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Sensitivities of eigenvalues and eigenvectors of problems nonlinear

in the eigenparameter

Article  in  Applied Mathematics Letters · May 1992

DOI: 10.1016/0893-9659(92)90042-8

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Appl. Math. Lett. Vol. 5, No. 3, pp. 69-72, 1992 089%9659192 $5.00 + 0.00
Printed in Great Britain. All rights reserved Copyright@ 1992 Pergamon Press Ltd

SENSITIVITIES OF EIGENVALUES AND EIGENVECTORS OF

PROBLEMS NONLINEAR IN THE EIGENPARAMETER
ALAN L. ANDREW
Department of Mathematics, La Trobe University, Bundoora, Victoria 3083, Australia
K. W. ERIC CHU
Department of Mathematics, Monash University, Clayton, Victoria 3168, Australia
PETER LANCASTER
Department of Mathematics and Statistics
University of Calgary, Alberta, Canada T2N IN4

(Received January 1992 and in revised form January 1992)

Abstract-The eigenvalue problem L(p, X)x = 0 is considered, where the matrix L depends analyt-
ically on the eigenvalue X and a vector parameter p. Some results on the existence and the numerical
computation of partial derivatives of eigenvalues X and eigenvectors x with respect to the components
of p are announced and discussed. Proofs will appear elsewhere.

1. INTRODUCTION

In the optimum design of structures and many other applications, matrix eigenvalue problems are
encountered in which the matrix elements are functions of a number of design parameters, and
it is required to compute partial derivatives (sensitivities) of eigenvalues and eigenvectors with
respect to these parameters. There is an abundance of literature on this problem [l], most of
which considers only the classical linear problems Ax = Xx and Ax = Mx. However, problems
with viscous damping and/or gyroscopic forces involve the quadratic eigenvalue problem [2]

(PA + Xl? + C)x = 0. (1)

Although (1) for n x n matrices can be reduced to a linear problem for 2n x 272 matrices, and
this is often used [3] for computing eigenvalues and eigenvectors of (l), for the computation of
derivatives it is frequently better [4] to work directly with (1).
In this letter we describe some recent results of the authors on the existence and the computa-
tion of derivatives of eigenvalues and eigenvectors of a class of problems which includes as special
cases not only (1) but also problems with more general dependence on X which arise in other
applications [5,6] We consider
L@, A)x = 0, (2)
where p is a vector of real or complex parameters. The n x n matrix function L is assumed to
be locally analytic and it is assumed that for each p there is a X such that det L(p, A) # 0. We
indicate partial derivatives with respect to the jth component of p by the subscript j, with a
second subscript for second derivatives, while the superscript (P), r = 1,2, . . . , denotes pth order
partial differentiation with respect to X.
We examine a linear system used for the computation of the derivatives (noting in particular
the condition of that system and the nature of its solutions) and give both explicit formulae
and bounds for the derivatives. Thus, a collection of theoretical results of intrinsic interest is
presented that will also be relevant in the design of numerical algorithms. Proofs of all theorems
stated here and other related results are given in [5] as well as more formal definitions. However
this letter also contains some material not in [5] which we hope will be useful to engineers.

Typeset by A&-‘QX

69
70 AL ANDREW et al.

2. SIMPLE AND SEMI-SIMPLE EIGENVALUES

Even in the linear case, most (though not all) of the literature on sensitivities requires all the
eigenvalues to be simple (i.e., simple zeros of the characteristic equation). However, optimum
structures often correspond to repeated eigenvalues. This fact is discussed in [7] where two
elementary examples are given. The repeated eigenvalue is differentiable in only one of these.
In that example the eigenvalue is semi-simple (i.e., its multiplicity as a zero of the characteristic
equation equals the dimension of the corresponding eigenspace). While most of our results require
the eigenvalue being differentiated (but not the others) to be simple, some also hold for semi-
simple eigenvalues. (In the linear case, all eigenvalues of Hermitian matrices are semi-simple.)

THEOREM 1. If L(p, A) has a simple eigenvalue when p = po then there exists an eigenvalue
function and corresponding right and left eigenvector functions which are analytic functions ofp
on some neighbourhood ofpe.

THEOREM 2. Forfixedp, (2) h as a simple eigenvalue Ac if and only if both the following conditions
hold:
(i) L(p, A,) has rank 12- 1, and
(ii) yTL(l)@, X0)x # 0 where x and y are respectively right and left eigenvectors of L at X0.

Note that condition (ii) is precisely that required for the validity of the well-known formula [l]

For semi-simple eigenvalues, x and y may always be chosen to satisfy this condition.

3. COMPUTATION OF DERIVATIVES

Since the condition ]]x@o)] 12 = 1 does not determine xj @o) uniquely, we impose henceforth a
normalizing condition of the form

zT@x(p) = 1 th roughout a neighbourhood of po. (4)

The important role played by the next theorem is apparent on differentiation of (2) and (4) with
respect to the jth component of p. Further, it suggests the calculation of derivatives via solution
of a linear system.

THEOREM 3. Let A0 = X(po) b e a semi-simple eigenvalue of (2), and Jet A, x and z be functions
which have first order partial derivatives at po and which satisfy (2) and (4) in a neighbourhood
ofpo. Then the set of aJJ solutions of

is given by
t=Xj+S, P=Aj where Ls = 0 and zTs = 0. (6)
In particular, if A0 is a simple eigenvalue then X,x are necessarily analytic at po, the coefficient
matrix in (5) is nonsingular and the unique solution of (5) is t = xj, 0 = Xj.
Let L(po, X0) have singular values 61 1 . -a > u,. For simple eigenvalues, Theorem 4 below
shows that, unless y;fL(‘)xo is small (when (3) shows that A is ill-conditioned), the condition
number K of (5) is comparable with the condition number ci/un_r of the system LX = 0.

THEOREM 4. Let A0 be a simple eigenvalue of L, scaled so that ul 2 1 2 ~~-1, and Jet xo, YO
be the corresponding right and left eigenvectors, with llxell2 = zTxe = llyclla = 1. Then

LT.!__ < &. < (1+ IIL(‘)~Oll2 + l1412)(21~;w~;l1211zl12 + IIL(1)xol12+ llz~~2)5.

6,_1 - - X0 U,-I
 Sensitivities of Eigenvalues 71

The upper bound is minimized by the choice zT = x8 (i.e. z = ~0).

We consider two choices of z in (4) in more detail.

(9 When z is constant we call the eigenvectors orthogonally constrained. This choice preserves
analyticity of eigenvectors whether p is real or complex.
(ii) When zT = x*, we call the eigenvectors wifomtly normed, as Ilx@)112 = 1 throughout a
neighbourhood ofpo. This choice, which is common in the engineering literature, preserves
analyticity of eigenvectors when p is real but not generally when p is complex. In this case,
by (6), xj appears on both sides of (5) and, if complex eigenvectors are allowed, t in (5)
may be any member of {xj + icrxo : Q E R}. The member of minimum norm of this set is
the unique member orthogonal to x0, and with this choice analyticity (for real p) is again
preserved.

THEOREM 5. Let X0 be a simple eigenvalue of (2). Then in the unique solution of (5) with
ZT = xz and zj = 0, t is both (a) the derivative of an orthogonady constrained eigenvector
function and (b) the derivative (of minimum norm when x is complex) of a uniformly normed
eigenvector function.

Second derivatives satisfy an equation of the form

(7)

The fact that this equation (like those for higher derivatives) has the same coefficient matrix
as (5) substantially reduces computational cost.

THEOREM 6. Let A0 be a simple eigenvalue of (2). In (7) let zT = xz and

b1= (Lk+ ‘kLcl))

xj + (Lj + AjL(')) Xk + (Ljk + Ajl;(,‘) + XkLj’) + xjXkL(2)) xo.

Then, if b2 = 0, Xjk in the unique solution of (7) is a second order derivative of an orthogonally
constrained eigenvector function while, if b2 = +(xTxk + x;xj), then Xjk is a second order
derivative (of minimum norm in the complex case) of a uniformly normed eigenvector function.

Using (3), the unique derivative of an orthogonally constrained eigenvector x (with IIxgjja = 1)
corresponding to a simple eigenvalue may be computed using

Xj = -(I - XOZT)L+(AjL(') + Lj) X0 (8)

where L+ is the Moore-Penrose generalized inverse of L. From (8) it may be deduced that

IU;(AjLcl) + Lj)XOl
5 llxj 112
flk

_< IlZllz(l + llZll~1>311L+(~jL(1) + Lj)XOll2 (9)

where L = (ul,. . . ,u,)diag(al,. . . ,un_-l,O)(vl,. . . ,v,,)* is the singular value decomposition.

The minimum value of llxj II2 is attained with zT = x6, when the factor (I - x0 zT) in (8) and
the factor ~~~~~~(1+ ~~z~~~‘)~ in the upper bound of (9) disappear. These results, together with
Theorem 4, indicate problems that may arise in the neighbourhood of a multiple eigenvalue, i.e.
when a,,_1 is small. For proofs of (8), (9) an d corresponding results involving group inverses and
higher derivatives see [5].
Further work on numerical algorithms for computing derivatives of eigenvalues and eigenvectors
is in progress. We hope to report more explicitly on this elsewhere.
 72 A.L. ANDREW ei al.

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3. G. Peters and J.H. Wilkinson, AZ = XBx and the generalized eigenproblem, SIAM J. Numer. Anal. 7,
479-492 (1970).
4. C. Cardani and P. Mantegazza, Calculation of eigenvahre and eigenvector derivatives for algebraic flutter
and divergence eigenproblems, AIAAJ. 17,41X-412 (1979).
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eigenvahres, Internat. J. Namer. Meth. Engng. 33, 115-129 (1992).
7. E.J. Haug and K.K. Choi, Systematic occurrence of repeated eigenvaluea in structural optimization, J. Optim.
Theory Appl. 38, 251-274 (1982).

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