Eigen-decomposition of a class

of
Infinite dimensional tridiagonal matrices

G.V. Moustakides: Dept. of Computer Engineering, Univ. of Patras, Greece

B. Philippe: IRISA-INRIA, France
 Outline

 Definition of the problem.

 From finite to infinite dimensions.
 Reduction of the problem to a finite dimensional d.e. and
eigen-decomposition problem, using Fourier transform.
 Numerical aspects regarding the solution of the d.e. and
the computation of the final (infinite dimensional)
eigenvectors.
 Conclusion.

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 Definition of the problem
 At 
 
A D  2 rI At 0 
 A D  rI A t 
 
Q A D A t

 A D  rI At 
 
 0 A D  2 rI A 
t

 A  


}
I: identity matrix
D: diagonal matrix real matrices of dimensions NN
A: general matrix
r: real scalar

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Eigen-decomposition
Eigenvalues: There is an infinite number.
Eigenvectors: There is an infinite number and each eigenvector
is of infinite size.

Goal: To reduce the infinite dimensional eigen-decomposition

problem into a finite one.

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 From finite to infinite dimensions

 D  KrI A t 
 
 A  At 0 
 A D  rI A t 
 
QK   A D At 
 A D  rI A t 
 t

 0 A  A 
 A D  KrI 


QK has dimensions: (2K+1)N (2K+1)N,

therefore we have (2K+1)N eigenvalue-eigenvector pairs.
Typical values: N = 100-1000, K = 5-10.
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 Q K  i (k )  i (k ) i (k )
QK has dimensions: (2K+1)N (2K+1)N
i(k) has dimensions: (2K+1)N 1.
k = -K,…,K, i = 1,…,N.
 i (k , K )    i (k , K ) 
 D  KrI A t    
0      
 
 A      i (k ,1)    i (k ,1) 
  D     i (k , 0)   i (k )   i (k , 0) 
 
   A   i (k , 1) 
t   i ( k ,1) 
 0     
 A D  KrI       
 (k ,  K )   ( k ,  K ) 
 i   i 

i(k,l) has dimensions: N 1. k,l= -K,…,K, i=1,…,N.

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Consider now the infinite dimensional problem by letting K

      
 A D  (l  1)rI A t
0   (k , l  1) 
  i 
 0 A D  lrI A t
0    i (k , l ) 
  
  0 A D  ( l  1) r I A t
 
 i ( k , l  1) 
        
  
 (k , l  1) 
 i 
 i (k )   i (k , l ) 
 

 i ( k , l  1) 
  
Ai (k,l+1) + (D+lrI)i (k,l) + Ati (k,l-1) = i(k)i (k,l)
Ai (k,l+1) + Di (k,l) + Ati (k,l-1) = (i(k) -lr)i (k,l)
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 Reduction to finite dimensions
Ai(k,l+1)+Di(k,l)+Ati(k,l-1) = (i(k)-lr)i(k,l)
A,D: NN
i(k,l): N1
i=1,…,N, k,l= -,…,

Key Idea
i(k) = i + kr without loss of generality assume 0  i r
i(k,l) = i(l-k)
Ai(l-k+1)+Di(l-k)+Ati(l-k-1) = (i-(l-k)r)i(l-k)

Ai(n+1)+(D-iI)i(n)+Ati(n-1) = -nri(n)
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Ai(n+1)+(D-iI)i(n)+Ati(n-1) = -nri(n)

i , {i(n)}, i=1,…,N, 0  i r

        
  (2)    (1)    (0) 
 i   i   i 
  i (1)    i (0)   i (1) 
     
i ,   i (0)  ; (i  r ) ,  i (1)  ; (i  2r ) ,  i (2)  ; 
 i (1)   i (2)   i (3) 
     
 i (2)   i (3)   i (4) 
        
     

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Fourier Transform
Let …, x(-2), x(-1), x(0), x(1), x(2),… be a real sequence. Then
we define its Fourier Transform as

X ( )  
n 
x(n)e  jn


n 
x(n  k )e  jn  e jk X ( )


dX ( )
 nx(n)e
n 
 jn
 j
d

X (   2 )  X ( )
 Important
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 Ai(n+1)+(D-iI)i(n)+Ati(n-1) = -rni(n)


 i ( )   i
 (
n 
n ) e  jn

j t  j d  i ( )
Ae  i ( )  (D  i I ) i ( )  A e i ( )   jr
d

d  i ( )
 jr 1  D  Ae j  At e j  i I   i ( )
d

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 d  i ( )
 jr 1  D  Ae j  At e j  i I   i ( )
d
We need i and i(0) to solve it.

dΨ ( )
 jr 1  D  Ae j  At e j  Ψ ( ), Ψ(0)  I
d

 jr 1i
 i ( )  e Ψ( ) i (0)

i() as being the Fourier transform of a (vector) sequence is

necessarily periodic with period 2.
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Theorem
Consider the following linear system of d.e.
dX ( )
 B( ) X ( ), X (0)  X 0
d
B(  2 )  B( ).
Let Z() be the transition matrix of the d.e., that is
dZ( )
 B( )Z( ), Z(0)  I
d
then we know that X()= Z()X0.

The solution X() is periodic if and only if X(2)=X(0)

Z(2 ) X 0  X 0
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d  i ( )
 jr 1  D  Ae j  At e j  i I   i ( )
d

 jr 1i
Z( )  e Ψ ( )

dΨ( )
 jr 1  D  Ae j  At e j  Ψ ( ), Ψ (0)  I
d

 jr 1i 2
Z(2 ) i (0)  e Ψ(2 ) i (0)   i (0)

jr 1i 2
Ψ(2 ) i (0)  e  i (0)
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Steps to obtain (i ,{i (n)}), i=1,…,N
 Compute the transition matrix () from the d.e.
dΨ( )
 jr 1  D  Ae j  At e  j  Ψ( ), Ψ(0)  I
d
 Find the eigenvalue-eigenvector pairs i, i(0) of
Ψ (2 ) i (0)  i  i (0), i  1, , N
 Form the desired eigenvalue-FT(eigenvector) pairs as
i  jr 1i
i  r ,  i ( )  e Ψ ( )i (0)
2
 Use Inverse Fourier Transform to recover the final
infinite eigenvector {i(n)} from i().
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 Numerical aspects
 Numerical solution of the d.e.

dΨ( )
 jr 1  D  Ae j  At e  j  Ψ( ), Ψ(0)  I
d

 Eigen-decomposition of (2).

 Computation of the Inverse Fourier Transform of i()

where
 jr 1i
 i ( )  e Ψ( ) i (0)

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Numerical solution of the d.e.

dΨ( )
 jr 1  D  Ae j  A t e  j  Ψ( ), Ψ(0)  I
d

dΨ ( )
 jB( ) Ψ ( ), Ψ (0)  I, B( ) Hermitian
d
One can show that () is unitary, therefore any numerical solution
should respect this structure. A possible scheme is

Ψ( n 1 )  M ( n ,  )Ψ( n ), Ψ(0)  I

M ( ,  )  e j B (  / 2)

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 j  B (  / 2)
M ( ,  )  e
1
 1   1 
e  P1 ( X)   I  X   I  X 
X
Pade 1
 2   2 
1
 1 1   1 1 
 P2 ( X)   I  X  X 2   I  X  X 2  Pade 2
 2 12   2 12 

Ψ ( n 1 )  M ( n ,  ) Ψ( n ), Ψ(0)  I 1 Step Integration

Ψ ( n 1 )  M   n  (1   ) ,   3 Step Integration.

Yoshida scheme
 M   n   , (1  2 ) 
 M ( n ,  )Ψ( n )
1
 
  2  3 2  3 2  1.3512
3 18
 Pade 1, 3 step intgr.

Pade 1, 1 step intgr.

Pade 2, 1 step intgr.

Pade 2, 3 step intgr.

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Eigen-decomposition of (2)

Since (2) is unitary there are special eigen-decomposition algorithms

that require lower computational complexity than the corresponding
algorithm for the general case.

From this problem we obtain the pairs i, i(0), i=1,…,N.

Using the solution () of the differential equation we can compute the
Discrete Fourier Transform of the eigenvectors
 jr 1i n
 i ( n )  e Ψ( n ) i (0)
Notice that we obtain a sampled version of the required Fourier transform.

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Inverting the Fourier Transform
Let …, x(-2), x(-1), x(0), x(1), x(2),… with Fourier Transform

X ( )  
n 
x(n)e jn

If x(n)=0 for n < 0 and n  M, then the Fourier Transform is equal

M 1
X ( )   x(n)e  jn
n 0

then the finite sequence x(n), n =0,…, M-1, can be completely

recovered from a sampled version of the Fourier transform. Specifically
we need only the samples
 2 
X n  , n  0,..., M  1
 M  21
Inverce discrete Fourier Transform
2
1 M 1
 2 

jnk
x ( n)  X k e
M
, n  0,..., M  1
M k 0  M 
Complexity O(M 2).
For M=2m popular Fast Fourier Transform (FFT).
Complexity O(M log(M)).

Apply Inverse Discrete Fourier Transform to i(n),

this will yield the desired vectors i(n).

If only a small number of i(n) is significant, then we apply Inverse

Discrete Fourier Transform only to a subset of the vectors i(n)
produced by the solution of the d.e.
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 Conclusion

 We have presented as special infinite dimensional eigen-

decomposition problem.
 With the help of the Fourier Transform this problem was
transformed into a d.e. followed by an eigen-decomposition
both of finite size.
 We presented numerical techniques that efficiently solve
all subproblems of the proposed solution.

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 Questions please ?

EnD

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