Cnaprer 11 Givens Matrices and Their Applications ‘Givens mtn at sre matic fhe ees ee Jugend = 0 00- go 1 1 ee where 2408 “Teyana athe erated Asian atest Wale Gives (900 Since wean dome c= ton ands~ sind lor sone,» Gren mate can be coment ‘ote by 15.8). Gantry the marx) tates a of coordinate an (gy ‘ctor athe =i sd he] yl voter ate ys) trough the en ange 8 Soe ‘kine te (9) pane Ties wy the Gem rica ermal kam are Gh Fotatin opine fotaton athe (.)) plane Thus, wha an evectr == (shy, ee relied ya Gives ston 3 corpora ae ethene matron tei tion te ey ofl ‘pecbed patos aa weston sn ening von sled pense ha, Gives mates brewster spans He Iaczorination of given wate A (oqeze or rectangle), rong Atoan upper Hasesers form, ant so Edg te eine, Inethod), et ‘Scanned with CamScanner4 nd Their Applicat my 434 : Gh Next, we establish that the Givens matrix J(i,,0) is orthogonal and hence jp conditioned. (Orthogonal matrices have condition number equal f0 UHlty under the gpg norms) Lemma 11.1 The Givens matrix J(j, j,) is orthogonal ‘Thus, it follows immediately that Proof: By definition, c? +s Ji, j, 4) Sli 0)" =F Hence, J(i, 7,4) is an orthogonal matrix. In the next lemma, we present a simple algorithm for co structing & 2610 below the fy, i © ft coordinate for any 2-vector via premultiplication by Givens matrices. Lemma 11.2 Ifr= (| is a 2-vector, then the Givens rotation T2 J(,2,8) = [ a Al where 2nd 2 au +a Vata 4 is such that J(1,2,8) 2 = [3] Proof: A direct calculation yields cx, + Sz; J(1,2,8)2 = ce We | Note that Ee x a ; 7 cay + $29 = LOE = \/a2 +03 Vr +22 an ery = MTU _ 4 sa + ct, = vat + a Thus, J(1,2,8) z= [ vats | This completes the proof. The procedure as stated in Lemma 11.2 for computing c and s might yield some overfou or underflow. However, this possibility can be quite easily overcome by the following sim! rearrangement of the formula (11.1). Scanned with CamScannerrth (Computing the Givers parameters rn yon Bevooton, tern for intruducing were We sever) at ni algorithin Computer (he Ciyayy : onto volt Hol M8, Oa iat aae ieee vi vo Ma are ee ws " andl Whew {ital & Lvl, We proceed wa follow ted, (. i owt Nt VOR ae cave Whom [ral [| We prose flow: Py 1 faa) Os mmm seat sunny bw noted thatthe agorithin roquior bout four flops wn one sau root. Next We Hustrate Algorithm Lhd with some examples. prAMPEB VLA bet | f | |< ra), we proceed mx follows: since [a je Oh he ope tie gh my 2 yl rn wn HHenee, susan [§ ‘|- a a Note that IXAMPLB 11.2 Let 2 = | } | Since |g] 2 |r|, we proceed as follows: ie) = ‘A 3 uv c=st= 8 vt Vio’ sono [i ‘Scanned with CamScanner436 iver ns Matrices and Theiy tap ia, Next, we show how the premultiplication of a matrix A by a Givens mat without computing the Givens matrix explicitly. Similar remarks hold for Posting WG, ip of a matrix A by a Givens matrix. “Mea! Algorithm 11.2 (Computation of Premultiplying by a Givens matria) Given matrix A, Givens parameters c and s, and the indices i and j where 1 <4 i, one way to do th is to construct the Givens rotation matrix J(i,j,) affecting the i and j* rows only, sop that J(i,j,6)A will have a zero in the (j,i) position. Explicitly, the required procedure Ae follows: Algorithm 11.3 (Creating Zeros in a Specified Position of a Matrix Using Givens Rotation, Suppose we are given an nxn real matrix A, and we wish to create a zero in the (j,)th Podtien of A, where j > i. The following algorithm overwrites A by J(i,4,0)A such that the latter has a zero in the (j,4)th position. nO such that es) [au]_[* -s c}lai} [0 Step 2: Overwtite A with J(i,j,8)A by forming the product implicitly as specified in Algorithm 11.2. Next, we illustrate the above procedure with a few examples. Step 1: Find c= cos8, s EXAMPLE 11.7 Let 1 A 2 6 In this example, we create a zero in the (2, 1)th Step 1: Find cand s such that Step 2: Form J(1,2,0). w J(1,2,0) = | -% 0 J(,2,0)A=] 0 te Se Be 8 As Cr Scanned with CamScannergivens QR Factorization i ails 441 pbe ALB Let ieee yi Antena Sibel sexu, 6 eFC A EEO In he (1) en dl 3, th yx my Fd eal ch tha Wi Vostion of A using J(2, 8,0) r y, Form J(2,3,0) sep 1 0 0 J(2,3,0) = | 0 s | s 5 3 MPM J(2,3,0)A=| V5 & 0-H 0 11.2 GIVENS QR FACTORIZATION from the algorithms presented in Section 11.1 for creating zeros in specified positions of a jyen vector or a matrix, it should be clear that Givens rotation matrices can also be applied, jke Householder matrices, for finding the QR factorization of a given matrix. Since both. Householder and Givens matrices are orthogonal, both methods can be shown to be numerically able, The Givens method, however, is almost twice as expensive as the Householder method infinding the QR factorization of a given matrix. In spite of this reason, QR factorization using Givens rotations appear to be particularly useful in QR iterations for eigenvalue ‘computations aswell as in the solution of linear systems with structured coefficient matrices such as Toeplitz matrices. ; “Tnthis section, we present the basic algorithm for constructing the QR factorization of an ‘neal matrix A, where m > n, using the Givens’ method. (Givens QR Factorization Theorem) Let A be an m Xn real matrix e revit 1), Then there exist p orthogonal Givens matrices eens 44 {| gyre tye) sential od ~ i ‘ a ‘Scanned with CamScanner| | then we have AuQn where A is a matrix of the same order ax A with zerow below the diagonal, Outline of the Proof: The basic idea of this construction js very analogous to Novel oy Factorization outlined in the proof of Theorem 104, Let AO = A eee ; We compute Givens matrices Q1, Qay «+1 @ky using, Givens rotations such that AW = QAM has zeros below the (1,1) entry in the first column, Al? QA has zeros below the (2,2) entry in the second column, and 80 on. Each Qi 1 generated a product of Givens rotations. One way of defining Qj is as follows Qy = J(1,m,0)/(1,m = 1,0)-+°F(1, 2,8) Qo = J(2,m,0)I(2,m = 1,0) J(2,3,0) and 50 on. By construction, BE A® = QAP~Y = QpQp-1AP™ = ++ = QQp-1 QA = QTA where p = min(n,m — 1) We now have A=QR with QT = QpQp-1-+-QoQ1 and R having the same order as A with zeros below the main diagonal. This completes the proof. Next, we state the algorithm for QR factorization of matrices using Givens rotations, Algorithm 11.4 (Givens QR Factorization of Matrices) Suppose we are given an mxn real matrix with m >n. Define p = min(n,m — 1), The following algorithm computes the Givens matrices defining an orthonormal matrix Q and a matrix R as stated in Theorem 11.1. The algorithm overwrites A with R. For k= 1,2,...,p do For!=k+1,...,mdo mameoesl ote uf baaiok (1) Find c and s such that | feailsl-b): 3a (2) Save the indices k and J and the numbers. ¢ and 8, rite A with J(k,1,0)A (using Algorithm ‘Scanned with CamScannerons QR Factorization re vr Gi kt It-can be easly, seen that the Givens QR factorizatlon ‘of matrices defined in om algorithm requires 2n4(=) flops, ‘This count does not include the computation of abort Qs Thus, it is clear that the Givens QR factorization algorithm jg computationally weiaiyice as exe m8 the Householder QR factorization algorithin. ark 113 ‘The Givens QR factorization algorithm is numerically stable (Wilkinson 1965, rem tn the notation of backward stability of numerical algorithis, it ear be shown that if 20 he computed matrices Q and R satisfy R=Q™A+E) sere ; ; e Elle < 6un?/2(a + 6n)°"- Alle (1.2) where #18 the machine precision. The bound for the round-off error given in (11.2) essentially Sablishes that the Givens ‘QR factorization algorithm is numerically stable py Givens and Householder QR Factorization Theorems, we know that the QR factor ition of a matrix Always exists ‘nd this factorization may be obtained in different way tt is, therefore, natural to wonder whether the QR factorization of a matrix is unique. We discuss the uniqueness of QR factorization of matrices for square and, in general, matrices. ‘Theorem 11.2 (QR Uniqueness Theorem for Square Matrices) Let Abe an nxn nonsingular rnatrix. ‘Then there exists a unique m x 7 orthogonal matrix Q and a unique n 7 UPPSE triangular matrix R with positive diagonal entries such that A=QR Proof: Let os ht A=QR=QR (11.3) be two QR factorizations of A, where Q and Q are orthogonal matrices and R and R are upper ttiangular matrices having positive diagonal entries. . No reall that an orthogonal matrix O is always nonsingules ecause det = 21, (Chis follows because O7! = OT and so OOT = I, which gives [det(O)|? = 1). Because A, Q.and Q are nonsingular matrices, it is immediate that the upper triangular matrices R and Rare a4 nonsingular matrices. In fact, we can express Rand R as att he ae R=Q'A and R=QhA a and we know that product of nonsingular matrices is nonsingular, From (11.3), it follows that v£@'Q=kR* (ne so that ty ~Q'QQ'Q= viv =Q7QQ'Q=1 ole a a i Scanned with CamScanner444 Givens Matrices and Th Ate Hence, V is an orthogonal Note also that V ” ygonal matrix. Note alse wre Upper triangular matrices. Since VV = I, equating oe on both sid V must be a diagonal matrix with +1 as its diagonal entries. s upper triangular because bot} th les, mci dy Rri_| ©& with d)=41,i=1,2,....n dn Since R and # are upper triangular matrices with positive diagonal entries, it is ln, that di = 1 for each i=1,2,....n. Hence, it follows that or equivalently that R=R Substituting above into (11.4), it follows immediately that OQ=1 or equivalently that Q=a This completes the proof. Next, we Beneralize the QR uniqueness theorem to overdetermined matrices having fy column rank. Theorem 11.3 (QR Uniqueness Theorem - General Case) Let A be an mxn( matrix with full column rank. Then there exists a unique m x n matrix Q with columns and a uni ue mn upper triangular matrix R with positive diagonal entries such that A=QR Proof: The proof is carried out using an important result (Theorem 1.53) for positive definite matrices. First, we establish that ATA is a positive defini ite matrix. First, we note that A7A is positive semi-definite because for any x € R’, TAT Aw = (Az) Az = ||An|2 > 0 Since the columns of A are lj y | f | Therefore, we have Scanned with CamScanner‘ Givens QR Factorization H re guppone that A=Qhe Oh To) and Q are mn matrices hay eG patroes With podltive diagonal ent gett columns, ond Rad ft ne 0%” SPREE vi that A= PO Ohm HOR pol similatly, A A= OOR= HOR From the uniqueness result, expressed in (1. 5), it is now immediate that Rap oy orequivalently that R=R Now, as 2 is nonsingular, it is immediate from (11.6) that Q=90 ‘This completes the proof. Next, we illustrate the Givens QR factorization of a matrix with an example. EXAMPLE 11.9: Using Givens rotations, find the QR factorization of the matric 1, 2-1 A=|21 3 164 Solution: Let A be A. Step 1: We find the Givens matrix Q, using Givens rotations such that AM = Q,4 has zeros below the (1, 1) entry in the first column. By the Givens QR factorization algorithm, wp know that = J01,3.00,20) To find J(1,2,4), we must determine ¢ and s such that a ‘Scanned with CamScanner0.4472 0.8944 0 J(1,2,@) = | -0.8944 0.4472 0 0 o1 Note that ios 0: 2.2361 11,7889 2.2361 J,2,A=| -s c 0] = 0 -13416 2.2361 001 1 5 4 (For programming purposes, J(1,2,9)A may be written over A) Next, we must find J(1,3,). For this purpose, we find ¢ and s such that [2 2] J-(3] ay; = 2.2361, a31 = 1 Here, = 0.9129 and s =ct = 0.4082 t= 9.4472, c= ay c 0s 0.9129 '0 0.4082 J(1, 3,8) = 010/= Orn 0 Oc 0.4082 0 0.9129 Therefore, Thus, we obtain 0.4082 0.8165 0.4082 -0.1826 -0.3651 0.9129 Qi = J(1,3,6)J(1, 2,8) = 0.8944 0.4472 0 and 2.4495 3.6742 | AO =Q,A= 0 -1.3416 2.2361 0 3.8341 2.7386 (Note that A“ has zeros below the (1, 1) entry in the first column) Step 2: Here, we find the Givens matrix Q» using Givens rotation so that A?) = Qa { column. ‘Scanned with CamScanner_ Givens Reduction to Hessenberg Form Aa7 were. 1.3416, gy = 3.8341 = 0.9439 and c= st = —0.3303 therefore, we have AsttiKO} 40 1 0 0 o-reae-[0 ec s|=| 0 -0.3303 0.9439 0 -s ¢ 0 0.9439 | -0.3303 We find that if | 24498 36742 3.6742 R=A® =Q,AM = 0 4.0620 1.8464 0 0 3.0151 and also that * 0.4082 0.1231 0.9045 Q=QTQF = | 0.8165 0.4924 -0.3015 0.4082 0.8615 —0.3015 Thus, A=QR where the matrices Q and R are as described above. 11.3 GIVENS REDUCTION TO HESSENBERG FORM. Using the algorithms presented in Section 11.1 for creating zeros in specified positions of a given vector or a matrix, we now apply Givens rotation matrices, like Householder matrices, toreduce an arbitrary n x n matrix to its upper Hessenberg form. Since both Householder and Givens mattices are orthogonal, both methods can be shown to be numerically stable. The Givens method, however, is almost twice as expensive as the Householder method in reducing a siven square matrix to its upper Hessenberg form. In spite of this reason, Hesenberg reduction 3 rotations appeat to be particularly useful in Hessenberg QR iteration method for ons, signal processing applications and also in control theory. ‘we present the basic algorithm for reducing an arbitrary m x n real matrix: -form using the Givens’ method. rolled to Hessenberg Form) Let A be any n x n real ity tre ion P, whi caren where P is a product of Fase 8 Scanned with CamScanner> | 448 Givens Matrices and Their APP eon, Outline of the Proof: Step 1: Here, Givens rotations J(2,3,0), (2, 4y0).-+-s F278) are computed Neng, so that with Py = J(2n,0)d(2n = 1,0) S24, OI (23,0) we have Ewer: erm 3s he A PiAPT = AY) = Ob ee By construction, the matrix A) has zeros below the subdiagonal entry in the first column, Step 2 Here, Givens rotations J(3, 4,8), J(3,5:8),---»J(3,.8) are computed Stceessiely so that with P2 = J(3,n,6)J(3,n — 1,8) --- J(3,4, 8) we have +e * ae te * O* * * PAM PT =A =| 9 0 x * (no eee By construction, the matrix A) has zeros below the subdiagonal entries in the first and second columns. Continuing in this manner, the matrix A will have zeros below the subdiagonal entries in the first i columns. At the end of (n — 2)th step, the matrix A(-*) is the upper Hessenberg matrix H,. We note that the orthogonal similarity matrix P is a product of Givens matrices given by I P= ProoPa-g- Pai where © P= IG +1, 0) +1,n-1,6)--- Ji +1,64+2,0) senbery Reduction) Let A be any n x n real matrix. The ith PAP? — H,,, where H,, is an upper Hessenberg matrix. Scanned with CamScanner3am Reduction to Hessenberg i. 449 lessen Rees about “yn? flops, while the Hen’ ies 1 reires about $n? flops. ‘Th i js about twice as expensive as ¢} fort 8 reduction of matnices using Givens method 3B teduction of matrices using Householder’s Clear that the Givens reduction to Hessenberg Suseholder reduction to Hessenberg form. Givens reduet similarity tr matrices, US, it is he H k 11.5 It can be shown that the ne algorithm. It is clear because the tion to Hessenberg form is a numerically a product of Givens (orthogonal) stal ‘ansformation used is orthogonal, which is just Here, a21 = 4, a3; = 2 a; t= a Therefore, 1 00 1 0 0 P=P,=J(2,3,0)=|0 c s|=]0 ogosa 0.4472 0 -s.¢ 0 0.4472 0.8944 Note that 1 5.3666 0.4472 waalt Hy= PAP? = | 44721 -2.6000 1.8000 0 1.8000 2.6000 ‘hich isin upper Hessenberg form. ! EXAMPLE 1111 Using Givens method, reduce the following matrix to upper Hessenbe: form: ‘Scanned with CamScanneri 450 Givens Matrices and Their APPlcatia, ‘AO has zeros below the subdiagonal entry i, ‘Step 1: Here, find P, so that PAPI = Py = J(2,4,8)F(2,3,9) First, we find J(2,3,0). For this, we must determine ¢ and s such that foe] able) first column. Note that Here, ag = 3 and as; = 4 Hence, 0 1, 0400) De ee 0 cs 0 0 06 08 0 J23)=1 9 5 ¢ o|—]0 -08 06 0 0 o1 0 OO Note that Rete vig hie 5 1.92 | (2,3, 0)AT(2,3,8)7 =] 9 9.44 3 38 Next, we find J(2,4,0). For this, we find c and s such that: ce s]fan]_[* -s c}lan]~ [0 Here, a2) = 5 and ay) =3 Therefore, 0.8575 and s = ct =0.5145 00 1 00 0 0 s|_|0 0.8575 0 0.6145 PO eo 01 0 | Oc 0 0.5145 0 0.8575 ‘Scanned with CamScanner: Heesenhe 3 m "Form 1.0000 4 = Raptr _| saa 10290 3.4000 4.0474 0 37941 1.2005 0.6765, to Dia 2.9200 1.1456 In this last step, we find p Se this, we must find © and s g2,, 1(3:4,4) h that aod 1.0000 1.0290 -0. >4pr_ | 58310 3.7941 0.52 Hy= PAP" =| 99909 4.4608 which is in upper Hessenberg form. PROBLEM SET we 1 Letx= [ |: Find a Givens matrix G such that Gx = [ota crs mac cmt =| Scanned with CamScanner 0.1259 0.1259 | * ° 5.2813 378 —1.2687 -3.4962 3.9379 0 0.0000 1.8931 0.7021 0 0.709, ¢ and 5 = ct = 0.6105 if have 10 00 1 0 0 0 P; = 4(3,4,0)=|9%1 00 o1 0 0 8 © s1* 10 0 07920 o.s105 0 -s ¢ 0 0 -0.6105 0.7920 N 1 0 0 0 P=P,P,=|% 95145 0.6860 0.5145 0 -0.8221 0.2239 0.5235, 0 0.2439 0.6923 0.6791 Jeee “| Matrices and Their Appia, 452 Giant * § 7 at Gz = | * 3. Let | 2 Find a Givens matrix G such the ; * 1 a * 4. Let 2 = a Find a Givens matrix G such that Gr =) 9 * 4 * 1 F Gr=|0 5. Let x= 2 |.. Find a Givens matrix G such that Gr =) 7 -3 2 se 6. Let z= 3 Find a Givens matrix G such that Gx = ; 1 trix 7. Using Givens rotations, find the Givens QR factorization of the mat 8. Using Givens rotations, find the Givens QR factorization of the matrix “EH 9. Using Givens rotations, reduce the following matrix to Hessenberg form: [2] 10. Using Givens rotations, reduce the following matrix to Hessenberg form: enw wore 2 0) A=|-2 34 1-4 2 11. Using Givens rotations, reduce the following matrix to Hessenberg form: ye Ht hoes eB ce 2ier3 4-231 Scanned with CamScannera Chap 12 ee = Methods for Matrix lWenvalue Problem tn this chapter, we study various a realmatrices. We note that matrix eigen cay celts for fin carious disciplines of science and eng ee? is important for the following reason simply that \ be a root of the ‘ ding all or selected problem is one of the very ting, ‘The numerical me The eler nl characteristic equat important p thods for solving th ntary definition for a matrix eige ion of the associated matrix A det(A — 1) = 0 We note that the above definition should be take practical approach by any means whatsoever, A standard practical approach for solving the many applications, we do not need to know the need the dominant and subdominant eige this type of problems, we use the power method and inverse iteration algorithms This chapter is organized in seven sections. In Section 12.1, we on eigenvalues and eigenvectors, which are important in applications, We need many of the results from this section for the numerical methods presented in the subsequent sections. Im Section 12.2 we discuss power method, a classi n only as a definition, and that it is not a eigenvalue problem is the QR method. For full set of eigenvalues of A, and we merely nvalues and the associated eigenvectors of A. For state the basic theorems al numerical method for finding the dominant eigenvalue and the corresponding dominant eigenvector for a real diagonalizable matrix A. The power method has a lot of importance in linear control systems theory as dominant eigenvalue and the corresponding eigenvector of the system matrix of a given autonomous linear system completely characterize the long-term or steady-state behaviour of all solutions. Tn Section 12.3, we discuss the inverse iteration, which is a very efficient numerical method owing to Wilkinson (1965) for computing the eigenvector © of a real diagonalizable matrix _ Avwhen a good approximation o is available for the associated eigenvalue \ of A. In Section | 124), we discuss an efficient numerical method called the Rayleigh quotient method to compute ‘an eigenvalue \ of a real symmetric matrix A when a good approximation to the associted Se tion Tae the computation of the subdominant eigenvalue and associated rector of a real diagonalizable matrix A using a numerically stable procedure ealled the holder deflation. In Section 12.6, we detail the Jacobi 's ishtod for Sutag the eigenval- and eigenvectors of a real symmetric matrix, Jacob's method is an = a roost symmetric matrices of order n < 20. Jacobi’s method tends to be very slow for matrices 453 Scanned with CamScannerMethods for Matrix Eigenvalue Prob, ee Numerical ey ty transformations involvin, «. oP arvlern > 20, Jacobi's method uses orthogonal ae OR Method, and the ae rcation maeln, Pialy, in Section 12.7, ree ienaier [ge Menor mat inetd tke thy Hessenbery QR Method, Single a de othe atte < Very’ useful in applications for finding’ all the eigen 12.1 BASIC THEOREMS ON EIGENVALUES AND EIGENVECTORS i eigen whi Th'dils seckitn, wwe i basic theorems on egies on te emt whichis is section, we d ; i fo : w ‘a in the ana of various numerical methods in this chapt * estimating the x e ices. eigenvalues and eigenvectors of real, square matri otter First, wo recall the definition of eigenvalues and eig areal n x n matrix, then we say that A is an eigenvalue eee o ector x such that the following equation is satisfied: there exists a nonzero n. ofA is Ax = dt In this caso, « is called a right eigenvector or simply an eigenvector of A corresponding to the eigenvalue A, and the pair (,.r) is called an eigenpair of A. The set of all eigenvalues of A ic called the spectrum of A, and is denoted by eig(.A). ; ; Wersay that a vector y €€" isa left eigenvector of A corresponding to ) if yaa ay where y” = 9? is the conjugate transpose of y. Remark 12.1 If \ is a real ej 8 complex eigenvalue, then: 'genvalue, then the corresponding eigenvector 2 is real. Ii (9) A, the conjugate of A, is also an eigenvalue of 4; (©) the eigenvector + corresponding to \ is complex; and (©) &, the conjugate of z, is an eigenvector of A corresponding to J. Remark 12.2. From Definition 12.1, it is immediate that the eigenvalues of A are the roots Of its characteristic Polynomial, denoted by pa(A), and defined by Pa(A) = det(Ar — A) A ra de change es Dl Pa(s) = det(sI — A) <9 Note that this is uot a practical method for netsie of A for obvi I determining the eigenvalues Pie Cincher eee Scanned with CamScannerasic Theorems "i Bi on Bigenvalues ang Eigenvectors 455 rk 12.3 If ris an eigen pent’ 0, because Vector of A comes ave Ponding to an eigenvalue A, then $0 is 2 for Alaz) = a(n) 50, if £1 and w2 are eigenvector, 4-33) because Sof A corresponding to the is - he same eigenvalue 2, then $0 =a(Ar) = Naz) A(w, +22) = Ag, 2) At + Aty = day + d2q = Moy +22) thus, if we define Ey={ve€": Ar= dr, re} 1 Ey is a subspace of €" correspond thet responding to A, called the eigenspace corresponding to the tigenwalte gymmetric matrices are important in applications. 4 psa fot about symmetric mares applications. ‘The following theorem states an im- rem 12.1 Let A Teo be any n x n real symmetric matrix. Then the eigenvalues of A are Next, we recall the definition of similar matrices. pee em Let A be etl nxn matrix. Any transformation of A of the form X~1AX, es Oe pees led a similarity transformation of A, and the matrices A and Remark 12.4 Let A and B be similar matrices, i.e. suppose that B=X"1AX where X is nonsingular. Since pa(A) = det(B— A) = det(X~!AX — M) = det(A— M) = pa() ame eigenvalues. Thus, we may hope that by a suitable e A to a simple form such as an upper Hessenberg form note that this calculation is ill-conditioned ~ itisimmediate that A and B have the s mmilarity transformation, we can reduc “and thus compute the eigenvalues of A. However, iffa(X) is large. Indeed, if a(X-1AX) =X1AX + B ablished that Bla = wr2(X) Alle precision. Thus, fe2(X) is large, then we will have significant ‘orthogonal, then K2(X) = 1, and so we have [Ella = | Allz umber if we work with an orthogonal similarity transfor minimize the round-off errors in eigenvalue calculations, we transformations, whenever possible, round-off Scanned with CamScanner= for Matrix Bigenvalue Pro), m 456 Numerical Methods Definition 12.3 We say that a square matrix A is diagonalizable if there exists a nonsing,), matrix X such that At Az XAX in that a square matrix A is orthogonally diagonalizable if there exists an orthogony We X such that X7AX is a diagonal matrix, matrix Next, we state the conditions for diagonalization and orthogonal diagonalization of square matrices. ‘Theorem 12.2 Let A be areal n x n matrix. Then: (a) A is diagonalizable if and only if A has a set of n linearly independent eigenvectors (b) A is orthogonally diagonalizable if and only if A is a symmetric matrix. Remark 12.5 Let A bea real nxn square matrix. Then A need not be diagonalizable. Even if A is diagonalizable, it is not easy to determine the eigenvalues of A by finding a similarity transformation X-!AX that brings A to a diagonal form, because finding such an X really amounts to finding a set of n linearly independent eigenvectors of A. ‘The next theorem, known as Real Schur Form Theorem, is very important in applications This theorem provides a most nearly triangular form that we can achieve for a given square matrix by orthogonal similarity. Theorem 12.3 (Real Schur Form Theorem) If A is a real n x n matrix, then there is an nxn real orthogonal matrix Q such that Ru Riz: Rie peer | cages) esol adie eth (22a) oO 0 Rr where each diagonal block Ris is either a real 1 x 1 matrix or a real 2 x 2 matrix with a pait of complex conjugate eigenvalues. The diagonal blocks yj; may be arranged in any prescribed order. (The matrix R in (12.1) is called the real Schur form (RSF) of A) Remark 12.6 The proof of Theorem 12.3 assumes a knowledge of ei; i . igenvalues and eigenvee- tors of A. Thus, the proof of Theorem 12.3 is not useful in practice to determine the eigenvalues of A. Nevertheless, we can obtain the real Schur form of A (and thus the eigenvalues of A) by an iterative procedure known as QR algorithm. Fora real square matrix A, the MATLAB command ‘{Q, R] = fo aa and R, where @ and Hikes ea rua ie |] = schur(A)’ gives the mat Scanned with CamScannerPower Method POWER METHOD 12 se section, we discuss power ‘nis me ale a es corresponding eigat 2% god has 8 lot of importance 4) for a hod has @ lot ce in line 8 snr aponding cigenvector ofthe ge ee eteals Graracterize the steady-state hehe OnFirst, we define the dominant's genve sa 1 anetical method for finding the dominant Veter en teal diagonalizable matrix A. This M matrix of its theory as dominant eigenvalue and the siven autonom completely our of al solute ‘ous linear system comp! ere kr sere ae efinition 12.4 Let A be ay Y Teal prminant eigenvalue of A : axa if the eigenvalues ni Tix. Then an eigenvalue A; of A is called a SIU 2108 a eanitetende eS 2 Ws] > > Vaal Remark 12.7 Suppose that is a do i * flue of a given real matrix A. Then it is obvious that 1 must have algebraic multi, icity ee z yy eannot be complex. For i), ae ‘ rae to 1. Similarly, it is also obvious that # Xi will also be an eigenvalue of A, and wo that A; is not a dominant ei necessarily real and has multi A corresponding to Ay, then x) can (\y21) the dominant eigenpair of A Setvelte of A. Hence, the dominant eigenvalue of a mata Plicity equal to one. In view of this, if is an eigenvector of be chosen to be a real n-vector, ie. x1 € R, We call EXAMPLE 12.1 If A in a 5 x5 real matrix with the eigenvalues —7,1+ 1,6 + i, then A, = —7 is the dominant eigenvalue of A. If Ais a5 x5 real matrix with the eigenvalues 3,-3,24,—2, then A does not have a domin ‘ant eigenvalue. If A is a 5 x 5 real matrix with the eigenvalues —3 + i,2 +i, 1, then A does not have a dominant eigenvalue. The dominant eigenpair plays an important role in autonomous linear control systems as the long-term behaviour of the solutions is governed by the dominant eigenpair. This can be easily seen as follows: Consider a linear autonomous discrete-time system given by x(k +1) = An(k) (12.2) where A is a real n xn, diagonalizable matrix. If we define the initial condition as (0) =z» (12.3) then it is immediate that the unique solution of the initial-value problem (12.2-12.3) is given. by a(k) = Akzo, (kE Z+) (12.4) Wher, all positive integers. Suppose that (1,71) is a dominant eigen- La Sevotes Ye sak ot a post (by assumption), A has a set of n linearly independent ir of A, as a ee sc tcatine its eigenvalues, say A1,.2,--+,An- Scanned with CamScanner458 Numerical Methods for Matrix Eigenvalue Probie, m Given any initial state x9 € IR", there exist uniquely defined scalars 4, 035426 On” such that Xp = a101 + a2t2 + + Antn Using (12.4) and the fact that Abr; = Ak for i= 1,2,.-.»ms we Bet | & a(k) = ayAkxy + apAz2 +-°° + ObAnTn (125) ie. ke ra 2 a a(k) =F [ova tay a) ayt s+ On (¥) tn (126) Since A, is the dominant eigenvalue of A, it is immediate that al lim |~] 0, ¥j=2,3,--.9” (127) k=00 |My Hence, from (12.6) and (12.7), it follows that lim, 2(8) = un (128) where j is some constant. ‘Also, since A; is the dominant eigenvalue of A, it is immediate that Az A Thus, the speed of convergence in (12.8) is governed by | If ay #0, then it is immediate that 1 # 0 so that yur: is an eigenvector corresponding to the dominant eigenvalue Ay. Thus, if we choose any initial condition xo such that zo has a nonzero projection on the subspace of R" spanned by the eigenvector zy, then the corresponding solution x(k) = A*zo approaches the directon of the dominant eigenvector 11 | as k + co with the speed of convergence given by [| Ifa; =0, ie. if zo has a zero projection on the subspace span{z}, then we suppose that A has a second dominant eigenvalue \2 with rz as the associated eigenvector, i.e. we assume that the eigenvalues of A are ordered so that [Aa] > [2] > [As] >= > [An] In this case, we call (A2,22) as the subdominant eigenpair of A Since a; = 0, Eq. (12.5) reduces to 2(k) = a2\n + asNhns +--+ + ap Aker, Scanned with CamScannerpower Method 459 ie a(k) = A$ [ou t+ay(2s\ ‘ (RY a4 4a (%) -| A similar calculation, as before, then shows that dim, 2(k) = jizy (12.9) jris a constant. Since d» is the ae Weissiere, chat tne a a = subdominant eigenvalue of A, it can be also easily Convergence in (12.9) is governed by Note again that if a2 #0, then ji 4.0 so that jizy is an eigenvector of A corresponding to the subdominant eigenvalue Ay of A. Thus, fay =0 and ay 40, Le, if 29 an initial state with zero projection on the subspace span{;} but with nonzero projection on the subspace spon{z2}, then the corresponding solution 2(k) = A*zo of the linear dynamical system (12.2) converges to fo direction of the subdominant eigenvector 2» of A with the speed of convergence owed by |32|. Since, in general, the initial state x9 will have a nonzero projection on either of the two subspaces—span{r1} and span{2}, it is immediate that the dominant and subdominant eigen- air of A completely determine the long-term (or steady-state) behaviour of the solutions of the linear dynamical system (12.2). Next, we describe the power method for finding the dominant eigenpair of a real diagonal- izable matrix A. This is an efficient classical algorithm for finding the dominant eigenpair of | Avand particularly suitable for large sparse matrices (note that a matrix is called sparse if it contains a large number of zero entries.) For stating the power method algorithm, we need the following definition: 1d ‘there are many entries of y having the maximum modulus value. Tn such ax(y) to be the first entry of y having the maximum modulus valve, ‘Thus, I-defined function on R”. Remark 12.8 Ify IR", then we note that max(y) and [yl are defined diferently. The tion connecting max(y) and ||ylloo can be stated as follows: Scanned with CamScannerj 460 Numerical Methods for Matrix Eigenvalue Pro le % EXAMPLE 12.2 Let ri 2 y 8 1 3 From Definition (12.5), it is immediate that max(y) = -3 Also, if then it is immediate that max(z) The following theorem is important in applications: Theorem 12.4 (a) Ify€R" and c€ R, then max(cy) = emax(y) (b) max(-) is a continuous function on R". Proof: (a) Let max(y) =. Then, by definition, i is the first entry from 1 to n such that Lys] = maxt{(ly|s [uel +5 Lynl} It is easy to deduce that max(cy) = cy; = emax(y) (b) Consider any two vectors y,2 € IR”. Then we know that max(y) < |[yllo and max(z) < nz|loo Hence, (1210) |max(y) ~ max(z)] < ||uloo ~ ll2[lool $ lly = Zlloe = |max(y ~ 2)| From (12.10), itis immediate that max(:) is a continuous function on R". This compl the proof. Scanned with CamScannerpower Method 4a ye power Method Algorithm por «sate the power method algorithm for computing the dominant eigenpair of a real trix and establish the convergence of the power method algorithm. ‘The | able etna a Dower method because its algorithm involves the powers of the matrix A. oe! sora 125 (Power Method for Diagonalizable Matrices) Let A be areal, diagonalizable, soem trix with 0 dominant eigenvalue, Suppose that A has the eigenvalues A1,Azs-+-+%n "od so that ed 50 tl ot Lal > [al 2 Aa] 2 > 2 Pan gnce A'S dingonalizable, A has a set of n Tinearly independent eigenvectors 21,22»... +n © responding tO the eigenvalues \1, Az,...,n respectively. Since A, is real, we can take 21 veal n-vector. Suppose yp € IR" is any vector (initial guess) such that if we write sobea Yo = 021 + agt2 +++ + Ann thon oy #0. For k= 1,2,3,...00, we define vectors yk and zx by % = Ayer y (12.11) ue = acto Ask +00, {max(zi)} — Ar, and {ye} — ex1, where c is a real constant, Proof; First, we claim that Ayo we Saat) OF REZ (12:12) where Z, denotes the set of positive integers. We prove this claim using induction. By definition, a 2 = Ayo and y= ae A so that sift ADs 1 max( Ayo) Hence, Bq, (12:12) holds for k = 1. Next, suppose that Eq. (12.12) holds for It = m, where me Z,. Then we have A™ yo m= tmax( Ayo) 2m Zm41 = Aym and Ymy1 = ae ae m+) Amy max(Ayo) Scanned with CamScanner be (12.13) 4 Led462 Numerical Methods for Matrix ue Probe Thus, max(A"*!yo) max(2m+1) = aA 0) so that li i pai Cog Unt = max(m41) ~ inax(A™*1 yo) ‘Thus, we have shown that Eq. (12.12) also holds for k =m +1. Hence, by ing Eq. (12.12) holds for all k in Zy. ition, The initial guess yo is chosen so that wo = ars + ante +--+ Onn Hence, Ay, = A*oyei +02%2 +--+ Ontn) = aydkxy + 02h +--+ OnMtn Hence, we have ay! an\* Ayo = ¥ fous tag (#) ty t-+On (#) In (214) Since A, is the dominant eigenvalue, it follows that ; aA Met = 2,825 [2] <1 oe Faso Hence, it is immediate that a" (2) 0 as k + co for j=2,3,...,0 1 From (12.12) and (12.14), it is now immediate that Ay Ve Tea) — OH BF B00 stant. (yk) = 1 for all k € Z,. By the continuity of the function max(:),it ‘Scanned with CamScannerpuarswer: Method 12! 463 gince yk C41 88 K —> 0, it follows from (12.16) th 16) that, A(lim = ity Ye=1) = Alor) = e(Axy) = cdr (12.17) Using the continuity of the function max(-), we conclude from (12.17) and (12.16) that om and (12.16) that im, max(zp) = max(cdyx1) = \yemax(2, =) ‘this completes the proof. 2.9 In the stateme remark 1 ement of the power method, it i Remy that if we write yo as power method, it is assumed that the initial guess yo Yo = Oa +202 +--+ Anta then a1 #0, ie. an assumption is made so that yo has a non-7 i i eee ca aaioainne datos seria d See ee rnton silee soe the convergence of yx to the direction of the dominant eigenvector x1. An objection to this assumption may be made on the grounds that we do not know the Aoainaes eigenvector a wroti, However, we remark that this assumption may be made without loss of generality peeause even if a, = 0, the roundoff errors in the subsequent iterations will indeed enforce that yp has a nonzero projection on the eigenspace spanned by the dominant eigenvector #1. Remark 12.10 ‘The power method is an iterative procedure to compute the dominant eigen- pair of a real diagonalizable matrix A. Now, suppose that A has a tie-dominant eigenvalue, ie. if the eigenvalues of A are such that 41 = 2 ="+"=Ar and Jr > egal 2-7 Dal and also that A has a set of r linearly independent real eigenvectors corresponding to the tie- dominant eigenvalue Ai. ‘Then a simple calculation shows that the power method sequences {y:} and {z,} defined in Theorem 12.5 are such that as k — 00, max(z) ~ Ary the tie- dominant eigenvalue of A, and ys converges to some vector in the r-dimensional subspace of R® spanned by 1, £2)---»2r- power method algorithm given in Theorem 12.5, Remark 12.11 For implementation of the conventional to take yo a5 we need to choose the initial guess Yo- It is yo = — Scanned with CamScannerNumerical Methods for Matrix Eigenvalue p.,, 464 EXAMPLE 12.3 Let cmmas teil = 3-5 2 e 5 2 10 5.5638, and ~11.9249. Thus, the domninan i igen Then the eigenvalues of A are 0.0887, ae aie ee tm contained in Theorem 12.5 fr the given, ig Next, we apply the power method algorit Take 1 w= 2 1 | and max(z1) = —0.6667 = 0 1.0000 A | wm inax(z1) k=2: i! 2.6667 ) } n=An= 0 | and max(z2) = —13.3333 13.3333 —0.2000 eh wale cls 0 2° max(z2) 1.0000 k=3: 2.2000 z3=Ayo=|} 1.4000 | and max(zs) = —11.0000 BI | =11.0000 | | Ps 0.2000 eee oars | aes (23) 1.0000 Proceeding like this, we will get i 1.9368 0.1710 | ai =| 2.6585 |, max(zy,) = -11.3243 and y,, = | 0.2348 11.3243 1.0000 -« Scanned with CamScannerNote that max(=11) = ~11.3245 is a good approximation for the dominant eigenvalue 11.9249. It is also easy to verify that y11 is close to the direction of the dominant | ie Sivector 7. Indeed, we see that 0.0006 0.0003 Ayn — wn = | 0.0021 ‘hich js small. Thus, we see that max(z.) — Ay and y, + cr, as k gets large. wl pxAMPLE 124 Let 9 53 8 38 “| 7 -6 6 4 67 ° \068i, and 3.9242. Thus, the dominant S ‘Then the eigenvalues of A are 20.4530, 1.3114 + 6. nvalue of A is Ay = 20.4530. i eee, we apply the power method algorithm given in Theorem 12.5 for the given matrix A [Toke : i ai ony 1 kek ; a 2 = Ay = a and max(z1) = 26 and max(zp) = 20.7692 ‘Scanned with CamScannerNumerical for Matrix Proceeding like this, we get : iat 1.0000 ano = | 184272 cide tate Eloy 10 =| Ganzg |» maxlei0) = 02612 19.2649 iii = 20.4530 is the same as the dominant eigenvalie *s = 204500, Ney, Note that: max(z10) also that yio is (approximately) along the direction of the dominant eigenvector xy of 4 Indeed, we see that 0.0863 _4 | 0.5301 Ayno — rio = 10" | _9. 5480. 0.0964 A the power method algorithm given in Theorem 125 ‘dg is the subdominant eigenvalue of A and ), 12.2.2 Rate of Convergence Next, we prove a theorem which says that has a rate of convergence given by |32| where is the dominant eigenvalue of A. ‘Theorem 12.6 Consider the power method algorithm given in Theorem 12.5. The rate of convergence of this method is given by do AL where Ap is the subdominant eigenvalue of A, and 4; is the dominant eigenvalue of A. Proof: As we showed in the proof of Theorem 12.5, the vectors 4 have the property that Akyo = mmax(A¥yo) for ke Z, where Z,, is the set of all positive integers. Therefore, if the initial guess yo is chosen so that wo =ay21 tart, +++ +anty with oy £0 Aky = ayMry + agra +--+ an dhan ‘Scanned with CamScanner| ince the dominant eigenvalue, we know that » Py |<} for j= 2,3,...4n lence for large values of k, t max(A*yp) = M max(ay2)) 2 aku wee max(a121). Note that : # 0 because ay #0 and 2; is nonzero being an eigenvector: B= for j=1,2,...,n since ‘fi = Seat) JJows that for large values of k d2)\* EA Bir + Bp (2 ba ns Ye X Ary » (3) my t--+8, (2) In Hence, it is immediate that for large values of k it fol liye —Arzil) << Bo(32)Rr2 + Ba(32)fxa +--+ Bn GE) al <_ [Goll32/xall + all $21 lle + -- + [Ball 3 llenll IN Since Az is the subdominant eigenvalue of A, it is immediate that ds| < [2 sf By Ay for j =3,4,...,.0 Hence, lige — Bizal| < 2 * (eles + alles + ++ [Bnlllarnll) (12.18) Ive set = |pa|lizal| + \Gsllzall +--+ 1Bnlllznll then (12.18) reduces to i de in -ferl < 0 | is completes showing that the rate of convergence of the power method is given by (32|. This the proof. eee Since the rate of convergence of the power method algorithm is given by dz A Scanned with CamScanner468 Numerical Methods for Matrix Bigenvalue Problem it is evident that the convergence will be fast if lil< and that the convergence will be very slow if In the second case, the convergence of the power method can be improved by making shift of origin discussed below. 12.2.3. Power Method with Shift Suppose that A is a real, diagonalizable n x n matrix with eigenvalues ordered so that 2 lanl Ja] > [Aa] 2 Let #; denote the eigenvector of A corresponding to the eigenvalue ; for i = 1,2,...,y Since A, is the dominant eigenvalue of A, we can take xr to be real. Note that the eigenvalues of the matrix A ~ pI are Ai — pA2= Ps with the corresponding eigenvectors 21,22, If \; ~p is the dominant eigenvalue of A — pf, then the power method algorithm applied to the new matrix A — pI has a rate of convergence given by MP For a suitable value of p, this ratio can be made much smaller than jp | ‘This technique is usually known as power method with shift. It is very useful in applications as it yields a faster convergence, As an illustration, consider ooeeae so A=| 3 2 -1 2-2 30 ‘Then it is easy to see that A has the eigenvalues given by Ay = 32, Az = 30, and \s = 24. Thus, the rate of convergence for the power method applied to A is governed by A2| _ 30 fe = ip = 9.9875 = 1 a il Scanned with CamScanner dpower Method 469 | on the other hand, if we consider B = A~ pI, where p = 26, then | Bile 55 I (Sr=a| ote 1 2-2 4 | the eigenvalues #1 = 6, wo = 4 and pg = ~2, bes is the rate of convergence for the power method applied to B is governed by eB if 6667 mi) 6 hich is smaller than 0.9875. Hence, the power method applied to the shifted matrix B yields w jster convergence than the original matrix A, if we assume that A has all real eigenvalues, then we may choose p using ad hoc techniques. Wilkinson (1965) has shown that if Ais a real n x n matrix with eigenvalues ordered so that M > A2 2g 2+ Bn thon the best choice for p is given by (Az +n) ; (12.19) However, it is easy to construct simple examples to show that the convergence of the power rethod for the shifted matrix A — pI can still be slow for the choice of the shift p given by (12.19). ‘As an illustration, consider a 30 x 30 real matrix A with ei ‘Then the rate of convergence for the power method applied to A nvalues 30,29, 28,...,2,1. governed by Applying the formula (12.19), we get the shift as _ 2941) _ ek orem 15 Hence, the shifted matrix B = A — pI will have the eigenvalues 15, 14,...,2,1,0,—1, -2,...,—1# The rate of convergence for the power method applied to B = A ~ pl is governed by dz AL 4 = = = 0.9333 B 0.9: Thus, the power method algorithm yields a slow convergence for the shifted matrix B = A~ pl as well. Thus, the formula (12.19) does not always result in fast convergence. Note also that one needs the knowledge of \ and A,,, the subdominant and the least dominant Scanned with CamScanner470. Numerical Mothods for Matrix Bigenvalue Problen, eigenvalue of A, to calculate the shift p given in the formula (12.19); Since these eigenvalue, formula (12.19) is not useful in practice. So, we may try aq are not available a priori, the ful techniques for obtaining # good choice of the Mie p yielding faster convergence ofthe Powe, method algorithm. f / The power method with shift is illustrated in the following example: M) 5 Le EXAMPLE 12.5 Let sf castn A=| 10 58 36 9 -9 61 = 72, \2 = 70 and rs = 68. ‘Then A has the eigenvalues Ay h the initial guess We apply the power method algorithm to Awitl 1 pei 1 93 2 = Ay =| 104 | and max(a) = 104 61 . 0.8942 n=—— = | 10000 max(Z1) 0.5865 kn? 73.0385 zy = Ay = | 88.0577 | and max(z2) = 88.0577 34.8269 ‘, 0.8294 2 = axa) 1.0000 2 0.3955 Proceeding like this, we get 21.0335 zm =| 52.3963 | and max(z20) = 52.963 19.0489 —0.4014 2 1.0000 —0.3636 ‘Scanned with CamScannerboot approximation for the dominant eigenvalue Xt ar Ayao = mnx( 229) 99 { en 15.7408 1. The poor conver js not small ‘gence exhibited above should surprising. Indeed, ne of convergence of the power method algorithm is eodee Ie, ratio i | mh a for 18 example, this ratio reduces to 70 Bl = 0.9722 jch is close to one. Bes: ae we introduce a shift of origin given by x e : p=69 YY Note that the eigenvalues of the shifted matrix 2 23 25 B=A-pl=|10 -11 36 9-9 -8 are given by i =A1—p=3,H2=A2x—p=1 and ps =d3— p= ‘Thus, if we apply the power method algorithm to the shifted matrix B = A— method has a rate of convergence governed by HB 1 fa) _ ~ = 0.3333 | | 3 Thus, we have a faster convergence for the power method with the this as follows: Take the same initial guess yo and apply the power method algorithm fort aa Siege ‘Scanned with CamScanner472 Numerical Methods for Mateix Bigenvalue py, len, -13.6286 Cm zy = By = | —12.3714 | and max(z2) = —13.6286 = 1.0000 1.0000 0.9078 0.0734 Proceeding like this, we get 3.0000 2.7239 | and max(z211) = 3.0000 0.2259 Z 1.0000 a =—“11_ = | 0.9080 wr max(zin) | 0.0753 Note that max(- is the same as the dominant eigenvalue 411 of B. Also, we have 0.5187 By ~ 3y1 = 10~* | 0.5083 0.0104 so that yi1 is a good approximation for the dominant eigenvector x2 of B. This illustrates the faster convergence for the power method algorithm with shift. 12.2.4 Simple Applications of Power Method with Shift If A is any 3 x 3 real matrix having a dominant eigenvalue, we can easily compute all the eigenvalues using the power method, followed by power method with shift, and the fact thet the sum of the eigenvalues of A equals the trace of A. We illustrate this with some examples EXAMPLE 12.6 Using power method, find the dominant eigenvalue and dominant eigen vector for the matrix 0 -2 0 A Hoa aor Hence, find all the eigenvalues of A. Solution: By inspection, it is easy to note that \ = —2 is an eigenvalue of A. First, we find the dominant eigenvalue of A using the power method. 1 Take yo = | 0 0 Scanned with CamScanneraT | r Method | ge f 2 u 1.0000 x =Ayo =] 0}, max(z:)=5 and y, =—+~ = | 0.0000 | 4 max(=1) | 0,2000 5.2000 1.0000 = | 0.6667 |, max(z,)=5.2 and yp = 2 = | 0.0000 2,000 max(ea) | 0.9846 proceeding like this, we get 5.9991 0,0000 | , max(z9) = 5.9991 and yo = 5.9955 Hence, it is clear that the dominant eigenvalue A; 0 1.0000 220 __ — | 0.0000 max(z20) | 0,9994 = 6 and the dominant eigenvector 1 0 |. This can be easily checked by noting that Avy = Ari A-AIl = A-6I. Hence, -1 0 1 B=| 0 -8 0 1 0 -1 it is clear that B has an eigenvalue ~8. 1 1 Now, we set B= By inspection, Now, we take yo = | 1 1 0 0 2 = By =| -8 |. max(e:)=-8 and w= A 0 0 0 sted ag 22 = w=an=|-$] mut 8 and w= Sy [| ie dominant eigenvalue of B is » = -8 and the dominant eigenvector of Bis ad sccavalue of A is Xp = u + shift = -8 +6 = ~2, and the associated "race(A) = 5+ (-2)+5=8 Since the sum of the eigenvalues of that ial, = Troce(A) — (M1 +42) = 8- (6-2) =4 ‘Scanned with CamScannerI ATA, Numerical Methods for Matrix Bigenvalue Probl, method, find the dominant eigenvalue and dominant cigy, —6 2 7-4 43 nd dominant eigenvector of A using thy f | EXAMPLE 12.7 Using power ! vector for the matrix Hence, find all the eigenvalues of A. Solution: First, we find the dominant eigenvalue a a) power method. t Take yo =| 1 ih | : — i500 a-[3] -eo-4 and 1 = Tax(a) 6.2500 koh } a= [ i | max(z9) = 13.0000 and yp = —2— = aa | 5.7500 | | mata) 0.4423 k=3: max(zs) 0.4881 7.0962, 14.5385 As 1.0000 z3= | —14.3654 | , max(z3) = 14.5385 and ys = ———~ = | —0.9881 Proceeding like this, we get 14.9999 14.9998 |, max(zs) = 14.9999 and ys = 7.4999 ot 28 a max(ze) it Re janet Desh sary Anads dy tdyoagere nl rah NS ide a ‘Scanned with CamScanner‘ power Method Fe; wo -ll 0.6111 “a= | = i max(21)=—-18 and y, = = | 1.0000 mex(e) | ors —8.7222 0.5902 eit | 5 tnex(2a) — 14-7778 and) ya =O 12.1111 max(z2) 0.8195 Proceeding like this, we obtain —7.5152 0.5011 zy = | —14.9973 | , max(z23) = —14.9973 and yp; = —2%— 1.0000 14.9640 max(z23) 0.9978 Hence, it is clear that the dominant eigenvalue of B is : = —15 and the dominant eigen- 05 vector of Bisv=| 1.0 10 Hence, the second eigenvalue of A is \z = j1-+shift = —15 + 15 = 0, and the corresponding eigenvector is v. Note that Trace(A) = 8 + 7 +3 = 18. Since the sum of the eigenvalues of A js equal to the trace of A, the third eigenvalue of A is given by \z = Trace(A) — (Ar + A2) = -(15+0) =3. 12.2.5 Calculating the Least Dominant Eigenpair First, we define the least dominant eigenpair for a real n x n matrix A. Definition 12.6 Let A be a real nxn matrix with eigenvalues \), A2,..., An. The eigenvalue An of A is called the least dominant eigenvalue of A if the eigenvalues of A can be ordered so that [al 2 al 2 +++ 2 n-al > nl (12.20) Fiom (12.20), it is clear that An is a real eigenvalue of A with multiplicity one. The associated tigenvector an of A is called the least dominant eigenvector of A. The pait (Ansty) is called the least dominant eigenpair of A Tfwe assume that A is, in addition, invertible, then there is an obvious relation connecting the eigenvalues of A and A-!. Indeed, we know that the eigenvalues of A~* are 3b, 5... with the associated eigenvectors 1, 2,-.-,2n; respectively. y ‘Thus, if An is the least dominant eigenvalue of A, then it is immediate that a is the inant eigenvalue of A~! with the associated eigenvector Tp, Thus, we can use the power 1 to compute the eigenpair (36 ,4n) using which we can easily : deter- lowing theorem, Scanned with CamScanner