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    Lanczos1950 2 PDF

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    Fernando Flora Filho

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    Jotrnal of Research of the National Buroau of Standards Vol. 45, No. 4, October 1950 Research Paper 2133 An Iteration Method for the Solution of the Eigenvalue Problem of Linear Differential and Integral Operators’ By Cornelius Lanczos ‘The present investigation designs a systematic method for finding the latent roots snd the principal axes of a matrix, without reducing the order of the matrix, It is characterized by a wide field of applicability and great accuracy, sinee the accumulation of rounding errors is avoided, through the process of “minimized iterations”. Moreover, the method leads to ‘a well convergent successive approximation procedure by which the solution of integral equations of the Fredholm type and the solution of the eigenvalue problem of linear differ- ‘ential and integral operators may be accomplished. 1. Introduction ‘The eigenvalue problem of linear operators is of central importance for all vibration problems of physics and engineering. The vibrations of elastic structures, the flutter problems of aerodynamics, the stability problem of electric networks, the atomic and molecular vibrations of particle phys- ies, are all diverse aspects of the same fundamental problem, viz., the principal axis problem of quad- ratic forms. In view of the central importance of the eigen- value problem for so many fields of pure and applied mathematics, much thought has been de- voted to the designing of efficient methods by which the eigenvalues of a given linear operator mey be found. That linear operator may be of the algebraic or of the continuous type; that is, a matrix, a differential operator, or a Fredholm kernel function. Iteration methods play a prom- inent part in these designs, and the literature on the iteration of matrices is very extensive. In the English literature of recent years the works of H. Hotelling {1} and A. C. Aitken [2] deserve attention. H. Wayland 3] surveys the field in its historical development, up to recent years. W. U. Kincaid (4] obtained additional results by improving the convergence of some of the classical procedures "Pie premraton of thls paper was spared In grt Dy the Of of ‘Naval Herre, "rhe bre ings ofthe vine ieratin methods art exhastvely fried inthe weve book on Eleretary macs by BA. Fra, SET Duncan and As Colle (Cambrge Unie Des, 188 {Racilan, New York, IB. irre in brnckte ina the ieratarereterencs atthe end tis 288 ‘The present investigation, although starting out along classical lines, proceeds nevertheless in a different direction. ‘The advantages of the method here developed‘ can be summarized 9s follows: 1. The iterations are used in the most economi- cal fashion, obtaining an arbitrary number of eigenvalues and eigensolutions by one single set, of iterations, without reducing the order of the matrix. 2. The rapid accumulation of fatal rounding errors, common to all iteration processes if applied to matrices of high dispersion (large “spread” of the eigenvalues), is effectively counteracted by the method of “minimized iterations”. 3. The method is directly translatable into analytical terms, by replacing summation by integration, We then get & rapidly convergent analytical iteration process by which the eigen- values and eigensolutions of tinear differential and integral equations may be obtained. IL. The Two Classical Solutions of Fredholm's Problem Since Fredholm’s fundamental essay on integral equations [5], we can replace the solution of linear differential and integral equations by the solution, ‘The Tarra avallabe to the ather showed wo ever hs he However, Acie Ostowat ftte Unies of ae andthe Tet for Numero Ames normed the euor that his meted paras the ‘utr er of soit Ruan ssl te ree ven by Ostrowakt ocr A. Resto, vy Ala, Nauk BSS 7 4 to 0 (1 Lan. ee ‘Shad: Nauk SSSI 2,006 a5 (1). Os the ba the eviews of ese ‘Mersin the Zentralbl be aor ees at theta bods eee niin te pit of depart, "The aborts no, howere, rad these of a set of simultaneous ordinary linear equations, of infinite order. The problem of Fredholm, if formulated in the language of matrices, can be stated as follows: Find a solution of the equation yordy=b, a where 6 is a given veetor, \ a given scalar para- meter, and A a given matrix (whose order event- ually ‘approaches infinity); whereas y is the unknown vector. ‘The problem includes the inversion of a matrix (A= ©) and the problem of the characteristic solutions, also called “eigenso- lutions”, (6=0) as special cases. ‘Pwo fundamentally different classical solutions of this problem are known. The first solution is Known as the “Liouville-Neumann expansion” {6}. We consider A as an algebraic operator and obtain formally the following infinite geometric yapoyg H(t J ‘This series converges for sufficiently small values of [A but diverges beyond a certain |\\=[. The solution is obtained by a series of successive “iterations”;* we construct in succession the following set of vectors: bo=b d= Aby p= Ab, (3) Dari Abe and then form the sum: Yad E AEM t @ ‘Tho merit of this solution is that it requires nothing but a sequence of iterations. ‘The draw- back of the solution is that its convergence is limited to sufficiently small values of ¥. ‘The second classical solution is known as the Schmidt series [7]. We assume that the matrix Ais “nondefective” (i. e. that all its elementary isors are linear). We furthermore assume that *Thvougboot this paper te term “tertlon” refers to tbe aplcton ot the heen mee toa ven Yat y orm the predut 256 ‘wo possess all the eigenvalues * u, and eigenvectors, ‘u, of the matrix A, defined by the equations Au=pae G=1,2,...50. If A is nonsymmetric, we need also the “adjoint” eigenvectors w,*, defined with the help of the transposed matrix A”: (6) ‘We now form the scalars bau or @ and obtain y in form of the following expansion: “rile ahah + Ta ®) ‘This series offers no convergence difficulties, since it is « finite expansion in the caso of matrices of finite order and yields a convergent expansion in the case of the infinite matrices associated with the kernels of linear differential and integral operators. ‘The drawback of this solution is—apart from the exclusion of defective matrices ’—that it pre- supposes the complete solution of the eigenvalue problem associated with the matrix A. IIL. Solution of the Fredholm Problem by the, S-Expansion We now develop a new expansion that solves the Fredholm problem in similar terms as the Liouville-Neumann series but avoids the conver- gence difficulty of that solution. ‘We first notice that the iterated vectors by, by, by cannot be linearly independent of each other beyond a certain definite by. All these vectors find their place within the n-dimensional space of the matrix A, hence not more than n of them can be linearly independent. We thus know in advance that a linear identity of the following form must exist between the successive iterations. bot Gibmtgibnzt-s+Gabv=0. ” 0) Wo shall ue the tara “agen” for the amr lid by 8, races the retreats ofthe earache Sal be elle “share, "re earacirse sluts of defective aro (marae mouse ‘imenaryclvsrs a nat treason iva) oot Slide the elie Irena spac, Hace such mares owen I tan dependent Proll ae. We cannot tell in advance what m will be, except for the lower and upper bounds: lgmsn (19) How to establish the relation (9) by # systematic algorithm will be shown in section VI. For the time being we assume that the relation (9) is already established. We now define the poly- nomial Gla) = 24-9504 Br a) together with the “inverted polynomial” (the coefficients of which follow the opposite sequence) : SaQ)= 14 9:+90+ Furthermore, we introduce the partial sums of the latter polynomial: Sy SO)=14+9 S.0)=1+ 9492" stad. (12) (18) Smar(h) =1+ gidte + tgmaaN, ‘We now refer to a formula which can bo proved by straightforward algebra: * SnQ)—V"Ge) Sa) 9G) 5, 10)-+8n-200) 2 FSus(d) MEE pS AAR, a) Let us apply this formula operationally, replacing z by the matrix A, and operating on the vector 4. In view of the definition of the vectors b,. the relation (9) gives: GA) by=0, (as) and thus we obtain: Su) Sant Top b= Sms 00st Sy-2 00M t-- ESN m sy (16) and hence: 1 1br-+ Sm -a(A)Aby psf SA", aa Sn) a7 "inorder to proven hs paper from Desig to opty te anaes! steals ofthe prot invetzton ae kept toa in, and in fe Gace ‘he ener requrtd to Inerpoae Tbe missing steps If we compare this solution with the earlier solution (4), we notice that the expansion (17) may be conceived as a modified form of the Liou- ville-Neumann series, because it, is composed of the same kind of terms, the difference being only that we meight the terms M%, by the weight factors SO)” “ instead of taking them all with the uniform weight factor 1. This weighting has the beneficial effect, that the series terminates after m terms, instead of going on endlessly. ‘The weight factors 1; are very near to 1 for small \ but become more and mote important as \ increases. ‘The weighting makes the series convergent for all values of 2. ‘The remarkable feature of the expansion (17) is its complete generality. No matter how defective the matrix A may be, and no matter how the vector by was chosen, the expansion (17) is always valid, provided only that we interpret it properly. In particular we have to bear in mind that there will always be m polynomials S,(x), even though every S,(4) may not be of degree k, due to the vanishing or the higher coefficients. For example, it could heppen that, Ga) =2", ag) so that, SmQ)=1+O+ON+ ... +00", (20) SiQ)=140040N+ ... 0M, (21) and the formula (17) gives: a (22) IV. Solution of the Eigenvalue Problem ‘The Liouville-Neumann series cannot give the solution of the eigenvalue problem, since the ex- pansion becomes divergent as soon as the param- eter d reaches the lowest. characteristic number A... The Schmidt series cannot give the solution of the eigenvalue problem since it presupposes the knowledge of all the eigenvalues and cigenvectors of the matrix A. On the other hand, the expan- sion (17), which is based purely on iterations and yet remains valid for all 4, must contain implicitly the solution of the principal axis problem. In- deed, let us write the right side of (1) in the form b=S,0)7. (23) 287 ‘Then the expansion (17) loses its denominator and becomes: saci A) Bot Sana RABE «6 SOA" 'Baate (24) ‘Wo can now answer the question whether a solution of the homogeneous equation y-dy=0, (25) is possible without the identical vanishing of y. ‘The expression (23) shows that } can vanish only under two circumstanees; either the vector }, or the scalar Su(X) must vanish. Since the former possibility leads to an identically vanishing y, only the latter possibility is of interest. This gives the following condition-for the parameter \ Sa) (26) ‘The roots of this equation give us the character- istic values X=2,, whereas the solution (24) yields the characteristic solutions, or eigenvalues, or principal axes of the matrix A: Sih) y+ Sn-oQD Arb w= = ESAT @) Tt is a remarkable fact that although the vector was chosen entirely freely, the particular linear combination (27) of the iterated veetors has i variant. significance, except for an undetermined factor of proportionality that remains free, in view of the linearity of the defining equation (25). ‘That undetermined factor may come out even as zero, i e., & certain axis may not be represented in the trial vector by at all, ‘This explains why the order of the polynomial Si (A) need not be neces sarily equal ton. The trial vector by may not give us all the principal axes of A. What we can cay with assurance, however, is that all the roots of Sa(X) are true characteristic values of A, and all the 1 obtained by the formula (24) are true char acteristic vectors, even if we did not obtain the complete solution of the eigenvalue problem. ‘The diserepaney between the order _m of the poly- nomial G(u) and the order of the characteristic equation lau—n ss an | Fw| + es) | 258, will be the subject of the discussion in the section, % Instead of substituting into the formula (27), we can also obtain the principal axes uy by x numerically simpler process, applying synthetig division. By synthetic division we generate the polynomials: . Gea) peta tt +o (89) ‘We then replace 2! by 6, and obtain: 5 +s toheiboe GO) ‘The proof follows immediately from the equation (A=n)U—G(A)-bo=0. Gi) V. The Problem of Missing Axes Udy tgibeat Lot us assume that we start with an arbitrary “trial vector” b and obtain by successive itera- tions the sequence: Bo,Brs Bay +s Be 62) Similarly we start with the trial veetor 6; and obtain by iterating with the transposed matrix A* the adjoint sequence: Basi, Ole 3) Let us now form the following set of “basic scalars” bb Cc) ‘The remarkable fact holds that these. scalars depend only on the sum of the two subscripts i and keg. Dy = bbs. (35) ‘This gives a powerful numerical’ check of the iteration scheme since a discrepancy between the two sides of (35) (beyond the limits of the round- ing errors) would indieate an error in the ealeula- tion of by, or b3., if the sequence up to 8, and by has been checked before, Let us assume for the sake of the present argue ment that «A is a nondefective matrix, and let us analyze the vector b, in terms of the eigenvectors + uy, while 6; will be analyzed in terms of the adjoint vectors w) bysntybrallet «strates ria. (36) 7) by=riui trust « ae ‘Then the scalars ¢, become: c= eit pat ot eaah, (38) (39) with pe ‘The problem of obtaining the u, from the ¢, is the problem of “weighted moments”, which can be solved as follows: Assuming that none of the 5, vanish and that all the \, are distinct, we establish a linear relation between m-+1 consecu- tive c,, of the following form extent heya eameb cant beaten (40) eam ben sith + 6 lana ab Cag =0 ‘Then the definition of the ¢, shows directly that the set (40) demands Fu) ay where ceca tat a2) Hence, by solving the recurrent set (40) with the help of a “progressive algorithm”, displayed in the next section, we can obtain the coefficients of the characteristic polynomial (42), whose roots give the eigenvalues 1, Under the given restricting conditions none of the u, roots has been lost, and we could actually establish the full characteristic equation (41). Tt can happen, however, that 5s is orthogonal to some axis uj, and it is equally possible that 0; is orthogonal to some axis tz. In that ease r, and drop out of the expansions (36) and (37) and consequently the expansion (38) lacks both ex and yy. This means that the scalars c, are unable to provide all the uy, since w, and yx are missing, The characteristic equation (41) cannot be fully established under these circumstances. ‘The deficiency was here caused by an unsuitable choice of the vectors by and 63; it is removable by a better choice of the trial vectors. However, we can have another situation where the deficiency goes deeper and is not removable by any choice of the trial vectors, ‘This happens if the 1 roots of the characteristic equation are not all distinct. The expansion (88) shows that two equal roots Xr and Xs cannot be separated since they behave exactly as one single root with a double amplitude. Generally, the weighted moments ¢, can never show whether or not there are multiple roots, because the multiple roots behave like single roots. Consequently, in the case of multiple eigenvalues the linear relation between the ¢, will not be of the nut of alower order. If the number of distinet roots is m, then the relation (40) will appear in the following form: Comet eams Ht en-itm tem =0 emt emt . «bent emg: =O (48) cantons «Femina team =0. ‘Once more we can establish the polynomial Ge) =mtnet oe. tnt te, A) but this polynomial is now of only m® order and factors into the m root factors (em) @— ms)... Hs (as) where all the 4; are distinct. After obtaining all the roots of the polynomial (44) we can now construct by synthetic division the polynomials: @)_ Te boi tt... gh (48) and replacing 2! by 6, we obtain the prineipal axes of both A and A*: t= dart tbmat os. th aabe Wades tginat .. . th b i an ‘This gives a partial solution of the principal axis problem, inasmuch as each multiple root con- tributed only one axis. Moreover, we cannot tell from our solution which one of the roots is single and which one multiple, nor can the degree of multiplicity be established. In order to get further information, we have to change our trial vectors and go through the iteration scheme once more. ‘We now substitute into the formulae (47) again and can immediately localize all the single roots bby the fact that the vectors at, associated with these roots do not change (apart from a propor- tionality factor), whereas the w belonging to double roots will generally change their direction. A proper lincar combination of the new w;, and the previous u establishes the second axis associated with the double eigenvalue yy; we put wan wutre, uveu, our Seat The factors 7 and y* are determined by the con- ditions that the yeetors wi and uf have to be bi- orthogonal to the vectors 1!" and uf, In the case of triple roots a third tril is demanded, and so on. An. interesting contrast to this behavior of multiple roots associated with nondefective matri- ces is provided by the behavior of multiple roots associated with defective matrices. A defective eigenvalue is always a multiple eigenvalue, but here the multiplicity is not caused by the collapse of two very near eigenvalues, but by the multi- plicity of the elementary divisor. ‘This comes into evidence in the polynomial G(z) by giving root factor of higher than first order. Whenever the polynomial G(z) reveals a multiple root, we can tell in advance that the matrix A is defective in these roots, and the multiplicity of the root, establishes the degree of deficieney. Tt will be revealing to demonstrate these con- ditions with the help of a matrix that combines all the different types of irregularities that may be encountered in working with arbitrary matriees. Let us analyze the following matrix of sixth order: 123000 o14000 oo1000 o00200 000000 000000 ‘The eigenvalue 2 is the only regular eigenvalue of this matrix. ‘The matrix is “singular”, because the determinant of the coefficients is zero. This, however, is irrelevant from the viewpoint of the eigenvalue problem, since the eigenvalue “zero” just as good as any other eigenvalue. More important is the fact that the eigenvalue zero is a double root of the characteristic equation. The remaining three roots of the characteristic equa- tion are all 1. This 1 is thus a triple root of the characteristic equation; at the same time the matrix has a double deficieney in this root, because the elementary divisor associated with 260 this root is cubic. ‘Tho matrix possesses only four independent principal axes. What will the polynomial G(2) become in the case of this matrix? The regular eigenvalue 2 must give the root factor 2—2. The regular eigenvalue 0 has the multiplicity 2 but is reduced to the single eigenvalue 0 and thus contributes the factor z. The deficient eigenvalue 1 has the multiplicity 3 but also double defectiveness Hence, it must contribute the root factor (2—1)?, We can thus predict that the polynomial G(z) will come out as follows. G(e) 2-2) (e192 Te 2a, Let us verify this numerically. As a trial vector we choose LLLIL ‘The successive iterations yield the following: bel ro aiid b= 6 5 1200 a= 19 9 1 400 b= 40 13 1 800 b= 69 17 «1:16:00 b=106 2 1 32:0 0 b=151 25 1 Gt 0 0 yeaa trait be 1 3 8 200 b= 1 5 8B 400 j= 1 7 4 8 00 i 9 7 600 1 11 116 32 0 0 1 13 163 64 0 0 We now construct the ¢ by dotting by with the 0: (or b; with the 6); we continue by dotting by with 05... b; (or bi with by, ... 6). ‘This gives the following set of 2n-+1=13 basic scalars. ¢=6, 14, 33, 62, 103, 160, 241, 362, 555, 884, 1477, 2580, 4736. ‘The application of the progressive algorithm of section VI to these b, yields G(2) in the predicted form. We now obtain by synthetic divisions: The product of this matrix with the iteration matrix B (omitting the last row 4) yields three Principal axes w,; similarly the product of the same matrix with the iteration matrix B* yields the three adjoint axes 1!: u(1): oo000 w= 000200 w= 000022 wi)= 0 0-8 0 00 “w@= 000200 uO= 000022 Since @(2) is of only fifth order, while the order of the characteristic equation is 6, we know that one of the axes is still missing. We cannot de- cide a priori whether the missing axis is caused by the duplicity of the eigenvalue 0, 1, or 2° How- ever, a repetition of the iteration with the trial vectors by: gauses a change in the row u(0) and u*(0) only. ‘This designates the eigenvalue u=0 as the double Toot. ‘The process of biorthogonalization finally yields: 11,110, {Weave to mind the general ease and overlak th fc that te ove ‘mplided nati of he ample makes the deen tiat he eer urged to carry Coup lr nate with the ste ss but chaning the 0,0 ding eetbate 0 theme ban Od 261 wO=0 0001 14 %(0)=0 0 0 0 1 u@=0 0001 1 j0)=0 0001 —1 VI. The Progressive Algorithm for the Construction of the Characteristic Poly- nomial G(x) . The crucial point in our discussions was the establishment of a linear relation between a certain by and the previous iterated vectors. ‘This relation leads to the characteristic poly. nominal G(x), whose roots Glu.)—0 yield the eigenvalues 1. Then by synthetic division we can immediately obtain those particular linear combinations of the iterated vectors by which give us the eigenvectors (principal axes) of the matrix A. We do not know in advance in what relation the order m of the polynomial G(2) will be to the order ‘nm of the matrix A. Accidental deficiencies of the trial vectors 4,, 0, and the presence of multiple eigenvalues in A can diminish m to any value between 1 and n. For this reason we will follow a systematic procedure that generates G(z) gradually, going through all degrees from 1 to m. ‘The procedure comes automatically to a halt, ‘when the proper m has been reached, Our final goal is to solve the recurrent set of equations: combermt oo. ten (48) eatabemsimit - ‘This is only possible if the determinant of this homogeneous set vanishes: i (49) Before reaching this goal, however, we ean cer tainly solve for any k

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