Hervé Abdi: The Eigen-Decomposition

Au 1
8

u1 u2 1
2 1
3 12 -1
-1 Au 2

a b
Figure 1: Two eigenvectors of a matrix.

2 Notations and definition

There are several ways to define eigenvectors and eigenvalues, the
most common approach defines an eigenvector of the matrix A as
a vector u that satisfies the following equation:

Au = λu . (1)

when rewritten, the equation becomes:

(A − λI)u = 0 , (2)

where λ is a scalar called the eigenvalue associated to the eigenvec-

tor.
In a similar manner, we can also say that a vector u is an eigen-
vector of a matrix A if the length of the vector (but not its direction)
is changed when it is multiplied by A.
For example, the matrix:
· ¸
2 3
A= (3)
2 1

has the eigenvectors:

· ¸
3
u1 = with eigenvalue λ1 = 4 (4)
2