Eigenvalues and Eigenvectors

Eigenvalues and Eigenvectors

 

Eigenvalues and Eigenvectors Diagonalization Symmetric Matrices and Orthogonal Diagonalization

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7.1 Eigenvalues and Eigenvectors



Eigenvalue problem: If A is an nvn matrix, do there exist nonzero vectors x in Rn such that Ax is a scalar multiple of x

Eigenvalue and eigenvector: A an nvn matrix P a scalar x a nonzero vector in Rn

Eigenvalue Geometrical Interpretation

Ax ! Px
Eigenvector
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Ex 1: (Verifying eigenvalues and eigenvectors)

2 0 A! 0  1

1 0 x1 ! x2 ! 0 1
Eigenvalue

2 0 1 2 1 Ax1 ! 0 ! 0 ! 20 ! 2 x1 0  1
Eigenvector Eigenvalue

0 2 0 0 0 Ax2 ! 1 !  1 ! 11 ! (1) x2 0  1

Eigenvector
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Ex 2: (An example of eigenspaces in the plane) Find the eigenvalues and corresponding eigenspaces of  1 0 A! 0 1 Sol: If v ! ( x, y )  1 0 x  x Av ! y ! y 0 1
For a vector on the x-axis

Eigenvalue

P1 ! 1

x  1 0 x  x 0 1 0 ! 0 ! 10
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For a vector on the y-axis

Eigenvalue

P2 ! 1

 1 0 0 0 0 0 1 y ! y ! 1 y Geometrically, multiplying a vector (x, y) in R2 by the matrix A corresponds to a reflection in the y-axis. The eigenspace corresponding to P1 ! 1 is the x-axis. The eigenspace corresponding to P2 ! 1 is the y-axis.

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Thm 7.2: (Finding eigenvalues and eigenvectors of a matrix AMnvn ) Let A is an nvn matrix. (1) An eigenvalue of A is a scalar P such that det(PI  A) ! 0 . (2) The eigenvectors of A corresponding to P are the nonzero solutions of (PI  A) x ! 0 .


Note: Ax ! Px (PI  A) x ! 0

(homogeneous system)

If (PI  A) x ! 0 has nonzero solutions iff det(PI  A) ! 0.



Characteristic polynomial of AMnvn: det(PI  A) ! (PI  A) ! Pn  cn 1Pn 1  .  c1P  c0

Characteristic equation of A: det(PI  A) ! 0

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Ex 4: (Finding eigenvalues and eigenvectors) 2  12 A! 1 5 Sol: Characteristic equation: P  2 12 (PI  A) ! 1 P  5 ! P2  3P  2 ! (P  1)(P  2) ! 0 P ! 1,  2 Eigenvalue: P1 ! 1, P2 ! 2

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(1)P1 ! 1

 3 12 x1 0 (P1I  A) x ! x ! 0 1 4 2 x1 4t 4 x ! t ! t 1 , t { 0 2  4 12 x1 0 (P2 I  A) x ! x ! 0 1 3 2 x1 3t 3 x ! t ! t 1, t { 0 2

(2)P2 ! 2

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Ex 5: (Finding eigenvalues and eigenvectors) Find the eigenvalues and corresponding eigenvectors for the matrix A. What is the dimension of the eigenspace of each eigenvalue? 2 1 0 A ! 0 2 0 0 0 2

Sol: Characteristic equation: P  2 1 0 PI  A ! 0 P 2 0 ! (P  2) 3 ! 0 0 0 P 2 Eigenvalue: P ! 2

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The eigenspace of A corresponding to P ! 2: 0  1 0 x1 0 (PI  A) x ! 0 0 0 x2 ! 0 0 0 0 x3 0 x1 s 1 0 x2 ! 0 ! s 0  t 0 , s , t { 0 x3 t 0 1 1 0 s 0  t 0 s, t R : the eigenspace of A corresponding to P ! 2 0 1 Thus, the dimension of its eigenspace is 2.
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Notes: (1) If an eigenvalue P1 occurs as a multiple root (k times) for the characteristic polynominal, then P1 has multiplicity k. (2) The multiplicity of an eigenvalue is greater than or equal to the dimension of its eigenspace.

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Ex 6

Find the eigenvalues of the matrix A and find a basis for each of the corresponding eigenspaces.

1 0 0 0 0 1 5  10 A! 1 0 2 0 1 0 0 3 Sol: Characteristic equation: P 1 0 0 0 0 P 1  5 10 PI  A ! 1 0 P 2 0 1 0 0 P 3 ! (P  1) 2 (P  2)(P  3) ! 0 Eigenvalue:P1 ! 1, P2 ! 2, P3 ! 3

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(1)P1 ! 1

0 0 (P1I  A) x !  1  1

0 x1 0 0  5 10 x2 0 ! 0  1 0 x3 0 0 0  2 x4 0 x1  2t 0  2 x s 1 0 2 ! ! s  t , s, t { 0 x3 2t 0 2 x4 t 0 1 0 0

0  2 1 0 , is a basis for the eigenspace 0 2 of A corresponding to P ! 1 0 1

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(2)P2 ! 2

0 x1 0 1 0 0 0 1  5 10 x 0 2 ! (P2 I  A) x !  1 0 0 0 x3 0  1 0 0  1 x4 0 x1 0 0 x 5t 5 2 ! ! t , t { 0 x3 t 1 x4 0 0 0 5 is a basis for the eigenspace 1 of A corresponding to P ! 2 0

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(3)P3 ! 3

2 0 0 0 x1 0 0 2  5 10 x 0 2 ! (P3 I  A) x !  1 0 1 0 x3 0  1 0 0 0 x 4 0 x1 0 0 x  5t  5 2 ! ! t , t { 0 x3 0 0 x4 t 1

0  5 is a basis for the eigenspace 0 of A corresponding to P ! 3 1

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Thm 7.3: (Eigenvalues for triangular matrices) If A is an nvn triangular matrix, then its eigenvalues are the entries on its main diagonal. Ex 7: (Finding eigenvalues for diagonal and triangular matrices)  1 0 0 0 0 2 0 0 0 2 0 0 0 ( a ) A !  1 1 0 (b ) A ! 0 0 0 0 0 0 0 0  4 0 5 3  3 0 0 0 0 3 P2 0 0 Sol: ( a ) PI  A ! 1 P 1 0 ! (P  2)(P  1)(P  3) 5 3 P1 ! 2, P2 ! 1, P3 ! 3 P 3

(b) P1 ! 1, P2 ! 2, P3 ! 0, P4 ! 4, P5 ! 3

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Eigenvalues and eigenvectors of linear transformations: A number P is called an eigenvalue of a linear transformation T : V p V if there is a nonzero vector x such that T (x) ! Px. The vector x is called an eigenvector of T corresponding to P , and the setof all eigenvectors of P (with the zero vector) is called the eigenspace of P .

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Keywords in Section 7.1:



eigenvalue problem: eigenvalue: eigenvector: characteristic polynomial: characteristic equation: eigenspace: multiplicity:

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Lecture 16: Eigenvalues and Eigenvectors

Today Eigenvalues and Eigenvectors Diagonalization Symmetric Matrices and Orthogonal Diagonalization
  

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7.2 Diagonalization


Diagonalization problem: For a square matrix A, does there exist an invertible matrix P such that P-1AP is diagonal?

Diagonalizable matrix: A square matrix A is called diagonalizable if there exists an invertible matrix P such that P-1AP is a diagonal matrix. (P diagonalizes A)

Notes: (1) If there exists an invertible matrix P such that B ! P 1 AP, then two square matrices A and B are called similar. (2) The eigenvalue problem is related closely to the diagonalization problem.
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Thm 7.4: (Similar matrices have the same eigenvalues) If A and B are similar nvn matrices, then they have the same eigenvalues. Pf: A and B are similar B ! P 1 AP PI  B ! PI  P 1 AP ! P 1PIP  P 1 AP ! P 1 (PI  A) P ! P 1 PI  A P ! P 1 P PI  A ! P 1 P PI  A ! PI  A Thus A and B have the same eigenvalues.

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Ex 1: (A diagonalizable matrix) 1 3 0 A ! 3 1 0 0 0  2 Sol: Characteristic equation: P 1  3 0 PI  A !  3 P  1 0 ! (P  4)(P  2) 2 ! 0 0 0 P2 The eigenvalues P1 ! 4, P2 ! 2, P3 ! 2

1 (1)P ! 4 the eigenvector p1 ! 1 0

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1 0 (2)P ! 2 the eigenvector p2 !  1, p3 ! 0 0 1 1 1 0 P ! [ p1 p2 p3 ] ! 1  1 0 0 0 1 0 4 0 such that P 1 AP ! 0  2 0 0 0  2 Note: If P ! [ p2 p1 p3 ] 1 1 0 !  1 1 0 0 0 1  2 0 0 P 1 AP ! 0 4 0 0 0  2

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Thm 7.5: (Condition for diagonalization) An nvn matrix A is diagonalizable if and only if it has n linearly independent eigenvectors. Pf: () A is diagonalizable there exists an invertible P s.t. D ! P 1 AP is diagonal Let P ! [ p1 PD ! [ p1 p2 . pn ] and D ! diag (P1 , P2 ,. , Pn ) P1 0 0 P2 pn ] / / 0 0 Pn p n ]
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p2 .

. . 1 .

0 0 / Pn

! [P1 p1 P2 p2 .

3 AP ! [ Ap1

Ap2 .

Apn ]

@ AP ! PD Api ! Pi pi , i ! 1, 2, - , n (i.e. the column vector pi of P are eigenvectors of A) 3 P is invertible p1 , p2 , . , pn are linearly independent. @ A has n linearly independent eigenvectors. () A has n linearly independent eigenvectors p1 , p2 , . pn with corresponding eigenvalues P1 , P2 , . Pn Api ! Pi pi , i ! 1, 2, - , n Let P ! [ p1 p2 . pn ]
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AP ! A[ p1

p2 .

pn ] ! [ Ap1 Pn p n ] P1 0 0 P2 pn ] / / 0 0

Ap2 . . . 1 .

Apn ]

! [P1 p1 P2 p2 . ! [ p1 p2 .

0 0 ! PD / Pn

3 p1 , p1 , . , pn are linearly independent P is invertible @ P 1 AP ! D A is diagonalizable

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Ex 4: (A matrix that is not diagonalizable) Show that the following matrix is not diagonalizable. 1 2 A! 0 1 Sol: Characteristic equation: P 1  2 ! (P  1) 2 ! 0 PI  A ! 0 P 1 The eigenvalue P1 ! 1 1 0  2 0 1 PI  A ! I  A ! ~ 0 0 eigenvector p1 ! 0 0 0 A does not have two linearly independent eigenvectors, so A is not diagonalizable.
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Steps for diagonalizing an nvn square matrix: Step 1: Find n linearly independent eigenvectors p1 , p2 , . pn for A with corresponding eigenvalues. Step 2: Let P ! [ p1 Step 3: p2 . pn ] . . 1 . 0 0 / Pn

P1 0 0 P2 1 P AP ! D ! / / 0 0

where, Api ! Pi pi , i ! 1, 2,- , n

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Ex 5: (Diagonalizing a matrix) 1  1  1 A! 1 3 1  3 1  1 Find a matrix P such that P 1 AP is diagonal.

Sol: Characteristic equation: P 1 1 1 PI  A !  1 P  3  1 ! (P  2)(P  2)(P  3) ! 0 3 1 P  1 The eigenvalues P1 ! 2, P2 ! 2, P3 ! 3

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P1 ! 2

1 1 1 1 0 P1I  A !  1  1  1 ~ 0 1 3  1 3 0 0  1 x1  t x ! 0 eigenvector p ! 0 1 2 1 x3 t

1 0 0

P2 ! 2

1 1 0  1  3 1 4 P2 I  A !  1  5  1 ~ 0 1 1 4 3  1  1 0 0 0 1 x1 1 t 4 x !  1 t eigenvector p !  1 2 2 4 4 x3 t
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P3 ! 3

2 1 1 1 0 1 P3 I  A !  1 0  1 ~ 0 1  1 3  1 4 0 0 0  1 x1  t x ! t eigenvector p ! 1 3 2 1 x3 t  1 1  1 P ! [ p1 p2 p3 ] ! 0  1 1 1 4 1 2 0 0 s.t. P 1 AP ! 0  2 0 0 0 3
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Notes: d1 0 (1) D ! / 0 0 d2 / 0 . . 1 . d1k 0 0 0 k D ! / / dn 0 0 k d2 / 0 . . 1 . 0 0 / k dn

(2) D ! P 1 AP D k ! P 1 Ak P Ak ! PD k P 1

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Thm 7.6: (Sufficient conditions for diagonalization) If an nvn matrix A has n distinct eigenvalues, then the corresponding eigenvectors are linearly independent and A is diagonalizable.

Ex 7: (Determining whether a matrix is diagonalizable)

1  2 1 A ! 0 0 1 0 0  3

Sol: Because A is a triangular matrix, its eigenvalues are P1 ! 1, P2 ! 0, P3 ! 3 These three values are distinct, so A is diagonalizable.
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Ex 8: (Finding a diagonalizing matrix for a linear transformation)

Let T:R 3 p R 3 be the linear transformation given by T ( x1,x2 ,x3 ) ! ( x1  x2  x3 , x1  3 x2  x3 ,  3 x1  x2  x3 ) Find a basis B for R 3 such that the matrix for T relative to B is diagonal.

Sol: The standard matrix for T is given by 1  1  1 A! 1 3 1  3 1  1 From Ex. 5 you know that A is diagonalizable. Thus, the three linearly independent eigenvectors found in Ex. 5 can be used to form the basis B. That is
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B ! {(1, 0, 1), (1,  1, 4), (1, 1, 1)} The matrix for T relative to this basis is D ! ? [v1 ]B T [v2 ]B T [v3 ]B A T ! ? Av1 ]B [ Av2 ]B [ Av3 ]B A [ 2 0 0 ! 0  2 0 0 0 3

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Keywords in Section 7.2:



diagonalization problem: diagonalization: diagonalizable matrix:

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Lecture 16: Eigenvalues and Eigenvectors

Today Eigenvalues and Eigenvectors Diagonalization Symmetric Matrices and Orthogonal Diagonalization
  

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7.3 Symmetric Matrices and Orthogonal Diagonalization



Symmetric matrix: A square matrix A is symmetric if it is equal to its transpose:

A ! AT


Ex 1: (Symmetric matrices and nonsymetric matrices) 0 1  2 A! 1 3 0 (symmetric) 2 0 5 4 3 B! (symmetric) 3 1 3 2 1 C ! 1  4 0 (nonsymmetric) 1 0 5

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Thm 7.7: (Eigenvalues of symmetric matrices) If A is an nvn symmetric matrix, then the following properties are true. (1) A is diagonalizable. (2) All eigenvalues of A are real. (3) If P is an eigenvalue of A with multiplicity k, then P has k linearly independent eigenvectors. That is, the eigenspace of P has dimension k.

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Ex 2: Prove that a symmetric matrix is diagonalizable. a c A! c b Pf: Characteristic equation: P a c PI  A ! ! P2  (a  b)P  ab  c 2 ! 0 c P b As a quadratic in P, this polynomial has a discriminant of (a  b) 2  4(ab  c 2 ) ! a 2  2ab  b 2  4ab  4c 2 ! a 2  2ab  b 2  4c 2 ! ( a  b ) 2  4c 2 u 0
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(1) (a  b) 2  4c 2 ! 0 a ! b, c ! 0 a 0 A! is a matrix of diagonal. 0 a ( 2) ( a  b ) 2  4c 2 " 0 The characteristic polynomial of A has two distinct real roots, which implies that A has two distinct real eigenvalues. Thus, A is diagonalizable.

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Orthogonal matrix: A square matrix P is called orthogonal if it is invertible and P 1 ! PT

Thm 7.8: (Properties of orthogonal matrices) An nvn matrix P is orthogonal if and only if its column vectors form an orthogonal set.

Thm 7.9: (Properties of symmetric matrices) Let A be an nvn symmetric matrix. If P1 and P2 are distinct eigenvalues of A, then their corresponding eigenvectors x1 and x2 are orthogonal.
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Ex 5: (An orthogonal matrix) 2 2 1 3 3 3 2 1 P! 5 0 5 5 4 2 3 5 3 5 3 5 Sol: If P is a orthogonal matrix, then P 1 ! P T PP T ! I 1 32 T PP ! 5 3 25

2 3 1 5 4 3 5

1 3 2 0 3 5 2 3 5 3
2 3

2 5 1 5

2 3 5 4 3 5 5 3 5

1 0 0 ! 0 1 0 ! I 0 0 1

2 2 1 3 3 3 Let p1 ! 2 , p2 ! 15 , p3 ! 0 5 3 55 345 325

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produces p1 p2 ! p1 p3 ! p2 p3 ! 0 p1 ! p2 ! p3 ! 1 { p1 , p2 , p3 } is an orthonormal set.

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Thm 7.10: (Fundamental theorem of symmetric matrices) Let A be an nvn matrix. Then A is orthogonally diagonalizable and has real eigenvalue if and only if A is symmetric.

Orthogonal diagonalization of a symmetric matrix:

Let A be an nvn symmetric matrix. (1) Find all eigenvalues of A and determine the multiplicity of each. (2) For each eigenvalue of multiplicity 1, choose a unit eigenvector. (3) For each eigenvalue of multiplicity ku2, find a set of k linearly independent eigenvectors. If this set is not orthonormal, apply GramSchmidt orthonormalization process. (4) The composite of steps 2 and 3 produces an orthonormal set of n eigenvectors. Use these eigenvectors to form the columns of P. The matrix P 1 AP ! P T AP ! D will be diagonal.
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Ex 7: (Determining whether a matrix is orthogonally diagonalizable) 1 1 1 A1 ! 1 0 1 1 1 1 5 2 1 A2 ! 2 1 8  1 8 0 3 2 0 A3 ! 2 0 1 0 0 A4 ! 0  2

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Symmetric matrix

Orthogonally diagonalizable

Ex 9: (Orthogonal diagonalization) Find an orthogonal matrix P that diagonalizes A. 2  2 2 A ! 2 1 4  2 4  1 Sol: (1) PI  A ! (P  3) 2 (P  6) ! 0 P1 ! 6, P2 ! 3 (has a multiplicity of 2) v1 ! ( 1 , 32 , 2 ) (2) P1 ! 6, v1 ! (1,  2, 2) u1 ! 3 3 v1 (3) P2 ! 3, v2 ! (2, 1, 0), v3 ! (2, 0, 1) Linear Independent
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Gram-Schmidt Process: v3 w2 4 w2 ! v2 ! (2, 1, 0), w3 ! v3  w2 ! ( 52 , 5 , 1) w2 w2 w2 w3 2 1 u2 ! ! ( 5 , 5 , 0), u3 ! ! ( 3 25 , 3 4 5 , 3 5 5 ) w2 w3 1 3 2 P!3 2 3

2 5 1 5 2 3 5 4 3 5 5 3 5

 6 0 0 P 1 AP ! 0 3 0 0 0 3

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Keywords in Section 7.3:



symmetric matrix: orthogonal matrix: orthonormal set: orthogonal diagonalization:

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