Unit XIV - Session 35

Unit 14: Numerical Methods for solving ODES and PDES
Session 35
Eigen Value Problem
Contents:
Introduction, p 496
35.1 Eigen Values or Latent Roots, p 497
35.2 Power method to find dominant eigen Values, p 499
35.3 Power method to find dominant eigen vector, p 500
35.4 Raleigh Quotient Method, p 502
35.5 Finding other eigen values, p 504
Solutions of Activities, p 514
Problems, p 515
Summary, p 517
Learning outcomes, p 518
Introduction
The subject of Eigen values and Eigen vectors is important because it turns
up in many branches of pure and applied sciences and in statistics. In this
session we shall discuss methods for determining the Eigen values of real
matrices.
496
Copyright © 2018, The Open University of Sri Lanka (OUSL)
35.1 Eigen Values or Latent Roots
If A is an (𝑛 × 𝑛) matrix, a vector 𝑥 and 𝐴𝑥 may be shown as follows
(a) (b)
Ax
Ax
Figure35.1
For 𝐴𝑥 to be a scalar multiple of 𝑥, there is special vector 𝑥, which are the

eigen vectors of x.
𝐴𝑥 = scalar multiple of 𝑥
That is 𝐴𝑥 = .
 is called the eigen value
𝑥 is called the eigen vector which corresponds to 
Since 𝐴𝑥 = 𝑥
= 𝐼𝑥
where 𝐼 – is the identify matrix Then (𝐴 − 𝐼) 𝑥 = 0
For x to be non – trivial,
𝑑𝑒𝑡 (𝐴 − 𝐼) = 0
𝑎11 𝑎12 . . 𝑎1𝑛
𝑎21 𝑎22 . . 𝑎2𝑛
If 𝐴 = . . . . .
. . . . .
[𝑎𝑛1 𝑎𝑛2 . . 𝑎𝑛𝑛 ]
497
𝑎11 − 𝜆 𝑎12 . . 𝑎1𝑛

𝑎21 𝑎22 − 𝜆 . . 𝑎2𝑛
Then 𝐴 − 𝜆𝐼 = . . . . . =0
. . . . .
[ 𝑎𝑛1 𝑎𝑛2 . . 𝑎𝑛𝑛 − 𝜆]
Expansion of the determinant produces the characteristic polynomial of
order n, whose roots are the required values of . There for  have
𝑛 different values for (𝑛 𝑥 𝑛) matrices.
As with linear equations, we have two types of method of determining eigen

values of  and the vectors 𝑥. They are direct process and indirect process.
But the decision which to use may depend not so much on the form of the
matrix as on what solutions are required.
For example, there are 𝑛 eigen values and generally 𝑛 eigen vectors for a
matrix of order 𝑛, and the practical problems may require us to find all the
solutions, or only a small number involving few of the values such as largest
or smallest modules and so on.
If only few solutions are needed, we apply iterative methods such as power
method discussed in this session.
Example 35.1
Find the eigen values and the eigen vectors of the matrix;
1 1 3
𝐴 = [1 −2 1]
3 1 3
We leave to the learner to show that the eigen values and the corresponding
eigen vectors are respectively
𝜆 = 1, 𝑥1 = (1 1 0)𝑇
𝜆 = 5, 𝑥2 = (−1 1 0)𝑇 , (0 0 1)𝑇
498
35.2 Power method to find dominant eigen Values
We assume the matrix 𝐴 is (𝑛 𝑥 𝑛) and it has 𝑛 real and distinct eigen

values. Then there are 𝑛 eigen vectors which form a basis for the
dimensional space.
Let , 𝑣1 𝑣2 , 𝑣3 , . . . 𝑣𝑛 be the eigen vectors. Take any arbitrary vectors 𝑣 (0) . It

can be expressed in the form
𝑣 (0) = 𝑐1 𝑣1 + 𝑐2 𝑣2 +. . . +𝑐𝑛 𝑣𝑛
Where 𝑐1 , 𝑐2 , . .. , 𝑐𝑛 are constants.
Let 𝑣 (1) = 𝐴𝑣 (0)
Similarly 𝑣 (𝑘+1) = 𝐴𝑣 (𝑘)
|𝑣 (𝑘+1) |
Then we can prove lim = |1|
𝑘→∞ |𝑣 (𝑘) |
Where 𝑖 in the largest on dominant eigen value. This can be proved in the
following manner.
𝑣 (0) = 𝑐1 𝑣1 + 𝑐2 𝑣2 +. . . +𝑐𝑛 𝑣𝑛
𝑣 (1 = 𝐴𝑣 (0) = 𝐴( 𝑐1 𝑣1 + 𝑐2 𝑣2 +. . . +𝑐𝑛 𝑣𝑛 )
= 𝑐1 𝐴𝑣1 + 𝑐2 𝐴𝑣2 +. . . +𝑐𝑛 𝐴𝑣𝑛
By the definition; 𝐴𝑉1 = 𝜆1 𝑉1 , 𝐴𝑉2 = 𝜆2 𝑉2 of eigen vectors
By substituting
𝑣 (1) = 𝑐1 𝜆1 𝑣1 + 𝑐2 𝜆2 𝑣2 + . . . + 𝑐𝑛 𝜆𝑛 𝑣𝑛
𝑣 (2) = 𝐴𝑣 (1)
= 𝐴(𝑐1 𝜆1 𝑣1 + 𝑐2 𝜆2 𝑣2 + . . . + 𝑐𝑛 𝜆𝑛 𝑣𝑛 )
= 𝑐1 𝜆1 𝐴𝑣1 + 𝑐2 𝜆2 𝐴𝑣2 + . . . + 𝑐𝑛 𝜆𝑛 𝐴𝑣𝑛
= 𝑐1 𝜆1 𝜆1 𝑣1 + 𝑐2 𝜆2 𝜆2 𝑣2 + . . . + 𝑐𝑛 𝜆𝑛 𝜆𝑛 𝑣𝑛
= 𝑐1 𝜆1 2 + 𝑐2 𝜆2 2 𝑣2 + .. . + 𝑐𝑛 𝜆𝑛 2 𝑣𝑛
499
Similarly we can prove
𝑣 (𝑘+1) = 𝑐1 𝜆1 (𝑘+1) 𝑣1 + 𝑐2 𝜆2 (𝑘+1) 𝑣2 +. . . +𝑐𝑛 𝜆𝑛 (𝑘+1) 𝑣𝑛
  2 
k 1
 k 1 
= 𝜆1 (𝑘+1)
c1v1  c2   v2  ................ cn n vn 
  1  1 
  2 
k
 k 
𝑣(𝑘) = 1(𝑘) c1v1  c2   v2  ................ cn n vn 
  1  1 

k 
𝑣 (𝑘+1) |𝜆1 (𝑘+1) |[𝑐1 𝑣1 +0………… ]

| |= [ Since 𝜆1 > 𝜆2 … . . ]
𝑣 (𝑘) |𝜆1 (𝑘) |[𝑐1 𝑣1 +0………… ]
= |𝜆1 |
Suppose first that 1 is of the largest modules and |𝜆𝑟 | ≠ |𝜆1 | , 𝑟 =

1, 2, 3, … 𝑛.
𝜆 𝑘
If 𝜆1 = 𝜆2 as 𝑘 → ∞ (𝜆2 ) → 1
1
In such situations we can’t adopt this method
Therefore when the ratios of corresponding components of successive

vectors 𝑣 (𝑘+1) and 𝑣 (𝑘) will have the constant value 𝜆1 , the required
dominant eigen value is determined from this fact.
35.3 Power method to find dominant eigen vector
If the ratios of corresponding components of successive vectors converges

to a values 1,
|𝑣 (𝑘+1) |
that is |𝑣 (𝑘) |
→ |𝜆1 |
Then the eigen vector corresponding to 𝜆1 is 𝑣 (𝑘) . This can be proved in the
following manner
𝑣 (0) = 𝑐1 𝑣1 + 𝑐2 𝑣2 +. . . + 𝑐𝑛 𝑣𝑛
500
𝑣 (𝑘) = 𝑐1 𝜆1 (𝑘) 𝑣1 + 𝑐2 𝜆2 (𝑘) 𝑣2 + . . . +𝑐𝑛 𝜆𝑛 (𝑘) 𝑣𝑛
k 
  2 
k
 n  
k
1  c1v1  c2   v2  ............... cn   vn 
  1   1  
= 𝜆1 (𝑘) [𝑐1 𝑣1 + 0 .. . ] 𝑎𝑠 k  
= 𝜆1 (𝑘) 𝑐2 𝑣1
Therefore 𝑣 (𝑘 ) is the unnoramalized eigen vector corresponding to the eigen

value 𝜆1 .
Example 35.2
Find the dominant eigen value and the eigen vector of the matrix
1 1 3
𝐴 = [1 −2 1]
3 1 3
Solution
Selecting an initial vector 𝑣 (0) = [1 1 1]𝑇
1 1 3 1 5
𝑉 (1) = 𝐴𝑣 (0) = [1 −2 1] [1] [0]
3 1 3 1 7
𝑣 (1)
|𝑣(0)| = 7
1 1 3 5 26
𝑣 (2) = 𝐴𝑣 (1) = [1 −2 1] [0] = [12]
3 1 3 7 36
𝑣 (2) 36
[𝑣(1)] = = 5.14
7
𝑣 (3) = [146, 38, 197]
𝑣 (3) 197
|𝑣(2)| = = 3.49
36
𝑣 (4) = [774 268 1066 ] 𝑇
501
𝑣 (4) 1066
| (3)
|= = 5.41
𝑣 197
𝑣 (5) = [4243 1312 5799 ]
𝑣 (5) 5799
|𝑣(4)| = 1066 = 5.44
The results obtain after five step are clearly close to the regard value.
 Dominant eigen value = 5.44
Dominant eigen vector = 𝑣 (4) = [774 268 1066]𝑇
35.4 Raleigh Quotient Method
This method is applicable only for symmetric matrices. If 𝐴 is symmetric

with distinct eigen values, eigen vectors are orthogonal.
That is 𝑣 ′ ≈ 𝑣1 = 1, 𝑣1 ′ ≈ 𝑣2 = 0 and so on.
Where 𝑣1 , 𝑣2 are eigen vectors of 𝜆1 , 𝜆2 .
With our basic assumption that the vectors are linearly independent, and
starting with an arbitrary vector
𝑥 (0) , We can construct 𝑥 (1) , 𝑥 (2) ,…….., 𝑥 (𝑘) such that 𝑥 (𝑘+1) = 𝐴𝑥 (𝑘)
It can be shown that, the quantity 𝑅𝑘 which is called the Raleigh quotient
given by
(𝑥 (𝑘) ) 𝐴𝑥 (𝑘)
𝑅𝑘 = ′
(𝑥 (𝑘) ) 𝑥 (𝑘)
tends to the dominant eigen value 𝜆1 as 𝑘 → ∞ This is called the Raleigh’s

principle.
502
′
(𝑥 (𝑘) ) 𝐴𝑥 (𝑘)
That is 𝑅𝑘 = ′ → 𝜆1 as 𝑘 → ∞
(𝑥 (𝑘) ) 𝑥 (𝑘)
When |𝑅𝑘+1 − 𝑅𝑘 | ≤ ∈ (where ∈ is a very small number), take 𝑅𝑘 as

𝜆1 and 𝑥 (𝑘) as corresponding eigen vector.
This formula can be proved in the following manner.
Let 𝑥 (0) by any arbitrary vector,
With our basic assumption that the vectors are linearly independent, we can
write
𝑥 (0) = 𝑐1 𝑣1 + 𝑐2 𝑣2 + .. . + 𝑐𝑛 𝑣𝑛
𝑥 (1) = 𝐴𝑥 (0) = 𝑐1 𝜆1 𝑣1 + 𝑐2 𝜆2 𝑣2 + 𝑐𝑛 𝜆𝑛 𝑣𝑛
′
(𝑥 (1) ) .𝐴(𝑥 (1) )
𝑅1 = ′
(𝑥 (1) ) (𝑥 (1) )
(𝑐1 𝜆1 𝑣1 + 𝑐2 𝜆2 𝑣2 +. . . ) (𝑐1 𝜆1 2 𝑣1 + 𝑐2 𝜆2 2 𝑣2 + ⋯ )
= ×
(𝑐1 𝜆1 𝑣1 + 𝑐2 𝜆2 𝑣2 + ⋯ ) (𝑐1 𝜆1 𝑣1 + 𝑐2 𝜆2 𝑣2 + ⋯ )
𝑐1 2 𝜆1 3 +𝑐2 2 𝜆2 3 +⋯
= (𝑐 2 2
1 𝜆1 ) +(𝑐2 𝜆2 ) +⋯
2 𝜆 3
𝜆1 3 [𝑐1 2 +𝑐2 ( 2 ) +⋯ ]
𝜆1
= 2 𝜆 2
𝜆1 [𝑐1 2 +𝑐2 2 ( 2 ) +⋯ ]
𝜆1
Similarly
𝜆 𝑘+2
𝑐1 2 + 𝑐2 2 ( 2 ) +⋯
𝜆1
𝑅𝑘 = 𝜆1 𝑘+1
𝑐 2 + 𝑐 2 (𝜆2 ) + ⋯]
[ 1 2 𝜆1
𝑅𝑘 → 1 as 𝑘 → ∞
503
Activity 35. 1
Shoe how to find the eigen values of A Raleigh quotient method
10 7 8 7
7 5 6 5
𝐴=[ ]
8 6 10 9
7 5 9 10
35.5 Finding other eigen values
By the method outlined in the previous chapter, we can find only the
dominant eigen value of a matrix. No other eigen values being calculable
easily by the power method. There are various possibilities for modifying
the basic method to obtain other eigen values as well.
Theorem
If  is the dominant eigen value of 𝐴, 𝑓(𝐴) is the dominant eigen values

of 𝑓(𝐴)
For example (i) if 𝜆 → 𝐴
then 𝜆3 + 3𝜆 → 𝐴3 + 3𝐴
(ii) 1⁄𝜆 → 𝐴−1
Therefore the dominant eigen value of the matrix 𝐴−1 is the reciprocal of the
smallest eigen values of 𝐴.
Example 35. 3
2 1
Find the smallest eigen value of matrix 𝐴 = [ ]
3 2
Solution
1
Inverse of the matrix 𝐴 = det 𝐴 𝐴𝑑𝑗(𝐴)
504
2 −3 𝑇 2 −1
𝐴𝑑𝑗 (𝐴) = [ ] =[ ]
−1 2 −3 2
𝑑𝑒𝑡 𝐴 = 4 – 3 = 1
2 −1
𝐵 = 𝐴−1 = [ ]
−1 2
Using the power method to evaluate the dominant eigen values of 𝐴−1 . Let
1
𝑥 (0) = [ ]
1
2 -1 1 1 
𝑥 (1) = 𝐵 𝑥 (0) = 
2 1   1
- 3   
𝑥 (1) 1
= =1
𝑥 (0) 1
2 −1 1 3
𝑥 (2) = 𝐵𝑥 (1) = [ ][ ] = [ ]
−3 2 −1 −5
𝑥 (2) 5
= =5
𝑥 (1) 1
2 −1 3 11
𝑥 (3) = 𝑥 (2) = [ ][ ] = [ ]
−3 2 −5 −19
𝑥 (3) 19
= = 3.8
𝑥 (1) 5
2 −1 11 30
𝑥 (4) = [ ][ ]=[ ]
−3 2 −19 −71
𝑥 (4) 71
= 19 = 3.74
𝑥 (1)
2 −1 30 131 𝑥 (5) 232

𝑥 (5) = [ ][ ]=[ ], = = 3.27
−3 2 −71 −232 𝑥 (4) 71
2 −1 131 494 𝑥 (6) 857

𝑥 (6) = [ ][ ]=[ ], = 232 = 3.69
−3 2 −232 857 𝑥 (5)
2 −1 494 1845 𝑥 (7)

𝑥 (7) = [ ][ ]=[ ], = 3.73
−3 2 −857 3196 𝑥 (6)
Giving 𝜆1 = 3.7 (to the first decimal point)
505
Example 35.4
Find the dominant eigen value of the following.
1 2 1 1
1 1 3
2 3 1 4
𝐴 = [1 −2 3] 𝐵=[ ]
1 1 2 2
3 1 3
1 4 2 3
Solution
Selecting an initial vector
𝑉 (0) = [1,1,1]𝑇
1 1 3 1 5
(1) (0)
𝑉 = 𝐴𝑉 = [1 −2 3] [1] = [2]
3 1 3 1 7
𝑉 (1) 7
| (0)
|= =7
𝑉 1
1 1 3 5 28
(2) (1)
𝑉 = 𝐴𝑉 = [1 −2 3] [2] = [22]
3 1 3 7 38
𝑉 (2) 38
| (1)
|= = 5.43
𝑉 7
1 1 3 28 164
(3) (2)
𝑉 = 𝐴𝑉 = [1 −2 3] [22] = [ 98 ]
3 1 3 38 220
𝑉 (3) 220
|𝑉 (2)| = = 5.78
38
1 1 3 164 1184
(4) (3)
𝑉 = 𝐴𝑉 = [1 −2 3] [ 98 ] = [ 628 ]
3 1 3 220 1250
𝑉 (4) 1250
|𝑉 (3)| = = 5.68
220
1 1 3 1184 5562
(5) (4)
𝑉 = 𝐴𝑉 = [1 −2 3] [ 628 ] = [3678]
3 1 3 1250 7930
506
𝑉 (5) 7930
|𝑉 (4)| = 1250 = 6.34
Difference between 𝑉 (3) and 𝑉 (4) in dose to the required value.
Hence Dominant Eigen value is 5.68
(b) Selecting 𝑋 (1) = [1,1,1,1]𝑇
1 2 1 1 1 5
2 3 1 4 1 10
𝐴𝑋 (1) =[ ][ ] = [ ]
1 1 2 2 1 6
1 4 2 3 1 10
5
(1) ′ 10
(𝑋 ) . 𝐴𝑋 (1) = [1 1 1 1] [ ] = 31
6
10
1
(1) ′ 1
(𝑋 ) 𝑋 (1) = [1 1 1 1] [ ] = 4
1
1
1
(𝑋 (1) ) . 𝐴𝑋 (1) 31
𝑅1 = = = 7.75
(𝑋 (1) )1 . 𝑋 (1) 4
𝑋 (2) = 𝐴𝑋 (1) = [5 10 6 10]𝑇
1 2 1 1 5 41
2 3 1 4 10 86
𝐴𝑋 (2) =[ ][ ] = [ ]
1 1 2 2 6 47
1 1 2 2 10 87
1
(𝑋 (2) ) .𝐴𝑋 (2)
𝑅2 = 1
(𝑋 (2) ) .𝑋 (2)
41
(2) ′ 86
(𝑋 ) . 𝐴𝑋 (2) = [5 10 6 10] [ ] = 2217
47
87
5
(2) ′ 10
(𝑋 ) 𝑋 (2) = [5 10 6 10] [ ] = 221
6
10
507
2217
𝑅2 = = 8.49
221
𝑋 (3) = 𝐴𝑋 (2) = [41 86 47 87]𝑇
X (3)  AX ( 2)  41 86 47 87

T
1 2 1 1 347
2 3 1 4 735
𝐴𝑋 (3) =[ ][ ]
1 1 2 2 395
1 4 2 3 740
1
(𝑋 (3) ) .𝐴𝑋 (3)
𝑅3 = 1
(𝑋 (3) ) .𝑋 (3)
347
(3) ′ 735
(𝑋 ) . 𝐴𝑋 (3) = [41 86 47 87] [ ] = 160382
395
740
41
(3) ′ (3) 86
(𝑥 )𝑥 = [41 86 47 87] [ ] = 18855
47
87
160382
𝑅3 = = 8.52
18855
Required value is closer to 𝑅3
Eigen Value = 10.03
Example 35.5
Find the dominant eigen value and the eigen vector of the following
symmetric matrix 𝐴 using Raleigh Quotient method or any other numerical
method.
5 −1 −2
𝐴 = [−1 3 −2]
−2 −2 5
508
Solution
5 −1 −2
Given 𝐴 = [−1 3 −2]
−2 −2 5
1 1
 1,1,1  1
(1) T
Choosing 𝑥 = [1 1 1 ]𝑇 = [1 ] x (1)
1 1
2
𝐴(𝑥 (1) ) = [0]
1
𝑇
(𝑥 (1) ) . 𝐴𝑥 (1) = 3
𝑇
(𝑥 (1) ) . 𝑥 (1) = 3
𝑇
(𝑥 (1) ) . 𝐴(𝑥)(1) 3
𝑅1 = = =1
(𝑥 (1) )𝑇 . 𝑥 (1) 3
Similarly 𝑅2 = 3.4
𝑅3 = 5.197 𝑅4 = 5.507
Dominant eigen value 𝜆1 = 5.197
42
Eigen vector = [−22]
−3
Example 35.6
Find the eigen vector of 𝐴 using
a) Power method
b) Raleigh quotient method
3 2 4
𝐴 = [2 0 2]
4 2 3
509
Solution
a). Power Method
3 2 4
𝐴 = [2 0 2]
4 2 3
Initial vector 𝑣 (0) = (1 1 1)𝑇
3 2 4 1 9
(1) (0)
𝑣 = 𝐴𝑣 = [2 0 2] [1] = [4]
4 2 3 1 9
𝑣 (1) 9
= =9
𝑣 (0) 1
3 2 4 71
𝑣 (2) = 𝐴𝑣 (1) = [2 0 2] [36]
4 2 3 71
𝑣 (2) 71
= = 7.89
𝑣 (1) 9
3 2 4 71 569
𝑣 (3) = 𝐴𝑣 (2) = [2 0 2] [36] = [284] =
4 2 3 71 569
𝑣 (3) 569
= = 8.0141
𝑣 (2) 71
3 2 4 569 4551
𝑣 (4) = 𝐴𝑣 (3) = [2 0 2] [284] = [2276]
4 2 3 569 4551
𝑣 (4) 4551
= = 7.998
𝑣 (3) 569
3 2 4 4551
𝑣 (5) = 𝐴𝑣 (4) = [2 0 2] = [2276]
4 2 3 4551
36409
(5)
𝐴𝑣 = [18204]
36409
𝑣 (5) 36409
= =8
𝑣 (4) 4551
510
Eigen vector = 𝑣 (4) = [4551 2276 4551]𝑇
= [1 0.5 1]𝑇
b). Raleigh quotient
3 2 4 1
𝐴 = [2 0 2] choosing 𝑥 (1) = [1 1 1]𝑇 = [1]
4 2 3 1
Step 1
3 2 4 1 9
𝐴(𝑥1 ) = [2 0 2] [1] = [4]
4 2 3 1 9
9
(𝑥1 )𝑇 = 𝐴𝑥 (1)
= (1 1 1) [4]
9
= (9 + 4 + 9)
= 22
1
(𝑥 (1) )(𝑥 (1) ) = [1 1 1] [1]
1
= 3
𝑇
(𝑥 (1) ) 𝐴𝑥 (1) 22
𝑅1 = = = 7.333
(𝑥 (1) )𝑇 𝑥 (1) 3
Step 2
9
(2) (1)
𝑥 = 𝐴𝑥 = [4]
9
3 2 4 9
(2)
𝐴𝑥 = [2 0 2] [4]
4 2 3 9
71
𝐴𝑥 (2) = [36]
71
511
71
(2) 𝑇[ ]
[𝑥 ] = 9 4 9 [36]
71
= 1422
9
[𝑥 (2) ]𝑇 𝑥 (2) = [9 4 9] [4]
9
= 81 + 16 + 81 = 178
𝑇
[𝑥 (2) ] 𝐴𝑥 (2)
𝑅2 =
[𝑥 (2) ]𝑇 𝑥 (2)
1422
= = 7.989
178
Step 3
71
𝑥 (3) = 𝐴𝑥 (2) = [36]
71
3 2 4 71
𝐴𝑥 (3) = [2 0 2] [36]
4 2 2 71
564
(3)
𝐴𝑥 = [284]
569
569
(3) 𝑇 (3)
[𝑥 ] 𝐴𝑥 = [71 36 71] [284]
569
= 91022
71
[𝑥 (3) ]𝑇 𝐴𝑥 (3) = [71 36 71] [36]
71
91022
𝑅3 = 11378
= 7.999
512
Step 4
569
𝑥 (4) = 𝐴𝑥 (3) = [284]
569
3 2 4 569
𝐴𝑥 (4) = [2 0 2] [284]
4 2 3 569
𝐴𝑥 (4) = [4551 2276 4551]
4551
(4) 𝑇 (4)
[𝑥 ] 𝐴𝑥 = [569 284 569] [2276] = 58235422
4551
569
[𝑥 (4) ]𝑇 𝑥 (4) = [569 284 ]
569 284] = 7218178
[
569
𝑇
[𝑋 (4) ] 𝐴𝑥 (4) 5825422
𝑅4 = = = 7.999
[𝑥 (4) ]𝑇 𝑥 (4) 728178
Then 𝑅4 − 𝑅3 = 7.999 – 7.999
= 0
So the eigen vector = [𝐴𝑋 (𝑥) ]𝑇
= [4551 2276 4551]𝑇
= [1 0.5 1]𝑇
513
Solutions of Activities
Activity 35.1
Selecting 𝑥 (1) = [1 1 1 1]𝑇
1st Step
10 7 8 7 1 32
(1) 7 5 6 5 1 23
𝐴𝑥 =[ ][ ] = [ ]
8 6 10 9 1 33
7 5 9 10 1 31
32
(1) 𝑇 (1) 23
[𝑥 ] 𝐴𝑥 = [1 1 1 1 ] = [ ] = 119
33
31
1
(1) 𝑇 (1) 1
[𝑥 ] 𝐴𝑥 = [1 1 1 1 ] [ ] = 4
1
1
(𝑥 (1) )1 𝐴𝑥 (1) 119

∴ 𝑅1 = = = 29.75
(𝑥 (1) )1 𝑥 (1) 4
2nd Step
𝑥 (2) = 𝐴𝑥 (1) = [32 23 33 31 ]𝑇
10 7 8 7 32 962
(2) 7 5 6 5 23 692
𝐴𝑥 =[ ][ ] = [ ]
8 6 10 9 33 1003
7 5 9 10 31 946
′
(𝑥 (2) ) (𝐴𝑥 (2) )
∴ 𝑅2 =
(𝑥 (2) ) (𝑥 (2) )
962
692
(𝑥 (2) )′ (𝐴𝑥 (2) ) = (32 23 33 31) [ ]
1003
946
= 109125
514
32
23
(𝑥 (2) )′ (𝑥 (2) ) = (32 23 33 31) [ ]
33
31
= 3603
109125
∴ 𝑅2 = = 30.287
3603
Proceeding in similarly way, we obtain the dominant eigen value 𝜆1 = 30. 289
0.958
0.689
Normalized eigen vector 𝑣1 = [ ]
1.0
0.944
Problems
1) Find the dominant eigen value of the following matrices
1 1 1 1
1 −3 2
1 2 3 4
(a) [4 4 −1] (b) [ ]
1 3 6 10
6 3 5
1 4 10 20
2) If 4 discuss equal in all respect are mounted on a central shaft which

is free to rotate in its bearings following equations, describe the
angular displacement of the disk.
𝐼𝜃 = −𝐶(𝜃1 − 𝜃2 )
𝐼𝜃2 = 𝐶(𝜃1 − 𝜃2 ) − 𝐶(𝜃2 − 𝜃3 )
𝐼𝜃3 = 𝐶(𝜃2 − 𝜃3 ) − 𝐶(𝜃3 − 𝜃4 )
𝐼𝜃4 = 𝐶(𝜃3 − 𝜃4 )
Assuming cuscillatory motion
𝜃1 + 𝑊 2 𝜃𝑖 = 0 𝑖 = 1,2, … .4
Show that equations can be put in the form
515
[𝐴][𝜃] = 𝜆[𝜃] where
= 𝜆 = 𝐼𝑊 2 /𝐶 [𝐴] is a 4 × 4 matrix and
[𝜃] = [𝜃1 𝜃2 𝜃3 𝜃4 ]𝑇
Starting with [1 − 1 1 1 − 1]𝑇 . Use power method to find eigen

value of the largest modulus, and the given vector to two decimal place.
Repeating with starting vector [1 0 0 1]𝑇 . why is eigen value of the

largest modules is not obtained. Notice symmetry and find remaining eigen
values.
3) Find the first and second eigen values and eigen vectors of the
matrix,
5 −1 −2
𝐵 = [−1 3 −2]
−2 −2 5
4) Find the dominant eigen value and the eigen vector of the following
symmetric matrix. Using Rayleigh quatient method.
5 −1 −2
𝐴 = [−1 3 −2]
−2 −2 5
5) Find the dominant and smallest eigen values of the following

matrices.
8 −1 −5 5 −1 2
(a) 𝐴 = [−4 4 −2] (b) 𝐵 = [−1 3 −2]
−2 −2 −7 −2 −2 5
516
Summary
In this session we have seen,
Power method
Let 𝑣1 , 𝑣2 , 𝑣3 , . . . , 𝑣4 be the eigen vectors. Take any arbitrary vectors 𝑣 (0) . It

can be expressed in the form
𝑣 (0) = 𝑐1 𝑣1 + 𝑐2 𝑣2 + . . . + 𝑐𝑛 𝑣𝑛 where 𝑐1 , 𝑐2 , 𝑐𝑛 are constants.
Let 𝑣 (1) = 𝐴𝑣 (0)
Similarly 𝑣 (𝑘+1) = 𝐴𝑉 (𝑘)
|𝑉 (𝑘+1) |
Then we can prove lim = |𝜆|
𝐾→∞ |𝑣 (𝑘) |
Where  in the largest on dominant eigen value.
If the ratios of corresponding components of successive vectors converges

to a values 𝜆1
|𝑣 (𝑘+1) |
that is |𝑣 (𝑘) |
→ |𝜆1 |
Then the eigen vector corresponding to 𝜆1 is 𝑣 (𝑘) .
Raleigh Quatient Method
This method is applicable only for symmetric matrices.
If 𝐴 is symmetric with distinct eigen values, eigen vectors are orthogonal.
That is 𝑣 ′ ≈ 𝑣1 = 1, 𝑣1 ′ ≈ 𝑣2 = 0 and so on.
Where 𝑣1 , 𝑣2 are eigen vectors of 𝜆1 , 𝜆2 .
517
With our basic assumption that the vectors are linearly independent, and
starting with an arbitrary vector 𝑥 (0) , we can construct 𝑥 (1) , 𝑥 (2) , … ,
𝑥 (𝑘) such that 𝑥 (𝑘+1) = 𝐴 𝑥 (𝑘)
It can be shown that, the quantity 𝑅𝑘 which is called the Rayleigh quatient
given by
(𝑥 (𝑘) ) 𝐴𝑥 (𝑘)
𝑅𝑘 = ′
(𝑥 (𝑘) ) 𝑥 (𝑘)
Tends to the dominant eigen value 𝜆1 as → ∞ . This is called the Rayleigh’s

principle.
′
(𝑥 (𝑘) ) 𝐴𝑥 (𝑘)
That is 𝑅𝑘 = ′ → 𝜆1 as 𝑘 → ∞
(𝑥 (𝑘) ) 𝑥 (𝑘)
When |𝑅𝑘+1 − 𝑅𝑘 | ≤ ∈ (where  is a very small number), take 𝑅𝑘 as

𝜆1 and 𝑥 (𝑘) as corresponding eigen vector
Learning outcomes
 At the end of this session, the learner will be able to perform the
following activities.
 derive and use power method to find dominant eigen value
 Use Raleigh quotient method to find dominant eigen value of a
symmetric matrix.
 find other eigen values of matrices
518

Unit XIV - Session 35

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Unit XIV - Session 35

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Unit 14: Numerical Methods for solving ODES and PDES

35.1 Eigen Values or Latent Roots

If A is an (𝑛 × 𝑛) matrix, a vector 𝑥 and 𝐴𝑥 may be shown as follows

For 𝐴𝑥 to be a scalar multiple of 𝑥, there is special vector 𝑥, which are the

 is called the eigen value

𝑥 is called the eigen vector which corresponds to 

where 𝐼 – is the identify matrix Then (𝐴 − 𝐼) 𝑥 = 0

For x to be non – trivial,

𝑎11 − 𝜆 𝑎12 . . 𝑎1𝑛

As with linear equations, we have two types of method of determining eigen

𝜆 = 5, 𝑥2 = (−1 1 0)𝑇 , (0 0 1)𝑇

35.2 Power method to find dominant eigen Values

We assume the matrix 𝐴 is (𝑛 𝑥 𝑛) and it has 𝑛 real and distinct eigen

Let , 𝑣1 𝑣2 , 𝑣3 , . . . 𝑣𝑛 be the eigen vectors. Take any arbitrary vectors 𝑣 (0) . It

Where 𝑐1 , 𝑐2 , . .. , 𝑐𝑛 are constants.

Let 𝑣 (1) = 𝐴𝑣 (0)

Similarly 𝑣 (𝑘+1) = 𝐴𝑣 (𝑘)

= 𝑐1 𝐴𝑣1 + 𝑐2 𝐴𝑣2 +. . . +𝑐𝑛 𝐴𝑣𝑛

By the definition; 𝐴𝑉1 = 𝜆1 𝑉1 , 𝐴𝑉2 = 𝜆2 𝑉2 of eigen vectors

= 𝑐1 𝜆1 𝐴𝑣1 + 𝑐2 𝜆2 𝐴𝑣2 + . . . + 𝑐𝑛 𝜆𝑛 𝐴𝑣𝑛

Similarly we can prove

𝑣 (𝑘+1) = 𝑐1 𝜆1 (𝑘+1) 𝑣1 + 𝑐2 𝜆2 (𝑘+1) 𝑣2 +. . . +𝑐𝑛 𝜆𝑛 (𝑘+1) 𝑣𝑛

𝑣 (𝑘+1) |𝜆1 (𝑘+1) |[𝑐1 𝑣1 +0………… ]

Suppose first that 1 is of the largest modules and |𝜆𝑟 | ≠ |𝜆1 | , 𝑟 =

In such situations we can’t adopt this method

Therefore when the ratios of corresponding components of successive

35.3 Power method to find dominant eigen vector

If the ratios of corresponding components of successive vectors converges

𝑣 (𝑘) = 𝑐1 𝜆1 (𝑘) 𝑣1 + 𝑐2 𝜆2 (𝑘) 𝑣2 + . . . +𝑐𝑛 𝜆𝑛 (𝑘) 𝑣𝑛

Therefore 𝑣 (𝑘 ) is the unnoramalized eigen vector corresponding to the eigen

Selecting an initial vector 𝑣 (0) = [1 1 1]𝑇

𝑣 (3) = [146, 38, 197]

𝑣 (4) = [774 268 1066 ] 𝑇

𝑣 (5) = [4243 1312 5799 ]

 Dominant eigen value = 5.44

Dominant eigen vector = 𝑣 (4) = [774 268 1066]𝑇

35.4 Raleigh Quotient Method

This method is applicable only for symmetric matrices. If 𝐴 is symmetric

That is 𝑣 ′ ≈ 𝑣1 = 1, 𝑣1 ′ ≈ 𝑣2 = 0 and so on.

Where 𝑣1 , 𝑣2 are eigen vectors of 𝜆1 , 𝜆2 .

tends to the dominant eigen value 𝜆1 as 𝑘 → ∞ This is called the Raleigh’s

When |𝑅𝑘+1 − 𝑅𝑘 | ≤ ∈ (where ∈ is a very small number), take 𝑅𝑘 as

This formula can be proved in the following manner.

Let 𝑥 (0) by any arbitrary vector,

Shoe how to find the eigen values of A Raleigh quotient method

35.5 Finding other eigen values

If  is the dominant eigen value of 𝐴, 𝑓(𝐴) is the dominant eigen values

For example (i) if 𝜆 → 𝐴

(ii) 1⁄𝜆 → 𝐴−1

2 −1 30 131 𝑥 (5) 232

2 −1 131 494 𝑥 (6) 857

2 −1 494 1845 𝑥 (7)

Giving 𝜆1 = 3.7 (to the first decimal point)

Find the dominant eigen value of the following.

Selecting an initial vector

Difference between 𝑉 (3) and 𝑉 (4) in dose to the required value.

Hence Dominant Eigen value is 5.68

(b) Selecting 𝑋 (1) = [1,1,1,1]𝑇

𝑋 (2) = 𝐴𝑋 (1) = [5 10 6 10]𝑇

𝑋 (3) = 𝐴𝑋 (2) = [41 86 47 87]𝑇

X (3)  AX ( 2)  41 86 47 87

Required value is closer to 𝑅3

Eigen Value = 10.03

Dominant eigen value 𝜆1 = 5.197