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Finding Eigenvalues and Eigenvectors
Finding Eigenvalues and Eigenvectors
Finding Eigenvalues and Eigenvectors
Eigenvectors
What is really
important?
Approaches
Power Method
Inverse Power Method
Leverriers Method
Jacobis Method
Householders Method
QR Method
Danislevskys Method
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Method
= A (Bk+1 + ak+1I)
ak
= - trace(Bk)/(n k + 1)
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The
A linearly
a basis
5
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Given
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Can
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y1 =
What
10
is y2 = Ay1?
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y c1 e c2 e ... cn e ck 2k e k
2
2 1
1
2
2
2
n
k 1
in general,
n
or
e
y c1e ck
1
k 2
11
i
1
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y i 1i c1e1 ck k ek
1
k 2
So what?
n
k
k
0 as i
Recall that
1, so
1
1
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y i 1i c1e1 ck k e k
1
k 2
then
n
y i 1i c1e1 as i
13
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14
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15
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16
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y Ay
y y
i T
i T
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x
x
x Ay
yT x
T
y y
r y - x
i i 1
3. While ( r ) and (i m)
18
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Jacobis Method
Requires
a symmetric matrix
May take numerous iterations to converge
Also requires repeated evaluation of the
arctan function
Isnt
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a matrix A to produce an
upper-Hessenberg form B
The eigenvalues of B are related to the
eigenvalues of A by a linear transformation
Typically, the eigenvalues of B are easier to
obtain because the transformation simplifies
computation
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B is said to be in upper-Hessenberg
form if it has the following structure:
b1,1 b1,2 b1,3 b1,n -1
b b b b
2, n -1
2,1 2,2 2,3
0 b3,2 b 3,3
B
0 0 b 4,3
0 0
21
b3,n -1
b n -1,n -1
b1,n
b 2,n
b3,n
b n -1,n
b n,n
b n,n -1
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22
Properties of P(u)
P2(u) = I
P-1(u) = P(u)
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PT(u) = P(u)
Householders Algorithm
Set
Set
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B=A
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Example
1 2 3
Let A 3 5 6 .
4 8 9 3 x 3
Clearly, n 3 and since n - 2 1, k takes only the value k 1.
2
2
Then sgn(a 21 ) a21
a31
sgn(3) 32 4 2 1 5 5
25
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Example
uT [0,...,0, a21 , a31 ,..., an1 ] [0, a21 , a31 ]
[0 ,3 5,4] [0,8,4]
1 0 0
uu
P I 2 T 0 1 0
u u
0 0 1
T
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0
8 0 8 4
4
2
?
0
0 8 4 8
4
Example
1 0 0
uu
P I 2 T 0 1 0
u u
0 0 1
T
0
8 0 8 4
4
2
0
0 8 4 8
4
1 0 0
0 0 0 1
0 1 0 0 64 32 0
80
0 0 1
0 32 16
0
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0
3
5
4
5
0
4
2
. Find P ?
5
3
5
DRAFT Copyright, Gene A
Tagliarini, PhD
Example
Initially, Q I, so
1 0 0 1
Q QP 0 1 0 0
0 0 1
0
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0
3
5
4
5
0 1
4
0
5
3
0
5
0
3
5
4
5
0
4
5
3
5
Example
Next, A PAP , so
A 0
29
0
3
5
4
5
0
4
5
3
5
1 2 3 1
3 5 6 0
4 8 9
0
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0
3
5
4
5
0
4
?
5
3
5
Example
Hence,
3
A 0
5
0 4
5
- 18
357
-5
25
0 - 24
25
30
0 1 2 3 1
3 5 6 0
5
3 4 8 9
0
1
5
26
25
-7
25
0
3
5
4
5
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0 1
4
5
5
3
0
2
47
5
4
5
3
54
5
3
5
0
3
5
4
5
0
4
5
3
5
Example
Finally, since the loop only executes once
- 18
1
5
357
B A -5
25
0 - 24
25
So what?
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1
5
26
.
25
-7
25
DRAFT Copyright, Gene A
Tagliarini, PhD
32
sgn(x) = 1, if x0 and
sgn(x) = -1, if x<0
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33
matrix Q is orthogonal
= QT A Q hence Q B = Q QT A Q = A Q
Q QT = I (by the orthogonality of Q)
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Since
Q B = A Q,
A (Q ek) = Q (B ek) = Q (k ek) = k (Q ek)
Note
34
from this:
k is an eigenvalue of A
Q ek is the corresponding eigenvector of A
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a matrix A
Apply Householders Algorithm to obtain a
matrix B in upper-Hessenberg form
Select
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Bk ,k
2
k ,k
2
k 1, k
; s
Bk 1, k
2
k ,k
2
k 1, k
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c d
trace(B k ) trace 2 (B k ) 4 det(B k )
then k ,k 1
.
2
37
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a b
Suppose B k
.
c d
a b
I B k
c d
I B k ?
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a b
Given I B k
c d
I B k ( a )( d ) bc
(a d ) ad bc
2
trace(B k ) det(B k )
2
39
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Example Please!?!?!?
Consider
0
0
A 0
1 0
0
0 0
0
0
0
0
0 1
0
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an an1 a2 a1
1
0
0
I A I 0
1 0
0 ?
0 0
0
0
0
0
0 1
0
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a1
0
0
0
an1 a2 a1
( an )n1 (1)
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1 0 0
0 0
0 0 1
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