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Matrix Theory and Linear Algebra

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MATRIX THEORY AND LINEAR
ALGEBRA

Athanasios I. Margaris
BSc in Physics
MSc, PHD in Computer Science

TZIOLAS PUBLICATIONS
 Περιεχόµενα
Table of Contents

Preface i

1 SET THEORY AND ALGEBRAIC STRUCTURES 1

1.1 The concept of set . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
1.1.1 Intersection, union, difference and complement of sets . . . 6
1.1.2 Set operations and properties of them . . . . . . . . . . . . 8
1.1.3 Cartesian product, relations and functions . . . . . . . . . 9
1.1.4 Generalized intersection and union of sets . . . . . . . . . 13
1.1.5 Set algebra and σ-algebra . . . . . . . . . . . . . . . . . . . 14
1.1.6 Operations on sets elements . . . . . . . . . . . . . . . . . 14
1.2 Algebraic structures . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
1.2.1 Semigroup . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
1.2.2 Group . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
1.2.3 Ring . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
1.2.4 Field . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
1.3 Numbers and set of numbers . . . . . . . . . . . . . . . . . . . . . . . 28
1.3.1 A historical perspective . . . . . . . . . . . . . . . . . . . . 29
1.3.2 The evolution of the concepts of zero and infinity . . . . . . 33
1.4 Natural numbers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38
1.4.1 The method of mathematical induction . . . . . . . . . . . 42
1.5 Integers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46
1.5.1 Number theory . . . . . . . . . . . . . . . . . . . . . . . . . 51
1.6 Rational numbers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54
1.6.1 Operations and ordering . . . . . . . . . . . . . . . . . . . 56
1.6.2 The properties of rational numbers . . . . . . . . . . . . . . 57
1.6.3 The decimal form of rational numbers . . . . . . . . . . . . 58
1.6.4 Countability and density . . . . . . . . . . . . . . . . . . . 61
1.7 Irrational and real numbers . . . . . . . . . . . . . . . . . . . . . . . . 63
1.7.1 Defining the irrational numbers . . . . . . . . . . . . . . . 64
1.7.2 Defining the real numbers . . . . . . . . . . . . . . . . . . 68
1.7.3 Types of irrational numbers . . . . . . . . . . . . . . . . . . 70
1.7.4 Properties of real numbers . . . . . . . . . . . . . . . . . . 71
1.7.5 Intervals of real numbers . . . . . . . . . . . . . . . . . . . 74
1.7.6 Real analysis - Lebesgue integral . . . . . . . . . . . . . . . 76
1.7.7 Sequences of real numbers . . . . . . . . . . . . . . . . . . 87
1.8 Complex numbers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 94

i
ii TABLE OF CONTENTS

1.8.1 Representation of complex numebrs . . . . . . . . . . . . . 99

1.8.2 The vector form of complex numbers . . . . . . . . . . . . . 100
1.8.3 Inner and outer product of complex numbers . . . . . . . . 104
1.8.4 Roots of complex numbers . . . . . . . . . . . . . . . . . . 105
1.8.5 Logarithms of complex numbers . . . . . . . . . . . . . . . 108

2 LINEAR VECTOR SPACES 109

2.1 Vectors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 110
2.2 Defining the vector space . . . . . . . . . . . . . . . . . . . . . . . . . 112
2.3 Examples of vector spaces . . . . . . . . . . . . . . . . . . . . . . . . . 114
2.4 Ordered vector spaces . . . . . . . . . . . . . . . . . . . . . . . . . . . 121
2.4.1 Ordered sets and nets . . . . . . . . . . . . . . . . . . . . . 122
2.5 The spaces R2 and R3 - Analytic geometry . . . . . . . . . . . . . . . . 123
2.5.1 Conal sections . . . . . . . . . . . . . . . . . . . . . . . . . 125
2.5.2 Quadratic surfaces . . . . . . . . . . . . . . . . . . . . . . 129
2.6 Operators and geometric transformations . . . . . . . . . . . . . . . . 136
2.6.1 The algebra of linear operators . . . . . . . . . . . . . . . . 137
2.6.2 Inverse operators . . . . . . . . . . . . . . . . . . . . . . . 138
2.6.3 Matrices and linear operators . . . . . . . . . . . . . . . . . 140
2.6.4 Rotations . . . . . . . . . . . . . . . . . . . . . . . . . . . . 146
2.6.5 Other linear geometric transformations . . . . . . . . . . . 152
2.7 The concept of subspace . . . . . . . . . . . . . . . . . . . . . . . . . 157
2.7.1 Complementary subspaces . . . . . . . . . . . . . . . . . . 158
2.7.2 Invariant subspaces . . . . . . . . . . . . . . . . . . . . . . 160
2.8 Linear dependence and independence . . . . . . . . . . . . . . . . . . 161
2.9 Linear span . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 167
2.10 The row space, the column space and the null space of a matrix . . . 169
2.11 Base and dimension of a vector space . . . . . . . . . . . . . . . . . . 171
2.11.1 The dimension of the sum of vector subspaces . . . . . . . 175
2.11.2 The properties of invariant subspaces . . . . . . . . . . . . 180
2.12 Vector projection and projection matrices . . . . . . . . . . . . . . . . 183
2.12.1 The properties of the projection matrix . . . . . . . . . . . . 185
2.13 Vector norms . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 188
2.13.1 Cauchy-Bunyakovskii-Schwarz (CBS) inequality . . . . . . 189
2.13.2 Triangular inequality . . . . . . . . . . . . . . . . . . . . . 190
2.13.3 The p-norm . . . . . . . . . . . . . . . . . . . . . . . . . . . 191
2.13.4 Hölder’s inequality . . . . . . . . . . . . . . . . . . . . . . . 194
2.13.5 Minkowski’s inequality . . . . . . . . . . . . . . . . . . . . 195
2.13.6 Relations between vector norms . . . . . . . . . . . . . . . 197
2.14 Defining the inner product . . . . . . . . . . . . . . . . . . . . . . . . 199
2.14.1 The angle between vectors . . . . . . . . . . . . . . . . . . 200
2.14.2 The angle between complementary subspaces . . . . . . . . 200
2.14.3 Orthogonal and orthonormal vector sets . . . . . . . . . . . 201
2.14.4 Distance functions . . . . . . . . . . . . . . . . . . . . . . . 201
2.14.5 Returning to the CBS inequality . . . . . . . . . . . . . . . 202
2.15 Vector norms and inner products . . . . . . . . . . . . . . . . . . . . . 203
2.16 Gram-Schmidt Orthonormalization . . . . . . . . . . . . . . . . . . . . 207
TABLE OF CONTENTS iii

2.17 Orthogonal complementary subspaces . . . . . . . . . . . . . . . . . . 210

2.18 Metric and normed vector spaces . . . . . . . . . . . . . . . . . . . . . 212
2.18.1 Vector sequences and sequence convergence . . . . . . . . 214
2.18.2 The concept of continuity in metric and normed spaces . . 215
2.18.3 The continuity of the inner product . . . . . . . . . . . . . 216
2.18.4 The equivalence between vector norms . . . . . . . . . . . . 217
2.18.5 Sets and the diameter of them . . . . . . . . . . . . . . . . 219
2.18.6 Metric properties of vector spaces . . . . . . . . . . . . . . 221
2.18.7 Completeness of vector spaces . . . . . . . . . . . . . . . . 225
2.18.8 The theorem of Riesz-Fischer . . . . . . . . . . . . . . . . . 231
2.18.9 Compactness and related theorems . . . . . . . . . . . . . 233
2.19 Banach space . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 235
2.19.1 A useful inequality . . . . . . . . . . . . . . . . . . . . . . . 237
2.19.2 A fundamental theorem . . . . . . . . . . . . . . . . . . . . 239
2.19.3 Vector sequences in Banach spaces . . . . . . . . . . . . . 239
2.19.4 Cauchy sums in Banach spaces . . . . . . . . . . . . . . . 240
2.20 Hilbert space . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 242
2.20.1 The concept of orthogonality in Hilbert space . . . . . . . . 244
2.20.2 Cauchy sums in Hilbert spaces . . . . . . . . . . . . . . . . 250
2.20.3 Bessel inequality . . . . . . . . . . . . . . . . . . . . . . . . 250
2.20.4 Orthonormal bases . . . . . . . . . . . . . . . . . . . . . . 252
2.20.5 Parseval’s identity . . . . . . . . . . . . . . . . . . . . . . . 255
2.21 Applications of the infinite dimensional Hilbert space . . . . . . . . . . 256
2.21.1 Orthonormal bases in the vector space L2 ([−π, π]) . . . . . 256
2.21.2 Orthogonal polynomials . . . . . . . . . . . . . . . . . . . . 262
2.21.3 Vector approximations and normal equations . . . . . . . . 272
2.22 Linear varieties . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 277
2.23 Linear transformations . . . . . . . . . . . . . . . . . . . . . . . . . . 278
2.23.1 Composite transformations . . . . . . . . . . . . . . . . . . 281
2.23.2 Euclidean transformations . . . . . . . . . . . . . . . . . . 281
2.23.3 The principle of superposition . . . . . . . . . . . . . . . . 284
2.23.4 Linear transformations and linear span . . . . . . . . . . . 285
2.23.5 The kernel and the image of a linear transformation . . . . 286
2.23.6 Isomorphisms, invertibility and automorphisms . . . . . . 293
2.23.7 Change of base in a vector space . . . . . . . . . . . . . . . 298
2.24 Similarity transformations . . . . . . . . . . . . . . . . . . . . . . . . 304
2.24.1 Similarity transformations and projection matrices . . . . . 307
2.24.2 Building the orthogonal projection matrices . . . . . . . . . 309
2.24.3 Unitary transformations . . . . . . . . . . . . . . . . . . . . 312
2.25 Linear transformations and normed spaces . . . . . . . . . . . . . . . 313
2.25.1 The vector space of bounded transformations . . . . . . . . 316
2.25.2 Compactness of transformations in normed spaces . . . . . 317
2.25.3 Linear functionals and dual spaces . . . . . . . . . . . . . 317
2.25.4 Riesz representation theorem . . . . . . . . . . . . . . . . . 319
2.25.5 Dual transformations . . . . . . . . . . . . . . . . . . . . . 319
2.25.6 The concept of optimization in Hilbert spaces . . . . . . . . 323
iv TABLE OF CONTENTS

3 MATRIX THEORY 327

3.1 The concept of matrix . . . . . . . . . . . . . . . . . . . . . . . . . . . 328
3.2 Row transformations and echelon form . . . . . . . . . . . . . . . . . 330
3.3 Elementary matrices . . . . . . . . . . . . . . . . . . . . . . . . . . . . 337
3.3.1 Relating a matrix with its echelon form . . . . . . . . . . . 340
3.4 Diagonal, triangular and transpose matrices . . . . . . . . . . . . . . 346
3.5 Symmetric, conjugate, and hermitian matrices . . . . . . . . . . . . . 349
3.6 Matrix norms . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 355
3.6.1 Frobenius norm . . . . . . . . . . . . . . . . . . . . . . . . 356
3.6.2 Induced matrix norms . . . . . . . . . . . . . . . . . . . . . 357
3.6.3 Matrix norm of an inverse matrix . . . . . . . . . . . . . . . 365
3.6.4 Spectral norm of a diagonal matrix . . . . . . . . . . . . . . 366
3.6.5 Relationships between matrix norms . . . . . . . . . . . . . 367
3.6.6 Equivalence between matrix norms . . . . . . . . . . . . . 369
3.7 Matrix operations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 371
3.7.1 Matrix addition . . . . . . . . . . . . . . . . . . . . . . . . 371
3.7.2 Scalar - matrix product . . . . . . . . . . . . . . . . . . . . 372
3.7.3 Matrix - matrix product . . . . . . . . . . . . . . . . . . . . 374
3.7.4 Vector - matrix product . . . . . . . . . . . . . . . . . . . . 383
3.7.5 Hadamard product . . . . . . . . . . . . . . . . . . . . . . 386
3.7.6 Kronecker product . . . . . . . . . . . . . . . . . . . . . . . 388
3.7.7 Kronecker sum . . . . . . . . . . . . . . . . . . . . . . . . . 397
3.7.8 Vectorizing matrices - the vec operator . . . . . . . . . . . . 398
3.7.9 Converting vectors to matrices - the diag operator . . . . . 402
3.8 Permutation matrices . . . . . . . . . . . . . . . . . . . . . . . . . . . 405
3.8.1 Building permutation matrices . . . . . . . . . . . . . . . . 407
3.8.2 Permutation matrices and Kronecker product . . . . . . . . 409
3.9 Orthogonal and unitary matrices . . . . . . . . . . . . . . . . . . . . . 412
3.10 Powers of square matrices . . . . . . . . . . . . . . . . . . . . . . . . . 418
3.11 Fundamental subspaces and the index of a matrix . . . . . . . . . . . 420
3.11.1 The rank of matrix product . . . . . . . . . . . . . . . . . . 423
3.11.2 The rank of matrix sum . . . . . . . . . . . . . . . . . . . . 425
3.11.3 Base and dimension of fundamental subspaces . . . . . . . 426
3.12 The trace of a square matrix . . . . . . . . . . . . . . . . . . . . . . . 432
3.12.1 The trace of Kronecker product . . . . . . . . . . . . . . . . 432
3.12.2 Matrix trace and matrix multiplication . . . . . . . . . . . . 433
3.12.3 Matrix trace and vectorization operator . . . . . . . . . . . 434
3.12.4 The trace of matrices AAT and AT A . . . . . . . . . . . . . 436
3.13 Matrix inner product . . . . . . . . . . . . . . . . . . . . . . . . . . . 436
3.14 The concept of the inverse matrix . . . . . . . . . . . . . . . . . . . . . 438
3.14.1 Invertibility and elementary matrices . . . . . . . . . . . . 443
3.14.2 The formula of Sherman-Morrison . . . . . . . . . . . . . . 445

4 THE DETERMINANT OF A SQUARE MATRIX 449

4.1 Permutations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 450
4.2 Introduction to the concept of determinant . . . . . . . . . . . . . . . 451
4.3 Principal minor and algebraic complement . . . . . . . . . . . . . . . 456
TABLE OF CONTENTS v

4.3.1 Row and column expansion of a determinant . . . . . . . . 458

4.3.2 Higher order minors and algebraic complements . . . . . . 463
4.3.3 Cofactor expansion . . . . . . . . . . . . . . . . . . . . . . 464
4.4 Laplace expansion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 465
4.5 Properties of determinants . . . . . . . . . . . . . . . . . . . . . . . . 469
4.6 Determinants and elementary matrices . . . . . . . . . . . . . . . . . 476
4.7 Applications of determinants . . . . . . . . . . . . . . . . . . . . . . . 479
4.8 Estimating the inverse matrix . . . . . . . . . . . . . . . . . . . . . . . 480
4.9 Jacobi identity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 484
4.10 Bordered determinants . . . . . . . . . . . . . . . . . . . . . . . . . . 486
4.11 Wronski determinant . . . . . . . . . . . . . . . . . . . . . . . . . . . 488
4.11.1 Derivatives of Wronski determinant . . . . . . . . . . . . . 494
4.11.2 Wronski determinant of special functions . . . . . . . . . . 495
4.11.3 The method of Wronski determinant . . . . . . . . . . . . . 504
4.11.4 Wronski determinant of a self-adjoint differential equation . 506
4.12 Other special determinants . . . . . . . . . . . . . . . . . . . . . . . . 507
4.12.1 The determinant of Vandermonde . . . . . . . . . . . . . . 507
4.12.2 Symmetric and antisymmetric determinants . . . . . . . . 511
4.12.3 Centrosymmetric determinants . . . . . . . . . . . . . . . . 519
4.12.4 The determinant of Toeplitz . . . . . . . . . . . . . . . . . . 520
4.12.5 Cyclic determinants . . . . . . . . . . . . . . . . . . . . . . 521
4.12.6 Hilbert matrix and its determinant . . . . . . . . . . . . . . 523
4.12.7 The determinant of Cauchy . . . . . . . . . . . . . . . . . . 527
4.12.8 The determinant of Casorati . . . . . . . . . . . . . . . . . 528
4.12.9 The determinant of Hankel . . . . . . . . . . . . . . . . . . 531
4.12.10 The determinant of Hessenberg . . . . . . . . . . . . . . . . 533
4.13 Representing polynomials as determinants . . . . . . . . . . . . . . . 534
4.14 Matrix partitioning and submatrices . . . . . . . . . . . . . . . . . . . 535
4.14.1 Determinant properties of complex matrices . . . . . . . . . 539
4.14.2 Schur complement . . . . . . . . . . . . . . . . . . . . . . . 539
4.14.3 Primary submatrices and their determinants . . . . . . . . 540
4.15 Matrix and determinant derivatives . . . . . . . . . . . . . . . . . . . 541
4.15.1 Derivative of a composite vector function . . . . . . . . . . 546
4.15.2 Properties and derivative relations . . . . . . . . . . . . . . 547
4.15.3 Properties of matrix derivatives . . . . . . . . . . . . . . . . 551
4.15.4 Matrix derivative with respect to matrix . . . . . . . . . . . 553
4.15.5 The derivative of a determinant with respect to matrix . . . 555
4.15.6 Derivatives of matrix traces . . . . . . . . . . . . . . . . . . 557
4.15.7 Derivatives of matrix norms . . . . . . . . . . . . . . . . . . 560
4.15.8 Second order derivatives . . . . . . . . . . . . . . . . . . . 561
4.15.9 Other matric and determinant functions . . . . . . . . . . . 565

5 LINEAR SYSTEMS AND MATRIX FACTORIZATION 571

5.1 Definitions and basic concepts . . . . . . . . . . . . . . . . . . . . . . 572
5.2 Matrix representation of linear systems . . . . . . . . . . . . . . . . . 574
5.3 Linear systems and linear dependence . . . . . . . . . . . . . . . . . . 576
5.4 Solving square linear systems . . . . . . . . . . . . . . . . . . . . . . . 578
vi TABLE OF CONTENTS

5.4.1 The method of substitution . . . . . . . . . . . . . . . . . . 579

5.4.2 The method of inverse matrix . . . . . . . . . . . . . . . . . 580
5.4.3 Cramer’s method . . . . . . . . . . . . . . . . . . . . . . . 581
5.4.4 Gauss elimination method . . . . . . . . . . . . . . . . . . 583
5.4.5 Gauss elimination method with pivoting . . . . . . . . . . . 591
5.4.6 Gauss elimination and the augmented matrix . . . . . . . . 601
5.4.7 Diagonally dominant matrices . . . . . . . . . . . . . . . . 604
5.4.8 Pivoting strategies . . . . . . . . . . . . . . . . . . . . . . . 606
5.4.9 Gauss-Jordan elimination method . . . . . . . . . . . . . . 613
5.4.10 Identifying the inverse matrix . . . . . . . . . . . . . . . . . 615
5.5 LU factorization . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 617
5.5.1 Direct estimation of L and U matrices . . . . . . . . . . . . 620
5.5.2 LU factorization and pivoting . . . . . . . . . . . . . . . . . 621
5.5.3 Identifying determinants via LU factorization . . . . . . . . 623
5.5.4 LU factorization and linear systems . . . . . . . . . . . . . 624
5.5.5 LDU factorization . . . . . . . . . . . . . . . . . . . . . . . 625
5.6 Cholesky decomposition . . . . . . . . . . . . . . . . . . . . . . . . . . 626
5.6.1 Identifying determinants via Cholesky decomposition . . . 630
5.6.2 Cholesky decomposition and linear systems . . . . . . . . . 631
5.7 Solving non-square linear systems . . . . . . . . . . . . . . . . . . . . 632
5.7.1 Under-determined linear systems . . . . . . . . . . . . . . 635
5.7.2 Over-determined linear systems . . . . . . . . . . . . . . . 642
5.8 QR factorization . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 646
5.8.1 QR factorization and linear systems . . . . . . . . . . . . . 650
5.8.2 Householder transformation . . . . . . . . . . . . . . . . . 650
5.8.3 Householder transformation and QR factorization . . . . . 656
5.8.4 QR factorization and least squares . . . . . . . . . . . . . . 665
5.9 URV factorization . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 667
5.9.1 Householder transformation and URV factorization . . . . . 674
5.10 SVD factorization . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 680
5.10.1 Full and reduced SVD factorization . . . . . . . . . . . . . 684
5.10.2 Matrix rank and normalized eigenvectors . . . . . . . . . . 685
5.10.3 SVD factorization and geometric transformations . . . . . . 686
5.11 Condition number and linear systems . . . . . . . . . . . . . . . . . . 688
5.11.1 Variation of all system parameters . . . . . . . . . . . . . . 691
5.11.2 Geometric interpretation of the condition number . . . . . 692
5.11.3 Properties of the condition number . . . . . . . . . . . . . . 693
5.11.4 Condition number and matric norms . . . . . . . . . . . . 694
5.12 Moore-Penrose pseudo-inverse . . . . . . . . . . . . . . . . . . . . . . 696
5.12.1 Relationships between inverse and pseudo-inverse . . . . . 701
5.12.2 The orthogonal projection operator . . . . . . . . . . . . . . 701
5.12.3 Returning to the least squares method . . . . . . . . . . . . 702

6 EIGENVALUES AND MATRIX DIAGONALIZATION 705

6.1 Eigenvalues and eigenvectors . . . . . . . . . . . . . . . . . . . . . . . 706
6.1.1 Spectral radius and spectral norm . . . . . . . . . . . . . . 708
6.1.2 Schur triangularization theorem . . . . . . . . . . . . . . . 710
TABLE OF CONTENTS vii

6.1.3 Spectral norm and matrix powers . . . . . . . . . . . . . . 712

6.1.4 Gelfand’s formula . . . . . . . . . . . . . . . . . . . . . . . 712
6.1.5 Spectral norm and Frobenius norm . . . . . . . . . . . . . 713
6.1.6 Spectral radius of normal matrices . . . . . . . . . . . . . . 714
6.1.7 Eigenvalue and eigenvector estimation examples . . . . . . 714
6.1.8 Geometric interpretation of eigenvalues and eigenvectors . 722
6.2 Similarity invariance . . . . . . . . . . . . . . . . . . . . . . . . . . . . 723
6.3 Singular values and eigenvalues . . . . . . . . . . . . . . . . . . . . . 724
6.3.1 Symmetric (hermitian) matrices . . . . . . . . . . . . . . . 725
6.3.2 Condition number and spectral radius . . . . . . . . . . . . 725
6.4 The coefficients of the characteristic polynomial . . . . . . . . . . . . . 729
6.4.1 Symmetric eigenvalue functions . . . . . . . . . . . . . . . 735
6.5 The properties of eigenvalues . . . . . . . . . . . . . . . . . . . . . . . 736
6.5.1 Characteristic polynomial of inverse matrix . . . . . . . . . 740
6.5.2 Eigenvalues, trace and determinant of Kronecker product . 741
6.5.3 Singular values and rank of Kronecker product . . . . . . . 742
6.5.4 Gerschgorin cycles . . . . . . . . . . . . . . . . . . . . . . . 744
6.5.5 Schur inequality . . . . . . . . . . . . . . . . . . . . . . . . 747
6.6 Eigenvalues and eigenvectors of special matrices . . . . . . . . . . . . 749
6.6.1 Eigenvalues and eigenvectors of normal matrices . . . . . . 749
6.6.2 Eigenvalues and eigenvectors of hermitian matrices . . . . 750
6.6.3 Eigenvalues and eigenvectors of unitary matrices . . . . . . 751
6.7 Eigenvalue spectrum of matrix product . . . . . . . . . . . . . . . . . 753
6.7.1 Permutation of normal matrices . . . . . . . . . . . . . . . 756
6.8 The theorem of Cayley-Hamilton . . . . . . . . . . . . . . . . . . . . . 758
6.8.1 Estimating the inverse matrix . . . . . . . . . . . . . . . . 760
6.8.2 Cayley - Hamilton theorem and Kronecker product . . . . . 761
6.8.3 The minimal polynomial . . . . . . . . . . . . . . . . . . . . 762
6.9 Diagonalization of square matrices . . . . . . . . . . . . . . . . . . . . 763
6.9.1 Diagonalization and cardinality of eqigenvalues . . . . . . . 769
6.9.2 Relating the eigenvalues with the diagonal elements . . . . 771
6.9.3 The theorem of Courant-Fischer . . . . . . . . . . . . . . . 772
6.9.4 Weyl’s monotonocity theorem . . . . . . . . . . . . . . . . . 776
6.9.5 Spectral analysis . . . . . . . . . . . . . . . . . . . . . . . . 777
6.10 Jordan form of a nilpotent matrix . . . . . . . . . . . . . . . . . . . . 780
6.10.1 Building a base for the nullspace nullsp (L) . . . . . . . . . 788
6.10.2 Extending the base of nullsp (L) with Jordan chains . . . . 796
6.11 Jordan form of a square matrix . . . . . . . . . . . . . . . . . . . . . . 802
6.11.1 Building the Jordan form . . . . . . . . . . . . . . . . . . . 807
6.12 Positive definite matrices . . . . . . . . . . . . . . . . . . . . . . . . . 812
6.12.1 Properties of positive definite matrices . . . . . . . . . . . . 814
6.12.2 Properties of positive semidefinite matrices . . . . . . . . . 817
6.12.3 Roots of positive definite matrices . . . . . . . . . . . . . . 820
6.12.4 Analysis and factorization . . . . . . . . . . . . . . . . . . . 822
6.12.5 Positive definite matrices and inner product . . . . . . . . . 823
6.12.6 Schur theorem . . . . . . . . . . . . . . . . . . . . . . . . . 825
6.12.7 Hadamard’s inequality . . . . . . . . . . . . . . . . . . . . 826
viii TABLE OF CONTENTS

6.12.8 Minkowski’s inequality . . . . . . . . . . . . . . . . . . . . 828

6.12.9 Fielder’s inequality . . . . . . . . . . . . . . . . . . . . . . . 829
6.12.10 Schur’s complement . . . . . . . . . . . . . . . . . . . . . . 830
6.12.11 Oppenheim’s inequality . . . . . . . . . . . . . . . . . . . . 831
6.12.12 Congruence of matrices . . . . . . . . . . . . . . . . . . . . 834
6.12.13 Löwner ordering . . . . . . . . . . . . . . . . . . . . . . . . 836
6.13 Quadratic forms . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 838
6.13.1 Graphical representation of a quadratic form . . . . . . . . 841

7 MATRIX FUNCTIONS AND THEIR APPLICATIONS 843

7.1 Defining a matrix function . . . . . . . . . . . . . . . . . . . . . . . . 844
7.2 The exponential function eA . . . . . . . . . . . . . . . . . . . . . . . . 844
7.2.1 The exponential function of a nilpotent matrix . . . . . . . 848
7.2.2 The exponential function of a matrix sum . . . . . . . . . . 848
7.2.3 Exponential function and hermitian matrices . . . . . . . . 849
7.3 The property of spectral mapping . . . . . . . . . . . . . . . . . . . . . 849
7.4 The matrix power An . . . . . . . . . . . . . . . . . . . . . . . . . . . . 852
7.4.1 Z transform and matrix powers . . . . . . . . . . . . . . . 854
7.4.2 Neumann’s identity . . . . . . . . . . . . . . . . . . . . . . 857
7.5 The exponential function eAt . . . . . . . . . . . . . . . . . . . . . . . 859
7.5.1 The case of complex eigenvalues . . . . . . . . . . . . . . . 867
7.6 The logarithm of a matrix . . . . . . . . . . . . . . . . . . . . . . . . . 871
7.7 Functions of non-diagonalizable matrices . . . . . . . . . . . . . . . . 873
7.7.1 Spectral projection of non-diagonalizable matrices . . . . . 880
7.7.2 The properties of minimal polynomial . . . . . . . . . . . . 881
7.7.3 Krylov sequences . . . . . . . . . . . . . . . . . . . . . . . 883
7.8 Polynomial representation a matrix functions . . . . . . . . . . . . . . 885
7.8.1 Returning to the exponential matrix function . . . . . . . . 888
7.9 Power series expansion of a matrix function . . . . . . . . . . . . . . . 888
7.10 Representing matrix functions via Cauchy formula . . . . . . . . . . . 891
7.10.1 An alternative approach for estimating a matrix power . . . 896
7.10.2 The equivalence with the power series expansion . . . . . . 897
7.11 Analytic matrix functions . . . . . . . . . . . . . . . . . . . . . . . . . 898
7.11.1 Spectral mapping and eigenvalue cardinality . . . . . . . . 901
7.12 Systems of differential equations . . . . . . . . . . . . . . . . . . . . . 904
7.12.1 Other forms for the solution of a differential equation . . . 908
7.12.2 Eigenfunctions and eigenfrequencies . . . . . . . . . . . . . 910
7.12.3 The method of Putzer . . . . . . . . . . . . . . . . . . . . . 911
7.12.4 Non-diagonalizable homogenous differential system . . . . 916
7.12.5 Wronskian and the Abel formula . . . . . . . . . . . . . . . 918
7.12.6 Solving the complete differential system . . . . . . . . . . . 922
7.12.7 The general solution of the complete differential system . . 925
7.12.8 Sylvester’s and Lyapunov’s differential equations . . . . . . 926
7.13 Systems of difference equations . . . . . . . . . . . . . . . . . . . . . . 927
7.13.1 The behavior of the solution for n → ∞ . . . . . . . . . . . 930
7.13.2 Other forms for the solution of the difference system . . . . 931
7.13.3 The method of Putzer . . . . . . . . . . . . . . . . . . . . . 937
 TABLE OF CONTENTS ix

7.14 Higher order equations . . . . . . . . . . . . . . . . . . . . . . . . . . 941

Α PAULI AND DIRAC MATRICES 945

Α.1 Pauli and Dirac matrices . . . . . . . . . . . . . . . . . . . . . . . . . 946

Literature 957

Index 962

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