the equation
has a solution X e R.
nxp
if and only ifAA
+
CB
+
B = C, in which case the general solution
is of the form
where Y e R
nxp
is arbitrary. The solution of (13.14) is unique if BB
+
® A
+
A = I.
Proof: Write (13.14) as
13.3. Application to Sylvester and Lyapunov Equations 147
Since C > 0 and etA is nonsingular for all t, the integrand above is positive. Hence
v
T
Xv > 0 and thus X is positive definite.
Conversely, suppose X = XT > 0 and let A E A(A) with corresponding left eigen
vector y. Then
0> yHCy = yH AXy + yHXAT Y
= (A + I)yH Xy.
Since yH Xy > 0, we must have A + I = 2 Re A < O. Since A was arbitrary, A must be
asymptotically stable. D
Remark 13.25. The Lyapunov equation AX + X A T = C can also be written using the
vec notation in the equivalent form
[(/ ® A) + (A ® l)]vec(X) = vec(C).
A subtle point arises when dealing with the "dual" Lyapunov equation A T X + X A = C.
The equivalent "vec form" of this equation is
[(/ ® AT) + (AT ® l)]vec(X) = vec(C).
However, the complexvalued equation A H X + X A = C is equivalent to
[(/ ® AH) + (AT ® l)]vec(X) = vec(C).
The vec operator has many useful properties, most of which derive from one key
result.
Theorem 13.26. For any three matrices A, B, and C for which the matrix product ABC is
defined,
vec(ABC) = (C
T
® A)vec(B).
Proof: The proof follows in a fairly straightforward fashion either directly from the defini
tions or from the fact that vec(xyT) = y ® x. D
An immediate application is to the derivation of existence and uniqueness conditions
for the solution of the simple Sylvesterlike equation introduced in Theorem 6.11.
Theorem 13.27. Let A E jRrnxn, B E jRPxq, and C E jRrnxq. Then the equation
AXB =C (13.14)
has a solution X E jRn x p if and only if A A + C B+ B = C, in which case the general solution
is of the form
(13.15)
where Y E jRnxp is arbitrary. The solution of (13. 14) is unique if BB+ ® A+ A = [.
Proof: Write (13.14) as
(B
T
® A)vec(X) = vec(C) (13.16)
148 Chapter 13. Kronecker Products
by Theorem 13.26. This "vector equation" has a solution if and only if
It is a straightforward exercise to show that (M ® N)
+
= M
+
< 8> N
+
. Thus, (13.16) has a
solution if and only if
and hence if and only if AA
+
CB
+
B = C.
The general solution of (13.16) is then given by
where Y is arbitrary. This equation can then be rewritten in the form
or, using Theorem 13.26,
The solution is clearly unique if BB
+
< 8> A
+
A = I. D
EXERCISES
1. For any two matrices A and B for which the indicated matrix product is defined,
show that (vec(A))
r
(vec(fl)) = Tr(A
r
£). In particular, if B e Rn
xn
, then Tr(fl) =
vec(/J
r
vec(fl).
2. Prove that for all matrices A and B, (A ® B)
+
= A
+
® B
+
.
3. Show that the equation AX B = C has a solution for all C if A has full row rank and
B has full column rank. Also, show that a solution, if it exists, is unique if A has full
column rank and B has full row rank. What is the solution in this case?
4. Show that the general linear equation
can be written in the form
148 Chapter 1 3. Kronecker Products
by Theorem 13.26. This "vector equation" has a solution if and only if
(B
T
® A)(B
T
® A)+ vec(C) = vec(C).
It is a straightforward exercise to show that (M ® N) + = M+ ® N+. Thus, (13.16) has a
solution if and only if
vec(C) = (B
T
® A)«B+{ ® A+)vec(C)
= [(B+ B{ ® AA+]vec(C)
= vec(AA +C B+ B)
and hence if and only if AA + C B+ B = C.
The general solution of (13 .16) is then given by
vec(X) = (B
T
® A) + vec(C) + [I  (B
T
® A) + (B
T
® A)]vec(Y),
where Y is arbitrary. This equation can then be rewritten in the form
vec(X) = «B+{ ® A+)vec(C) + [I  (BB+{ ® A+ A]vec(y)
or, using Theorem 13.26,
The solution is clearly unique if B B+ ® A + A = I. 0
EXERCISES
I. For any two matrices A and B for which the indicated matrix product is defined,
show that (vec(A»T (vec(B» = Tr(A
T
B). In particular, if B E lR
nxn
, then Tr(B) =
vec(Inl vec(B).
2. Prove that for all matrices A and B, (A ® B)+ = A+ ® B+.
3. Show that the equation AX B = C has a solution for all C if A has full row rank and
B has full column rank. Also, show that a solution, if it exists, is unique if A has full
column rank and B has full row rank. What is the solution in this case?
4. Show that the general linear equation
k
LAiXB
i
=C
i=1
can be written in the form
[BT ® AI + ... + B[ ® Ak]vec(X) = vec(C).
Exercises 149
5. Let x € M
m
and y e E". Show that *
r
< 8 > y = yx
T
.
6. Let A e R"
xn
and £ e M
mxm
.
(a) Show that A < 8 > B
2
= A
2
£
2
.
(b) What is A ® B\\
F
in terms of the Frobenius norms of A and B? Justify your
answer carefully.
(c) What is the spectral radius of A < 8 > B in terms of the spectral radii of A and B?
Justify your answer carefully.
7. Let A, 5 eR"
x
".
(a) Show that (/ ® A)* = / < 8 > A* and (fl < g > /)* = B
fc
® / for all integ ers &.
(b) Show that e
l
®
A
= I < g ) e
A
and e
5
®
7
= e
B
(g ) /.
(c) Show that the matrices / (8 ) A and B ® / commute.
(d) Show that
(Note: This result would look a little "nicer" had we defined our Kronecker
sum the other way around. However, Definition 13.14 is conventional in the
literature.)
8 . Consider the Lyapunov matrix equation (13.11) with
and C the symmetric matrix
Clearly
is a symmetric solution of the equation. Verify that
is also a solution and is nonsymmetric. Explain in lig ht of Theorem 13.21.
9. Block Triangularization: Let
where A e Rn
xn
and D e R
mxm
. It is desired to find a similarity transformation
of the form
such that T
l
ST is block upper triang ular.
Exercises 149
5. Let x E ]Rm and y E ]Rn. Show that x T ® y = y X T •
(a) Show that IIA ® BII2 = IIAII2I1Blb.
(b) What is II A ® B II F in terms of the Frobenius norms of A and B? Justify your
answer carefully.
(c) What is the spectral radius of A ® B in terms of the spectral radii of A and B?
Justify your answer carefully.
7. Let A, B E ]Rnxn.
(a) Show that (l ® A)k = I ® Ak and (B ® Il = Bk ® I for all integers k.
(b) Show that el®A = I ® e
A
and eB®1 = e
B
® I.
(c) Show that the matrices I ® A and B ® I commute.
(d) Show that
e
AEIlB
= eU®A)+(B®l) = e
B
® e
A
.
(Note: This result would look a little "nicer" had we defined our Kronecker
sum the other way around. However, Definition 13.14 is conventional in the
literature.)
8. Consider the Lyapunov matrix equation (13.11) with
A = [ ~ _ ~ ]
and C the symmetric matrix
[ ~
Clearly
Xs = [ ~ ~ ]
is a symmetric solution of the equation. Verify that
Xns = [ _ ~ ~ ]
is also a solution and is nonsymmetric. Explain in light of Theorem 13.21.
9. Block Triangularization: Let
where A E ]Rn xn and D E ]Rm xm. It is desired to find a similarity transformation
of the form
T = [ ~ ~ J
such that T
1
ST is block upper triangular.
150 Chapter 13. Kronecker Products
(a) Show that S is similar to
if X satisfies the socalled matrix Riccati equation
(b) Formulate a similar result for block lower triangularization of S.
10. Block Diagonalization: Let
where A e Rn
xn
and D E R
mxm
. It is desired to find a similarity transformation of
the form
such that T
l
ST is block diagonal,
(a) Show that S is similar to
if Y satisfies the Sylvester equation
(b) Formulate a similar result for block diagonalization of
150 Chapter 13. Kronecker Products
(a) Show that S is similar to
[
A +OBX B ]
DXB
if X satisfies the socalled matrix Riccati equation
CXA+DXXBX=O.
(b) Fonnulate a similar result for block lower triangularization of S.
to. Block Diagonalization: Let
S= [ ~ ~ l
where A E jRnxn and D E jRmxm. It is desired to find a similarity transfonnation of
the fonn
T = [ ~ ~ ]
such that T
1
ST is block diagonal.
(a) Show that S is similar to
if Y satisfies the Sylvester equation
AY  YD = B.
(b) Fonnulate a similar result for block diagonalization of
Bibliography
[1] Albert, A., Regression and the MoorePenrose Pseudoinverse, Academic Press, New
York, NY, 1972.
[2] Bartels, R.H., and G.W. Stewart, "Algorithm 432. Solution of the Matrix Equation
AX + XB = C," Cornm. ACM, 15(1972), 820826.
[3] Bellman, R., Introduction to Matrix Analysis, Second Edition, McGrawHill, New
York, NY, 1970.
[4] Bjorck, A., Numerical Methods for Least Squares Problems, SIAM, Philadelphia, PA,
1996.
[5] Cline, R.E., "Note on the Generalized Inverse of the Product of Matrices," SIAM Rev.,
6(1964), 57–58.
[6] Golub, G.H., S. Nash, and C. Van Loan, "A HessenbergSchur Method for the Problem
AX + XB = C," IEEE Trans. Autom. Control, AC24(1979), 909913.
[7] Golub, G.H., and C.F. Van Loan, Matrix Computations, Third Edition, Johns Hopkins
Univ. Press, Baltimore, MD, 1996.
[8] Golub, G.H., and J.H. Wilkinson, "IllConditioned Eigensystems and the Computation
of the Jordan Canonical Form," SIAM Rev., 18(1976), 578619.
[9] Greville, T.N.E., "Note on the Generalized Inverse of a Matrix Product," SIAM Rev.,
8(1966), 518–521 [Erratum, SIAM Rev., 9(1967), 249].
[10] Halmos, PR., FiniteDimensional Vector Spaces, Second Edition, Van Nostrand,
Princeton, NJ, 1958.
[11] Higham, N.J., Accuracy and Stability of'Numerical Algorithms, Second Edition, SIAM,
Philadelphia, PA, 2002.
[12] Horn, R.A., and C.R. Johnson, Matrix Analysis, Cambridge Univ. Press, Cambridge,
UK, 1985.
[13] Horn, R.A., and C.R. Johnson, Topics in Matrix Analysis, Cambridge Univ. Press,
Cambridge, UK, 1991.
151
Bibliography
[1] Albert, A., Regression and the MoorePenrose Pseudoinverse, Academic Press, New
York, NY, 1972.
[2] Bartels, RH., and G.w. Stewart, "Algorithm 432. Solution of the Matrix Equation
AX + X B = C," Comm. ACM, 15(1972),820826.
[3] Bellman, R, Introduction to Matrix Analysis, Second Edition, McGrawHill, New
York, NY, 1970.
[4] Bjorck, A., Numerical Methodsfor Least Squares Problems, SIAM, Philadelphia, PA,
1996.
[5] Cline, R.E., "Note on the Generalized Inverse of the Product of Matrices," SIAM Rev.,
6(1964),5758.
[6] Golub, G.H., S. Nash, and C. Van Loan, "A HessenbergSchur Method for the Problem
AX + X B = C," IEEE Trans. Autom. Control, AC24(1979), 909913.
[7] Golub, G.H., and c.F. Van Loan, Matrix Computations, Third Edition, Johns Hopkins
Univ. Press, Baltimore, MD, 1996.
[8] Golub, G.H., and lH. Wilkinson, "IllConditioned Eigensystems and the Computation
ofthe Jordan Canonical Form," SIAM Rev., 18(1976),578619.
[9] Greville, T.N.E., "Note on the Generalized Inverse of a Matrix Product," SIAM Rev.,
8(1966),518521 [Erratum, SIAM Rev., 9(1967), 249].
[10] Halmos, P.R, FiniteDimensional Vector Spaces, Second Edition, Van Nostrand,
Princeton, NJ, 1958.
[11] Higham, N.1., Accuracy and Stability of Numerical Algorithms, Second Edition, SIAM,
Philadelphia, PA, 2002.
[12] Hom, RA., and C.R. Johnson, Matrix Analysis, Cambridge Univ. Press, Cambridge,
UK, 1985.
[13] Hom, RA., and C.R. Johnson, Topics in Matrix Analysis, Cambridge Univ. Press,
Cambridge, UK, 1991.
151
152 Bibliography
[14] Kenney, C, and A.J. Laub, "Controllability and Stability Radii for Companion Form
Systems," Math, of Control, Signals, and Systems, 1(1988), 361390.
[15] Kenney, C.S., and A.J. Laub, "The Matrix Sign Function," IEEE Trans. Autom. Control,
40(1995), 1330–1348.
[16] Lancaster, P., and M. Tismenetsky, The Theory of Matrices, Second Edition with
Applications, Academic Press, Orlando, FL, 1985.
[17] Laub, A.J., "A Schur Method for Solving Algebraic Riccati Equations," IEEE Trans..
Autom. Control, AC24( 1979), 913–921.
[18] Meyer, C.D., Matrix Analysis and Applied Linear Algebra, SIAM, Philadelphia, PA,
2000.
[19] Moler, C.B., and C.F. Van Loan, "Nineteen Dubious Ways to Compute the Exponential
of a Matrix," SIAM Rev., 20(1978), 801836.
[20] Noble, B., and J.W. Daniel, Applied Linear Algebra, Third Edition, PrenticeHall,
Englewood Cliffs, NJ, 1988.
[21] Ortega, J., Matrix Theory. A Second Course, Plenum, New York, NY, 1987.
[22] Penrose, R., "A Generalized Inverse for Matrices," Proc. Cambridge Philos. Soc.,
51(1955), 406–413.
[23] Stewart, G. W., Introduction to Matrix Computations, Academic Press, New York, NY,
1973.
[24] Strang, G., Linear Algebra and Its Applications, Third Edition, Harcourt Brace
Jovanovich, San Diego, CA, 1988.
[25] Watkins, D.S., Fundamentals of Matrix Computations, Second Edition, Wiley
Interscience, New York, 2002.
[26] Wonham, W.M., Linear Multivariable Control. A Geometric Approach, Third Edition,
SpringerVerlag, New York, NY, 1985.
152 Bibliography
[14] Kenney, C., and AJ. Laub, "Controllability and Stability Radii for Companion Fonn
Systems," Math. of Control, Signals, and Systems, 1(1988),361390.
[15] Kenney, C.S., andAJ. Laub, "The Matrix Sign Function," IEEE Trans. Autom. Control,
40(1995),13301348.
[16] Lancaster, P., and M. Tismenetsky, The Theory of Matrices, Second Edition with
Applications, Academic Press, Orlando, FL, 1985.
[17] Laub, AJ., "A Schur Method for Solving Algebraic Riccati Equations," IEEE Trans ..
Autom. Control, AC24( 1979), 913921.
[18] Meyer, C.D., Matrix Analysis and Applied Linear Algebra, SIAM, Philadelphia, PA,
2000.
[19] Moler, c.B., and c.P. Van Loan, "Nineteen Dubious Ways to Compute the Exponential
of a Matrix," SIAM Rev., 20(1978),801836.
[20] Noble, B., and J.w. Daniel, Applied Linear Algebra, Third Edition, PrenticeHall,
Englewood Cliffs, NJ, 1988.
[21] Ortega, J., Matrix Theory. A Second Course, Plenum, New York, NY, 1987.
[22] Pemose, R., "A Generalized Inverse for Matrices," Proc. Cambridge Philos. Soc.,
51(1955),406413.
[23] Stewart, G.W., Introduction to Matrix Computations, Academic Press, New York, NY,
1973.
[24] Strang, G., Linear Algebra and Its Applications, Third Edition, Harcourt Brace
Jovanovich, San Diego, CA, 1988.
[25] Watkins, D.S., Fundamentals of Matrix Computations, Second Edition, Wiley
Interscience, New York, 2002.
[26] Wonham, W.M., Linear Multivariable Control. A Geometric Approach, Third Edition,
SpringerVerlag, New York, NY, 1985.
Index
A–invariant subspace, 89
matrix characterization of, 90
algebraic multiplicity, 76
angle between vectors, 58
basis, 11
natural, 12
block matrix, 2
definiteness of, 104
diagonalization, 150
inverse of, 48
LU factorization, 5
triangularization, 149
C", 1
(pmxn i
(p/nxn 1
Cauchy–Bunyakovsky–Schwarz Inequal
ity, 58
Cayley–Hamilton Theorem, 75
chain
of eigenvectors, 87
characteristic polynomial
of a matrix, 75
of a matrix pencil, 125
Cholesky factorization, 101
co–domain, 17
column
rank, 23
vector, 1
companion matrix
inverse of, 105
pseudoinverse of, 106
singular values of, 106
singular vectors of, 106
complement
of a subspace, 13
orthogonal, 21
congruence, 103
conjugate transpose, 2
contragredient transformation, 137
controllability, 46
defective, 76
degree
of a principal vector, 85
determinant, 4
of a block matrix, 5
properties of, 4–6
dimension, 12
direct sum
of subspaces, 13
domain, 17
eigenvalue, 75
invariance under similarity transfor
mation, 81
elementary divisors, 84
equivalence transformation, 95
orthogonal, 95
unitary, 95
equivalent generalized eigenvalue prob
lems, 127
equivalent matrix pencils, 127
exchange matrix, 39, 89
exponential of a Jordan block, 91, 115
exponential of a matrix, 81, 109
computation of, 114–118
inverse of, 110
properties of, 109–112
field, 7
four fundamental subspaces, 23
function of a matrix, 81
generalized eigenvalue, 125
generalized real Schur form, 128
153
Index
Ainvariant subspace, 89
matrix characterization of, 90
algebraic multiplicity, 76
angle between vectors, 58
basis, 11
natural, 12
block matrix, 2
definiteness of, 104
diagonalization, 150
inverse of, 48
LV factorization, 5
triangularization, 149
en, 1
e
mxn
, 1
e ~ x n , 1
CauchyBunyakovskySchwarz Inequal
ity,58
CayleyHamilton Theorem, 75
chain
of eigenvectors, 87
characteristic polynomial
of a matrix, 75
of a matrix pencil, 125
Cholesky factorization, 101
codomain, 17
column
rank, 23
vector, 1
companion matrix
inverse of, 105
pseudoinverse of, 106
singular values of, 106
singular vectors of, 106
complement
of a subspace, 13
orthogonal, 21
153
congruence, 103
conjugate transpose, 2
contragredient transformation, 137
controllability, 46
defective, 76
degree
of a principal vector, 85
determinant, 4
of a block matrix, 5
properties of, 46
dimension, 12
direct sum
of subspaces, 13
domain, 17
eigenvalue, 75
invariance under similarity transfor
mation,81
elementary divisors, 84
equivalence transformation, 95
orthogonal, 95
unitary, 95
equivalent generalized eigenvalue prob
lems, 127
equivalent matrix pencils, 127
exchange matrix, 39, 89
exponential of a Jordan block, 91, 115
exponential of a matrix, 81, 109
computation of, 114118
inverse of, 110
properties of, 109112
field, 7
four fundamental subspaces, 23
function of a matrix, 81
generalized eigenvalue, 125
generalized real Schur form, 128
154 Index
generalized Schur form, 127
generalized singular value decomposition,
134
geometric multiplicity, 76
Holder Inequality, 58
Hermitian transpose, 2
higher–order difference equations
conversion to first–order form, 121
higher–order differential equations
conversion to first–order form, 120
higher–order eigenvalue problems
conversion to first–order form, 136
i, 2
idempotent, 6, 51
identity matrix, 4
inertia, 103
initial–value problem, 109
for higher–order equations, 120
for homogeneous linear difference
equations, 118
for homogeneous linear differential
equations, 112
for inhomogeneous linear difference
equations, 119
for inhomogeneous linear differen
tial equations, 112
inner product
complex, 55
complex Euclidean, 4
Euclidean, 4, 54
real, 54
usual, 54
weighted, 54
invariant factors, 84
inverses
of block matrices, 47
7, 2
Jordan block, 82
Jordan canonical form (JCF), 82
Kronecker canonical form (KCF), 129
Kronecker delta, 20
Kronecker product, 139
determinant of, 142
eigenvalues of, 141
eigenvectors of, 141
products of, 140
pseudoinverse of, 148
singular values of, 141
trace of, 142
transpose of, 140
Kronecker sum, 142
eigenvalues of, 143
eigenvectors of, 143
exponential of, 149
leading principal submatrix, 100
left eigenvector, 75
left generalized eigenvector, 125
left invertible, 26
left nullspace, 22
left principal vector, 85
linear dependence, 10
linear equations
characterization of all solutions, 44
existence of solutions, 44
uniqueness of solutions, 45
linear independence, 10
linear least squares problem, 65
general solution of, 66
geometric solution of, 67
residual of, 65
solution via QR factorization, 71
solution via singular value decom
position, 70
statement of, 65
uniqueness of solution, 66
linear regression, 67
linear transformation, 17
co–domain of, 17
composition of, 19
domain of, 17
invertible, 25
left invertible, 26
matrix representation of, 18
nonsingular, 25
nullspace of, 20
154
generalized Schur form, 127
generalized singular value decomposition,
134
geometric multiplicity, 76
Holder Inequality, 58
Hermitian transpose, 2
higherorder difference equations
conversion to firstorder form, 121
higherorder differential equations
conversion to firstorder form, 120
higherorder eigenvalue problems
conversion to firstorder form, 136
i,2
idempotent, 6, 51
identity matrix, 4
inertia, 103
initialvalue problem, 109
for higherorder equations, 120
for homogeneous linear difference
equations, 118
for homogeneous linear differential
equations, 112
for inhomogeneous linear difference
equations, 119
for inhomogeneous linear differen
tial equations, 112
inner product
complex, 55
complex Euclidean, 4
Euclidean, 4, 54
real, 54
usual, 54
weighted, 54
invariant factors, 84
inverses
of block matrices, 47
j,2
Jordan block, 82
Jordan canonical form (JCF), 82
Kronecker canonical form (KCF), 129
Kronecker delta, 20
Kronecker product, 139
determinant of, 142
eigenvalues of, 141
eigenvectors of, 141
products of, 140
pseudoinverse of, 148
singUlar values of, 141
trace of, 142
transpose of, 140
Kronecker sum, 142
eigenvalues of, 143
eigenvectors of, 143
exponential of, 149
leading principal submatrix, 100
left eigenvector, 75
left generalized eigenvector, 125
left invertible. 26
left nullspace, 22
left principal vector, 85
linear dependence, 10
linear equations
Index
characterization of all solutions, 44
existence of solutions, 44
uniqueness of solutions, 45
linear independence, 10
linear least squares problem, 65
general solution of, 66
geometric solution of, 67
residual of, 65
solution via QR factorization, 71
solution via singular value decom
position, 70
statement of, 65
uniqueness of solution, 66
linear regression, 67
linear transformation, 17
codomain of, 17
composition of, 19
domain of, 17
invertible, 25
left invertible. 26
matrix representation of, 18
nonsingular, 25
nulls pace of, 20
Index 155
range of, 20
right invertible, 26
LU factorization, 6
block, 5
Lyapunov differential equation, 113
Lyapunov equation, 144
and asymptotic stability, 146
integral form of solution, 146
symmetry of solution, 146
uniqueness of solution, 146
matrix
asymptotically stable, 145
best rank k approximation to, 67
companion, 105
defective, 76
definite, 99
derogatory, 106
diagonal, 2
exponential, 109
Hamiltonian, 122
Hermitian, 2
Householder, 97
indefinite, 99
lower Hessenberg, 2
lower triangular, 2
nearest singular matrix to, 67
nilpotent, 115
nonderogatory, 105
normal, 33, 95
orthogonal, 4
pentadiagonal, 2
quasi–upper–triangular, 98
sign of a, 91
square root of a, 101
symmetric, 2
symplectic, 122
tridiagonal, 2
unitary, 4
upper Hessenberg, 2
upper triangular, 2
matrix exponential, 81, 91, 109
matrix norm, 59
1–.60
2–, 60
oo–, 60
/?–, 60
consistent, 61
Frobenius, 60
induced by a vector norm, 61
mixed, 60
mutually consistent, 61
relations among, 61
Schatten, 60
spectral, 60
subordinate to a vector norm, 61
unitarily invariant, 62
matrix pencil, 125
equivalent, 127
reciprocal, 126
regular, 126
singular, 126
matrix sign function, 91
minimal polynomial, 76
monic polynomial, 76
Moore–Penrose pseudoinverse, 29
multiplication
matrix–matrix, 3
matrix–vector, 3
Murnaghan–Wintner Theorem, 98
negative definite, 99
negative invariant subspace, 92
nonnegative definite, 99
criteria for, 100
nonpositive definite, 99
norm
induced, 56
natural, 56
normal equations, 65
normed linear space, 57
nullity, 24
nullspace, 20
left, 22
right, 22
observability, 46
one–to–one (1–1), 23
conditions for, 25
onto, 23
conditions for, 25
Index
range of, 20
right invertible, 26
LV factorization, 6
block,5
Lyapunov differential equation, 113
Lyapunov equation, 144
and asymptotic stability, 146
integral form of solution, 146
symmetry of solution, 146
uniqueness of solution, 146
matrix
asymptotically stable, 145
best rank k approximation to, 67
companion, 105
defective, 76
definite, 99
derogatory, 106
diagonal,2
exponential, 109
Hamiltonian, 122
Hermitian, 2
Householder, 97
indefinite, 99
lower Hessenberg, 2
lower triangular, 2
nearest singular matrix to, 67
nilpotent, 115
nonderogatory, 105
normal, 33, 95
orthogonal, 4
pentadiagonal, 2
quasiuppertriangular, 98
sign of a, 91
square root of a, 10 1
symmetric, 2
symplectic, 122
tridiagonal, 2
unitary, 4
upper Hessenberg, 2
upper triangular, 2
matrix exponential, 81, 91, 109
matrix norm, 59
1,60
2,60
00,60
p,60
consistent, 61
Frobenius, 60
induced by a vector norm, 61
mixed,60
mutually consistent, 61
relations among, 61
Schatten,60
spectral, 60
155
subordinate to a vector norm, 61
unitarily invariant, 62
matrix pencil, 125
equivalent, 127
reciprocal, 126
regular, 126
singUlar, 126
matrix sign function, 91
minimal polynomial, 76
monic polynomial, 76
MoorePenrose pseudoinverse, 29
multiplication
matrixmatrix, 3
matrixvector, 3
MumaghanWintner Theorem, 98
negative definite, 99
negative invariant subspace, 92
nonnegative definite, 99
criteria for, 100
nonpositive definite, 99
norm
induced,56
natural,56
normal equations, 65
normed linear space, 57
nullity, 24
nullspace,20
left, 22
right, 22
observability, 46
onetoone (11), 23
conditions for, 25
onto, 23
conditions for, 25
156 Index
orthogonal
complement, 21
matrix, 4
projection, 52
subspaces, 14
vectors, 4, 20
orthonormal
vectors, 4, 20
outer product, 19
and Kronecker product, 140
exponential of, 121
pseudoinverse of, 33
singular value decomposition of, 41
various matrix norms of, 63
pencil
equivalent, 127
of matrices, 125
reciprocal, 126
regular, 126
singular, 126
Penrose theorem, 30
polar factorization, 41
polarization identity, 57
positive definite, 99
criteria for, 100
positive invariant subspace, 92
power (Kth) of a Jordan block, 120
powers of a matrix
computation of, 119–120
principal submatrix, 100
projection
oblique, 51
on four fundamental subspaces, 52
orthogonal, 52
pseudoinverse, 29
four Penrose conditions for, 30
of a full–column–rank matrix, 30
of a full–row–rank matrix, 30
of a matrix product, 32
of a scalar, 31
of a vector, 31
uniqueness, 30
via singular value decomposition, 38
Pythagorean Identity, 59
Q –orthogonality, 55
QR factorization, 72
T O " 1
IK , 1
M
mxn i
, 1
M
mxn 1
r '
M nxn 1
n ' '
range, 20
range inclusion
characterized by pseudoinverses, 33
rank, 23
column, 23
row, 23
rank–one matrix, 19
rational canonical form, 104
Rayleigh quotient, 100
reachability, 46
real Schur canonical form, 98
real Schur form, 98
reciprocal matrix pencil, 126
reconstructibility, 46
regular matrix pencil, 126
residual, 65
resolvent, 111
reverse–order identity matrix, 39, 89
right eigenvector, 75
right generalized eigenvector, 125
right invertible, 26
right nullspace, 22
right principal vector, 85
row
rank, 23
vector, 1
Schur canonical form, 98
generalized, 127
Schur complement, 6, 48, 102, 104
Schur T heorem, 98
Schur vectors, 98
second–order eigenvalue problem, 135
conversion to first–order form, 135
Sherman–Morrison–Woodbury formula,
48
signature, 103
similarity transformation, 95
and invariance of eigenvalues, h
156
orthogonal
complement, 21
matrix, 4
projection, 52
subspaces, 14
vectors, 4, 20
orthonormal
vectors, 4, 20
outer product, 19
and Kronecker product, 140
exponential of, 121
pseudoinverse of, 33
singular value decomposition of, 41
various matrix norms of, 63
pencil
equivalent, 127
of matrices, 125
reciprocal, 126
regular, 126
singular, 126
Penrose theorem, 30
polar factorization, 41
polarization identity, 57
positive definite, 99
criteria for, 100
positive invariant subspace, 92
power (kth) of a Jordan block, 120
powers of a matrix
computation of, 119120
principal submatrix, 100
projection
oblique, 51
on four fundamental subspaces, 52
orthogonal, 52
pseudoinverse, 29
four Penrose conditions for, 30
of a fullcolumnrank matrix, 30
of a fullrowrank matrix, 30
of a matrix product, 32
of a scalar, 31
of a vector, 31
uniqueness, 30
via singular value decomposition, 38
Pythagorean Identity, 59
Qorthogonality, 55
QR factorization, 72
JR.n, I
JR.mxn,1
1
I
range, 20
range inclusion
Index
characterized by pseudoinverses, 33
rank, 23
column, 23
row, 23
rankone matrix, 19
rational canonical form, 104
Rayleigh quotient, 100
reachability, 46
real Schur canonical form, 98
real Schur form, 98
reciprocal matrix pencil, 126
reconstructibility, 46
regular matrix pencil, 126
residual, 65
resolvent, III
reverseorder identity matrix, 39, 89
right eigenvector, 75
right generalized eigenvector, 125
right invertible, 26
right nullspace, 22
right principal vector, 85
row
rank, 23
vector, I
Schur canonical form, 98
generalized, 127
Schur complement, 6, 48, 102, 104
Schur Theorem, 98
Schur vectors, 98
secondorder eigenvalue problem, 135
conversion to firstorder form, 135
ShermanMorrisonWoodbury formula,
48
signature, 103
similarity transformation, 95
and invariance of eigenvalues, 81
Index 157
orthogonal, 95
unitary, 95
simple eigenvalue, 85
simultaneous diagonalization, 133
via singular value decomposition, 134
singular matrix pencil, 126
singular value decomposition (SVD), 35
and bases for four fundamental
subspaces, 38
and pseudoinverse, 38
and rank, 38
characterization of a matrix factor
ization as, 37
dyadic expansion, 38
examples, 37
full vs. compact, 37
fundamental theorem, 35
nonuniqueness, 36
singular values, 36
singular vectors
left, 36
right, 36
span, 11
spectral radius, 62, 107
spectral representation, 97
spectrum, 76
subordinate norm, 61
subspace, 9
A–invariant, 89
deflating, 129
reducing, 130
subspaces
complements of, 13
direct sum of, 13
equality of, 10
four fundamental, 23
intersection of, 13
orthogonal, 14
sum of, 13
Sylvester differential equation, 113
Sylvester equation, 144
integral form of solution, 145
uniqueness of solution, 145
Sylvester's Law of Inertia, 103
symmetric generalized eigenvalue prob
lem, 131
total least squares, 68
trace, 6
transpose, 2
characterization by inner product, 54
of a block matrix, 2
triangle inequality
for matrix norms, 59
for vector norms, 57
unitarily invariant
matrix norm, 62
vector norm, 58
variation of parameters, 112
vec
of a matrix, 145
of a matrix product, 147
vector norm, 57
l–, 57
2–, 57
oo–, 57
P–, 51
equivalent, 59
Euclidean, 57
Manhattan, 57
relations among, 59
unitarily invariant, 58
weighted, 58
weighted p–, 58
vector space, 8
dimension of, 12
vectors, 1
column, 1
linearly dependent, 10
linearly independent, 10
orthogonal, 4, 20
orthonormal, 4, 20
row, 1
span of a set of, 11
zeros
of a linear dynamical system, 130
Index
orthogonal, 95
unitary, 95
simple eigenvalue, 85
simultaneous diagonalization, 133
via singular value decomposition, 134
singular matrix pencil, 126
singular value decomposition (SVD), 35
and bases for four fundamental
subspaces, 38
and pseudoinverse, 38
and rank, 38
characterization of a matrix factor
ization as, 37
dyadic expansion, 38
examples, 37
full vs. compact, 37
fundamental theorem, 35
nonuniqueness, 36
singular values, 36
singular vectors
left, 36
right, 36
span, 11
spectral radius, 62, 107
spectral representation, 97
spectrum, 76
subordinate norm, 61
subspace, 9
Ainvariant, 89
deflating, 129
reducing, 130
subspaces
complements of, 13
direct sum of, 13
equality of, 10
four fundamental, 23
intersection of, 13
orthogonal, 14
sum of, 13
Sylvester differential equation, 113
Sylvester equation, 144
integral form of solution, 145
uniqueness of solution, 145
157
Sylvester's Law of Inertia, 103
symmetric generalized eigenvalue prob
lem,131
total least squares, 68
trace, 6
transpose, 2
characterization by inner product, 54
of a block matrix, 2
triangle inequality
for matrix norms, 59
for vector norms, 57
unitarily invariant
matrix norm, 62
vector norm, 58
variation of parameters, 112
vec
of a matrix, 145
of a matrix product, 147
vector norm, 57
1,57
2,57
00,57
p,57
equivalent, 59
Euclidean, 57
Manhattan, 57
relations among, 59
unitarily invariant, 58
weighted, 58
weighted p, 58
vector space, 8
dimension of, 12
vectors, 1
column, 1
linearly dependent, 10
linearly independent, 10
orthogonal, 4, 20
orthonormal, 4, 20
row, 1
span of a set of, 11
zeros
of a linear dynamical system, 130
Matrix Analysis Matrix Analysis
for Scientists & Engineers for Scientists & Engineers
This page intentionally left blank This page intentionally left blank
. Laub University of California Davis. California slam. Laub Alan J.Matrix Analysis Matrix Analysis for Scientists & Engineers for Scientists & Engineers Alan J.
5086477000. 10987654321 10987654321 All rights reserved. cm. Inc. Matrices. Matrices.. p. 3600 University City Science Center.. 1948Laub. PA 191042688.) 1. Inc. For MATLAB product information.lam. 3 Apple Hill Drive.L38 2005 512.mathworks. 3 Apple Hill Drive. Fax: 5086477101. Inc. QA188138 2005 QA 188.9'434dc22 2004059962 2004059962 About the cover: The original artwork featured on the cover was created by freelance About the cover: The original artwork featured on the cover was created by freelance artist Aaron Tallon of Philadelphia. please contact The MathWorks. www. Matrix analysis for scientists and engineers / Alan J. Philadelphia. MA 017602098 USA.. Laub. Library of Congress CataloginginPublication Data Library of Congress CataloginginPublication Data Laub. 2. Mathematical analysis. I. Inc. please contact The MathWorks. Includes bibliographical references and index. No part of this book may be reproduced. Alan J. Mathcad is a registered trademark of Mathsoft Engineering & Education. 3600 University City Science Center. info@mathworks. 1948Matrix analysis for scientists and engineers / Alan J. Title. MATLAB® is a registered trademark of The MathWorks. stored. Natick. I. 2005 by the Society for Industrial and Applied Mathematics. 1.com. • slam is a registered trademark. info@mathworks. Inc.. or transmitted in any manner without the written permission may be reproduced. No part of this book All rights reserved. Inc. Title.com 5086477000. PA. For information. Mathematical analysis. 2. wwwmathworks. cm. artist Aaron Tallon of Philadelphia.9'434—dc22 512.com. Inc. Includes bibliographical references and index. Mathematics. p. PA 191042688. For information. MATLAB® is a registered trademark of The MathWorks. Alan J. ISBN 0898715768 (pbk. Mathcad is a registered trademark of Mathsoft Engineering & Education. For MATLAB product information.com Mathematica is a registered trademark of Wolfram Research. Printed in the United States of America.Copyright Copyright © 2005 by the Society for Industrial and Applied Mathematics. or transmitted in any manner without the written permission of the publisher. Natick. Fax: 5086477101. Mathematica is a registered trademark of Wolfram Research. Used by permission. PA. stored.. MA 017602098 USA. Inc. is a registered trademark. Philadelphia. write to the Society for Industrial and Applied Mathematics.) ISBN 0898715768 (pbk. write to the Society for Industrial and Applied of the publisher. Printed in the United States of America. Used by permission 5... Laub. .
Beverley (who captivated me in the UBC math library captivated UBC nearly forty years ago) nearly forty .To my wife. Beverley To my wife.
This page intentionally left blank This page intentionally left blank .
.2 Matrix Representation of Linear Transformations 3. .4 Structure of Linear Transformations 3..2 Subspaces. 3.1 Definition and Examples 3.1 Some Notation and Terminology 1. .2 Examples. 1.1 The Fundamental Theorem 5.. .3 Composition of Transformations . 3..1 Definitions and Examples . .. . . .3 Composition of Transformations 3. . 3.Contents Contents Preface Preface 1 1 Introduction and Review Introduction and Review 1. .1 Definition and Examples . . 4.2 Matrix Arithmetic 1. . . 4.5 Four Fundamental Subspaces . . . .. . . .2 Matrix Representation of Linear Transformations 3. .1 Some Notation and Terminology 1. . . 6. 4. .1 Definitions and Characterizations Definitions and Characterizations.2 Subspaces 2. . ..4 Determinants 1.4 Some Useful and Interesting Inverses. 2.3 Row and Column Compressions Linear Equations Linear Equations 6.3 Inner Products and Orthogonality 1.1 Vector Linear Equations 6.2 Examples 4. . 6. ..4 Structure of Linear Transformations 3.3 A More General Matrix Linear Equation 6. . .2 Some Basic Properties 5. .1 4. .3 Properties and Applications Introduction to the Singular Value Decomposition Introduction to the Singular Value Decomposition 5.. . .. .3 Rowand Column Compressions 5.3 Properties and Applications .2 Matrix Linear Equations 6. Definitions and Examples 2. 5.4 Sums and Intersections of Subspaces 2...1 2. . .3 Inner Products and Orthogonality .3 Linear Independence 2. 1. 5.1 Vector Linear Equations . .2 Some Basic Properties .2 Matrix Linear Equations .3 Linear Independence .. .. . .1 The Fundamental Theorem . .5 Four Fundamental Subspaces Introduction to the MoorePenrose Pseudoinverse Introduction to the MoorePenrose Pseudoinverse 4. . . .4 Some Useful and Interesting Inverses vii xi xi 1 1 1 1 3 3 4 4 4 7 7 7 7 9 9 10 10 13 13 17 17 17 17 18 18 19 19 20 20 22 22 2 2 3 3 4 4 29 29 30 30 31 31 35 35 35 35 38 40 5 5 6 6 43 43 43 43 44 47 47 47 47 . . 2. . ..4 Sums and Intersections of Subspaces Linear Transformations Linear Transformations 3.. ..4 Determinants Vector Spaces Vector Spaces 2.2 Matrix Arithmetic .3 A More General Matrix Linear Equation 6. . 6..
.1 8. .1 Fundamental Definitions and Properties 9. . . . . Eigenvalues and Eigenvectors 9. . . .6 Computation of the matrix exponential 11. 11. . . . . . .3 Computation of matrix powers 11.1 Some Basic Canonical Forms 10.2 On the +1's in JCF blocks 9.3.1 Fundamental Definitions and Properties 9. . 9. .1. . .1. . . 11.5 The Matrix Sign Function 51 51 51 51 52 52 54 54 57 57 59 59 8 65 65 65 65 67 67 67 67 67 67 69 70 70 71 71 9 75 75 75 82 82 85 85 86 86 88 88 89 89 91 91 95 95 10 Canonical Forms 10. . 9.1 7. . . . . .2 Geometric Solution 8. . . . .2 Other least squares problems .3 Inhomogeneous linear differential equations 11. .3. . .3.2 Definite Matrices . . . . . .1 Some Basic Canonical Forms . . . .1 Block matrices and definiteness 10. 8. 10.2 Jordan Canonical Form 9.4 Linear matrix differential equations 11. 11.2. .1 Block matrices and definiteness 10. .2 On the + l's in JCF blocks 9.2. . .1 Projections 7.2 Difference Equations . . .1. .1.1. 8.2 Definite Matrices 10.3 HigherOrder Equations. . . . . .4 Geometric Aspects of the JCF 9. . .2 Geometric Solution .1. .1 Homogeneous linear difference equations 11.4 Matrix Norms . . . 10.2 Other least squares problems 8. .1 Theoretical computation .2. . 10. .2 Homogeneous linear differential equations 11. . 11. .3 Determination of the JCF . .1 Differential Equations ILl Differential Equations . . .1.5 Modal decompositions 11. . .4 Rational Canonical Form 11 Linear Differential and Difference Equations 11 Linear Differential and Difference Equations 11.2. . .2 Homogeneous linear differential equations 11. .1 Projections . .2 Inhomogeneous linear difference equations 11. .4 Least Squares and Singular Value Decomposition 8. .3. .3 Linear Regression and Other Linear Least Squares Problems 8.1.1. .3 Computation of matrix powers .1 Properties of the matrix exponential 11. . . .3 HigherOrder Equations . .4 Geometric Aspects of the JCF 9. . . .3. . .6 Computation of the matrix exponential 11. . .1 The Linear Least Squares Problem 8.3 Linear Regression and Other Linear Least Squares Problems 8.2.viii viii Contents Contents 7 Projections. Theoretical computation 9. . . . .4 Linear matrix differential equations . . 8.4 Rational Canonical Form . . 11. 11.1 9. . . . . . . 9. . . .1 The four fundamental orthogonal projections The four fundamental orthogonal projections 7. . . .3. . . . . . and Norms 7. . .3 Equivalence Transformations and Congruence 10.1 The Linear Least Squares Problem . . .5 Least Squares and QR Factorization 8. .5 Least Squares and QR Factorization . Inner Product Spaces. .2 Inhomogeneous linear difference equations 11. .1 Example: Linear regression .1 Homogeneous linear difference equations 11. .1. . 95 95 99 102 102 104 104 104 104 109 109 109 109 109 109 112 112 112 112 113 113 114 114 114 114 118 118 118 118 118 118 119 119 120 120 . Example: Linear regression 8. . . . . . . . . . .2 Inner Product Spaces 7.3. . . .3 Determination of the JCF 9.2 Jordan Canonical Form .3 Vector Norms 7. . . .3. 11.1. . .5 Modal decompositions .2 Inner Product Spaces 7.2. .3 Vector Norms 7.1. . 7. . 7. . . .1 Properties ofthe matrix exponential . .2 Difference Equations 11.4 Matrix Norms Linear Least Squares Problems 8.3. . .3 Inhomogeneous linear differential equations 11.5 The Matrix Sign Function. .3. .3 Equivalence Transformations and Congruence 10.1. .4 Least Squares and Singular Value Decomposition 8. .1.
. . . .6 HigherOrder Eigenvalue Problems .1 Definition and Examples 13. . . . . 13. .1 Conversion to firstorder form 12. . .5 Simultaneous Diagonalization 12. . . . .3 Application to the Computation of System Zeros 12. .6 HigherOrder Eigenvalue Problems 12. . . 12. .1 Definition and Examples .3 Application to Sylvester and Lyapunov Equations Bibliography Bibliography Index Index .1 Simultaneous diagonalization via SVD 12. . 12. . .6. . . .2 Canonical Forms .Contents Contents ix ix 12 Generalized Eigenvalue Problems 12 Generalized Eigenvalue Problems 12. . . 13. .3 Application to Sylvester and Lyapunov Equations 13. . 12.1 Simultaneous diagonalization via SVD 12.1 Conversion to firstorder form 125 125 125 127 127 130 131 131 133 133 133 135 135 135 139 139 139 139 140 144 144 151 153 13 Kronecker Products 13 Kronecker Products 13. .2 Canonical Forms 12. .2 Properties of the Kronecker Product 13. .2 Properties of the Kronecker Product .3 Application to the Computation of System Zeros . .1 The Generalized EigenvaluelEigenvector Problem 12. . .5 Simultaneous Diagonalization . 12. . .1 The Generalized Eigenvalue/Eigenvector Problem 12.4 Symmetric Generalized Eigenvalue Problems 12. .4 Symmetric Generalized Eigenvalue Problems . .5.. .5. . .6. 12.
This page intentionally left blank This page intentionally left blank .
requiring such material as prerequisite permits the early (but "outoforder" by conventional standards) introduction of topics such as pseuthe early (but "outoforder" by conventional standards) introduction of topics such as pseudoinverses and the singular value decomposition (SVD). [23]. Certain topics that may have been treated cursorily in undergraduate courses are treated in more depth that may have been treated cursorily in undergraduate courses are treated in more depth and more advanced material is introduced.. in many cases. or [16]. The books by Meyer [18]. for example). students meant to learn much of the important and useful mathematics that. [13]. essentially Prerequisites for using this text are quite modest: essentially just an understanding for this understanding of calculus and definitely some previous exposure to matrices and linear algebra. methods. The text can be used in a onequarter or onesemester course to provide a compact overview of can be used in a onequarter or onesemester course to provide a compact overview of much of the important and useful mathematics that. For this." this approach necessarily presupposes the availability of appropriate mathematical software on approach necessarily presupposes the availability of appropriate mathematical software on a digital computer. for example). Because tools such as the SVD are not generally amenable to "hand computation. These powerful and versatile tools can then be exploited to provide a unifying foundation upon which to base subsequent topcan exploited to foundation subsequent topics. Instructors are encouraged to supplement the book with specific application examples from their own encouraged to supplement the book with specific application examples from their own particular subject area.e. I highly recommend MAlLAB® although other software such as a digital computer." However. I highly recommend MATLAB® although other software such as xi xi ." However. the student is then wellequipped to pursue. although Chapters 2 and 3 do cover some geometric (i. computer science. singularity of matrices. [13]. Matrices are stressed more than abstract vector spaces. example) or on the theoretical side (at the level of [12]. followon topics on the computational side (at the level of [7]. or [25]. For this. the student is then wellequipped to pursue. but somehow didn't quite manage to do. By matrix analysis I mean linear algebra and matrix theory together with their intrinsic interaction with and application to algebra and matrix theory together with their intrinsic interaction with and application to linear dynamical systems (systems of linear differential or difference equations). and concepts such as determinants.e. [II]. Ortega [21]. eigenvalues and eigenvectors. The text linear dynamical systems (systems of linear differential or difference equations). and mathematical structures. Basic concepts such as determinants. computer science. either via formal courses or through selftext. I have tried throughout to emphasize only the more important and "useful" tools. students meant to learn thoroughly as undergraduates.. The concept of matrix factorization is emphasized throughout to provide a foundation for a later course in numerical linear is emphasized throughout to provide a foundation for a later course in numerical linear algebra. in many cases." this ics. requiring such material as prerequisite permits tion may occasionally be "hazy. even though their recollecmatrices least tion may occasionally be "hazy. Basic of calculus and definitely some previous exposure to matrices and linear algebra. The choice of topics covered in linear algebra and matrix theory is motivated both by The choice of topics covered in linear algebra and matrix theory is motivated both by applications and by computational utility and relevance. These powerful and versatile tools doinverses and the singular value decomposition (SVD). or computational science science who wish to be familar with enough matrix analysis that they are prepared to use its enough analysis they are prepared to tools and ideas comfortably in a variety of applications. for [11].Preface Preface This book is intended to be used as a text for beginning graduatelevel (or even seniorlevel) This book is intended to be used as a text for beginning graduatelevel (or even seniorlevel) students in engineering. although Chapters 2 and 3 algebra. mathematics. or computational students in engineering. either via formal courses or through selfstudy. Certain topics thoroughly as undergraduates. Because tools such as the SVD are not generally amenable to "hand computation. and positive definite matrices should have been covered at least once. Upon completion of a course based on this text. Noble and Daniel [20]. but somehow didn't quite manage to do. Matrices are stressed more than abstract vector spaces. particular subject area. I have tried throughout to emphasize only the and more advanced material is introduced. mathematics. example) or on the theoretical side (at the level of [12]. the sciences. basisfree or subspace) aspects of many of the fundamental do cover some geometric (i. the sciences. Upon completion of a course based on this are excellent companion texts for this book. By matrix analysis I mean linear tools and ideas comfortably in a variety of applications. eigenvalues and eigenvectors. basisfree or subspace) aspects of many of the fundamental notions. singularity of matrices. The concept of matrix factorization applications and by computational utility and relevance. and Strang [24] Ortega are excellent companion texts for this book. or [16].
applied physics. they are either obvious or easily found in the literature. and thus the text can serve a rather diverse audience. This is an absolutely fundamental fundamental concept. Some of the key algorithms of numerical linear algebra. the student does require a certain amount of what is conventionally referred Proofs referred to as "mathematical maturity. outputs. in particular. It is my firm conviction that such maturity is neither encouraged conviction neither nor nurtured by relegating the mathematical aspects of applications (for example. linear algebra introducing "onthefly" algebra for elementary statespace theory) to an appendix or introducing it "onthef1y" when to necessary. This is ideal material from which to learn a bit about mathematical proofs and the mathematical maturity and insight gained thereby. and evaluated. must lay firm foundation upon which and perspectives perspectives can be built in a logical. mathematics. A second motivation for a computational emphasis is that it provides many of the essential tools for what I call "qualitative mathematics. in particular." a set of vectors is either linearly independent or it is not. and a wide variety of other fields. science. are deferred to such a course. It is thus crucial to acquire knowledge vocabulary a working knowledge of the vocabulary and grammar of this language. First. "reallife" problems seldom yield to simple "reallife" closedform formulas or solutions. many times at UCSB and twice at UC Davis. Rather. remarked afterward that if processing. control systems with standard large numbers of interacting inputs. If a set of vectors is linearly independent. and the course has proven to be remarkably successful at enabling students from Davis. . and modem engineering. When they are not given explicitly. If If are linearly dependent. and while most material is developed from basic ideas in the book. The "language" in which such described models are conveniently described involves vectors and matrices. econometrics. The presentation of the material in this book is strongly influenced by computais influenced by computational issues for two principal reasons. But in most engineering or scientific contexts we want to know more than that. consistent. diverse audience. completed the course. chemistry. Statespace methods are Statespace modem now standard in much of modern engineering where. form the foundation virtually modem upon which rests virtually all of modern scientific and engineering computation. one must lay a firm foundation upon which subsequent applications and Rather. simulated. and the course has proven to be remarkably successful at enabling students from disparate backgrounds to acquire a quite acceptable level of mathematical maturity and acceptable graduate rigor for subsequent graduate studies in a variety of disciplines. The tools of matrix analysis are also applied on a daily basis to problems in biology. they are either obvious or easily found in the literature. especially the first few times it was offered. Since this text is not intended for a course in numerical linear algebra per se. for example. statistics. They must generally be solved computationally and closedform it is important to know which types of algorithms can be relied upon and which cannot.xii xii Preface Preface Mathcad® Mathematica® or Mathcad® is also excellent. the details of most of the numerical aspects of linear algebra per se. and coherent fashion. Indeed." Proofs are given for many theorems. modern Some of the applications of matrix analysis mentioned briefly in this book derive of the applications of matrix analysis mentioned briefly in this book modem statespace from the modern statespace approach to dynamical systems. This is ideal not given explicitly. and states often give rise to models of very numbers models high order that must be analyzed. I have taught this material for many years. Mastery of the material in this text should enable the student to read and understand the modern language of matrices used throughout mathematics. if only they had had this course before they took linear systems. how "nearly dependent" are the vectors? If they linearly independent. prerequisites developed While prerequisites for this text are modest. form the foundation Some of the key algorithms of numerical linear algebra." For example. many students who completed especially offered. are there "best" linearly independent subsets? These tum out to turn be much more difficult problems and frequently involve researchlevel questions when set be much more difficult problems and frequently involve researchlevel questions when set in the context of the finiteprecision. finiterange floatingpoint arithmetic environment of of of most modem computing platforms. or signal processing. in an elementary linear algebra course. are deferred to such a course.
too. AJL. .. June 2004 — AJL. realized that by requiring this course as a prerequisite. rather than having to spend time making up for deficiencies in their background background in matrices and linear algebra. My fellow instructors. they would have been able to concentrate on the new ideas deficiencies they wanted to learn. they no longer had to provide as much time for "review" and could focus instead on the subject at hand. The concept seems to work. etc.Preface Preface xiii XIII or estimation theory.
This page intentionally left blank This page intentionally left blank .
. x E Rn I.. IR rn xn = the set of real (or realvalued) m x n matrices. That a vector is always a column vector rather than a row vector is entirely arbitrary. This is followed by a review of some basic notions in matrix analysis and linear algebra. nonsingular n x n matrices.1 1. 1R. en 4. 3. Rn = the set of ntuples of real numbers represented as column vectors. Cn = the set of ntuples of complex numbers represented as column vectors. x e IR n means means where xi e IR for e n. mxn = the set of complex (or complexvalued) x n matrices. A row vector is denoted by y~.Chapter 1 Chapter 1 Introduction and Review Introduction and Review 1. where y G Rn and the superscript T is the transpose operation. n}. This is followed by a review of some basic notions in matrix analysis throughout the text. e. Thus. The following sets appear frequently throughout subsequent chapters: The following sets appear frequently throughout subsequent chapters: 1. the notation!! denotes the set {I.g. Thus. e. but this convention makes it easy to recognize immediately throughout the text that. the set of ntuples of complex numbers represented as column vectors. 5.. Rnxnn denotes the set of real nonsingular n x n matrices. Henceforth.g. 1 . Crnxn = the set of complex (or complexvalued) m x n matrices. and linear algebra. = the set of complex m x n matrices of rank r. . where Xi E R for ii E !!. 2. R mxn = the set of real (or realvalued) m x n matrices. x T y is a scalar while xyT is an n x n matrix... the notation n denotes the set {1. That a vector is always a y E IR n and the superscript T is the transpose operation. IR~ xn denotes the set of real = set of real of rank Thus. Henceforth. n }. xyT is an n x n matrix. . IR n = the set of ntuples of real numbers represented as column vectors. e.. XTy is a scalar while it easy to recognize immediately throughout the text that.1 Some Notation and Terminology Some Notation and Terminology We begin with a brief introduction to some standard notation and terminology to be used We begin with a brief introduction to some standard notation and terminology to be used throughout the text. A row vector is denoted by yT where Note: Vectors are always column vectors. 2. Note: Vectors are always column vectors. Thus..n xn Rmxnr = the set of real m x n matrices of rank r.n xn Cmxn = the set of complex m x n matrices of rank r. but this convention makes column vector rather than a row vector is entirely arbitrary. . 5. e 6.
that is.1. 2 2. • pentadiagonal if aij = 0 for Ii .. an equation like A = A T implies that A is realvalued while a statement like A = AH implies that A is complexvalued. a.2. While \/—\ is most commonly denoted by i in mathematics texts. For example. 2 Transposes of block matrices can be defined in an obvious way. = 0 for i ^ j.j  7+} ] is Hermitian (but not symmetric)... ~ 5 is symmetric (and Hermitian). 7 = («77). • lower triangular if aij7 = 0 for i/ < }. For example. For example. if e Rnxn e Rmxn C e Rmxm then the (m n) x (m n) matrix [A0 ~] is block upper triangular.. A is conjugation. i)th entry of A. j)\h entry is (AH)ij = (aji). • upper Hessenberg if aij = 0 for ii . A e jRmxn. • lower Hessenberg if a. (7. A matrix A is symmetric i. is complexvalued symmetric but not Hermitian. and definitions block submatrices. If A E em xn. is Hermitian (but not symmetric). then the (m + n) x (m + n) matrix [~ Bc] is block upper triangular. i. Note that if A E R mx ". • tridiagonal if aij = 0 for Ii . an equation like A = A T implies that A is realvalued while a statement otherwise noted. if z = a + jf$ (j = ii = R). There is some the more common notation in electrical engineering and system theory. = 0 for i > }. The notation j is used throughout the text but reminders are placed at strategic locations. if A E IRnxn..ii > 1. then A7" e jRnxm. z Remark 1. B E IR nxm . • upper triangular if a. AT E E" xm is the (j. A matrix A E IRn xn e (or A E enxn ) is A eC" x ")is • diagonal if a.. A if A = AT and Hermitian if A = AH. • upper triangular if aij.[ 7 . then r = [ . ] is symmetric (and Hermitian). where the bar indicates complex j)th entry is (A H ).. We henceforth that. unless if A = A T Hermitian A = A H. We henceforth adopt the convention that. are appropriately dimensioned subblocks. it is Transposes of block matrices can be defined in an obvious way. text but reminders are placed at strategic locations.. = 0 for i > j. Introduction and Review Chapter 1. } is While R is most commonly denoted by i in mathematics texts. C E jRmxm. The The transpose of a matrix A is denoted by AT and is the matrix whose (i. then its Hermitian transpose (or conjugate transpose) is denoted by AH (or H If A e C mx ".. 7 + j ] is complexvalued symmetric but not Hermitian. = 0 for < j. A = [ .. = 0 for j — > 1. • lower Hessenberg if aij = 0 for } . = a jfJ. = 0 for / — j\ > 2. where the bar indicates complex sometimes A*) and its = IX jfJ (j = = v^T). otherwise noted.jj > 1. Example 1. • pentadiagonal if ai.JI > 1. A = [ 7+} 5 3· A . For example. • diagonal if aij7 = 0 for i i= }.e. • tridiagonal if a(y = 0 for z — j\ > 1. (AT)ij = aji. j)th entry of a matrix A is denoted by AT and is the matrix whose j)th entry A. then easy to see that if A. Hermitian conjugate sometimes A*) and its (i. • upper Hessenberg if afj = 0 for — > 1. Each of the above also has a "block" analogue obtained by replacing scalar components in the respective definitions by block submatrices. Example 1. • lower triangular if a. . it is easy to see that if Aij are appropriately dimensioned subblocks.2. Oth (A 7 ). j is Remark the more common notation in electrical engineering and system theory. 1. Introduction and Review We now classify some of the more familiar "shaped" matrices.e.2 2 Chapter 1. then z = IX — jfi. A = AH A complexvalued. There is some advantage to being conversant with both notations.J I > 2.
. Let U = [MI. suppose A E jRmxn and [hI.e. applied p times: There is also an alternative. {.. i. vn Rpxn p with Vit e R ... i=I If matrices C and D are compatible for multiplication. the matrixvector product Ax. Namely.. and is premultiplied by a row yT E R l x m then the product can be written as a weighted linear sum of the rows of C as follows: follows: yTC=YICf +"'+Ymc~ EjRlxn. Then v E jRP.. + Xnan E jRm.. and multiplication of matrices.'" p] E jRnxp For matrix multiplication. there can be important computerarchitecturerelated advancomputerarchitecturerelated tages to preferring the latter calculation method.2 Arithmetic It is assumed that the reader is familiar with the fundamental notions of matrix addition. if (C D)H — D C ). and is premultiplied by a row vector yTe jRlxm.. but equivalent... . vector x. Then we can quickly calculate dot products of the rows of A column Ax = [. multiplication.[ ~ J+2.e." The details are left to the readei "row left .• a"1 E m JR " with a... Vn] ]Ee lR Pxn U [Uj. multiplication of a matrix by a scalar.bhp ] e Rnxp with hi e jRn. It Theorem 1. suppose (linear combination) suppose A = la' .•. un Rmxn with u Rm and V = [v . As a numerical example.3 can then also be generalized to its "row dual. It is deceptively simple and its full understanding is well rewarded.. Ax. The importance of this interpretation cannot be overemphasized. Matrix Arithmetic 3 1. AB bi E W1.... Then the matrix product A B can be thought of as above. That is. . This gives a dual to the matrixvector result above. . importance interpretation take A = [96 85 74]x = take A = [~ ~]. x = ! 2 Then we can quickly calculate dot products of the rows of A [~]. suppose A e Rmxn and B = [bi. Theorem 1.xn~ ] Then Ax = Xjal + . un]]Ee jRmxn with Ui t Ee jRm and V = [VI.. .. its importance cannot be overemphasized.. matrixvector product with the column x to find Ax = [50 32]' but this matrixvector product can also be computed computed via v1a 3. .. formulation of matrix multiplication that appears frequently in the text and is presented below as a theorem.2 Matrix Arithmetic 1.[ ~ J+l. recall that (CD)T = DT C T (C D)T = DT T If H H H (or (CD} = DHC H ). Theorem reader.. Theorem 1. n UV T = LUiVr E jRmxp.2. Again. E JRm and x = l I.1. matrixvector if C E jRmxn has row vectors cJ E jRlxn. A special case of matrix multiplication occurs when the second matrix is a column multiplication second i.3. A very important way to view this product is interpret weighted to interpret it as a weighted sum (linear combination) of the columns of A..[ ~ l For large arrays of numbers.3.~]. eRmxn has row cj e E l x ".
order in which x product is important. In sometimes used denote identity matrix.y. If e C". There is an orthogonal or unitary matrix has orthonormal rows and orthonormal columns. then we say that x and y are orthonormal. the order in which x and y appear in the complex inner (x. but throughout the text we prefer the symmetry with the real (x. Then Example 1. we define their complex Euclidean inner product (or inner product.j] [ ~ ] = 1 . Note that x Tx = 0 if and only if x = 0 when x e Rn but that this is not true if x e Cn. i. The notation /„ is sometimes used to denote the identity matrix in IR nxn in Rnx" x nxn H H (or en "). Example 1. y) := x y = Lx. The more conventional definition of the complex inner product is H ( x ..4 1. for short) of x and For vectors y e IRn.e. for short) by for short) by n (x'Y}c :=xHy = Lx.2j while while and we see that. If x and y are zero. x)c'.. Similarly. To illustrate. Two nonzero vectors x.=1 y appear in Note that (x. Note that x T x = 0 if and only if x = 0 when x E IRn but that this is not true if x E en. y ) c = yHxx = L:7=1 x. x and y are orthogonal and x Tx = 1 and yT = 1. indeed. A EC = (orC" xn). To illustrate. where / is the n x n identity matrix. Let x = [} ]] and y = [~]. i. E R are said to be orthogonal if their inner product is Two nonzero vectors x. the Euclidean inner product inner for short) y is given by y is given by n T (x. . the nonzero vector x above.. Note that the inner product is a scalar. 1.e. i. What is true in the complex case is that XH x = 0 if and only if x = 0. indeed. . x}c. Then (x. Let x = [1j and y = [1/2]. x)c and we see that.=1 Note that the inner product is a scalar. y e IRn are said to be orthogonal if their inner product is zero. The more conventional definition of the complex inner product is product is important. Then XTX = 0 but XHX = 2. the Euclidean inner product (or inner product.e. We list below some of (or A 6 en xn) we use the notation det A for the determinant of A. we define their complex Euclidean inner product (or inner product. Similarly. Introduction and Review 1. consider the nonzero vector x above.y. case.e. We list below some of . There is no special name attached to a nonsquare matrix A E R mxn (or E Cmxn with orthonormal no special name attached to a nonsquare matrix A e ]Rrn"n (or € e mxn ))with orthonormal rows or columns. consider What is true in the complex case is that x H 0 if and only if O. (or A E Cnxn) we use the notation det A for the determinant of A. Nonzero complex vectors are orthogonal if x H y = 0. rows or columns. If x. y)c = (y. then we say that x and y are orthonormal. y)c = (y. xTyy = 0. x)c.4. y E <en. y)c = y = Eni=1 xiyi but throughout the text we prefer the symmetry with the real case.3 Inner Products and Orthogonality Inner Products and Orthogonality For vectors x. Clearly said = an orthogonal or unitary matrix has orthonormal rows and orthonormal columns. i. x T = O. (x. a matrix A e en xn is said to be unitary if A H A = AA H = I. where I is the n x n matrix A e IRnxn is an orthogonal matrix if ATA = AAT = /.4 4 Chapter 1. Nonzero complex vectors are orthogonal if XHy = O. A nxn matrix E R is an orthogonal matrix if AT A = AAT = I. y E R". Introduction and Review Chapter 1.y.4 Determinants Determinants It is assumed that the reader is familiar with the basic theory of determinants.3 1. Then x T x = 0 but x H X = 2.. For A E R nnxn A e IR xn It assumed of determinants. Y}c = [ } JH [ ~ ] = [I .. (x.4.. A orthogonal and XTX = 1 and yTyy = 1. y)c = (y. Y}c = {y.
det AT = det A (detA H = detA if A e C nxn ).1 ) = de: A. If A. Proof" Proof: This follows easily from the block UL factorization BD. Multiplying a row of A by a scalar and then adding it to another row does not change 7. then det A = different det A11 det A22 . i.. Multiplying a column of A by a scalar ex results in a new matrix whose determinant scalar a determinant is ex det A. If A has a zero column or if any two columns of A are equal.• det Ann. Multiplying a column of A by a scalar and then adding it to another column does not a column of scalar column does change the determinant. A 11. If A is diagonal.4. If det = a11a22 • • ann 12.• ann. If A is upper triangular. If A.... 3. If A E Rnxn. Determinants 5 properties the more useful properties of determinants.e. If A e IRnxn and D E lR~xm.. Multiplying A 6. = alla22 • • ann i. If elements. 4. then det A = a11a22 . exdetA. B E IRnxn . If A e R n x n and D e R m x m . 3. several more is a properties are consequences of one or more of the others. 15.. change the determinant. 16. then det [~ BD] = del A det(D – CA– l 1 B). 9. Multiplying a row of A by a scalar and then adding it to another row does not change the determinant.. Determinants 1. Interchanging two rows of A changes only the sign of the determinant.B).CA. 10.. . of 5.e. are consequences of one or more of the others. then det A = alla22 • • ann 12.4. 16.. Ann (of possibly different sizes). then det A = 0. If A is lower triangular. 17. then det [Ac ~] det D det(A B D. A 22 ....1 I ][ . then det A = a11a22 . then det A = 0.A22. If A A A = o. Note that this is not a minimal set. then det(AB) = det A det B. detAT = detA (det A H = det A A E C"X"). 7. 14. Interchanging two rows of A changes only the sign of the determinant.C). then det(A1) = 1detA .. 8. i. the determinant.• ann.•. is a det A.1. If A has a zero column or if any two columns of A are equal. 15. det A 11 det A22 • • det Ann 14. If A is lower triangUlar.• a"n. If A € lR~xn. then det(A. • • An" (of A = square diagonal blocks A11. 11. Multiplying a row of A by a scalar a results in a new matrix whose determinant is 5.. If A E lR~xn and DE IR mxm det [Ac ~] detA det(D . det A is the product of its diagonal 10. properties 1.. 13. Multiplying a row of A by a scalar ex results in a new matrix whose determinant is a det A..e. If A E R n x n and D e RMmxm. with A block diagonal (or block 13.thendet(AB) = det A det 5. If A is block diagonal (or block upper triangular or block lower triangular). det A is the product of its diagonal diagonal. B eR n x n . If A has a zero row or if any two rows of A are equal.. 2.. 8. then det A = O. Interchanging two columns of A changes only the sign of the determinant. 11. then det [~ BD] = det D det(A – B D – 11C ) . Proof: This follows easily from the block LU factorization Proof" This follows easily from the block LU factorization [~ ~J=[ ~ ][ ~ 17.. then det A = all a22 .
Show that the product V = VI. Show that A must be singular. 4. Show that A must be singular. _.6 6 Chapter 1. y e Rn. TrA = Eni=1 aii.. II _ .yTx. A matrix A e Wx" is said to be idempotent if A2 = A.. A? 2. either prove the converse or provide a counterexample. then Tr(aA fiB)= aTrA + f3TrB.e.y E jRn.. 2f) 2 _ sm 2^ sin 0 sin sin 20 1 . of denoted Tr A. Uk E Rnxn U = VI V2 . Let A E jRNxn. 2 0 IS I dempotent .5. V2.Vk € jRn xn be orthogonal matrices. are block analogues of these. Suppose A E jRn xn is idempotent and A ^ I. [~ ~ ]. 6. [24].B D – l C is the Schur complement of D in [~ BD ].. Remark — C I B – BDIe Similarly. The trace of A. Remark 1. .... see. (c) Let S € Rnxn be skewsymmetric. A E jRnxn A2 / x™ ...e. i. The matrix D . 2sin20 J is idempotent for all #. i. . . for example. Show that det(I – xyT) = 1. . Tr(aA + f3B) = aTrA + fiTrB. If A is orthogonal. what is det A? If A is unitary. elements. if A.5. even though in general AB i= B A. Another such factorization is UL where V is unit upper triangular and L is lower triangular. ST = S. Let x. what is det A? If A 3. Letx. is defined as the sum of its diagonal A e Rnxn. . nxn linear E R f3 E JR. Another such factorization is VL U is an LU factorization.e A – 1 B is called the Schur complement of A in[ACBD].e.6.• V k is an orthogonal matrix. Showthatdet(lxyT) 1 – yTx. ! [ 2cos2<9 I T 2cos2 0 (a) Show that the matrix A = _. U2 . [24]. lor z r 2sm2rt # J. (b) Show that Tr(AB) = Tr(BA). Then E jRnxn skewsymmetric. TrS O. see. The factorization of a matrix A into the product of a unit lower triangular matrix L (i. what is det(aA)? What is det(–A)? E R a det(A)? A? If A unitary. TrA = L~=I au· elements.. (a) Show that the trace is a linear function. .. (b) Suppose A e IR" X "is idempotent and A i= I. denoted TrA. ST = So Show that TrS = 0. i.. The factorizations used above U triangular. • .e. Let U1. A . ft e R. Introduction and Review Remark 1. AB ^ BA. A =. lower triangular with all l's on the diagonal) and an upper triangular matrix L 1's an V is called an LV factorization. Introduction and Review Chapter 1. i. The factorization of a matrix A into the product of a unit lower triangular Remark 1. Tr(Afl) = Tr(£A). U1 U2 • • Uk is an 5. B e JRn xn and a.. If A e jRnxn and or is a scalar... of Din [AC ~ l EXERCISES EXERCISES nxn 1. aII o. example.e.
be found. . p. (M2) 1 e IF • I = for a e IF. y Elf. Generally speaking. aI = 1. A field is a set F together with two operations +. Axioms (M1)(M4) state that (F \ to). (A2) there exists an element 0 E F such that a + 0 = a for all a E F. Axioms (MI)(M4) state that (IF \ {0}. including spaces formed by special classes emphasis is on finitedimensional vector spaces. the multiplication operator ".o r all a. 7 . A field is a set IF together with two operations +. where some of the proofs that are not given here may for this and the next chapter is [10]. (M4) a·.8)· yyf for all a.8. ft. y)=cip+a.8. I = a for all a E F.8 + y) = (a +. afar all a. +) is a group and an abelian group if (A4) also holds. (D) (D) a· p a . there exists an element (a) e F such that a + (a) = 0.1. p e F. a f. (A4) a + p = . .8 +a· y for all a.((. ft Elf. Axioms (A1)(A3) state that (F. .8 E IF. . when no confusion can arise.y for alia. 0. but some infinitedimensional examples are also cited. (A4) a + . a"1 € IF • a~l = 1.ye¥. the multiplication operator "•" is Generally speaking. .) ( a ..8 a for all a. (M3) e IF. (A2) there exists an element 0 e IF such that a 0 = a.8 = P • a for all a.) is an abelian group.1. Axioms (Al)(A3) state that (IF. yy) = (a·. (Ml) a· p . An excellent reference of matrices. p.. •) is an abelian group. where some of the proofs that are not given here may be found. y e F. (Ml) a . (M3) for all a E ¥. The In this chapter we give a brief review of some of the basic concepts of vector spaces.8 + y) = a·. when no confusion can arise. (M2) there exists an element I E F such that a . +) is a group and an abelian group if (A4) also holds.8 e F. (A3) for all a E IF. not written explicitly.1 Definitions and Examples Definition 2. for all a e IF.8. • F x IF ~ F such that (Al) a (P y ) = (a + p ) y o r all a. ^ 0. including spaces formed by special classes of matrices. there exists an element aI E F such that a . (M4) a • p =. : IF x F —> IF such that Definition 2. y Elf.p ) .8 ." is not written explicitly. but some infinitedimensional examples are also cited. An excellent reference for this and the next chapter is [10]. The emphasis is on finitedimensional vector spaces.Chapter 2 Vector Spaces Vector Spaces In this chapter we give a brief review of some of the basic concepts of vector spaces. y Elf. (Al) a + (.8 = ft + afar all a. y € F.((.8) + y ffor all a.8. 2. (A3) for all a e F. there exists an element (—a) E IF such that a (—a) O.
) f for all a. Similar definitions hold for (C". Vector Spaces Example 2. ft) v = a v + f3. +) is an abelian group. In practice.. (V3) (a + f3). Moreover. (IRn. (VI) (V. A vector space is denoted by (V. R with ordinary addition and multiplication is a field. Ra[x] = the field of rational functions in the indeterminate x 3. this causes no confusion and the·• operator is usually not even written explicitly. (V2) ( a f3) v = a P .2.1 in the sense of operating on different objects in different sets. where Z+ = {O. Definition 2. 4. Raf. when there is no possibility of confusion as to the A vector space is denoted by (V.• v = a·• v + p • v for all a. IR with ordinary addition and multiplication is a field. C). 4. A vector space over a field IF is a set V together with two operations + ::V x V + V and· :: IF x V + V such that V x V ^V and. f3 Elf andforall v E V. + f3qXq :aj. is a field. is a vector space.5. IR) with addition defined by and scalar multiplication defined by and scalar multiplication defined by is a vector space. p € F and for all v e V. Moreover. no confusion and the operator is usually not even written explicitly. is a field. (V3) (a (V4) a(v w)=av a w for all a ElF andfor all v. this causes 2.2. since (M4) does not hold in general (although the other 8 axioms hold).2. simply by V. Note that + and· in Definition 2. 2. IR~ xn = m x n matrices of rank r with real coefficients) is clearly not a field since.8 Chapter 2. e).F xV »• V such that (VI) (V. (MI) does not hold unless m = n.4. C with ordinary complex addition and multiplication is a field.. (V5) I·• v = v for all v E V (1 e F). 1.( (f3' V v) o r all a. e with ordinary complex addition and multiplication is a field..2. . 3..4. w for all a e F and for all v.f3i EIR . Example 2. lR~xn is not a field either since (M4) does not hold in general (although the other 8 axioms hold).}. }. R) with addition defined by I. F) or. 1.3. Example 2. 2. (V4) a· (v + w) = a . v = a . I. (Ml) does not hold unless m = n.p ) . + apxP + . w e V. +) is an abelian group. .5. p E IF andfor all v e V.1. Note that + and • in Definition 2. IF) or. Remark 2. A vector space over a field F is a set V together with two operations Definition 2. Example 2. in Definition Remark 2. (V2) (a·.r] = the field of rational functions in the indeterminate x = {ao + f30 + atX f3t X + . underlying field.l. v + a. v for all a..P. RMrmxn= {m x n matrices of rank r with real coefficients} is clearly not a field since. (R".3...qEZ +} .3 are different from the + and . In practice.1 in the sense of operating on different objects in different sets. f3 e F and for all v E V.. where Z+ = {0. Similar definitions hold for (en. R"x" is not a field either for example.. for example. simply by V. (V5) 1 v = v for all v e V (1 Elf). when there is no possibility of confusion as to the underlying fie Id. .3 are different from the + and • in Definition 2. w E V.
7. Special Cases: Special Cases: (a) V = [to. g E cf> and scalar multiplication defined by and scalar multiplication defined by (af)(d) = af(d) for all a E IF. V) is a vector space with addition set of functions f mapping '0 to V. this implies that the zero vector must be in any subspace. Subspaces 2. Notation: When the underlying field is understood. equivalently.6. F) be an arbitrary vector space and V be an arbitrary set. F) if and only if (W. Let (V. V) be the 3. JR). Then (x(t) : x ( t ) = Ax(t)} is a vector space (of dimension n). is henceforth understood to mean "is a subspace of. we write W ~ V. =: (PC[f0.. Then {x(t) : x(t) = Ax(t}} is a vector space (of dimension n).. equivalently. + fJmn l yaml yamn 3. too. E). etc. (V. Notation: When the underlying field is understood. The latter characterization of a subspace is often the easiest way to check Remark 2. Let (V.2 Subspaces Subspaces Definition 2. t\])n continuous =: (C[to. too. (V. that since 0 e F. IF) be a vector space and let W c V. IF) = (JRn. F) be a vector space and let W ~ V. (V." The when used with vector spaces. i. W f= 0. td)n or continuous =: (C[?0. if and only subspace of (V. Let (V. W = 0.2. verify that the set in question is closed under addition and scalar multiplication. and the functions are piecewise continuous (a) '0 = [to. that since 0 E IF. if and only if(aw1 ßW2) E if(awl + fJw2) e W for all a.. (E mxn JR) is a vector space with addition defined by 2. is henceforth understood to mean "is a subspace of. foral! a. less restrictive meaning "is a subset of' is specifically flagged as such. Let A E JR(nxn.e. and for all f E cf>. and the symbol c. Note.2 2. 2. Note. 4. fJ e IF andforall WI. t\]. y a l2 y a 22 yam 2 ya. IF) be an arbitrary vector space and '0 be an arbitrary set." + fJ2I a21 + P" . i. F) = (IR". implies that the zero vector must be in any subspace. amI al2 a22 + fJI2 + fJ22 aln + fJln a2n + fJ2n a mn + fJml am2 + fJm2 and scalar multiplication defined by and scalar multiplication defined by [ ya" y a 21 yA = . IF) if and only if (W. +00). F) is itself a vector space or.e." ya2n . IF) is a subspace of (V. when used with vector spaces. Let (V. W2 E W. 4. Let O(X>.2. Let A € R"x". JR). l . Then cf>('O. td. and the functions are piecewise continuous =: (PC[to. verify that the set in or prove that something is indeed a subspace (or vector space). Then (W.2.6. IF) is itself a vector space or. V) is a vector space with addition defined by defined by (f + g)(d) = fed) + g(d) for all d E '0 and for all f.. F) is a Definition 2.7. for all d ED. h])n (b) '0 = [to. this question is closed under addition and scalar multiplication." The less restrictive meaning "is a subset of" is specifically flagged as such. Subspaces 2. (JRmxn. IF) = (JR n . ß E ¥ and for all w1. Let cf>('O. td)n. Then (W. The latter characterization of a subspace is often the easiest way to check or prove that something is indeed a subspace (or vector space). V) be the set of functions / mapping D to V. and the symbol ~. . w2 e Remark 2. Then O(D. E) is a vector space with addition defined by 9 9 A+B= [ . we write W c V.
F) = (JR. . a = 00) is also a subspace.nxn : A We V.9.10 Chapter 2. JR. sketch Then Wa. ~SandS ~ R. Example 2.10. X linearly set of Definition 2. Shifted subspaces W"..• } be a nonempty collection of vectors Vi in some vector space V. elements VI.3 Linear Independence Linear Independence Let X = {v1. unless explicitly stated otherwise. Proof: Suppose A\. V usually denotes a vector space with the underlying field generally being R unless Thus. f3 e R.I. ak. Then W". be an element of R. W2.. ak.nxn. . . . .e.9..o. we drop the explicit dependence of a vector space on an underlying field. .Vk of X and for any scalars a1. + (XkVk = 0 implies al = 0. Definition 2. Note. Henceforth. . al VI + . too. ft E R symmetric for all a. For ß E R define the jccoordinate in the plane and V2 with the ycoordinate. and S are vector spaces (or subspaces). called linear varieties. too. then R = S if and only if Definition 2. Henceforth. Consider (V. 1. Note. Vk e X and scalars aI. then R = S if and only if R C S and S C R. Shifted subspaces Wa./l is a subspace of V if and only if f3 = 0. E ]Rnxn : not 2.JR. R"x". As an interesting exercise.S.lF) = (R" X ".. For a. = {A E JR. that the vertical line through the origin (i.) and let W = [A e R"x" : A is symmetric}.. f3 e R. Vector Spaces Example 2.3 2. W2. one usually proves the two inclusions separately: An arbitrary r e R is shown to be an element of S and then an arbitrary s E S is shown to is shown to be an element of and then an arbitrary 5 € is shown to An arbitrary r E be an element of R. . . Thus. V2. W1/2.} . v2. Let W = {A € R"x" : A is orthogonal}. c E JR. 2. • • •} be a nonempty collection of vectors u. . (Xk not all zero such that X is a linearly independent set of vectors if and only if for any collection of k distinct X is a linearly independent set of vectors if and only if for any collection of k distinct elements v1.1. IF) = (]R2.. Then W is /wf a subspace of JR. All lines through the origin are subspaces. As an interesting exercise. X is a linearly dependent set of vectors ifand only if there exist k distinct if and only if exist distinct elements v1.o..O. Consider (V.10. . If 12. . define W". a = oo) is also a subspace. F) = (R2. R) and for each v € R2 of the form v = [v1v2 ] identify v1 with 3. Then (V. .. ak = O..ß with ß =1= 0 are called linear varieties. •••. Then it is easily shown that ctA\ + f3A2 is Proof' Suppose AI..I' and Wi..R) and 1.ß is a subspace of V if and only if ß = O. Wi. To prove two vector spaces are equal../l with f3 = 0 are All lines through the origin are subspaces.. vk E X and scalars a1. ffR and S are vector spaces (or subspaces). ...) and for each v E ]R2 of the form v = [~~ ] identify VI with the xcoordinate in the plane and u2 with the ycoordinate. in some vector space V.nxn. Consider (V. that the vertical line through the origin (i.and W1/2. .. . 3. . W~V.1. . explicitly stated otherwise. W2. V usually denotes a vector space with the underlying field generally being JR.0. Vk of X and for any scalars aI. we drop the explicit dependence of a vector space on an underlying field. Then it is easily shown that aAI + fiAi is symmetric for all a.•. . one usually proves the two inclusions separately: Note: To prove two vector spaces are equal.8./l = {V : v = [ ac ~ f3 ] . •. A2 are symmetric.e. sketch W2. ak not all zero such that elements VI. A2 are symmetric. Definition 2. Let X {VI.
. The linear v E ]Rn. A set of vectors X is a basis for V if and only if 1. Sp(X) = V.. V2. Why? However.. . (Xi ElF. called consider Let Vif e R".. Vi e span of Definition 2. t1] (recall that etA denotes the matrix exponential. to be studied further in what follows.. X = [v1 v2 .11.. If the set of vectors is independent.. en} = Rn.12.12.. = {v : where N = {I... }. An equivalent condition for linear independence is that the matrix V TV is nonsingular.. E V. .. Example 2. (since 2vI . then = O. Let X = {VI. . LetV = 11 11 ~. and there exists a e R* such that Va = 0. 2. Example 2. T V is nonsingular. tIl 2. A e R xn B E ]Rnxm. Linear Independence Example 2. If the set of vectors is independent. e2 = 0 1 0 .. Linear Independence 2. Let V = Rn and define = ]Rn and el = 0 0 .14. Then consider the rows of etA B as vectors in Cm [t0.11.v2 + V3 = 0). .3. e2. = [ v 1 . V V2.}. . and X (of and 2. .2.. Then Sp{e1. kEN}. Then the span of of X is defined as X is defined as Sp(X) = Sp{VI... e2 .13. The dependence of this set of vectors is equivalent to the existence of a nonzero vector E Rk dependence of this set of vectors is equivalent to the existence of a nonzero vector a e ]Rk O. 2.'" ..•}} be a collection of vectors vi."I [ i1i1l ]} [[ s a linearly is a Iin=ly dependent set de~ndent ~t (since 2v\ — V2 + v3 = 0). linear dependence x such that Va = 0. X is a linearly independent set (of basis vectors). } = (Xl VI + . .. Independence of these vectors turns out to be equivalent to a concept called controllability. ~ HHi] } Ime~ly i is a i" linearly independent set.14. ii E If. e k. . Independence of these vectors turns out to be equivalent to a concept Chapter 11). Then {[ Then I. o Definition 2. Definition 2... then a = 0. Why? independent. and consider the matrix V = [VI. Vk] E Rnxk. An equivalent condition for linear independence is that the matrix Va = 0..en} = ]Rn.. Howe. {1.. . An equivalent condition for linear dependence is that the k x k matrix condition VT V is singular.Vk] e ]Rnxk. and there exists a E ]Rk such that VT V is singular. to be studied further in what follows.13. . Then consider the rows of etA B as vectors in em [to..en = 0 0 0 o SpIel. 1. A set of vectors X is a basis for V if and only ij Definition 2. + (XkVk . Let A E ]Rnxn and 5 e R"xm. .. Sp(X) = V.3. 2. Vi EX. which is discussed in more detail in efA Chapter 11). 1£t V = R3.
If a basis X for a vector space V(Jf 0) has n elements. VI ] : = vlel + V2e2 + .19. We say that the vector x of of of (b1.17. + vne n · Vn We can also determine components of v with respect to another basis..18.. B ~ [b". .. n unique. n for Then for all e there exists a unique ntuple {E1 . Definition 2. n } such that for V..b.. el + 2 . en} is a basis for IR" (sometimes called the natural basis).. + ~nbn = Bx... We represents B. bn]} and are unique.18.16. . For be n. The number of elements in a basis of a vector space is independent of the particular basis considered. .. The scalars {Ei}are called the components (or sometimes the coordinates) components coordinates) Definition 2. For example. write [ ] = XI • [ ~ + ] X2 • [ _! ] =[ ~ = [ ~ Then Then ! ][ ~~ l 1 [ ~~ ] = [ . . with respect to the basis with respect to the basis {[~l[!J} we have we have [ ~ ~ ] = 3. r I [ ... while We can also determine components of v with respect to another basis.12 12 Chapter 2. while [ ~ ] = I .. .[ ~  ] + 4· [ ~ l To see this. Example 2.16.15. en} natural Now let b l . particular basis considered. . V is said to X for be ndimensional or have dimension n and we write dim(V) n or dim V n. In]Rn.. components represents the vector v with respect to the basis B.. If V= 0) V is Definition 2. ..l.. Then for all v E V there exists a unique ntuple {~I'. The number of elements in a basis of a vector space is independent of the Theorem 2. e2. For example.. Vector Spaces Example 2. . In Rn.. ] l = = Theorem 2. for]Rn [e\. {~i } of v with respect to the basis {b l . .. bn be a basis (with a specific order associated with the basis vectors) b1. ..19. .. .dimensional or have dimension n and we write dim (V) = n or dim V — n. x ~ D J Definition 2.E~n} such that v= where ~Ibl + . For ... {el..
U S. U + S = T (in general ft. U\ + 1. V is infinitedimensional. s e S}. dim{A e Rnxn A is upper (lower) triangular} = !n(n 1). is not necessarily a subspace.. V for an arbitrary index set A). dim(~n) = n. Thus. 2. dim(Rn)=n. S S.18 says that dim(V) = the number of elements in a basis. T = R 0 S is the direct sum of R and S if = REB S is the direct sum ofR and S if Definition 2. for finite k). V.22. j e n. t1]) . and because the 0 vector is in any vector space. determine !n(n 1) symmetric basis matrices. determine 1/2n(n + 1) symmetric basis matrices.4 2. for finite k). V is infinitedimensional. n 5 S. R = 0. The sum and intersection Definition 2. Definition 2. R j ) = 0 am/ Ri = T).22. and 1. Theorem 2. n (^ ft. and because the 0 vector is in any vector space.24. i e m. F) be a vector space and let R.20. dim(R mxn ) mn.+00.=1 K k 1=1 2. dim{A € Rnxn A AT} = {1/2(n 1 (To see why. JF') be a vector space and let 71.) = 0 and ]P ft. i E m. R + S = {r + s : r e R. H. The collection of Eij matrices can be called the "natural basis matrices. + 7^ =: L R. The sum and intersection ofR and S are defined respectively by: of R. 5.23. and S are said to be complements of each other in T. R S = (in general. Ra C V/or an arbitrary index set A). vector space V is finitedimensional if there exists a basis X with n < +00 elements. V (in general." 3. j)th location. otherwise.) (To see why. 2. Remark 2. K + S S. R. we define dim(O) = O. V. « The subspaces R. 2.24. 1. Let (V.4.a S. Theorem 2. Example 2. tJJ) = +00. a eA CiEA f] n *R.. J)th location. Note: Check that a basis for Rmxn is given by the mn matrices Eij. .2. Theorem 2. is not necessarily a subspace. 4. dim(C[to. ft n 5 = {v : v E 7^ and v E 5}. 2. V (in general. n S {r s : r E U. dim(~mXn) = mn.4 Sums and Intersections of Subspaces Subspaces Definition 2.4. A vector space V is finitedimensional if there exists a basis X with n < +00 elements. The subspaces Rand S are said to be complements of each other in T.) 2 5. and 2. Remark 2. dim{A E ~nxn :: A = AT} = !n(n + 1). R D S C V (in general. Example 2. Note: Check that a basis for ~mxn is given by the mn matrices Eij.21. The union of two subspaces. . 72. The union of two subspaces. A consistency. Thus.18 says that dim (V) the number of elements in a basis. dim{A E ~nxn :: A is upper (lower) triangular} = 1/2n(n+ 1). Sums and Intersections of Subspaces 13 13 consistency.. n n S = 0. 1.j matrices can be called the "natural basis matrices. s E 5}. Theorem 2. Sums and Intersections of Subspaces 2. we define dim(O) = 0. Let (V.= T). 2. R H S = {v : v e R and v e S}. R C S. S.21.20. y>f (L L . RI \ h Rk =: ]T ft/ C V. where Eij is a matrix all of whose elements are 0 except for a 1 in the (i. 2. and S are defined respectively by: 1. R S C V (in general.23. otherwise. 1. where Efj is a matrix all of whose elements are 0 except for a 1 in the (i." The collection of E. j E ~. S c V. 1.
28. and SI. 2. X2. consider V = R2 unique. jRnxn. Suppose T = R O S.14 14 Chapter 2.c the Example 2. EXERCISES EXERCISES 1. . AVn are orv\. But as t = r1 + s1 = r2 + S2. For arbitrary subspaces R.. D Theorem 2. Find the components of the vector v = [4 If with respect to this basis.. let R be the set of skewsymmetric matrices in (V. .s\. Vector Spaces Chapter 2. {vi.. v = [4 l]r jR2. . ft S) = jR2 and let ft be any line through the origin. . r2 e R. IF) = (jRnxn.5. Since ft fl 0. ft be the set of symmetric matrices in R" x ". Suppose =R EB Then 1.. jR). ft. while U n £ is the set of diagonal matrices in Rnxn.. n Proof: A e jRnxn written Proof: This follows easily from the fact that any A E R"x" can be written in the form A=2:(A+A )+2:(AA).25. Xk E jRn 2. Xk} must be a linearly independent set. Using the fact that dim {diagonal (diagonal matrices} = n.. Then it may be checked that U + . Prove that viand V2 form a a basis Consider v\ = [2 l]r 1*2 = [3 l] Prove that VI and V2 form basis 2 for R ..c = jRnnxn jRn xn.. S of a vector space V. jRn xn . validity of the formula given in Theorem 2. of the formula given in Theorem 2.r2 S2 . .. Example 2. Av" •. Then V = U $ S. ft.si e S. Then any other distinct line through the origin is and let R be any line through the origin. and let R"x". Let x\. Then Theorem 2. which uniqueness follows. Example 2. . dim(R + S) = dim(R) + dim(S)  dim(R n S).r . 0 S. Let VI. F) (R n x n . triangular + L = R xn un. = dim(ft) + Proof: To Proof: To prove the first part. For arbitrary subspaces ft.29.20. x/c E R" be nonzero mutually orthogonal vectors. Suppose {VI. Since R n S = 0. *2. For example. .. Consider the vectors VI — [2 1f and V2 = [3 1f. vd must be a linear combination of the others... where r1.27. the set in jRnxn. . .vn be orthonormal vectors in R".2 and 2.26. 2. S of a vector space V. Vector Spaces Remark 2. But r1 –r2 E ft and S2 — SI E S. we must have rl = r2 and s\ = si from S2 from which uniqueness follows. mutually [x\. Theorem 2.27. 0 The statement of the second part is a special case of the next theorem.. Vn thonormal if and only if A E R"x" is orthogonal. Then r1 — r2 = s2— SI... S2 e rl Sl r2 Then r.25.27.20.. 2. where rl. e jRnxn 4... every t E T can be written uniquely in the form tt = r + s with r E Rand s E S. The complement of R (or S) is not unique. suppose an arbitrary vector t E T can be written in two ways t e as t S2... r2 E Rand s1.27. R). .. .26. one can easily verify the validity = n.r2 £ Rand 52 . Theorem 2. we must have r\ ri and SI rl .. S2 E S. We discuss more about orthogonal complements elsewhere in the text. . Among all the complements there is a unique one orthogonal to R. Avn are also orjRn. Show that {XI. Xk} must be a linearly independent set. Then show that one of the vectors 1. Show that Av\... and let S Let (V. together with Examples 2.. Vk} is a linearly dependent set. . . dim(T) = dim(R) + dim(S). Let U be the subspace of upper triangular matrices in E" x" and let £ be the subspace of lower triangUlar matrices in Rnxn. every t € can be written uniquely in the form r s with r e R and s e S.c jRnxn. 1 TIT The first matrix on the righthand side above is in S while the second is in R.29. Then any other distinct line through the origin is a complement of R. 3.. XI. Example 2.28. unique ft.
Exercises Exercises
15
5. Let denote the set of polynomials of degree less than or equal to two of the form 5. Let P denote the set of polynomials of degree less than or equal to two of the form Po + PI X + pix2, where Po, PI, p2 E R. Show that P is a vector space over R Show Po p\x P2x2, where po, p\, P2 e R Show that is a vector space over E. Show Find the components of the that the polynomials 1, *, and 2x2 — 1 are a basis for P. Find the components of the that the polynomials 1, x, and 2x2  1 are a basis for 2 2 with respect to this basis. polynomial 2 + 3x 4x polynomial 2 + 3x + 4x with respect to this basis.
6. Prove Theorem 2.22 (for the case of two subspaces Rand S only). 6. Prove Theorem 2.22 (for the case of two subspaces R and only).
7. Let n denote the vector space of polynomials of degree less than or equal to n, and of 7. Let Pn denote the vector space of polynomials of degree less than or equal to n, and of the form p ( x ) = Po + PIX + ...•+ Pnxn,, where the coefficients Pi are all real. Let PE po + p\x + • • + pnxn where the coefficients /?, are all real. Let PE the form p(x) denote the subspace of all even polynomials in Pn,, i.e., those that satisfy the property denote the subspace of all even polynomials in n i.e., those that satisfy the property p(—x} = p(x). Similarly, let PQ denote the subspace of all odd polynomials, i.e., p( x) = p(x). Similarly, let Po denote the subspace of all odd polynomials, i.e., those satisfying p(—x} = p(x). Show that Pn = PE EB Po· those satisfying p(x) = – p ( x ) . Show that n = PE © PO8. Repeat Example 2.28 using instead the two subspaces 7" of tridiagonal matrices and 8. Repeat Example 2.28 using instead the two subspaces T of tridiagonal matrices and U of upper triangular matrices. U of upper triangular matrices.
This page intentionally left blank This page intentionally left blank
Chapter 3 Chapter 3
Linear Transformations Linear Transformations
3.1 3.1
Definition and Examples Definition and Examples
definition of a linear (or function, We begin with the basic definition of a linear transformation (or linear map, linear function, or linear operator) between two vector spaces. or linear operator) between two vector spaces.
Let IF) and (W, IF) be vector spaces. Then I: : > a Definition 3.1. Let (V, F) and (W, F) be vector spaces. Then C : V + W is a linear transformation if and only if transformation if and only if I:(avi £(avi + {3V2) = aCv\ + {3I:V2 far all a, {3 e F andfor all v},v2e V. pv2) = al:vi fi£v2 for all a, £ ElF and far all VI, V2 E V. The vector space V is called the domain of the transformation C while VV, the space into called the of the transformation I: while W, the space into The vector space which it maps, is called the which it maps, is called the codomain.
Example 3.2. Example 3.2.
1. Let F = R and take V = W = PC[f0, +00). 1. Let IF JR and take V W PC[to, +00). Define I: : PC[to, +00) > PC[to, +00) by Define £ : PC[t0, +00) + PC[t0, +00) by
vet)
f+
wet) = (I:v)(t) =
11
to
e(tr)v(r) dr.
2. Let F = R and take V = W = JRmxn. Fix M e R m x m . Let IF JR and V W R mx ". Fix ME JRmxm. Define £ : JRmxn + M mxn by I: : R mx " > JRmxn by
X
f+
Y
= I:X = MX.
3. Let F = R and take V = P" = {p(x) = a0 + ct}x H ... + anx"n : a, E R} and ao alx + ai E JR} and 3. Let IF = JR and take V = pn (p(x) h anx W = pnl. w = pn1. I: : —> Define C.: V + W by I: p = p', where'I denotes differentiation with respect to x. Lp — p', where denotes differentiation x.
17
F) —>• (W. + ~nLvn =~IWal+"'+~nWan = WAx. We thus commonly identify A as a linear transformation with its matrix representation. say. j E !!!. E ~} e m] V ith column of A = Mat £ (the matrix representation of £ with respect to the given bases = L L for V and W) is the representation of LVi with respect to {w j.. is arbitrary). Then the {w j.. . W = R m and [ v i . In other words. i.18 Chapter 3. + amiWm where W = [w\... but this is usually not done.} are the usual (natural) bases. is by its action on a basis. Change of basis then corresponds naturally to appropriate matrix multiplication. i. In other words.e..} are bases for V and W. LV WA since x was arbitrary. then LVx = Lv = ~ILvI + . Specifically.. Thinking of both as a matrix and as a linear transformation from JR. then arbitrary). if V = E1v1 + . Li near Transformations Chapters. with respect to {w }•. and hence x. i e n} and {Wj.mxn a mn represents L since represents £ since LVi = aliwl =Wai. j e m}. w m] and where W = [WI. n A= al : ] E JR.2 Matrix Representation of Linear Transformations Matrix Representation of Linear Transformations Linear transformations between vector spaces with specific bases can be represented conLinear transformations between vector spaces with specific bases can be represented conSpecifically. for V and W) is the representation of £i>. Note that A = Mat £ depends on the particular bases for V and W. W = lR. When V = R"." to Rm usually causes no Thinking of A both as a matrix and as a linear transformation from Rn to lR. in the notation.m usually causes no naturally confusion. {W jj' j e !!!. suppose £ : (V. F) is linear and further suppose that {Vi... When V = JR. Linear Transformations 3. Thus. transformation with its matrix representation.. w ] and L is the ith column of A. [ w .• + E nVnn = V x (where u. {u.. i e ~}.. z'th V This could be reflected by subscripts. j E m} are the usual (natural) bases WA linea LV L = A. if v = ~I VI + • • + ~n v = Vx (where v. £V = W A since x was arbitrary. .n.e.. i E n}. and hence jc. usually L The action of £ on an arbitrary vector V e V is uniquely determined (by linearity) v E V uniquely determined by its action on a basis.. L IF) ~ (W..m and {Vi. We identify A the equation £V = W A becomes simply £ = A. Thus.. Thus. + . j E raj. Thus. respectively.. IF) veniently in matrix form.2 3.
expressed mxp nxp formula cij = L k=1 n aikbkj. the arrows above are reversed as follows: C However. Inner Product: n xTy = Lx. Note that in most texts. y E Rn. If dimU = p. That is.3.. xx T XX ).y. and dim W = m.=1 Outer Product: Let x e Rm. Outer Product: matrix matrix mxn E R Note that any rankone matrix A e ~mxn can be written in the form A = xyT = xyT H mxn mxn). and W and transformations B from U to V and A from Wand V to W. . That is. Composition ofTransformations 3. and if we associate matrices with the transformations in the usual way. and if we associate matrices with the transformations in the usual way. y e ~n. the form XXT (or xx HH). The above is sometimes expressed componentwise by the C — A B .3. dim V = n. dimV = n. y e Rn. Then their inner product is the scalar E ~n. Then we can define a new transformation C as follows: C The above diagram illustrates the composition of transformations C = AB. Then their outer product is the m x n E ~m. in the same order in both the diagram and the equation. If dimZ// = p. Composition of Transformations 19 19 3. it might be useful to prefer the former since the transformations A and B appear in the same order in both the diagram and the equation. V. Then we can define a new transformation C as follows: to W.3 Composition of Transformations Composition Consider three vector spaces U. then composition of transformations corresponds to standard matrix mUltiplication. . then composition of transformations corresponds to standard matrix multiplication. A rankone symmetric matrix can be written in above (or xy if A E C xyH e c ).3. and dim W m. Two Special Cases: Two Special Inner Product: Let x. we have C A B . Note that in The above diagram illustrates the composition of transformations C = AB.
Note that in Theorem 3... The range of A.an]. D Remark 3. an].. denotedlZ( A). usual (natural) bases." • orthonormal set. . then Proof: The proof of this theorem is easy. Definition3. I ~VI VI ^/v.. If in of = [a\. Vk} with u.. —/=== .. . [: J} is an orthogonal set. .IN. vk] be a set of nonzero vectors Vi E ~n.4.[ :~~ J} . See also the last paragraph of Section 3.. denoted N(A). an M. 0 nition. ~}  ISisan 3. W. be orthogonal if' vjvj 0 for i ^ j and orthonormal if vf vj 8ij' where 8tj is the be orthogonal if vr v j = 0 for i f= j and orthonormal if vr v j = 8ij. Definition 3.4 3.3. is the set {w E W : w = Av for some v E V}.3. vd of u.5. Definition 3. The set is said to 3.2. {[ ~~i ]. 2.7.•. N(A) S. The nullspace of kernel of and A is also known as the kernel of A and denoted Ker (A). 1. 1. .. LinearTransformations Chapter 3. 2. in general. vi ^/v'k vk ~~~ ] . essentially following immediately from the defiProof: The proof of this theorem is easy. then then R(A) = Sp{al. then ~ .. Then 1. is an orthonormal set. See also the of Section 3. ~. . If A is written in terms of its columns as A = [ai.i •. e Rn.. Note that N(A) and R(A) are... R ( A ) S. is the set {w e w = Av for some v e V}. subspaces of different spaces.. If {VI. the same symbol (A) is Note that in Theorem and throughout the text. then {I —/==. . The nullspace of A. Note that N(A) and R(A) are.Vk } With Vi E. Then Let A : V —>• be a linear transformation. Theorem 3. where 8ij is the Kronecker delta defined by Kronecker delta defined by 8 = {I0 ij ifi=j. IS an orthogonaI set. 3. ~ 3 . subspaces of different spaces. of of denoted Im(A). denotedR(A). Let A : V + be a linear transformation. The nullspace of The of denoted N(A).8. Example 3. 2.6. is the {v e V Av = 0}.4 Structure of Linear Transformations Structure of Linear Transformations Let A : V —> W be a linear transformation..20 20 Chapter 3. V. N(A) c V. Li near Transformations 3. if i f= j. Let A E Rmxn. . Let A : V + W be a linear transformation.. Equivalently. {v1. . orthonormal set. (A). is an orthonormal set. . R(A) = {Av : v E V}...7. essentially following immediately from the definition.. Let {VI. e ~mxn. is an orthogonal set. {[ ~ J. the same symbol (A) is used to denote both a linear transformation and its matrix representation with respect to the used to denote both a linear transformation and its matrix representation with respect to the usual (natural) bases.. an} . denoted Im(A). Theorem 3. is the set {v E V : Av = O}. .2. The range of A. The range of A is also known as the image of A and — {Av e V}.8. { t > . R(A) C W.. € 1Tlln is an orthogonal set.5 and throughout the text. in general. .
n S~. including dependent spanning vectors (which would. of course. (S~)l.. Set XI X2 = L (xT Vi)Vi. S 5. Note that there is nothing special about the two vectors in the basis defining S being orthogonal. Let 3. Any set of vectors will do. Vk} be an orthonormal basis for S and let x E Rn be an arbitrary {v1. Theorem 311 Let Theorem 3.4. . . Structure of Li near Transformations 3. The proofs of the other results are left as Proof: left exercises. = S.= {v e Rn : vTs=OforallsES}. Then the orthogonal complement of S is defined as the set c ]Rn. k =X .4. the computation involved is simply to find all nontrivial (i.=1 XI. 3. nonzero) solutions of the system of equations 3xI 4xI + 5X2 + 7X3 = 0. Then it can be shown that Working from the definition. n <. Then the of defined T S~={VE]Rn: V S = 0 for all s e S}. then give rise to redundant equations).. Set vector.10. Rn.. ... Let R S C Rn The S <. ]Rn. 2. vk} e ]Rn vector. S \B S~ = ]Rn. n~.9.e. 6. Proof: We prove and discuss only item 2 here.. Structure of Linear Transformations 21 21 Definition 3.11. Example 3. if and only if S~ <. 4.10.3. (n n S)~ = n~ + S~. Then n. . Let {VI. + X2 + X3 = 0. Let S <. S1. (n + S)~ = nl.
x 1 E Sand x2. But then (x'1 —XI)TT (x. . ft(Ar) (i. every vector w in the codomain space IRm can be written in a unique way as w = x+y. We also have that S U S. when we have such direct sum decompositions.e.12.l. IRm = R(A) EBN(A T». Let A : IRn —> Rm. . We S n S1 =0 the e orthogonal everything in (i.5 Four Fundamental Subspaces Four Fundamental Subspaces Consider a general matrix A E lR. since T x 2 Vj = XTVj .XI/ (x~ . Then {v E R" : Av = 0} is sometimes called the right nullspace of A. 2... many properties of A can be developed in terms of the four fundamental subspaces .12. 0 x1 — x'1 andx2 = x2. In other words. (w e Rm : w T A = 0} is called the left nullspace of A. Since x was arbitrary. i.) 2.. and x2 = x~. Suppose.. In other words.e. D Theorem 3. (Note: This for finitedimensional 1.l. Ax = 0 if and only if x equivalent to yT Ax = 0 for all y.22 22 Chapter 3. the right nullspace is N(A) while the left nullspace is J\f(AT). take an arbitrary x e A/"(A). (Note: This also holds for infinitedimensional vector spaces. x~ X2 = (x.11 can be combined to give two very funTheorem 3. 0 The proof of the second part is similar and is left as an exercise. It is also easy to see directly that.l = Rn. Linear Transformations Then x\ E <S and.1 in the next section. Ax = Proof: To prove the first part. including itself) is 0.13. Let A : Rn + Rm. E S and X2. standing Figure 3. But yT Ax = (ATyy{ x.XITVj =XTVjXTVj=O. Rm = 7l(A) 0 M(AT)). i. When thought of as a linear transformation from E" Consider a general matrix A € E^ x ".14 (Decomposition Theorem).e.e. many properties of A can be developed in terms of the four fundamental subspaces to IRm.xn. (Note: This holds only for finitedimensional vector spaces. every vector v in the domain space IRn can be written in a unique way as v = x 7.l N(A T (i. Let A : Rn + IRm. x~ e S. X2 is orthogonal to any vector in S.11 can be combined to give two very fundamental decompositions damental and useful decompositions of vectors in the domain and codomain of a linear and transformation A. See also Theorem 2. where XI.. everything in S (i. It can write vectors in a unique way with respect to the corresponding subspaces. {w E IR m : WT A = O} is called the left nullspace of A. the right nullspace is A/"(A) while the left nullspace is N(A T ). . Theorem 3. Then X2 = x. XI) (which follows by rearranging the equation XI +X2 = x.e. E N(A) and E N(A). since Then XI e S and. .12 and part 2 of Theorem 3. Then T (x.l where x € M(A) and y € J\f(A)± = R(AT) (i. Similarly. Theorem 3.e. R(A). y.. every vector v in the domain space R" can be written in a unique way as v = x + y. The proof of the second part is similar and is left as an exercise. for example.14 (Decomposition Theorem).X2) 0 since (x'1 — x1) (x' 2 — x2) = 0 by definition of ST. Then Theorem 3. right nullspace of A. Then Theorem 3. that x = XI for example.1 in the next section. We have thus shown that vectors.) N(A)1" spaces. Vk and hence to any linear combination of these vectors.) 2. x'2 E S1.x1) (x'1 xd x2 — X2 = — (x'1 — x1) (which follows by rearranging the equation x1+x2 = x'1 + x'2).•. = x'1+ x'2. Let A : R" + IRm. Vk and hence to any linear combination of these we see that X2 is orthogonal to VI. D Definition 3. . Let A : IRn > Rm.5 3.. we see that x2 is orthogonal to v1.l = R(A T}. + x~. Thus. Clearly. Then R(A r ). Thus.e.. See also Theorem 2. x e R(AT). Li near Transformations Chapters.) Proof: To x E N(A). we decompositions. transformation A.. 3. (Note: This also holds for infinitedimensional vector spaces..l = 0 since the only vector s E S orthogonal to S1 = IRn. +x~). Thus. But then (x. Suppose. established that N(A) U(AT ). Then Ax = 0 and this is an and equivalent to yT Ax = 0 for all v. where x e U(A) and y e ft(A)1. Let A : IRn > IRm.e. X2 is orthogonal to any vector in S. – x1) = 0 since 0 by definition of S. we form AT v.26. R" N(A) 0 ft(Ar ».l = 7£(AT). that x = x1 + x2. XI = x.26. Similarly. Then 1.= Af(AT) ) (i. Then {v e IRn : A v = O} is sometimes called the Definition 3. This key theorem becomes very easy to remember by carefully studying and underThis key theorem becomes very easy to remember by carefully studying and understanding Figure 3.13.. N(A).(A)1~ — J\f(ATT ).l. Clearly. We have thus shown that S + S. every vector in the codomain space R m can be written ina unique way asw = x+y. x. When thought of as a linear transformation from IR n to Rm. can write vectors in a unique way with respect to the corresponding subspaces. But yT Ax = ( A T ) x.12 and part 2 of Theorem 3.l = N(A ). E R(A) and E R(A). including itself) is O. where x\. Thus. 'R. Ax = 0 if and only if x orthogonal is orthogonal to all vectors of the form AT y. x E R(A r ) Since x 1 have established thatN(A)... IRn = M(A) EB R(A T)).
This is sometimes called 3.3. A is onto (also called epic or surjective) ifR. Then rank(A) = dim R(A). A is onetoone or 11 (also called monic or injective) if N(A) = O. A f ( A ) .1. Let and W be vector spaces and let A : motion. A is onetoone or 11 (also called monic or infective) ifJ\f(A) = 0. fundamental subspaces. N(A). Let V and W be vector spaces and let A : V + W be a linear transforDefinition 3.16. Let A : E" + Rm.15. 1. be a linear transforDefinition 3. Four Fundamental Subspaces 23 23 A r N(A)1 r EB {OJ X {O}Gl nr m r Figure 3. Two equivalent 2.1 obvious and we return to this figure frequently both in the context of linear transformations obvious and we return to this figure frequently both in the context of linear transformations and in illustrating concepts such as controllability and observability. R(A).1 makes many key properties seem almost N(A)T. Four Fundamental Subspaces 3. R(A)1.5. IR n > IRm. Figure 3. Two equivalent characterizations of A being 11 that are often easier to verify in practice are the characterizations of A being 11 that are often easier to verify in practice are the following: following: (a) AVI = AV2 (b) VI ===} VI = V2 . 1. Figure 3. and in illustrating concepts such as controllability and observability.(A) = W. t= V2 ===} AVI t= AV2 . the column rank of A (maximum number of independent columns).5. 3. properties 7£(A).1.16. Definition 3. The row rank of A is column rank of of independent row rank of . 2. 'R. A is onto (also called epic or surjective) ifR(A) = W. mation.(A)^. rank(A) dimftCA).15. and N(A)1. Four fundamental subspaces.
We thus have that dim R(A) = dimN(A)L since it is easily shown T dim7?.11 and 3. LinearTransformations Chapter3.. the following string of equalities follows easily: "column rank of A" = rank(A) = dim R(A) = dimN(A)L1 = dim R(AT) = rank(AT)) = A" rank(A) = dim7e(A) = dim A/^A) = dim7l(AT) = rank(A r = "column "row rank of A. nullity(B) :s nullity(AB) :s nullity(A) 4. rank(B)}.24 24 Chapter 3. where Ax — w. r*i *i E N(A)L. it is a statement about equality of dimensions. . Then Ajti = W = TXI since Xl e A/^A). if B is nonsingular. iv} abasis forA/'CA) .. Proof: From Theorems 3. B E R" xn . shows that T is onto. Tv abasis 7?. dimA/"(A) + dimft(A) = dimension of the domain of A. Then N(T) = To w E 7£(A). 3. .(A). if {ui. . dimension of the domain of A.. dimensions. where n is the ]Rn > ]Rm. the subspaces themselves are not necessarily in the same vector space. and products of matrices.. sometimes denoted nullity(A) or corank(A). Tvrr]} is a basis for R(A). O:s rank(A 2. Clearly T is 11 (since A/"(T) = 0). . Let A : Rn > Rm. Then dimN(A) + dim R(A) = n. To see that T is also onto. rank(AB) = rank(BA) = rank(A) and N(BA) = N(A). . x x e R" x\ X2. 3. following follows we apply this and several previous results. (Note: Since 3. 1 1 Xl E A/^A) . .. Linear Transformations dim 7£(A r ) (maximum number of independent rows). 0 For completeness.18. then {TVI. ." 0 of D The following corollary is immediate. this theorem is sometimes colloquially stated "row rank of A = column N(A)L = R(A A/^A) " = 7l(A ). v r } is a basis for N(A)L.17.") Proof: Proof: Define a linear transformation T : N(A)L ~ R(A) by J\f(A)~L —>• 7£(A) by Tv = Av for all v E N(A)L. Then 3.17. The last equality AXI x\ e N(A)L and jc E N(A). .19. The dual notion to rank is the nullity R(AT) of independent rows). R(A) : ]Rn ~ ]Rm. Part 4 of Theorem 3.19. Write x = Xl + X2. e ]Rnxn.18. 1. u. the subspaces themselves are not necessarily in the same vector space.. . The basic results are contained in the following easily proved following theorem. we include here a few miscellaneous results about ranks of sums completeness. Then dim K(A) = dimNCA)L. of A. Let A. + nullity(B). of Corollary 3. and is defined as dimN(A).andx22 e A/"(A).19 suggests looking at the general problem of the four fundamental Part 4 of Theorem 3. {Tv\. Theorem 3. .19 suggests looking atthe general problem of the four fundamental subspaces of matrix products. Finally. dimA/'(A) ± (Note: 1 T T ). and is defined as dim A/"(A).17 we see immediately that Proof: From Theorems 3. by definition there is a vector x E ]Rn such that Ax = w. . Let A : R" ~ Rm.. denoted nullity(A) or corank(A). + rank(B)  n :s rank(AB) :s min{rank(A). take any W e R(A). of A. rank(A) + B) :s rank(A) + rank(B).11 and 3. Theorem 3.17 we see immediately that n = dimN(A) = dimN(A) + dimN(A)L + dim R(A) .(A) = dimA/^A^ 1 if that if {VI. Like the theorem. colloquially of = rank of A..") of A.
then dim V — dim W.22. Then A r A. Also. AT A is nonsingular). Then y = Ax. e IRmxn. It The next theorem is closely related to Theorem 3. N«AB)T) . 2. Note that if A is invertible.20. A : V —» W is invertible (or bijective) if and only if it is 11 and onto. .17. then dim V = dim W. RCAB) S. the transformations A. especially when dealing with pseudoinverses and is extremely useful in text that follows. especially when dealing with pseudoinverses and linear least squares problems. R(AT) 3. Then 3. Conversely. Let A : IRn + IRm. Then 3. 1. N(AB) .e. Definition 3. equivalently. 3. then A/"(A) = 0. A is AT AXI AT AX2. which implies x\ = x^.23. A is 11 if and only z/rank(A) = n (A has linearly independent columns or is said to have full column rank. A : V + W is invertible (or bijective) if and only if it is 11 and onto. 4.5.20. Similar remarks apply to A and A~T.3. since ArA is invertible.(A). D D 11. linear least squares problems. Four Fundamental Subspaces 3. x AT (AAT)I e IRn.—n = dim 7£(A r ). e 7?. We now characterize 11 and onto transformations and provide characterizations in We now characterize II and onto transformations and provide characterizations in terms of rank and invertibility. 25 25 The next theorem is closely related to Theorem 3. AX2. Let A E Rmxn.20 and is also easily proved.23. nonsingular ifand only ifrank(A) = n. 2. R(B T ).17. Conversely. : R n » Rm.22. equivalently. Theorem 3.2 N(B). Proof' Proof of part 1: If A is onto. 1. 1. then N(A) = 0. It is extremely useful in text that follows. Let e IRmxn. let y e Rm Proof: Proof of part 1: If A is onto. A Proof of part 2: If A is 11. AT. Ar. i. which implies that dim A/^A). XI = X2 AT A A 11.5. Note that in the special case when A E R"x". y E R(A).21. The transformations AT and A I have the same domain and range but are in general different maps unless A is and A~! have the same domain and range but are in general different maps unless A is orthogonal. and AI A. R«AB)T) S. so A is onto. A is onto if and only if rank (A) = m (A has linearly independent rows or is said to have full row rank. let y E IRm be arbitrary. AA is nonsingular). AT A nonsingular). have full row rank. suppose AXI = Ax^. B E Rnxp.. to have full column rank.(A) — m — rank (A). dim R(A) = m = rank(A). which implies that dimN(A)11 = n — Proof of part 2: If A is 11. terms of rank and invertibility. Four Fundamental Subspaces Theorem 3. A is onto if and only //"rank(A) — m (A has linearly independent rows or is said to 1. and hence dim R(A) n by Theorem 3.21. = R(A T A).ti = AT Ax2. A € IR~xn. The transformations AT are all 11 and onto between the two spaces N(A)1. Let jc = AT(AAT)~]y Y E Rn. 4. and hence dim 7£(A) = n by Theorem 3. Conversely. AATT is nonsingular). N(A) = N(A T A). dim7?. A : IRn »• IR n is invertible or Note that if A is invertible. A A T. equivalently. Theorem 3.20 and is also easily proved.and R(A). e IRnxp. RCA). Let A E Rmxn. equivalently. Then Theorem 3.2 N(A T ). A : W1 + E" is invertible or nonsingular if and only z/rank(A) = n. Thus. 2. A"1 ± are all 11 and onto between the two spaces M(A) and 7£(A). Also. N(A T ) = N(AA T ). A is 11 if and only ifrank(A) = n (A has linearly independent columns or is said 2. Conversely. R(A) = R(AA T ). Definition 3. suppose Ax\ dim R(A T).
R = If left A L A L A = 2. A is invertible if and only if it is both right and left invertible.22 we see that if A : E" + Em is onto. A right invertible if and only if it onto.26. —> transformation if left + 2. can always find v e E2 such that [1 2][^] = a). Let A = [1 2] : E2 »• E1I. Definition 3. Obviously A has full row rank (= 1) and A . A R the case that A~R + A~RA .L = (ATTA)I1AT. 1.25. A is left invertible if and only ifit is 11. in A I = A R = A L. right inverses for A. (A R + A RA . (Proof: Take any a E E1I. Let A : V > W. Let Theorem 3. A is said to be left invertible if there exists a left inverse transformation A~L : W —> to transformation A L : V such that A L A = Iv.24. where Iv denotes the identity transfonnation on V.R + ARA I) = AA. Let A : V + W. Li near Transformations Chapters. both 11 and Moreover.25 that A is invertible. Obviously A has full row rank can always find v E ]R2 such that [1 2][ ~~] = a). it may still be right or left invertible. A. 2.R = _~] (=1) and A~R = [ _j j is a right inverse.. Theorem 3.e. Theorem 3. D Example 3.R AA. i.I = A~R. . it is clear that there are infinitely many right inverse. Similarly.24. if A is 11. Then Definition 3... therefore.25 that A is invertible. Then A is onto. is left invertible if and if it and left invertible. then a right inverse is given by A~R = AT(AAT) I. i. i.. A is said to be right invertible if there exists a right inverse transformation A~RR : if A.. Defileft If linear concepts left nitions of these concepts are followed by a theorem characterizing left and right invertible transformations. If there exists a unique left inverse A~L such that A~LA = I. If there exists a unique right inverse A~R such that AA~R = I. A R A = I.e. Notice the and leave the following: following: A(A. Let A : V » V.26. In Chapter 6 we characterize all right inverses of a matrix by Chapter characterize characterizing all solutions of the linear matrix equation A R = I. 3. 1. If Proof: proof of second Proof: We prove the first part and leave the proof of the second to the reader. are infinitely A. then A is invertible. therefore. in which case A~l = A~R = A~L. Also.27. A~ (A A)~ A . then one (Proo!' = [1 2]:]R2 + ]R . Let + V. where Iw denotes the identity transfonnation on W. A is right invertible if and only if it is onto.: AA R = w Iw W + V such that AA~R = Iw. by uniqueness it must be A R + A R A — = A R.R + AARA = I A +IA  A since AA R = I = I. It then follows from Theorem 3.26 Chapter 3. It then follows from Theorem 3. (A R + A R A — /) must be a right inverse and. linear Transformations If a linear transformation is not invertible. characterizing all solutions of the linear matrix equation AR = I.. But this implies that A~RA = /.e.22 ]Rn >• ]Rm Note: From Theorem 3. Then > 1. that A~R is a left inverse.e. € ]R .I) must be a right inverse and. 1.both 11 and is if and if onto.. then A is invertible. such that A~LA = Iv where Iv denotes the identity transformation on V. Let A : V + Then 1. then a left inverse is given by A R = AT (AAT) left T L = A. 0 a left inverse. by uniqueness it must be Thus. i.
Prove Theorem 3.4. Find the matrix representation of A with respect to the bases Find the matrix representation of A to bases {[lHHU]} of R3 and {[il[~J} of E . II? Is £. We give below bases for its four fundamental subspaces. In Chapter 6 we characterize all left inverses of a matrix by characterizing all solutions of the linear matrix equation LA = I. Let A = [i]:]Rl > ]R2. £. Again. let denote the subspace of symmetric 2. below bases for its four fundamental subspaces. 2 . ThenAis 11. Is £. Consider the vector space ]Rnxn over ]R.2. Let A = [~ . Let A = [8 5 i) and consider A as a linear transformation mapping E3 to ]R2. 2. EXERCISES EXERCISES 3 4 1. The matrix A = 1 1 2 1 [ 3 1 when considered as a linear transformation onIE \ is neither 11 nor onto. Y) = Tr(X Tr F).Exercises 27 2. Prove Theorem 3. it is clear that there are A L = [3 — 1] infinitely many left inverses for A.1] is a left inverse. 4. matrix characterizing all solutions of the linear matrix equation LA = I. whence N(A) = 0 so A is 11). For matrices X.3. whence A/"(A) = 0 so A is 11). is neither 11 nor onto. Consider the differentiation operator C defined in Example 3. Then A is 11. . (Proof: The only solution to 0 = Av = [I2]v is v = 0. LetA [J] : E1 ~ E2. 3. Show that. respect to this inner product. In Chapter 6 we characterize all left inverses of a infinitely many left inverses for A. 'R. R = S J. We give when considered as a linear on ]R3. Consider the vector space R nx " over E. It is now obvious that A has full column rank (=1) and A~L = [3 . J E2. — S^. consider A linear transformation ]R3 1. (Proof Theonly solution toO = Av = [i]v 2. Y E Enx" define their inner product by (X. For matrices matrices. Consider differentiation £ 11? Is£ onto? onto? 4.4. let S denote the subspace of symmetric matrices. The matrix 3. It is now obvious that A has full column is v 0. y) = Tr(X Y). 3. respect to this inner product. and let 7£ denote the subspace of skewsymmetric matrices. with Y e ]Rnxn (X. and let R denote the subspace of skewsymmetric matrices.
provide a counterexample. Are they equal? Is this true in general? DetennineN(A) and R(A). Suppose A E IR m xn has a left inverse. prove it. if not. Prove Theorem 3. ~ ~ 3 8.11. Are they equal? Is this true in general? If this is true in general. Let A = [ J o]. left T Suppose e Rmxn 9.2. Suppose A € Mg 9x48 .28 5. Linear Transformations Chapters.4. Prove Theorem 3.1 11. Rnxm thought of as a transformation from Rm to IRn. .1 to illustrate the four fundamental subspaces associated with AT e associated ATE nxm IR from IR m R". Theorem 6. linearly independent solutions 10. Linear Transformations 7. Determine A/"(A) and 7£(A). Let = [~ 9. Chapter 3. Determine bases for the four fundamental subspaces of the matrix Detennine fundamental A=[~2 5 5 ~]. homogeneous linear system Ax = 0? homogeneous linear system Ax = O? n 3.Il.4. Modify Figure 3. How many linearly independent solutions can be found to the 10.12. 3. If E 1R~9X48. Show that AT has a right inverse.
problems. brings great notational and conceptual clarity to the study of solutions to arbitrary systems of linear equations and linear least squares to the study of solutions to arbitrary systems of linear equations and linear least squares problems. and hence we can RCA) —>• J\f(A}~L This transformation can define a unique inverse transformation Tl 1 :: 7£(A) + NCA).17. A purely algebraic y + characterization of A+ is given in the next theorem. define a transformation A+ : Y —»• X by Definition 4. brings great notational and conceptual clarity matrix and. which was proved by Penrose in 1955. where X Xand Y y are arbitrary finitedimensional vector spaces.l —>• Tl(A) by Tx = Ax for all x E NCA). the MoorePenrose pseudoinverse of A..1.. see [22]. as is shown in the following text. Although X and y were arbitrary vector spaces above. With A and T as defined above. for determining A+ . let us henceforth consider the X ~n lP1. 4. 29 . where and are arbitrary finiteConsider a linear transformation A : X + y. as noted in the proof of Theorem 3. Then A+ is the MoorePenrose where y = y\ pseudoinverse of A. T is bijective (11 and onto). define a transformation A + y + X by where Y = YI + Yz with Yl e 7£(A) and Yz e Tl(A}L. Definition 4.+ R(A) by dimensional Define transformation T : N(A). The MoorePenrose pseudoinverse is defined for any matrix and. which was proved by Penrose in 1955.l. Then. the MoorePenrose pseudoinverse of A.. and hence we Then. see [22]. We have thus defined A+ for all A E IR™xn. With A and T as defined above.1 4.1. as noted in the proof of Theorem 3. pseudoinverse of A. can be used to give our first definition of A . a generIn this chapter we give a brief introduction to the MoorePenrose pseudoinverse.1 Definitions and Characterizations Definitions and Characterizations Consider a linear transformation A : X —>• y. neither provides Unfortunately. a generalization of the inverse of a matrix. T is bijective Cll and onto).l.l. as is shown in the following text. let us henceforth consider the Although X and Y were arbitrary vector spaces above. This transformation T~ + can be used to give our first definition of A+." X ".17. Then A+ is the MoorePenrose j2 with y\ E RCA) and yi E RCA). the definition neither provides nor suggests a good computational strategy good computational strategy for determining A +. Define a transformation T : Af(A)1.m We A+ A e lP1. characterization of A is given in the next theorem.Chapter 4 Chapter 4 Introduction to the Introduction to the MoorePenrose MoorePen rose Pseudoinverse Pseudoinverse In this chapter we give a brief introduction to the MoorePenrose pseudoinverse. case X = W1 and Y = Rm.
Such a verification is often relatively satisfies all four. Introduction to the MoorePenrose Pseudoinverse Theorem 4. Theorem 4. A+ always exists and is unique. Note that the inverse of a nonsingular matrix satisfies all four Penrose properties. neither the statement of Theorem 4. then by uniqueness.2. Note that other left inverses (for example. Given a matrix G that is a candidate for being checkable criterion in the following sense." xn. neither the statement of Theorem 4. Example 4. Unfortunately.3. Consider A = f ] satisfies (P1)(P4).4.1]) satisfy properties (PI). this can be found in [1. Still another characterization of A+ is given in the following theorem.2 Examples Examples Each of the following can be derived or verified by using the above definitions or characEach of the following can be derived or verified by using the above definitions or characterizations. Then A+ [a [! = lim (AT A + 82 1) I AT 6+0 6+0 (4. p. it must be A+.1) = limAT(AAT +8 2 1)1. AG. For any scalar a. . A+ = (AT A)I AT if A is 11 (independent columns) (A is left invertible).7. 19].2.3. Consider A = [']. (P2) GAG G.1. If G satisfies all four.2 4. If G the pseudoinverse of A. = Furthermore. Also. Verify directly that A+ = Example 4. a right or left inverse satisfies no fewer than three of the four properties. A + always exists and is unique. (PI) AGA = A. and (P4) but not (P3). (P2). straightforward. (P4) (GA)T = GA. characterization can be useful for hand calculation of small examples. However. However. Also.5. (P2). one need simply verify the four Penrose conditions (P1)(P4). the Penrose properties do offer the great virtue of providing a tional algorithm.5.6. then by uniqueness.7. (4.1. Example 4..2) 4. (P3) (AGf (P3) (AG)T = AG. Note that the inverse of a nonsingular matrix satisfies all four Penrose properties. Verify directly that A+ = [ ~] satisfies (PI)(P4). (P4) (GA)T = GA. Let A E lR. p. the Penrose properties do offer the great virtue of providing a checkable criterion in the following sense.4. this characterization can be useful for hand calculation of small examples. Such a verification is often relatively straightforward. whose proof can be found in [1. as with Definition 4. X+ = AT(AATT) I if A is onto (independent rows) (A is right invertible). Then G = A+ if and only if Theorem 4. While not generally suitable for computer implementation.6. and (P4) but not (P3). Example 4. Let A E lR. (P2) GAG = G. While not generally suitable for computer implementation. Example 4. Then Theorem 4. Introduction to the MoorePenrose Pseudoinverse Chapter 4. L Note that other left inverses (for example. 19]. whose proof Still another characterization of A + is given in the following theorem.2 nor its proof suggests a computawith Definition 4. A+ = (AT A)~ AT if A is 11 (independent columns) (A is left invertible). For any scalar a. Given a matrix G that is a candidate for being the pseudoinverse of A. A L = [3 — 1]) satisfy properties (PI). it must be A +. A~ = [3 . A t = AT (AA )~ if A is onto (independent rows) (A is Example 4. if a =0.2 nor its proof suggests a computational algorithm. one need simply verify the four Penrose conditions (P1)(P4).30 Chapter 4. Furthermore. Unfortunately. Example 4. Let A e R?xn Then G = A + if and only if (Pl) AGA = A. as a right or left inverse satisfies no fewer than three of the four properties. Let A e R™xn." xn. terizations. if a t= 0. Example 4.
0 the four Penrose conditions.10.). Let S E Rnxn be symmetric with U TSU = D.VVEejRnxnx " are orthogonal (M is 4. where D+ is again a diagonal matrix whose diagonc D is diagonal.9. if v i= 0. Let S e jRnxn be symmetric with UT SU = D.7. Many of these are used in the text that follows. [~ ~ r ~ =[ 0 Example 4. The proof of the first result is not particularly easy and does not even have the virtue of being proof of the first result is not particularly easy and does not even have the virtue of being especially illuminating. . . Let A E R m x "and suppose UUEejRmxm. The interested reader can consult the proof in [1. D Theorem 4. where U is orthogonal and D is diagonal.9. Theorem 4. p.12. simply verify that the expression above does indeed satisfy each c the four Penrose conditions. 31 31 Example 4.11. Properties and Applications Example 4. Then Proof: For the proof. The Proof: Both results can be proved using the limit characterization of Theorem 4.3 4. 27]. if v = O. Example 4.12. Theorem 4. 2. The proof of the second result (which can also be proved easily by verifying the four Penrose proof of the second result (which can also be proved easily by verifying the four Penrose conditions) is as follows: conditions) is as follows: (A T )+ = lim (AA T ~+O + 82 l)IA = lim [AT(AAT ~+O + 82 l)1{ + 82 l)1{ 0 = [limAT(AAT ~+O = (A+{. are used in the text that follows.4. Properties and Applications 4. simply verify that the expression above does indeed satisfy each of Proof: For the proof. (A T )+ = (A+{. where U is orthogonal an Theorem 4. Proof: Both results can be proved using the limit characterization of Theorem 4. The especially illuminating.. A+ = (AT A)+ AT = AT (AA T)+. Example 4.13. The interested reader can consult the proof in [1.7. For any vector e jRn.8. 27].10.3.4. e jRmxn and suppose Rmxm R n are orthogonal (M is T 1 1 orthogonal if M M ).13. For A e Rmxn 1.4. Many of these This section presents some miscellaneous useful results on pseudoinverses. For all A E jRmxn. Then S+ UD+U T where D+ is again a diagonal matrix whose diagonal elements are determined according to Example 4. . Then orthogonal if MT = M. For any vector v E M".3 Properties and Applications Properties and Applications This section presents some miscellaneous useful results on pseudoinverses. Example 4. elements are determined according to Example 4.8.11. Then S+ = U D+UT.3. 4. p. [~ r 1 =[ 4 4 I I ~l 4 I I 4 4.
in peneraK ucts of matrices such as exists for inverses of products.15. necessary and sufficient conditions under which the reverseorder property does hold are known and we quote a couple of moderately useful results for reference.16. [] sufficient reverseorder However. we B+ BT(BBT)I. in general. 3. 4. (A+)+ = A. [7]. For all A E lR mxn . (AT A)+ = A+(A T)+. (AB)+ = B?A+.. then (AB)+ = B+ A+. where BI = A+ AB and AI = AB\B+. 0 D Theorem 4. Proof: Proof: For the proof.16. Theorem 4.xm.14. and better methods are suggested in text that follows. Theorem 4..12 and 4. compute 4. 2. n(BB T AT) ~ n(AT) and 2.15. xm + T B e Wr . then A+ = (ATA)~lAT. 4. n(A T AB) ~ nCB) . Then (AB)+ = 1+ = I while while B+ A+ = [~ ~J ~ = ~. = n(A T) = n(A+ A) = n(A TA).13 can. then AkA+ = A+ Ak and (Ak)+ = (A+)kforall integers k > O. TTnfortnnatelv. Proof' A+ A Proof: Since A E Rnrxr. since e lR~xr. [7]. If e lR~xm. As an example consider A = [0 1J and B = [ : J. however (see. the MoorePenrose pseudoinverse of any matrix (since AAT and AT A are symmetric). This A AT AT turns out to be a poor approach in finiteprecision arithmetic. (AB)+ = B{ Ai. 0 D E lR~xr. [5]. [II]. Ir Similarly. Introduction to the MoorePenrose Pseudo inverse 4. Introduction to the MoorePenrose Pseudoinverse Chapter 4. If A is normal. Theorem 4. (AA T )+ = (A T)+ A+. [11]. whence A+A = f r. see [5]. (AB)+ = B+A+ if and only if 4. The result then follows by E lR. 0 The following theorem gives some additional useful properties of pseudoinverses.• Similarly.11 is suggestive of a "reverseorder" property for pseudoinverses of prodTheorem 4. e.13 we can.17.17. poor (see. = N(AA+) = N«AA T)+) = N(AA T) = N(A T). Then As an example consider A = [0 I] and B = LI.. (AB)+ = B+ A + if and only if 1. A\ = A in Theorem 4.g. see [9]. BB+ f r The by taking BI = B. A+ = (AT A)I AT.15. 4. [23]).14.g.32 Chapter 4. we have B = B (BBT)~\ whence BB+ = Ir. 1. e. properties Theorem 4.12 Note that by combining Theorems 4. For e Rmxn . where BI = A+AB and A) = ABIB{. in theory at least. If A e Rnrxr.At = A in Theorem 4. (AB)+ = B+A+. n(A+) 4. D takingB t = B. B E Rrrxm.15. [9].11 nets of matrices such as exists for inverses of nroducts Unfortunately. N(A+) 5. . Proof: Proof: For the proof.
Let A G M"xn. assume that AA+B = B and take arbitrary y e K(B). To prove the converse. if A is symmetric.i l . Note: Recall that A e R" xn is normal if AATT = AT A. if A is symmetric. Then we have there exists a vector y e IRP such that Ay = Bx. For A e Rmxn. Suppose A E Rnxp. The next theorem is fundamental to facilitating a compact and unifying approach The next theorem is fundamental to facilitating a compact and unifying approach to studying the existence of solutions of (matrix) linear equations and linear least squares to studying the existence of solutions of (matrix) linear equations and linear least squares problems.i D. RCA). Use Theorem 4. prove that R(A+) = R(A T). A E IRmxn. properties of the MoorePenrose pseudoinverse. For example. problems. Then K(B) S. A+ 0 A+BD.• 1 2 x. Use Theorem 4. then it is normal. or orthogonal.4 to compute the pseudoinverse of \ 2 1.18.. such as A=[ b a a b] for scalars a. For A E Rpxn and BE R mx ". we have shown where one of the Penrose properties is used above. A E IRn xn B E E n xm 6. Then B and take arbitrary y E R(B). b e R for scalars a. fiA+A B. (xyT)+ = (xTx)+(yTy) yx T 3. However. prove that 7£(A) = 7£(AA r ) using only definitions and elementary properties of the MoorePenrose pseudoinverse. assume that AA + B To prove the converse. = B. e IRnxm. 4. U(A) if and only if AA+B = B. R(A) and take arbitrary x e IRm.4 to compute the pseudoinverse of U . Y e R". y E IRn. However. show that (xyT)+ = (x Tx)+(yT y)++yxT. then it is normal. such as preceding but still be normal. (a) Prove or disprove that Prove or disprove that [~ (b) Prove or disprove that (b) Prove or disprove that AB D [~ B D r r=[ =[ A+ 0 A+ABD. we have shown that B = AA+B. whereupon there exists a vector x e IR m such that Bx = y. so Proof: Suppose R(B) c U(A) and take arbitrary jc E Rm. Then there exists a vector x E Rm such that Bx = y. and D E E mxm and suppose further that D is nonsingular. € IRm xm D 6. that B = AA+ B. Then Bx e R(B) c H(A). prove that RCA) = R(AAT) using only definitions and elementary 3. A e IRPxn thatN(A) S. N(B) and 5 € IRmxn.Exercises 33 Note: Recall that A E IRn xn is normal if A A = A T A. show that JV(A) C A/"(S) if and only if BA+ A = B. so there exists a vector y E Rp such that Ay = Bx. b E E. Then R(B) c R(A) if and only if Suppose e IRnxp. skewsymmetric. or orthogonal. Then Bx E H(B) S. For A e R m x n . Proof: Suppose K(B) S. Since x was arbitrary. a matrix can be none of the preceding but still be normal. Then we have Bx = Ay = AA + Ay = AA + Bx. If jc. For A E IRmxn.]. whereupon y = Bx = AA+Bx E R(A).1 D. a matrix can be none of the skewsymmetric. Theorem 4. B E E M X m . 5 e JRn x m . 2. For example. where one of the Penrose properties is used above. Since x was arbitrary. 0 EXERCISES EXERCISES 1.i ]. ft(A+) ft(Ar 5.
This page intentionally left blank This page intentionally left blank .
. ..1..1) rxr A = [U I U2) [ ~ 0 0 ][ ] 2 T VI VT (5.we can Vi = [vr+ .2) (5.4) 35 . (Note: The rest of the proof follows [24.e. y22 €E Rnxfor^ and the 0JM^/ocJb in E~are compatibly IRnx(nr).1 The Fundamental Theorem Theorem A Theorem 5. the latter equality following from the orthonormality of the Vi vectors. specifically. . Ch. Proof: Since AT A ::::: ( (AT A s symmetric and nonnegative definite.. VI «xr j V U2 e ^x(mr) . vn]. for example.LettingSS = diag(uI. its eigenvalues are all real and nonnegative. we can and let V\ [VI. «}). 5. Let {Vi. More where ~ = [~ specifically. . 6]).. and the Osubblocks in are compatibly dimensioned. recall.e.. where S = [J °0].u ). Letting — diag(cri.\.• = Un. (5... . We In this chapter we give a brief introduction to the singular value decomposition (SVD).] . . < min{m. u r ) e R . Premultiplying by Vf gives Vf A T A VI write ATAVi = VI S2. ii E !!. the latter VfV^S2 = S2. . U\ E IRmxr..Chapter 5 Chapter 5 Introduction to the Singular Introduction to the Singular Value Decomposition Value Decomposition In this chapter we give a brief introduction to the singular value decomposition (SVD). UI e Wnxr. [24. and a\ > • • • > Ur > 0. its eigenvalues are all real and nonnegative.1.Vv r). .. Let {u.• ::::: Urr > as an exercise. dimensioned... . for example.o>) E IRrxr. .} be a set of corresponding orthonormal eigenvectors and let VI = [v\.Vn ]. e n} be a set of corresponding orthonormal eigenvectors 0= Ur+1 = . recall. . role throughout (numerical) linear algebra and its applications.. .and postmultiplying by equality following from the orthonormality of the r. Let A e R™ x n .) Denote the set of eigenvalues of AT A by {of / E n} with a\ > • • > a > 0 = o>+i = • • an. Premultiplying by vt gives vt ATAVi = vt VI S2 = S2. . V2 = [Vr+I. .3) = Ulsvt· The submatrix sizes are all determined by r (which must be S min{m. The SVD plays a key conceptual and computational role throughout (numerical) linear algebra and its applications. U2 E IRrnx(mrl... More S > o r > O.) Denote the set of eigenvalues of AT A by {U?. i.. i e !!. (Note: The rest of the proof follows analogously if we start with the observation that AAT > 0 and the details are left to the reader analogously if we start with the observation that A A T ::::: 0 and the details are left to the reader as an exercise. we have n = U~VT. Vi eE RIRnxr. The SVD plays a key conceptual and computational of this important matrix factorization. Then there exist orthogonal matrices U E Rmxm and E IR~xn. . . Ch. i.. . Theorem 5... We show that every matrix has an SVD and describe some useful properties and applications show that every matrix has an SVD and describe some useful properties and applications of this important matrix factorization. 6]). Proof: Since A r A > 00 A r A i is symmetric and nonnegative definite. e IRmxm and V E IR nxn such that V € Rnxn such that UI > diag(ul.} with UI ::::: .. Pre. rcfr).... Preand postmultiplying by SI gives the emotion S~l eives the equation (5. r write A r A VI = ViS2. n}).. vectors. S = diagfcri.
The columns of V are called the left singular vectors of A (and are the orthonormal called orthonormal columns ofU left singular vectors of eigenvectors of AA ).. 0 Definition 5.? (AA I min{m. whence Vi ATAV22 = O. . an we Turning now to the eigenvalue equations corresponding to the eigenvalues ar+l... Then T rewriting A = V"i:. The set {ai. Specifically.16. Remark 5. ar}} is called the set of (nonzero) singular values of the matrix A and called [a\. .2). we see that Mat C is "i:. where V and V are unitary and the proof is essentially proof decomposition A = t/E V H. there may be nonuniqueness associated with the columns of V\ (and hence U\) cor• there may be nonuniqueness associated with the columns of VI (and hence VI) corresponding to multiple O'i'S. Introduction to the Singular Value Decomposition Chapter 5. } for R" {VI. and codomain spaces with respect to which A then has a diagonal matrix representation..(AT A) = is denoted ~(A). singular 2. vn } for IR and {u\.. The latter equality follows from the orthogonality of the columns of VI and V 2. except for Hermitian transposes replacing transposes. Introduction to the Singular Value Decomposition Turning now to the eigenvalue equations corresponding to the eigenvalues or+\.denote A thought of as aalinear transformation mapping IR n to IRm.. See also m [v\. Choose U2 £ IRmx(mr) [U\ U2] orthogonal. n] — Note that there are also min{m. U be interpreted changes domain and codomain spaces with respect to which A then has a diagonal matrix representation. 1. . Remark 5. 3. i.16.2.1. and defining this matrix U\ andU UT A V [Q ~].. The latter equality follows from the orthogonality of the S and vI AVi = vI VI S = O.'. let C. U V identical... .4) we see that VrVI = /. cr. C denote A thought of as linear transformation mapping W to W.. Referring to the equation V I = A VI SI defining U\.1.1 we see that ai(A) = A(2 (ATA) = £(A).r zero singular values.. Then from (5. Note that V and V can be interpreted as changes of basis in both the domain Remark 5.. •.1 reveals that proof Theorem any orthonormal basis for jV(A) can be used for V2 • £lny orthonormal basis for N(A) can be used for V2. singular unique.. the IRmxr VI AViSI.36 36 Chapter 5.2). we see that U{ AV\ = S and 1/2 A VI = U^UiS = 0. analogous complex e IC~ xn straightforward.. Definition 5.. Remark 5. The !:ingular value decomposition is not unique. we see that V r A VI = since A V2 = O. Thus. responding to multiple cr/'s. n} . . m for IR (see the discussion in Section 3. Choose any matrix V2 E ^ 77IX( ™~ r) such that [VI V2] is VI columns orthonormal. VTAV = [~ Q]. . . to be ~ completes the proof. Ui e (5. matrix VI E M mx/ " by U\ = AViS~l.5.. an we have that ATAV2z = VzO = 0.4. The analogous complex case in which A E C™ x " is quite straightforward. . Thus.. V H.(A) At. in fact.. AV2 = 0. From the proof of Theorem 5. u ]} for Rm (see the discussion in Section 3. ... with respect to the bases A = U^V as A V Mat £ is S the U E we see respect n and {u I. Now V20 Vf A T A V 0. we see that. eigenvectors of AA TT). Now define the ATA V AV O. Referring to the equation U\ = A V\ S l defining VI.e. . The decomposition is A = V"i:.. The columns of V are called the right singular vectors of A (and are the orthonormal right singular vectors of of called orthonormal eigenvectors of AT1A).4.). Remark 5. an examination decomposition Remark 5.4) see UfU\ = columns of U\ are orthonormal... For example. D to be S completes the proof. A = t/E VT SVD of A 5. Let A = V"i:. A. Remark 5.(AATT). . of the proof of Theorem 5. VT be an SVD of A as in Theorem 5. See also m Remark 5.2. Then T V AV =[ =[ VrAVI VIAVI VrAVI vIA VI Vr AVz vI AVz ] ~] since A V2 =0. Then Specifically.3. of A A). of values of i I proof of A.5. VT as AV = V"i:.3.
Computing AA AATT is numerically poor in finiteprecision arithmetic. [25].U I U T . see. C/ [U\ Ui] orthogonal.10.5.10. The Fundamental Theorem 37 37 • any U22can be used so long as [U I U2] is orthogonal.3). What is unique. Let V be an orthogonal 5. and E U\. For example. VT A V = A = VAV eigenvectors > 0. e. VI:TU/ s n SVD of A VS C . is an SVD.2) can always be constructed from a "compact SVD" (5. U V form • columns of U and V can be changed (in tandem) by sign (or multiplier of the form e je in the complex case).. Example 5. if A = UI:VT is an SVD of A. [11]. is an SVD.1. [7]. Let A e IRnxn" be symmetric and positive definite.e. i. The Fundamental Theorem 5. Example A . SVD of A.3).6. VI. then A A. A=U is an SVD.11).7. SVDof A. [7]. i. see. n=[ [] 3 2 I 3 2 I 5 2y'5 y'5 S 4y'5 15 2~ ][ 3~ 0 0 0][ 0 0 3 0 _y'5 3 v'2 T v'2 T v'2 T v'2 2 ] 3 2 2 = 3 3 3J2 [~ ~] A E R MX Example 5. U arbitrary 2 x orthogonal 5.g. however. is the matrix I: and the span of the columns of UI. Then A = V A VTT is an A..8.6. V2 (see Theorem 5. orthogonal transformations. too. A _ [ 1  0 ~ ] cose = [ . e j8 the case). VT AV = A > O. F/vamnlp 5. that aa"full SVD" (5.e. that "full SVD" (5. [11]. 0 Example 5.[1 0 ] ..9.g.1. A factorization UI: VT of a n m x n matrix A qualifies as an SVD if U and V are A t/SV r o f an m n U orthogonal and I: is an m x n "diagonal" matrix whose diagonal elements in the upper £ left comer are positive (and ordered)..2) can always be constructed from ¥2 Theorem too. Vi. corner f/E V T r r T Ti isaanS V D o f AT. Computing an SVD by working directly with the eigenproblem for AT A or 5. [25]. SVD" (5.9. AT A Remark 5.8. 01  where U is an arbitrary 2x2 2 orthogonal matrix.. Example 5. f/2. symmetric V orthogonal matrix of eigenvectors that diagonalizes A. Note. Better algorithms exist that work directly on A via a sequence of orthogonal transformations.sine sin e cose J[~ ~J[ cose sine Sine] cose ' where e is arbitrary. e. U2.
u r ]. . for example. 1. say.6) and (5. (b) R(U2) = R(A)1. .. Let A E E mx " have a singular value decomposition A = U. i=1 (5. A = U. urn]. vn].14.£V. Then TheoremS. . .7) explain why it is conventional to write the SVD and the key vector relations (5. for example.. vn]. nicely in Figure 5. 4. 2. Then (5.. The relationship to the four fundamental subspaces is summarized nicely in Figure 5. .12. urn] and V = [v\..7) explain why it is conventional to write the SVD as A = U'£VTT rather than.. . Using the notation of Theorem 5. as A = UZV rather than.12. .7) AT Uj = aivi for i E r.£VTT as in Let A e jRmxn have a singular value decomposition A = UHV as in Theorem Theorem 5.13. .5) as a sum of outer products Remark 5.38 38 Chapter 5.. Remark 5. The elegance of the dyadic decomposition (5.5) 3.. The singular vectors satisfy the relations AVi = ajui. ... Part 4 of the above theorem provides a numerically superior method for Remark 5. U2 = [Ur+I.2 Some Basic Properties Some Basic Properties Theorem 5.1. (5. The elegance of the dyadic decomposition (5. . . . (d) R(V2) = N(A) = R(AT)1. Let V = [UI. Note that each subspace requires on. Then (a) R(VI) = R(A) = N(A T / . Introduction to the Singular Value Decomposition 5..1. The singular vectors satisfy the relations 3. A = UZV.1. The relationship to the four fundamental subspaces is summarized knowledge of the rank r.1. . Remark 5. Then A has the dyadic (or outer product) expansion product) expansion r A = Laiuiv. Let A E Rmxn have a singular value decomposition A = U'£ VT. Then A has the dyadic (or outer 2. Introduction to the Singular Value Decomposition Chapter 5.. vr ]. Let U =.1. Vn].11. say.6) (5. reduction to row or column echelon form. reduction to row or column echelon form. rank(A) = r = the number of nonzero singular values of A... VI = [VI...11..= R(A T ). rank(A) = r = the number of nonzero singular values of A. .5) as a sum of outer products and the key vector relations (5. . um] and V = [VI. the following properties hold: the notation of Theorem 5.= N(A T ). Let A e jRrnxn have a singular value decomposition A = VLV T Using Theorem 5. Part 4 of the above theorem provides a numerically superior method for finding (orthonormal) bases for the four fundamental subspaces compared to methods based finding (orthonormal) bases for the four fundamental subspaces compared to methods based on. (c) R(VI) = N(A)1. the following properties hold: 1.8) where where . andV2 = [Vr+I.2 5. [HI. . Theorem 5.]. . LetUI = [UI.6) and (5. Note that each subspace requires knowledge of the rank r..13.
.11. However. However.. a simple if we insist that the singular values be ordered from largest to smallest. Remark 5.2.. if we let the columns of U and V with the Qsubblocks appropriately sized. with the Osubblocks appropriately sized. Some Basic Properties 5. ed. a simple reordering accomplishes the task: reordering accomplishes the task: (5.15. Furthermore. . SVD and the four fundamental subspaces. . .u.10) .11.. Some Basic Properties 39 39 A r r E9 {O} / {O)<!l nr mr Figure 5. e2. e^. which is clearly orthogonal and symmetric. Furthermore.5. then = L r 1 v. 0 D (5. which is clearly orthogonal and symmetric.2.1. Proof: The proof follows easily by verifying the four Penrose conditions.=1 U.15. e\\. SVD and the four fundamental subspaces..11) This can also be written in matrix terms by using the socalled reverseorder identity matrix This can also be written in matrix terms by using the socalled reverseorder identity matrix (or exchange matrix) P = \err. if we let the columns of U and V be as defined in Theorem 5. Note that none of the expressions above quite qualifies as an SVD of A + Remark 5... (or exchange matrix) P = [e erI. Proof' The proof follows easily by verifying the four Penrose conditions.1. . then be as defined in Theorem 5.er^\. Figure 5. Note that none of the expressions above quite qualifies as an SVD of A+ if we insist that the singular values be ordered from largest to smallest.
. then T can be defined by TV. and since ( v \ . notice that R(A) R(A V) This time. in Definition 4. have an SVD given by (5. .. since {UI. From Section 3. A "full SVD" can be similarly constructed. .1).[ SVr ] 0 mxn E lR. . the isabasisfor7£(. = tv. Then VT A = :EVT = [~ ~ ] [ ~i ] D _ . then T~ canbedefinedbyTIu.17 and Remark 5. . finiteprecision arithmetic. premultiplication of A by VT is an orthogonal transformation that "compresses" A by row transformations.mxn have an SVD given by (5. Remark 5.11). Recall the linear transformation T used in the proof of Theorem 3.i e r. vrr} and {u I.M(UT Notice that M(A) = N(V T A) = N(svr> and the matrix SVf E Rrxll" has full row A/"(SV.1. since [u\. A "full SVD" can be similarly constructed.vvr}}is aa is r basisforN(A). premultiplication of A by UT is an orthogonal transformation that rank.. u is a basis forR(A). Then AV = V:E = [VI U2] [~ ~ ] =[VIS 0] ElR.. Notice that N(A) .2. Such a compression is analogous to the . . let A e Rmxn have an SVD given by (5.. by orthogonal row transformations performed directly on A to reduce it to the form [~]. ..1).. let A E lR. .. = ^u.urr}} e r. while the matrix representation for the inverse linear transformation T~ with respect to the same bases is SI. when derived by a Gaussian elimination algorithm implemented in finiteprecision arithmetic...3 5. Introduction to the Singular Value Decomposition A+ = (VI p)(PS1 p)(PVr) is the matrix version of (5..16. Then Let A E lR.1). . Such a compression is analogous to the "compresses" A by I. .1. / E~.i / E~. postmultiplication of A by V is an orthogonal transformation column rank.40 40 Then Then Chapters. Both compressions are analogous to the socalled rowreduced where R is upper triangular. where R is upper triangular.3 Rowand Column Compressions Row and Column Compressions Row compression Let A E R have an SVD given by (5. Such a row compression can also be accomplished by orthogonal row transformations performed directly on A to reduce it to the form 0 . basis forJ\f(A)±. ..1). Similarly.2. In other words. Introduction to the Singular Value Decomposition Chapter 5. In other words. u is clearly matrix representation for T with respect to the bases { v \ . then TlI can be defined by T^'M. Since T is determined by its action on a basis. Such a row compression can also be accomplished "compresses" A by row transformations.. 5.. urr]} is clearly S. then T can be defined by TVj = OjUj . when derived by a Gaussian elimination algorithm implemented in echelon form which. . .. r x has full row rank.r) and the matrix SVr e lR. Then Again. is the matrix version of (5.. = cr. . the matrix representation for T with respect to the bases {VI. From Section 3. and since {VI. .mxn. . Since T is determined by its action on a basis. is not generally as reliable a procedure. In other words. Column compression Column compression Again.. mxr has full column rank. v } and {MI .l. Recall the linear transformation T used in the proof of Theorem 3.. while the matrix representation for the inverse linear transformation TlI with respect to S.olumn transformations. . w. Both compressions are analogous to the socalled rowreduced echelon form which. the same bases is 5""1.4)..16. Similarly. postmultiplication of A by V is an orthogonal transformation that "compresses" A by column transformations. This time..11).17 and in Definition 4. notice that H(A) = K(AV) = R(UI S) and the matrix UiS e Rm xr has full K(UiS) and the matrix VI S E lR. In other words. is not generally as reliable a procedure.
[23]. = o. Determine SVDs of the matrices 5.Exercises Exercises 41 41 socalled columnreduced echelon form. y E ~n Determine A e ~~ 4. of defined by A defined by A = xyT. see. 4.1 starting from the observation that AAT ~ O.e.e. Let X E M mx ". y e Rn be nonzero vectors. Determine an SVD of A. Note: this is analogous to the polar form where Q is orthogonal and P = PT > 0. Let A E ~mxn and W E IR mxm and 7 E ~nxn are (a) Show that A and WAY have the same singular values (and hence the same rank). z of complex scalar z (where i j J=I). A = Q P 7. [25]. Determine an SVD of the matrix A E R™ xn E IRm. xyT 5. (b) Suppose that W and Y are nonsingular but not necessarily orthogonal.. € IRmxn. [11]. EXERCISES EXERCISES 1. i. for performed by Gauss transformations in finiteprecision arithmetic. A = QP 7. Let x e Rm.. [7]. see. [7]. which is not generally a reliable procedure when socalled columnreduced echelon form.[11]. show that X = 0. Use the SVD to determine a polar factorization of A. an SVD A. For details. If XT X = 2. Determine SVDs of the matrices (a) (b) [ ] [ ~l 1 0 1 6. Let A e E"xn be symmetric but indefinite. For details. . Let E ~~xn. which is not generally a reliable procedure when performed by Gauss transformations in finiteprecision arithmetic. [25]. (a) Show that and W A F have the same singular values (and hence the same rank). If XTX = 0. Use the SVD to determine a where Q is orthogonal and P p T > O. Note: this is analogous to the polar form iO z = rel&ofaa complex scalar z (where i = j = V^T). Do A Wand Yare A and WAY have the same singular values? Do they have the same rank? and WAY have the same singular values? Do they have the same rank? factorization of i. Prove Theorem 5.1 starting from the observation that AAT > 0. 3. A E IRnxn indefinite. 2. Let A € R" X M . Let A e Rmxn and suppose W eRmxm and Y e Rnxn are orthogonal. Prove Theorem 5. [23].. for example.
This page intentionally left blank This page intentionally left blank .
i. There exists a solution to (6. n this is possible only ifm < n (since m dimT^(A) = rank(A) < min{m. A/"(A) = 0. b E ]Rn. b E lRm. A E lR mxm and A has neither a 0 singular value nor a 0 eigenvalue.1 Vector Linear Equations Vector Linear Equations We begin with a review of some of the principal results associated with vector linear systems. n}). (6.. onto. A G M m x m and A has neither a singular value nor a eigenvalue. and this is possible only ifm :::: n (since m = dim R(A) = rank(A) :::: min{m. (6. i. the familiar vector system Ax = b. the familiar vector system are studied and include. equivalently.3) 1. Consider the system of linear equations Theorem 6.e. A are linearly independent. there exists a solution if and only j/"rank([A.e. 43 . i. A E ]Rn xn..e. 4.1. equivalently. 6..3) for all b E ]Rm if and only if A is nonsingular.. i. and this is possible only ifm > n. only if rank(A) < n. 5. b]) = rank(A). There exists a nontrivial solution to the homogeneous system Ax = 0 if and only if Ax = 0 if 6. There exists a solution to (6. 4. and this is possible only ifm ::: n. 3.3) for all b E lRm if and only if the columns of 5.2) 6. We begin with a review of some of the principal results associated with vector linear systems. rank(A) < n. equivalently. Theorem 6. 1.e. A is 2.3) is unique if and only ifJ\f(A) = 0. as a special case.3} for e R m if only ifU(A) = W". and onto. A is 11. There exists at most one solution to (6. General linear systems of the form (6.3) is unique if and only if N(A) = 0.3) for all b e W" if and only if is nonsingular.Chapter 6 Chapter 6 Linear Equations Linear Equations In this chapter we examine existence and uniqueness of solutions of systems of linear In this chapter we examine existence and uniqueness of solutions of systems of linear equations. General linear systems of the form equations.1) are studied and include.e.e.3) if and only b E R(A). There exists a solution to (6. N(A) 0. A E lRmxn. 2. n. 3. A is 11. i. b]) = rank(A).1. There exists a unique to (6.3) for all b E lRm if and only ifR(A) = lRm.3) for all b e W1 if and only if the columns of A are linearly independent. (6. i. there exists a solution if and only ifrank([A. There exists a unique solution to (6.. A solution to (6. A solution to (6. as a special case. There exists at most one solution to (6.. Consider the system of linear equations Ax = b.3) if and only ififbeH(A). equivalently.1 6.
while results for (6. A E JR.1). For example.A+ A)Y. +B = Theorem 6. and this is clearly of the form (6. A is not II. Therefore. (6. That all solutions are of this form can be seen as follows. Linear Equations Proof: The proofs are straightforward and can be consulted in standard texts on linear Proof: The proofs are straightforward and can be consulted in standard texts on linear algebra.6) Furthermore. Theorem 6. i.3. AZ :::: B. Proof: To verify that (6. Let Z be an arbitrary solution of (6.2 6. a solution exists if and only if has a solution if and only ifR(B) S. i. BE JR.6) are of this form. premultiply by A: Proof: To verify that (6.mxn.5). Note that the results of Theorem 6. a solution exists if and only if AA+B = B. which implies rank(A) < n by part 0 by part 3.e .18.4) has a solution if and only ifl^(B) C 7£(A).6) are of this form. The matrix criterion is Theorem 4. Let A e Rmxn. (6.5) is a solution. i. specializing even further to the case m = n. where Y E JR. 0 . Furthermore. while results for (6. note that x 0 is always a solution to the homogeneous system. of a matrix..2 Matrix Linear Equations In this section we present some of the principal results concerning existence and uniqueness In this section we present some of the principal results concerning existence and uniqueness of solutions to the general matrix linear system (6.1 follow from those below for the special case = 1.2) follow by specializing even further to the case m = n. Then we can write Z=A+AZ+(IA+A)Z =A+B+(IA+A)Z and this is clearly of the form (6. The matrix linear equation AX = B.1 follow from those below for the special case k = 1.5). (6.mxk and suppose that AA+B = B.18. Note that some parts of the theorem follow directly from others. Linear Equations Chapter 6. Let Z be an arbitrary solution of That all solutions arc of this form can be seen as follows. equivalently.. A is not 11.3. Therefore.6)..2 (Existence). Note that some parts of the theorem follow directly from others. D 6. Proof: The subspace inclusion criterion follows essentially from the definition of the range Proof: The subspace inclusion criterion follows essentially from the definition of the range of a matrix. all solutions of (6. The matrix criterion is Theorem 4. Then any matrix eRmxk of the form of the form X = A+ B + (/ . premultiply by A: AX = AA+ B + A(I = B A+ A)Y + (A  AA+ A)Y by hypothesis = B since AA + A = A by the first Penrose condition.6).e. AZ — B. to algebra. B E JR. all solutions of (6. R(A). mxn . we prove part 6.e. which implies rank(A) < n must have the case of a nonunique solution. we must have the case of a nonunique solution.2)follow by 6.1). to prove part 6.44 Chapter 6.nxk is arbitrary. i. Then we can write (6.5) is a solution of is a solution of AX=B. Note that the results of Theorem of solutions to the general matrix linear system (6.e.2 (Existence). AA+B B. 0 Theorem 6. note that x = 0 is always a solution to the homogeneous system. For example. E JR. The matrix linear equation Theorem 6.mxk.. equivalently.5) is a solution.
mxn. equivalently. if and only if A is Ilor _/V(A) = O. Example 6. A E lR. find all A e ]Rmx". But rank(A) = n that A+ A = / if r — n. Thus. leaving only the unique solution X = AI1B.5. matrix. nonzero solution.) that minimizes TrXT X. All right inverses r < m) A (A+ of A are then of the form of A R = A+ 1m + (In .7.8) . and (N(A) = 0).j jcj. D 0 Example 6. Consider the system of linear firstorder difference equations (6. wherer = rank(A) (recallr ::: h). A+ A where Y E lR. Proof: Proof: The first equivalence is immediate from Theorem 6. It can be shown that the particular solution X = A+B is the solution of (6. Here. equivalently. Characterize all right inverses of a matrix A E lR.mxk (6. Example 6. It particular (6. (TrO denotes the trace of a matrix. BE lR. this can occur if and only if rank(A) = r m (since equivalent to AA+Im = 1m. Solution: There exists a right inverse if and only if R(Im) S. A e E"x". (6. A solution of the matrix linear equation Theorem 6.2. Characterize AR = Im solutions R of the equation AR = 1m. N(A) = O. rank(A) = < A This is equivalent to either rank (A) = r < n or A being singular. A+ = A"1 and so (I . recall that TrX r = Li. then it is easily R(I — A + A). (6. r checked that 1.2. there is no "arbitrary" component.9.nxm is arbitrary. there exists a nonzero solution if and only if A+A /= I. Remark 6. When A is square and nonsingular. Find all solutions of the homogeneous system Ax = 0. The second follows by noting thatA+A = I can occur only ifr = n. Ax — 0.6. 7£(A) and this is 7£(/m) c R(A) equivalent to AA + 1m Im. A R (AA(A) = A"1. / . Solution: x=A+O+(IA+A)y = (IA+A)y. y E R" A + A t= I. we write 1m to emphasize the m x m identity Im matrix. A solution of the matrix linear equation AX = B. equivalently. Hence. Matrix Linear Equations 45 Remark 6. it is not unique.S. Clearly. A A = f/E VT.mxn.A+A). Matrix Linear Equations 6. vD Example 6. if there exists a unique.7.A+A = Vz V2 and R(Vz2V^) = R(Vz) = N(A).6 (Uniqueness).5.n is arbitrary.4. A A+ AI Remark (/ — A + A) 0.A+ A)Y =A++(IA+A)Y. Consider Example 6.8. Computation: Since y is arbitrary. But if A has an SVD given by A = U h VT. Example 6.) Theorem 6.nxn.3. Clearly.6 (Uniqueness). where y e lR. Butrank(A) = n if and only if A is 11 or N(A) = 0.A+ A V2 V[ and U(V = K(V2) = N(A). X• = A~ B.7) is unique if and only if A+A = /. in which case A must be invertible and R = AI. Clearly.7) has a unique solution if and only if unique if and only if A + A = I.6) +B Remark 6. it is easy to see that all solutions are generated y from a basis for 7£(7 .6) that minimizes TrX7 (Tr() denotes the trace of a matrix. recall that TrXT X = £\ •xlj. this can occur if and only if rank(A) = r = m (since r ::: m) and this is equivalent to A being onto (A + is then a right inverse).7) has a unique solution if and only if M(A) = 0. There is a unique right inverse if and only if A+A = I/ e E"xm arbitrary..9. where r rank(A) (recall r < n). Suppose A E lR.A+A) = O.
Theorem l'/:b Clearly.:b dual to reachability is called observability: When does knowledge of {" j }"!Q and {y_/}"~o suffice to determine (uniquely) Jt0? As a dual to controllability. we see that (6. this is called such that Xn = 0? linear system theory. from the fundamental Existence Theorem. The vector Jt* in linear system theory is e IR nx " fieR" (n ~ I.ra>l). example of a system that is controllable but not reachable.• A k kJ B] [ ~o (6.9) ~Axo+[B.9 Example 6. B) is if(AT .. We now introduce an output vector Yk to the system (6. We might now ask the question: Given XQ = 0.8) is given by kJ Xk = Akxo + LAkJj BUj j=O UkJ ] Uk2 (6. this is a question {u }y~Q Xk of reacbability..J B]) = 1R" or.e. does there exA related question is the following: Given an arbitrary initial vector XQ.~ I).. equivalently. if and only if rank [B. B T] is observable [reconsrrucrible] [controllablcl if and T) observable [reconstructive]. We might now ask the question: Given Xo 0. Example 6. if A is nonsingular. we have the notion of suffice to determine (uniquely) xo? As a dual to controllability.46 46 Equations Chapter 6. we have the notion of reconstructibility: When does knowledge of {u jy }"~Q and {.. .8) is reachable if and only if if R([ B.8) of Example 6. The condition dual to reachability is called observability: When does knowledge of {u 7 r/:b and {Yj l'.10.8) of Example 6.AB •. . A n .. controlA 1 lability and reachability are equivalent.10. (A.8) is given by solution of (6.2. Since m ~ I.. if and only if or. overall system that are dual in the systemtheoretic sense to reachability and controllability. does there exist an input sequence {ujj 1jj^ such that Xk takes an arbitrary value in 1R"? In linear system theory. standard conditions with analogues for continuoustime models (i. Again from Theorem 6. we of reachability. There are many other algebraically equivalent conditions. see that (6.y/}"Io suffice to determine reconstructibility: When does knowledge of {w r/:b and {YJ lj:b suffice to determine (uniquely) xn? The fundamental duality result from linear system theory is the following: (uniquely) xnl The fundamental duality result from linear system theory is the following: E RPxn e IR pxn E RPxm € IR pxm (A. The general solution of (6. B) iJ reachable [controllable] ifand only if (A . The matrices A = [ ° Q and f ^ provide an lability and reachability are equivalent. AB. We now introduce an output vector yk to the system (6. Since > 1. The answers are cast in terms that are dual in the linear algebra sense as well. from the fundamental Existence Theorem. A n .T. The linear differential equations).8) is controllable if and only if if controllability. The general known as the state vector at time k while Uk is the input (control) vector. . A related question is the following: Given an arbitrary initial vector Xo. AB. linear differential equations). m known as the state vector at time while Uk is the input (control) vector.J B] = n. Theorem 6. reachability always implies controllability and. The matrices A = [~ ~]1and B5 == [~] 1 providean example of a system that is controllable but not reachable.9 by appending the equation by appending the equation (6.. this is a question va [Uj }k~:b such that x^ takes an arbitrary value in W ? In linear system theory. does there exist an input sequence for k > 1.2. Linear Equations Xk with A E R"xn and B E IR nxmxm(rc>l. The above are standard conditions with analogues for continuoustime models (i. equivalently. There are many other algebraically equivalent conditions. . We can then pose some new questions about the overall system that are dual in the systemtheoretic sense to reachability and controllability.10) for k ~ 1. The condition The answers are cast in terms that are dual in the linear algebra sense as well.e. does there exist an input sequence {u j an input sequence {"y}"~o such that xn = O? In linear system theory. We can then pose some new questions about the with C and (p > 1)..11) with and D (p ~ 1). this is called controllability.
equivalently. In these identities. Let A E Rmxn. particularly for block matrices. v E R(R). the coefficient matrices of interest are square and nonsingular.Du] (6.Duo Yl .DUnl 6. and C e jRpxq. notice that To derive a condition for observability.13) and let denote the matrix on the righthand side. particularly for block matrices. Such a criterion (C C+ ® A +A = I) of the Kronecker product of matrices for its statement. by definition.3 A More General Matrix Linear Equation A More General Matrix Linear Equation AXC=B (6.4 Some Useful and Interesting Inverses Some Useful and Interesting Inverses In many applications. Then the equation e jRmxn. +L kl CAk1j BUj + DUk. notice that Yk = CAkxo Thus.14) requires the notion of the Kronecker product of matrices for its statement. Then. indicated.. .14) Theorem 6. Such a criterion (CC+ <g) A+ A — I) is stated and proved in Theorem 13. in which case the general solution is of the form (6. so a solution exists.6. the solution is then unique if and only if N(R) Uniqueness Theorem.2 j BUj . Invertibility is assumed for any component or subblock whose inverse is indicated. Then. arbitrary. By the fundamental Uniqueness Theorem. 6. Theorem 6. is stated and proved in Theorem 13.11. e Rmxn. sociated e jRnxn. if and only if or. the has a solution if and only if AA+BC+C = B.4 6.6. B E Rmxq. E jRnxm. C E jRmxn. 0. Verification of each identity is recommended as an exercise for the reader. A compact matrix criterion for uniqueness of solutions to (6. and C E Rpxti. by definition.13) and let R denote the matrix on Let denote the (known) vector on the lefthand side of (6. e Tl(R).CBuo . Listed In many applications. mxm and D E jRm Invertibility is assumed for any component or subblock whose inverse is and D € E xm. Thus. if and only if r Yn]  Lj:~ CA n . B E Rnxm. Listed below is a small collection of useful matrix identities.27. the coefficient matrices of interest are square and nonsingular. Theorem 6. associated with matrix inverses. or.6. in which case the general solution is of the has a solution if and only if AA + BC+C = B.4 Some Useful and Interesting Inverses 6.12) j=O Yo .13) Let v denote the (known) vector on the lefthand side of (6. By the fundamental the righthand side. A E Rnxn. (6.27. the solution is then unique if and only if N(R) ==0.3 6.4 Some Useful and Interesting Inverses 47 To derive a condition for observability.14) requires the notion A compact matrix criterion for uniqueness of solutions to (6. so a solution exists. asbelow is a small collection of useful matrix identities.15) E jRnxp where Y € Rn*p is arbitrary. B e jRmx q . Verification of each identity is recommended as an exercise for the reader. equivalently.
Rmxk and suppose has an SVD as in Theorem 5.BDI l = [ AI BD. formulas for the inverse of a sum of matrices such as (A + D)lor (AI1 + DI)I.4.. (A BDCr1 = AI . characterize all left inverses of a matrix A e lR ".CA. 2. 2. ization in property 17 of Section 1.1.48 Chapter 6. It has many This result is known as the ShermanMorrisonWoodbury formula. Linear Equations 1. It has many applications (and is frequently "rediscovered") including.B D.I EXERCISES EXERCISES 1.I C) I. This result follows easily from the block LU factorization in property 16 of Section 1. characterize all solutions of the matrix linear equation AX=B in terms of the SVD of A in terms of the SVD of A.I ] D. 1. Let A E lRmxn. characterize all left inverses of a matrix A E Mm xn .4. l 8. Note that the positions of the / and — / blocks may be exchanged.. r A~I [~ ~ r [D~I~AI D~I 1 ~r ~~B 1 r l [~ ~ r [D~CF +~~I~. As in Example 6. 5. Assuming R(B) ~ R(A).4.8. for example. theory. = = Both of these matrices satisfy the matrix equation X2 = / from which it is obvious these matrices satisfy the matrix equation X^ = I from which it is obvious Both of that XI = X. 1. where E = (D . (A + BDC)I = A~l . This result follows easily from the block UL factorwhere F = (A — ED C) This result follows easily from the block UL factorization in property 17 of Section 1. Linear Equations Chapter 6. It also the inverse of a sum of matrices such as (A + D)"1 or (A" + D"1) It also yields very efficient "updating" or "downdating" formulas in expressions such as yields very efficient "updating" or "downdating" formulas in expressions such as T (A + JUT ) I1 (with symmetric A E R"x" and .I . mx .1. As in Example 6. where F = (A . BB EelR fflxk and suppose AAhas an SVD as in Theorem 5. for example. [~ ~ r l 3.I B)I (E is the inverse of the Schur complement of A). [ / +c 7.4. BC 6.AIB(DlI + CAIB)ICAI. Let A € E mx ".8. X. Note that the positions of the / and .A~lB(D~ CA~lB)~[CA~l This result is known as the ShermanMorrisonWoodbury formula. formulas for applications (and is frequently "rediscovered") including./ blocks may be exchanged. characterize all solutions of the matrix linear equation 7Z(B) c 7£(A). l = l = [!C / [~ ~ l = [ AI +_~~!~CAI A~BE = D. result follows easily from the block LU factorization in property 16 of Section 1.c E E") that arise in optimization (A + xx T ) — (with symmetric A e lRnxn and x e lRn) that arise in optimization theory. that X~l [~ !/ [~ ~ r [~ ~ l [~ ~/ r [~ ~ 1 l l l = [ ~ 4. This where E = (D — CA B) (E is the inverse of the Schur complement of A).. Assuming 2.
T 4.y Assume that Yji i= 0 for some i/ and j. Let jc. y e IRn and suppose further that x T y ^ 1... . c and individual elements y. Show that 4. Show that 3. .e. check directly that the condition for reconstructibility takes the 6.x xTy). Assume that x/( 7^ 0 for some and j.10. where C = 1/(1 . € IRn and suppose that x T y i= 1. Let A E 1R~ " and let A 1 have columns Cl. 5.Exercises Exercises 3.e. A with yl subtracted from its (ij)th element) is singular. Let x..xy) T 1 49 = I  1 xTy 1 xy . ... l' Hint: Show that Ci E N(B). Hint: Show that ct <= M(B).. As in Example 6.e. Let x. . Show that (/ .l ~i e. Show that the matrix B = A . y E E" and suppose further that XTy ^ 1. (i. Show that the matrix B — A — —eie T : (i. Let A e R"xxn and let A"1 have columns c\...10. check directly condition for reconstructibility the form form N[ fA J CA n 1 ~ N(A n ). 6. y E E" and suppose further that XTy i= 1. in Example 6. Show that cxJ C ' where c 1/(1 — T y). A with — subtracted from its (zy)th element) is singular.Cn and individual elements Yij.
This page intentionally left blank This page intentionally left blank .
Px. and Norms Spaces.y. say on X along Y (using the notation of Definition 7. 51 51 .1. Let V be a vector space with V = X EEl Y.y • V —>• c V has a unique decomposition v = x + y with x e X and y E y. Theorem 7. Px.y.1.3. Also. every v e V has a unique decomposition v x y with x E and y e y. P2 = P. Inner Product Projections. Also. Figure 7. P isaprojectionifandonlyifl P isaprojection. y = Px. every v E V Definition 7.y is called the (oblique) projection on X along y. Py.x — I — Px.e. V by by PX. Define PX y : V + X <.2.yp2 = P. y x Figure 7.1.1 7. Infact. Py. i. Figure 7. Theorem 7.y Theorem 7. A linear transformation P is a projection if and only if it is idempotent. say on X along y (using the notation of Definition 7. Proof: Suppose P is a projection. Let V be a vector space with V X 0 y.1 displays the projection of v on both X and Y in the case V = ]R2. A linear transformation P is a projection if and only if it is idempotent.26.. PX. P is a projection if and only if I —P is a projection. Proof: Suppose P is a projection. Theorem 7. By Theorem 2. Inner Product Spaces. Oblique projections. and Norms 7. By Theorem 2.1 Projections Definition 7.3.Chapter 7 Chapter 7 Projections.1).y is linear and pl.x = I px. Infact.y is linear and P# y — px.2..yV = x for all v E V. Define pX. Oblique projections. i. px.1 displays the projection of von both and 3^ in the case = Figure 7.e.26.y is called the (oblique) projection on X along 3^.1.1).
3.)x = PXJ.1. PX. Then v if v € Pv (I . Px E R(P).. Conversely. i=r+l PN(A) 1.11. y = (I . If v E Y. with the second equality following since PTP is symmetric. then Pv = v.xl. We now prove and Y = {v E V : Pv = OJ. It is easy to check that X and Y are subspaces. A+A VIV{ r LViVT are easily checked to be (unique) orthogonal projections onto the respective four fundaare easily checked to be (unique) orthogonal projections onto the respective four fundamental subspaces. P Proof: Let P be an orthogonal projection (on X.P)x E XL.P)x = x T P(l . Now let u e V be arbitrary. while Py = P(l .P)v. we must have P (I — P) = O. Write x = Px (I — P)x. P = P.5.P)v.P)x = yTTpT (I . suppose P is a is a with the second equality following since pT P is symmetric.P)x.=1 m PR(A).AA+ U2 U ! LUiUT.px.A+A V2V{ L i=r+l i=l 11 ViVf. We now prove that V = X $ y. Now let v E V be arbitrary. Essentially the same argument shows that / . we have ( P y f I (/ .1 7. In the special case where Y = X^. T Since x and y were arbitrary. Since Py E X. say. . then Pv = O. along 1) and let jc. suppose symmetric projection matrix and let x be arbitrary. Let X n y.xJ.P) = 0.P)x = O. First note that iftfveX. D 0 7. we must have pT (I . Hence PT = PTP = P. we have (py)T ((I . Projections.X^X = Px±. Then U\SVr Then r PR(A) AA+ U\U[ Lu. Projections. Inner Product Spaces.1 and 5. y = (I .4.V Theorems 5. while Py = P(I P}v = x Pv .. P e jRnxn is the matrix of an orthogonal projection (onto R(P)) if and only ifP2 PT if p2 = p = pT. and Norms Let v e V be arbitrary. mental subspaces. let A E Rmxn with SVD A = U!:VTT = A = UT. A 6 jRmxII UtSVf. In the special case where y X1. Thus. yy Ee jR" be arbitrary.XLtion and we then use the notation P x = PX. since Px e U(P). Thus. P)x = y PT(I P)x = 0.P)x = (I . Thus.5. X 0 y and the projection on X along y is P. Since x and y were arbitrary..P)x 6 R(P)1and P must be an orthogonal projection. Hence that V X 0 y.P2v = 0 so Y E y. (I .P)x E ft(P)1 xTPT(I . Thus. Note that (I . then Pv = 0.3.P)v. and Norms Chapter 7. * called an orthogonal projecDefinition 7. Then Pv = P(x + y) = Px = x. Let X = {v e V : Pv = v} and y {v € V : Pv 0}. then v = 0. and P must be an orthogonal projection. px. suppose P = P.11. arbitrary..P)x = O. suppose p2 = P. First note that v E X. 0 Definition 7. Then x T pT (I .p 2 v 0 so y e Thus. It is easy to check that X and 3^ are subspaces. p2 = P. Moreover. R" be Proof: Let P be an orthogonal projection (on X.1 5. Conversely. Hence pT = pT P = P. p 2v = PPv = Let u E V be arbitrary. Conversely. Moreover.xx by Theorem 7. Then Px = P2v = Pv = x so x E X. Thus.P)x = (I . Let X = {v E V : Pv = v} Px = x = Pv. Py e X. V Pv . . If v e y. say.uT.PX.1 The four fundamental orthogonal projections The four fundamental orthogonal projections Using the notation of Theorems 5.P)x e X1.XL iss called an orthogonal projection and we then use the notation PX = PX. then Pv v.XL Theorem 7. Then Pv = P(x + y) = Px = x. Let x = Pv. then (/ . Write x = P x + (I .P)v = = Pv. Then v = Pv + (I . PN(A)J. Hence if v E X ny. P2v = P Pv — 2 2 Px = x = Pv. (I .52 52 Chapter 7. Then symmetric projection matrix and let x be arbitrary.P}x = 0. Then Px = p 2v = Pv = x so x e X. V = X $ Y and the projection on X along Y is P.4.P is the projection on Y along X. then v = O. P E E"xn is the matrix of an orthogonal projection (onto K(P)} if and only 7. along XXL} and let x. Thus.L 1.1 . Conversely. D Essentially the same argument shows that I — P is the projection on y along X. Note that (/ .P)x = xTP(I . Inner Product Spaces.P)v.xx by Theorem 7.
A direct calculation shows that and ware. { v \ . Determine the orthogonal projection of a vector v E IR n on another nonzero vector w E IRn.(:. Then the desired projection is simply Then the desired projection is simply Pn(w)v = ww+v wwTv (using Example 4. IR n Rm 1 n Let X E IR be an arbitrary vector." Example 7. Orthogonal projection on a "line..A+ A)x 2 = A+ Ax + (I = VI vt x + V Vi x (recall VVT = I). e Rn Solution: Think of the vector w as an element of the onedimensional subspace IZ(w). . A direct calculation shows z = Pn(w)"' = (l .11.1..2.2. Recall the proof of Theorem 3. . The indicated direct sum decompositions of the domain E" and codomain IRm are given easily as follows. The expression for x\ is simply the orthogonal projection of XI projection of rather x on S.~) w.8) = (WTV) W. X on Specifically.2. Recall the diagram of the four fundamental subspaces.11.Pn(w»v = v .1.7.8. are. Then X = PN(A)u + PN(A)X . The indicated direct Example 7. Example 7.6.8. Specifically. orthogonal: that z and u." Figure 7. Projections 7. An arbitrary vector x e IRn was chosen and a formula for x\ appeared rather mysteriously.7. in fact.. There. Recall the proof of Theorem 3. Then Let x e W be an arbitrary vector. .6.2. Recall the diagram of the four fundamental subspaces. Solution: Think of the vector w as an element of the onedimensional subspace R( w). {VI. . in fact. Vk} was an orthomormal basis for a subset S of W1. See Figure 7. the vector z that is orthogonal to wand such that v = P v + z is given by z is given by z = PK(W)±Vv = (/ — PK(W))V = v — (^^ j w.8) (using Example 4. Projections 53 Example 7. There. An arbitrary vector x E R" was chosen and a formula for XI basis for a subset of IRn. Vk} was an orthornormal Example 7. T W W Moreover.. Orthogonal projection on a "line.7. See Figure 7. orthogonal: v z Pv w Figure 7.. Determine the orthogonal projection of a vector e M" on another nonzero Example 7. the vector z that is orthogonal to w and such that Pv Moreover..
Projections. Y2 E V and/or all a. Yl) + f3(x.54 Chapter 7. y^} for all jc. y\) + /3(jt. then AT e Rn xm is the unique linear transformation or map T E IRm andfor IRn. 3. cryi + ^2) = a(x. Then { • • V x V if product if 1. Then Y = PR(A)Y + PR(A)~Y = AA+y + ( l . y) = (y. Let Example 7. 2. If A E Rm xn. Then {^. (jc.12. Yl. f3ftE IR. Ay) = {AT x. Y2) for all x. V = IRn. yi. y) x T Y is the "usual" Euclidean inner product or Example 7. let y e IR m be an arbitrary vector. Inner Product Spaces. Example 7. respectively.13. (x. Then (x. defines a "weighted" inner product. Example 7. let Y E ]Rm be an arbitrary vector. Let V be a vector space over IR. n x n positive definite matrix. y)Q = XT Qy. If e IR mx ". only ifx = O. (x.13.10. e R. y) = (y. Inner Product Spaces. x) ::: Qfor aU x 6V and (x.11. such that {x.9.y E V.2 Inner Product Inner Product Spaces Definition 7. Let V = R". y) Q = X T Qy. Then (x. (x.11. Then ('. y e V. aYI + PY2) = a(x. {*. y} = XTy is the "usual" Euclidean inner product or dot product.10. and Norms Chapter 7. 3.AA+)y = U1Ur y + U2U[ Y (recall UU T = I). [ 5~2 + 7.12.) ) :: V x V + IR is a real inner is a real inner Definition 7. . . x } = 0 if and only ifx = 0. (x. . x) for all x. j2 ^ V and for alia. Projections. Let V = E". Let V be a vector space over R. as follows: o o 4] uniquely into the sum of a vector in N(A)L 4V uniquely into the sum of a vector in A/'CA)1 r 1/4 1/4 ] 1/4 1/4 [!]~ = = A' Ax + (l  A' A)x 1/2 1/2 1/2 1/2 0] [ 2] [ 1/2 1/2 + [ 1~2 1~2 ~ o o ! 5/2] [1/2] 1~2 .x)forallx. (x. Example 7. and Norms Similarly. > Ofor all E V ( x x) =0 if 2.(A . definite defines Definition 7. as follows: and a vector in J\f(A). Let V = IRn. y) for all x € Rm and for all y e R". respectively. Let Then Then and we can decompose the vector [2 3 and we can decompose the vector [2 3 and a vector in N(A).. where Q = QT > 0 is an arbitrary Q = Q T > is an Example 7.9. Then Similarly. ATE IR nxm transformation Definition 7.
7.2. Inner product Spaces 7.2. Inner Product Spaces
55 55
It is easy to check that, with this more "abstract" definition of transpose, and if the It is easy to check that, with this more "abstract" definition of transpose, and if the (i, j)th element of A is aij, then the (i, j)th element of AT is ap. It can also be checked (/, y)th element of A is a(;, then the (i, y)th element of AT is a/,. It can also be checked that all the usual properties of the transpose hold, such as (Afl) = BT AT. However, the that all the usual properties of the transpose hold, such as (AB) = BT AT. However, the
definition above allows us to extend the concept of transpose to the case of weighted inner definition above allows us to extend the concept of transpose to the case of weighted inner products in the following way. Suppose A e Rmxn and let (., .) Q and (•, .) R, , with Q and A E ]Rm xn (., }R with Q and {, }g R positive definite, be weighted inner products on Rm and W, respectively. Then we can positive definite, be weighted inner products on IR m and IRn, respectively. Then we can define the "weighted transpose" A # as the unique map that satisfies define the "weighted transpose" A# as the unique map that satisfies
(x, AY)Q = (A#x, y)R all x e IRm (x, Ay)Q = (A#x, Y)R for all x E Rm and for all Y E W1. y e IRn.
By Example 7.l2 above, we must then have x T QAy x T (A#{ Ry for all x, y. Hence we By Example 7.12 above, we must then have XT QAy = xT(A#) Ry for all x, y. Hence we transposes (of AT Q = RA#. must have QA = (A#{ R. Taking transposes (of the usual variety) gives AT Q = RA#. QA = (A#) R. Since R is nonsingular, we find Since R is nonsingular, we find
A# = R1A Q. A* = /r'A' TQ.
We can also generalize the notion of orthogonality (x T = 0) to Q orthogonality (Q is We can also generalize the notion of orthogonality (xTyy = 0) to Qorthogonality (Q is a positive definite matrix). Two vectors x, y E IRn are Qorthogonal (or conjugate with a positive definite matrix). Two vectors x, y e W are <2orthogonal (or conjugate with T X Qy O. Qorthogonality is an important tool used in respect to Q) if ( x y) Q respect to Q) if (x,, y } Q = XT Qy = 0. Q orthogonality is an important tool used in studying conjugate direction methods in optimization theory. studying conjugate direction methods in optimization theory. Definition 7.14. Let V be a vector space over C. Then (., •} : V V > Definition 7.14. Let V be a vector space over <C. Then {, .) : V x V + C is a complex is a complex inner product if inner product if
1. (x,, x ) :::: Qfor all x e V and ( x , x ) = 0 if and only if x = 0. 1. ( x x) > 0 for all x E V and (x, x) =0 if and only ifx = O.
2. (x, y) = (y, x) for all x, y E V. (y, x) for all x, y e V. 2. (x, y)
3. (x, aYI + fiy2) = a(x, y\) + fi(x, Y2) for all x, YI, y2 E V and for alia, f3 6 C. 3. (x,ayi f3Y2) = a(x, yll f3(x, y2}forallx, y\, Y2 e V andfor all a, ft E c. Remark 7.15. We could use the notation (., ·)e to denote a complex inner product, but Remark 7.15. We could use the notation {•, }c to denote a complex inner product, but if the vectors involved are complexvalued, the complex inner product is to be understood. if the vectors involved are complexvalued, the complex inner product is to be understood. Note, too, from part 2 of the definition, that (x, x) must be real for all x. Note, too, from part 2 of the definition, that ( x , x ) must be real for all x.
Remark 7.16. Note from parts 2 and 3 of Definition 7.14 that we have Remark 7.16. Note from parts 2 and 3 of Definition 7.14 that we have
(ax\ + fix2, y) = a(x\, y) + P(x2, y}.
Remark 7.17. The Euclidean inner product of x, e C" is given by Remark 7.17. The Euclidean inner product of x, y E C n is given by
n
(x, y)
= LXiYi = xHy.
i=1
The conventional definition of the complex Euclidean inner product is (x, y) yH but we The conventional definition of the complex Euclidean inner product is (x, y} = yHxx but we use its complex conjugate H here for symmetry with the real case. use its complex conjugate xHyy here for symmetry with the real case.
Remark 7.18. A weighted inner product can be defined as in the real case by (x, y)Q = Remark 7.1S. A weighted inner product can be defined as in the real case by (x, y}Q — x H Qy, arbitrary Q QH > o. notion Qorthogonality can be similarly XH Qy, for arbitrary Q = QH > 0. The notion of Q orthogonality can be similarly generalized to the complex case. generalized to the complex case.
56 56
Chapter 7. Projections, Inner Product Spaces, and Norms Chapter 7. Projections, Inner Product Spaces, and Norms
Definition 7.19. A vector space (V, F) endowed with a specific inner product is called an Definition 7.19. A vector space (V, IF) endowed with a specific inner product is called an inner product space. If F = C, we call V a complex inner product space. If F = R, we inner product space. If IF = e, we call V a complex inner product space. If IF = R we call V a real inner product space. call V a real inner product space.
Example 7.20. Example 7.20. 1. Check that V = IRn x" with the inner product (A, B) = Tr AT B is a real inner product 1. Check that = R" xn with the inner product (A, B) = Tr AT B is a real inner product space. Note that other choices are possible since by properties of the trace function, space. Note that other choices are possible since by properties of the trace function, Tr AT B = TrB TA = Tr A B = TrBAT TrATB = Tr BTA = TrABTT = Tr BAT..
2. Check that V = e nxn with the inner product (A, B) = Tr AHB is a complex inner Tr AH B is a complex inner 2. Check that V = Cnx" with the inner product (A, B) product space. Again, other choices are possible. product space. Again, other choices are possible. Definition 7.21. Let V be an inner product space. For v e V, we define the norm (or Definition 7.21. Let V be an inner product space. For v E V, we define the norm (or length) ofv by IIvll = */(v, v). This is called the norm induced by (',, .).. length) ofv by \\v\\ = J(V,V). This is called the norm induced by (  ) Example 7.22. Example 7.22. 1. If V = E." with the usual inner product, the induced norm is given by i> 1. If V = IRn with the usual inner product, the induced norm is given by II v II = n 2 2 1
(Li=l V i (E,=i<Y))2.xV—*« 9\ 7
2. If V = en with the usual inner product, the induced norm is given by II v II = 2. If V = C" with the usual inner product, the induced norm is given by \\v\\ "n (L...i=l IVi ) ! (£? = ,l»,lI22)*.. Theorem 7.23. Let P be an orthogonal projection on an inner product space V. Then Then Theorem 7.23. Let P be an orthogonal projection on an inner product space \\Pv\\ ::::: Ilvll for all v e V. IIPvll < \\v\\forallv E V.
Proof: Since P is an orthogonal projection, p2 = P = pH. (Here, the notation p# denotes Proof: Since P is an orthogonal projection, P2 = P = P#. (Here, the notation P# denotes the unique linear transformation that satisfies ( P u , } = (u, p#v) for all u, v E If this the unique linear transformation that satisfies (Pu, vv) = (u, P#v) for all u, v e V. If this seems a little too abstract, consider V = R" (or en), where P# is simply the usual PT (or seems a little too abstract, consider = IRn (or C"), where p# is simply the usual pT (or pH)). Hence (Pv, v) = (P 2v, v) = (Pv, p#v) = (Pv, Pv) = IIPvll 2 > O. Now /  P is PH)). Hence ( P v , v) = (P2v, v) = (Pv, P#v) = ( P v , Pv) = \\Pv\\2 ::: 0. Now /  P is also a projection, so the above result applies and we get also a projection, so the above result applies and we get
0::::: ((I  P)v. v) = (v. v)  (Pv, v)
=
IIvll2  IIPvll 2
from which the theorem follows. from which the theorem follows.
0
Definition 7.24. The norm induced on an inner product space by the "usual" inner product Definition 7.24. The norm induced on an inner product space by the "usual" inner product is called the natural norm. is called the natural norm.
In case V = C" or V = R",, the natural norm is also called the Euclidean norm. In In case = en or = IR n the natural norm is also called the Euclidean norm. In the next section, other norms on these vector spaces are defined. A converse to the above the next section, other norms on these vector spaces are defined. A converse to the above procedure is also available. That is, given a norm defined by IIx II = •>/(•*> x), an inner procedure is also available. That is, given a norm defined by \\x\\ — .j(X,X}, an inner product can be defined via the following. product can be defined via the following.
7.3. Vector Norms 7.3. Vector Norms Theorem 7.25 (Polarization Identity). Theorem 7.25 (Polarization Identity).
1. For x, y E m~n, an inner product is defined by 1. For x, y € R", an inner product is defined by (x,y)=xTy=
57 57
IIx+YIl2~IIX_YI12_
IIx + yll2 _ IIxll2 _ lIyll2 2
2. For x, y E en, an inner product is defined by 2. For x, y e C", an inner product is defined by
where j = i = \/—T. where j = i = .J=I.
7.3 7.3
Vector Norms Vector Norms
Definition 7.26. Let (V, F) be a vector space. Then \ Definition 7.26. Let (V, IF) be a vector space. Then II \ . \ II\ : V + R is a vector norm ifit V >• IR is a vector norm if it satisfies the following three properties: satisfies the following three properties:
1. Ilxll::: Ofor all x E V and IIxll = 0 ifand only ifx
= O.
2. Ilaxll = lalllxllforallx
E
Vandforalla
E
IF.
3. IIx + yll :::: IIxll + IIYliforall x, y E V. (This is called the triangle inequality, as seen readily from the usual diagram illus (This is called the triangle inequality, as seen readily from the usual diagram illustrating the sum of two vectors in ]R2 .) trating the sum of two vectors in R2 .) Remark 7.27. It is convenient in the remainder of this section to state results for complexRemark 7.27. It is convenient in the remainder of this section to state results for complexvalued vectors. The specialization to the real case is obvious. valued vectors. The specialization to the real case is obvious. Definition 7.28. A vector space (V, F) is said to be a normed linear space if and only if Definition 7.28. A vector space (V, IF) is said to be a normed linear space if and only if there exists a vector norm  •  : V > R satisfying the three conditions of Definition 7.26. there exists a vector norm II . II : V + ]R satisfying the three conditions of Definition 7.26. Example 7.29. Example 7.29.
1. For x E en, the Holder norms, or pnorms, are defined by 1. For e C", the HOlder norms, or pnorms, are defined by
Special cases: Special cases: (a) Ilx III = L:7=1
IXi
I (the "Manhattan" norm).
1
(b) Ilxllz = (L:7=1Ix;l2)2 = (c) Ilxlioo
(X
H
1
X)2
(the Euclidean norm).
= maxlx;l
IE!!
=
(The second equality is a theorem that requires proof.) (The second equality is a theorem that requires proof.)
p++oo
lim IIxllp
On the vector space (C[to. if U € C"x" is unitary. p. 1Ft).34. y E C". Theorem 7. Since yH = x H y. The CBS inequality is thus equivalent to the statement I. i. In other words... y e en. t \ ] R). Then Fhcorem 7. Some weighted pnorms: (a) IIxll1. R). we see immediately that IXH y\ ~ 0 < ( x H ) ( y H y ) — ( x H ) ( y H x ) .lx.31 (CauchyBunyakovskySchwarz Inequality). 217]). The norm  • 2 is unitarily invariant. its determinant must be nonnegative. Some weighted pnorms: 2.31 and Remark 7. The angle e between two nonzero vectors x.. Remark 7.32 are true for general inner product spaces. Inner Product Spaces.l. ttlr. Inner Product Spaces. o ~ (x Hxx)(yH y) . (b) IIx IIz.34. Let x. if U E enxn is unitary. e.32 are true for general inner product spaces.58 58 Chapter 7. \\Ux\\l XHX = \\x\\\).30 (HOlder Inequality). However. [20. Then with equality if and only if x and yare linearly dependent. However. Since is a nonnegative definite matrix. A particular case of the Holder inequality is of special interest. Theorem 7. it is particularly easy to remember. it is particularly easy to remember.(x Hyy)(yH x). p. [20. „ . On the vector space (C[to. 112 is unitarily invariant.Q — (xhH Qx) 2. Projections. > 0. Since yHxx = x Hy.  . then H H \\Ux\\2 \\x\\2 (Proof. Projections. 1cose 1~ 1. its determinant must be nonnegative. Remark 7. and Norms 2. y E en. y e C".e.32. Ther.32. Let x. Remark 7. Let x.33. whered. p q I I A particular case of the HOlder inequality is of special interest. with equality if and only if x and y are linearly dependent. define the vector norm On the vector space «e[to. +=1.33.e. Since Proof: Consider the matrix [x y] e en x2 . D 0 \\X\\2\\y\\2Note: This is not the classical algebraic proof of the CauchyBunyakovskySchwarz Note: This is not the classical algebraic proof of the CauchyBunyakovskySchwarz (CBS) inequality (see. tO~t:5. JC. 1Ft). 217]).. define the vector norm 1111100 = max II/(t) 11 00 . The norm II . t\])n. is a nonnegative definite matrix.. denoted II . The angle 0 between two nonzero vectors x. Theorem 7. y E en may be defined by cos# = 1I. Remark 7.1^ IIUxll2 = IIxll2 (Proof IIUxili = x U Ux = xHx = IIxlli)· However. where 4 > O.^ cos e = IlMmlylb 0 ~ 0 < I' The CBS inequality is thus equivalent to the statement ~ ^  COS 0 < 1. and  . In other words. (CBS) inequality (see.31 (CauchyBunyakovskySchwarz Inequality). 11·111 and 1I·IIClO XHUHUx .g = (x QXY denoted  • c).D = E^rf/l*/!.D = L~=ld.g. Proof' Consider the matrix [x y] E C" x2 . we see immediately that \XH yl < IIxll2l1yllz.g.t~JI On the vector space ((C[to.31 and Remark 7. IIQ)' 1 3. define the vector norm 11111 = max 1/(t)I· to:::. 0 < e — 5.. Then Theorem 7. and Norms Chapter 7. However. define the vector norm 3. then Remark 7.~~1~1112'. y e C" may be defined by Remark 7.30 (Holder Inequality). Let x. i. e.> where Q = QH > 0 (this norm is more commonly = QH > Ikllz..tl Theorem 7. ttl.
there exist constants c\.37.37... All norms on C" are equivalent. Similar remarks apply to the unitary invariance of norms of real vectors under orthogonal transformation. while the latter is needed to make sense of "convergence" of matrices. lIaAl1 = lalliAliforall A E mxn andfor all a E IR. Let II·• II be a vector norm and suppose v. and essentially obvious. All norms on en are equivalent. ConFinally.e.e. For x G C". while the latter is needed to make sense of former notion is useful for perturbation analysis. the motivation for using matrix norms is to have a notion of either the size of or the nearness of matrices. Let \\ \\ be a vector norm and suppose v. convergence in terms of vector norms. .4. v(2). Matrix Norms 7.e. For x E en. i» (1) v(2\ . Finally. The using matrix norms is to have a notion of either the size of or the nearness of matrices. i.4. then we have the Pythagorean Identity Ilx ± YII~ = IIxll~ + IIYII~. 2. IR) since that is "convergence" of matrices.39. (As with vectors. v(l).35..4 7.. As with vectors. Extension to the complex case is straightforward what arises in the majority of applications. Matrix Norms 59 59 are not unitarily invariant.7.. If x.38. Theorem 7.. we conclude this section with a theorem about convergence of vectors.4 Matrix Norms Matrix Norms In this section we introduce the concept of matrix norm. Then lim k4+00 V(k) = v if and only if lim k~+oo II v(k)  v II = O. 7. If y € C" are orthogonal.36. BE IRmxn. the motivation for In this section we introduce the concept of matrix norm. vectors under orthogonal transformation. y E en are orthogonal. Attention is confined to the vector space (IRmnxn. IIxlioo :::: IIxllz. the proof of which follows easily from liz II~ = ZH z. The former notion is useful for perturbation analysis.35. E en. IIA + BII :::: IIAII + IIBII for all A. the following inequalities are all tight bounds.. this is called the triangle inequality. about convergence of real numbers. i. there exist vectors x for which equality holds: vectors x for which equality holds: Ilxlll :::: Jn Ilxlb Ilxll2:::: IIxll» IIxlloo :::: IIxll» Ilxlll :::: n IIxlloo. ci (possibly depending onn) such that depending on n) such that Example 7. e C". Remark 7. II·• II : IR mxn > IR is a matrix norm if it satisfies the following three properties: properties: 1. Theorem 7. i.. the following inequalities are all tight bounds.e. 3. Definition 7...38. 2 the proof of which follows easily from z2 _ z_//. then we have the Pythagorean Identity Remark 7.e. we conclude this section with a theorem about convergence of vectors. Extension to the complex case is straightforward and essentially obvious.. IIxl12 :::: Jn Ilxll oo . C2 (possibly 7. Convergence of a sequence of vectors to some limit vector can be converted into a statement vergence of a sequence of vectors to some limit vector can be converted into a statement about convergence of real numbers. convergence in terms of vector norms.e.36. there exist Example 7.   R mx " ~ E is a matrix norm if it satisfies the following three Definition 7.39.. i. there exist constants CI. i. Similar remarks apply to the unitary invariance of norms of real are not unitarily invariant.) . As with vectors. i. Attention is confined to the vector space (W xn R) since that is what arises in the majority of applications. IIAII ~ Ofor all A E IR mxn and IR IIAII = 0 if and only if A = O. Then 7.
00 =  • 2. (A' A)) 1 ~ (T.p = (at' + . tTL T Note: IIA+llz = l/ar(A). . and Norms Chapter 7. J=1 3. Example 7. 112' The norm II • 115.mxn. \\F and 11'115.42... is a norm.. I.  5 2 = II IIF and  • 5i00 = II .jj laij. Projections. The "maximum column sum" norm is 2. IIAII P t altA)) 1 ~ (T.60 max _P IIAxll = max Ilxli p IIxllp=1 IIAxll p . I. + a!)"".) I ~ (t. Example 7. (t laUI). IIAII2 = Amax(A A) = A~ax(AA ) = a1(A). Let A E lR.60 Chapter 7." theorem and requires a proof.40.40. Schatten/7norms IIAlls. matrix = Ilxllp.2 =  . 11·115. Then the matrix pnorms are defined by A e Rmxn. to estimate the size of a matrix product A B in terms of the sizes of A and B individually. e R mx ". The concept of a matrix norm alone is not altogether useful since it does not allow us to estimate the size of a matrix product AB in terms of the sizes of A and B individually. ^wncic = rank(A)). Example 7." Each is a "computable. defined by IIAIIF ~ (t. (where r = laiiK^/i.43._ Then "mixed" norms can also be defined by e lR. Then the Frobenius norm (or matrix Euclidean norm) is 7. Let A E R .43. (AA '))." IIAliss = Li. where r mxn = rank(A).44. Projections. 5>1 is often called the trace norm. and Norms Example 7. Example 7.41. Example 7. ai. pnorms previously.q = max IIAxil p 11. is a norm.<110#0 IIxllq Example 7.mxn IIAII p.44.  . The "matrix analogue of the vector Inorm. The spectral norm is 3. The "matrix analogue of the vector 1norm. 1. For example. The norm  .mxn.mxn. Let A E lR. Let A E K m x "."  A\\ = ^ \ai} . Inner Product Spaces.42. The following three special cases are important because they are "computable. The "maximum row sum" norm is 2. IIAlioo = max rE!!l. Example 7. I Some special cases of Schatten /?norms are equal to norms defined previously.. Inner Product Spaces. The Schattenpnorms are defined by E lR.1 is often called the trace norm.
i. Matrix Norms 7. Theorem 7. The "mixed" norm "mixed" norm II· 11 100 .jii II A IIF. II In II p = 1 for all p. we clearly have Ajc ::s A1jt.jii IIAII I. IIAIII ::s . IIAxl1 IIAII = max .::S \\A\\p\\B\\y A matrix norm \\ • is said to be consistent if \\AB\\ ::s  A   B II whenever the matrix product is defined.j is a matrix norm but it is not consistent. Then the norms \\ .. q For such subordmate norms. II A 1100 ::s n IIAII I . but there does consider II .60 \^ • Useful Results The following miscellaneous results about matrix norms are collected for future reference. Then the norms II • \\a II· Ilfl' and . more generally.46. IIABIII. If II . Definition 7.47. 2. IIAII2 ::s . 2. II· II F and 1.  • /7and II . \\ • \\p. not exist a vector norm II •  such that IIAIIF is given by max x . 1. \\v consistent with it. II such that AF is given by max^o ".. If \\ • 11m is a consistent matrix norm. For example. Example 7.. 11^4^11 P (or. Then The p norms are examples of matrix norms that are subordinate to (or induced by) The pnorms are examples of matrix norms that are subordinate to (or induced by) a vector norm. although there are analogues for. although there are analogues for. Let A e Rmxn.jii IIAlb IIAIIF ::s .ooIlBIII.q = maxx. )). Not every consistent matrix norm is subordinate to a vector norm. Example 7.g.45. IIAIIF ::s. e. which equality holds: which equality holds: IIAIII ::s .and II \\ •lIy y are mutually consistent if \\ A B \\ a < IIAllfllIBlly.46.oo J1. also called oper(or.oo 2 while IIAIII.. 2. while E ]Rnxn. . B E ]Rnxk.jii...60 IIx II Ilxll=1 IIAxll p .1100 = max laijl x.e.Then II Ax 1122 ::s II AFjc2. if II A B II < II A 1111 fi whenever the matrix product is defined. atornorms.48. more generally. inner products or outer products of vectors. For example.7. it follows that all subordinate norms are consistent. For example. \\ are Definition 7. there exist matrices A for i.jii IIAII I . p for all p are consistent matrix norms. take A = B = \ \ Afl li00 = 2whileA li00 B 1>00 = 1. II F' ThenA^ < A II Filx 112.. i. .g..4.e.jii IIAlloo. Then :]. there exists a vector norm II • IIv Theorem 7. Matrix Norms 61 61 Notice that this difficulty did not arise for vectors. the IIIn II F = . a vector norm. it follows that all subordinate norms are consistent.47. There exists a vector x* such that IIAx*11 = IIAllllx*11 if the matrix norm is subordinate to the vector norm. IIAxll1 = max . inner products or outer products of vectors. also caUedoperator norms.60 Ilx i.jii IIAlb IIAIII ::s n IIAlloo. For example. wec1earlyhave IIAxll < IIAllllxll· Since Afijc < IIAlIllBxll < Afljt. there exists a vector norm \\ . Let A E ]Rmxn. IIAIIF ::s . IIAlioo ::s .= max IIAxl1 x.e.. We thus need the following definition.e.so II . A matrix norm 11·11\\is said to be consistent mutuallyconsistentifIlABII. •II F. Since IIABxl1 ::s Afljc ::s IIAIIIIBllllxll. There exists a vector x* such that Ajt* = A jc* if the matrix norm is Theorem 7. A = max^o IIxll. consider  • \\F. \\m is a consistent matrix norm. Notice that this difficulty did not arise for vectors.e. exercise. 1. HAjcJI^ ::s \\A\\m Ilxli v. We thus need the following definition. l. reader The interested reader is invited to prove each of them as an exercise.. IIAxliv < IIAlim \\x\\v' Not every consistent matrix norm is subordinate to a vector norm.. i. IIAII2 ::s. II". consistent with it. IIAII2::S IIAIIF. •1122is consistent with II .jii IIAIIF. e R" x ".45.but there does  is consistent with F. i. i. IIAlioo ::s . For A following inequalities are all tight. IIAllp.48. For such subordinate norms.~~i'.jii IIAII2. take A = B = [: is a matrix norm but it is not consistent. •II p for all p are consistent matrix norms.4. The following miscellaneous results about matrix norms are collected for future reference.e. subordinate to the vector norm. Theorem 7.. e.. so not exist a vector norm  .jii IIAlioo' . A A 2. B e Rnxk.60 .
Prove that P . IIF are unitarily invariant. A (2) . l. 3. i. 6. A(A A) 1 AT 5. Theorem 7. A (1) . 112 (as well as all the Schatten /?norms.. prove directly that V22Vl is an I — +A V V/ is an orthogonal projection. scalars. 3. Prove that E"xn with the inner product (A. 112 and II .c — v + = 0. space. but not necessarily The norms  • \\F and  • 2 (as well as all the Schatten pnorms.l.49. IIAllaa fora matrices Q E IR Convergence Convergence The following theorem uses matrix norms to convert a statement about convergence of a sequence of matrices into a statement about the convergence of an associated sequence of of scalars. 7. The spectral radius of A is the scalar by {Ai . Suppose P and Q are orthogonal projections and P + Q = I. Let II ·11 be a matrix norm and suppose A.49. IIQAZlia = A fora = 2 or F. Definition: Let A E IRnxn and denote its set of eigenvalues (not necessarily distinct) by P.62 62 3. \\ \\bea Rmx".e. A(2). 2. Prove that the A e Wnxn orthogonal projection onto the space spanned by these column vectors is given by the P matrix P = A(ATTA)~}AT.y + 2z = O.. .] 4. for all A E IRmxn and for all orthogonal unitarily invariant. 4. „ } The spectral radius of A is the scalar p(A) = max IA. The norms II .] l. Definition: Let A e Rnxn and denote its set of eigenvalues (not necessarily distinct) 8. Then 7. A(I).. Chapter 7. Suppose that a matrix A E IR mxn has linearly independent columns. IIF and II . Inner Product Spaces. (MZa or F.. .  • 2 and  • \\F 8. e Rmx" mxm x mxm and Z E IRnxn . Then k~+oo lim A (k) = A if and only if k~+oo lim IIA (k)  A II = o.Q — Q must be an orthogonal matrix.. For A eRmxa . orthogonal projection. but not necessarily other pnorms) are unitarily invariant.An}.. Prove that / . EeIRmxn..A+A is an orthogonal projection. Projections. and Norms max laijl :::: IIAII2 :::: ~ max laijl. B) = Tr ATB is a real inner product IR n x" AT B (A.. Inner Product Spaces. prove that P+ = P. where V2 is defined as in Theorem 5. . For A E IR mxn . .. spanned by the plane 3x .1. EXERCISES EXERCISES 1. Show that the matrix norms II .. 1. i . Projections. > . [2 3 4]r R3 spanned by the plane 3. Find the (orthogonal) projection of the vector [2 3 4f onto the subspace of 1R3 5. i. p+ = P. must be an orthogonal matrix. If P is an orthogonal projection. and Norms Chapter 7. If P projection. B) = space. matrices Q zR and e M" ". Also.I. where ¥2 is defined as in Theorem 5. .1..e...
HA^. it can be proved that IIMllp = ss for all p.) that  M Up = for all/?. and p(A). Determine IIAIIF' IIAII d . 10. (An n x n matrix. 9. and p(A). Aj. all of whose Determine AF. (An n x n matrix. H A I I A2. or (Xl as appropriate. where a and ft take the value 1. H A H ^ and peA). Determine IIAIIF' IIAII Ilt. all of whose columns and rows as well as main diagonal and antidiagonal sum to s = n(n2 + 1) /2.2. columns and rows as well as main diagonal and antidiagonal sum to s = n (n 2 l)/2. Determine AF.. Let 9. is called a "magic square" matrix. y E IR n are nonzero. and peA). \\A\\ A2. where ex and {3 take the value 1.. where both x. Determine AF. Determine IIAIIF' IIAIII> IIAlb and Aoo in terms of \\x\\a and/or \\y\\p. 2. Let A = xyT. . Let A=[~4 9 2 ~ ~]. IIAlb IIAlloo. or oo as and II A 1100 in terms of IIxlla and/or IlylljJ. A2. where both x.) T 10. IIAlb IIAlloo.Exercises Exercises 63 63 Let Let A=[~ 14 0 12 5 ~]. y e R" are nonzero. appropriate. Let A = xy . If M is a magic square matrix.
This page intentionally left blank This page intentionally left blank .
where r = b . A vector x E X if and only if ATrr = 0.35).. while (b .. For further details. The linear least squares problem consists of finding an element of the set squares problem consists of finding an element of the set x = {x E jRn : p(x) = IIAx . see Section 8.Ax) is clearly in 'R(A). Solution: The set X has a number of easily verified properties: The set X has a number of easily verified properties: 1.35). Thus.1 8.2. is a solution of the normal equations. Thus.e.1) To see why this must be so.2. (Pn(A)b — AJC) is clearly in 7£(A). IIrll~ = lib . i.b 112) assumes its minimum value if and only if II Ax —b\\2) assumes its minimum value if and only if (8.1 The Linear Least Squares Problem The Linear Least Squares Problem Problem: Suppose A E Rmx" with m 2: nand b E jRm is aagiven vector. while Now. Now. x E X if and only if x is a solution of the normal equations. i.bll 2 is minimized}.PR(A)b) = (I . A vector x X if and onlv if x is of the x=A+b+(IA+A)y. Hence. AT — A T Ax = AT b latter form is commonly known as the normal equations.PR(A)b) + (PR(A)b  Ax).x — b\\\ (and hence p ( x ) = from the Pythagorean identity (Remark 7. 2.Chapter 8 Chapter 8 Linear Least Squares Linear Least Squares Problems Problems 8. write the residual r in the form To see why this must be so.b E 'R(A)L so these two vectors are orthogonal.. The equations ATrr = 0 can be rewritten in the form A TAx = ATb and the x.2) 65 . so these two vectors are orthogonal. A. Hence. vector x e X if and only if AT where b — Ax is the residual associated with x.PR(A))b = PR(A). A vector x E X if and only if x is of the form 2. see Section 8. write the residual in the form r = (b .Axll~ = lib . The linear least Problem: Suppose A e jRmxn with > n and b <= Rm is given vector.bll~ (and hence p(x) = \\Ax . x e X if and only if latter form is commonly known as the normal equations. IIAx .e.Ax is the residual associated 1. (PR(A)b . (8.PR(A)bll~ + IIPR(A)b  Axll~ from the Pythagorean identity (Remark 7. whereyEjRnisarbitrary. For further details.
then equality holds and the least squares . To see why.mxk. we can generalize the linear least squares problem to the matrix case. x" = + b is the unique vector 4. The minimum value of p x ) is then clearly equal to lib . there is no "existence condition" such as R(B) S.23.n is arbitrary. we can generalize the linear least squares Just as for the solution of linear equations.e.2.A+A)y and *2 = A+b + (I — A+A)z in X.0)z) is clearly in 4. To see why. AA+)bI1 2 the last inequality following by Theorem 7. if and only if rank (A) = n. X = {x"} = {A+b}.A+ A)z in X.e.. The unique solution of minimum 2norm or Fnorm is X = A+B. 3.PR(A)bll z = ~ 11(1 Ilbll z. 7£(A). and only if A+A = I or. Notice that solutions of the linear least squares problem look exactly the Remark 8. 1]. if and only if A + A lor. The minimum value of p ((x) is then clearly equal to where y E ]R. the last inequality following by Theorem 7.1].3.. 0*i (1 #)* = A+b (I . where Y E R" xfc is arbitrary. + (1 . Linear Least Squares Problems and this equation always has a solution since AA+b e 7£(A). This follows immediately from and is the vector of minimum 2norm that does so. equivalently. The Theorem 8.A+A)(Oy (1 .1) and convexity or directly from the fact that all x E X are of the form (8. 5. i.1) and which follows since the two vectors are orthogonal.. i. Let 8 e [0. all solutions of (8. Just as for the solution of linear equations.1.mxn XElR Plxk min IIAX  Bib is of the form is of the form X=A+B+(IA+A)Y. x* = A+b is the unique vector that solves this "double minimization" problem. problem to the matrix case. X.e. X is convex. of linear least squares solutions.3. x* minimizes the residual p(x) that solves this "double minimization" problem..2) are of the form x = A+ AA+b + (I  A+ A)y =A+b+(IA+A)y. equivalently. i. then equality holds and the least squares If the existence condition happens to be satisfied. all and this equation always has a solution since AA+b E R(A). X has a unique element x* of minimal 2norm. if and only if rank(A) n. Remark 8. Notice that solutions of the linear least squares problem look exactly the same as solutions of the linear system AX = B. x* minimizes the residual p ( x ) and is the vector of minimum 2norm that does so. X = {x*} = {A+b}.66 Chapter 8.8)xz2 = A+b ++ (I A+ A)(8y ++ (1 8)z) is clearly in X. X = A+B. There is a unique solution to the least squares problem. The only difference is that in the case of linear least squares solutions. By Theorem 6.e. consider two arbitrary vectors Xl = A + b 3. If the existence condition happens to be satisfied.nxk is arbitrary. Linear Least Squares Problems Chapter 8.2. The general solution to e ]R. Then the convex combination and Xz = A+b (I . The only difference is that in the case same as solutions of the linear system AX = B. Let A E E mx " and B € Rmxk. Then the convex combination 8x. Let 6 E [0. In fact. i. where y e W is arbitrary. By Theorem 6. there is no "existence condition" such as K(B) c R(A).23. which follows since the two vectors are orthogonal.. consider two arbitrary vectors jci = A+b + (I — A + A) y (I .2) are of the form solutions of (8. In fact. BE ]R. has a unique element x" of minimal2norm.. X is convex. This follows immediately from convexity or directly from the fact that all x e X are of the form (8. There is a unique solution to the least squares problem. if 5. The unique solution of minimum 2norm or Fnorm is where Y € ]R.
8.3 Linear Regression and Other Linear Least Squares Problems 8.3 Linear Regression and Other Linear Least Squares Problems
67
O. X = +B residual is 0. Of all solutions that give a residual of 0, the unique solution X = A+B has minimum 2norm or F norm. Fnorm. Remark 8.3. If we take B = 1m in Theorem 8.1, then X = A+ can be interpreted as Im in Theorem 8.1, then Remark 8.3. If we take B A+ can be interpreted as saying that the MoorePenrose pseudoinverse of A is the best (in the matrix 2norm sense) A AX matrix such that AX approximates the identity. Remark 8.4. Many other interesting and useful approximation results are available for the F norm). matrix 2norm (and Fnorm). One such is the following. Let A E M™ x " with SVD following. e lR~xn
A
= U~VT = LOiUiV!.
i=l
Then a best rank k approximation to A for 1< f c < r r,i . e . , a solution to A k l :s k :s , i.e., a
MEJRZ'xn
min IIA  MIi2,
is given by is given by
k
Mk =
LOiUiV!.
i=1
The special case in which m = n and k = n  1 gives a nearest singular matrix to A E A e = nand = —
lR~ xn .
8.2 8.2
Geometric Solution Geometric Solution
Looking at the schematic provided in Figure 8.1, it is apparent that minimizing IIAx —bll 2 2  Ax b\\ x e W1 p — Ax is equivalent to finding the vector x E lRn for which p = Ax is closest to b (in the Euclidean b Ay norm sense). Clearly, r = b  Ax must be orthogonal to R(A). Thus, if Ay is an arbitrary r b — Ax 7£(A). R(A) vector in 7£(A) (i.e., y is arbitrary), we must have y
0= (Ay)T (b  Ax) =yTAT(bAx) = yT (ATb _ AT Ax).
Since y is arbitrary, we must have ATb — ATAx = 0 or A r A;c = AT b. AT b  AT Ax AT Ax = ATb. T Special case: If A is full (column) rank, then x = (AT A) ATb. A = (A A)l ATb.
8.3 8.3
8.3.1 8.3.1
Linear Regression and Other Linear Least Squares Linear Regression and Other Linear Least Squares Problems Problems
Example: Linear regression
Suppose we have m measurements (ll, YI), ... ,, (trn,,ym) for which we hypothesize a linear (t\,y\), . . . (tm Ym) (affine) relationship (8.3) y = at + f3
68
Chapter 8. Linear Least Squares Problems Chapter 8. Linear Least Squares Problems
b
r
p=Ax
Ay E R(A)
Figure S.l. Projection of b on K(A). Figure 8.1. Projection of b on R(A).
for certain constants a. and {3. One way to solve this problem is to find the line that best fits for certain constants a and ft. One way to solve this problem is to find the line that best fits the data in the least squares sense; i.e., with the model (8.3), we have the data in the least squares sense; i.e., with the model (8.3), we have
YI
Y2
= all + {3 + 81 ,
= al2 + {3 + 82
where &\,..., 8m are "errors" and we wish to minimize 8\ + • • 8;. Geometrically, we where 81 , ... , 8m are "errors" and we wish to minimize 8? + ...• + 8^ Geometrically, we are trying to find the best line that minimizes the (sum of squares of the) distances from the are trying to find the best line that minimizes the (sum of squares of the) distances from the given data points. See, for example, Figure 8.2. given data points. See, for example, Figure 8.2.
y
Figure 8.2. Simple linear regression. Figure 8.2. Simple linear regression.
Note that distances are measured in the vertical sense from the points to [he line (as Note that distances are measured in the venical sense from the point!; to the line (a!; indicated, for example, for the point (t\, y\}}. However, other criteria arc possible. For exindicated. for example. for the point (tl. YIn. However. other criteria nrc po~~iblc. For cxample, one could measure the distances in the horizontal sense, or the perpendicular distance ample, one could measure the distances in the horizontal sense, or the perpendiculnr distance from the points to the line could be used. The latter is called from the points to the line could be used. The latter is called total least squares. Instead squares. Instead of 2norms, one could also use 1norms or oonorms. The latter two are computationally of 2norms, one could also use Inorms or oonorms. The latter two are computationally
8.3. Linear Regression and Other Linear Least Squares Problems 8.3. Linear Regression and Other Linear Least Squares Problems
69
much more difficult to handle, and thus we present only the more tractable 2norm case in difficult text that follows. follows. The m "error equations" can be written in matrix form as ra
Y = Ax +0,
where
We then want to solve the problem
minoT 0 = min (Ax  y)T (Ax  y)
x
or, equivalently, min lIoll~ = min II Ax  YII~.
x
(8.4)
AT Solution: x = [~] is a solution of the normal equations AT Ax Solution: x — [^1 is a solution of the normal equations ATAx = ATyy where, for the special form of the matrices above, we have special form of the matrices above, we have
and and
AT Y = [ Li ti Yi
LiYi
J.
The solution for the parameters a and f3 can then be written ft
8.3.2
Other least squares problems
y = f(t) =
Cl0!(0
(8.3) of the form Suppose the hypothesized model is not the linear equation (S.3) but rather is of the form + • • • 4 cn<t>n(t). (8.5) (8.5)
In (8.5) the ¢i(t) are given (basis) functions and the Ci; are constants to be determined to </>,(0 functions c minimize the least squares error. The matrix problem is still (S.4), where we now have minimize the least squares error. The matrix problem is still (8.4), where we now have
An important special case of (8.5) is least squares polynomial approximation, which corresponds to choosing ¢i (t) = t t'~1,, i i;Ee!!, although this choice can lead to computational 0,• (?) = i  l n, although this choice can lead to computational
. respectively. etc. The subvector z2 is arbitrary. problem. then u^ = i>i \\\ \\vi\\\ (note The last equality follows from the fact that if v = [£ ]. [7]. VT = U. [11].. = log c" and C2 = cj_ results in a standard linear least squares y — log y. piecewise polynomial functions. We now note that IIAx  bll~ = IIU~VT x =  bll~ II ~ VT X  U T bll. we assume that A has an SVD given by A U\SVf via the SVD. c\ logci. z. S~lc\. Better numerical methods are based on algorithms that AT work directly and solely on A itself rather than AT A. insight. In this section we investigate solution of the linear least squares problem min II Ax x b11 2 . quantity above is clearly minimized by taking z\ = S'c. Linear Least Squares Problems Chapter 8. c. Ib is unitarily invariant =11~zcll~ wherez=VTx. since II .. we assume that A has an SVD given by A = UT. Sometimes a problem in which the Ci'S appear nonlinearly nonlinearly can be converted into a linear problem. [7]. splines. (8. Since the standard Kalman filter essentially amounts to sequential updating of normal equations.4 Least Squares and Singular Value Decomposition Least Squares and Singular Value Decomposition In the numerical linear algebra literature (e. appear functions </>. then II v II ~ = II viii ~ + II v211 ~ (note that orthogonality is not what is used here. norm. In fact. as in Theorem 5. if the fitting function is of the form can be converted into a linear problem. Linear Least Squares Problems difficulties because of numerical ill conditioning for large n. This that orthogonality is not what is used here. e C2 / then taking logarithms yields the equation log y = log c.5) is that the coefficients Ci appear linearly. respectively.SVr U~VT Theorem 5. it is shown that solution [4]. if the fitting function is of the form y t) Y = ff( (t) = c\eC2i. Better numerical methods are based on algorithms that behavior in practice (and it does).g.1. bE IR m . the two are equivalent. C2 problem. [23]). This explains why it is convenient to work above with the square of the norm rather than the concerned.6) via the SVD.70 70 Chapter 8. The basis functions coefficients c. Since the standard Kalman filter essentially amounts method in finiteprecision arithmetic. [4]. fact. etc.c=UTb = II [~ ~] [ ~~ ] . it can be expected to exhibit such poor numerical behavior in practice (and it does). The former based on SVD and QR (orthogonalupper triangular) factorization. of linear least squares problems via the normal equations can be a very poor numerical method in finiteprecision arithmetic. are based on orthogonal polynomials. 's ¢i. For example. the last equivalent. then taking logarithms yields the equation logy = logci + cjt. 8. arbitrary. Specifically. c. Numerically better approaches ill difficulties n. The former is much more expensive but is generally more reliable and offers considerable theoretical offers insight. The key feature in (8. Specifically. As far as the minimization is concerned.[ ~~ ] II: sz~~ c. Z2 while the minimum value of \\Ax — b II ~ is l^llr while the minimum value of II Ax .can be arbitrarily nonlinear. Two basic classes of algorithms are A itself S VD and QR (orthogonalupper triangular) factorization. Then c.4 8. the subvectors can have different lengths). For example. the subvectors can have different lengths). A E IRmxn . . + c2f.b\\^ is II czll ~. ] II: = II [ The last equality follows from the fact that if v [~~]. Then GI defining y = logy.1.
than an SVD and. 11(1.5 Least Squares and QR Factorization Least Squares and QR Factorization In this section. Z VISici The last equality follows from The last equality follows from c = UTb = [ ~ f: ]= [ ~~ l Note that since Z2 is arbitrary. This matrix factorization is much cheaper to compute than an SVD and. This agrees. V2 Z 2 is an arbitrary vector in 7Z(V2)) = A/"(A). with appropriate numerical enhancements. and there is thus "no V2 part" to the solution. where y e ffi. i. A e R™ X M . A finite sequence of simple orthogonal transformations. Finally. can be quite reliable.1).e. we again look at the solution of the linear least squares problem (8.8. to reduce A in the following way.6) but this In this section. with appropriate numerical enhancements.S. we add the simplifying assumption that A has full column rank.7) . This follows easily since Another expression for the minimum residual is II (I . via a sequence of socalled Householder or Givens transformations. we again look at the solution of the linear least squares problem (8. 8. It is then possible.AA+)bll~ . via a sequence of socalled Householder or Givens rank.11U2U!b"~ = bTUZV!V UJb = bTVZV!b = IIV!bll~. Least Squares and QR Factorization B. If we label the product of such orthogonal row transformations as the to triangular form. where y E Rm is arbitrary. This follows easily since (7 . i. i. of course.m is arbitrary.5 8.mxm.~xn. Another expression for the minimum residual is  (/ — AA + )b 2 . A finite sequence of simple orthogonal row transformations (of Householder or Givens type) can be performed on A to reduce it row transformations (of Householder or Givens type) can be performed on A to reduce it to triangular form. of course. (8.e. with (8. x has Note that since 12 is arbitrary.6) but this time in terms of the QR factorization. To simplify the exposition.AA+)bllz. is orthogonal to all vectors in 7l(A}L b E R(A). x has been written in the form x = A+b + (I ..e.~xn. an important special case of the linear least squares problem is the socalled fullrank problem. V2z is an arbitrary vector in R(V2 = N(A). i. an important special case of the linear least squares problem is the Finally. In this case the SVD of A is given by A A = V:EVTT = [VI{ Vzl[g]Vr.A + A)_y. we have QT € ffi. It is then possible. The minimum value of the least squares residual is The minimum value of the least squares residual is and we clearly have that and we clearly have that minimum least squares residual is 0 4=> b is orthogonal to all vectors in U2 minimum least squares residual is 0 {::=:} b is orthogonal to all vectors in U2 {::=:} •<=^ {::=:} b is orthogonal to all vectors in R(A)l. with (8. In this case the SVD of A is given by socalled fullrank problem.AA+)b\\22 = \\U2Ufb\\l = bTU2U^U22V!b = bTU2U*b = \\U?b\\22. = +b + (/ — A + A) y. we add the simplifying assumption that A has full column To simplify the exposition. This agrees. A E ffi. UZV = [U t/2][o]^i r > and there is thus "no V2 part" to the solution. can be quite reliable.. If we label the product of such orthogonal row transformations as the orthogonal matrix QT E R m x m . Thus. Thus.1). A E ffi.5. Least Squares and QR Factorization Now transform back to the original coordinates: Now transform back to the original coordinates: x = Vz 71 71 = [VI V2 1[ ~~ ] = VIZ I + V2Z2 = = + V2Z2 vlsIufb + V2 2.. This matrix factorization is much cheaper to compute time in terms of the QR factorization. to reduce A in the following way..e. A e 1R™ X ".
9) are variously referred to as QR factorizations of A.8) ~ ] (8. Suppose q.9) is essentially what is accomplished by the GramSchmidt process. check directly that (I . or (8. Note that Any of (8.. we see that in (8. m and any e ffi. i. i. yt): (1. are orthogonal vectors. R~l) ) of the columns of A yields the orthonormal columns of QI. Qz] [ (8. Linear Least Squares Problems Chapter 8. n • (a) Find the optimal linear combination aq^ + (3q2 that is closest to b (in the 2norm (a) Find the optimallinear combination aql + fiq2 that is closest to b (in the 2norm sense).[ ~~ ] If:. Multiplying through by Q Q2 E ffi.9) Any of (8.e. Now note that Now note that IIAx  bll~ = IIQ T Ax = II [ QTbll~ since II . we have x = R.. 112 is unitarily invariant ~ ] x . where QI E ffi. Both Q I and Qz2 have orthonormal columns. Now write Q = [QI Q2]. Equivalently. (2. all in ffi. both ql and q2 . Note that (8. all in R". by writing (8.m IX(m ~" ) . check directly that (I . Consider the following set of measurements (*.7).. For € ffi. 3.8).1).7).+ A)y and A+b are orthogonal vectors. For A E Wmxn . Yi): 2. 3.9) is essentially what is accomplished by the GramSchmidt process. b E Em. Linear Least Squares Problems where E ffi. (a) Find the best (in the 2norm sense) line of the form y = ax + fJ that fits this (a) Find the best (in the 2norm sense) line of the form y = ax + ft that fits this data. (3. data.aql . Suppose qi and q2 are two orthonormal vectors and b is a fixed vector.7).8). xn.. 2. The last quantity above is clearly minimized by taking x = R. and qz are two orthonormal vectors and b is a fixed vector. Multiplying through by Q in (8. we see that A=Q[~J = [QI = QIR.Equivalently..Cl and the minimum residual The last quantity above is clearly minimized by taking x = R lIc\ and the minimum residual is Ilczllz. data. we have = R~l Qf b = +b and the minimum residual is IIC?^!^ EXERCISES EXERCISES 1.Show that r is orthogonal to both^i and q2.e. (b) Let r denote the "error vector" b . (b) Find the best (in the 2norm sense) line of the form jc = ay + (3 that fits this (b) Find the best (in the 2norm sense) line of the form x = ay fJ that fits this data.A+A)y and A +b 1. n .1Q\b = A+b and the minimum residual is II Qr bllz' is \\C2\\2.mxn and where R e M£ x " is upper triangular.flq2 Show that r is orthogonal to (b) Let r denote the "error vector" b — ctq\ — {3qz. or (8. b e ffi. and any y E R".2).9) are variously referred to as QR factorizations of A.3). sense).72 Chapter 8. Now write Q = [Q\ Qz]. (8.7).~xn is upper triangular. by writing AR~l1 = Q\ we see that a "triangular" linear combination (given by the coefficients of ARQI we see that a "triangular" linear combination (given by the coefficients of R. Consider the following set of measurements (Xi.. (8.I of the columns of yields the orthonormal columns of Q\. where Q\ e R mx " and Qz € K" x(mn). Both Q\ and <2 have orthonormal columns.
yII2 as 8 approaches O? (b) Now consider the perturbation E2 = [~ (b) Now consider the perturbation EI = \0 s~\ of A. then A+ == R. verify that if A E ~.Exercises Exercises 73 4.z2 as 8 approaches O? where A2 — A E 2 What happens to \\x* — zll2 as 8 approaches 0? 6. Solve the perturbed problem min II A 2 z . Use the four Penrose conditions and the fact that Q\ has orthonormal columns to 6. where 8 is a small positive number.• What happens to IIx* . where AI = A + E I .bll 2 x when A = [ ~ 5. Prove that A+ = R+ QT. then A+ R~ Q\. Solve the perturbed problem positive number. Solve the perturbed version of the above problem. where again 8 is a small positive number.9). Let A e R"x".9). What happens to jt* . where again 8 is a small of A. (a) Consider a perturbation E\ = [0 ~] of A. Consider the problem of finding the minimum 2norm solution of the linear least 5.bl1 2 when A = [~ ~ ] and b = [ !1 x The solution is (a) Consider a perturbation EI = [~ pi of A. Use the four Penrose conditions and the fact that QI has orthonormal columns to verify that if A e R™ x "can be factored in the form (8. Find all solutions of the linear least squares problem 4. not necessarily nonsingular. not necessarily nonsingular.IlQf.:. 7. of 2norm solution of least «rmarp« problem squares nrr»h1<=>m min II Ax . where Q is orthogonal.bib z n where A2 = A + E2. and suppose A = QR. where 8 is a small positive number. What happens to IIx* — y 2 as 8 approaches 0? where AI = A + E\. A+ R+QT . Let A E ~nxn. Solve the perturbed version of the above problem. and suppose A where is 1.xn can be factored in the form (8. Find all solutions of the linear least squares problem min II Ax .
This page intentionally left blank This page intentionally left blank .
This of A. we use both forms throughout the text.1 9. Then n(A) A2 + 2A 3. Example 9. [21D or directly using elementary properties of inverses and determinants (see. verify that n(A) = A2 2A .) throughout the text. Theorem 9./ — A). (Note that the characteristic polynomial can also be defined as det(Al .2. (9. Thus.1 Fundamental Definitions and Properties Fundamental Definitions and Properties Definition 9./) is called the characteristic polynomial of A. The polynomialn (A. we see immediately that x H is a left eigenBy taking Hermitian transposes in (9. e C.A). for proved easily from the Jordan canonical fonn to be discussed in the text to follow (see.} The following classical theorem can be very useful in hand calculation. as a matter of convenience.31 = 0.2. Note that if x [y] is a right [left] eigenvector of A.1.1. such that a scalar A E e.2) By taking Hennitian transposes in (9. For any A e Cnxn . It can be proved easily from the Jordan canonical form to be discussed in the text to follow (see. It is an easy exercise to Example 9.— 3. Let A [~ ~]. (Note that the characteristic polynomial can also be defined as det(A.) = det (A . we see immediately that XH is a left eigenvector of A H associated with A.3 (CayleyHamilton). It can be proved from elementary properties of determinants that if A E C" ". then vector of AH associated with I. Then n(k) = X2 + 2A. then so is ax [ay] for any nonzero scalar a E C. called an eigenvalue. we use both forms results in at most a change of sign and.3 (CayleyHamilton).. It can be The following classical theorem can be very useful in hand calculation.1). A nonzero vector x e C" is a right eigenvector of A e Cnxn if there exists a scalar A. [3]). It is an easy exercise to 2 verify that n(A) = A + 2A . Theorem 9. example. [3]).Al) is called the characteristic polynomial Definition 9.1) Similarly. for example. then n(A) is a polynomial of degree n. the Fundamental Theorem of Algebra says that x 75 . Note that if x [y] is a right [left] eigenvector of A.Chapter 9 Chapter 9 Eigenvalues and Eigenvalues and Eigenvectors Eigenvectors 9. norm used for such scaling. Let A = [~g ~g]. [21]) or directly using elementary properties of inverses and determinants (see. as a matter of convenience. such that Ax = AX.31 O. the Fundamental Theorem of Algebra says that 7t (X) is a polynomial of degree n. The 2norm is the most common nonn used for such scaling. called an eigenvalue. This results in at most a change of sign and. The polynomial n (A) = det(A—A. then It can be proved from elementary properties of detenninants that if A e enxn . a nonzero vector y E en is a left eigenvector corresponding to an eigenvalue Similarly. a nonzero vector y e C" is a left eigenvector corresponding to an eigenvalue a if Mif (9. Definition 9. for example. For any A E e nxn .4. Thus. n(A) = 0.1). for example.t so that the scaled eigenvector has norm 1. The 2nonn is the most common a — \j'.4. A nonzero vector x E en is a right eigenvector of A E e nxn if there exists Definition 9. One oftenused scaling for an eigenvector is One oftenused scaling for an eigenvector is so is ax [ay] for any nonzero scalar a E a = 1/ IIx II so that the scaled eigenvector has nonn 1. n(A) = O.
we say that X is an eigenvalue of A of algebraic multiplicity m. guarantee the existence of corresponding nonzero eigenvectors. must occur in complex conjugate pairs. For example. Definition 9. Eigenvalues and Eigenvectors n(A) has n roots.~. it can also be generally write a(A) as a monic polynomial throughout the text). we get the interesting fact that del (A) = A] • A2 • • An (see also Theorem 9. Definition 9.e. ft E 1Ft and let A = [ _^ !]. we denote the geometric multiplicity of A by g. eigenvalues of A. the n(A) coefficients. But it also clearly satisfies the smaller degree polynomial equation (it. if A = \1Q ®]. it is posn(A) = O. A is said to be defective if it does not have n linearly independent (right or left) eigenvectors. Let a..n =0o.e. An. Equivalently.7. The geometric multiplicity ofX is the number of associated of algebraic multiplicity m. The spectrum of A E C"x" is the set of all eigenvalues of A.nxn is the polynomial o/(X) oJ IPll. .A) . must occur in complex conjugate pairs. However. The spectrum of A is denoted A(A).. However. say. If A E A(A) has algebraic multiplicity m. we always have A(A) = A(AT). Thus. Specifically. From the CayleyHamilton Theorem. A is said to be defective if it does not have n linearly independent (right or left) eigenvectors. possibly repeated. Example 9. y of AT y is a left eigenvector of A corresponding to A e A(A). too. we know that n(A) = 0. . c form form A e C" " A]. eigenvalues of A. Moreover. If is a root of multiplicity m of n(A).. as solutions of the determinant equation n(A) = det(A  AI) = 0.AI) = (A] . Thus.e. geometric multiplicity is not equal to (i.5.. f3 e R and let A = [~f3 £ ].2)). Specifically. • AM(see and set X = 0 in this identity. checked eigenvectors of A and AT (take Hermitian transposes of both sides of (9. a . 2aA + 2 + ft and Example 9. For example.. Then n(A) = A22..1)2 = O.2»..3) in the n(A) = det(A . Eigenvalues and Eigenvectors Chapter 9.5.AI) :::: m. such a polynomial is said to be monic and we of the highest power of A to be +1.e. possibly repeated. E A(A). if If A € A(A) has algebraic multiplicity m. then A satsible for A to satisfy a lowerorder polynomial. i. the set of all roots of its characteristic polynomial n(X). Then jr(A.4) and set A = 0 in this identity.76 Chapter 9. The spectrum of A e nxn is the set of all eigenvalues of A.. then I < dimA/"(A — A/) < m. but that A(A) = A(A) only if A E 1Ftnxn. IfXA is a root of multiplicity m ofjr(X). then y is a right eigenvector of AT corresponding to I € A (A)..2. then 1 :::: dimN(A . then we must have 1 :::: g :::: m.. that by elementary properties of the determinant. i •>/—!)• If A E 1Ftnxn.1) . (An .25). sible for A to satisfy a lowerorder polynomial..8. if eigenvectors of A and AT (take Hermitian transposes of both sides of (9. if left of A A E A(A). The minimal polynomial Of A l::: K""" ix (hI' polynomilll a(A) of least degree such that a(A) ~ O. These roots... Let a.2aA + aa2+ f322 and A has eigenvalues a f3j (where A has eigenvalues a ± fij (where j = i = R). Xn. A. degree such that a (A) =0. then A satisfies (Je — I)2 = 0. Let the eigenvalues of A E en xxn be denoted X\. then we must have I < g < m..rank(A . Hence the roots of 7r(A). less than) its algebraic multiplicity.. it can also be . we say that A is an eigenvalue of A Definition 9.XI. Thll minimal polynomial of A G l!if. of we always have A(A) = A(A r ). i. But it also clearly satisfies the smaller degree polynomial equation isfies (1 . A matrix A e 1Ft x" is said to be defective if it has an eigenvalue whose geometric multiplicity is not equal to (i. and hence further guarantee the existence of corresponding nonzero eigenvectors. The spectrum of A is denoted A (A).7.e. all roots of its characteristic polynomialn(A).A) (9. such a polynomial is said to be monic and we generally write et (A) as a monic polynomial throughout the text). and hence further are the eigenvalues of A and imply the singularity of the matrix A — AI. if A = [~ ~]. Then if we write (9.. neftnhion ~. n(A).ft Definition 5. A matrix A E Wnxn is said to be defective if it has an eigenvalue whose Definition 9. Moreover.. less than) its algebraic multiplicity. Equivalently.6.) A.8. then n(X) has real coefficients. i.6. the set of Definition 9.AI) = dimN(A . we get the interesting fact that det(A) = AI .AI).5.. (9. as solutions of the determinant equation 7r(A) has n roots.:. The geometric multiplicity of A is the number of associated independent eigenvectors = n — rank(A — A/) = dim J\f(A — XI).3) are the eigenvalues of A and imply the singularity of the matrix A . Note. if we denote the geometric multiplicity of A by g. It can be shown that or(l) is essentially unique (unique if we force the coefficient It can be shown that a(Je) is essentially unique (unique if we force the coefficient of the highest power of A to be + 1. If e Wxn. Definition 9.. say. These roots. independent eigenvectors = n . Theorem If A E 1Ftnxn. then there is an easily checked relationship between the left and right If A € R"x". A. but that A(A) = A(A) only if A e R"x".
shown that a (A. such is not the case. left Aj E A (A) such that Xj 1= A.9.. one might speculate that g plus the degree of a must always be five. e l\(A) yj Xi. Furthermore. called the Bezout algorithm. a(X) n(X). A[~  2 0 I 2 0 0 0 0 0 0 !] ~ ~ ~ ha. Theorem 9. sociated eigenvector structure).1.5) = (A  2)2 and g = 2. Fundamental Definitions and Properties 77 77 a(A) f3(A) O.) divides every nonzero polynomial fi(k} for which ft (A) = 0.. Unfortunately. Fundamental Definitions and Properties 9. such that Aj =£ Ai. g. We denote 7r(A) (A . every nonzero polynomial f3(A) particular.2)4. i."(A) ~ ~ ~ ~ (A .2)' ""d g ~ ~ ~ 1. Example 9. . Bezout algorithm. algorithm.11.. each 4. Proof' Since AXi AiXi. be an eigenvalue of A with corresponding right Theorem 9. a(A) divides n(A).10.. Then yfx{ = O..e. A~[~ A~U 2 0 0 I 2 2 ] ha< a(A) (A . n(A) = (A — 2)4. The matrix A~U has a(A) I 2 0 0 2 0 0 0 !] (9.11.) directly (without knowing eigenvalues and as Unfortunately. this algorithm. 0 0 0 2 A~U 0 0 ] ha<a(A) (A . let Yj be a left eigenvector corresponding to any A..*. Example 9. of which has an eigenvalue 2 of algebraic multiplicity 4. In particular. a(A) directly (without knowing eigenvalues and asThere is an algorithm to determine or (A. The above definitions are illustrated below for a series of matrices. Unfortunately. Let A E cc nxn and let Ai be an eigenvalue of A with corresponding right eigenvector jc.2)' ""d g 2.1.2)2 ""d g 3.10. 0 0 0 2 0 0 0 2 ] h'" a(A) (A . the geometric multiplicity by g. eigenvector is numerically unstable. YY Proof: Since Axt = A.2) andg ~ 4. 0 g At this point. Let A e C« x " ana [et A. Then Xi = 0.
Eigenvalues and Eigenvectors yy. we have that XxH = AXH x. Since Xi ^ 0 and would thus have to be 0.JC by ZH to get ZH Ax = X z Hx . Eigenvalues and Eigenvectors Chapter 9. A = AH. Since Ai .. Let A E C"x" be Hermitian. yr . i.. YyXi =0... the proof see.11. from which we conclude I = A. Let us now return to the general case.. XH x /= 0.. Chapter 9. 's. .are distinct eigenvalues of A with corresponding right eigenvectors x and z.5). so that YitH x. and if A. 0 D Theorem 9. is real to get H Az AxH z. Let A e C"x" be Hermitian and suppose A and /JL are distinct eigenvalues Theorem 9. . Theorem 9.6) from (9. or the y. p. is If A e C nxn has distinct eigenvalues. Proof: Proof: For the proof see. However.14. and if Ai E A(A). c Proof: Premultiply the equation Ax = A. result holds for the corresponding left eigenvectors. 0 Let us now return to the general case.xnn • Then {XI. p..12. i..e. Then all eigenvalues of A must Theorem 9.e. The same right eigenvectors XI. Cnxn have distinct eigenvalues AI.14. since y" A = Similarly. x) is an arbitrary eigenvalue/eigenvector pair such that Ax = A. An with corresponding Theorem 9. i. = A. we must have that XHzz = 0..6) from (9. we must have that x H = 0. Then and z must be orthogonal. or both. A is real. xn}} is a linearly independent set.n with corresponding right eigenvectors x\..Aj)YY xi. then by Theorem 9. .7) yields Using the fact that A is Hermitian. Since A.— A y )j^jc.e. However. i. Xi is orthogonal to all y/s for which j =1= i. Then x and z must be of A with corresponding right eigenvectors and respectively.. x ... Let A e nxn be Hermitian. we have that IXHxx = XxHx. However. we can choose the normalization of the Xi'S. x is a linearly independent set. we can choose the normalization of the *. the two vectors must be orthogonal. 118].. = 1 for/ E n.e. results. ^ /z.e. ... A. A.78 Similarly. Take the Hermitian Proof: Premultiply the equation Ax = AX by ZH to get ZH Ax = AZ H x. 118]. so that y H Xi = 1 for each i.11 is very similar to two other fundamental and important results. [21.6) Subtracting (9.7) Taking Hermitian transposes in (9.12. 's.11. or both.14) well. contradicting the fact that it is an eigenvector.. Then all eigenvalues of A must be real.. for i € !1.. be real. x) is an arbitrary eigenvalue/eigenvector pair such that Ax = AX. Since yf*Xi =1= 0 for each i. c Proof: Suppose (A.. for [21. or else xf would be orthogonal to n linearly independent vectors (by Theorem 9. (9.is real. respectively. from which conclude A. since x is an Using the fact that A is Hermitian. contradicting the fact that it is an eigenvector.. or the Yi 's.. Let A €. eigenvector. jc. However.— A. we have xHX =1= 0.13. i. Theorem 9.. since x is an eigenvector. Since equation Az i^z XH get X H Az = iJXH A.7) yields Taking Hermitian transposes in (9.11 is very similar to two other fundamental and important The proof of Theorem 9. or else Xi would be orthogonal to n linearly independent vectors (by Theorem 9.e. A = AH.Aj ^ 0. we must have Subtracting (9. the two vectors must be orthogonal.. 0 The proof of Theorem 9. Let A E nxn be Hermitian and suppose X and iJ. we find 0 = (Ai .=1= 0. Then (9.7. Let A E cnxn have distinct eigenvalues A . D A =1= iJ.JC.14) and would thus have to be 0. Since XxHz. Then [x\. e A(A). Then Proof: Suppose (A. 1 ?. The same result holds for the corresponding left eigenvectors. since YY A = AjXjyf.13. we find 0 = (A. AXH z. . it cannot be the case that YiH Xi = 0 as well.. then by Theorem 9. it cannot be the case that yf*xt = 0 as orthogonal to all yj's for which j ^ i.. Premultiply the equation Az = iJZ by x H to get x HAz = /^XHZZ = XxHz. .. Take the Hermitian A transpose of this equation and use the facts that A is Hermitian and A is real to get xXHAz == of equation facts A. we must have yfxt = O. orthogonal. for example... 0 If A E cnx " has distinct eigenvalues. i. .5).
.."" yn] be the matrix of corresponding left eigenvectors. suppose that the left and be the matrix of corresponding left eigenvectors. .9. let Y = [YI. is expressed by the equation yHX = I. Similarly. This time we have chosen the arbitrary scale factor for y\ so that \ = 1.A. — 1 2 j } . Yn] ing right eigenvectors form a matrix X = [XI. Furthermore. These matrix equations can be combined to yield the following matrix factorizations: These matrix equations can be combined to yield the following matrix factorizations: XlAX and and A (9.I . from Then n(X) det(A . i E !!:: Finally.1. is expressed by the equation while YiH Xj = oij..j. = A. / en. solve the linear system (A — (—1 + 2j)I)x2 = 0 to get yi X2 =[ 3+ j ] 3 ~/ . from which we find A(A) = {—2. solve the (since dimN(A . . . i E !!. We can now find the right and left eigenvectors which we find A (A) = {2.16. let Y — [y\.. 10) (A. Finally.1. j e n. + 5). . . y' E !!. 2A. can be written in matrix form as AX=XA (9. Similarly.3 4A2 9 A.9) =A = XAyH yRAX n (9.. Fundamental Definitions and 79 Theorem 9.. can be written in matrixform as diag(A.. . / e n.nand let the correspondTheorem 9./) = (A 3 + 4A.I = = LAixiyr i=1 (9. xn]. solve the 3 x 3 linear system (A . .(2)l)xI = 0 to get Note that one component of .. Furthermore. .16. 2)(A. . . xn]. Let Example 9.22 + 2)" + 5). For A2 = 1 + 2j. 1 ± 2j}. A.. Let A E C"x" have distinct eigenvalues A. An and let the corresponding right eigenvectors form a matrix X [x\.11) Example 9. solve the linear system (A 21) = 0 to get linear system y\(A + 21) = 0 to get yi This time we have chosen the arbitrary scale factor for YJ so that y f xXI = 1.15. We can now find the right and left eigenvectors corresponding to these eigenvalues.. . To get the corresponding left eigenvector YI.8) while y^Xj = 5. solve the 3 x 3 linear system (A — (—2}I)x\ = 0 to get For Ai = 2..*/.ci can be set arbitrarily.AI) (A.2 + 9)" + 10) = ()" + 2)(). i E!!.. Fundamental Definitions and Properties 9. / en. Let 2 5 3 3 2 4 ~ ] . Xn) E Wtxn.(2)1) = 1).. solve the linear system (A .. let A = right eigenvectors have been normalized so that YiH Xi = 1.. and this then determines the other two (since dimA/XA — (—2)7) = 1).. Let A e en xn have distinct eigenvalues AI.. suppose that the left and right eigenvectors have been normalized so that yf1 Xi = 1. Then rr(A) = det(A .. To get the corresponding left eigenvector y\.(1 + 2j) I)x2 = 0 to get For A2 — 1 + 2j. For Al = —2. Then AJC. An) e ]Rnxn.. let A = diag(AJ. Then AXi = AiXi.. . . corresponding to these eigenvalues.10) = XAX.15. and this then determines the other two Note that one component of XI can be set arbitrarily.
similar argument yields the result for left eigenvectors.) 19X + 12) = (A.80 Chapter 9. = I . Then.2 and simply can also note that x$ = X2 and Y3 = Y2. we could have found them instead by computing instead of detennining the Yi'S directly. —3.2 However. + 3)(A.2*2 to get Ax^ = ^2X2.A.15 can also be verified. we could proceed to solve linear systems as for A2. Proceeding as in the previous example.17. we For XT. + 4). Eigenvalues and Eigenvectors Chapter 9.L Other results in Theorem 9.'s directly. + 1)(A. For example. for left eigenvectors.. itit is gtruightforw!U"d to compute straightforward to comput~ X~[~ and and I 0 I i ] 1 x.15 can also be verified.j ] 3+j . o 3 Then 7r(A. instead of determining the j. 4}.17. XIAX=A= [ 2 0 0 1+2j o 0 Finally. we could have found them instead by computing XI and reading off its rows. 2 It is then easy to verify that It is then easy to verify that 2 . However.( I + 2 j) I) = 0 and nonnalize Y22 so that y"xX2 = 1 to get For A3 = — 1 — 2j. Proceeding as in the previous example.L 4 !. X~l Example 9. Let A = [~ ~ ~] . note that we could have solved directly only for XI and X2 (and X3 = X2). Now define the matrix X of right eigenvectors: Now define the matrix of right eigenvectors: 3+j 3j 3. Then. Other results in Theorem 9. Finally. Then Jl"(A) = det(A . we can also note that X3 =x2' and yi jj.=. = x2). det(A .AI) = (A33 + 8A 22+ 19A + 12) = (A + I)(A + 3)(A + 4). we could proceed to solve linear systems as for A.c2 = ^. use the fact that A. 3. Eigenvalues and Eigenvectors Solve the linear system yf (A — (1 + 27')/) = 0 and normalize y> so that yf 2 1 to get Solve the linear system y" (A . Let Example 9./) _(A + 8A from which we find A(A) = {—1.2j.!.=. A.!. For example. use the fact that A33 = A2 and simply conjugate the equation A. is from which we find A (A) = {I.±1 4 4 4 l+j . —4}. To see this. To see this.A similar argument yields the result conjugate the equation AX2 — A2X2 to get AX2 A2X2. note that we could have solved directly only for *i and x2 (and XT.~q 1 3 2 2 0 2 3 ] 2 ~ y' .
D D yHA = XyH ifandon\yif(T(T Hy)H (T. ] [~ ~ (I) [ I (. eigenvalue/eigenvector pair (A. The following theorem is useful when solving systems of linear differential equations.txiYiH. we have the equivalent statement (T. If f is an analytic function (e.20.g. or. —4).20. i=1 . say. jc) is an eigenvalue/eigenvector pair such that Ax = Xx.. which is equivalent to the dyadic expansion sion 3 A = LAixiyr i=1 ~(I)[ ~ W~l+(3)[ j ][~ ~ 1 . —3.) . since T is nonsingular. Fundamental Definitions and Properties 81 81 We also have XI AX = A = diag(—1. namely yH A AyH if and only if Hy)H(T~1AT) = A(T Hy)H.18. x) maps to (/(A).1. 4). Fundamental Definitions and Properties 9. I 3 I (. Theorem 9.1. Eigenvalues (but not eigenvectors) are invariant under a similarity transTheorem 9. where A is diagonal. or sinx. or sin*. x) but not conversely. etA Ax are Details of how the matrix exponential e'A is used to solve the system x = Ax are the subject solve system i of Chapter 11. since T Proof: Suppose (A.lIAT)(T~lx)x) = X ( T ~ lIxx).but f(A) does not necessarily have all the same eigenvectors (unless.3 0 ~l +(4) [ . Let A E R" xn and suppose X~~1AX — A. A = T0 6 2 has only one right eigenvector corresponding to the eigenvalue 0.. What is true is that the independent right eigenvectors associated with the eigenvalue 0. or ex. from the theorem statement follows. in general. A is diagonalizable). J+ (3) [ 2 0 2 I I I 2 I ]+ 3 3 I I 3 I I I 3 3 I (4) [ 3 3 I I 0 3 3 l Theorem 9. If / is an analytic function (e. ( x ) is a polynomial. X) is an eigenvalue/eigenvector pair such that Ax = AX.19.I = A(T. or eX. Remark 9. from which equivalent statement (T~ AT)(T. For left eigenvectors we have a similar statement. I I ~J I 2 0 0 0 3 3 3 I I (.g. representable by a power series X^^o fln*n)> then it is easy to show that representable L~:O anxn).19. For example. 2 3 I (. For example. A Theorem 9. The following theorem is useful when solving systems of linear differential equations.1 AT) =X(THyf. A = [~ Oj ] have all the same eigenvectors (unless. Then suppose XI AX = A. Proof: Suppose (A. Remark 9. formation T. What is true is that the eigenvalue/eigenvector pair (A. which is equivalent to the dyadic expanWe also have X~l AX = A = diag( 1. Eigenvalues (but not eigenvectors) are invariant under a similarity transformation T. but A2 = f0 0~1]has two has only one right eigenvector corresponding to the eigenvalue 0. Then. namely the theorem statement follows. x) but not conversely. but /(A) does not necessarily the eigenvalues of /(A) (defined as X^o^A") are /(A). say. but A = [~ has two independent right eigenvectors associated with the eigenvalue o. of Chapter 11. x) maps to (f(A). ff(x) is a polynomial.9. Then. 3. then easy to show that the eigenvalues of f(A) (defined as L~:OanAn) are f(A). e jRnxn n = LeA. A is diagonalizable).18. For left eigenvectors we have a similar statement.
e.21. If A e ]Rn xn is diagonalizable with eigenvalues Ai. to have a version of Theorem 9. An e C 1. . Jordan Canonical Form (/CF): For all A e c nxn with eigenvalues AI.= Xdiag(/(A. 9. 1q). ff(A) = X f ( A ) X ~ l I = Xdiag(J(AI). .21 for any function that isis There are extensions to Theorem 9. i. ( A ) = Xf(A)X. .. 1q is of the form where each of the Jordan block matrices / 1 ••• Jq is of the form Ai 0 Ai Ai o 0 (9.20 and its corollary in which It is desirable.12) where each of the lordan block matrices 1i ..13) 1i = o o Ai o Ai .2 Jordan Canonical Form Jordan Canonical Form Theorem 9. there exists X € c~xn such that (not necessarily distinct). .2 9. f ( X t t ) ) X ~ It is desirable. i.. canonical form. It is necessary first to consider the notion of Jordan A is not necessarily diagonalizable. i=1 0 The following corollary is immediate from the theorem upon setting t = I. .. and the same eigenvectors.. i E ~.21 for any function that analytic on the spectrum of A. analytic on the spectrum of A. € n_.. we have Chapter 9. Theorem 9..22.IXiYiH. from which such a result is then available and presented later in this chapter. we have Proof' Starting from the definition..Il .. kn E C (not necessarily distinct).. to have a version of Theorem 9. It is necessary first to consider the notion of Jordan canonical form.22.i). then e A has eigenvalues e A There are extensions to Theorem 9. then eA has eigenvalues e X"i . ... . of course. Eigenvalues and Eigenvectors Chapter 9.. Eigenvalues and Eigenvectors n = LeA. f(An))X.. ii E ~.82 Proof: Starting from the definition.e..20 and Corollary 9.. and right Corollary 9. If A E Rnx" is diagonalizable with eigenvalues A. I. and the same eigenvectors. .. from which such a result is then available and presented later in this chapter.. i E ~...20 and Corollary 9. 0 (9. lordan Canonical Form (JCF): For all A E C"x" with eigenvalues X\... Corollary 9. and right eigenvectors xt•.21. /' en. . eigenvectors Xi. of course. The following corollary is immediate from the theorem upon setting t = I. / € n_. there exists X E C^x" such that XI AX = 1 = diag(ll.20 and its corollary in which A is not necessarily diagonalizable.
Jordan Canonical Form and L.. With 1 j o j o 1 o o o j ~ ~] 0 1 ' .. X (not necessarily X E lR..~xn necessarily distinct). ~: ] and I = \0 A in the case of complex conjugate eigenvalues a ± jfJi E A(A).14) J\.2. 83 83 Form: 2. For nontrivial Jordan blocks.2. .JfJ =[ (X fJ fJ ] (X = M. 1q is of form where each of the Jordan block matrices 11..9. = [ _»' ^ 1 and h2 = [6 ~] in the case of complex conjugate eigenvalues where Mi = [ _~.. complicated. [21. the situation is only a bit more complicated. pp. there exists X € R" xn such that (9. . 120124]. .. for example. { ] allow us to go back and forth between real JCF and its complex counterpart: TI [ (X + jfJ o O. Jq is of the form of in the case of real eigenvalues A. Proof: For the proof see. . (Xii±jpieA(A>). . ] T (X .. Real Jordan Canonical Form: For all A E R n x " with eigenvalues AI.An n (not € jRnxn Xi. .=1 ki = n. e A (A).. Proof: proof D 0 Transformations like T = [ _~ "•{"]allow us to go back and forth between aareal JCF Transformations like T = I" _.. Jordan Canonical Form 9. and where M...
Thus.2). 1)4(A 2) and 2 2 et(A) = (A . 9.22 we have that A X J XI. D 0 Example 9. highest degree corresponding to distinct eigenvalues.7x7 is known to have 7r(A) = (A .26. Suppose A e lR. The minimal polynomial of a matrix is the product of the elementary divisors of highest degree corresponding to distinct eigenvalues.(A.23.24. Eigenvalues and Eigenvectors T. and (A . " Xn.. Eigenvalues and Eigenvectors Chapter 9. (A1). Then AAhas two possible JCFs (not counting reorderings of the a (A. 1). .1)z. The characteristic polynomial of a matrix is the product of its elementary divisors.. .2)2. and 2).)i. From Theorem 9. From Theorem 9.22 we have that A = X JJX ~ l . I) .25. J(2) has elementary divisors (A while /( 2) haselementary divisors (A .(A.2). Again. Then Theorem 9. 2 .2). i=1 n 2. Suppose A E E (A.jf3 0 0 et .2(A(A .2)2. 1.22 are called the elementary divisors or invariant factors of A.. . The characteristic polynomials of the Jordan blocks defined in Theorem Definition 9. x Theorem 9. Thus. Then c n 1. . 2)2. Let A E nxn with eigenvalues AI. — 2) .1)2. Tr(A) = 2.23. Theorem 9. Let A e C" " with eigenvalues AI.I [ "+ jfi 0 0 0 et + jf3 0 0 0 0 et .2)3 3and is known to have :rr(A) Example 9.. 2(A(A.. The characteristic polynomial of a matrix is the product of its elementary Theorem 9. ..26. Thus. I) . Tr(A) = Tr(XJX~ ) = TrC/X"1 X) = Tr(/) = £"=1 A. . . i=1 l Proof: Proof: 1.. The minimal polynomial of a matrix is the product of the elementary divisors of divisors. 1 det(A) = det(X J XI) det(J) = n7=1 Ai. An..25.I)(A (A2)2. 1)2(A . 2. det(A) = det(XJX.jf3 0 ]T~[~ l h M Definition 9.84 it is easily checked that it is easily checked that Chapter 9.1)2.. and (A .2)2. from Theorem 9. det(A) = nAi..22 l Tr(A) = Tr(X J XI) Tr(JX.— I) (A. and (A (A .) = det(7) = ]~["=l A.22 we have that A = X J X ~ . from Theorem 9. .1)4(A .22 are called the elementary divisors or invariant factors of A.24.1*) = Tr(J) = L7=1 Ai.) = (A..(A 1). X XI. 1).. The characteristic polynomials of the Jordan blocks defined in Theorem 9. Then has two possible JCFs (not counting reorderings of the diagonal blocks): diagonal blocks): 1 J(l) = 0 0 0 0 0 0 1 0 0 0 0 0 0 0 1 0 0 0 0 0 0 0 1 0 0 2 0 0 0 0 0 0 0 0 0 0 0 1 2 0 0 0 0 1 0 0 0 and f2) 0 0 0 0 0 1 0 0 0 0 0 2 = 0 0 0 0 0 0 I 1 0 0 2 0 0 0 0 0 0 0 0 0 0 0 0 0 0 2 0 0 0 0 0 1 0 2 0 J(l) has elementary divisors (A Note that 7(1) haselementary divisors (A .
A. Thus.. i. X e A(A) if and only if (A XI)kx = 0 and (A U}k~l x ^ 0.A. and rank (A A. The more interesting (and difficult) case occurs when Ai multiplicity A. eigenvectors dimN(A — A.) = (A. Definition 9. Remark 9. 1. of algebraic multiplicity 1.. For example.e. we need the notion of principal vector.nxn number of eigenvectors. and rank(A al) vectors.28.is simple. If we let [~l ~2 ~3]T associated If [^i £2 &]T denote a solution to the linear system (A — 3l)~ = 0. Determination of the JCF 9.ulx = 0 and (A . determine the JCF of A uniquely. and rank(A —Ai l) for distinct Ai is not sufficient to rr(A).. a(A). a (A).— a) .(7). three eigenboth have rr(A) = (A . a)7. when X. A e nxn ]R. i. so the eigenvalue 3 has two eigenvectors associated with it. Thus.. c .29. it then has precisely one eigenvector.. To get a third vector X3 such that X = [Xl KJ_ X3] reduces A to JCF. when Ai is simple.3 Determination of the JCF Determination of the JCF The first critical item of information in determining the JCF of a matrix A E Wlxn is its A e ]R. is of algebraic multiplicity greater than one.3/)£ = 0. of course.l) independent right — — A.).. To get a third vector JC3 such that X [x\ X2 XT.AI)klx i= o.3..e. i. suppose suppose A = [3 2 0 o Then Then 3 0 A3I= U2 I] o o 0 0 n has rank 1. Remark 9. The straightforward case is. Then x is a right principal vector of degree k degree associated with A E A (A) ifand only if(A .27.7) for distinct A. is not sufficient to Example 9. Knowing TT (A.e.9.— a) and rank(A .3.l).29.a(A) = (A .rank(A . The matrices A uniquely..7) = n .— al) == 4. of course.e. determine a 0 0 0 0 0 0 0 a 0 0 0 0 0 a 0 0 0 0 Al= 0 0 0 a 0 0 0 0 0 0 a 0 0 0 0 0 0 0 a 0 0 0 0 0 0 1 a A2 = a 0 0 0 0 0 0 0 a 0 0 0 0 0 a 0 0 0 0 0 0 0 a 0 0 0 0 0 0 a 0 0 0 0 0 0 a 0 0 0 0 0 0 0 a 4. Determination of the JCF 85 &5 Example 9. left k. both denote a solution to the linear system (A . For each distinct eigenvalue Ai.28. it The straightforward case is. both are eigenvectors (and are independent). i. a)\ . An analogous definition holds for a left principal vector of degree k. of algebraic multiplicity 1. associated independent right (or left) eigenvectors is given by dim A^(A . 9.nxn). we find that 2£2 + ~3 = O.. three eigen7r(A. Let A E C"xn (or R"x"). X principal Definition 9.27. we find that 2~2 + £ 3= 0 ..) = (A.] are eigenvectors (and are independent). the associated number of linearly A. a(A.
this rank is n . for get righthand example. is.AI). of The number of linearly independent solutions at this step depends on the rank of 2 (A . x(l).1 Theoretical computation Theoretical computation To motivate the development of a procedure for determining principal vectors. Then the equation AX = XJ can be written that reduces a matrix A to this JCF. For example.A/)x(2) = x(l). Principal vectors are sometimes also called generalized eigenvectors. if X. If we premultiply (9. 2. there are two linearly independent n — o. ji of dimension k or larger. for example.17) The first column yields the equation Ax(!) = AX(!). Then for each distinct X e A (A) perform the following: z (2) w c 1.x2 A JCF. The other solution necessary is the desired principal vector of degree 2.1. (It may be necessary to take a linear of x(l) R(A . S. consider a determining 2 x Jordan [~ i]. (A — uf. of — AI. x(l) (^ 0). E lR nxn This suggests a "general" procedure.3.A1)X(l) = O. One of these solutions (A — AI)2 x (2) x(l) (1= 0). solve (A . principal vectors still need to be computed from succeeding steps. Denote by x(l) and x(2) the two columns of a matrix X E lR~X2 2x2 2 Jordan block{h0 h1.XI). See. For each independent jc (1) .X I ) ( l ) = (A AI)O o. there is only one eigenvector. by (A . Denote by x(1) and x(2) the two columns of a matrix X e R2. since (A . we find (A If we premultiply XI) x = (A XI)x = 0.1 9. of course. the definition of principal vector is satisfied. Then the equation AX = X J can be written A [x(l) x(2)] = [x(l) X(2)] [~ ~ J.A/) = — multiplicity of rank(A — XI) = n . 9. See. (9.XI. 4. The case k = 1 corresponds to the "usual" eigenvector. determine all eigenvalues of A e R" x " nxn ).A1)2 x(2) = (A . but the latter generalized eigenvectors. Exercise 7." "of often 3.. If the algebraic multiplicity of If A principal need X is greater than its geometric multiplicity. principal vectors of degree 1) associated with A. If. Thus. k = eigenvector.'A1)22xx(l) = (A .86 Chapter 9. Solve (A .e. combination of jc(1) vectors to get a righthand side that is in 7£(A — XI).AI). eigenvector. of k 5. Theother solution (A .XI)2x^ = 0. Eigenvalues and Eigenvectors synonymously "of 2.2.A1)x(2) = x(l).) .17) by (A . A E A(A) following: (or C ). which simply says that x(!) is a right Ax(1) = hx(1) x (1) (2) x(2). Thus. I) associated This step finds all the eigenvectors (i. The phrase "of grade k" is often used synonymously with "of degree k. First. The second column yields the following equation for x . The number of eigenvectors depends on the rank of A . A right (or left) principal vector of degree k is associated with a Jordan block J. different term will be assigned a much different meaning in Chapter 12.XI)0 = 0. solutions solutions to the homogeneous equation (A . wefind(A.X I ) . Eigenvalues and Eigenvectors Chapter 9.A1)X(l) = O. if of .3. the principal vector second of degree 2: of degree (A .
For Unfortunately. Suppose A e Ckxk has an eigenvalue A.2/)x3(1)= 0 yields (A . Theorem 9. of algebraic multiplicity and Theorem 9.32. Determination of eigenvectors and principal vectors is obviously very tedious for anything beyond simple problems (n = 2 and principal vectors is obviously very tedious for anything beyond simple problems (n = 2 or 3.31. say). 1 . First. Attempts to do such calculations in finiteprecision floatingpoint arithmetic generally prove unreliable.33.. For each independent X(2) from step 2.30. see. Notice that highquality mathematical software such as MATLAB readable [8] to learn why. this naturallooking procedure can fail to find all Jordan vectors. x(k)]. . Example 9. h2 = 1. X(k)]. Unfortunately. Continue in this way until the total number of independent eigenvectors and principal vectors is equal to the algebraic multiplicity of A. pendent. For each independent x(2) from step 2.AI) = k . Let Example 9. x (k) } is a linearly independent set. .. say). and A3 = 2. although a j ardan command is available in MATLAB'S does not offer a jcf command. . for example.(1) (A . Principal vectors associated with different Jordan blocks are linearly indeTheorem 9.. First. 0 The eigenvalues of A are AI = 1. There are significant numerical difficulties inherent in attempting generally prove unreliable. Then vectors x(i) is constructed as above. Attempts to do such calculations in finiteprecision floatingpoint arithmetic or 3. . (x (1) .30.9.. this naturallooking procedure can fail to find all Jordan vectors. Principal vectors associated with different Jordan blocks are linearly independent. . . Let X = [[x(l). Then Theorem 9. find the eigenvectors associated with the distinct eigenvalues 1 and 2.. Continue in this way until the total number of independent eigenvectors and principal 4. where the chain of vectors x(i) is constructed as above. for example. with the distinct eigenvalues 1 and 2. Symbolic Toolbox. although a jordan command is available in MATLAB's Symbolic Toolbox.31..3.32. Determination of the JCF 3. [20] and [21].1. Determination of the JCF 9. . where the chain of suppose further that rank(A . For more extensive treatments. and the interested student is strongly urged to consult the classical and very to compute a JCF. . There are significant numerical difficulties inherent in attempting to compute a JCF. 4. find the eigenvectors associated The eigenvalues of A are A1 = I. {x(l). [20] and [21]. Let X = x ( l ) .3. and the interested student is strongly urged to consult the classical and very readable [8] to learn why. A2 = 1. vectors is equal to the algebraic multiplicity of A. solve (A AI)x(3) 87 = x(2). X(k)} is a linearly independent set.. Notice that highquality mathematical software such as MATLAB does not offer a j cf command. . see. Let A=[~ 0 2 ] . Theorem 9. and h3 = 2. Suppose A E C kxk has an eigenvalue A of algebraic multiplicity kkand suppose further that rank(A — AI) = k — 1. Theorem 9. . solve 3. Determination of eigenvectors more extensive treatments.2I)x~1) = 0 yields .33.
Then Let D = diag(d" . Now let Now let X (2) =[ 0 ] ~ . (1) toeet x. we consider below the case of a single Jordan block.1I)xl ) = xiI) to get (A – l/)x. d.. solve To find a principal vector of degree 2 associated with the multiple eigenvalue 1. 0 1 = [xiI) 0 xl" xl"] ~ [ ~ 5 ] and XlAX 5 3 0 Then it is easy to check that Then it is easy to check that l 1 X'~U i 1 =[ ~ I 0 0 n 9. 0 0 D'(X' AX)D = D' J D = j ).2 9. . we 1 's but can be arbitrary — so long as they are nonzero.. consider below the case of a single Jordan block. 0 = 0 A dn dn I 2 0 dn dn I A 0 ).. solve 2 (A . Then A 4l. .2 On the +1 's in JCF blocks 's JCF In this subsection we show that the nonzero superdiagonal elements of a JCF need not be In this subsection we show that the nonzero superdiagonal elements of a JCF need not be 1's but can be arbitrary . For the sake of definiteness.(2) = x. 0 !b.3. . d.3.11)x?J = 0 yields (A.l/)x. .. d n)) be a nonsingular "scaling" matrix. Suppose A € Rnxn and SupposedA E jRnxn and Let D diag(d1.88 (A .. but the result clearly holds for any JCF. Eigenvalues and Eigenvectors To find a principal vector of degree 2 associated with the multiple eigenvalue 1... For the sake of defmiteness. =0 yields (1) Chapter 9. .so long as they are nonzero. dn be a nonsingular "scaling" matrix. but the result clearly holds for any JCF.
where AS is defined as the transformation. dimN(A — AJ)Vi = ni.. Such a decomposition is given in the following associated direct sum decomposition of jH.A[)V) '" (A . E6 N(A . where AS is defined as the set {As:: s e S}... J is obtained from A via the similarity transformation XD = \d\x\. Geometric Aspects of the JCF 9. Let IF and suppose + transformation. the reverseorder identity matrix (or exchange matrix) 0 p = pT = p[ = 0 I 0 (9. mdistinct. . . A subspace S c V is A invariant if AS c S. j is obtained from A via the and principal vectors that reduces A to its JCF.nxn n(A) = (A .. (A . Then AI. Geometric Aspects of the JCF 89 di's Appropriate choice of the di 's then yields any desired nonzero superdiagonal elements.34..AmItm ..4.. x n eigenvectors and principal vectors that reduces A to its lCF.34... In a similar fashion.4....nxn (or nxn to JCF provides change of basis with respect to which the matrix is diagonal or block diagonal. .. .. . It is thus natural to expect an associated direct sum decomposition of R.35. It is thus natural to expect an with respect to which the matrix is diagonal or block diagonal. Suppose A E R"x" has characteristic polynomial 9.18) 0 I 1 0 0 can be used to put the superdiagonal elements in the subdiagonal instead if that is desired: to superdiagonal elements in instead desired: A I 0 0 A 0 A 0 A 0 0 A 0 p[ A p= 0 1 0 0 A 0 I A A 0 0 0 A 9.... Am distinct. dnxn]... Specifically. the reverseorder identity matrix (or exchange matrix) In a similar fashion.. interpreted This result can also be interpreted in terms of the matrix X = [x\.A1I) v) E6 .AlIt) E6 .Am)Vm with Ai.A. Suppose e jH. Such a decomposition is given in the following theorem. similarity transformation XD [d[x[.xn]] of eigenvectors = [x[.n = N(A = N (A . A subspace S ~ V is Ainvariant if AS ~ S. .4 Geometric Aspects of the JCF Geometric Aspects of the JCF The matrix X that reduces a matrix A E IR"X"(or C nxn)) to aalCF provides aachange of basis X e jH. E6 N (A ./) w = «. A. Specifically.9. Theorem 9.n. Then jH.35.A[)n) ..4 9. dnxn}.Amtm c and minimal polynomial a(A) = (A .Am I) Vm . set {As s E S}... Definition 9.. .. Note that dimM(A . Let V be a vector space over F and suppose A : V —>• V is a linear Definition 9. .
We would then get a block diagonal representation for A with full blocks rather than the highly structured Jordan blocks.19) AS = SM.is A T invariant. If A has distinct The Jordan canonical form is a special case of the above theorem.38. then a basis for V can be chosen with respect to which A has a block diagonal representation. so by (9. then S <S is Ainvariant if and only if there exists M E ]Rkxk such that eRkxk (9.. but we restrict our attention here to only the Jordan block case. Equivalently... = 1./)"' by SVD.39.). Example 9. XI AX = [~ J 2 ].e.90 Chapter 9.Ai/)n.. then a basis for V can be chosen with respect to which A has a block N. Other such "canonical" forms are discussed in text that follows. Other representation for A with full blocks rather than the highly structured Jordan blocks. = X. Let Yi E <enxn . partition Equivalently. Sk If R" R. example (note that the power n. Suppose X block diagonalizes A.. If A has distinct eigenvalues A. € C"x"' be a Jordan basis for N(AT — A. Let peA) = «o/ + o?i A + • + <xqA be a polynomial in A.. . Eigenvalues and Eigenvectors If V is taken to be ]Rn over Rand S E ]Rn x* is a matrix whose columns SI. R(S) == S. is not necessarily diagonalizable. A invariant if only ifS1 1. 9. where each Ji = diag(/. such "canonical" forms are discussed in text that follows. could be replaced by v. the eigenvectors and principal vectors associated with Ai) span an Ainvariant subspace of]Rn.e... i.. This follows easily by comparing the ith columns of each side of (9. . each Ji = diag(JiI./)"'.) and each /.. . (i.* is a Jordan block corresponding to Ai E A(A). e A(A). Rewriting in the form ~ J. via SVD). /.A.i.• EB Nm..19) the columns attention here to only the Jordan block case. we could choose bases for N(A — A. . Ainvariant. we return to the problem of developing a formula for e l A in the case that A A formula e' A is not necessarily diagonalizable. i.. /. we have that A A..36...Xm] ] Ee]R~xnxnisis such that X^AX ==diag(J1.span an Ainvariant subspace. so by (9. the eigenvectors and principal vectors associated with A.. 2. where X [ X i . then is Ainvariant if and only if there span a kdimensional subspace S.39. Eigenvalues and Eigenvectors Chapter 9. //*..) span an Ainvariant of A".lt. = Xi. Jm)..e. Note that AXi = A*. 7. eigenvalues Ai 9. we have that AXi Theorem 9. Note that A A".. Suppose A E ]Rnxn..) and each Jik is a Jordan block corresponding to A. If F = NI ® • • 0 m A// is Ainvariant..2.19): /th Example 9. so the columns of Xi span an Amvanant subspace. Jm). is Ainvariant.e..li. The equation Ax Example 9. The equation Ax = A* = x A defining a right eigenvector x of an eigenvalue AX = x A defining a right eigenvector x of an eigenvalue A x X says that * spans an Ainvariant subspace (of dimension one).34.38. diagonal representation. Then N(p(A)) and 1. We could also use other block diagonal decompositions (e. Let 7. for N(A .. be a Jordan basis for N (AT . of W. .2. Let p(A) = CloI + ClIA + '"• •+ ClqAqq be a polynomial in A. Xm R"n such that XI AX diag(7i. Finally. We would then get a block diagonal example (note that the power ni could be replaced by Vi)."" Jik.34. and S e R" xk s\.g.e. If V is a vector space over IF such that V = N\ EB .37. . . where each Theorem 9.. The Jordan canonical form is a special case of the above theorem. AT Theorem 9. so the columns of A.37.. partition .. A". . 9. i /= 1.. s/t span a /^dimensional subspace <S.36.19) the columns of Xi (i. Suppose A"== [Xl . Then N(p(A)) and R(p(A)) 7£(p(A)) are Ainvariant... e E"x".....Ji .. S is Ainvariant if and only if S .as in Theorem 9. i. ... K(S) <S.
E f= 0.5 9. The Matrix Sign Function 9.5.. Suppose A E C"x" has no eigenvalues on the imaginary axis. .41.lt 2 e At 2! 0 exp t 0 0 0 1 A teAt eAt 0 0 0 0 0 block Ji associated A = A. Then the sign of z is defined by Re(z) {+1 sgn(z) = IRe(z) I = 1 ifRe(z) > 0. Ym]H = LX. Xm] diag(JI.40. Then compatibly. . Let z E C with Re(z) ^ O. . of defined Definition 9. i=1 which is a useful formula when used in conjunction with the result which is a useful formula when used in conjunction with the result A 0 A A 0 eAt teAt eAt . It is a generalization of the sign (or signum) of a scalar. i=1 H In a similar fashion we can compute m etA = LXietJ. A survey of the matrix sign function and some of its applications can be found in [15].I = XJy H = [XI. .S. Jm) [YI . A called the matrix sign function. and let e cnxn be a Jordan canonical form for A.JiYi . Definition 9. .. denoted sgn(A).40.= Ai. m ••• . for a k x k Jordan block 7.41. ifRe(z) < O.9. Definition 9. It is a generalization of the sign (or signum) of a scalar.. denoted sgn(A). is given by sgn(A) = X [ / 0] 0 / X I . is given by eigenvalues in the right halfplane. Then the sign of A. with N containing all Jordan blocks corresponding to the be a Jordan canonical form for with N containing all Jordan blocks corresponding to the eigenvalues of in the left halfplane and P containing all Jordan blocks corresponding to eigenvalues of A in the left halfplane and P containing all Jordan blocks corresponding to eigenvalues in the right halfplane. Then the sign of A..YiH. The Matrix Sign Function 91 91 compatibly. 9. Definition 9. Then A = XJX. associated with an eigenvalue A.5 The Matrix Sign Function The Matrix Sign Function section brief interesting useful In this section we give a very brief introduction to an interesting and useful matrix function function called the matrix sign function...
Their left exercises.. S = sgn(A). The JCF definition of the matrix sign function does not generally lend itself to reliable computation on a finitewordgenerally itself length digital computer. Xn and left eigenvectors y\. posA == (l + S)/2 is a projection onto the positive invariant subspace of A. sgn(cA) = sgn(c) sgn(A)/or c. 4. Xn with corresponding right eigenA e nxn ). Suppose A E C"x" has no eigenvalues on the imaginary axis. We state some of the more useful properties of the matrix sign function as theorems. . Then the following hold: following 1.. positive = (/ + of A. . ± 1. Eigenvalues and Eigenvectors where the negative and positive identity matrices are of the same dimensions as N and p. Let v E en be an vectors Xl. EXERCISES EXERCISES 1.42.. sgn(AH) = (sgn(A))". 2. positive of P. ••. negA = (/ — S)/2 3. Let e C" be an arbitrary vector. sgn(A") = (sgn(A»H. 3.1> . Theorem 9. AS = SA. Yn. 3. its reliable numerical calculation is an interesting topic in calculation its own right.43. sgn(TlAT) = T1sgn(A)T foralinonsingularT E C"x".. 6. Theorem 9.. 5. projection subspace of 4. Find the appropriate expression for v as a linear combination expression of the left eigenvectors as well. and let — sgn(A).xn and left eigenvectors Yl. AS = SA. 2. S2 = I. Eigenvalues and Eigenvectors Chapter 9. Suppose A E enxn has no eigenvalues on the imaginary axis. S = sgn(A). ). of A (the negative invariant subspace). R(S — /) Ainvariant of (the negative invariant subspace). sgn(T1AT) Tlsgn(A)TforallnonsingularT e enxn 6. respectively.43. respectively.n 1. Then the following hold: following e 1. .. The JCF definition of the here is especially useful in deriving many of its key properties. We state some of the more useful properties of the matrix sign function as theorems.. negA == (l . Their straightforward proofs are left to the exercises. Show that v can be expressed (uniquely) as a linear combination e of the right eigenvectors. but the one given There are other equivalent definitions of the matrix sign function. ••• . sgn(cA) = sgn(c) sgn(A) for all nonzero real scalars c. yn... Let A E Cnxn have distinct eigenvalues AI. 2. respectively.92 92 Chapter 9. There are other equivalent definitions of the matrix sign function.S) /2 is a projection onto the negative invariant subspace of A.. and let = sgn(A). 7l(S l) is an Ainvariant subspace corresponding to the left halfplane eigenvalues left halfplane I. . . 3.42. S is diagonalizable with eigenvalues equal to del. distinct right eigenvectors Xi. R(S+/) is an Ainvariant subspace corresponding to the right halfplane eigenvalues R(S + l) A invariant halfplane of (the positive invariant of A (the positive invariant subspace). S2 = I. e C"x" Theorem 9. but the one given here is especially useful in deriving many of its key properties. 4... Show that v can be expressed (uniquely) as a linear combination arbitrary vector. In fact. .. e nxn Theorem 9. 5..
Prove that all eigenvalues of a skewHermitian matrix must be pure imaginary. Determine the eigenvalues. Let A E lR. i. but then the equation (A . where J is the JCF 1 J=[~ 0 1~]. where x. Determine the JCFs of the following matrices: 6. 4. (A — I)x(2) x(1) 8.30 must be 8.n T T x yy = 0. 2. 3}.e. 3}. Let 7. Suppose A E C"x" is Hermitian. What are the eigenvalues of this slightly perturbed matrix? matrix? . Determine the JCF of A. nxn be of the form A = / + xyT. if A is skewHermitian. Suppose a matrix A E R 16x 16 has 16 eigenvalues at 0 and its JCF consists of a single A e lR.. Show that x is also a left eigenvector for A.16 Jordan form specified 9. 5. y E lR. Suppose 10~16 is added to the (16. Prove the same result if A is skewHermitian.1) element of J. i. y E lR. AH = A. 5.22. where J is the JCF Find a nonsingular matrix X such that X AX = J. Let A e R" xn be of the form A = 1+ xyT. Determine the JCF of A. Determine the JCF of A. Determine the JCFs of the following matrices: <a) Uj n 2 1 2 =n 7.. y e R" are nonzero vectors 10.e.Exercises 93 93 2. Let A be an eigenvalue of A with corresponding right eigenvector x. Prove that all eigenvalues of 2. = O. Suppose a matrix A E lR. Suppose A E C"x" is skewHermitian. ~ 0 Hint: Use[1 1 — I]T an Hint: Use[— 1 1 . Determine all possible € R 5x5 {2. Show that all right eigenvectors of the Jordan block matrix in Theorem 9. Let A = [H 1]· 2 2" Find a nonsingular matrix X such that XI AX = J. JCFs for A. AH = —A.30 must be multiples of el e R*. x. x O. Let A be an eigenvalue of A with corresponding 3. eigenvalues./)jc = x can't be solved. Characterize all left eigenvectors. Show that x is also a left eigenvector for A. 10. n are nonzero vectors with with xTTyy = 0.5x5 has eigenvalues {2. y e R" are nonzero vectors with A E lR. What are the eigenvalues of this slightly perturbed is added to the (16. 11.22. Characterize all left eigenvectors.l]r as an eigenvector.nxn A = xyT. 3. 9. Suppose the small number 10. right eigenvectors and right principal vectors if necessary. Let A e R"x" be of the form A = xyT. eigenvectors and if and (real) JCFs of the following matrices: (a) 2 1 ] 0 ' [ 1 6. where x. 2.1) element of J. k . JCFs for A. Show that all right eigenvectors of the Jordan block matrix in Theorem 9. Suppose A e rc nxn is Hermitian. where x. 16x 16 has eigenvalues at 0 its JCF consists of single Jordan block of the form specified in Theorem 9. 2. multiples of e\ E lR. a skewHermitian matrix must be pure imaginary. The vectors [0 1 Ifand[l 0 of [0 — l] r and[1 0]r (2) (1) are both eigenvectors. Suppose A € rc nxn is skewHermitian. Determine the JCF of A. Prove the same result right eigenvector x.
Hint: Use the factorization in the previous exercise. it suffices to prove the result for the required symmetric factorization of A.S2X~l) would required symmetric factorization of A. Thus. 13.. Hint: Use the factorization in the previous exercise. is nonsingular. in terms of All and A22. The transformation P in (9.94 Chapter 9. 15. xn has all its eigenvalues in the left halfplane. Prove that 17. Then A = (XS i X T ) ( X ~ T T S2XI) would be the the "symmetric factorization" of J. Then = ( X SIXT)(X. Suppose Au =1= 0 and that we we e jRnxn and All e jRkxk 1 < ::s: n. Prove that every matrix A E W x" is similar to its transpose and determine a similarity 13. Consider the block upper triangular matrix 14.43. 16. If n = 2 and k = 1. Eigenvalues and Eigenvectors Chapter 9. about when the equation for is solvable? solvable? 15. Suppose A e sgn(A) = 1. The transformation P in (9. Prove that 17. 16. Prove Theorem 9. in terms of AU and A 22. If n = 2 and k = 1. Consider the block upper triangular matrix A _ [ All  0 Al2 ] A22 ' where A E M"xn and An E Rkxk with 1 ::s: k < n. 14. sgn(A) = /. Find a matrix equation that X must satisfy for this to be possible.e.42. Prove Theorem 9. where SI and £2 are real symmetric matrices and one of them. TIAT = [A011 A22 0 ] . i. Thus. say Si. about when the equation for X is what can you say further. Prove Theorem 9.43. what can you say further. X e R*x <«*).18) is useful.42. Find a matrix equation that X must satisfy for this to be possible. Prove Theorem 9. is nonsingular. Suppose Al2 ^ and want to block diagonalize A via the similarity transformation want to block diagonalize A via the similarity transformation where X E IRkx(nk). transformation explicitly. it suffices to prove the result for the JCF.18) is useful. Hint: Suppose A = Xl XI is a reduction of A to JCF and suppose we can construct Hint: Suppose A = X J X ~ l is a reduction of A to JCF and suppose we can construct the "symmetric factorization" of 1. and S2 are real symmetric matrices and one of them. Show that every matrix A e jRnxn can be factored in the form A Si$2. where Si 12. say S1. Suppose A E C"xn has all its eigenvalues in the left halfplane. Prove that every matrix e jRn xn is similar to its transpose and determine a similarity transformation explicitly. Eigenvalues and Eigenvectors 12. Show that every matrix A E R"x" can be factored in the form A = SIS2. JCF. en .
. An) (the columns of X are exists a unitary matrix X such that XHAX = D = diag(A. respectively). as well as other matrices that merely satisfy the symmetric. and orthogonal. Q are unitary. and unitary matrices (and their "real" counterparts: symmetric. the transformation A f+ P ApT is called 2.2. the definition. = H E en xn exists a unitary matrix X such that X H AX = D = diag(Al.e. A. find P e lR..j. most "diagonal" we can get is the JCF described in Chapter 9. ..1 Some Basic Canonical Forms Some Basic Canonical Forms Problem: Let V and W be vector spaces and suppose A : V + W is a linear transformation. Two special cases are of interest: Two special cases are of interest: 1. an orthogonal similarity (or unitary similarity in the complex case).:xm and Q e Rnnxn such that PAQ has a "canonical form. where D = diag(A. = V and if pT is orthogonal.1. if A e Rmxn . . Xn Theorem 10. If a matrix A is not normal. If A = A H 6 C" " has eigenvalues AI. then there exists a unitary matrix U such that UH AU — D. 95 95 . Let A = AH e C"x" have (real) eigenvalues A. and orthogonal..I. it is called an orthogonal equivalence if P and Q are orthogonal matrices...9. . An. matrix if and only if it is normal (i.. AA = AHA). where it is proved that a general matrix A E C"x" is unitarily similar to a diagonal 10. orthogonal equivalence if P and are orthogonal matrices. the transformation A i» PAPT is called If an orthogonal similarity (or unitary similarity in the complex case). V and Q 1. .." In matrix terms. .. This is proved in Theorem 10. . An). such as A = [_~ most "diagonal" we can get is the JCF described in Chapter 9. skewskewHermitian.1 10. The following results are typical of what can be achieved under a unitary similarity. If The following results are typical of what can be achieved under a unitary similarity.. If a matrix A is not normal.. skewHermitian.. respectively).An.1.1. such as A = [ _ab ^1 for real scalars a and b. If P"1 .. where it is proved that a general matrix A e enxn is unitarily similar to a diagonal matrix if and only if it is normal (i. skewsymmetric. .2. Find bases in V and W with respect to which Mat A has a "simple form" or "canonical Find bases in V and W with respect to which Mat A has a "simple form" or "canonical xm form. .. ." In matrix terms.9. Normal matrices include Hermitian. Normal matrices include Hermitian. If W = V and if Q = PT is orthogonal. . ..e. We can also consider the case A E emxn and unitary equivalence if P and <2 are unitary. AAHH = AH A). Then there AI. .. where D = diag(AJ. Problem: Let V and W be vector spaces and suppose A : V —>• W is a linear transformation. . An. !] Theorem 10. if A E IR mxn find E R™ and Q E lR~xn such that P AQ has a form. . the for real scalars a and h. n ). This is proved in Theorem 10..2. We can also consider the case A e Cm xn and unitary equivalence if P and Remark 10. and unitary matrices (and their "real" counterparts: symmetric.Chapter 10 Chapter 10 Canonical Forms Canonical Forms 10. What other U HAU = D. the transformation A H> PAP" 1 is called similarity." The transformation A M» PAQ is called an equivalence. Remark 10. Xn) (the columns ofX are orthonormal eigenvectors for A). orthonormal eigenvectors for A). as well as other matrices that merely satisfy the definition. What other matrices are "diagonalizable" under unitary similarity? The answer is given in Theorem matrices are "diagonalizable" under unitary similarity? The answer is given in Theorem 10.." The transformation A f+ P AQ is called an equivalence. the transformation A f+ PAPI is called aasimilarity... If W = V and <2== p.. . it is called an "canonical form.2.j. . then there exists a unitary matrix £7 such that A = AH E en xxn has eigenvalues AI.
k 1. Construct a sequence of Householder matrices (also known HI.3 for k = 1..l)block... .. 0 Thus. XH AX induction noting that XH AX is Hermitian.2)block must have eigenvalues A2.. Now XHAX =[ xH I XH ] A [XI 2 X 2] =[ =[ =[ x~Axl XfAxl X~AX2 XfAX 2 ] (10. xf*x\ = Proof' Let x\ be a right eigenvector corresponding to X\..l)block by Al (2.. Xk]. Then U = HI'" Hk and H Then x^U2 = 0 (i E ~) means that xf is orthogonal to each of the n — k columns of V2. following general result. . xd = [ ~ l U = where R is upper triangular (and nonsingular since x\. X = Given a unit vector x\ E JRn. . Construct a sequence of Householder matrices (also known Proof: Let X [XI. (l. Thus. [£i. . ... .2)block by XI Xz.k rows of the unitary matrix U.1) we have used the fact that AXI = k\x\.Hv. Canonical Forms Proof: eigenvector corresponding AI. 10. Then [XI V 2] is unitary.. Let XI E Cnxk have orthonormal columns and suppose V is a unitary matrix such that UX\ = \ 1. An... [XI U2] is unitary.2)block X2 .96 96 Chapter 10.. orthogonal (l..xd. Then there exist n — 1 additional vectors X2. A. Canonical Forms Chapter 10. xn such that X = (XI. Hk in the usual way (see below) such that Hk . ~nf. n .1 additional vectors x2... D The construction called for in Theorem 10. .. HdxI. xn] = 1.. . Then VH = / / .. . . Let X\ e Cnxk have orthonormal columns and suppose U is a unitary Theorem 10... —k U...I)block. Xn such that [x\. Xk H Hk.• • Hk and Hk'" HI. .2). We also get 0 in the (2. We illustrate the construction of the necessary Householder matrix for k — 1. (/ € k) U2 X i U2 = Xi .. Let the unit vector x\ be denoted by [~I. k = For simplicity.. .. VI € Cnxk [Xi U ] Proof: Let X\I = [x\. . When combined with the fact that x~ XI = 1. xn] = [x\ ] [XI X22] is unitary. simplicity.. Xk are orthonormal).2) Al X~AX2 XfAX 2 0 Al ] 0 XfAX z 0 l In (10. where R E kxk is upper triangular.3. .. . D 0 (2. . we get 0 in the (l. In (10..) [XI X2]] is orthogonal is frequently required.k But the latter are orthonormal since they are the last n . . %n] XI . . The proof is completed easily by induction upon noting proof that the (2. I)block x"xi = 1. where R € Ckxk is upper triangular. we get Ai remaining in the (l. When combined with the fact that In (l0.T.1) (10.1) we have used the fact that Ax\ = AIXI.3 called Theorem 10. Let V = XI. . . .2)block noting that x\ is orthogonal to all vectors in X2.. Write V H matrix such that V X I = [ ~]...2 is then a special case of Theorem 10. the construction of X2 E JRnx(nl) such that X — z e ]R" (".... . Hk as elementary reflectors) H\. Then there exist n ..3.. we consider the real case. . X 1 XI e E". The construction can actually be performed orthogonal frequently [x\ 2 quite easily by means of Householder (or Givens) transformations as in the proof of the Householder transformations proof following general result... Write UH = [U\ U ] [VI Vz] 0 2 with Ui E Cnxk .... and normalize it such that x~ XI = XI 1. . [Xi f/2] unitary.
4 implies that a symmetric matrix A (with the obvious analogue from Theorem 10. .2 for Hermitian matrices) can be written n A = XDX T = LAiXiXT. U effects necessary compression of jci.. where u ^UU [t\ 1.. Let A E jRn xn (whose orthogonal matrix X e Wlxn (whose columns are orthonormal eigenvectors of A) such that of XT AX = D = diag(Al.1. it is easily verified that UT U = 2 ± 2'. where Pi = PR(x.10. £«] r It can checked T 2 that U is symmetric and U TU = U 2 = I.4.Xn.) — xiXt = i j since xT Xi = 1. quently in applications. . . XTAX = D = diag(Xi..•» '..2 is worth stating separately since it is applied fre10. Some Basic Canonical Forms 97 Then the necessary Householder matrix needed for the construction of X 2 is given by Then the necessary Householder matrix needed for the construction of X^ is given by U = I . Let A = AT e E nxn have eigenvalues k\.. . [25]. it is easily verified that u T u = ± 2£i and u T Xl = 1 ± '. i. including the choice of sign and the complex case. i=1 (10. . where u = ['.2 for Hermitian matrices) can be written from Theorem 10. 's). Then there exists an AT E jRnxn have eigenvalues AI.. [25].2uu+ = I . A Note that Theorem 10. [11]. .nf.i.2 is worth stating separately since it is applied frequently in applications. = PUM = xixf = xxixT since xj xi — 1.1 and UT X\ = 1 ± £1. An. X n ). i=l theoretical The following pair of theorems form the theoretical foundation of the doubleFrancisdoubleFrancisQR algorithm used to compute matrix eigenvalues in a numerically stable and reliable way. In fact.3) spectral which is often called the spectral representation of A.. [7].It can easily be checked — 2uu+ — u u T . [11]. Then there exists an 10. To see that U effects the U symmetric U U = U = I. The real version of Theorem 10. (onto the onedimensional eigenspaces correPi onedimensional eigenspaces sponding to the A.1.e.. [23].+uu T . . A in (10.. . . Thus.. Theorem 10.2. An). n A = LAiPi. sponding to the Ai'S).4. . U orthogonal. consulted standard numerical linear algebra can be consulted in standard numerical linear algebra texts such as [7]. x where P. so U is orthogonal. necessary compression of Xl.e. . '. • • .1 ± 1. Further details on Householder matrices. £2. Some Basic Canonical Forms 10..3) is actually a often weighted sum of orthogonal projections P.1. [23]..
it is thus unitarily similar to an upper triangular matrix.9. so A is normal. The triangular matrix T in Theorem 10.e. matrix U such that U AU = S. The when we can go further and reduce a matrix via unitary similarity to diagonal form. Its real JCF is is in RSF. where D is diagonal.. real arithmetic) to a quasiuppertriangular A e Wnxn is also orthogonally similar (i. However. A is normal (i.8. However. A matrix A E C"x" is unitarily similar to a diagonal matrix if and only if Theorem 10. The quasiuppertriangular matrix S in Theorem 10.e.e. AHA = AA H).5 is called a Schur canonical form or Schur form. Proof: Suppose U is a unitary matrix such that U H AU = D. Then AAH = U VUHU VHU H = U DDHU H == U DH DU H == AH A so A is normal. diagonal of T (or S). Let A E cnxn Then there exists a unitary matrix U such that Theorem 10. The following theorem answers this question. Then Proof: Suppose U is a unitary matrix such that U H AU = D. Definition 10. Canonical Forms Chapter 10. Let A e C"x"..9.7. AH A = AAH ). . The triangular matrix T in Theorem 10. Example 10. Let A E R"xxn. is that the first Schur vectors span the same all applications (see. Canonical Forms Theorem 10. where S is quasiuppertriangular. then complex arithmetic is clearly needed if A has a complex conjugate pair of eigenvalues. what is true. Then there exists an orthogonal Let A e IR n ". where D is diagonal. 0 in this case (using the notation U rather than X) the (l. but if A has a complex conjugate pair of eigenvalues. complex conjugate pairs of eigenvalues. A quasiuppertriangular matrix is block upper triangular with 1 x 1 diagonal matrix.. The quasiuppertriangular matrix S in Theorem 10.2)block AU2 is not O. While every matrix can be reduced to Schur form (or RSF).6 T T matrix U such that U AU = S. following theorem answers this question.5 (Schur). it is of interest to know when we can go further and reduce a matrix via unitary similarity to diagonal form. Then there exists a unitary matrix U such that U H AU = T.6 is called a real Schur canonical form or real Schur form (RSF).2)block wf AU2 is not 0.7. it is thus unitarily similar to an upper triangular matrix. real arithmetic) to a quasiuppertriangular matrix.e. . A quasiuppertriangular matrix is block upper triangular with 1 x 1 diagonal blocks corresponding to its real eigenvalues and 2x2 2 diagonal blocks corresponding to its blocks corresponding to its real eigenvalues and 2 x diagonal blocks corresponding to its complex conjugate pairs of eigenvalues. and sufficient for virtually all applications (see. where T is upper triangular.. is that the first k Schur vectors span the same Ainvariant subspace as the eigenvectors corresponding to the first eigenvalues along the invariant subspace as the eigenvectors corresponding to the first k eigenvalues along the diagonal of T (or S).6 (MurnaghanWintner). what is true. The columns of a unitary [orthogonal] matrix U that reduces a matrix to [real} Schur fonn are called Schur vectors. but In the case of A E R"xxn .98 98 Chapter 10. Theorem 10. [17]). the next theorem shows that every A E IR xn is also orthogonally similar (i. The matrix 10.2 except that Proof: The proof of this theorem is essentially the same as that of Theorem 10. then complex arithmetic is clearly needed to place such eigenValues on the diagonal of T.2 except that in this case (using the notation U rather than X) the (l. where T is upper triangular.6 is called a real form or Schur fonn. UH AU = T. Theorem 10. Then there exists an orthogonal 10. A matrix A e c nxn is unitarily similar to a diagonal matrix if and only if A is normal (i.5 (Schur). for example. the next theorem shows that every to place such eigenvalues on the diagonal of T. [17]). D ur In the case of A e IRn ". Proof: The proof of this theorem is essentially the same as that of Theorem lO. However. matrix U that reduces a matrix to [real] Schur form are called Schur vectors. Its real JCF is h[ 1 1 1 0 0 n n Note that only the first Schur vector (and then only if the corresponding first eigenvalue Note that only the first Schur vector (and then only if the corresponding first eigenvalue is real if U is orthogonal) is an eigenvector.8. and sufficient for virtually is real if U is orthogonal) is an eigenvector. However. The columns of a unitary [orthogonal} Schur canonical form or real Schur fonn (RSF). it is of interest to know While every matrix can be reduced to Schur form (or RSF). for example. where S is quasiuppertriangular. The matrix s~ [ 2 0 2 5 4 0 is in RSF.5 is called a Schur canonical Definition 10.
we write A > B if and only if A .10.2.=1 But clearly n LA.A < O.B > 0 or or Also. We write A > 0. We write A > O. where T is an upper triangular matrix (Theorem 10.n. nonzero x E lR. negative definite if . if A and B are symmetric matrices. 11'/. be diagonal. suppose A is normal and let U be a unitary matrix such that U H AU = T. We write A ~ 0. CM j]i. We (or negative if— A nonnegative definite.10. superscript H s replace T s.nxn is Definition 10. 3. we write A > B if and only if A — B > B . this section that may be stated in the real case for simplicity.A is positive definite. if A and B are symmetric matrices. If a matrix is neither definite nor semidefinite. positive definite if and only if xTT Ax > 0 for all nonzero x G lR. Then for all E en. Remark 10. 2.10.=1 . .. in fact. Then n x HAx = (U HX)H U H AU(U Hx) = yH Dy = LA. If neither semidefinite. this is generally true for all results in the remainder of of superscript //s Ts.5). Also. where x is an arbitrary vector in en. Proof: Proof: Let U be a unitary matrix that diagonalizes A as in Theorem 10. all the above definitions hold except that A e nxn Remark 10.12.11.12.. indefinite.n • We write A :::: 0. If A E C"x" is Hermitian. Furthermore. we write A :::: B if and only ifA — B>QorB — A < 0. i En. Definite Matrices 99 Conversely. We write A < 0.12 ~ AlyH Y = AIX HX . Definite Matrices 10. 111. U diagonalizes A 10. Let A = AH e enxn with eigenvalues X{ :::: A2 :::: . it is said to be indefinite. x eC".2 Definite Matrices Definite Matrices Definition 10.• :::: An.2. nonpositive definite (or negative semidefinite) if A is nonnegative definite. A symmetric matrix A e Wxn 1.. A U U HA U T..2. Remark 10.2. write A < O. Then 11.A ~ O. negative positive definite. nonnegative definite (or positive semidefinite) if and only if XT Ax :::: 0 for all (or positive if and only if x T Ax > for all nonzero x e W.11. if—A 4.2 10. It T 0 D 10. let y = U H x. Then T (Theorem It is then a routine exercise to show that T must.B :::: 0 or B . Furthermore. Thenfor all Let A = AH E Cnxn with eigenvalues AI > A2 > • • > An. We write A < O. A symmetric matrix A E lR.13. e Theorem 10. Indeed. Similarly.. and denote the components of y by v UHx. B — A < 0. i € n. positive definite if and only ifx Ax > Qfor all nonzero x E W1 We write A > O. we write A > B if and only if A . Similarly.
The determinants of all principal submatrices of A are nonnegative. of all principal submatrices of 2.18. where M E IRb<n and k ~ ranlc(A) — ranlc(M). A symmetric matrix A e E" x" is positive definite if and only if any of the following equivalent following three equivalent conditions hold: determinants of principal 1.18. The determinant of the 1x1 1 leading submatrix is 0 and 1. All eigenvalues of A are nonnegaTive. 0 D Remark XHHAx Remark 10.I.1.@mllrk 10. 2. Theorem 10. All eigenvalues of A are positive.100 100 Chapter 10. Theorem 10.15. Remark 10.. whence IIAxll2 ! H IIAliz = max .19. Canonical Forms and and n LAillJilZ::: i=l AnyHy = An xHx . xfO IIxll2 I 0 Definition submatrixofan n x k) x k) Definition 10. Note that the determinants of all principal "ubm!ltriC[!!l mu"t bB nonnBgmivB R. A can be written in the form MT M. A symmetric matrix A € R"x" is nonnegative definite if and only if any of following equivalent of the following three equivalent conditions hold: 1. A can be wrirren in [he/orm MT M. 3. I Proof: E C" Proof: For all x € en we have Let x be an eigenvector corresponding to Amax (A HA). Theorem 1O.17).w) x HAx > the Rayleigh quotient.. Not@th!ltthl!dl!termin!lntl:ofnllprincip!ll eubmatrioes muet bQ nonnogativo in Theorem 10. whence Ar1ax (A A).13 provides (A 1) Rayleigh quotient of jc. not just those of the leading principal submatrices. Theorem 10. 3. If A = AH e C"x" is positive definite.17. where M 6 R ix " and k > rank(A) "" rank(M).1. Corollary Corollary 10. of obtained and E ~nxn positive definite if and only if any of the Theorem 10. . ::::: AI. All eigenvalues of A are nonnegative. Then 111~~1~2 Let jc be an eigenvector corresponding to Xmax(AHA). 3. so 0 An ::::: . Canonical Forms Chapter 10.soO < X n < ••• < A. Then ^pjp2 = ^^(A" HA). 2. the . from which the theorem follows. form MT E ~n xn E ~n xn definite if and only if Theorem 10. However.16. All eigenvalues of A are positive. The ratio ^^ x for A = AH <=enxn and nonzero x jc een isis calledthe = AH E Cnxn and nonzero E C" called the x of x.l3 provides upper (AO and lower (An) bounds for (A. The determinants of all leading principal submatrices of A are positive.18.17). consider the matrix A — [0 _l~]. A leading principal submatrix of order n — k is obtained by deleting the last k rows and columns. determinant the determinant of the 2x2 2 leading submatrix is also 0 (cf. Theorem 10. x E C". The determinant of the I x leading submatrix is 0 and consider the matrix A = [~ 2x 0 (cf. A can be written in the form MT M. Let A e C"x". XHAx > 0 for all nonzero = AH E enxn E en.14.19. Let A E enxn Then \\A\\2 = Ar1ax(AH A). Then IIAII2 = ^m(AH A}. For example. of positive. where M e R"x" is nonsingular.= Amax{A A).. A principal submatrix of an nxn n matrix A is the (n — k)x(n(n — k) matrix that remains by deleting k rows and the corresponding k columns.
in fact. E jRnxn MT AM > M BM. It concerns the notion of the "square root" of a matrix. It is stated and proved below for the more general known as the Cholesky factorization. The factor M in Theorem 10.3 is not unique.20. In general. [16. If A> Band E jR~xm. where L\ e c(nl)x(nl) is nonsingular and lower triangular as = L1Lf. BM. assume the result is true for matrices of order — 1 so that B may be written as B = L\L^.. Then there exists a positive definite. The case n = 1 is trivially true.22. It is stated and proved below for the more general Hermitian case. . The following standard theorem is stated without proof (see. 0 Recall that A :::: B if the matrix A . if € E" xn we say that e jRn x that S E R nxn"isisa asquare root of AA ifS2 2 =— A. matrices (both symmetric and nonsymmetric) have infinitely many square roots.2) element is. for example.nxn"be nonnegative definite.18. The following theorem is useful in "comparing" symmetric matrices. Write the matrix A in the form the form By our induction hypothesis. in fact. [ fz ti o o l [~ 0] ~ 0 v'3 .10. A e R"x be nonnegative definite. basic definitions. Moreover. That is.nxn . for example. Then A has aaunique nonnegative definite square root S.B is nonnegative definite. Definite Matrices 101 101 principal submatrix consisting of the (2.2.1 so that B By our induction hypothesis.is a square root.2) element is. E <C Theorem 10. 10rm [COSO _ Sino] . if A E lR. nxm 2. with positive diagonal elements such that positive Proof: The proof is by induction. Definite Matrices 10. definite if A is positive definite). Ll E C1""1^""^ and . MT AM> M.2. rankS = rankA definite definite if positive definite). The following Recall that A > B if the matrix A — B is nonnegative definite. If A > B and M e Rm . Its proof is straightforward from basic definitions. The factor M in Theorem 10. then MT AM :::: MTTBM. negative and A is nonpositive principal submatrix consisting of the (2. B e Rnxn be symmetric. if = /2. concerns the notion of the "square root" of a matrix.22. assume the result is true for matrices of order n . Its proof is straightforward from theorem is useful in "comparing" symmetric matrices.23.we say 181]).. Hermitian case. Remark 10. then MT AM > MT TBM. = LLH. Theorem 10. Theorem 10. The case = is trivially true.3 is not unique. Write the matrix A in Proof: The proof is by induction.20.18. 1f A :::: Band M E Rnxm.17 is available and is known as the Cholesky factorization. nxn Theorem 10. negative and is nonpositive definite. 2. In general. Let A E lR. Then A has unique nonnegative Theorem 10. any matrix of nonsymmetric) have infinitely many square roots. That is. SA = AS and rankS = rank A (and hence S is positive = AS S S. If >BandMe jRnxm. any matrix S of c e s 9 the " °* ™ the form [ ssinOe _ ccosOe ] IS a square root.. matrices (both symmetric and square root of if S A. if A = lz.21. 1. p. [16. For example.23. For example. and positive definite. For example. j proof (see.17 is available and is A stronger form of the third characterization in Theorem 10. Let A e c nxn be Hermitian unique nonsingular lower triangular matrix L nonsingular A = LLH. if Remark 10. p. A stronger form of the third characterization in Theorem 10. standard theorem stated 181]). Let A. if then M can be then M can be [1 0]. For example.
are generally unreliable. [21. of ann — b 0 root of «„„ . But we = ann — b LIH L\lb = ann — bH B~lb B A).102 102 Chapter 10. . see.xn. we find by L^b. Let A € C™*71. Gaussian or elementary row and column operations. Canonical Forms Chapter 10. Two such forms are stated here.3 10. Substituting in the involving we find 2 a2 = ann . 2]. Choosing a be det(fi) > HB~lb completes the proof. 0 Note that the greater freedom afforded by the equivalence transformation of Theorem afforded 10.4) efficiently available.131]. Many similar results are also (10. Alternatively.4) and the SVD.24. the SVD is relatively expensive to compute and other canonical forms exist that are intermediate between (l0. [21. Substituting in the expression involving a. Then [ Sl o 0 ] [ I Uf U H ] AV = [I 0 0 ] 0 .p. say.4). [4. of course. Alternatively. Take P =[ S~ 'f [I ] and Q = V to complete the proof.b HL\H L11b = ann . for example (10. It remains to prove that we can write the n x n matrix A It in the form in the form ann b ] = [LJ c a 0 ] [Lf 0 c a J. 131].4) Proof: proof Proof: A classical proof can be consulted in. However.• Clearly we see we L I C = b and ann = c HC a 2 c is given simply by c = C. The numerically preferred equivalence is. Choosing a to be the positive square ann . suppose A has an SVD of the form (5. 5]. yields a far "simpler" canonical form (10.lb. numerical procedures for computing such procedures an equivalence directly via. They are more stably computable than (lOA) and more efficiently computable than a full SVD.b H B1b (= the Schur complement of B in A). Then E c~xn such exist e C™ x m that that PAQ=[~ ~l (l0..b B1b completes D 10. we must have ann —bHB lb > 0. available. we see that we must have L\c = b and ann = CHc + a 2. Then there exist matrices P E C: xm and Q e C"nx" such E c. However. as opposed to the more restrictive situation of a similarity transformation. Ch.b H B1b > O. for example. Canonical Forms with positive diagonal elements.2) in its complex version. Ch.3 Equivalence Transformations and Congruence Equivalence Transformations and Congruence Theorem 10.24. Performing the indicated matrix multiplication and equating the corresponding submatrices. p. But know that o < det(A) = det [ ~ b ] = det(B) det(a nn _ b H B1b).4) [7. the unitary equivunitary alence known as the SVD. ann Since det(B) > 0. multiplication where a is positive.
31 guarantees that rank and signature of a a matrixare preserved under Theorem 10. [21. [21. 0). n The signature of A is given by sig(A) = n . Definition 10.6) E e.. Note that congruence preserves the property of being Hermitian. nxn E e X E e~xn.3.xr E erx(nr) arbitrary general nonzero. Then the inertia of A is the triple of inertia of of negative. respectively. It turns out that the principal property so preserved is the sign preserved under congruence. Theorem 10. Definition 10. If A = A" E C nnxn. 0 2. of each eigenvalue.t h e n A > 0 if and only if In (A) = (n. v. Then there exist Theorem 10. i. In(A) 3.e. Let A = AH e C"x" and let 7t.5) where R E e. Note that a congruence is a similarity if and only ifX is unitary. Let A E e~xn. The transformation A i> XH AX is called a congruence.e. then XH AX is also Hermitian. where R e €. In(A) = In(X AX). Proof: For the proof. We then have the following. When A has full column rank but is "near" a rank deficient matrix. then rank(A) rr v. Equivalence Transformations and Congruence 103 103 Theorem 10.In[! 1o o o 0 0 00] 10 =(2. and eigenvalues. for example.10. (TT. Let A = A He ennxn and X e Cnnxn. Let A e e~xn. 134]. see [4]. see [4].31 (Sylvester's Law of Inertia). then rank(A) = n + v.30. D 0 Remark 10. .XH AX Definition 10. £). It turns out that the principal property so preserved is the sign of each eigenvalue. upper Proof: For the proof. If A AH e e x " then A> 0 if and only if In(A) = (n. When A has full column rank but is "near" a rank deficient matrix. sig(A) = rr — v. a congruence. In(A) = ln(X Proof: For the proof. l. Again. Proof: For the proof. Note that congruence preserves the property of being Hermitian. see.1). see [4]. The signature of is Example 10. D Theorem 10.. Let A e Cnxn and X e Cnnxn.0).31 (Sylvester's Law of Inertia).31 guarantees that rank and signature of matrix are preserved under congruence. Definition 10. and £ denote the numbers of positive. congruence. Proof: For the proof. and ~ denote the numbers of positive. if A is Hermitian. The H. Equivalence Transformations and Congruence 10. 0. Theorem 10. n. Then H HAX). see [4]. v. Remark 10. v. various rank revealing QR decompositions are available that can sometimes detect such various rank revealing QR decompositions are available that can sometimes detect such phenomena at a cost considerably less than a full SVD. £). If In(A) = (rr. Then there exists a unitary matrix Q e e mxm and a Theorem 10. p. Example 10. 2. HE C xn E e~ xn. 0 D x Theorem 10. Again.1.28. where R E Crrxr is upper triangular and S e C rx( " r) is arbitrary but in general nonzero. It is of interest to ask what other properties of a matrix are preserved under congruence. of A. Then there exist unitary matrices U e Cmxm and V E Cnxn such that unitary matrices U E e mxm and V e e nxn such that (10. 134].27. see [4] for details. D Proof: For the proof. v.3.v. p.25 (Complete Orthogonal Decomposition).rrxr is upper (or lower) triangular with positive diagonal elements. v. negative. We then have the following. numbers In(A) (n.29. Note that a congruence is a similarity if and only if X is unitary. Then is the numbers In(A) = (rr. phenomena at a cost considerably less than a full SVD.28. Let A E C™ x ". Let A = AH E e nxn and let rr. and zero eigenvalues. Let A e C™ ". It is of interest to ask what other properties of a matrix are then X H AX is also Hermitian. Then there exists a unitary matrix Q E Cmxm and a permutation permutation matrix IT e en xn" such that Fl E C"x QAIT = [~ ~ l (10.27. see.29. of A.26.26.xr is upper (or lower) triangular with positive diagonal elements.30.25 (Complete Orthogonal Decomposition).0. v. . respectively. see [4] for details. for example. if A is Hermitian. i.
if and if either A> and D . .. and D . the congruence B ] [I D ~ 0 _AI B I ° JT [ A BT ~ ][ ~ 0 D The details are straightforward and are left to the reader. v. Define the x n matrix vv = diag(I/~. .BD^BT > 0.. where the number of E c~xn XH AX = diag(1. . I/~. . and the final £ are 0. I/. . Theorem 10... I. the next v are negative. 1. 0 D 10. . Proof: Consider the congruence with Proof: Consider proof Theorem and proceed as in the proof of Theorem 10. 0 D Then it is easy to check that X = V VV yields the desired result. An of Jr Proof: Let AI .. Proof: AI. Canonical Forms Chapter 10.104 104 Chapter 10. or D > 0 and A . left AT D DT. the number of Il's is v.. . the number 0/0 's is (. v. .. D > and .. . ..fArr+I' . .1 Block matrices and definiteness Theorem 10.32.3. An).4 10. . Then = AT D = DT. .3. 0).BD. Suppose A = AT and D = DT. ... By Theorem 10. . .. ifand only ifeither A > 0 and D . O. . Theorem positive. Then Remark Remark 10.34.33. X e C"nxn such that XHAX = diag(l.. I. . X UW desired 10.. 's is 7i. £). A w ).2 there exists a unitary matrix V such that VHAU = diag(AI. Canonical Forms Theorem 10. 1. Then there exists a matrix AH C"xn In(A) = (Jr. . and the numberofO's is~.4 Rational Canonical Form Rational Canonical Form rational One final canonical form to be mentioned is the rational canonical form. . .BT A+B > 0. where the number of X 1's is Jr. Let A = AHeE cnxn with In(A) = (jt. Suppose A = AT and D = DT. AA+B = B.I BT > O. I....BT A~l B > 0.fArr+v.. 1..1 10.35.BT AI > 0.. 1/.0).. B D ] >  ° if and only if A:::: 0. . Proof: proof Proof: The proof follows by considering.. . if ifA>0. 1.BT A+B:::: o.. 0. . and D . Define the nn x n matrix U UH AV = diag(Ai.0.1). AA+B = B. Xw denote the eigenvalues of A and order them such that the first TTare ~ O.. the number of — 's is v.. .33. . Note the symmetric Schur complements of A (or D) in the theorem. .. for example.
To Companion matrices also appear in the literature in several equivalent forms.10. consider the companion matrix (l0.7) is called a companion matrix or is said to be in companion forrn. o (10.37. A is easily seen to be similar to the following matrix identity similarity P given by (9. Companion matrices also appear in the literature in several equivalent forms.4..11) . For £*Yamr\1j=» example. A matrix A E lRn Xn is said to be nonderogatory ifits minimal polynomial if its minimal polynomial and characteristic polynomial are the same or.. since a matrix is similar to its transpose (see exercise 13 in Chapter 9). : ~ ! ~01]. A is easily seen to be similar to the following matrix in upper Hessenberg form: in upper Hessenberg form: a2 al o 0 0 1 o 1 6] ao o . the following are also companion matrices similar to the above: following are also companion matrices similar to the above: Notice that in all cases a companion matrix is nonsingular if and only if ao /= 0.9) Moreover. if its Jordan canonical form and characteristic polynomial are the same or.7) is called a cornpanion rnatrix or Definition 10. has only one block associated with each distinct eigenvalue.36. In fact. if its Jordan canonical form has only one block associated with each distinct eigenvalue. Using the reverseorder identity similarity P given by (9.4. Suppose A E lRnxn is a nonderogatory matrix and suppose its characteristic polynoSuppose A E Wxn is a nonderogatory matrix and suppose its characteristic polynon(A) An — (a0 + alA + a n _iA n ~').Then it can be shown (see [12]) that A mial is 7r(A) = A" . Then it can be shown (see [12]) that A is similar to a matrix of the form is similar to a matrix of the form o o o o 0 o o o (10. + an_IAnI). since a matrix is similar to its transpose (see exercise 13 in Chapter 9). the inverse of a nonsingular companion matrix is again in companion form.18). Using the reverseorder This matrix is a special case of a matrix in lower Hessenberg form. To illustrate. consider the companion matrix illustrate. Rational Canonical Form 105 105 Definition A matrix A e M"x" is said to be Definition 10.(ao + «A + .8) This matrix is a special case of a matrix in lower Hessenberg form. the Moreover. equivalently.37.7) Definition 10. Notice that in all cases a companion matrix is nonsingular if and only if aO i= O. Rational Canonical Form 10. equivalently. the inverse of a nonsingular companion matrix is again in companion form.18). l 0 0 ~ ao ~ ao _!!l (10. is said to be in cornpanion form. A matrix A e E nx " of the form (10. A matrix A E lRnxn of the form (10. For In fact.10) o 1 o 1 o o o o o o (10.
.7) is singular.. has more than one Jordan block associated with If A € JRnxn derogatory.7).39. at least one eigenvalue. + a.. .38. Then A in (10. a n i] and l c I+~T a. in n general and especially as n increases. then its pseudoIf singular. Moreover. Companion matrices have many other interesting properties.Jy2 . the largest and smallest singular values can also be written in the equivalent form If ao =1= 0. . Such matrices are said to be in rational canonical form Frobenius rational canonical form (or Frobenius canonical form). and so forth [14]. Canonical Forms Chapter 10. associated at least one eigenvalue. is the fact that their singular values can be found in closed form. For details.38. .caa T ca o J. Ifao ^ 0..7). 3. For example. for example..7)..4ao ' 1 2)  a? = 1 for i = 2.. a2. if ao = 1 inverse can still be computed... . if ao = 0. especially nonsingular ones are nearly singular. and so forth [14].• > an be the singular values of the companion matrix A in (10. Such matrices are said to be in each of whose diagonal blocks is a companion matrix. each of whose diagonal blocks is a companion matrix. with a similar result for companion matrices of the form (10. If A E R nx " is derogatory. also be derived easily. 02. Moreover.10). form).. matrix is not a companion matrix unless a = O. then it is not similar to a companion matrix of the form (10. nonsingular ones are nearly singular. companion matrices are known to possess many undesirable numerical properties. Then + ai + . I — T = T) Note that / .1. Then it is easily verified that c = l+ ara' Then it is easily verified that o o o + o o o o o o 1. and perCompanion matrices have many other interesting properties. Explicit formulas for all the associated right and left singular vectors can Remark 10. Leta = ar aJ al 2_ 2 ( y + Jy 2. i. . then it is not similar to a companion matrix of the form (10. it can be shown that a derogatory matrix is similar to a block diagonal matrix._1 and y = 1 + + a. Canonical Forms with a similar result for companion matrices of the form (10. see [14]. and perhaps surprisingly. their eigenstructure is extremely ill conditioned. stable ones are nearly unstable... among which. n . a. Let a\ > a2 > .4aJ) . Companion matrices appear frequently in the control and signal processing literature Companion matrices appear frequently in the control and signal processing literature but unfortunately they are often very difficult to work with numerically. Let a E JRn1 denote the vector [ai.10). the largest and smallest singular values can also be written in the equivalent form Remark 10. Let al ~ GI ~ • • ~ an be the singular values of the companion matrix Theorem 10. anIf and let e M"" \a\.106 Chapter 10. i. For example. Explicit formulas for all the associated right and left singular vectors can also be derived easily.caa T = (I + aaT) I .. and hence the pseudoinverse of a singular companion + matrix is not a companion matrix unless a = 0. Algorithms to reduce an arbitrary matrix to companion form are numerically unstable. However.Q + a. = ~ (y .e. Algorithms to reduce but unfortunately they are often very difficult to work with numerically. stable ones are nearly unstable. Let a = a\ + a\ + • • • + a%_{ and y = 1 + «. among which. companion an arbitrary matrix to companion form are numerically unstable..39. see haps surprisingly. If a companion matrix of the form (10.. [12]. see. in matrices are known to possess many undesirable numerical properties.e. Theorem 10.7). is the fact that their singular values can be found in closed form.
Suppose A e E"x" is positive definite. K\ (A) (10. Remark 10.. If A E Wxn is positive definite. Let A G Cnx" and define p(A) = maxx€A(A) IAI. A [ must also be positive 7. A E cc nxn peA) = max). then peA) = A2. If this number is large.. show that AI must also be positive definite. Show that [~ R > SI. yn and singular values a\ ~ a2 > . Show that if A is normal..EA(A) I'MpeA) 3. Theorem 10. this condition number is the ratio of largest to smallest singular values which. R> S [1 A~I] ~ O? /i 1 > 0? ~] > 0 if and only if > 0 and J 1 > 0 if and only if S > 0 and . • • > on > 0.11). Find a unitary matrix U such that [~ M CC x 2 Find a unitary matrix U such that 6. can be determined explicitly as determined explicitly y+J y 2 . Theorem 10. In the 2norm. It is easy to show that y/2/ao < K2(A) < £. 5.4a5 21 a ol It is easy to show that 21~01 :::: k2(A) :::: 1:01' and when ao is small or y is large (or both). when solving linear equations numerical sensitivity Kp(A) = systems of equations of the form (6. 2. by the theorem. Then p(A) is called the spectral radius of A.40. Use the reverseorder identity matrix P introduced in (9.38 yields some understanding of why difficult numerical behavior might be expected for companion matrices.38 yields some understanding of why difficult numerical Remark 10.. when solving linear behavior might be expected for companion matrices. this condition number is the ratio of largest to smallest singular precision. Let R. say O(lO k ). E jRnxn be symmetric. Show that a. Let R.18) and the matrix U in identity in (9. (A) A..Exercises Exercises 107 Companion matrices and rational canonical forms are generally to be avoided in floatingCompanion matrices and rational canonical forms are generally to be avoided in fioatingpoint computation... EXERCISES EXERCISES 1. 9.40. Let A 7. Let A € C n xn be normal with eigenvalues y1 .• ~ an ~ O. then Af(A) = N(A Tr ).(A)I for ii E!l. one may lose up to k digits of to the matrix Pnorm. (A) = IA. then K2(A) ^ T~I. For example. In the 2norm.2). S 6 E nxn be symmetric. Let A = I J : ]eEC 22x2. 3. then it must be diagonal. If this number is large. then p(A) = IIAII2' Show that the converse is true if n = 2.. . If A e jRn xn 8. Prove that if A e M"x" is normal. Show that if a triangular matrix is normal. and when GO is small or y is large (or both). say 0(10*). Show that [ * }. A E jRnxn N(A) = A/"(A ). . 6. It is not unusual for y to be large for large n. Show that a.18) U A E cc nxn Theorem 10. Show that the converse radius of A.(A) for e n.11). For example. is true if n = 2.. one measure of numerical sensitivity is KP(A) = A A ] > the socalled condition number of A with respect to inversion and with respect II ^ IIpp II A~l IIpp'me socalled condition number of A with respect to inversion and with respect to the matrix pnorm. 1. Show that if A is normal.. An and singular 0'1 > 0'2 ~ 4. A E en x n eigenvalues A]. .. Is [ ^ A E jRnxn is definite. one may lose up to k digits of precision. Note that explicit formulas then K2(A) ~ I~I' It is not unusualfor y to be large forlarge Note that explicit formulas Koo(A) for K] (A) and Koo(A) can also be determined easily by using (l0.5 to find a unitary matrix Q that reduces A e C"x" to lower triangular form.
j 1+ j ] 2 ' (d) [ .j 1+ j ] 1 . (a) Chapter 10.1 1.108 108 10. . Find the inertia of the following matrices: following 10. Canonical Forms [~ ~ l (b) [ 2 1. Canonical Forms Chapter 10.
For all A JR. Forall A EG R" XM .1 and linearity of the transpose. It can be described conveniently in terms of the matrix exponential. where the matrix A E Rnxn is constant chapter only to the socalled timeinvariant case. Definition 11.1. This is known as an initialvalue problem.1 11.1 by setting = 0.1 Properties of the matrix exponential Properties of the matrix exponential 1. The solution of (11. For all A e Rnxn. which thus also converges for all A and uniformly in t. unique.1 and linearity of the transpose.1 11. The solution of (11. Proof This follows immediately from Definition 11. Proof: This follows immediately from Definition 11.nxn. where the matrix A e JR.nxn is defined by Definition 11.1 by setting AA =O.1) for t 2: to.2) k=O The series (11. Proof This follows immediately from Definition 11.nxn. k. (11. This is known as an initialvalue problem. Proof: This follows immediately from Definition 11. the matrix exponential e A e JR.nxn is constant and does not depend on t.1) involves the matrix (11. T T 109 109 . = Xo In this section we study solutions of the linear homogeneous system of differential equations In this section we study solutions of the linear homogeneous system of differential equations x(t) x(to) E JR. For all A E JR. A) • 2.Chapter 11 Chapter 11 Linear Differential and Linear Differential and Difference Equations Difference Equations 11.1) involves the matrix to +(0).2) can be shown to converge for all A (has radius of convergence equal The series (11. It can be described conveniently in terms of the matrix exponential.Ak. The solution of (11.1. 11.2) can be shown to converge for all A (has radius of convergence equal to +00). e° = I. We restrict our attention in this chapter only to the socalled timeinvariant case.n (11.1) is then known always to exist and be and does not depend on t. The solution of (11.1.1. (e(eAf = e A e^. We restrict our attention in this for t > IQ.1) is then known always to exist and be unique.3) which thus also converges for all A and uniformly in t.1 Differential Equations Differential Equations = Ax(t). eO = I. the matrix exponential e A E Rnxn is defined by the power series power series e = A L +00 1 .
.110 110 Chapter 11.. T E JR.. (a) C{etA = (sIArl.A)I. Then for E JRnxn t E R. Let denote the Laplace transform and £~! the inverse Laplace transform..e. Then for 6. 6. on (t + T)*. Proof" We prove only (a).1 } = erA.A)I} = «M. (b) . et(A+B) =^e'Ae'B = e'Be'A and and B commute. Proof" Note that Proof: Note that e(t+r)A = etA erA = erAe tA . = I + (t + T)A + (t + T)2 A 2 + .. For all A E JRnxn and for all t. (etA)1 = e. AB = B A.lI{(sl. Linear Differential and Difference Equations Chapter 11. i. (e'A)~l e~'A. ) ( I + T A + T2!2 A 2 +.. (a) . For all e R"x" and for all t. all A € R"x" and for all t € lR. Proof: Simply take T = t in property 3. Let £ denote the Laplace transform and £1 the inverse Laplace transform. et(A+B) =etAe tB = etBe tA if and only if A all e JRnxn and all e R. Compare like powers of t in the first equation and the second or third and use the Compare like powers of t in the first equation and the second or third and use the k binomial theorem on (A + B/ and the commutativity of A and B. 5. ) . Proof: We prove only (a).. Part (b) follows similarly.. 2! and and e e tA rA 2 = ( I + t A + t2! A 2 +.. Compare like powers of A in the above two equations and use the binomial theorem Compare like powers of A in the above two equations and use the binomial theorem on(t+T)k. Part (b) follows similarly. (b) £.l{e tA}} = (sI . ForaH A E R" x " and for all t e JR. and B commute. 2 2! and and while while e e tB tA = ( 1+ tB t2 2 + 2iB 2 +.1 {(j/A). ) .tA . For all A. ) ( 1+ tA + t2!A 2 +.. i.e. Proof' Note that Proof: Note that et(A+B) = I t + teA + B) + (A + B)2 + . {+oo = io et(sl)e tA dt since A and (sf) commute =io (+oo ef(Asl) dt . Linear Differential and Difference Equations e(t+r)A e(t+T)A 3..... binomial theorem on (A B) and the commutativity of A and B. 4. For all e JRnxn and for all E R. = e'A erA = elAe'A . AB = BA. r e R. B E R" xn and for all t E JR. Proof" Simply take T = — t in property 3.
for convenience.. Notice in the proof that we have assumed.All succeeding steps in the proof then follow in aastraightforward way. A2 + (~~)2 A tA II tA Il 1 (_ 2! + .1.. Differential Equations 11... If this is not the case.u .. Differential Equations 111 111 = {+oo 10 n t 1 e(AiS)t x. ..H using the JCF. e'A Proof: Since the series (11.H L..Ae tA etA) . £(e'A) 7. it can be differentiated termbyterm from which the result follows immediately. A 2etA + . for convenience. 1h(e tA ) = AetA = etA A. that A is diagonalizable.=1 m Xiet(Jisl)y.Ae tA I = III (etAe~tA L'lt = = /A) .. For all A E JRnxn and for all E JR.3) is uniformly convergent. ) etA I < MIIA21111e  L'lt (L'lt)2 + IIAII + IIAI12 + .. ) = I ( Ae + = tA ~.X i y..H = '"' assuming Re s > Re Ai for i E !! = (sI . it can be differentiated termbyProof: Since the series (11.etA . the scalar dyadic decomposition can be replaced by et(Asl) =L .Ae II = I L'lt (M)2 + ~ A 2 +.1 The matrix (s I — A) I is called the resolvent of A and is defined for all s not in A (A)..1. ) 3! 4! L'ltiIAIl < L'lt1lA21111e (1 + + (~t IIAII2 + .11. For all A e R"x" and for all t e R.. the formal definition d dt _(/A) = lim ~t+O e(t+M)A _ etA L'lt can be employed as follows.. ) 3 II I ( ~. For any consistent matrix norm... All succeeding steps in the proof then follow in straightforward way. using the JCF. The matrix (s I .. the scalar dyadic decomposition can be replaced by If this is not the case. . Alternatively. employed I e(t+~t)AAt.H dt assuming A is diagonalizable .A)I..y.A) ~' is called the resolvent of A and is defined for all s not in A (A).A"I i=1 ..y. .l)e .=1 = ~[fo+oo e(AiS)t dt]x.3) is uniformly convergent. ) = L'lt IIA 21111e tA IIe~tIIAII.Ae tA tA tA I I e tA ... that A is diagonalizable. = (sl A). Notice in the proof that we have assumed.AetAil Ae tA I ~t (e~tAetA I (M A I ~t (e~tA . s .
dt dt is used to get x ( t ) = Ae(tto)Ax0 + f'o Ae('s)ABu(s) ds + Bu(t) = Ax(t) + Bu(t).3 Inhomogeneous linear differential equations Inhomogeneous equations Theorem 11. t ) . Also. continuous.2. Let A E IR n xn. say. Thus. continuous. The general Proof: Differentiate (11.7) and again use property 7 of the matrix exponential. Then the solution of the linear inhomogeneous initialvalue problem and.112 112 Chapter 11. The proof above simply verifies the variation of parameters formula by direct differentiation.5) and use property 7 of the matrix exponential to get x ((t) = Proof: Differentiate (11. 0 ordinary differential equations. (11. Thus. say.1. by the fundamental existence and x(t0) — e(fo~t°')AXQ — Xo uniqueness theorem for ordinary differential equations.7) and again use property 7 of the matrix exponential. fact that A commutes with any polynomial of A of finite degree and hence with etA. (11. The solution ofthe linear homogeneous initialvalue problem Let A e Rnxn. Premultiply the equation x .i~t()Oc() nnd uniqu()Oc:s:s theorem for *('o)} = <?(f°~fo)/1. B e IR xm and let the vectorvalued function u be given Theorem and. lo t (11.5) Proof: Differentiate (11. 11. x(to) = Xo E IRn (11. Premultiply the equation x — Ax = Bu by e~ to get (11. by the fundamental existence and uniqueness theorem for ordinary differential equations.7) is the solution of (11. Also.7) Proof: Differentiate (11.1.tA to get as follows. Linear Differential and Difference Equations Chapter 11.. x(to) = Xo E IR n (11.6).¥o + 0 = XQ so.7) is the solution of (1l.4. A similar proof yields the limit e'A A. Linear Differential and Difference Equations For fixed t.4). B E Wnxm and let the vectorvalued function u be given Let A e IR nxn .6) for t ::: to is given by the variation of parameters formula for t > IQ is given by the variation of parameters formula x(t) = e(tto)A xo + t e(ts)A Bu(s) ds. t) dx = l af(x t) ' dx pet) at (t) q + dq(t) dp(t) f(q(t).8) . The formula can be derived by means of an integrating factor "trick" as follows. The general formula formula d dt l q (t) pet) f(x. (11. t ) . the For fixed t.3. the limit exists and equals Ae'A •. The solution of the linear homogeneous initialvalue problem = Ax(l).5) is the solution of (11. or one can use the limit exists and equals Ae t A A similar proof yields the limit et A A. the righthand side above clearly goes to 0 as At goes to 0. or one can use the fact that A commutes with any polynomial of A of finite degree and hence with e'A.2 Homogeneous linear differential equations Homogeneous equations x(t) Theorem 11. The proof above simply verifies the variation of parameters formula by Remark 11.4).4) for t ::: to is given by (11. Then the solution of the linear inhomogeneous initialvalue problem x(t) = Ax(t) + Bu(t)..4. the righthand side above clearly goes to 0 as t:. The formula can be derived by means of an integrating factor "trick" direct differentiation.5) and use property 7 of the matrix exponential to get x t ) = Ae(tto)A xo fundamental Ae(t~to)Axo = Ax(t). x(to) = e(toto)A Xo = XQ so.Ax = Bu by e.6). D 11.5) is the solution of (11. Ae(ts)A Bu(s) to get x(t) = Ae{'to)A Xo + Bu(t) = Ax(t) = x(to e(totolA Xo + = Xo fundilm()ntill ()lI. D Ir: Remark 11. (11. Let A E Rnxn .f(p(t).t goes to O. 0 uniqueness theorem for ordinary differential equations.
E ]R. Theorem 11. X(O) =C (11. t]: 113 1 Thus. The of nrohlcm problem X(t) = AX(t)..4 11. B e R m x m . t]: Now integrate (11. The initialvalue problem (11.6. and C e Rnxm.9) for t ::: to is given by for t > to is given by X(t) = e(tto)Ac.6.2.10) coefficient In the matrix case.4 Linear matrix differential equations Linear matrix differential equations Matrixvalued initialvalue problems also occur frequently. X(O) = C (11. the When C is symmetric in (11. 11.nxm. Let A. and the proof is essentially the same. Differential Equations [to. e jRnxn.1. and hence t d esAx(s) ds = to ds 1t to eSABu(s) ds. Differential Equations 11. The solution of the matrix linear homogeneous initialvalue e jRnxn. we can have coefficient matrices on both the right and left. For convenience. t exponential. X t) X 0 D Corollary 11. Let A E Rnxn. (11. following to = O. the following theorem is stated with initial time to = 0. the Theorem 11.5. E ]R. Theorem 11.etoAx(to) = lto t e. Let A E Wlxn.12) X(t) = etACetAT has the solution X(t} = etACetAT. X((t) is symmetric and (11.11. Theorem 11. The fact that X((t) satisfies the initial condition is trivial.1.nxn.8) over the interval [to. Then the matrix initialvalue E jRmxm.1.1. X(to) =C E jRnxn (11. Then the matrix initialvalue problem X(t) = AX(t) + X(t)AT.sA Bu(s) ds x(t) = e(ttolA xo + lto t e(ts)A Bu(s) ds. The first is an obvious generalization of Theorem 11.12) is known as a LyaX t) punov differential equation.11) is known as a Sylvester Sylvester differential equation. the Proof: Differentiate etACe tB property Proof: Differentiate etACetB with respect to t and use property 7 of the matrix exponential. and the proof is essentially the same.12).7. C e IR" ". problem problem X(t) = AX(t) + X(t)B.2.7. punov differential equation. etAx(t) . Corollary 11.11) X(t) = etACe = e ratB has the solution X ( t ) — atACe tB . . differential equation.
1 n Le A• X'YiH . In the last equality we have used the fact that YiHXj = flij. modal velocities and directions. Let A E jRnxn and suppose X e jR~xn is such that XI AX = J. Then Then i=1 n = L(aieAiUtO»Xi. The decomposition above expresses the solution x (t) as a weighted sum of its directions.e'J.1 . if A is diagonalizable in geneml. in the inhomogeneous case we can write Similarly. The decomposition above expresses the solution x(t) as a weighted sum of its modal velocities and directions.1.4) can be written A = L X. where J is a JCF for A. This modal decomposition can be expressed in a different looking but identical form This modal decomposition can be expressed in a different looking but identical form n if we write the initial condition Xo as a weighted sum of the right eigenvectors if we write the initial condition XQ as a weighted sum of the right eigenvectors Xo = L ai Xi. where J is a JCF for A. the rest of this subsection is easily generalized by using the JCF and the decomposition able. Then Then etA = etXJX1 = XetJX.H .4) can be written x(t) = e(tto)A Xo E jRnxn E Wxn = (ti. Linear Differential and Difference Equations Chapter 11. that it is diagonalizable (if A is not diagonalizable.y.6 Computation of the matrix exponential Computation exponential JCF method JCF method Let A e R"x" and suppose X E Rnxn is such that X"1 AX = J. for convenience.li y t as discussed in Chapter 9). Similarly. Then the solution x(t) of (11. in the inhomogeneous case we can write t e(ts)A Bu(s) ds i~ = t i=1 (it eAiUS)YiH Bu(s) dS) Xi. for convenience. i=1 In the last equality we have used the fact that yf*Xj = Sfj. Then the solution x(t) of (11.114 114 Chapter 11. Linear Differential and Difference Equations 11. ~ 11.1. that it is diagonalizable (if A is not diagonalizLet A and suppose.5 11. ~ 1=1 I t.x.iUtO)Xiyr) Xo 1=1 n = L(YiHxoeAi(ttO»Xi. are called the modal directions.5 Modal decompositions Let A and suppose. i=1 The ki s are called the modal velocities and the right eigenvectors Xi are called the modal The Ai s are called the modal velocities and the right eigenvectors *. the rest of this subsection is easily generalized by using the JCF and the decomposition H A — ^ Xf Ji YiH as discussed in Chapter 9).
1. let . . it is then easy to compute etA via the formula etA = XetJ XI' Xe tl X If is etA etA tj since et I is simply a diagonal matrix.. e lN finite. Nk~lI has a 1 in its (1. and so forth. ••• . its first superdiagonal (and O's elsewhere). O. degree k. ext}. + N k2! (k .. k) element and has O's everywhere else. o A o o A Clearly A/ and N commute. i. eAt teAt eAt o 2I e 12 At IkI At e (kI)! 0 ell. Finally. nilpotent Definition 11..EeCkxk be aaJordan block of the form Ji <Ckxk be Jordan block of the form A Ji = 1 o o o =U+N. k) O's k k N = 0. Thus. Thus.I e IN =I+tN+N 2 + . teAl eAt = 0 0 0 2I e 12 At teAl 0 eAt In the case when A is complex. AI e I. of In the more general case. aareal version of the above can be worked out. or grade) p if if matrix M e jRnxn is nilpotent of degree (or index.. Mp~l ^ O.1.7. real version of the above can be worked out. But e tN is almost as easy since N The diagonal part is easy: e e = diag(e '. or grade) MP = 0. and N kforth.8. N22 has l's along only its second superdiagonal. is complex. (1. e ttJi = eO. A matrix M E M nx " is nilpotent of degree (or index.I)! I o t 1 o Thus. t2 t k. Mp = 0.eAt). A. the problem clearly reduces simply to the computation of problem clearly reduces the exponential of a Jordan block. To be specific. elN is is nilpotent of degree k.!etN by property 4 of the matrix exponential.11. the series expansion of e'N is finite. l's For the matrix N defined above.0.. Differential Equations 115 If A is diagonalizable. it is easy to check that while N has 1's along only its first superdiagonal (and O's elsewhere).. e'u e l N tu x lH = diag(e At .e. N has 1's along only its second superdiagonal.. Differential Equations 11. while MPI t=.
1 in the power series for et A can be written in terms of these greater n— e' A lowerorder powers as well. i Em. ==> 2a2 = t 2 e. n . compute f(A) = e'A.9. g(I) = f(1) ==> ao .2t ][ 1 ] Interpolation method Interpolation method This method is numerically unstable in finiteprecision arithmetic but is quite effective for effective hand calculation in smallorder problems.. . and /(A) = etA. the unique OTQ. The polynomial g gives the appropriate linear combination. which says that all powers of A greater than A n . I.. in fact. 2} and Example 11. a.. The motivation for this method is the CayleyHamilton Theorem. Define the Ai nr=1 n where ao. . so m = 1 and n{ = 3. .116 Chapter 11. The motivation for this method is known.2a2 = te. the function g is known and /(A) = g(A). Let A = [~ o ~01~ ] t . .s are given by g(A) — ao aiS a\X o^A. so m = 1 and nl Let g(X) = UQ + alA + a2A2.10. compute f(A) = etA.) = (A + 1)3.3. . ni . t fixed Given A € E. ...I. Thus.1 can be expressed as linear combinations of Ak for k = 0.2.nxn and /(A) = etx. . . I. Here.. Given A E jRnxn and f(A) = etA.. all the Ak — expressed k 1. characteristic of n(X (^ ~~ ^i)"'» where the A.. Linear Differential and Difference Equations Example 11.. With the aiS then kth superscript (&) X. Then A(A) = {2. f(A) n(A) etK.1. the superscript (k) denotes the fcth derivative with respect to A. Suppose the characteristic polynomial of A can be written as n(A)) = Yi?=i (A . .9.t • g'(1) = f'(1) g"(I) = 1"(1) . (A. — 1. the function g is known and f(A) = g(A). Let A = [ ~_\ J]. ani solution of the n equations: g(k)(Ai) = f(k)(Ai). . Then the three equations for the a.10. Linear Differential and Difference Equations Chapter 11.a l +a2 = e==> at . functions. + I) 3 . where t is a fixed scalar. . lowerorder g Example 11.t .s are distinct.2t e. . Let Example 11. Then jr(A. terms of order greater than n . Let A Then A (A) = {2. k = 0. anl are n constants that are to be determined.. Theorem 9. The method is stated and illustrated for the hand calculation in smallorder problems.s known. They are. 2} and etA Xe tJ =[=i a = xI =[ =[ 2 1 ] exp t ] [ [ 2 0 ~ ] [ 1 1 2 1 2 ] 2 1 e~2t te.Ai t'. The method is stated and illustrated for the exponential function but applies equally well to other functions.
but general nonsymbolic computational effective smallorder techniques numerically problem equivalent techniques are numerically unstable since the problem is theoretically equivalent to knowing precisely a JCE JCF.2t aL = + 2te. 2t . g'(2) = f'(2) = te Solving for the a.11.s. Then the defining equations for the a. Let A = [ ~4 J] and /(A) = eO.2t I [4 4] I 0 _ [  e. we find 117 Thus.. f(A) = etA = g(A) = aoI + al A = (e. we find ao = e.11. Use etA = £~l{(sl .A)^ 1 } and techniques for inverse Laplace transforms. Let g(A.2t [ ~ o ] + te. Thus. s. There is an extensive literature on approximating certain nonlinear functions by rational functions.2t ) 2te. Use Pade approximation.1.2t _ Other methods Other methods 1. Then rr(A) = f\ + o\2 so m = and (A i 2) «i nL = 2. t ff>\ tk TU^^ _/"i\ Example 11. Then 7r(X) = (A+ 2)22 so m = 11and [::::~ 4i and f(A) = ea. Then the defining equations for the aiS are given by 6] g(2) = f(2) ==> ao ==> al 2al = e.2t te. Differential Equations Solving for the ai s. 2. 2.cI{(sI — A)I} is quite effective for smallorder problems.2t .s are given by Let g(A) ao + aLA. Differential Equations 11 . This etA = . we find Solving for the aiS.2t .1. 1. Let A _* Example 11.2t + 2te.11.) = «o + ofiA. te.2t . The matrix analogue yields e A ~ functions rational eA = . we find Solving for the a.
118 118 l Chapter 11. Proof: The proof is almost immediate upon substitution of (11. This can be arranged by scaling A. 0 D Remark 11. Reduce A to (real) Schur form S via the unitary similarity U and use e A 3. We could also consider an arbitrary "initial time" ko. modeled by systems of equations of the previous section. [19]. say.2 Inhomogeneous linear difference equations Inhomogeneous linear difference equations E jRnxn. Reliable and efficient computation 4.1 11. Numerical loss of accuracy can occur in this procedure from the successive squarings.. The solution of the linear homogeneous system ofdifference Let A e jRn xn. in the matrix case the exponential is accurate only in a neighborhood of the origin.14) into (11. convenience. This can be arranged by scaling A. We could also case. Unfortunately. Many methods are outlined in.13. 4. case.. a Fade approximation for polynomials of various orders.e. Reliable and efficient computation of matrix functions such as e A and log(A) remains a fertile area for research.• + Vq A q. and since we want to keep the formulas "clean" (i. Let A E Rnxn. in the matrix case this means when  A is sufficiently small. Linear Differential and Difference Equations Chapter 11.. for example. where D(A) 80I Si A H h SPA and N(A) v0I + vlA + q Explicit formulas are known for the coefficients of the numerator and Explicit formulas are known for the coefficients of the numerator and denominator polynomials of various orders.2 11. E jRnxm {udt~ is of Theorem 11. + opAP and N(A) = vol + vIA + D~ (A)N(A). but since the system is timeinvariant.13). we restrict our attention only to the socalled timeinvariant Remark 11.12. of matrix functions such as e A and 10g(A) remains a fertile area for research..2. = P = multiplying it by 1/2* for sufficiently large k and using the fact that e = ( e j .2. 11. and this observation is exploited frequently. Unfortunately. Then the solution of the inhomogeneous initialvalue problem mvectors. Again.14. and this observation is exploited frequently. Linear Differential and Difference Equations DI(A)N(A). we restrict our attention only to the socalled timeinvariant case.13).13.15) . a Pad6 approximation for denominator the exponential is accurate only in a neighborhood of the origin. Many methods are outlined in. B e Rnxm and suppose {«*}£§ « a given sequence of mvectors. eS . but since the system is timeinvariant.13) is constant and does not depend on k. The solution ofthe linear homogeneous system of difference equations equations (11. we have chosen ko = 0 for want to keep the formulas "clean" (i.. we have chosen ko = 0 for convenience. for example.. exhibit many parallels to the continuoustime differential equation difference equations.2.14) into (11. e (e( 3. say. where D(A) = 001 + olA + . no double subscripts). modeled by systems of difference equations.1 Homogeneous linear difference equations Homogeneous linear difference equations Theorem 11. where the matrix A in (11. exhibit many parallels to the continuoustime differential equation case. and since we consider an arbitrary "initial time" ko. [19]. by 22' 2* )A A multiplying it by 1/2k for sufficiently large k and using the fact that A = / { ]I //2')A )\ * . Then the solution of the inhomogeneous initialvalue problem (11. no double subscripts). •• vq A .e. Let A e Rnxn.2 Difference Equations Difference Equations In this section we outline solutions of discretetime analogues of the linear differential In this section we outline solutions of discretetime analogues of the linear differential equations of the previous section.13) for k > 0 is given by for k 2:: 0 is given by Proof: The proof is almost immediate upon substitution of (11. Linear discretetime systems. by this means when IIAII is sufficiently small. 11. Linear discretetime systems.13) is constant and does not depend on k. Numerical loss of accuracy can occur in this procedure from the successive squarings. 11. Reduce A to (real) Schur form S via the unitary similarity U and use eA = U e SsUH Ue U H and successive recursions up the superdiagonals of the (quasi) upper triangular matrix and successive recursions up the superdiagonals of the (quasi) upper triangular matrix e s. where the matrix A in (11. Again.
16) into (11. One solution method. 0 D 11.2. One definition of the ztransform of a sequence is +00 Z({gk}t~) = LgkZk.y. k:::.A)I.11. it is then easy to compute Ak via the formula Ak = XJkXXI Ak Ak — X Jk If diagonalizable. Difference Equations 11. where J is a E jRnxn and X E R^n J. k=O Assuming Izl > max A. based Methods based on the JCF are sometimes useful. One definition of the ztransform of a sequence {gk} is a matrix exponential.15). since /* is simply a diagonal matrix..2.1 _I tA~X. by analogy with the use of Laplace transforms to compute ztransforms.15). Then Ak = (XJXI)k = XJkX.16) into (11. X~1 AX JCF for A. +00 k=O z z = (lzIA)I = z(zI . in general. Then JCF for A.2..16) Proof: The proof is again almost immediate Proof: The proof is again almost immediate upon substitution of (11.. is to use ztransforms. a matrix exponential. which is numerically unstable but sometimes useful for hand calculation.=1 H l If A is diagonalizable.. substitution of (11. Assume that A e M" xn and let X e jR~xn be such that XI AX = /. sometimes useful Ak.3 Computation of matrix powers Computation of matrix powers It is clear that solution of linear systems of difference equations involves computation of It is clear that solution of linear systems of difference equations involves computation of k. j=O (11.O. the ztransform of the sequence {Ak is then given by Assuming z > max IAI. Jk . again mostly for smallorder probsmallorder lems. LXi Jtyi .3 11. Difference Equations 119 119 is given by kI xk=AkXO+LAkjIBUj. the ztransform of the sequence {Ak}} is then given by AEA(A) X€A(A) k "'kk 1 12 Z({A})=L.2.H m if A is diagonalizable.zA =I+A+"2 A + .
In the case when A. For an erudite discussion of the state of the art. Example 11. y(O) = CI. . for example. see [11.2k) k( _2)k1 ] k( 2l+ (2l.1 Ak The symbol (: ) has the usual definition of q!(kk~q)! and is to be interpreted as 0 if k < q. 0 A Writing /. [11.3 HigherOrder Equations HigherOrder Equations differential It is well known that a higherorder (scalar) linear differential equation can be converted to higherorder a firstorder linear system. but again no universally "best" method be derived for the computation of matrix powers. Ch. Linear Differential and Difference Equations In the general case.)A  ( k ) AkP+I pl 0 J/ = kA k. 1 1 1 2 1 ] Basic analogues of other methods such as those mentioned in Section 11.• = AI and noting that AI and the nilpotent matrix Writing Ji = XI + N and noting that XI and the nilpotent matrix N commute.6 can also methods 11. A is complex. Linear Differential and Difference Equations Chapter 11.2) . 11. inI)(O) = CnI' (1l. e Cpxp be a Jordan block of the form o .1. The symbol ( ) has the usual definition of . but again no universally "best" method exists.is complex. the problem again reduces to the computation of the power of a In the general case.1(2k . aareal version of the above can be worked out. Then Then 1 ] [(_2)k 1 0 k(2)kk(2) 1 ] [ _ [ (_2/.1 (2 . let 7.. it is commute.2 0 0 0 0 kA k . Consider.(^ .17) with ¢J(t) a given function and n initial conditions 4>(t} y(O) = Co... .6 be derived for the computation of matrix powers.120 Chapter 11. Let A = [_J Example 11. it is then straightforward to apply the binomial theorem to (AI + N)k and verify that straightforward N)k (XI verify Ak kA kI Ak k 2 (.1.3 11. Let A Ak = XJkX1 = [=i 4 a [2 1 J].. To be specific. 18]..15. the initialvalue problem initialvalue (11. the problem again reduces to the computation of the power of a To Ji E Cpxp Jordan block.l8) . real version of the above can be worked out. ) Ak. and is to be interpreted as 0 if k < q.1 Ak ( .15.
. Further. is often well worth avoiding.an_llnl)(t) Xnl (t) Xn(t) = y(n)(t) = aoy(t)  + ¢(t) = aOx\ (t) . . y(m) denotes the mth derivative of y with respect to t. at least for computational purposes. and.A) = A. . 2.. = O.anlXn(t) + ¢(t). be a projection. Cl... +h a\X+ ao. Further.. Then Xl (I) X2(t) = X2(t) = y(t). Note that det(X7 — A) = An + an\Xn 1l H alA + ao. However. xn(t) = Inl)(t). Suppose x. aly(t) . as mentioned before. a)xyT. is often well worth avoiding. condition.. However.a)= { a t nxn p if a if a 1= 0. = X3(t) = yet). 3. . Then components Xl (t) yet).19) possesses many nasty numerical properties for even moderately sized n matrix A in (11. C M _I] The initial conditions take the form X (0) = C = [co. at least for computational purposes.. . Show that e % / + 1. y € R" and let A = xyT. Show that e P ~ ! + 1. Let P € R 1. v (m) denotes the mth derivative of y with respect to t. . .. Let .. into a linear firstorder difference equation with (vector) initial with n initial conditions. = Xn(t) = y(nl)(t). ..718P. EXERCISES EXERCISES 1.Exercises 121 121 Here. c\. Let P E lR nxn be a projection. Show that e'A 1+ g ( t .19) The initial conditions take the form ^(0) = c [CQ. Show that etA 2. let a = XT y. Xn(t) y { n ~ l ) ( t ) . . Cn \ . into a linear firstorder difference equation with (vector) initial condition.I) g(t..718P. Define a vector x (?) e R" with components *i(0 = y ( t ) . the companion matrix A in (11. y E lRn and let A = xyT. the companion Note that det(A! . •. Define a vector x (t) E ]Rn with Here. a)xyT. where I + get. A similar procedure holds for the conversion of a higherorder difference equation A similar procedure holds for the conversion of a higherorder difference equation with n initial conditions. where !(eat ."+ an_1A n~ + ... (11. These equations can then be rewritten as the firstorder linear system These equations can then be rewritten as the firstorder linear system 0 0 x(t) = 0 0 1 0 0 0 ao a\ x(t)+ [ 0 1 a n\ n ~(t) r. Suppose x. let a = xTy. as mentioned before....19) possesses many nasty numerical properties for even moderately sized n and. x2(t) = y ( t ) . Let 3. X2(t) yet).a\X2(t) .
Let a.be an eigenvalue of S.A 1 .. Let denote the skewsymmetric matrix 4. Show that eH must be symplectic. must also be an eigenvalue of H. Hamiltonian if K~1ATK = A and to be symplectic if K I ATK = A I. also be an eigenvalue of H. Linear Differential and Difference where X e M'nx" is arbitrary. Show that E jRmxn e = [eoI A sinh 1 X ] ~I . 6. Let 5. H (d) Suppose H is Hamiltonian. (b) Suppose S is symplectic and let A. also eigenvalue of (c) Suppose that H is Hamiltonian and S is symplectic. ft € lR and Let a. Show that 1/). be an eigenvalue of S. Linear Differential and Difference Equations Chapter 11. Let K denote the skewsymmetric matrix 0 [ In In ] 0 ' In A E jR2nx2n where /„ denotes the n x n identity matrix. must (a) Suppose E is Hamiltonian and let A. must (b) Suppose S is symplectic and let). Show that SI HS must be Suppose and symplectic.. Show that ). Find eM when A = Find etA = 8. x(O) =[ ~ J. (d) Suppose 5.A and to be symplectic K~l AT K . 4. Hamiltonian. Show that —A. . (a) Suppose H is Hamiltonian and let). be an eigenvalue of H. A matrix A e R 2nx2n is said to be K I AT K = . Show S~1 H S Hamiltonian. Show that 1 /A. must also be an eigenValue of S. Find a general expression for Find a general expression for 7.be an eigenvalue of H. Let (a) Solve the differential equation (a) Solve the differential equation i = Ax .. f3 E R and Then show that Then show that ectt _eut cos f3t sin f3t ectctrt e sin ~t cos/A J..122 122 Chapter 11.
and the Americas (R). (b) Find the eigenvalues and right eigenvectors of M. Suppose that A E ~nxn is skewsymmetric and let ex = Ilxol12.e. 10. as k —»• +00 (i.3.) (Exercise adapted from Problem 5. what is the value of ZIOOO? What is the value of Zk in 2. Suppose certain multinational companies have Europe (E). Show that for t > 0. i. around the time the Cubs win a World Series). (d) Find the limiting distribution of the $40 trillion as the universe ends.. yeO) = 1. Show that the eigenvalues of the solution X t ) of this problem are the same as those Show that the eigenvalues of the solution X ((t) of this problem are the same as those of C for all?. (b) Consider the difference equation (b) Consider the difference equation Zk+2 + 2Zk+1 + Zk = O. a quarter goes to Europe. what is the value of ZIQOO? What is the value of Zk in general? general? . Suppose that e E"x" is skewsymmetric and let a = \\XQ\\2. k * +00 (i. Suppose certain multinational companies have total assets of $40 trillion of which $20 trillion is in E and $20 trillion is in R. The year is 2004 and there are three large "free trade zones" in the world: Asia (A). 11. and a quarter goes to Asia.YeO) = O.11 in [24]. The year is 2004 and there are three large "free trade zones" in the world: Asia (A).) 12.. x(O) =[ ~ l 9. Each year half of the Americas' money stays home.11 in [24]. (a) Find the solution of the initialvalue problem (a) Find the solution of the initialvalue problem .3. If £0 = 1 and z\ If Zo = 1 and ZI = 2.. half stays home and half goes to the Americas. as (d) Find the limiting distribution of the $40 trillion as the universe ends. For Europe and Asia. a quarter goes to Europe. Consider the initialvalue problem i(t) = Ax(t). For Europe and Asia. of Cf or all t. (c) Find the distribution of the companies' assets at year k. (c) Find the distribution of the companies' assets at year k. Europe (E).e. Each total assets of $40 trillion of which $20 trillion is in E and $20 trillion is in R. Consider the initialvalue problem 9.e. .Exercises Exercises (b) Solve the differential equation (b) Solve the differential equation i 123 = Ax + b. Consider the n x n matrix initialvalue problem X(t) = AX(t) . 12. goes to Asia. (Exercise adapted from Problem 5. 11..e. X(O) = c. Show that *(OII2 = aforallf > O. i.Yet) + 2y(t) + yet) = 0. half stays home and half goes to the Americas. (a) Find the matrix M that gives (a) Find the matrix M that gives [ A] E R =M year k+1 [A] E R year k (b) Find the eigenvalues and right eigenvectors of M. Consider the n x n matrix initialvalue problem 10.X(t)A. I/X(t)1/2 = ex for all t > 0. around the time the Cubs win a World Series). and a quarter year half of the Americas' money stays home. x(O) = Xo for t ~ O. and the Americas (R).
This page intentionally left blank This page intentionally left blank .
eigenvalues for the generalized eigenvalue problem occur pencil — XB problem occur where the matrix pencil A . Similarly.1. B) with A. B). eigenvector.2) When the context is such that no confusion can arise. hence nonreal eigenvalues must occur in complex conjugate pairs. Remark 12. B). a nonzero vector y e C" is a left generalized eigenvector corresponding to an E en generalized eigenvector eigenvalue 'X if eigenvalue A if (12. As with the standard eigenvalue problem. Definition 12. corresponds to the special case that B = I. The standard eigenvalue problem considered in Chapter 9 obviously where A. the adjective "generalized" "generalized" standard eigenvalue [y] is usually dropped. B e C" xn The standard eigenvalue problem considered in Chapter 9 obviously corresponds to the special case that B = I. B E C MX if there exists a scalar A E C. In this chapter we consider the generalized eigenvalue problem In we the generalized eigenvalue problem where A. (A. e C. called a generalized eigenvalue. generalized eigenvalue problem.'AB) is called the characteristic polyDefinition 12. the characteristic polynomial is obviously real. 125 125 . characteristic hence nonreal eigenvalues must occur in complex conjugate pairs. called a generalized eigenvalue. if x [y] is a right [left] ax [ay] for any eigenvector. Definition 12. B).4. The roots ofn('A) are the eigenvalues of the associated nomial of the matrix pair (A.5) is called the characteristic polynomial of the matrix pair (A. The matrix A — 'AB is called a matrix pencil (or pencil of the matrices A Definition 12. a. B e jRnxn.2. The polynomial 7r(A.1) Ax = 'ABx.2. .1 The Generalized Eigenvalue/Eigenvector Problem The Generalized Eigenvalue/Eigenvector Problem Ax = 'ABx. A nonzero vector x e C" is a right generalized eigenvector of the pair generalized eigenvector of (A. When A.) are the eigenvalues of the associated generalized eigenvalue problem. B e enxn" if there exists a scalar 'A.) = det(A . e e.'AB is singular.4.3. B E enxn.3. then so is ax [ay] for any nonzero scalar a E <C. B E E" xn . The polynomial n('A) = det(A — A.XB is called a matrix pencil (or pencil of the matrices A and B).Chapter 12 Chapter 12 Generalized Eigenvalue Generalized Eigenvalue Problems 12. A E en Definition 12. The matrix A .1. such that that (12. The roots ofn(X.1 12. and Remark 12. As with the standard eigenvalue problem. and A. B) with A. Definition 12.
and hence there are n eigenvalues associated with the pencil A . Case 1: a ^ 0. with its reciprocal eigenvalue being 0 in Case 3 of the reciprocal pencil B — /.O. =I. There are two eigenvalues. I and ^. There are two eigenvalues. {3 ^ 0. There are two eigenvalues. Case 1: a =I.L)({3 . only the case of regular pencils is considered in the remainder of this chapter. {3 = 0. If del (A . the pencil A . While While there are applications in system theory and control where singular pencils appear. only the case of regular pencils is considered in the remainder of this chapter. However.L = (JL = £. For example. f3 / 0.0. reciprocal Case of reciprocal . All A 6 C are eigenvalues since det(B — uA) = O. and ~.XB. That is to say. ^ 0.3) where a and (3 are scalars.LA) == 0. eigenvalues associated with the pencil A .X B is a reciprocal pencil B — n. There are two eigenvalues.AB.0.6.a/. However.LA) = (1 . 1 and ~. is singular. f3 = 0.LA. It is instructive to consider the reciprocal pencil associated with the example in It reciprocal Remark 12. the pencil A — XB is said to be 12./. 1 and 0.O. zero.5. there is a second eigenvalue "at infinity" for Case 3 of of . k E !!. (12. (3 = O. If B = I (or in general when B is nonsingular). Case 2: = 0. the characteristic polynomial is = (I . Case 2: a = 0. There are two eigenvalues.AB Definition 12. when B =I. Generalized Eigenvalue Problems Remark 12.5. If = of degree n. All A e C are eigenvalues since det(A — AB) =0.A and corAssociated with any matrix pencil — AB is a reciprocal pencil . 1 (of multiplicity 1). there may be 0. when B is singular. (3 = O. 1 and O.B) == O.XB. There is only one eigenvalue.I. Case 1: ^ 0.AB) and there are several cases to consider.0.AHa . A similar reciprocal symmetry holds for Case 2. Case Case 3: a = 0. or infinitely many B = I.126 126 Chapter 12.6.LA and corresponding generalized eigenvalue problem. I (of multiplicity 1).B. I multiplicity 1). suppose associated — AB.(3A) ±. With A and B as in (12. There are two eigenvalues. 1 and 0. then rr(A) is a polynomial nonsingular).nA.L) and there are again four cases to consider. ft =I.3). {3 =I.0. {3 =I. Case = ft ^ 0. pencil . n(X) Remark 12. Note that if AA(A) n J\f(B) ^ 0.A.{3 = 0./. the associated matrix pencil is singular (as in Case N(A) n N(B) =Isingular 4 above). At least for the case of regular pencils. regular. Case 2: a = 0. f3 = O. otherwise. A — A. If B is singular. A similar reciprocal symmetry holds for Case 2.5. Case 4: a = 0.XB) is not identically zero. I). All A E C are eigenvalues since det(A . Case 3: Case 4: = 0. Note that A and/or B may still be singular.KB always has pencil — AB . 1 Case 3: a =I. I and O./. Case 4: a = 0. Note appear. There are two eigenvalues. it is said to be singular. ft ^ O. {3 =I. Case 1: a =I. There is only one eigenvalue. eigenvalues — AB. If det(A — AB) not regular. it is apparent where the "missing" eigenvalues have "missing" gone in Cases 2 and 3. There are two eigenvalues. I1 and . Generalized Eigenvalue Problems Chapter 12. Clearly the reciprocal pencil has eigenvalues responding generalized /.O. Then the characteristic polynomial is ft det(A . (3 = 0. Associated with any matrix pencil A ./. in particular. All A E C are eigenvalues since det(B . det(B . Case 4: a = 0. f3 = O. B k e n.
2.l W AW). the pencil A fewer than eigenvalues. Theorem 12. and det Z are nonzero. solving the generalized eigenvalue problem.2. 0 ( Q ~ H y)H Q(A X AB)Z = O.Oif andonly if Q(AXB)Z(Z~lx) = 0. Then 1. the eigenvalues ofthe pencil A — XB are then the ratios of the diagonal elements of Ta to the corresponding diagonal elements of TfJ . Sec.7] or [25. QBZ = TfJ . ifx isa right eigenvector of A—XB. see. 6. Again. Sec.7] [25.2. to ifx is a Zl x is a righteigenvectorofQAZAQB Z.7. 7. Sec. that a zero diagonal element of TfJ corresponds to an infinite generalized eigenvalue. Let A. Sec. Proof: Proof: 1. Sec.. see. Z e Cnxn such that 12. 12. B E Cnxn Then there exist unitary matrices Q. and the first theorem deals with what happens to eigenvalues lencies rather than similarities. By Theorem 12. 3. where Ta and Tp are upper triangular.AQBZ are the same (the two problems problems are said to be equivalent). and the first theorem deals with what happens to eigenvalues and eigenvectors under equivalence. for example. this turns to the standard eigenvalue problem B~1Ax = Xx (or AB~1w = Xw).7] or [25.7.7]. since the generalized eigenvalue problem is then easily seen to be equivalent to the standard eigenvalue problem B. where Ta and TfJ are upper triangular. There is also an analogue of the MurnaghanWintner Theorem for real matrices. Then there exist unitary matrices Q.12. fl.7. Numerical methods that work directly on A and are discussed in standard textbooks on numerical linear algebra. this turns out to be a very poor numerical procedure for handling the generalized eigenvalue problem out to be a very poor numerical procedure for handling the generalized eigenvalue problem if is even moderately ill conditioned with respect to inversion. f i always has precisely eigenvalues.7].XB)Z] = detQ det Z det(A . ify is a left of AB.AB) o if and only if (QH y ) H Q ( A –_ B ) Z = Q. Q~H y isa lefteigenvectorofQAZ — XQBZ. There is also an analogue of the MurnaghanWintner Theorem for real matrices.AB and QAZ . for example. [7.AB)Z] = det gdet Zdet(A 1. D The first canonical form is an analogue of Schur's Theorem and forms. which is the generally preferred method for theoretical foundation for the QZ algorithm. the theoretical foundation for the QZ algorithm. However.2 12. det(QAZXQBZ) = det[0(A . work directly on A and B are discussed in standard textbooks on numerical linear algebra. the The first canonical form is an analogue of Schur's Theorem and forms.AQBZ) = det[Q(A .8. E c nxn such that QAZ = Ta . see.l Ax Ax (or AB. B. and eigenvectors under equivalence. with the understanding that a zero diagonal element of Tp corresponds to an infinite generalized eigenvalue. we now deal with equivaa matrices. [7. The result follows by noting that (A AB)x = 0 if and only if Q(A AB)Z(Zl x) = The result follows by noting that (A –yB)x .7. ify isa left eigenvector of A —KB. 6. Let A.AB). the result follows.2 Canonical Forms Canonical Forms Just as for the standard eigenvalue problem. the result follows. 7. the result follows easily by noting that yH(A — XB) — 0 if and only if yH (A . for example. then Z~lx isa right eigenvector of QAZ—XQ B Z. Canonical Forms 127 B is nonsingular. with the understanding onal elements of Ta to the corresponding diagonal elements of Tp. Numerical methods that if B is even moderately ill conditioned with respect to inversion. Then 12. see. If B is nonsingular. canonical forms are available for the generalized eigenvalue problem. 7. However. o. lencies rather than similarities. 6. in fact. Canonical Forms 12. Theorem 12. Q. . since the generalized eigenvalue problem is then easily seen to be equivalent eigenvalues.7]. Since det 0 and det Z are nonzero. Q. the eigenvalues of the pencil A . which is the generally preferred method for solving the generalized eigenvalue problem. Since the latter involves a pair of matrices. [7. Since det Q XB). the eigenvalues of the problems A — XB and QAZ — XQBZ are the same (the two 1. Let A. Let A. then QHy isa left eigenvector ofQAZ AQBZ. Z e Cnxn with Q and Z nonsingular.8.7]. fewer than n eigenvalues. B e cnxn . 7. Sec. E nxn with Q and nonsingular. the eigenvalues of the problems A . 6. [7. Sec. canonical forms are available for the generalized Just as for the standard eigenvalue problem. det(QAZ . c 3. the pencil A AAB always has precisely n . for example. in fact.7] or [25. of AAB.AB are then the ratios of the diagBy Theorem 12. 2.
AB.. E jRnxn 12. including analogues of principal vectors and description of of so forth. Let A. The first theorem pertains only to "square" regular pencils. I . Then there x exist nonsingular matrices P.. where T is upper triangular and S is quasiuppertriangular.12 mxm nxn mxm nxn E C nonsingular nonsingular matrices P e c and Q e c QE C such that peA . real eigenvalues. form (KCF).AB)Q = [~ ~ ] . . QBZ = T. we present only statements of the basic theorems and some examples. .12 (Kronecker Canonical Form).128 Chapter 12. Q € c nxn"such that nonsingular E C" such that peA .AB)Q = diag(LII' . Example 12. Then there exist orthogonal matrices Q.A [~ ~ l of .11.AB where J is a Jordan canonical form corresponding to the finite eigenvalues of A A.XB is regular. B e c mxn .• L. Otherwise.. B E c nxn pencil — AB Theorem 12. T. B e Cnxn and suppose the pencil A . thnt that QAZ = S. of — XB.A. A full description of the KeF. Let A. There is also an analogue of the Jordan canonical form called the Kronecker canonical fonn Kronecker form (KeF). mxn E C • Theorem 12.9.. KCF.I.11. Z e R"xn such B E jRnxn.fi and canonical form nilpotent matrix of associated and N is a nilpotent matrix of Jordan blocks associated with 0 and corresponding to the infinite infinite eigenvalues of A .2)2 with characteristic polynomial (A — 2)2 has a finite eigenvalue 2 of multiplicty 2 and three 2 2 infinite eigenvalues. Generalized Eigenvalue Problems Theorem 12. while the full KeF in all its generality applies also to "rectangular" and singular KCF "rectangular" pencils. the 2 x 2 subpencil formed with the corresponding fonned 2 x diagonal subblock 2x2 2 diagonal subblock of T has a pair of complex conjugate eigenvalues. When S has a 2 x 2 diagonal block. J . . Generalized Eigenvalue Problems Chapter 12. The matrix pencil 12. B e Rnxn.10. Then there exist 12. of eigenvalues are given as above by the ratios of diagonal elements of S to corresponding elements of T. L l" L~.9.'. is beyond the scope of this book. In this chapter. Let A.)"N). [2o I o o o 0 0 0 0 0 2 0 0 1 0 0 1 0 0 ~ ]> [~ 0 I 0 0 0 0 0 0 0 0 o o 0 I 0] 0 0 0 0 (X . quasiuppertriangular.
both N and J are in Jordan canonical form. Let A. where each LQ has "zero columns" and one row. Example 12. LQ . Canonical Forms 12. and Lk is the (k + 1) x k bidiagonal pencil bidiagonal pencil A 0 0 A Lk = 0 0 0 0 A I The Ii are called the left minimal indices while the ri are called the right minimal indices.. Lo. i. i. are called the right minimal indices. Then is deflating subspace for the pencil A AB if and only if there exists M E Rkxk such that e ~kxk AS = BSM. Such a matrix is in KCF. The /( are called the left minimal indices while the r. 0. Lo L6 one column. Definition 12. n(S)) = S. suppose S e Rn* xk is a matrix whose columns span a kdimensional E ~nxk ^dimensional subspace S of ~n. Canonical Forms 129 where N is nilpotent. B e Wlxn and suppose the pencil A . there is an analogous geometric concept for the eigenproblem generalized eigenproblem.12.The next two blocks second block L\ one the block is L\. L6.35). The first block of zeros actually corresponds to LQ. Left Left or right minimal indices can take the value O.13. Lo.— XBif S Rn. Then SS is aadeflating subspace for the pencil A . and L^ is the (k + I) x k where N is nilpotent. next two correspond to correspond J = 21 0 2 [ o 0 while the nilpotent matrix N in this example is N [ ~6~]. there is a matrix characterization of deflating subspace.2. The second block is L\ while the third block is LI. Lo. while each LQ has "zero rows" and L6. (12. both Nand J are in Jordan canonical form.XB is regular.. 000 Just as sets of eigenvectors span Ainvariant subspaces in the case of the standard eigenvectors eigenproblem (recall Definition 9. corresponds LQ. R ( S <S.5) .e. LQ.e. generalized eigenproblem. LQ. Then V is a E ~nxn suppose pencil — AB deflating subspace if deflating subspace if dim(AV + BV) = dimV.4) eigenvalue characterization Just as in the standard eigenvalue case.2.14. (12. Specifically. Consider a 13 x 12 block diagonal matrix whose diagonal blocks are A 0] I o A I .
then (12. trivial. Ac M D "'" 5A + 14. (n + m) x (n + m) pencil. we offer some insight below into the special case of a singleinput. This is accomplished by computing a certain unitary equivalence on the system pencil that then yields a plished by computing a certain unitary equivalence on the system pencil that then yields a smaller generalized eigenvalue problem with only finite generalized eigenvalues (the finite smaller generalized eigenvalue problem with only finite generalized eigenvalues (the finite zeros). In the special case p = m. [26].8. For details.6». [26].6). however. In the special case p = m. Checking the finite eigenvalues of the pencil (12. The method of finding system zeros via a generalized eigenvalue problem also works The method of finding system zeros via a generalized eigenvalue problem also works well for general multiinput. one must be well for general mUltiinput. however.4) becomes dim (A V + V) = dim V. In general.8. lEthe pencil is not regular.5) becomes AS = SM as before. However. D=O. (12. B] . these values are the generalized eigenvalues of the drops rank. This linear with A € M n x n . Example 12. we find the characteristic polynomial to be find the characteristic polynomial to be det [ which has a root at 2. one must be careful first to "deflate out" the infinite zeros (infinite eigenvalues of (12. This is accomcareful first to "deflate out" the infinite zeros (infinite eigenvalues of (12. then (12. which is clearly equivalent to If B = I. multioutput systems. is a concept analogous to deflating subspace called a reducing subspace. E jRnxm.3 Application to the Computation of System Zeros Application to the Computation of System Zeros i y Consider the linear system Consider the linear svstem = Ax + Bu. Numerically. zeros). which has a root at —2. and y is the vector of outputs or observables. the (finite) zeros of this system are given by the (finite) complex numbers where the "system pencil" z. = Cx + Du E jRnxn. which is clearly equivalent to AV c V. Let A=[ 4 2 C = [I 2].6)). see. there is a concept analogous to deflating subspace called a reducing subspace. and y is the vector of outputs or observables. multioutput systems. for example. we which clearly has a zero at 2. u is the vector of inputs or controls.6) drops rank. u is the vector of inputs or controls. This linear timeinvariant statespace model is often used in multivariable control theory. the (finite) zeros of this system are given by the (finite) complex numbers In general.3 12. vector.8. where x(= x(t)) is called the state space model is often used in multivariable control theory. and E jRPxm. Numerically.6).130 Chapter 12. 12. E jRPxn. there AV ~ V. and D € Rpxm. C e Rpxn.15. Then the transfer matrix (see [26]) of this system is Then the transfer matrix (see [26)) of this system is g(5)=C(sIA)'B+D= 5 55 2 + 14 ' + 3s + 2 which clearly has a zero at —2. Checking the finite eigenvalues of the pencil (12. For details.8.4) becomes dim(AV + V) = dimV. Similarly. The connection between system zeros and the corresponding system pencil is nonThe connection between system zeros and the corresponding system pencil is nontrivial. However. Similarly. we offer some insight below into the special case of a singleinput. where the "system pencil" (12. Generalized Eigenvalue Problems If B = /.15. (12. for example. where x(= x(t)) is called the state vector. B € R" xm . If the pencil is not regular. these values are the generalized eigenvalues of the (n + m) x (n m) pencil.5) becomes AS = SM as before. see. Let Example 12.
10) for A. Hence g(z) 0.10) is equivalent B.zI cT b ] d is singular. B E Rnxn arises when A = A and B = BT > O. However. z is a zero of g. no pole/zero cancellations). .9». Now y ^ 0 (else x z i. and D e R r T(s7 . "pole/zero cancellations"). 0 from (12.e. or g(z)y 0 by the definition of g.9)). B~11A is not necessarily B~ Ax = AX.10) is equivalent Since B is positive definite it is nonsingular. C = c T E R l x n . Symmetric Generalized Eigenvalue Problems 12. and v(s) and n(s) are relatively prime TT(S) v(s) TT(S) (i.7) we get get x = (A . M K where M is a symmetric positive definite "mass matrix" and K is a symmetric "stiffness definite "stiffness matrix. relatively where n(s) is the characteristic polynomial of A.A)~ ! Z? + d denote the system transfer function (matrix). let g(.4.4.n. b e ffi.zl)x + by = 0.nxn A AT and B the B1 0. 12..e. the secondorder A.7) (12. Thus.4 12.. system of differential equations differential Mx+Kx=O.9) Substituting this in (12. Hence g(z) = 0.zl)lby + dy = 0.4 Symmetric Generalized Eigenvalue Problems Symmetric Generalized Eigenvalue Problems Ax = ABx A very important special case of the generalized eigenvalue problem (12. we have Substituting this in (12. then from (12. e ffi.8) c T x +dy = O. of the Since B is positive definite it is nonsingular.s) = c (s I — A) 1 b + d c function and assume that g(s) can be written in the form and assume that g ( s ) can be written in the form v(s) g(s) = n(s)' polynomial A.e. the problem (12.A to the standard eigenvalue problem Bl1Ax = AJC. For example.8).zl)lby. we have _c T (A ..8). A pole/zero Assuming z is not an eigenvalue of A (i. Specifically. Suppose z € is such that Suppose Z E C is such that [ A . the problem (12." is a frequently employed model of structures or vibrating systems and yields a frequently generalized eigenvalue problem ofthe form (12. B e ffi. g(s) Furthermore. Now _y 1= 0 (else x = 0 from (12. symmetric.10). Then there exists a nonzero solution to or or (A . (12. or g ( z ) y = 0 by the definition of g.l xn. g. there are no "pole/zero cancellations").12. Symmetric Generalized Eigenvalue Problems 131 131 1 singleoutput system. Thus. and D = d E R. (12. let B = b E Rn.
if A = AT> 0.16 is Example 12. Theorem 12. = L ~Tzi. we have restricted our attention to that case only. the eigenvalues of B l A are always real (and are approximately 2.12) has n real eigenvalues. are eigenvectors of the original generalized eigenvalue problem Xi Zi. (12. it has a Cholesky factorization B = LL T. and the n corresponding right eigenvectors can be chosen to be orthogonal with respect to the inner product (x. . zi Then x.23). where L is nonsingular (Theorem 10.17. zn satisfying vectors Z I.fi Then it is easily checked that Then it is easily checked thai c = L~lAL~T = [ 0. Let A. with corresponding eigenvectors zi.5 ' 3. .16.1926 in Example 12. Then the generalized A. Let A = [~ .1926 as expected. the eigenvalue problem eigenvalue problem Ax = ABx has n real eigenvalues. Let A Example 12. if A > 0.16 is D 0 L=[~ . then C = C T > 0. generalized case A and B are Hermitian.11) can then be rewritten as AL J and Z = LT x. be generalized easily to the case where A material of can. E !!.18.. Proof: Since B > 0. The Cholesky factor for the matrix B in Example 12.. l = [i ~ J B ThenB~ A Then A B~Il = [~ ~ J B~I A approximately Nevertheless.12) Since C = C T the eigenproblem (12. we have restricted our attention to that case only. then product y) x T By.fi 1] .18. then = C T > 0.5 2. •. if orthogonal > 0... it has a Cholesky factorization B = LLT. of course. Finally.. but since realvalued matrices are commonly used in most applications. Generalized Eigenvalue Problems Example 12. B e jRnxn A AT and B BT > O.1926 and —3. The Cholesky factor for the matrix B in Example 12. Xj)B T T = xr BXj = (zi L ~l)(LLT)(L ~T Zj) = Dij. with corresponding eigenSince C = C T. Moreover.1926 whose eigenvalues are approximately 2. Zn Zj = Dij.1926 and 3. y)BB = XT By. where L is nonsingular Proof: Since B > 0..23). Moreover.11) can then be rewritten as = Cz = AZ. Example 12. and are Hermitian. so the eigenvalues are positive. but since realvalued matrices are commonly used in most applications.5 2.16). are eigenvectors of the original generalized eigenvalue problem and satisfy and satisfy (Xi.12) has n real eigenvalues. Then the eigenvalue problem Ax = ABx = ALL Tx (12. The material of this section can... . Finally. the eigenvalues are also all positive. so the eigenvalues are positive. B E Rnxn with A = AT and B = BT > 0... Then the eigenvalue problem (Theorem 10.. the eigenproblem (12.5 ] 1.16. (12.11) can be rewritten as the equivalent problem 1 Letting C = L ~I AL ~T and z = L1 x. ii € n. if A = A > 0.132 132 Chapter 12. positive. Generalized Eigenvalue Problems Chapter 12. (12.
with the complex case following in a straightforward way.19 is numerically problematic. Then A 2: B if and only if B~ 2: AI. Proof: Let B = LLT be the Cholesky factorization of B and set C = L~1AL T. Then B. Thus. B e M" xn be positive definite. i. i. A I < B~ . = pT L I(LLT)L T P = pT P = [. e.31.21 we have that QT AQ > QT BQ. there exists an orthogonal matrix P such that P CP = D. the diagonal elements of D are the eigenvalues of B. Also.5 Simultaneous Diagonalization Simultaneous Diagonalization Recall that many matrices can be diagonalized by a similarity.21 we have that QT AQ 2: QT BQ. Theorem 12.19. B E E"x" with 12." The following is typical. straightforward way. normal maRecall that many matrices can be diagonalized by a similarity. so it does not preserve eigenvalues of and B Note that Q is not in general orthogonal. Infact. there exists Q e E"x" such that QT AQ = D and QT BQ = I. let such cases. A~l :::: Bl1. Simultaneous Diagonalization 12. It turns out that in some cases a pair of trices can be diagonalized by a unitary similarity. since QDQ~l have A(D) = A(B~1A).19 is very useful for reducing many statements about pairs of symmetric Theorem 12.12. we Note that Q is not in general orthogonal. Since Proof: Let T C is symmetric. There are many such results and we present only a representative (but important and useful) theorem here. where D is diagonal. since A > B. let . D since the two matrices are diagonal). It turns out that in some cases a pair of matrices (A. where D is diagonal. matrices to "the diagonal case.20. Then A > B if and only if Bl1 > Theorem 12. since A 2: B.e. Then and and QT BQ Finally. This can be seen directly. But then D. we restrict our attention only to the real case. Then diagonal. In such cases. B) can be simultaneously diagonalized by the same matrix. by Theorem where D is diagonal.5. the diagonal elements of D are the eigenvalues of B 1A..1 12. D > I.1A). Let A.e.'AB.5 12.g. Then there exists a nonsingular matrix Q such that A = AT and B = BT > 0.1AQ.e. Now D > 0 by Theorem 10. i. Since LLT be the Cholesky factorization of and setC L I AL~T. To illustrate.lI QT :::: Q QT. we restrict our attention only to the real case.1A = Q1l B~1QT QT AQ = Q11B. Q D. Proof: By Theorem 12. there exists an orthogonal matrix P such that pTe p = D. = QQT AQQ~l = LTPPTL~IA = L~TL~1A L T P pT L 1 A L T L I A QQT AQQI 0 D = B1A. individually.1A. In particular. haveA(D) = A(B.5.< / (this is trivially true 0 since the two matrices are diagonal).l Q~T QT Q~ B~ AQ. Let A = QT AQandB = QT BQ. Let Q = L~T P. B) can be simultaneously diagonalized by the same matrix.. In numerically problematic. This can be seen directly. simultaneous reduction can also be accomplished via an SVD. where D is C is symmetric. A1. Then there exists a nonsingular matrix Q such that where D is diagonal..20. But then D"1I :::: [(this is trivially true 10. i. there exists Q E lR~xn such that QT AQ = D and QT BQ = [.. In particular. it does preserve the eigenvalues of A . Let A. \ 2. QD~ QT < QQT.19 is very useful for reducing many statements about pairs of symmetric matrices to "the diagonal case. LetA QT AQ and B QT Then/HA Q~ B. Also. Theorem 12. To illustrate.19. so it does not preserve eigenvalues of A and B individually. Now D > 0 by Theorem 10. e. it does preserve the eigenvalues of A — XB. There are many matrices (A. with the complex case following in a Again. In fact.1 Simultaneous diagonalization via SVD Simultaneous diagonalization via SVD There are situations in which forming C L I AL T as in the proof of Theorem 12.19 is There are situations in which forming C = L~1AL~T as in the proof of Theorem 12.31.e.T P. Let A. such results and we present only a representative (but important and useful) theorem here. Simultaneous Diagonalization 133 12.. where D is diagonal. normal matrices can be diagonalized by a unitary similarity. Again. simultaneous reduction can also be accomplished via an SVD." The following is typical. we B~ 1 A. Thus. B E lRnxn be positive definite. Proof: By Theorem 12.g. when L is highly ill conditioned with respect to inversion.19 (Simultaneous Reduction to Diagonal Form).5. by Theorem 10. Theorem 12. D 2: [. However. Let Q = L . when L is highly iII conditioned with respect to inversion.19 e ][~nxn A AT and B BT > O. since QDQI Finally.. However.5.
To check this. but in writing = PDDp D diagonal.22.. Then the matrix Q == LLBTu performs the simultaneous diagonal. let A = LALTA and B — LBL~ us assume that both A and B are positive definite. for LB i. Generalized Eigenvalue Problems Chapter 12. Various generalizations of the results in Remark 12.e. A can be written as A = PDP T.21. PDPT ~ ~ ~ ~ T PD(PD{ with where Disdiagonaland P is orthogonal..13» via arithmetic operations performed only on LA LA (12. 8. without forming the products LALTA or LBLTB explicitly. example. eigenproblem MT M x Xx.13) can be computed without explicitly forming the without Remark product indicated matrix product or the inverse by using the socalled generalized singular value decomposition (GSVD).15) is called a generalized singular value problem and algorithms exist to problem generalized solve it (and hence equivalently (12. Further. (12. Compute the SVD Cholesky factorizations A B. For example.14) can be rewritten in the form LALAx = XLBz = Letting x = LBT Z we see 02. Remark 12..15) The problem (12. D may have pure imaginary elements. note that T QT AQ = U Li/(LAL~)Li/U = UTULVTVLTUTU i/ = while L2 QT BQ = U T LB1(LBL~)Li/U = UTU = I. The SVD in (12. Remark 12.134 134 Chapter 12. i. at least in real arithmetic. This is analogous to finding the singular values of a matrix M by Sec. respectively.14) rewritten the LAL~x = ALBz = A L g L ^ L g 7 z . which is thus to the generalized eigenvalue problem 02. operations performed directly on M rather than by forming the matrix MT M and solving performed MT forming the eigenproblem MT MX = AX. Sec. Then the matrix Q U performs the simultaneous L e 1R~ xn diagonalization. for generalizations results 12.butin writing A — PDDP T = PD(PD) with D is diagonal and P orthogonal.e. A straightforward. D b .21 are possible. Further. let A = LAL~ and B = LsLTB be Cholesky factorizations of A and B.3].14) Letting x = LB z we see that (12. Generalized Eigenvalue Problems us assume that both A and B are positive definite.21 example. The case when A is symmetric but indefinite is not so A = AT::: O. products LA L ~ LBL~ see. which is thus equivalent to the generalized eigenvalue problem ALBL~LBT z. Note that LB A and thus the singular values of L B 1 LA can be found from the eigenvalue problem 02. when A = AT > 0.7. [7.13) where E E R£ x " isisdiagonal. see.13)) and LB separately. respectively.
by analogy with the firstorder case.16) can be written as a firstorder system (with block Let XI q and X2 Then (12.12.6. Since the determinantal equation o = det(A 2 M + AC + K) = A2n + . . . that we try to find a solution of (12.6. Since the determinantal equation is singular.6 HigherOrder Eigenvalue Problems HigherOrder Eigenvalue Problems Mq+Cq+Kq=O. and = = KT.C + K is singular. where q(t} e W1 and M. where the nvector p and scalar A. .16) can be written as a firstorder system (with block companion matrix) X . we thus seek values of A.. Then (12.2M + A.. HigherOrder Eigenvalue Problems 12.. since eAt :F 0. seek A A2 M + AC + To get a nonzero solution /?. 12. Suppose K has eigenvalues eigenvalues IL I ::: . = [ M1K 0 x (t) E ~2n. ::: ILr ::: 0 > ILr+ I ::: . Substituting in q(t) = eAt p.1 12. or if it is desired to avoid the calculation of M lI because M is too ill conditioned with respect to inversion. Assume for simplicity that M is nonsingular. ± Wk.. yields a polynomial of degree 2rc. there are 2n eigenvalues for the secondorder (or A2 M + AC + K. the secondorder problem (12. K e Rnxn.• Then the 2n eigenvalues of the secondorder eigenvalue problem A2 I /+ K Let Wk =  fjik 12 Then the 2n eigenvalues of the secondorder eigenvalue problem A.6 12. p. (12. Suppose. If M is singular. are to be determined.. . and A special case of (12.16) we get (12.6. HigherOrder Eigenvalue Problems 135 12. E2". k = 1. r.C + K. n...16) can still M secondorder generalized linear be converted to the firstorder generalized linear system converted I [ o M OJ'x = [0 K I C Jx.16) Consider the secondorder system of differential equations Consider the secondorder system of differential equations q(t) E ~n E ~nxn.e.2 K are are ± jWk.16) arises frequently in applications: 0. quadratic) eigenvalue problem A.2M + A.1 Conversion to firstorder form Conversion to firstorder form Let x\ = q and \i = q. . K = KT ::: 0). M Mwhere x(t) €.16) of the p A are to be determined.. ::: ILn· Let a>k = IILk I!.16) or. If r = n (i. (A 2 M + AC + K) p = O.16) arises frequently in applications: M = I. polynomial 2n.. Suppose K = KT. k = r + 1. KT > 0). If r n (i.e.. for which the matrix A. C. A special case of (12.. (12. Substituting in form q(t) = ext p.. C = 0. then all solutions of q K q 0 are oscillatory. then all solutions of q + Kq = 0 are oscillatory.6.
In the parlance of control theory. say.1 2. Let € C M X • Show that the nonzero eigenvalues of and G F are the same. properties Higherorder analogues of (12. C. Are the FG and GF the 3. G e Cmxn • Are the nonzero singular values of FG and GF the same? same? wx E ]Rnxn. C. Show that the finite generalized eigenvalues of E lR " finite eigenvalues of e R™ x m the pencil [~ ~JA[~ ~J are the eigenvalues of the matrix A — BD 1 C. Generalized Eigenvalue Problems Chapter 12.B D. F 6 Rm *" G R" x . Some can be useful when M. andlor K Many other firstorder realizations are possible. Show that the generalized eigenval". verify Hint: An easy "trick proof is to verify that the matrices "trick proof' [Fg ~] and [~ GOF ] are similar via the similarity transformation are similar via the similarity transformation Let F E nxm G E mx ". E Rnxm and E E 4. the kth derivative of q. Hint: Consider the equivalence I G][AUO F0]' B][I l [01 C (A similar result is also true for "nonsquare" pencils. such results show that zeros are invariant under state feedback or output injection. Show that the nonzero eigenvalues of FG and GF are the same. derivative q.. which can be converted to various firstorder systems of dimension kn.19). Some can be useful when M.136 136 Chapter 12. EXERCISES EXERCISES nx 1. lead naturally naturally involving. Suppose A e Rnxn and D E lR::! xm. Suppose A € Rnxn. Let F e Cnxm . .19). Let F. and C e lRmxn. G E enxn". B e lRn*m.) .16) involving. (A similar result is also true for "nonsquare" pencils. Similar procedures hold for the general k\horder difference equation order difference equation which can be converted to various firstorder systems of dimension kn. Show that the generalized eigenvalues of the pencils ues of the pencils e e [~ ~JA[~ ~J and and [ A + B~ + GC ~] _ A [~ ~] are identical for all F E E"1xn and all G E R" xmm . and/or K have special symmetry or skewsymmetry properties that can exploited. In the parlance of control theory. to higherorder eigenvalue problems that can be converted to firstorder form using a kn x kn to higherorder eigenvalue problems that can be converted to firstorder form using aknxkn block companion matrix analogue of (11.. Generalized Eigenvalue Problems Many other firstorder realizations are possible. Similar procedures hold for the general kthblock companion matrix analogue of (11.
B E e jRnxn Ql AQT ]Rnx" in such a way that Q~l AQ~T and QT BQ are simultaneously diagonal. respectively.2 and hence are AB E2 positive. . Consider the case where both A and transformation contragredient. Such QT BQ a transformation is called contragredient. Another family of simultaneous diagonalization problems arises when it is desired Another simultaneous diagonalization problems operates that the simultaneous diagonalizing transformation Q operates on matrices A. (c) Show that the eigenvalues of A B are the same as those of 1. positive. A B B are positive definite with Cholesky factorizations A = L<A and B = L#Lg. positive Cholesky = LA L ~ = L B L ~. (b) Show that Q~l = ^~^UT LTB.Exercises Exercises 137 137 desired 5. and let UWT be an SVD of L~LA'. Ql = ~!UTL~. respectively. and let U~VT be an SVD of LTBLA (a) Show that Q = LA V £ ~ 5 is a contragredient transformation that reduces both contragredient = LA V~! A and B to the same diagonal matrix. A and B to the same diagonal matrix.
This page intentionally left blank This page intentionally left blank .
.2. Let B be an arbitrary 2x2 matrix.1. (13. B e lR pxq. Example 13.Chapter 13 Chapter 13 Kronecker Products Kronecker Products 13. We Obviously. pointing out the restrict our attention in this chapter primarily to realvalued matrices. the same definition holds if A and B are complexvalued matrices. 1. We restrict our attention in this chapter primarily to realvalued matrices. n 2. Let B be an arbitrary 2 x 2 matrix. Then the Kronecker product (or tensor Then the Kronecker product (or tensor product) of A and B is defined as the matrix product) of A and B is defined as the matrix allB A@B= [ : amlB alnB ] : E lRmpxnq.1) amnB Obviously. Then 0 b ll b12 B @/z = l b" b~l 139 0 b2 2 0 b21 0 0 b12 0 b 22 l .1 Definition and Examples Definition and Examples Definition 13. extension to the complex case only where it is not obvious.A @ B. pointing out the extension to the complex case only where it is not obvious. Foranyfl E lRX(7..1 13. Forany B e!F pxq /z @ B = [~ In Replacing 12 by /„ yields a block diagonal matrix with n copies of B along the I2 diagonal with n copies of along the diagonal.. 2B 2B ~J. 4 3 4 3 4 9 4 2 6 2 6 6 6 2 2 Note that B @ A i. Example 13. Let A = [~ 2 2 nand B = [. the same definition holds if A and B are complexvalued matrices. Let A e R mx ". Note that B <g> A / A <g> B.1. / 2 <8>fl = [o ~ l\ 2. Let A E lRmxn B E R Definition 13. Then 3.2. Then A@B =[ 3~ ~]~U J.
B In x E ~m.n. (A ® B)I = Bare 13. Foral! Proof' Proof: For the proof. D Corollary 13. Let A e R mx ". 5 E R r x i . B e ~rxs. mn . Then 13. 0 .3.3. A® 13. (13.2 13. Let Jt € Rm. If A and B are nonsingular. . Simply verify that ~[ =AC0BD... Theorem 13.2) Proof: Simply verify that Proof. For all A and B. Kronecker Products Kronecker Products The extension to arbitrary B and /„ is obvious.. . . XIYn. If E ]Rn xn e Rmxm are Theorem 13. Then 13. If A e R"xn and B E !R. . . simply verify using the definitions of transpose and Kronecker verify transpose Kronecker 0 product. XmY T]T = [XIYJ. E R".6. simply note that (A ® B)(A 1 ® B. Let E ~mxn. 5. 4.3. = 1 ® 1 = I.. (A ® Bl = AT ® BT.3.6.4.2 Properties of the Kronecker Product Properties of the Kronecker Product (A 0 B)(C 0 D) = AC 0 BD (E ~mrxpt).5.1 ) Theorem 13. xmYnf E !R. Then X ® Y = [ XIY T .140 Chapter 13.kCkPBD L~=1 amkckpBD ] 0 Theorem 13. ... Proof: Proof: Using Theorem 13. y e !R.1. then A® B is symmetric. C e ~nxp. L~=l al. Let* eR m . If AI ® B. and D e Rsxt. y eR".5. X2Yl.m xm are symmetric. C E R" x ^ and D E ~sxt.
m are linearly independent right corresponding to JJL\ .7.12. . \Ju (q ::::: m).i .p (p < n).. . and zi. If Corollary 13.. i / E e!!. if x\.8.7.j. and let eigenvalues jJij./u.•.. Lgf A E E mxn have a singular value decomposition VA ~A Theorem 13.4 by Theorem 13.8. we can take p = nand q = m and n and q —m and If A and B are diagonalizable in Theorem 13.c. Let A E R nx "have eigenvalues Ai. . then A <g> B is € IR nxn orthogonal and e IR m x m 15 then 0 is orthogonal. Properties of the Kronecker Product 13.. Example 13. elements of ~A 0 ~B and the corresponding right and left singular vectors).2. then Xi <8> Zj ffi. = (A 0 B)(A 0 B)T 0 Corollary 13.3 since A and B are normal by Theorem 13.n... If A E IR"xn and B eRmxm are normal. q Corollary 13. if Xl.• :::: TS > O. TTzen ?/ze mn eigenvalues of A 0 Bare Moreover. we can take p thus get the complete eigenstructure of A 0 B.. .[Cos</> cos</>O Then It IS easl'1y seen that . then A® B is normal.. Properties of the Kronecker Product Theorem 13.... i E l!! 7 E 1· Proof: proof Proof: The basic idea of the proof is as follows: follows: (A 0 B)(x 0 z) = Ax 0 Bz =AX 0 JLZ = AJL(X 0 z). mxm /zave Theorem 13..3. . ..11.. . A.and let BB E e IRR mxwhave e IR nxn have eigenvalues A.Zq are linearly independent right eigenvectors of B corresponding to JLI.. j e q. If A e IR nxn am/ B E IR mxm are normal. Then A <g)B (or B 0<8> A) has rs singular values U.• :::: U rr > 0 and let B E IRfx Corollary e R™x" singular a\ > • • > a > e have singular values T\ > • • > <s > 0. 141 141 Proof: Proof: (A 0 B{ (A 0 B) = (AT 0 BT)(A 0 B) = AT A 0 BT B = AAT 0 B BT by Theorem 13. . Let A G IR mx " have a singular value decomposition l/^E^Vj an^ let and /ef singular decomposition UB^B^BB e IR pxq fi E ^pxq have a singular value decomposition V B ~B VI. In general. If A E E"xn is orthogonal and B E Mmxm is orthogonal. Sine] and B . xp are linearly independent right eigenvectors of A corresponding Moreover.. Then A 0 B (or B A) has rs singular values have singular values <I :::: . Then vI yields a singular value decomposition of A <8>B (after aasimple reordering of the diagonal yields a singular value decomposition of A 0 B (after simple reordering of the diagonal elements O/£A <8> £5 and the corresponding right and left singular vectors)..10. :::: U rTs > 0 and ^iT\ > • • • > ffr <s Qand rank(A 0 B) = (rankA)(rankB) = rank(B 0 A) ."xn have singular values UI :::: . j € m. if A and B have Jordan form thus get the complete eigenstructure of A <8> B.. The 4 x 4 orthogonal e±j9 orthogonal eigenvalues e±j(i>.. eigenvectors of A® B corresponding to A.. matrix A ® 5 is then also orthogonal with eigenvalues e^'^+'W and e ± ^ (6> ~^ > \ Theorem 13.JLqq (q < m). Let A E lR.12.. then .. L et A E xamp Ie 139 Let A = [ _eose cose andB .13. A0 B e±jeH</» e±jefJ </».. Theorem 13... if A and fi have Jordan form . 0 Zj E€ IR mn "are linearly independent right eigenvectors of A 0 B corresponding to Ai JL 7 i e /?. <I :::: . • • zq independent of to A . then A 0 B is normal. 0 If A and Bare diagonalizable in Theorem 13. Ap (p ::::: and ZI. ••..2.• sin e = _ sin</> Sin</>] Then it is easily seen that A is orthogonal with eigenvalues e±jO and B is orthogonal with eigenvalues e±j</J. . . In general. xp are linearly independent right eigenvectors of A corresponding AI. 7 E m.10.12. Then the mn eigenvalues of A® B are eigenvalues JL j.9.
Let A e Rn xn and B e Rrn xm. of A and B. respectively. A ® B i= B © A. Then reducing A and B to real Schur form). Then the Kronecker sum (or tensor sum) . are unitary matrices that reduce A and 5.I ® Ql)(A ® B)(P ® Q) = (P. ~l 2 2 1 3 AfflB = (h®A)+(B®h) = 1 3 0 1 0 4 0 3 0 0 0 0 0 0 0 0 0 0 0 0 2 2 0 0 0 3 4 2 0 0 2 0 0 2 0 0 2 0 0 0 1 0 0 + 0 2 0 0 2 0 0 0 0 3 0 0 0 3 0 0 0 3 The reader is invited to compute B 0 A = (/3 ® B) + (A 0 h) and note the difference The reader is invited to compute B EEl A = (h ® B) (A <g> /2) and note the difference with A © B.14.e. E IR E IR Kronecker Definition 13. A EEl B ^ B EEl A. in general.AP J B . to Schur (triangular) form. then we get the decompositions given by P~lI AP = J A and Ql BQ = JB. Then (P ® Q)H (A ® B)(P ® Q) = (pH ® QH)(A ® B)(P ® Q) = (pH AP) ® (QH BQ) = TA ® TR . is the mn mn matrix (Im ® A) + (B ® /„). then we get the JA and Q~] BQ following Jordanlike structure: following Jordanlike structure: (P ® Q)I(A ® B)(P ® Q) = (P. Let A e Rn Xn and B e Rm xrn. respectively. Note that. For example. denoted A EEl B. det(A ® B) = (det A)m(det Bt = det(B ® A). Example 13. i. A Schur form for A ® B can be derived similarly. in of A and B. 1. respectively. Example 13. while upper triangular.14. E IR nxn E IR mxm. i. Kronecker Products Chapter 13. general.15. with A EEl B. 2. suppose P and Schur form for A ® B can be derived similarly. Then 13. For example. nxn mxm Definition 13.13.1 AP) ® (Ql BQ) = JA ® JB · Note that h ® JR. pH AP = TA and QH BQ = TB (and similarly if and are orthogonal similarities PHAP = TA and QHBQ = TB (and similarly if P and Q are orthogonal similarities reducing A and B to real Schur form). denoted A © B. while upper triangular. Corollary 13. Note that.142 142 Chapter 13. eigenvalues are zero or nonzero).e. suppose P and Q are unitary matrices that reduce A and B. 1. Let 1..13. Let A~U Then Then 2 2 !]andB~[ . is generally not quite in Jordan form and needs Note that JA® JB.. is generally not quite in Jordan form and needs further reduction (to an ultimate Jordan form that also depends on whether or not certain further reduction (to an ultimate Jordan form that also depends on whether or not certain eigenvalues are zero or nonzero). Kronecker Products decompositions given by p. is the mn x mn matrix Urn <g> A) + (B ® In). Tr(A ® B) = (TrA)(TrB) = Tr(B ® A). respectively.15. to Schur (triangular) form. .
j E ra. if XI.13. . . Properties of the Kronecker Product 13. we can take p nand q and If A and B are diagonalizable in Theorem 13. Zq are linearly independent right eigenvectors of B AI. .. e jRmxm eigenvalues /z... Properties of the Kronecker Product 2. A2 + fJm. if A and B have Jordan form pI l B . if A and have Jordan form thus get the complete eigenstructure of A 0 B. Then J can be written in the very compact form J Theorem 13. j e q..···.. then decompositions given JA and Qt BQ [(Q ® In)(lm ® p)rt[(lm ® A) = [(1m ® p)I(Q ® In)I][(lm ® A) = (1m ® lA) + (B ® In)][CQ ® In)(lm ® P)] + (B ® In)][(Q ® In)(/m ® + (B ® P)] = [(1m ® pI)(QI ® In)][(lm ® A) In)][CQ ® In)(/m <:9 P)] + (JB ® In) is a Jordanlike structure for A $ B.xp are linearly independent right eigenvectors of A corresponding Moreover. . (I} ® M) + (E^®l2) = M 0 Ek.16. . eigenvectors of A® B corresponding to Ai + [ij. An + fJm' Moreover. fJq (q < m).. Recall the real JCF 2. ii E E. A2 + fJt... i E !!.. AI + fJm.. Let A E E"x" have eigenvalues Ai. Then the Kronecker sum A® B = (1m (g>A) + (B ® In) has mn (Im ® A) + (B <g> /„) /za^ ran eigenvalues fJj. . Xp (p ::s: n). . if x\. . .. In general. then Zj ® Xi E€ jRmn" are linearly independent right Zj <8> Xi W1 are linearly independent right corresponding f j i . Recall the real JCF M I M 143 143 0 I M I 0 o 1= 0 E jR2kx2k. respectively. 7 e I!!. zq are linearly independent eigenvectors of corresponding to fJt. . and z\. is a Jordanlike structure for A © B.. j E fl· eigenvectors of A $ B corresponding to A.\ . xp are linearly independent right eigenvectors of A corresponding to AI. Define 0 0 0 0 o o Ek = 0 o Then 1 can be written in the very compact form 1 = (4 <8>M) + (Ek ® h) = M $ E k . TTzen r/ze Kronecker sum A $ B eigenvalues e/genva/wes Al + fJt.16.. 0 I M 0 where M = [ where M = o M a f3 f3 a J. we can take p = n and q = m and thus get the complete eigenstructure of A $ In general... .. .i e n. and let B E Rmx'" have e jRnxn eigenvalues A. . then decompositions given by P~1AP = lA and Q"1 BQ = JB.16. . .•• .. + fJj' € p. . Ap (p < and ZI. .2. respectively.2.. 0 If A and Bare diagonalizable in Theorem 13. .. Proof: The basic idea of the proof is as follows: Proof: The basic idea of the proof is as follows: [(1m ® A) + (B ® In)](Z ® X) = (Z ® Ax) = (Z + (Bz ® X) ® Ax) + (fJZ ® X) = (A + fJ)(Z ® X).. . f^q (q ::s: ra)..
5) as an "ordinary" linear system.3) is the symmetric equation AX +XAT = C (13. The first important question to ask regarding (13. The following definition is very helpful in completing the writing of (13.e. Sylvester who studied general linear matrix equations of the fonn k LA. suppose P and Q are unitary fonn. where [(Q <8>In)(lm ® P)] = (Q ® P) is unitary by Theorem 13.=1 A special case of (13. The following definition is very helpful in completing the writing of (13. = AXi + l:~>j. an "ordinary" linear system. Then to real Schur fonn). B e Rmxm . Then ((Q ® /„)(/« ® P)]"[(/m <8> A) + (B ® /B)][(e (g) /„)(/„.144 Chapter 13.4) is known as a Lyapunov equation.3) is. to Schur (triangular) form.3 13. Again. When C is symmetric. the solution X E Wnx" is easily shown taking B = AT. When does a solution exist? The first important question to ask regarding (13.e.3) mxm E IRnxn E IR E IRnxm.5) [ blml The coefficient matrix in (13. respectively.3) is.8. i.3) in tenns of their columns.5) as (B T 0 /„).3) in terms of their easily seen z'th columns that ith columns that m AXi + Xb.4) obtained by taking B = AT. pH AP = TA matrices that reduce A and B. and C e M" xm ..XB. = C. Kronecker Products A Schur fonn for A EB B can be derived similarly. . Lyapunov equations also to be symmetric and (13.J. . i.5) clearly can be written as the Kronecker sum (1m 0 A) + The coefficient matrix in (13.. This equation is now often called a Sylvester equation is now often equation in honor of 1. Again. Sylvester where A e R"x".Xj.3 Application to Sylvester and Lyapunov Equations Application to Sylvester and Lyapunov Equations In this section we study the linear matrix equation In this section we study the linear matrix equation AX+XB=C.3 and Corollary 13. Sylvester who studied general linear matrix equations of the form equation in honor of J. =C.5) clearly can be written as the Kronecker sum (Im * A) + (BT ® In). Lyapunovequations arise naturally in stability theory.4) is known as a Lyapunov equation. solution e IR xn also to be symmetric and (13. Kronecker Products Chapter 13. 13. it is easily seen by equating the writing (13. ® P)] = (/m <8> rA) + (7* (g) /„). When does a solution exist? By writing the matrices in (13. [(Q ® /„)(/« ® P)] = (<2 ® P) is unitary by Theorem 13.1. suppose P and are unitary A Schur form for A © B can be derived similarly. arise naturally in stability theory. When symmetric.. . j=1 These equations can then be rewritten as the These equations can then be rewritten as the mn x mn linear system x linear system A+blll bl21 A + b 2Z 1 b2ml b 21 1 (13.8. (13.3 and Corollary 13. PHAP = TA that reduce to Schur and QH BQ = TB (and similarly if P and Q are orthogonal similarities reducing A and B and QHBQ = TB (and similarly if P and Q are orthogonal similarities reducing A and B to real Schur form).
+00): (with X(0) = C) on [0. Aj(A) + A. There exists a unique solution to (13. +00): IHoo lim XU) . where A. B E Rmxm.6) if and only if [(Im ® A) + (BT ® /„)] is nonsingular. (13. Theorem C E jRnxm. the eigenvalues of [(1m ® A) + (BT <8> /„)] are + Mj. First A and B are reduced to commonly preferred numerical algorithm is described in [2]. j j E!!!. e m.6) directly with Gaussian elimination. Application to Sylvester and Lyapunov Equations 13. this algorithm takes only 0 (n 3) transformed solution matrix X.e. this algorithm takes only O(n3 ) operations rather than the O(n6)) that would be required by solving (13. AX+XB=C (13. + IJLJ. B e Rmxm. They culminate in Theorem 13. Assuming that. has a unique solution if and only if A and —B have no eigenvalues in common. the eigenvalues of [(/m <g> A) + (BT ® In)] are Ai A.13. and ^j Theorem 13. where From Theorem 13. Definition 13.16. say. A further enhancement to this algorithm is available in [6] whereby Gaussian elimination.10) . Suppose further are asymptotically stable (a matrix is asymptotically stable if all its eigenvalues have real are asymptotically stable (a matrix is asymptotically stable if all its eigenvalues have real parts in the open left halfplane). But [(1m ® A) + (B (g) /„)] nonsingular and only has no zero eigenvalues.4)) are generally not solved using the mn x mn "vee" formulation (13. Schur form.18.6). An equivalent linear system is then solved in which the triangular form equivalent linear system is then solved in which the triangular form of the reduced and can be exploited to solve successively for the columns of a suitably of the reduced A and B can be exploited to solve successively for the columns of a suitably transformed solution matrix X.. Let A e lRnxn.18. the linear system (13. The most (13. A further enhancement to this algorithm is available in [6] whereby the larger of A or B is initially reduced only to upper Hessenberg rather than triangular the larger of A or B is initially reduced only to upper Hessenberg rather than triangular Schur form. Now integrate the differential equation X = AX + X B solution to (13.8) by Theorem 13. Then the Sylvester equation G jRmxm. From Theorem 13.. First A and B are reduced to (real) Schur form.24.. Application to Sylvester and Lyapunov Equations 145 145 Definition 13.1S. so there exists unique Proof: Since A and B are stable.7) has a unique solution if and only if A and .6) directly with operations rather than the O(n 6 that would be required by solving (13.5) can be rewritten in the form [(1m ® A) + (B T ® In)]vec(X) = vec(C).6) There exists a unique solution to (13. n :::: m. j j so there exists aaunique for all i. vec(C) = Using Definition 13.17.. Then the (unique) solution of the Sylvester equation parts in the open left halfplane). E R E jRnxm. Cm}. But [(Im <8>A) + (B TT ® In)] isisnonsingular ififand only ififitithas no zero eigenvalues..3) (or symmetric Lyapunov equations of the form Sylvester equations of the form (13. A. We thus have the following theorem. (real) Schur form. Let Ci( € E. ofC e jRnxm [CI. Then the (unique) solution of the Sylvester equation AX+XB=C (13.6).4» are generally not solved using the mn x mn "vec" formulation (13. . (13. one of many The next few theorems are classical.. the linear system (13. c E jRn the Then vec(C) is defined to be the mnvector formed by stacking the columns ofC on top of by C ::~~::~: ::d~~:::O:[]::::fonned "ocking the colunuu of on top of one another. i.24. We thus have the following theorem.3) (or symmetric Lyapunov equations of the form (13.8)by Theorem 13.17. and C e R" xm .16. and C e Rnxm.(B) ^ solution to(13. They culminate in Theorem 13. . The next few theorems are classical. 77ie/i Theorem 13..17. say. The most commonly preferred numerical algorithm is described in [2]. xn Theorem 13. A(fi). (A)+ Aj(B) =I 00 for all i.17.X(O) = A 10 roo X(t)dt + ([+00 X(t)dt) 10 B.and Mj Ee A(B). Assuming that.B have no eigenvalues in common. .19. n > m.e A (A). Sylvester equations of the form (13.5) can be rewritten in the form Using Definition 13. . Ai E A(A)..9) Proof: Since A and B are stable. Now integrate the differential equation X AX XB (with X(O) C) on [0. elegant connections between matrix theory and stability theory for differential equations..3.3.. ii e n_. E jRmxm. Suppose further that A and B E Rn .6) if and only if [(1m ® A) + (B T ® In)] is nonsingular.n denote the columns ofC E Rnxm so that C = [ n . Let A e jRnxn.18. E!!. c ].8) can be written as can be written as (13. one of many elegant connections between matrix theory and stability theory for differential equations. .
Thus.A T have no eigenvalues in common. A matrix A E R"x" is asymptotically stable if and only if there exists a only if e jRnxn asymptotically if positive definite solution to the Lyapunov equation positive definite solution to the Lyapunov equation AX +XAT = C.19. If symmetric and (13. Two basic results due to Lyapunov are the following.6. .AT has eigen— AT eigenvalues AI. where C Proof: asymptotically l3.... An. Many useful results exist concerning the relationship between stability and Lyapunov equations.13) where C = C T < O. sufficient —A common eigenvalues A asymptotically no common eigenvalues is that A be asymptotically stable. Lef A. we have that lim X ((t) = 0. results = 0.21. TTzen r/ze AX+XAT =C (13.].11) has a unique solution. 1>+00 1 . If C is has unique if and only if and —A T eigenvalues in common.146 146 Chapter 13.12) Theorem 13.. Kronecker Products Chapter 13. (13...I . Theorem 13. Then the Lyapunov equation e jRnxn.. Now let v be an arbitrary nonzero vector in jRn. Then the (unique) solution o/the Lyapunov equation of the AX+XAT=C can be written as can be written as (13. the first of which follows immediately from Theorem 13. . Let A.1. .13) exists and takes the form (13. Remark 13.. If the matrix A E Wxn has eigenvalues A. symmetric and ( 13. then that solution is symmetric.23 a solution to (13. Theorem Substituting in (13.. a sufficient condition that guarantees that A and . Kronecker Products Using the results of Section 11. C e jRnxn further asymptotically stable.11) has a unique solution. then . X B = is that [ J _Cfi ] be similar to [~ _OB] (via the similarity [ Let Theorem 13. Theorem 13. .8).21 l3.23 solution Proof: Suppose A is asymptotically stable. An equivalent condition for the existence of a unique solution to AX + AX + Remark XB = C is that [~ _cB ] be similar to [ J _°B ](via the similarity [~J _~ ]). Then Then .24. then that solution is symmetric. +00 r—>+oo t—v+oo X t ) = etACelB X t ) — O. . By Theorems 13.10) we have C t~+x /—<+3C = A (1+ 00 elACe lB dt) + (1+ o 00 elACe lB dt) B and so X and so X = 1o {+oo elACe lB dt satisfies (13.!„.22. using the solution X ((t) = elACe tB from Theorem 11. ..12). . _* ]). Hence.An.C E R"x" and suppose further that A is asymptotically stable. A.23.21 and 13. Remark 13. v E".11) has a unique solution if and only if A and . it can be shown easily that lim elA = lim elB = O..19. —kn..20.ATT have A —A. C E R"x".6. If matrix A e jRn xn eigenvalues )"" .
15) of (13.t. Application to Sylvester and Lyapunov Equations 147 147 Since — C > 0 and etA is nonsingular for all the integrand above is positive. e jRrnxn. A subtle point arises when dealing with the "dual" Lyapunov equation A T X X A A subtle point arises when dealing with the "dual" Lyapunov equation ATX + XA = C.3. A must be asymptotically stable.25. Since A was arbitrary.yr) = <8> x. Then the equation 13.26.27. Proof: The proof follows in a fairly straightforward fashion either directly from the definiProof: The proof follows in a fairly straightforward fashion either directly from the definitions or from the fact that vec(. A must be Since yHXy > 0. most of which derive from one key The vec operator has many useful properties. Hence vT Xv > 0 and thus X is positive definite. v TXv > 0 and thus X is positive definite. vec(ABC) = (C T ® A)vec(B). Since yH Xy > 0. Then vector y. For any three matrices A. where Y E jRnxp is arbitrary. in which the solution is of the form is of the form (13. defined.14) xp E jRn has a solution X e R.13. e A(A) with corresponding left eigenvector y. and C E Rmxq. e jRrnxq. The Proof: Write (13.26.14) as (B T ® A)vec(X) = vec(C) (13. most of which derive from one key result. Theorem 13.14) as Proof: Write (13. The vec operator has many useful properties.16) . Hence Since C > 0 and etA is nonsingular for all t. Conversely. C. B. Let A E Rmxn. the complexvalued equation AHX + XA = C is equivalent to [(/ ® AH) vec(C). the AXB =C (13. result. Then 0> yHCy = yH AXy + yHXAT Y = (A + I)yH Xy. suppose X = XT > 0 and let A. in which case the general solution has a if only ifAA + C B+ C. where Y e Rnxp is arbitrary. suppose X = XT > 0 and let A E A (A) with corresponding left eigenConversely.3.27. we must have A + A = 2 R e A < O. The Lyapunov equation AX + XATT = C can also be written using the vec notation in the equivalent form vec notation in the equivalent form [(/ ® A) + (A ® l)]vec(X) = vec(C). the complexvalued equation H X X A = C is equivalent to However. for the solution of the simple Sylvesterlike equation introduced in Theorem 6. The solution of (13. D Remark 13. and C for which the matrix product ABC is Theorem 13.11. and C for which the matrix product ABC is defined. B e jRPxq. nx p if and only if A A+CB+BB = C.25. D An immediate application is to the derivation of existence and uniqueness conditions An immediate application is to the derivation of existence and uniqueness conditions for the solution of the simple Sylvesterlike equation introduced in Theorem 6.14) is unique if BB+ ® A+ A = I. D tions or from the fact that vec(xyT) = y ® x. The equivalent "vec form" of this equation is The equivalent "vec form" of this equation is [(/ ® AT) + (AT ® l)]vec(X) = + (AT ® l)]vec(X) = vec(C). Theorem 13.11. The Lyapunov equation AX X A = C can also be written using the Remark 13. Since A was arbitrary. For any three matrices A. B E Rpx(}. B. However. Application to Sylvester and Lyapunov Equations 13. D asymptotically stable. we must have A + I = 2 Re A < 0 . 14) is unique if BB+ ® A+A = [. the integrand above is positive.
148 148
Chapter 1 3. Kronecker Products Chapter 13. Kronecker Products
by Theorem 13.26. This "vector equation" has a solution if and only if by Theorem 13.26. This "vector equation" has a solution if and only if
(B T ® A)(B T ® A)+ vec(C)
+
= vec(C).
+ +
It is a straightforward exercise to show that (M ® N) + = M+ ® N+.. Thus, (13.16) has aa It is a straightforward exercise to show that (M ® N) = M <8> N Thus, (13.16) has
solution if and only if solution if and only if vec(C)
=
(B T ® A)«B+{ ® A+)vec(C)
= [(B+ B{ ® AA+]vec(C)
= vec(AA +C B+ B)
and hence if and only if AA +CB+B = C. and hence if and only if AA+ C B+ B C. The general solution of (13 .16) is t