Eigen Value

Chapter 6
Eigenvalues and Eigenvectors
Po-Ning Chen, Professor

Department of Electrical and Computer Engineering
National Chiao Tung University
Hsin Chu, Taiwan 30010, R.O.C.
6.1 Introduction to eigenvalues
6-1
Motivations
The static system problem of Ax = b has now been solved, e.g., by GaussJordan method or Cramers rule.
However, a dynamic system problem such as
Ax = x
cannot be solved by the static system method.
To solve the dynamic system problem, we need to nd the static feature
of A that is unchanged with the mapping A. In other words, Ax maps to
itself with possibly some stretching ( > 1), shrinking (0 < < 1), or being
reversed ( < 0).
These invariant characteristics of A are the eigenvalues and eigenvectors.
Ax maps a vector x to its column space C(A). We are looking for a v C(A)
such that Av aligns with v. The collection of all such vectors is the set of eigenvectors.
6.1 Eigenvalues and eigenvectors
6-2
Conception (Eigenvalues and eigenvectors): The eigenvalue-eigenvector

pair (i, v i ) of a square matrix A satises
Av i = i v i (or equivalently (A i I)v i = 0)
where v i = 0 (but i can be zero), where v 1, v 2, . . . , are linearly independent.
How to derive eigenvalues and eigenvectors?
For 3 3 matrix A, we can obtain 3 eigenvalues 1, 2, 3 by solving
det(A I) = 3 + c2 2 + c1 + c0 = 0.
If all 1, 2, 3 are unequal, then we continue to derive:
(A 1I)v 1 = 0
v 1 = the only basis of the nullspace of (A 1I)
Av 1 = 1v 1
Av 2 = 2v 2 (A 2I)v 2 = 0 v 2 = the only basis of the nullspace of (A 2I)
(A 3I)v 3 = 0
Av 3 = 3v 3
and the resulting v 1, v 2 and v 3 are linearly independent to each other.
If A is symmetric, then v 1, v 2 and v 3 are orthogonal to each other.
6-3
If, for example, 1 = 2 = 3, then we derive:

(A 1I)v 1 = 0
{v 1, v 2} = the basis of the nullspace of (A 1I)
(A 3I)v 3 = 0
and the resulting v 1, v 2 and v 3 are linearly independent to each other
when the nullspace of (A 1I) is two dimensional.
If A is symmetric, then v 1, v 2 and v 3 are orthogonal to each other.
Yet, it is possible that the nullspace of (A 1I) is one dimensional, then
we can only have v 1 = v 2.
In such case, we say the repeated eigenvalue 1 only have one eigenvector.
In other words, we say A only have two eigenvectors.
If A is symmetric, then v 1 and v 3 are orthogonal to each other.
6-4
If 1 = 2 = 3, then we derive:
(A 1I)v 1 = 0 {v 1, v 2, v 3} = the basis of the nullspace of (A 1I)
When the nullspace of (A 1I) is three dimensional, then v 1, v 2 and v 3
are linearly independent to each other.
When the nullspace of (A 1I) is two dimensional, then we say A only
have two eigenvectors.
When the nullspace of (A 1I) is one dimensional, then we say A
only have one eigenvector. In such case, the matrix-form eigensystem
becomes:

1 0 0
A v 1 v 1 v 1 = v 1 v 1 v 1 0 1 0
0 0 1
If A is symmetric, then distinct eigenvectors are orthogonal to each
other.
6-5
Invariance of eigenvectors and eigenvalues.
Property 1: The eigenvectors stay the same for every power of A.

The eigenvalues equal the same power of the respective eigenvalues.
I.e., An v i = niv i.
Av i = iv i = A2v i = A(iv i) = i Av i = 2i v i
Property 2: If the nullspace of Ann consists of non-zero vectors, then 0 is the

eigenvalue of A.
Accordingly, there exists non-zero v i to satisfy Av i = 0 v i = 0.
6-6
Property 3: Assume with no loss of generality |1| > |2| > > |k |. For
any vector x = a1v 1 + a2v 2 + + ak v k that is a linear combination of all
eigenvectors, the normalized mapping P = 11 A (namely,

1
1
1
P v1 =
A v1 =
(Av 1) = 1v 1 = v 1)
1
1
1
converges to the eigenvector with the largest absolute eigenvalue (when being
applied repeatedly).
I.e.,

1 k
1
k
k
k
k
lim P x = lim k A x = lim k a1A v 1 + a2A v 2 + + ak A v k
k
k 1
k 1

1
k
k
k k
= lim k a11 v 1 + a22 v 2 + + k A v k

k 1
= a1 v 1 .
steady state
transient states
6.1 How to determine the eigenvalues?

We wish to nd a non-zero vector v to satisfy Av = v; then
(A I)v = 0, where v = 0
det(A I) = 0.
So by solving det(A I) = 0, we can obtain all the eigenvalues of A.

0.5 0.5
Example. Find the eigenvalues of A =
.
0.5 0.5
Solution.
0.5 0.5
0.5 0.5
= (0.5 )2 0.52 = 2 = ( 1) = 0
= 0 or 1.
det(A I) = det
6-7
6-8
Proposition: Projection matrix (dened in Section 4.2) has eigenvalues either 1

or 0.
Proof:
A projection matrix always satises P 2 = P . So P 2v = P v = v.
By denition of eigenvalues and eigenvectors, we have P 2v = 2v.
Hence, v = 2v for non-zero vector v, which immediately implies = 2.
Accordingly, is either 1 or 0.
Proposition: Permutation matrix has eigenvalues satisfying k = 1 for some

integer k.
Proof:
A purmutation matrix always satises P k+1 = P for some integer k.

0 0 1
v3
Example. P = 1 0 0. Then, P v = v1 and P 3v = v. Hence, k = 3.
v2
0 1 0
Accordingly, k+1v = v, which gives k = 1 since the eigenvalue of P cannot
be zero.
2
6-9
Proposition: Matrix
mAm + m1 Am1 + + 1A + 0 I
has the same eigenvectors as A, but its eigenvalues become
mm + m1 m1 + + 1 + 0 ,
where is the eigenvalue of A.
Proof:
Let v i and i be the eigenvector and eigenvalue of A. Then,

m Am + m1 Am1 + + 0I v i = m m + m1 m1 + + 0 v i

Hence, v i and mm + m1 m1 + + 0 are the eigenvector and eigenvalue of the polynomial matrix.
2
6-10
Theorem (Cayley-Hamilton): For a square matrix A, dene

f () = det(A I) = n + n1 n1 + + 0.
(Suppose A has linearly independent eigenvectors.) Then
f (A) = An + n1 An1 + + 0I = all-zero n n matrix.
Proof: The eigenvalues of f (A) are all zeros and the eigenvectors of f (A) remain
the same as A. By denition of eigen-system, we have
0
f (1) 0

0 f (2)
0
f (A) v 1 v 2 v n = v 1 v 2 v n ..
...
... .
...
.
0
0 f (n )
2
Corollary (Cayley-Hamilton): (Suppose A has linearly independent eigenvectors.)
(1I A)(2I A) (nI A) = all-zero matrix
Proof: f () can be re-written as f () = (1 )(2 ) (n ).
6-11
(Problem 11, Section 6.1) Here is a strange fact about 2 by 2 matrices with eigenvalues 1 = 2: The columns of A 1I are multiples of the eigenvector x2. Any
idea why this should be?

0 0
Hint: (1I A)(2I A) =
implies
0 0
(1I A)w1 = 0 and (1I A)w2 = 0

where (2I A) = w1 w2 . Hence,
the columns of (2I A) give the eigenvectors of 1 if they are non-zero vectors
and
the columns of (1I A) give the eigenvectors of 2 if they are non-zero vectors .
So, the (non-zero) columns of A 1I are (multiples of ) the eigenvector x2.
6.1 Why Gauss-Jordan cannot solve Ax = x?
6-12
The forward elimination may change the eigenvalues and eigenvectors?

1 2
Example. Check eigenvalues and eigenvectors of A =
.
2 5
Solution.
The eigenvalues of A satisfy det(A I) = ( 3)2 = 0.

1 0 1 2
A = LU =
. The eigenvalues of U apparently satisfy
2 1 0 9
det(U I) = (1 )(9 ) = 0.
Suppose u1 and u2 are the eigenvectors of U , respectively corresponding
to eigenvalues 1 and 9. Then, they cannot be the eigenvectors of A since if
theywere,

1 0
3u
u1 = u1 = 0
=
Au
=
LU
u
=
Lu
=
1
1
1
1
2 1

2
1
0
3u2 = Au2 = LU u2 = 9Lu2 = 9 2 1 u2 = u2 = 0.

Hence, the eigenvalues are nothing to do with pivots (except for a triangular A).
6.1 How to determine the eigenvalues? (Revisited)
6-13
Solve det(A I) = 0.
det(A I) is a polynomial of order n.
a1,3
a1,1 a1,2
a
a2,2 a2,3
2,1
f () = det(A I) = det a3,1

a3,2
a3,3
..
...
.
..
.
an,1
an,2
an,3
a1,n
a2,n
a3,n
...
...
an,n
= (a1,1 )(a2,2 ) (an,n ) + terms of order at most (n 2)

(By Leibniz formula)
= (1 )(2 ) (n )
Observations
The coecient of n is (1)n, provided n 1.
"
"
The coecient of n1 is ni=1 i = ni=1 ai,i = trace(A), provided n 2.
...
The coecient of 0 is
#n
i=1 i
= f (0) = det(A).
6.1 How to determine the eigenvalues? (Revisited)
6-14
These observations make easy the nding of the eigenvalues of 2 2 matrix.

1 1
.
4 1
Solution.

1 + 2 = 1 + 1 = 2
12 = 1 4 = 3
= (1 2)2 = (1 + 2)2 412 = 16

= 1 2 = 4
= = 3, 1.

1 1
.
2 2
Solution.

1 + 2 = 3
1 2 = 0
= = 3, 0.
6.1 Imaginary eigenvalues
6-15
In some cases, we have to allow imaginary eigenvalues.

In order to solve polynomial equations f () = 0, the mathematician was forced
to image that there exists a number x satisfying x2 = 1 .
By this technique, a polynomial equations of order n have exactly n (possibly
complex, not real) solutions.
Example. Solve 2 + 1 = 0. = = i.
Based on this, to solve the eigenvalues, we were forced to accept imaginary

eigenvalues.

0 1
.
1 0
Solution. det(A I) = 2 + 1 = 0 = = i.
6-16
Proposition: The eigenvalues of a symmetric matrix A (with real entries) are

real, and the eigenvalues of a skew-symmetric (or antisymmetric) matrix B are
pure imaginary.
Proof:
Suppose Av = v. Then,
=
=
=
=
=
=
=
Av = v (A real)
(Av )Tv = (v )Tv (Equivalently, v Av = v (v ))
(v )TAT v = (v )Tv
(v )TAv = (v )Tv (Symmetry means AT = A)
(v )Tv = (v )T v (Av = v)
v 2 = v 2 (Eigenvector must be non-zero, i.e., v 2 = 0)
=
real
6-17
Suppose Bv = v. Then,
=
=
=
=
=
=
=
Bv = v (B real)
(Bv )Tv = (v )Tv
(v )TB Tv = (v )Tv
(v )T(B)v = (v )Tv (Skew-symmetry means B T = B)
(v )T()v = (v )Tv (Bv = v)
() v 2 = v 2 (Eigenvector must be non-zero, i.e., v 2 = 0)
=
pure imaginary
2
6.1 Eigenvalues/eigenvectors of inverse
6-18
For invertible A, the relation between eigenvalues and eigenvectors of A and A1

can be well-determined.
Proposition: The eigenvalues and eigenvectors of A1 are

1
1
1
, v1 ,
, v2 , . . . ,
, vn ,
1
2
n
where {(i, v i)}ni=1 are the eigenvalues and eigenvectors of A.
Proof:
The eigenvalues of invertible A must be non-zero because det(A) =
#n
i=1 i
= 0.
Suppose Av = v, where v = 0 and = 0. (I.e., and v are eigenvalue and

eigenvector of A.)
So, Av = v = A1(Av) = A1(v) = v = A1 v =
1
v
= A1v.
2
Note: The eigenvalues of Ak and A1 are respectively k and 1 with the same
eigenvectors as A, where is the eigenvalue of A.
6.1 Eigenvalues/eigenvectors of inverse
6-19
Proposition: The eigenvalues of AT are the same as the eigenvalues of A. (But

they may have dierent eigenvectors.)
Proof: det(A I) = det ((A I)T) = det (AT I T ) = det (AT I).
Corollary: The eigenvalues of an invertible (real-valued) matrix A satisfying

A1 = AT are on the unit circle of the complex plain.
Proof: Suppose Av = v. Then,
=
=
=
=
=
=
Av = v (A real)
(Av )Tv = (v )T v
(v )TAT v = (v )Tv
(v )TA1 v = (v )Tv (AT = A1)
(v )T 1 v = (v )Tv (A1 v = 1 v)
2
2
2
1
v
=
v
(Eigenvector
must
be
non-zero,
i.e.,
v
= 0)
= ||2 = 1

0 1
that satises AT = A1.
1 0
Solution. det(A I) = 2 + 1 = 0 = = i.
6.1 Determination of eigenvectors
6-20
After the identication of eigenvalues via det(AI) = 0, we can determine

the respective eigenvectors using the nullspace technique.
Recall (from Slide 3-42) how we completely solve
Bnnv n1 = (Ann Inn )v n1 = 0n1 .
Answer:
R = rref(B) =
Irr
Fr(nr)
(with no row exchange)

0(nr)r 0(nr)(nr)

Fr(nr)
Nn(nr) =
I(nr)(nr)
Then, every solution v for Bv = 0 is of the form

(null)
v n1 = Nn(nr) w (nr)1 for any w

nr .
Here, we usually nd the (n r) orthonormal bases for the null space
as the representative eigenvectors, which are exactly the (n r) columns of
Nn(nr) (with proper normalization and orthogonalization).

(Problem 12, Section 6.1) Find three eigenvectors for
matrices have = 1 and 0):
0.2
Projection matrix
P = 0.4
0
6-21
this matrix P (projection
0.4 0
0.8 0 .
0 1
If two eigenvectors share the same , so do all their linear combinations. Find an
eigenvector of P with no zero components.
Solution.
det(P I) = 0 gives (1 )2 = 0; so = 0, 1, 1.
1 12 0
= 1: rref(P I) = 0 0 0;
0 0 0
1
1

0
0
2
2
1
so F12 = 2 0 , and N32 = 1 0, which implies eigenvectors = 1 and 0 .
0 1
0
1
6-22
1 2 0
= 0: rref(P ) = 0 0 0 (with no row exchange);
0 0 1

2
2
2
so F = , and N31 = 1 , which implies eigenvector = 1 .
0
0
0
6.1 MATLAB revisited
6-23
In MATLAB:
We can nd the eigenvalues and eigenvectors of a matrix A by:
[V D]= eig(A); % Find the eigenvalues/vectors of A
The columns of V are the eigenvectors.
The diagonals of D are the eigenvalues.
Proposition:
The eigenvectors corresponding non-zero eigenvalues are in C(A).
The eigenvectors corresponding zero eigenvalues are in N (A).
Proof: The rst one can be seen from Av = v and the second one can be proved
by Av = 0.
2
6.1 Some discussions on problems
6-24
(Problem 25, Section 6.1) Suppose A and B have the same eigenvalues 1, . . . , n
with the same independent eigenvectors x1, . . . , xn. Then A = B. Reason:
Any vector x is a combintion c1x1 + + cn xn. What is Ax? What is Bx?
Thinking over Problem 25: Suppose A and B have the same eigenvalues and
eigenvectors (not necessarily independent). Can we claim that A = B.
Answer to the thinking: Not necessarily.

2 2
1 1
As a counterexample, both A =
and B =
have eigenvalues 0, 0
1 1
2 2

1
and single eigenvector
but they are not equal.
1
If however the eigenvectors span the n-dimensional space (such as
them and they are linearly independent), then A = B.
1 0

0
Hint for Problem 25: A x1 xn = x1 xn .. ..2 . .
.
. .
0 0
This important fact will be re-emphasized in Section 6.2.
there are n of
0
... .
6-25
(Problem 26, Section 6.1) The block B has eigenvalues 1, 2 and C has eigenvalues
3, 4 and D has eigenvalues 5, 7. Find the eigenvalues of the 4 by 4 matrix A:
0 1 3 0

B C
2 3 0 4
A=
=
.
0 D
0 0 6 1
0 0 1 6

B C
Thinking over Problem 26: The eigenvalues of
are the eigenvalues of B
0 D
and D because we can show

B C
det
= det(B) det(D).
0 D
(See Problems 23 and 25 in Section 5.2.)
6-26
(Problem 23, Section 5.2) With 2 by 2 blocks in 4 by 4 matrices, you cannot always
use block determinants:
$
$
$
$
$A B $
$A B $
$
$
$
$
$ 0 D $ = |A| |D| but $C D$ = |A| |D| |C| |B|.
(a) Why is the rst statement true? Somehow B doesnt enter.
Hint: Leibniz formula.
(b) Show by example that equality fails (as shown) when C enters.
(c) Show by example that the answer det(AD CB) is also wrong.
6-27
1
(Problem
25,
Section
5.2)
Block
elimination
subtracts
CA
times the rst

row A B from the second row C D . This leaves the Schur complement
D CA1B in the corner:

I
0 A B
A
B
=
.
CA1 I C D
0 D CA1 B
Take determinants of these block matrices to prove correct rules if A1 exists:

$
$
$A B $
1
$
$
$C D $ = |A| |D CA B| = |AD CB| provided AC = CA.

1
1
Hint: det(A) det(D CA B) = det A(D CA B) .
6-28
(Problem 37, Section 6.1)

(a) Find the eigenvalues and eigenvectors of A. They depend on c:

.4 1 c
A=
.
.6 c
(b) Show that A has just one line of eigenvectors when c = 1.6.
(c) This is a Markov matrix when c = .8. Then An will approach what matrix
A ?
Definition (Markov matrix): A Markov matrix is a matrix with positive
entries, for which every column adds to one.
Note that some researchers dene the Markov matrix by replacing positive by
non-negative; thus, they will use the term positive Markov matrix. The below
observations hold for Markov matrices with non-negative entries.
6-29
1 must be one of the eigenvalues of a Markov matrix.

1
1
Proof: A and AT have the same eigenvalues, and AT ... = ... .
1
1
The eigenvalues of a Markov matrix satisfy || 1.

"n
Proof: A v = v implies i=1 ai,j vi = vj ; hence, by letting vk satisfying

|vk | = max1in |vi|, we have
$ n
$
n
n
$%
$ %
%
$
$
|vk | = $
ai,k vi$
ai,k |vi |
ai,k |vk | = |vk |
$
$
T
i=1
which implies the desired result.
i=1
i=1
6-30
(Problem 31, Section 6.1) If we exchange rows 1 and 2 and columns 1 and 2, the
eigenvalues dont change. Find eigenvectors of A and B for 1 = 11. Rank one
gives 2 = 3 = 0.
1 2 1
6 3 3
A = 3 6 3 and B = P AP T = 2 1 1 .
4 8 4
8 4 4
Thinking over Problem 31: This is sometimes useful in determining the eigenvalues and eigenvectors.
If Av = v and B = P AP 1 (for any invertible P ), then and u = P v are
the eigenvalue and eigenvector of B.
Proof: Bu = P AP 1u = P Av = P (v) = P v = u.
0 1 0
For example, P = 1 0 0. In such case, P 1 = P = P T.
0 0 1
6-31
With the fact above, we can further claim that

Proposition. The eigenvalues of AB and BA are equal if one of A and B is
invertible.
Proof: This can be proved by (AB) = A(BA)A1 (or (AB) = B 1(BA)B). Note
that AB has eigenvector Av or (B 1v) if v is the eigenvector of BA.
2
6-32
1 0 0
0 2 0
The eigenvectors of a diagonal matrix = .. .. . .
are apparently
. ...
. .
0 0 n

0
...

0

ei = 1 position i , i = 1, 2, . . . , n

0
..
.
0
Hence, A = SS 1 have the same eigenvalues as and have eigenvectors v i =
Sei. This implies that

S = v1 v2 vn
where {v i} are the eigenvectors of A.
What if S is not invertible? Then, we have the next theorem.
6.2 Diagnolizing a matrix
6-33
A convenience for the eigen-system analysis is that we can diagonalize a matrix.

Theorem. A matrix A can be written as

0
A v 1 v 2 v n = v 1 v 2 v n ..

.
=S
0

0
2
...
0
0
. . . ...
n

where {(i, v i)}ni=1 are the eigenvalue-eigenvector pairs of A.

Proof: The theorem holds by denition of eigenvalues and eigenvectors.
Corollary. If S is invertible, then
S 1 AS = equivalently A = SS 1 .

This makes easy the computation of polynomial with argument A.
Proposition (recall Slide 6-9): Matrix
m Am + m1 Am1 + + 0I
has the same eigenvectors as A, but its eigenvalues become
m m + m1 m1 + + 0,
where is the eigenvalue of A.
Proposition:

m Am + m1 Am1 + + 0I = S m m + m1 m1 + + 0 S 1
Proposition:
Am = Sm S 1
6-34
6-35
Exception
It is possible that an n n matrix does not have n eigenvectors.

1 1
Example. A =
.
1 1
Solution.
1 = 0 is apparently an eigenvalue for a non-invertible matrix.
The second eigenvalue is 2 = trace(A) 1 = [1 + (1)] 1 = 0.

1
This matrix however only has one eigenvector
(or some researchers may
1
say two repeated eigenvectors).
In such case, we still have

1 1 1 1
1 1 0 0
=
1 1 1 1
1 1 0 0

A
but S has no inverse.
In such case, we cannot preform SAS 1 ; so we say A cannot be diagonalized.
6-36
When will S be guaranteed to be invertible?

One easy answer: When all eigenvalues are distinct (and there are n eigenvalues).
Proof: Suppose for a matrix A, the rst k eigenvectors v 1, . . . , v k are linearly independent, but the (k +1)th eigenvector is dependent on the previous k eigenvectors.
Then, for some unique a1, . . . , ak ,
v k+1 = a1v 1 + + ak v k ,
which implies

k+1v k+1 = Av k+1 = a1Av 1 + . . . + ak Av k = a11v 1 + . . . + ak k v k
k+1v k+1 = a1k+1v 1 + . . . + ak k+1v k
Accordingly, k+1 = i for 1 i k; i.e., that v k+1 is linearly dependent on
v 1, . . . , v k only occurs when they have the same eigenvalues. (The proof is not
yet completed here! See the discussion and Example below.)
The above proof said that as long as we have the (k + 1)th eigenvector, then it
is linearly dependent on the previous k eigenvectors only when all eigenvalues are
equal! But sometimes, we do not guarantee to have the (k + 1)th eigenvector.
0
Example. A =
1
1
4
1
1
1
2
1
3
1
6-37
1
.
0
2
Solution.
We have four eigenvalues 1, 2, 4, 4.
But we can only have three eigenvectors for 1, 2 and 4.
From the proof in the previous page, the eigenvectors for 1, 2 and 4 are linearly
indepedent because 1, 2 and 4 are not equal.
2
Proof (Continue): One condition that guarantees to have n eigenvectors is that
we have n distinct eigenvalues, which now complete the proof.
2
Definition (GM and AM): The number of linearly independent eigenvectors
for an eigenvalue is called its geometric multiplicity; the number of its
appearance in solving det(A I) is called its algebraic multiplicity.
Example. In the above example, GM=1 and AM=2 for = 4.
6.2 Fibonacci series
6-38
Eigen-decomposition is useful in solving Fibonacci series

Problem: Suppose Fk+2 = Fk+1 + Fk with initially F1 = 1 and F0 = 0. Find F100.
Answer:

k+1
Fk+2
1 1 Fk+1
Fk+2
1 1
F1
=
=
=
Fk+1
Fk
Fk+1
F0
1 0
1 0
So,

99

F100
1 1
1
1
=
= S99 S 1
1 0
0
0
F99

99

1
1+ 5
1+ 5 1 5
1+
5
5
1
0
1
2
2
2
2
2
99
=
0
1 5
1
1
1
1
0
2

99

1+ 5
1
5
1+ 5 1 5
0
1
1
1
2
2
2
99
=
1+ 5
1 5
0
1 5
1
1
1 1+2 5
0
2
2
2
6.2 Fibonacci series
6-39

100 100
1+ 5
1 5
2
2
= 99 99
1+ 5
2
=
1+ 5
2
1 5
2
1 5
2
1+ 5
2
100
1+ 5
2
99
1+ 5
2

1 5
2
1
1
100
1 5
2
99 .
1 5
2
6.2 Generalization to uk = Ak u0
6-40
A generalization of the solution to Fibonacci series is as follows.

Suppose u0 = a1v 1 + a2v 2 + + anv n .
Then uk = Ak u0 = a1Ak v 1 + a2Ak v 2 + + anAk v n
= a1k1 v 1 + a2k2 v 2 + . . . + anknv n.
Examination:
k

1 1
F1
F
uk = k+1 =
= Ak u0
Fk
F0
1 0
and

1+
5
1 5
1
1
1
2
2
u0 =

=
1+ 5
1+ 5
0
1
1
12 5
12 5
2
2

a1
So
u99 =
a2
99
1+ 5
2
F100
=
1+ 5
F99
1 5
2

1+ 5
2

99
1 5
2

1+ 5
2

1 5
2

1 5
2
.
6.2 More applications of eigen-decomposition
6-41
(Problem 30, Section 6.2) Suppose the same S diagonalizes both A and B. They
have the same eigenvectors in A = S1 S 1 and B = S2 S 1 . Prove that AB =
BA.
Proposition: Suppose both A and B can be diagnosed, and one of A and B
have distinct eigenvalues. Then, A and B have the same eigenvectors if, and only
if, AB = BA.
Proof:
(See Problem 30 above) If A and B have the same eigenvectors, then
AB = (SAS 1 )(SB S 1 ) = SA B S 1 = SB A S 1 = (SB S 1 )(SAS 1 ) = BA.
Suppose without loss of generality that the eigenvalues of A are all distinct.
Then, if AB = BA, we have for given Av = v and u = Bv ,
Au = A(Bv ) = (AB)v = (BA)v = B(Av ) = B(v ) = (Bv ) = u.
Hence, u = Bv and v are both the eigenvectors of A corresponding to the
same eigenvalue .
6.2 More applications of eigen-decomposition
6-42
"n
Let u = i=1 aiv i, where {v i}ni=1 are linearly independent eigenvectors of A.

"n
"n
Au = i=1 aiAv i = i=1 aii v i
= ai(i ) = 0 for 1 i n.
"
Au = u
= ni=1 aiv i
This implies
u =
aiv i = av = Bv .
i:i =
Thus, v is an eigenvector of B.
6.2 Problem discussions
6-43
(Problem 32, Section 6.2) Substitute A = SS 1 into the product (A 1 I)(A

2I) (A nI) and explain why this produces the zero matrix. We are substituting the matrix A for the number in the polynomial p() = det(A I).
The Cayley-Hamilton Theorem says that this product is always p(A) =zero
matrix, even if A is not diagonalizable.
Thinking over Problem 32: The Cayley-Hamilton Theorem can be easily proved
if A is diagonalizable.
Corollary (Cayley-Hamilton): Suppose A has linearly independent eigenvectors.
(1I A)(2I A) (nI A) = all-zero matrix
Proof:
(1I A)(2I A) (nI A)
= S(1I )S 1 S(2I )S 1 S(n I )S 1
= S (1I ) (2I ) (nI ) S 1

(1, 1)th entry= 0 (2, 2)th entry= 0
(n, n)th entry= 0

1

= S all-zero entries S = all-zero entries
2
6.3 Applications to dierential equations
6-44
We can use eigen-decomposition to solve
a1,1u1(t) + a1,2u2(t) + + a1,nun(t)

u1(t)
du
d u2(t)
a2,1u1(t) + a2,2u2(t) + + a2,nun(t)
= Au =
. =
...
dt ..
dt
un (t)
an,1u1(t) + an,2u2(t) + + an,n un(t)
where A is called the companion matrix.
By dierential equation technique, we know that the solution is of the form
u = etv
for some constant and constant vector v.
du
= Au?
dt

du
= etv = Au = Aet v
Solution: Take u = etv into the equation:
dt
= v = Av.
Question: What are all and v that satisfy
The answer are all eigenvalues and eigenvectors.
6-45
du
Since
= Au is a linear system, a linear combination of solutions is still a
dt
solution.
Hence, if there are n eigenvectors, the complete solution can be represented as
c1e1 tv 1 + c2e2 tv 2 + + cn entv n
where c1 , c2, . . . , cn are determined by the initial conditions.
Here, for convenience of discussion at this moment, we assume that A gives us
exactly n eigenvectors.

It is sometimes convenient to re-express the solution of
initial condition u(0) as eAt u(0), i.e.,
6-46
du
= Au for a given
dt
c1e1 tv 1 + c2e2 tv 2 + + cn ent v n

1 t
0 0
e
c1

0 e2 t 0 c2
t 1
At
= v 1 v 2 v n ..
S
Sc
=
e
u(0)
=
Se
.
.
.
.

..
. . .. ..

.

u(0)
eAt
S
n t
0
0 e
cn
where we dene
e 1 t 0
0 e 2 t
t 1
Se S = S ...
...
At
e
0
0
(At)k ,
k!
k=0
...
0
...
1
S ,
if S 1 exists
ent
holds no matter whether S 1 exist or not

and hence u(0) = Sc. Note that
k
k
%
%
%
1
t
t
(At)k =
Ak =
(Sk S 1 ) = S
k!
k!
k!
k=0
k=0
&
k=0
k
%
t
k=0
k!
6-47
'
k
S 1 = Set S 1 .
Key to remember: Again, we dene by convention that
0
f (1) 0
0 1
0 f (2)
f (A) = S ..
...
... S .
...
.
0
0 f (n )
So,
At
= S
1 t
0
...
0
0
e 2 t
...
0
0 1
S .
. . . ...
e n t
6-48
We can solve the second-order equation in the same manner.

Example. Solve my + by + ky = 0.
Answer:
Let z = y . Then, the problem is reduced to

y = z
du
= Au
=
dt
z = mk y mb z

y
0
1
.
and A =
with u =
z
mk mb
The complete solution for u is therefore
c1e1 tv 1 + c2e2 tv 2.
2
6-49
Example. Solve y + y = 0 with initial y(0) = 1 and y (0) = 0.

Solution.

y = z
du
= Au
=
dt
z = y

y
0 1
with u =
and A =
.
z
1 0
The eigenvalues and eigenvectors of A are

,
and
,
.
1
1
The complete solution for u is therefore

y
1
t
t
=
c
+
c
with
initially
=
c
+
c
.
e
e
1
2
1
2
y
1
1
0
1
1
So, c1 =
and c2 = 2 . Thus,
1
1
y(t) = et() et = et + et = cos(t).

2
2
2
2
6-50
In practice, we will use a discrete approximation to approximate a continuous

function. There are however three dierent discrete approximations.
For example, how to approximate y (t) = y(t) by a discrete system?
Yn+1 2Yn + Yn1
=
(t)2
Yn+1 Yn
t
Yn1 Forward approximation
n1
YnY
t
=
t
Yn
Centered approximation
Yn+1 Backward approximation
Lets take forward approximation as an example, i.e.,

Yn+1 Yn
n1
YnY
t
t

Zn
Zn1
t
Thus,

y (t) = z(t)
z (t) = y(t)
= Yn1.
Yn+1 Yn = Zn
t
Z
Zn
n+1
= Yn
t

Yn+1
1 t Yn
=
Zn+1
Zn
t 1

un+1
un

Then, we obtain
1

n
1
0
1
1
(1
+
t)
2
2
un = An u0 =
0
0
(1 t)n 12 2

and

(1 + t)n + (1 t)n
2 n/2
Yn =
cos(n )
= 1 + (t)
2
where = tan1 (t).
Problem: |Yn| as n large.
6-51
6-52
Backward approximation will leave to Yn 0 as n large.

y (t) = z(t)
z (t) = y(t)
Yn+1 Yn = Zn+1
t
Zn+1 Zn
= Yn+1
t

1 t Yn+1
Y
= n
Zn+1
Zn
t 1

A1
un+1
un
A solution to the problem: Interleave the forward approximation with

the backward approximation.

Yn+1 Yn

= Zn
y (t) = z(t)
1
0
Y
1
t
Yn
n+1
t
Z
Zn
Zn
t 1 Zn+1
0 1
z (t) = y(t)
n+1
= Yn+1

t
un+1
un
We then perform this so-called leapfrog method. (See Problems 28 and 29.)

1
Yn+1
1 t Yn
Yn
1 0
1
t
=
=
Zn+1
Zn
0 1
t 1
t 1 (t)2 Zn

un+1
un
|eigenvalues|=1 if t2
un
6-53
(Problem 28, Section 6.3) Centering y = y in Example 3 will produce Yn+1

2Yn + Yn1 = (t)2Yn. This can be written as a one-step dierence equation for
U = (Y, Z):

1 0 Yn+1
1 t Yn
Yn+1 = Yn + t Zn
=
.
t 1 Zn+1
0 1
Zn+1 = Zn t Yn+1
Zn
Invert the matrix on the left side to write this as Un+1 = AUn . Show that detA =
1 of
1. Choose the large time step t = 1 and nd the eigenvalues 1 and 2 =
A:

1 1
A=
has |1| = |2| = 1. Show that A6 is exactly I.
1 0
After 6 steps to t = 6, U6 equals U0. The exact y = cos(t) returns to 1 at t = 2.
6-54
(Problem 29, Section 6.3) That centered choice (leapfrog method ) in Problem 28is
very successful for small time steps t. But nd the eigenvalues of A for t = 2
and 2:

1 2
1
2
and A =
.
A=
2 3
2 1
Both matrices have || = 1. Compute A4 in both cases and nd the eigenvectors
of A. That value t = 2 is at the border of instability. Time steps t > 2 will
lead to || > 1, and the powers in Un = An U0 will explode.
Note You might say that nobody would compute with t > 2. But if an atom
vibrates with y = 1000000y, then t > .0002 will give instability. Leapfrog
has a very strict stability limit. Yn+1 = Yn + 3Zn and Zn+1 = Zn 3Yn+1 will
explode because t = 3 is too large.
6-55
A better solution to the problem: Mix the forward approximation

with the backward approximation.

Yn+1 Yn Zn+1 + Zn

t
t
=
y (t) = z(t)
Y
Yn
1
1
n+1
2
2
t
2
t
t
Z
Zn
Yn+1 + Yn
1
Z
1 Zn
n+1
z (t) = y(t)
n+1
2
2
=

t
2
un+1
un
We then perform this so-called trapezoidal method. (See Problem 30.)

t 2

t 1
t
1
1 2
t
Yn+1
1
Yn
Yn
1 2
2
t 2
= t
=
t 2
t
Zn+1
1
2 1 Zn
Zn
t
1 2
2

1 + 2

un+1
un
|eigenvalues|=1 for all t>0
un
6-56
(Problem 30, Section 6.3) Another good idea for y = y is the trapezoidal method
(half forward/half back): This may be the best way to keep (Yn, Zn ) exactly on a
circle.

1
t/2 Yn
1 t/2 Yn+1
=
.
Trapezoidal
t/2 1
Zn+1
Zn
t/2
1
(a) Invert the left matrix to write this equation as Un+1 = AUn . Show that A is an
orthogonal matrix: ATA = I. These points Un never leave the circle.
A = (I B)1(I + B) is always an orthogonal matrix if B T = B (See the
proof on next page).
(b) (Optional MATLAB) Take 32 steps from U0 = (1, 0) to U32 with t = 2/32. Is
U32 = U0? I think there is a small error.

Proof:
A = (I B)1(I + B)
(I B)A = (I + B)
AT (I B)T = (I + B)T
AT (I B T ) = (I + B T)
AT (I + B) = (I B)
AT = (I B)(I + B)1
AT A =
=
=
=
=
(I
(I
(I
(I
I
B)(I + B)1(I B)1 (I + B)

B)[(I B)(I + B)]1(I + B)
B)[(I + B)(I B)]1(I + B)
B)(I B)1(I + B)1 (I + B)
6-57
6-58
Question: What if the number of eigenvectors is smaller than n?

Recall that it is convenient to say that the solution of du/dt = Au is eAt u(0)
for some constant vecor u(0).
Conveniently, we can presume that eAtu(0) is the solution of du/dt = Au even if
A does not have n eigenvectors.
Example. Solve y 2y + y = 0 with initially y(0) = 1 and y (0) = 0.
Answer.

y = z
du
0 1 y
y
=
= Au
=
=

1
2
z
z
dt
z = y + 2z

A
The solution is still eAt u(0) but

eAt = Set S 1
because there is only one eigenvector for A (it doesnt matter whether we regard
this case as S does not exist or we regard this case as S exists but has no
inverse).

0 1 1 1
1 1 1 0
=
1 2 1 1
1 1 0 1

6-59
and eAt = eIte(AI)t = eIte(AI)t
eAt = eIt+(AI)t = eIte(AI)t (since (It)((A I)t) = ((A I)t)(It). See below.)
'&
'
&
% 1
% 1
k k
I t
(A I)k tk
=
k!
k!
k=0
k=0
' '& 1
'
&&
% 1
% 1
%
1 k k
Can we use eAt =
tk I
(A I)k tk
A t ?
=
k!
k!
k!
k=0
k=0
k=0
where we know I k = I for every k 0 and (A I)k =all-zero matrix for

k 2. This gives
t
At
e = e I (I + (A I)t) = et (I + (A I)t)
and

1
1
t
1
u(t) = eAt u(0) = eAt
= et (I + (A I)t)
= et
0
t
0
Note that eA eB , eB eA and eA+B may not be equal except AB = BA!
6-60
Properities of eAt
The eigenvalues of eAt are et for all eigenvalues of A.
For example, eAt = et (I + (A I)t) has repeated eigenvalues et, et .
The eigenvectors of eAt remain the same as A.
For example, eAt

1
= et (I + (A I)t) has only one eigenvector
.
1
The inverse of eAt always exist (hint: et = 0), and is equal to eAt .
For example, eAt = eIte(IA)t = et (I (A I)t).
The transpose of eAt is
&
'T &
'
%
%
AtT
1 k k
1 Tk k
T
=
=
A t
(A ) t = eA t.
e
k!
k!
k=0
k=0
T
T
Hence, if AT = A (skew-symmetric), then eAt eAt = eA teAt = I; so, eAt
is an orthogonal matrix (Recall that a matrix Q is orthogonal if QT Q = I).
6.3 Quick tip
6-61

For a 2 2 matrix A =

a1,2
.
eigenvalue 1 is
1 a1,1

a1,1 a1,2
, the eigenvector corresponding to the
a2,1 a2,2

a1,2
a1,1 1
a1,2
0
a1,2
=
=
(A 1I)
?
1 a1,1
a2,1
a2,2 1 1 a1,1

where ?= 0 because the two row vectors of (A 1I) are parallel.

This is especially useful when solving the dierential equation because a1,1 = 0
and a1,2 = 1; hence, the eigenvector v 1 corresponding to the eigenvalue 1 is

1
.
v1 =
1
Solve y 2y + y = 0. Let z = y . Then, the problem is reduced to

y = z
du
0 1 y
1
y
=
=
Au
=
v
=
=
=
1
1 2 z
z
1
dt
z = y + 2z

A
6-62
Problem 6.3B and Problem 31: A convenient way to solve d2u/dt = A2u.
(Problem 31, Section 6.3) The cosine of a matrix is dened like eA, by copying
the series for cos t:
1
1
1
1
cos t = 1 t2 + t4 cos A = I A2 + A4
2!
4!
2!
4!
(a) If Ax = x, multiply each term times x to nd the eigenvalue of cos A.

(b) Find the eigenvalues of A =
with eigenvectors (1, 1) and (1, 1). From

the eigenvalues and eigenvectors of cos A, nd that matrix C = cos A.
(c) The second derivative of cos(At) is A2 cos(At).
d2 u
u(t) = cos(At)u(0) solve 2 = A2u starting from u (0) = 0.
dt
Construct u(t) = cos(At)u(0) by the usual three steps for that specic A:
1. Expand u(0) = (4, 2) = c1x1 + c2x2 in the eigenvectors.
2. Multiply those eigenvectors by
3. Add up the solution u(t) = c1
and
x1 + c2
(instead of et).
x2. (Hint: See Slide 6-48.)
6-63
(Problem 6.3B,
Section 6.3) Find the eigenvalues and eigenvectors of A and write
u(0) = (0, 2 2, 0) as a combination of the eigenvectors. Solve both equations
u = Au and u = Au:
2
1
0
2 1 0
2
du
u
d
u with du (0) = 0.
=
1
2
1
= 1 2 1 u and
dt
dt2
dt
0 1 2
0 1 2
The 1, 2, 1 diagonals make A into a second dierence matrix (like a second
derivative).
u = Au is like the heat equation u/t = 2u/x2.
Its solution u(t) will decay (negative eigenvalues).
u = Au is like the wave equation 2u/t2 = 2u/x2.
Its solution will oscillate (imaginary eigenvalues).
6-64
d2 u
= Au.
Thinking over Problem 6.3B and Problem 31: How about solving
dt
1/2
Solution. The answer should be eA tu(0). Note that A1/2 has the same eigenvectors as A but its eigenvalues are the square root of A.
1/2
0
e 1 t 0
1/2
2 t
1/2
0
0 e
S 1 .
eA t = S
...
...
...
...
1/2
en
2
As an example from Problem 6.3B, A = 1
0
The eigenvalues of A are 2 and 2 2.

So,

e 2 t 0
A1/2 t
2
2 t
=S 0 e
e
0
0
1 0
2 1 .
1 2
2+ 2 t
1
S .
6-65
Final reminder on the approach delivered in the textbook

In solving
du(t)
= At with initial u(0), it is convenient to nd the solution as
dt

u(0) = Sc = c1v 1 + + cn v n
u(t) = Set c = c1e1 v 1 + + cn en v n
This is what the textbook always does in Problems.
6-66
You should practice these problems by yourself !

Problem 15: How to solve
du
= Au b (for invertible A)?
dt
(Problem 15, Section 6.3) A particular solution to du/dt = Au b is up = A1 b,

if A is invertible. The usual solutions to du/dt = Au give un. Find the complete
solution u = up + un :

du
du
1 0
4
=u4
(b)
=
u
.
(a)
6
1 1
dt
dt
Problem 16: How to solve
du
= Au ect b (for non-eigenvalue c of A)?
dt
(Problem 16, Section 6.3) If c is not an eigenvalue of A, substitute u = ect v and

nd a particular solution to du/dt = Auectb. How does it break down when c is
an eigenvalue of A? The nullspace of du/dt = Au contains the usual solutions
eit xi .
Hint: The particular solution v p satises (A cI)v p = b.
6-67
Problem 23: eAeB , eB eA and eA+B are not necessarily equal. (They are equal
when AB = BA.)
(Problem 23, Section 6.3) Generally eA eB is dierent from eB eA. They are both
dierent from eA+B . Check this using Problems 21-2 and 19. (If AB = BA, all
these are the same.)

1 4
0 4
1 0
A=
B=
A+B =
0 0
0 0
0 0
Problem 27: An interesting brain-storming problem!
(Problem 27, Section 6.3) Find a solution x(t), y(t) that gets large as t . To
avoid this instability a scientist exchanges the two equations:
dx/dt = 0x 4y
dy/dt = 2x + 2y
becomes
dy/dt = 2x + 2y
dx/dt = 0x 4y

2 2
Now the matrix
is stable. It has negative eigenvalues. How can this be?
0 4
Hint: The matrix is not the right one to be used to describe the transformed linear
equations.
6.4 Symmetric matrices
6-68
Definition (Symmetric matrix): A matrix A is symmetric if A = AT.

When A is symmetric,
its eigenvalues are all reals;
it has n orthogonal eigenvectors (so it can be diagonalized). We can then
normalize these orthogonal eigenvectors to obtain an orthonormal basis.
Definition (Symmetric diagonalization): A symmetric matrix A can be
written as
A = QQ1 = QQT with Q1 = QT
where is a diagonal matrix with real eigenvalues at the diagonal.
6-69
Theorem (Spectral theorem or principal axis theorem) A symmetric

matrix A with distinct eigenvalues can be written as
Proof:
We have proved on Slide 6-16 that a symmetric matrix has real eigenvalues
and a skew-symmetric matrix has pure imaginary eigenvalues.
Next, we prove that eigenvectors are orthogonal, i.e., v T1 v 2 = 0, for unequal
eigenvalues 1 = 2.
Av 1 = 1v 1 and Av 2 = 2v 2
= (1v 1)Tv 2 = (Av 1)T v 2 = v T1 AT v 2 = v T1 Av 2 = v T1 2v 2
which implies
(1 2)v T1 v 2 = 0.
Therefore, v T1 v 2 = 0 because 1 = 2.
6-70
A = QQT implies that

A = 1q 1q T1 + + nq nq Tn
= 1 P 1 + + n P n
Recall from Slide 4-37, the projection matrix Pi onto a unit vector q i is
Pi = q i (qTi q i)1 q Ti = q i q Ti
So, Ax is the sum of projections of vector x onto each eigenspace.
Ax = 1P1x + + nPnx.
The spectral theorem can be extended to a symmetric matrix with repeated
eigenvalues.
To prove this, we need to introduce the famous Schurs theorem.
6-71
Theorem (Schurs Theorem): Every square matrix A can be factorized into

A = QT Q1 with T upper triangular and Q = Q1 ,
where denotes Hermitian transpose operation (and Q and T can generally
have complex entries!)
Further, if A has real eigenvalues (and hence has real eigenvectors), then Q and T
can be chosen real.
Proof: The existence of Q and T such that A = QT Q and Q = Q1 can be
proved by induction.
The theorem trivially holds when A is a 1 1 matrix.
Suppose that Schurs Theorem is valid for all (n 1) (n 1) matrices. Then,
we claim that Schurs Theorem will hold true for all n n matrices.
This is because we can take t1,1 and q 1 to be the eigenvalue and unit
eigenvector of Ann (as there must exist at least one pair of eigenvalue and
eigenvector for Ann ). Then, choose any unit p2, . . ., pn such that they
together with q 1 span the n-dimensional space, and

P = q 1 p2 pn
is a (unitary) orthonormal matrix, satisfying P = P 1.

We derive
6-72
q 1

p2
Aq

P AP = ..
Ap
Ap
1
2
n
.
pn

q 1

p
= ..2 t1,1q 1 Ap2 Apn
.
pn
t1,1 t1,2 t1,n
= 0..
. A(n1)(n1)
0
where t1,j = q 1Apj and
A(n1)(n1)
p2Ap2
(since A
q1

eigenvector
p2Apn
..
... .
...
= .
pnAp2 pnApn
t1,1 q 1)

eigenvalue
6-73
Since Schurs Theorem is true for any (n 1) (n 1) matrix, we can nd

(n1)(n1) and T(n1)(n1) such that
Q
(n1)(n1) T(n1)(n1) Q
A(n1)(n1) = Q
(n1)(n1)
and
1
Q
(n1)(n1) = Q(n1)(n1) .
Finally, dene
Qnn
1
0T
=P
(n1)(n1)
0 Q
and
Tnn
They satisfy that
Qnn Qnn =
t1,1 [t1,2
= 0..
.
0
t1,n]Q(n1)(n1)
.
T(n1)(n1)

T
1
0
1
0
P
P
(n1)(n1) = Inn
0 Q
0
Q
(n1)(n1)
T

and
Qnn Tnn =
6-74
t
[t
t
]
Q
1,n

1,1 1,2
(n1)(n1)
1
0T
0
Pnn
.
(n1)(n1)
..
T(n1)(n1)
0 Q
0
t1,1 [t1,2 t1,n]Q(n1)(n1)
Pnn 0..
(n1)(n1) T(n1)(n1)
. Q
0
(n1)(n1)
t1,1 [t1,2 t1,n]Q
Pnn 0..
(n1)(n1)
. A(n1)(n1) Q
0
t1,1 t1,2 t1,n

0T
0
1
Pnn ..
(n1)(n1)
. A(n1)(n1) 0 Q
0

T
1
0
Pnn (Pnn
Ann Pnn )
(n1)(n1) = Ann Qnn
0 Q
6-75
It remains to prove that if A has real eigenvalues, then Q and T can be chosen
real, which can be similarly proved by induction. Suppose If A has real
eigenvalues, then Q and T can be chosen real. is true for all (n 1) (n 1)
matrices. Then, the claim should be true for all n n matrices.
For a given Ann with real eigenvalues (and real eigenvectors), we can
certainly have the real t1,1 and q 1, and so are p2, . . . , pn. This makes real
the resultant A(n1)(n1) and t1,2, . . . , t1,n.
The eigenvector associated with a real eigenvalue can be chosen real. For
complex v, and real and A, by its denition,
Av = v
is equivalent to
A Re{v} = A Re{v} and A Im{v} = A Im{v}.
6-76
The proof is completed by noting that the eigenvalues of A(n1)(n1) ,

satisfying
t1,1 t1,2 t1,n
P AP = 0..
,
. A(n1)(n1)
0
are also the eigenvalues of Ann ; hence, they are all reals. So, by the validity
of the claimed statement for (n 1) (n 1) matrices, the existence of
(n1)(n1) and real T(n1)(n1) satisfying
real Q
(n1)(n1) T(n1)(n1) Q
A(n1)(n1) = Q
(n1)(n1)
and
is conrmed.
1
Q
(n1)(n1) = Q(n1)(n1)
2
6-77
Two important facts:

P AP and A have the same eigenvalues but possibly dierent eigenvectors. A
simple proof is that for v = P v ,
(P AP )v = P Av = P (v) = P v = v .
(Section 6.1: Problem 26 or see slide 6-25)

B C
det(A) = det
= det(B) det(D)
0 D
Thus,
t1,1 t1,2 t1,n
P AP = 0..
. A(n1)(n1)
0
implies that the eigenvalues of A(n1)(n1) should be the eigenvalues of

P Ann P .
6-78
Theorem (Spectral theorem or principal axis theorem) A symmetric

matrix A (not necessarily with distinct eigenvalues) can be written as
Proof:
A symmetric matrix certainly satises Schurs Theorem.
A = QT Q with T upper triangular and Q = Q1 .
A has real eigenvalues. So, both T and Q are reals.
By AT = A, we have
AT = QT TQT = QT QT = A.
This immediately gives
TT = T
which implies the o-diagonals are zeros.

By AQ = QT , equivalently,
6-79
Aq 1 = t1,1q 1
Aq = t q
2,2 2
2
...
Aq = t q
n,n n
n
we know that Q is the matrix of eigenvectors (and there are n of them) and T
is the matrix of eigenvalues.
2
This result immediately indicates that a symmetric A can always be diagonalized.
Summary
A symmetric matrix has real eigenvalues and n real orthogonal eigenvectors.
6-80
(Problem 21, Section 6.4)(Recommended) This matrix M is skew-symmetric and

also
. Then all its eigenvalues are pure imaginary and they also have
|| = 1. ( M x = x for every x so x = x for eigenvectors.) Find all
four eigenvalues from the trace of M :
0 1 1 1
1
1 0 1 1
M=
can only have eigenvalues or .
3 1 1 0 1
1 1 1 0
Thinking over Problem 21: The eigenvalues of an orthogonal matrix satises
|| = 1.
Proof:
Qv 2 = (Qv)Qv = v Q Qv = v v = v 2
implies
v = v .
2
|| = 1 and pure imaginary implies = .
6-81
(Problem 15, Section 6.4) Show that A (symmetric but complex) has only
one line of eigenvectors:

1
is not even diagonalizable: eigenvalues = 0, 0.
A=
1
AT = A is not such a special property for complex matrices. The good property
is AT = A (Section 10.2). Then all s are real and eigenvectors are orthogonal.
Thinking over Problem 15: That a symmetric matrix A satisfying AT = A has
real eigenvalues and n orthogonal eigenvectors is only true for real symmetric
matrices.
For a complex matrix A, we need to rephrase it as A Hermitian symmetric
matrix A satisfying A = A has real eigenvalues and n orthogonal eigenvectors.
Inner product and norm for complex vectors:
v w = wv
and
v 2 = v v
6-82
Proof of the red-color claim (in the previous slide): Suppose Av = v. Then,
Av = v
= (Av)v = (v)v
=
=
=
=
=
v )Tv)
v )Tv = (
(i.e., (A
v A v = v v
v Av = v v
v v = v v
v 2 = v 2
=
2
(Problem 28, Section 6.4) For complex matrices, the symmetry AT = A that
produces real eigenvalues changes to AT = A. From
the
det(A I) = 0, nd
eigenvalues of the 2 by 2 Hermitian matrix A = 4 2 + ; 2 0 = AT . To
see why eigenvalues are real when AT = A, adjust equation (1) of the text to
x.
x =
(See the green box above.)
A
6-83
(Problem 27, Section 6.4)

Take
(MATLAB)

two
symmetric matrices with dierent
1 0
8 1
eigenvectors, say A =
and B =
. Graph the eigenvalues 1(A + tB)
0 2
1 0
and 2(A + tB) for 8 < t < 8. Peter Lax says on page 113 of Linear Algebra
that 1 and 2 appear to be on a collision course at certain values of t. Yet at
the last minute they turn aside. How close do they come?
Correction for Problem 27: The problem should be . . . Graph the eigenvalues
1 and 2 of A + tB for 8 < t < 8. . . ..
Hint: Draw the pictures of 1(t) and 2(t) with respect to t and check 1(t)2(t).
6-84
(Problem 29, Section 6.4) Normal matrices have ATA = AAT . For real matrices, ATA = AAT
includes symmetric, skew symmetric, and orthogonal matrices. Those have real , imaginary
and || = 1. Other normal matrices can have any complex eigenvalues .
Key point: Normal matrices have n orthonormal eigenvectors. Those vectors xi
Ti xj = 0
probably will have complex components. In that complex case orthogonality means x
T y.
as Chapter 10 explains. Inner products (dot products) become x
T Q = I instead of QT Q = I.
The test for n orthonormal columns in Q becomes Q
T ) if and only if A is normal.
A has n orthonormal eigenvectors (A = QQ
T with Q
T Q = I. Show that AT A = AAT .
(a) Start from A = QQ
T for every matrix A, with a triangular
(b) Now start from AT A = AAT . Schur found A = QT Q
T . For normal matrices we must show (in 3 steps) that this T will actually be diagonal.
Then T = .
T into AT A = AAT to nd T TT = T T T.
Step 1. Put A = QT Q

a b
Step 2: Suppose T =
has T TT = T T T. Prove that b = 0.
0 d
Step 3: Extend Step 2 to size n. A normal triangular T must be diagonal.
6-85
Important conclusion from Problem 29: A matrix A has n orthogonal eigenvectors if, and only if, A is normal.
Definition (Normal matrix): A matrix A is normal if AA = AA.
Proof:
Schurs theorem: A = QT Q with T upper triangular and Q = Q1.
A A = AA = T T = T T = T diagonal = Q is the matrix of
eigenvectors by AQ = QT .
2
6.5 Positive denite matrices
6-86
Definition (Positive definite): A symmetric matrix A is positive definite if its eigenvalues are all positive.
The above denition only applies to a symmetric matrix because a non-symmetric
matrix may have complex eigenvalues (which cannot be compared with zero)!
Properties of positive definite (symmetric) matrices
Equivalent Definition: (symmetric) A is positive denite if, and only if,

xT Ax > 0 for all non-zero x.
xT Ax is usually referred to as the quadratic form!
The proofs can be found in Problems 18 and 19.
(Problem 18, Section 6.5) If Ax = x then xTAx =
prove that > 0.
. If xTAx > 0,
6-87
(Problem 19, Section 6.5) Reverse Problem 18 to show that if all > 0 then
xT Ax > 0. We must do this for every nonzero x, not just the eigenvectors.
So write x as a combination of the eigenvectors and explain why all cross
terms are xTi xj = 0. Then xT Ax is
(c1x1 + +cn xn )T(c11x1 + +cn n xn) = c21 1xT1 x1 + +c2n nxTn xn > 0.
Proof (Problems 18):
(only if part : Problem 19) Av i = iv i implies v Ti Av i = iv Ti v i > 0 for all
eigenvalues {i}ni=1 and eigenvectors {v i}ni=1. The proof is completed by
"
noting that with x = ni=1 ci v i and {v i }ni=1 orthogonal,
& n
' n
n
%
%
%
T
T
x (Ax) =
ci v i
cj j v j =
c2i i v i 2 > 0.
i=1
j=1
i=1
(if part : Problem 18) Taking x = v i, we obtain that v Ti (Av i) = v Ti (v i ) =

i v i 2 > 0, which implies i > 0.
2
6-88
Based on the above proposition, we can conclude similar to two positive scalars
(as if a and b are both positive, so is a + b) that
Proposition: If A and B are both positive denite, so is A + B.
The next property provides an easy way to construct positive denite matrices.
T
Proposition: If Ann = Rnm
Rmn and Rmn has linearly independent
columns, then A is positive denite.
Proof:
x non-zero = Rx non-zero.
Then, xT (RTR)x = (Rx)T(Rx) = Rx 2 > 0.
6-89
Since (symmetric) A = QQT , we can choose R = Q1/2QT , which requires

R to be a square matrix. This observation gives another equivalent denition
of positive denite matrices.
Equivalent Definition: Ann is positive denite if, and only if, there exists
Rmn with independent columns such that A = RTR.
6-90
Equivalent Definition: Ann is positive denite if, and only if, all pivots
are positive.
Proof:
(By LDU decomposition,) A = LDLT, where D is a diagonal matrix with
pivots as diagonals, and L is a lower triangular matrix with 1 as diagonals.
Then,
xT Ax = xT (LDLT)x = (LTx)TD(LTx)
T
l1 x
T
T
= y Dy where y = L x = ...
lTnx
= d1y12 + + dnyn2
T 2
T 2
= d1 l 1 x + + dn l n x .
So, if all pivots are positive, xTAx > 0 for all non-zero x. Conversely, if
xT Ax > 0 for all non-zero x, which in turns implies y TDy > 0 for all
non-zero y (as L is invertible), then pivot di must be positive for the choice
of yj = 0 except for j = i .
2
6-91
An extension of the previous proposition is:

Suppose A = BCB T with B invertible and C diagonal. Then, A is positive
denite if, and only if, diagonals of C are all positive! See Problem 35.
(Problem 35, Section 6.5) Suppose C is positive denite (so y T Cy > 0 whenever y = 0) and A has independent columns (so Ax = 0 whenever x = 0).
Apply the energy test to xTAT CAx to show that ATCA is positive denite:
the crucial matrix in engineering.
6-92
Equivalent Definition: Ann is positive denite if, and only if, the n upper
left determinants (i.e., the (n 1) leading principle minors and det(A)) are
all positive.
Definition (Minors, Principle minors and leading principle minors):
A minor of a matrix A is the determinant of some smaller square matrix,
obtained by removing one or more of its rows or columns.
The rst-order (respectively, second-order, etc) minor is a minor, obtained
by removing (n 1) (respectively, (n 2), etc) rows or columns.
A principle minor of a matrix is a minor, obtained by removing the same
rows and columns.
A leading principle minor of a matrix is a minor, obtaining by removing
the last few rows and columns.
6-93
The below example gives three upper left determinants (or two leading principle minors and det(A)), det(A11), det(A22) and det(A33 ).
a1,1 a1,2
a2,1 a2,2
a1,3
a2,3
a3,1
a3,3
a3,2
Proof of the equivalent denition:

By LU decomposition,
1 0 0
l
2,1 1 0
A = l3,1 l3,2 1
..
...
... . . .
.
ln,1 ln,2 ln,3
= dk =
This can be proved based on Slide 5-18:
0
d1 u1,2 u1,3
0
0 d2 u2,3
0 0 0 d3
...
...
... ...
0 0
0
1
det(Akk )
det(A(k1)(k1) )
u1,n
d2,n
d3,n
. . . ...
dn
6-94
Equivalent Definition: Ann is positive denite if, and only if, all (2n 2)
principle minors and det(A) are positive.
Based on the above equivalent denitions, a positive denite matrix cannot
have either zero or negative value in its main diagonals. See Problem 16.
(Problem 16, Section 6.5) A positive denite matrix cannot have a zero (or even
worse, a negative number) on its diagonal. Show that this matrix fails to have
xT Ax > 0:

4
1
1
x1

x1 x2 x3 1 0 2 x2 is not positive when (x1, x2, x3) = ( , , ).
x3
1 2 5
With the above discussion of positive denite matrices, we can proceed to dene similar notions like negative definite, positive semidefinite, negative
semidefinite matrices.
6.5 Positive semidenite (or nonnegative denite)
6-95
Definition (Positive semidefinite): A symmetric matrix A is positive

semidefinite if its eigenvalues are all nonnegative.
Equivalent Definition: A is positive semidenite if, and only if, xTAx0 for
all non-zero x.
Equivalent Definition: Ann is positive semidenite if, and only if, there exists
Rmn (perhaps with dependent columns) such that A = RTR.
Equivalent Definition: Ann is positive semidenite if, and only if, all pivots
are nonnegative.
Equivalent Definition: Ann is positive semidenite if, and only if, all (2n 2)
principle minors and det(A) are non-negative.
1 0 0
Example. Non-positive semidenite A = 0 0 0 has (232) principle minors.
0 0 1

1 0
1 0
0 0
det
, det
, det
, det 1 , det 0 , det 1 .
0 0
0 1
0 1
Note: It is not sucient to dene the positive semidenite based on the nonnegativity of leading principle minors and det(A). Check the above example.
6.5 Negative denite, negative semidenite, indenite
6-96
We can similarly dene negative definite.

Definition (Negative definite): A symmetric matrix A is negative definite if its eigenvalues are all negative.
Equivalent Definition: A is negative denite if, and only if, xTAx<0 for all
non-zero x.
Equivalent Definition: Ann is negative denite if, and only if, there exists
Rmn with independent columns such that A = RTR.
Equivalent Definition: Ann is negative denite if, and only if, all pivots are
negative.
Equivalent Definition: Ann is negative denite if, and only if, all odd-order
leading principle minors are negative and all even-order leading principle minors
and det(A) are positive.
principle minors are negative and all even-order principle minors and det(A) are
positive.
6.5 Negative denite, negative semidenite, indenite
6-97
We can also similarly dene negative semidefinite.

Definition (Negative definite): A symmetric matrix A is negative
semidefinite if its eigenvalues are all non-positive.
Equivalent Definition: A is negative semidenite if, and only if, xT Ax0 for
all non-zero x.
Equivalent Definition: Ann is negative semidenite if, and only if, there
exists Rmn (possibly with dependent columns) such that A = RTR.
Equivalent Definition: Ann is negative semidenite if, and only if, all pivots
are non-positive.
principle minors are non-positive and all even-order principle minors and det(A)
are non-negative.
Note: It is not sucient to dene the negative semidenite based on the nonpositivity of leading principle minors and det(A).
Finally, if some of the eigenvalues of a symmetric matrix are positive, and some are
negative, the matrix will be referred to as indefinite.
6.5 Quadratic form
6-98
For a positive denite matrix A22 ,

xTAx = xT(QQT )x = (QT x)T (QTx)
T
q x
= y T y where y = QT x = 1T
q2 x
2
2

= 1 q T1 x + 2 q T2 x
So, xTAx = c gives an ellipse if c > 0.

5 4
Example. A =
4 5

1 1
1
1
and q 2 =
.
1 = 9 and 2 = 1, and q 1 =
2 1
2 1
2
2

+
x
x
x
x
1
1
2
2
2 +
2
xTAx = 1 (q T1 x) + 2 (q T2 x) = 9
2
2

q T1 x is an axis perpendicular to q 1. (Not along q 1 as the textbook said.)
q T2 x is an axis perpendicular to q 2.
Tip: A = QQT is called the principal axis theorem (cf. Slide 6-69) because
xT Ax = y T y = c is an ellipse with axes along the eigenvectors.
6-99
(Problem 13, Section 6.5) Find a matrix with a > 0 and c > 0 and a + c > 2b
that has a negative eigenvalue.

a b
Missing point in Problem 13: The matrix to be determined is of the shape
.
b c
6.6 Similar matrices
6-100
Definition (Similarity): Two matrices A and B are similar if B = M 1AM

for some invertible M .
Theorem: A and M 1 AM have the same eigenvalues.
Proof: For eigenvalue and eigenvector v of A, dene v = M 1v. We then derive
Bv = (M 1AM )v = M 1AM (M 1v) = M 1Av = M 1v = M 1v = v
So, is also the eigenvalue of M 1AM (associated with eigenvector v = M 1 v).
2
Notes:
The LU decomposition over a symmetric matrix A gives A = LDLT but A and
D (pivot matrix) apparently may have dierent eigenvalues. Why? Because
(LT)1 = L. Similarity is defined based on M 1, not M T.
The converse to the above theorem is wrong!. In other words, we cannot
say that two matrices with the same eigenvalues are similar.

0 1
0 0
Example. A =
and B =
have the same eigenvalues 0, 0, but
0 0
0 0
they are not similar.
6.6 Jordan form
6-101
Why introducing matrix similarity?

Answer: We can then extend the diagonalization of a matrix with less than
n eigenvectors to the Jordan form.
For an un-diagonalizable matrix A, we can nd invertible M such that
A = M JM 1,
where
J1
0
J = ..
.
0
0
J2
...
0
0
. . . ...
Js
and s is the number of distinct eigenvalues, and the size of Ji is equal to the
multiplicity of eigenvalue i, and Ji is of the form
i 1 0 0
0 1 0
.
Ji = 0 0 i ..
.. .. .. . .
. 1
. . .
0 0 0 i
6.6 Jordan form
6-102
The idea behind the Jordan form is that A is similar to J.

Based on this, we can now compute
A100 = M J 100M 1
J1100 0
0 J2100
= M ..
...
.
0
0
0 1
M .
. . . ...
Js100
How to nd Mi corresponding to Ji?

Answer: By AM = M J with M = M1 M2 Ms , we know
AMi = Mi Ji
for
1 i s.
Specically, assume that the multiplicity of i is two. Then,

) (
) 1
(
i
(2)
(1)
(2)
A v (1)
vi = vi vi
i
0 i
which is equivalent to
(1)
(1)
Av i = iv i
(2)
(1)
(2)
Av i = v i + i v i

(1)
(A iI)v i = 0
(2)
(1)
(A iI)v i = v i
6-103
(Problem 14, Section 6.6) Prove that AT is always similar to A (we know the s
are the same):
1. For one Jordan block Ji: Find Mi so that Mi1JiMi = JiT .
2. For any J with blocks Ji: Build M0 from blocks so that M01JM0 = J T.
3. For any A = M JM 1: Show that AT is similar to J T and so to J and to A.
6-104
Thinking over Problem 14: AT and A are always similar.

Answer:
It can
u1,1
u2,1
..
.
un,1
be easily checked that
u1,2 u1,n
0
..
u2,2 u2,n
.
=
..
... . . . ...
.
1
un,2 un,n
0
1
...
0
un,n
..
.
= V 1 ..
.
u1,n
un,n
1
..
0 .
... ...
0
u1,n
un,2
. . . ...
u2,2
u1,2
un,2
. . . ...
u2,2
u1,2
un,1
...
V
u2,1
u1,1
un,1
0
... ...
u2,1 ...
1
u1,1
0
1
...
0
0
...
where here V represents a matrix with zero entries except vi,n+1i = 1 for
1 i n. We note that V 1 = V T = V .
So, we can use the proper size of Mi = V to obtain
JiT = Mi1JiMi .

Dene
6-105
M =
We have
where
M1 0 0
0 M2 0
... . . . ...
...
0 0 Ms
J T = M JM 1,
J1
0
J = ..
.
0
0
J2
...
0
0
. . . ...
Js
and s is the number of distinct eigenvalues, and the size of Ji is equal to the
multiplicity of eigenvalue i, and Ji is of the form
i 1 0 0
0 1 0
.
Ji = 0 0 i ..
.. .. .. . .
. 1
. . .
0 0 0 i
6-106
Finally, we know
A is similar to J;
AT is similar to J T ;
J T is similar to J.
So, AT is similar to A.
(Problem 19, Section 6.6) If A is 6 by 4 and B is 4 by 6, AB and BA have dierent

sizes. But with blocks,

I A AB 0 I A
0 0
M 1F M =
=
= G.
0 I
B 0 0 I
B BA
(a) What sizes are the four blocks (the same four sizes in each matrix)?
(b) This equation is M 1 F M = G, so F and G have the same eigenvalues. F
has the 6 eigenvalues of AB plus 4 zeros; G has the 4 eigenvalues of BA plus
6 zeros. AB has the same eigenvalues as BA plus
zeros.
6-107
Thinking over Problem 19: Amn Bnm and BnmAmn have the same eigenvalues except for additional (m n) zeros.
Solution: The example shows the usefulness of the similarity.

Amn Amn Bnm 0mn Imm Amn
0mn
I
0
mm
= mm
0nm Inn
Bnm
0nn 0nm Inn
Bnm Bnm Amn

Amn Bnm 0mn
0mm
0mn
Hence,
and
are similar and have the
Bnm
0nn
Bnm Bnm Amn
same eigenvalues.
From Problem 26 in Section 6.1 (see Slide 6-25), the desired claim (as indicated
above by red-color text) is proved.
2
6-108
(Problem 21, Section 6.6) If J is the 5 by 5 Jordan block with = 0, nd J 2 and

count its eigenvectors (are these the eigenvectors?) and nd its Jordan form (there
will be two blocks).
Problem 21 : Find the Jordan form of A = J 2, where
0 1 0 0 0
0 0 1 0 0
J = 0 0 0 1 0 .
0 0 0 0 1
0 0 0 0 0
Solution.
0
0
2
A = J = 0
0
0
0
0
0
0
0
1
0
0
0
0
0
1
0
0
0
0
0
1, and the eigenvalues of A are 0, 0, 0, 0, 0.
0
0
6-109
v1,1
v1,1
v3,1
v v
v
2,1 4,1
2,1

Av 1 = A v3,1 = v5,1 = 0 = v3,1 = v4,1 = v5,1 = 0 = v 1 = 0 .

v4,1 0
0
0
0
v5,1

v1,2
v1,2
v3,2
v v
v3,2 = v1,1
2,2 4,2
v2,2

= v 2 = v1,1
Av 2 = A v3,2 = v5,2 = v 1 = v4,2 = v2,1
v5,2 = 0
v4,2 0
v2,1
0
v5,2
0

v1,3
v1,3
v3,3
v3,3 = v1,2
v v
v = v
2,3 4,3
v2,3
4,3
2,2

= v 3 = v1,2
Av 3 = A v3,3 = v5,3 = v 2 =

v5,3 = v1,1
v4,3 0
v2,2
v = 0
2,1
0
v5,3
v1,1

To summarize,

v1,1
v1,2
v1,3
v
v
v
2,1
2,2
2,3

v 1 = 0 = v 2 = v1,1 = If v2,1 = 0, then v 3 = v1,2

0
v2,1
v2,2
0
0
v1,1

(1)
(1)
1
v
v

1,2
1,3
(1)
(1)
0
v2,2
v2,3

(1)
(1)
(1)
(1)
v
=
=
=
=
v
=
v
v1,2
1
0
1
2
3
(1)
0
0
2,2
0
1
0

(2)
0
v
1,2

(2)
1
2,2
(2)
(2)
=
=
v
=
v
0
1
2
0
0
6-110
6-111
(1)
(2)
(1)
Since we wish to choose each of v 2 and v 2 to be orthogonal to both v 1 and

(2)
v1 ,
(1)
(1)
(2)
(2)
v1,2 = v2,2 = v1,2 = v2,2 = 0,
i.e.,

(1)
1
0
v

1,3
(1)
0
0
v2,3

(1)
(1)
(1)
v
=
=
=
=
v
=
v
0
1
1
2
3
0
0
1
0
0

0
0
1
0

(2)
(2)
=
=
v
=
v
0
1
2
0
0
(1)
(1)
(2)
(1)
(2)
Since we wish to choose v 3 to be orthogonal to all of v 1 , v 1 , v 2 and v 2 ,

(1)
(1)
v1,3 = v2,3 = 0.
6-112
As a result,
(
A
(1)
v1
(1)
v2
(1)
v3
(2)
v1
(2)
v2
(
(1)
(1)
(2)
= v (1)
v2 v3 v1
1
0
0
)
(2)
v 2 0
0
0
1
0
0
0
0
0
1
0
0
0
0
0
0
0
0
0
0
1
0
2
(1)
(1)
(1)
(2)
(2)
Are all v 1 , v 2 , v 3 , v 1 and v 2 eigenvectors of A (satisfying Av = v)?

Hint: A does not have 5 eigenvectors. More specically, A only has 2 eigenvectors? Which two? Think of it.
Hence, the problem statement may not be accurate as I mark (are these the
eigenvectors?).
6.7 Singular value decomposition (SVD)
6-113
Now we can represent all square matrix in the Jordan form:

A = M 1JM.
What if the matrix Amn is not a square one?
Problem: Av = v is not possible! Specically, v cannot have two dierent
dimensionalities.
Amn v n1 = v n1 infeasible if n = m.
So, we can only have
Amn v n1 = um1 .

If we can nd enough numbers of orthogonal u and v such that
1 0
... . . . ...

0 r
Amn v 1 v 2 v n nn = u1 u2 um mm
0 0

V
U
... . . . ...
0 0
6-114
0
...
0
0
...
0
...
...
0
...
0
.
0
...
0 mn
where r is the rank of A, then we can perform the so-called singular value
decomposition (SVD)
A = U V 1 .
Note again that the required enough number of orthogonal u and v may be
impossible when A has repeated eigenvalues.
6-115
If V is chosen to be an orthogonal matrix satisfying V 1 = V T , then we have

the so-called reduced SVD
A = U V T
=
r
%
i ui v Ti
i=1
T
1 0
v1

.
.
.
= u1 ur mr .. . . .. ...
0 r rr v Tr rn
Usually, we prefer to choose an orthogonal V (as well as orthogonal U ).
In the sequel, we will assume the found U and V are orthogonal matrices in
the rst place; later, we will conrm that orthogonal U and V can always be
found.
6.7 How to determine U , V and {i}?
6-116
T
Amn = Umm mn Vnn

T

T
T
= ATnm Amn = Umm mn Vnn
Umm mn Vnn
T
T
T
Umm mn Vnn
= Vnn 2nn Vnn
.
= Vnn Tnm Umm
So, V is the (orthogonal) matrix of n eigenvectors of symmetric AT A.

T
Amn = Umm mn Vnn

T
T
T
= Amn ATnm = Umm mn Vnn
Umm mn Vnn
T
T
T
= Umm mn Vnn
Vnn Tnm Umm
= Umm 2mm Umm
.
So, U is the (orthogonal) matrix of m eigenvectors of symmetric AAT .

Remember that AT A and AAT have the same eigenvalues except for additional
(m n) zeros.
Section 6.6, Problem 19 (See Slide 6-107): Amn Bnm and Bnm Amn have
the same eigenvalues except for additional (m n) zeros.
In fact, there are only r non-zero eigenvalues for AT A and AAT , which satisfy
i = i2,
where 1 i r.
6-117
Example (Problem 21 in Section 6.6): Find the SVD of A = J 2, where
0 1 0 0 0
0 0 1 0 0
J = 0 0 0 1 0 .
0 0 0 0 1
0 0 0 0 0
Solution.
0
0
T
A A = 0
0
0
0
0
So V = 1
0
0
0
0
0
0
0
0
0
0
1
0
0
0
1
0
0
0
0
0
0
1
0
0
0
1
0
1
0
0
0
0
0
1
0
0
0 and AAT = 0
0
0
1
0
0
1 0
1
0 1
0 and U = 0 0
0
0 0
0
0 0
0
1
0
0
0
0
0
1
0
0
0
0
1
0
0
0
0
0
1
0
0 0
0 0
0 0.
0 0
0 0
1
0
0
0
0 for = 2 = 0
0
0
0
1
0
1
0
0
0
0
0
1
0
0
0
0
0
0
0
0
0
0.
0
0

Hence,
0
0
0
0

0
0
0
0
0
1
0
0
0
0

A
0
1
0
0
0
0
1
0 0

1 = 0

0 0
0
0

0
1
0
0
0
0
0
1
0
0

U
0
0
0
1
0
1
0
0 0
0 0
0 0
0
1

0
1
0
0
0
0
0
1
0
0

0
0
0
0
0
6-118
0
0
0 0
0 0
0 1
0
0

0
0
0
0
1
1
0
0
0
0

VT
0
1
0
0
0
0
0
0
0

2
We may compare this with the Jordan form.
0 0 1 0 0
0
1 0 0 0 0
0 0 0 1 0 0 0 0 1 0 0
0 0 0 0 1 = 0 1 0 0 0 0
0 0 0 0 0 0 0 0 0 1 0
0 0 0 0 0
0
0 0 1 0 0

A
1
0
0
0
0
0
1
0
0
0

J
0
0
0
0
0
0
1
0
0
0 0
1 0
0
0

0
0
0
1
0
0
1
0
0
0

M 1
0
0
0
0
1
0
0
0
0

6-119
Remarks on the previous example
In the above example,
1
0
Hence, = 0
0
0
0
1
0
0
0
1
0
we only know = 2 = 0
0
0
0 0 0
0 0 0
1 0 0.
0 0 0
0 0 0
0
1
0
0
0
0
0
1
0
0
0
0
0
0
0
0
0
0.
0
0
However, by Av i = iui = (i)(ui), we can always choose positive i by

adjusting the sign of ui.
6.6 SVD
6-120
Important notes:
In terminology, i , where 1 i r, is called the singular value.
Hence, the name of singular value decomposition is used.
The singular value is always non-zero (even though the eigenvalues of A can
be zeros).
0 0 1 0 0
1 0 0 0 0
0 0 0 1 0
0 1 0 0 0
Example. A = 0 0 0 0 1 but = 0 0 1 0 0.
0 0 0 0 0
0 0 0 0 0
0 0 0 0 0
0 0 0 0 0
It is good to know that:
The rst r columns of V row space R(A) and are bases of R(A)
The last (n r) columns of V null space N (A) and are bases of N (A)
The rst r columns of U column space C(A) and are bases of C(A)
The last (m r) columns of U left null space N (AT) and are bases of N (AT )
How useful the above facts are can be seen from the next example.
6.6 SVD
6-121
Example. Find the SVD of A43 = x41y T13.

Solution.
0
A is a rank-1 matrix. So, r = 1 and =
0
0
1 = 1.)
The base of the row space is v 1 =
span the null space.
y
y ;
The base of the column space is u1 =

that span the left null space.
The SVD is then

A43 =
0
0
0
0
0
, where 1 = 0. (Actually,
0
0
pick up perpendicular v 2 and v 3 that

x
x ;
pick up perpendicular u2, u3, u4
yT

x
u
y T
2 u
3 u
4

43 v 2
x

left null space
44
column space
v T3 33
row space
*
null space
2

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Chapter 6

Eigenvalues and Eigenvectors

Po-Ning Chen, Professor

6.1 Introduction to eigenvalues

6.1 Eigenvalues and eigenvectors

Conception (Eigenvalues and eigenvectors): The eigenvalue-eigenvector

6.1 Eigenvalues and eigenvectors

If, for example, 1 = 2 = 3, then we derive:

6.1 Eigenvalues and eigenvectors

6.1 Eigenvalues and eigenvectors

Invariance of eigenvectors and eigenvalues.

Property 1: The eigenvectors stay the same for every power of A.

Property 2: If the nullspace of Ann consists of non-zero vectors, then 0 is the

6.1 Eigenvalues and eigenvectors

6.1 How to determine the eigenvalues?

So by solving det(A I) = 0, we can obtain all the eigenvalues of A.

6.1 How to determine the eigenvalues?

Proposition: Projection matrix (dened in Section 4.2) has eigenvalues either 1

Proposition: Permutation matrix has eigenvalues satisfying k = 1 for some

6.1 How to determine the eigenvalues?

6.1 How to determine the eigenvalues?

Theorem (Cayley-Hamilton): For a square matrix A, dene

6.1 How to determine the eigenvalues?

6.1 Why Gauss-Jordan cannot solve Ax = x?

The forward elimination may change the eigenvalues and eigenvectors?

3u2 = Au2 = LU u2 = 9Lu2 = 9 2 1 u2 = u2 = 0.

6.1 How to determine the eigenvalues? (Revisited)

f () = det(A I) = det a3,1

= (a1,1 )(a2,2 ) (an,n ) + terms of order at most (n 2)

6.1 How to determine the eigenvalues? (Revisited)

These observations make easy the nding of the eigenvalues of 2 2 matrix.

= (1 2)2 = (1 + 2)2 412 = 16

6.1 Imaginary eigenvalues

In some cases, we have to allow imaginary eigenvalues.

Based on this, to solve the eigenvalues, we were forced to accept imaginary

6.1 Imaginary eigenvalues

Proposition: The eigenvalues of a symmetric matrix A (with real entries) are

6.1 Imaginary eigenvalues

6.1 Eigenvalues/eigenvectors of inverse

For invertible A, the relation between eigenvalues and eigenvectors of A and A1

Suppose Av = v, where v = 0 and = 0. (I.e., and v are eigenvalue and

6.1 Eigenvalues/eigenvectors of inverse

Proposition: The eigenvalues of AT are the same as the eigenvalues of A. (But

Corollary: The eigenvalues of an invertible (real-valued) matrix A satisfying

Example. Find the eigenvalues of A =

6.1 Determination of eigenvectors

After the identication of eigenvalues via det(AI) = 0, we can determine

(with no row exchange)

Then, every solution v for Bv = 0 is of the form

v n1 = Nn(nr) w (nr)1 for any w

6.1 Determination of eigenvectors

this matrix P (projection

6.1 Determination of eigenvectors

6.1 MATLAB revisited

6.1 Some discussions on problems

6.1 Some discussions on problems

6.1 Some discussions on problems

6.1 Some discussions on problems

Take determinants of these block matrices to prove correct rules if A1 exists:

6.1 Some discussions on problems

(Problem 37, Section 6.1)

6.1 Some discussions on problems

1 must be one of the eigenvalues of a Markov matrix.

The eigenvalues of a Markov matrix satisfy || 1.