Numerical

Analysis
Lecture 17
Chapter 4
Eigen Value
Problems
Let [A] be an n x n square matrix.
Suppose, there exists a scalar 
and a vector
X  ( x1 x2  xn ) T

such that

[ A]( X )   ( X )
Power Method

Jacobi’s Method
Power
Method
To compute the largest eigen
value and the corresponding
eigenvector of the system
[ A]( X )   ( X )
where [A] is a real, symmetric
or un-symmetric matrix, the
power method is widely used
in practice.
Procedure
Step 1: Choose the initial vector
such that the largest element is
unity.

(0)
Step 2: The normalized vector v
is pre-multiplied by the matrix
[A].
Step 3:The resultant vector is
again normalized.

Step 4: This process of

iteration is continued and the
new normalized vector is
repeatedly pre-multiplied by
the matrix [A] until the
required accuracy is
obtained.
We calculate

   
r
    r

A v  1 c1v1  c2  2  v2    cn  n  vn 
r r

  1   1  

   
r 1
  
r 1

Ar 1v  (1 ) r 1 c1v1  c2  2  v2    cn  n  vn 
  1   1  
Now, the eigen value 1
can be computed as the limit of the
ratio of the corresponding
components of r and
Av r 1
A v.
That is,
r 1
 r 1
( A v) p
1  1
 Lt , p  1, 2, , n
1
r r  r
( A v) p
Here, the index p stands for the p-th
component in the corresponding vector
Sometimes, we may be
interested in finding the least
eigen value and the
corresponding eigenvector.
In that case, we proceed as
follows.
We note that [ A]( X )   ( X ).
1
Pre-multiplying by [ A ] , we get
[ A ][ A]( X )  [ A ] ( X )  [ A ]( X )
1 1 1
 1 1
[ A ]( X )  ( X )

The inverse matrix has a
set of eigen values which
are the reciprocals of the
eigen values of [A].
Thus, for finding the
eigen value of the
least magnitude of
the matrix [A], we
have to apply power
method to the inverse
of [A].
Jacobi’s
Method
Definition
An n x n matrix [A] is said to
be orthogonal if

[ A] [ A]  [ I ],
T

1
i.e.[ A]  [ A]
T
If [A] is an n x n real
symmetric matrix, its eigen
values are real, and there
exists an orthogonal matrix
[S] such that the diagonal
matrix D is
1
[ S ][ A][ S ]
This diagonalization can be
carried out by applying a
series of orthogonal
transformations

S1 , S 2 ,..., S n ,
Let A be an n x n real
symmetric matrix. Suppose aij
be numerically the largest
element amongst the off-
diagonal elements of A. We
construct an orthogonal matrix
S1 defined as
sij   sin  , s ji  sin  ,
sii  cos  , s jj  cos 
 i-th column j -th column
 
1 0  0  0  0
0 1  0  0  0 

    
 
 0 0  cos    sin   0   i-th row
S1 
    
 
0 0  sin   cos   0   j -th row
    
 
0 0  0  0  1 
where cos  ,  sin  ,sin  and cos 
are inserted in (i, i), (i, j ), ( j, i), ( j, j )  th
positions respectively, and
elsewhere it is identical with a
unit matrix.
Now, we compute

1
D1  S AS1  S AS1
1
T
1
Therefore, dij  0 , only if,
a jj  aii
aij cos 2  sin 2  0
2
That is if
2aij
tan 2 
aii  a jj
Thus, we choose  such that the
above equation is satisfied,
thereby, the pair of off-diagonal
elements dij and dji reduces to
zero.
However, though it creates a new
pair of zeros, it also introduces
non-zero contributions at
formerly zero positions.
Also, the above equation gives
four values of  , but to get the
least possible rotation, we
choose

  4     4.
As a next step, the numerically
largest off-diagonal element in
the newly obtained rotated
matrix D1 is identified and the
above procedure is repeated
using another orthogonal matrix
S2 to get D2. That is we obtain
1
D2  S D1S 2  S ( S AS1 ) S 2
2
T
2
T
1
Similarly, we perform a series of
such two-dimensional rotations
or orthogonal transformations.
After making r transformations,
we obtain
1 1 1 1
Dr  S S  S S AS1S 2  S r 1S r
r r 1 2 1
1
 ( S1S 2  S r 1S r ) A( S1S 2  S r 1S r )
1
 S AS
Example
Find all the eigen values and
the corresponding eigen
vectors of the matrix by
Jacobi’s method
 1 2 2 
 
A 2 3 2
 
 2 2 1 
Solution
The given matrix is real and
symmetric. The largest off-
diagonal element is found to be
a13  a31  2.
Now, we compute
2aij 2a13 4
tan 2    
aii  a jj a11  a33 0
 Which gives,    4
Thus, we construct an
orthogonal matrix Si as

cos 
0  sin
 
1
2
0  1

2
4 4

S1   0 1 0 0 1 0 

 
 sin 4 0 cos 4   12 0 1 
 2 
 The first rotation gives,
D1  S11 AS1
 12 0  1
 1 2 2   12 0  1

 
2 2
 
0 1 0  2 3 2  0 1 0 
1 1   1 1 
0 2  2 2 1   2 0
 2  2 

3 2 0 

 2 3 0  
 0 0 1
We observe that the elements
d13 and d31 got annihilated. To
make sure that calculations
are correct up to this step, we
see that the sum of the
diagonal elements of D1 is
same as the sum of the
diagonal elements of the
original matrix A.
As a second step, we choose
the largest off-diagonal
element of D1 and is found to
be d12  d 21  2, and compute
2d12 4
tan 2   
d11  d 22 0
which again gives    4
Thus, we construct the
second rotation matrix as

 1
2
 1
2
0
1 
S2   2 1
2
0
0 0 
1

At the end of the second
rotation, we get
1
D2  S D1S2
2

 1
2
1
2
0   3 2 0   12  1
2
0
 1   1 
  2 1
2
0 2 3 0   2 1
2
0
 0 
1  0 0 1  
 0  0 0 1

5 0 0 

 0 1 0  
 0 0 1
Which turned out to be a
diagonal matrix, so we stop the
computation. From here, we
notice that the eigen values of
the given matrix are 5,1 and –1.
The eigenvectors are the column
vectors of

S  S1S 2
Therefore
1
2
0  1
2
 1
2
 1
2
0
  1 
S   0 1 0  2 1
2
0
1 0 1  
 2 2  0 0 1
 12  12  1 
 2

 2 1 1
2
0 
1 
 2  2
1 1
2 
Example
Find all the eigen values of the
matrix by Jacobi’s method.

 2 1 0 

A   1 2 1 
 0 1 2 
Solution
Here all the off-diagonal
elements are of the same order
of magnitude. Therefore, we
can choose any one of them.
Suppose, we choose a12 as the
largest element and compute
1
tan 2  
0
Which gives,    4.

Then cos   sin   1 2

and we construct an orthogonal
matrix S1 such that
 1
2
 1
2
0
1 
S 2 1
2
0
0 0 
1

The first rotation gives
1
D1  S AS1
1

 12  1
2
0   2 1 0   12  1
2
0
 1   1 
  2 1
2
0   1 2 1  2 1
2
0
 0 
1  0 1 2   
 0  0 0 1
 1 0  1
 
2

 0 3  12 
 1 
  2  2 
1
2
Now, we choose d13  1 2

as the largest element of D1 and

compute
2d  2
tan 2  13

d11  d33 1 2

  27 2241 .
o
Now we construct another
orthogonal matrix S2, such that

 0.888 0 0.459 

S2   0 1 0  
0.459 0 0.888 
At the end of second rotation, we
obtain
0.634 0.325 0 
1 
D2  S 2 D1S 2   0.325 3 0.628
 0 0.628 2.365 

Now, the numerically largest off-

diagonal element of D2 is found
to be d 23  0.628 and compute
 2  0.628
tan 2 
3  2.365
  31 3524.
o

Thus, the orthogonal matrix is

1 0 0 

S3  0 0.852 0.524  
0 0.524 0.852 
At the end of third rotation,
we get
 0.634 0.277 0 
1 
D3  S3 D2 S3  0.277 3.386 0  
 0 0 1.979 
To reduce D3 to a diagonal form,
some more rotations are required.
However, we may take 0.634, 3.386
and 1.979 as eigen values of the
given matrix.
Numerical
Analysis
Lecture 17