Documente Academic
Documente Profesional
Documente Cultură
Sugata Bag
[SB] (Delhi School of Economics) Introductory Math Econ 24th August 2012 1 / 17
Introduction Eigenvalues-Eigenvectors
Denition
Let T : V ! V be a LT. A scalar is an eigenvalue of T if there exists a
non-zero vector v 2 V s.t. T (v ) = v . Where v is then an eigenvector
of T , corresponding to the eigenvalue .
[SB] (Delhi School of Economics) Introductory Math Econ 24th August 2012 2 / 17
Introduction Eigenvalues-Eigenvectors
Notions
Note (2) For a typical (n n ) matrix A and a typical (n 1) vector v ,
the vector Av is some point in <n (or C n , if A is a complex matrix). In
the eigenvalue problem, we are looking for vectors v such that Av lies on
the same line through the origin as v itself.
Example
(1). A matrix for which all non-zero vectors are eigenvectors: In n . For all
non-zero x 2 <n , Ix = 1x; all such x are eigenvectors corresponding to the
eigenvalue 1.
(2) Using the appropriate rotation matrix, rotate the earth through say
90o . Typically, vectors x 2 <3 will change direction on rotation. But
vectors lying on the axis of rotation will not change direction. For such
vectors v , Av = 1v .
Characteristic Equation
T (v ) = v ) (T I )(v ) = 0. That is, eigenvectors v corresponding to
the eigenvalue comprise the Nullspace of the LT T I (along with the
zero vector). In fact the nullspace N (T I ) is called the eigenspace
w.r.t. .
For there to be a non-zero solution v to (T I )(v ) = 0, we need
Nullity (T I ) > 0, or Rank (T I ) < dim (V ). Let the matrix An n
represent T . So we have Rank (A I ) < n, which implies the
determinant det (A I ) = 0. det (A I ) is just
0 1
a11 a12 ... a1n
B a21 a22 . . . a2n C
B C
det B .. .. .. C
@ . ... . . A
an1 ... . . . ann
So det (A I ) = 0 is nth -degree
polynomial and can be written as -
f () = j(A I )j = ( ) + bn 1 ( )n 1 + ... + b1 ( )1 + b0 ... (1)
n
[SB] (Delhi School of Economics) Introductory Math Econ 24th August 2012 5 / 17
Introduction Eigenvalues-Eigenvectors
Examples
The characteristic polynomial for a second-order matrix A = jjaij jj is
a11 a12
f () = = (a11 )(a22 ) a12 a21
a21 a22
= ( )2 + (a11 + a22 )( ) + a11 a22 a12 a21
= ( ) 2 + b1 ( ) + b0
hence, b1 = a11 + a22 , b0 = a11 a22 a12 + a21 = jAj
Two roots of f () = 0 are -
= 21 f(a11 + a22 ) [(a11 + a22 )2 4jAj]1/2 g
if 1 and 2 are the two roots then 1 2 = jAj = b0 and
1 + 2 = a11 + a22 = b1
Recall: A quadratic eqn in can be as: 2 trace (A) + det (A) = 0.
Note: The tsm of the diagonal elements of a square matrix A (called
trace (A)) equals the sum of eigen values ni=1 i . And det (A) = ni=1 i ,
the product of eigen values.
[SB] (Delhi School of Economics) Introductory Math Econ 24th August 2012 6 / 17
Introduction Eigenvalues-Eigenvectors
Examples
1 5 2 x1 0
=
8 1 5 x2 0
The eigenspace is 1-dimensional; Rank (A 5I ) = 1. Its
f(x1 , x2 )j 4x1 + 2x2 = 0g. If we choose x1 = 1, we solve and get
x2 = 2, so x = (1, 2)T is an eigenvector corresponding to = 5.
Similarly, (1, 2)T is an eigenvector corresponding to 2 = 3.
[SB] (Delhi School of Economics) Introductory Math Econ 24th August 2012 7 / 17
Introduction Eigenvalues-Eigenvectors
Examples
Example
A2 2 has rows (1, 2) and (p 2, 1). det (A I ) = 2 2 + 5 = 0
implies the roots equal 2 24 20 . So 1 = 1 + 2i and 2 = 1 .
Eigenvector corresponding to 1 :
2i 2 x1 0
(A (1 + 2i )I )x = =
2 2i x2 0
Rank (A 1 I ) = 1 (the 2nd row is i times the rst). Solving
2ix1 + 2x2 = 0 by setting x1 = 1, we get x2 = i. So (1, i )T is an
eigenvector corresponding to 1 . The conjugate of this vector, (1, i )T is
therefore an eigenvector corresponding to the conjugate root 2 (this is a
general result).
[SB] (Delhi School of Economics) Introductory Math Econ 24th August 2012 8 / 17
Introduction Eigenvalues-Eigenvectors
Identical Spectrums
Can we replaced a linear transformation T with a matrix A representing
it? Indeed all matrices representing T in dierent bases are similar to each
other. If A and B are 2 such matrices, then A = SBS 1 for some
invertible (change of basis) matrix S.
Denition
Similarity: If there exists a nonsingular matrix S such that B = SAS 1,
Lemma
Similar matrices have an identical spectrum.
Proof.
By assumption, Axi = i xi and Axj = j xj . Thus xj 0Axi = i xj 0xi and
xj 0Axj = j xj 0xi . Subtracting and noting that xj 0Axi = xj 0Axj , we have
(i j )xj 0xi = 0, or xj 0xi = 0 , since i 6= j .If x 6= 0 is an eigenvector
of A, then any scalar multiple of x is also an eigenvector of A,
corresponding to the same eigenvalue.
Note: For convenience, we shall always assume that the eigenvectors of a
symmetric matrix are of unit length; denoted by ui ; and they are said to
have been normalized. A set of two or more normalized eigenvectors ui
corresponding to dierent eigenvalues of A satises the equation ui uj = ij
and are said to be orthonormal.
[SB] (Delhi School of Economics) Introductory Math Econ 24th August 2012 10 / 17
Introduction Symmetric Matrix & Characteristic Value
Example
p
2 2
Find the eigen values and eigen vectors of A = p .
2 1
p
2 2
The characteristic equationis jA I j = p = 2 3 = 0
2 1
thus the eigenvalues are 1 = 0 and 2 = 3.
To determine eigen vectors corresponding i , we must solve the set of
homogenous equation [A I ]x = 0. Let us take 1 = 0 rst, then the
set of equations becomes -
p p
2x1 + 2x2 = 0 and 2x1 + x2 = 0
Implies, x1 = p1 x2
2
If we wish to nd an eigen vector of unit length, we must require that
x12 + x22 = 1. Thus 32 x22 = 1; choosing the positive sqare root, we obtain -
p
x2 = 23 and x1 = p13 .
And the eigenvector of unit length corresponding to 1 is -
p
u1 = [ p13 , 23 ]
[SB] (Delhi School of Economics) Introductory Math Econ 24th August 2012 11 / 17
Introduction Symmetric Matrix & Characteristic Value
Example contd...
[SB] (Delhi School of Economics) Introductory Math Econ 24th August 2012 12 / 17
Introduction Diagonalization
Proof.
Note S = (v1 , ..., vn ) is invertible (eigenvectors written as columns). Then
AS = A(v1 v2 ... vn ) = (Av1 Av2 ... Avn ) = (1 v1 2 v2 ... n vn )
0 10 0 ... 0
1
.. .. . . .. 1
B . . . . CB 0 ... 0 C
B 2 C
=B @ 1 2v v . . . vn CAB .. .. . . .. C = SD
.. .. . . . @ . . . . A
. . . .. 0 0 . . . n
Proof.
(By induction). The statement is trivially true if n = 1. Suppose its true
for n = 1, 2, ..., k 1; i.e. if 1 , ..., k 1 are distinct and v1 , ..., vk 1 are
corresponding eigenvectors, then they are LI. Suppose k is an eigenvalue
distinct from 1 , ..., k 1 and vk is a corresponding eigenvector. For some
scalars c1 , ..., ck suppose that c1 v1 + ... + ck vk = 0 (1) .
So, A(c1 v1 + ... + ck vk ) = A0 = 0 . By linearity of A we get -
c1 Av1 + ... + ck Avk = 0 ) c1 1 v1 + ... + ck k vk = 0 (2).
Eq(2) minus k (Eq(1)) eliminates k , giving:
c1 (1 k )v1 + ... + ck 1 (k 1 k )vk 1 = 0. By LI of fv1 , ..., vk 1 g,
ci (i k ) = 0, 8i = 1, .., k 1. Since i 6= k , ci = 0, 8i = 1(1)k 1.
Plugging ci s in Eq(1), we get ck = 0 also, so that fv1 , .., vk g are LI.
[SB] (Delhi School of Economics) Introductory Math Econ 24th August 2012 14 / 17
Introduction Diagonalization
Why Diagonalize?
[SB] (Delhi School of Economics) Introductory Math Econ 24th August 2012 15 / 17
Introduction Diagonalization
Why Diagonalize
[SB] (Delhi School of Economics) Introductory Math Econ 24th August 2012 16 / 17
Introduction Diagonalization
Examples
p
2 2
For the matrix p
2 1
And the eigenvector of unit length corresponding to 1 is -
p
u1 = [ p13 , 23 ]
p
u2 = [ 23 , p13 ]
p
1 1 2
S = ( u1 , u2 ) = p 3 [ p ]
2 1
p p p
1 2
S 0 AS = 31 p p2 2
p1 2
2 1 2 1 2 1
p p
2 2 0 3 2 0 0 1 0
= 13 p = =
2 1 0 3 0 3 0 2
[SB] (Delhi School of Economics) Introductory Math Econ 24th August 2012 17 / 17