Eigenvalues

Chapter 4

Eigenvalues
Let A be an n n matrix. A number (scalar) is called an eigenvalue of A if there exists a nonzero vector called eigenvector v such that Av = v.
(4.1)

Eigenvalues and eigenvectors are widely used in various applications such as to determine the stability of a finite-difference scheme to solve a partial differential equation and finding the solution for the system of differential equations. Rewriting Eq. (4.1) as Av = Iv, where I is an identity matrix, yields ( A I )v = 0 . (4.2)

The linear homogeneous system (4.2) has a nontrivial solution v 0 if and only if the matrix A I is singular that is | A I |= 0 . Solving | A I | = 0 leads to solve the characteristics equation which will yields n eigenvalues of matrix A. Substituting each eigenvalue into Eq. (4.2) will get its corresponding eigenvector.

4.1

Power Method

For an n n matrix A, the most dominant eigenvalue, 1 , where | 1 | > | 2 | > | n | and its corresponding eigenvector, , can be obtained by 1 the power method
( k +1) =
1 A ( k ) , k = 0, 1, 2, mk +1

where m k + is the maximum absolute value of Av ( k ) . 1

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The iteration is iterated with a given initial eigenvector, v ( 0 ) until | mk +1 mk | < . Then, the most dominant eigenvalue is
= m1 + , 1 k

and its corresponding eigenvector is

v1 = ( k + ) . 1

Algorithm of Power Method For a 3 3 Matrix A

1. Put in an initial eigenvector, v ( 0 ) into the table below:
k 0
v (k ) Av ( k )
mk + 1

2. 3. 4. 5. 6. 7.

Input the matrix A into the calculator. Input v ( 0 ) as matrix B into the calculator. Calculate Av ( 0 ) as matrix multiplication of AB using the calculator. Find m1 (the maximum absolute value of Av ( 0 ) ).
Av ( o) by updating matrix B in the calculator. m Repeat Step 4 to Step 6 until | m k +1 m k | < . The most dominant

Calculate v (1) =

eigenvalue of matrix A is given by

1 = mk +1 ,
and its corresponding eigenvector is v1 = ( k +1) . EXAMPLE 4.1 Given the matrix 4 3 0 A = 3 4 1 . 0 1 4

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Use power method to find the most dominant eigenvalue, and its 1 (0) T corresponding eigenvector, of the matrix A using = (1 1 0) . Calculate 1 until | mk +1 mk | 0.005. SOLUTION Step 1: Put in an initial eigenvector, ( 0) = (1 1 0) T into the table below: k 0
v (k ) 1 Av (k )
mk + 1

Step 2: Input matrix A into the calculator. Press w 6 1 1 4p 3p 0p 3p 4p Screen

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z1p

0p z1p 4p C Step 3: Input vector as matrix B into the calculator. Press q4 2 2 3 1p 1p 0p C

68

Screen

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Step 4: Calculate A ( k ) as matrix multiplication of AB into the calculator. Press q4 3 O q4 4 p

k 0
v (k ) 1 Av ( k ) 7
mk + 1

Screen

Step 5: Calculate m k + (the maximum absolute value of Av (k ) ). 1 k 0

v (k ) 1
(1)

Av ( k ) 7

mk + 1

Step 6: Calculate Press P7 p

1 A ( 0 ) by updating matrix B in the calculator. m1

Screen

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Eigenvalues

q(STO) (B) to copy matrix answer to matrix B C

mk + k v (k ) Av ( k ) 1 0 1 1 0 7 7 -1 7 1 1 1 0.143 Step 7: Repeat Step 4 to Step 6 until | mk +1 mk | 0.005 . The complete result is shown below.

k 0 1 2 3 4

1 1 0.980 0.966 0.959

v (k ) 1 1 1 1 1

0 0.143 0.220 0.263 0.286

7 7 6.920 6.866

Av ( k ) 7 7.143 7.160 7.162

mk + 1

-1 1.571 1.880 2.050

7 7.143 7.160 7.162

Since | m4 m3 |= 0.002 < 0.005, so the most dominant eigenvalue, 1 m4 = 7.162, (4) T and its corresponding eigenvector, v1 v = (0.959 1 0.286) .

4.2

Shifted Power Method

For an n n matrix A, the smallest eigenvalue, n , where | 1 | > | 2 | > | n | and its corresponding eigenvector, n , is given by the shifted power method

( k +1) =

1 Ashifted ( k ) , k = 0, 1, 2, mk +1

(k ) where m k + is the maximum absolute value of Ashifted v , 1 A shifted = A 1 I ,

is the largest eigenvalue of the matrix A. 1

The iteration is iterated with a given initial eigenvector, v ( 0 ) until | mk +1 mk | < . Then, the most dominant eigenvalue of the matrix Ashifted is

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sit d he f

= k+ m 1,

and hence the smallest eigenvalue of the matrix A is

1 n =+
sh d ifte

and its corresponding eigenvector matrix A is

1) vn = ( k + .

Algorithm of Shifted Power Method For a 3 3 Matrix A

1. Put in an initial eigenvector, v ( 0 ) into the table below: k 0 2. 3. 4. 5. 6. 7. 8. 9.
v (k )
Ashifted v (k )

mk + 1

Input the matrix A into the calculator. Input matrix I as matrix B into the calculator. Calculate A shifted = A 1 I using the calculator. Input matrix Ashifted as matrix A into the calculator. Input vector v (k ) as matrix C into the calculator. (k ) Calculate A shifted v as matrix multiplication of AC into the calculator.
(0) Find m1 (the maximum absolute value of Ashifted v ).
(1) Calculate v =

Av ( o ) by updating matrix C in the calculator. m1 10. Repeat Step 7 to Step 9 until | m k +1 m k | < . The smallest eigenvalue of

matrix A is given by

3 = 1 + mk +1 ,
and its corresponding eigenvector is v3 = ( k +1) . EXAMPLE 4.2 Given the matrix

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Eigenvalues

4 3 0 A = 3 4 1 . 0 1 4 Use the power method to find the smallest eigenvalue and its corresponding eigenvector, of the matrix A by the shifted power method using 1 (0) T = (1 1 0) . Calculate until | mk +1 mk | 0.005. SOLUTION Note: Using the answer from Example 4.1, the dominant eigenvalue is 1 m4 = 7.162 . Step 1: Put in an initial eigenvector, v ( 0 ) into the table below: k 0
v (k ) 1
Ashifted v (k )

mk + 1

Step 2: To get A shifted = A 1 I , we must first input matrix A into the calculator. Refer Step 2 in Example 4.1 to input matrix A into the calculator. Step 3: Input matrix I as matrix B into the calculator. Press q4 2 2 1 1p0p0p 0p1p0p 0p0p1p Screen

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Eigenvalues

C Step 4: Calculate A shifted = A l I using 1 = 7.162 from Example 4.1. Press q43-7.162q44 Screen

p Step 5: Input matrix Ashifted Press q(STO) (A) to copy matrix answer to matrix A Step 6: Input vector v (k ) as matrix C into the calculator. Press q4 2 3 3 1p1p0p Screen as matrix A into the calculator. Screen

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Eigenvalues

C
(k ) Step 7: Calculate A shifted v as matrix multiplication of AC into the calculator.

Press q4 3Oq45 p
Ashifted v (k )

Screen

k 0

v (k ) 1

mk + 1

-0.162

-0.162

-1

Step 8: Calculate m k + (the maximum absolute value of Ashifted v (k ) ). 1 k 0

v (k ) 1
Ashifted v (k )

mk + 1

-0.162

-0.162

-1

-1

(1) Step 9: Calculate =

1 Ashifted (0 ) by updating matrix C in the calculator. m1

Press P-1 p q(STO) (C) to copy matrix answer to matrix C C

Screen

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Eigenvalues

k 0 1

1 0.162

v (k ) 1 0.162

Ashifted v (k )

mk + 1

0 1

-0.162

-0.162

-1

-1

Step 10: Repeat Step 7 to Step 9 until | mk +1 mk | 0.005 . The complete result is shown below. k v (k ) 0 1 1 0 1 0.162 0.162 1 2 0.008 0.309 1 3 -0.260 0.563 1 4 -0.674 0.955 1 5 -0.827 1 0.681 6 -0.888 1 0.499 | m6 m5 |= 0.000 < 0.005 , Since 3 1 + m6 = 7.162 6.324 = 0.838,
vs = ( 0.888 1 0.499 )T .
Ashifted v (k )

mk + 1

-0.162 -0.026 0.901 2.509 4.996 5.614 5.807 so and its

-0.162 -1 -1 -1.026 -3.324 -3.324 -1.953 -3.471 -3.471 -3.558 -3.724 -3.724 -6.042 -4.118 -6.042 -6.324 -3.155 -6.324 -6.324 -2.577 -6.324 the smallest eigenvalue, corresponding eigenvector, is

4.3

Inverse Power Method

For an n n matrix A, the smallest eigenvalue, n , where | 1 | > | 2 | > | n | and its corresponding eigenvector, n , is given by the inverse power method

( k +1) =

1 1 ( k ) A , k = 0, 1, 2, mk +1

where m k + is the maximum absolute value of A1v ( k ) . 1 The iteration is iterated with a given initial eigenvector, v ( 0 ) until | mk +1 mk | < . Then, the smallest eigenvalue is
n =
1 , mk +1

and its corresponding eigenvector is

1) vn = ( k + .

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Algorithm of Inverse Power Method For a 3 3 Matrix A

1. Put in an initial eigenvector, v ( 0 ) into the table below:
k 0
v (k ) A 1v ( k )
mk + 1

2. 3. 4. 5. 6. 7.

Input the matrix A into the calculator. Input v ( 0 ) as matrix B into the calculator. Calculate A 1v ( 0 ) as matrix multiplication of A1 B using the calculator. Find m1 (the maximum absolute value of A1v (0) ).
Av ( o) by updating matrix B in the calculator. m Repeat Step 4 to Step 6 until | m k +1 m k | < . The smallest eigenvalue of

Calculate v (1) =

matrix A is given by

3 =
and its corresponding eigenvector is

1 , mk +1

v3 = ( k +1) . EXAMPLE 4.3 Given the matrix 4 3 0 A = 3 4 1 . 0 1 4 Use the inverse power method to find the smallest eigenvalue, and its 3 3 of the matrix A using (0) = (1 1 0)T . Calculate corresponding eigenvector, until | mk +1 mk | 0.005. SOLUTION

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Step 1: Put in an initial eigenvector, ( 0) = (1 1 0) T into the table below: k 0

v (k ) 1

A1v ( k ) 0

mk + 1

Step 2: Input matrix A into the calculator. Refer to Step 2 in Example 4.1. Step 3: Input vector as matrix B into the calculator. Refer to Step 3 in Example 4.1. Step 4: Calculate A 1 ( k ) as matrix multiplication of A 1 B into the calculator.

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Eigenvalues

Press q4 3 u O q4 4 p k 0
v (k ) 1 A 1v ( k ) 0.167

Screen

mk + 1

0.125

0.042

Step 5: Calculate m k + (the maximum absolute value of A 1v ( k ) ). 1 k 0

v (k ) 1
(1)

0.125

A 1v ( k ) 0.167

mk + 1

0.042

0.167

Step 6: Calculate Press P0.167 p

1 1 ( 0 ) A by updating matrix B in calculator. m1

Screen

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q(STO) (B) to copy matrix answer to matrix B C

A 1v ( k ) 0.167
mk + 1

k 0 1

1 0.749

v (k ) 1 1

0 0.251

0.125

0.042

0.167

Step 7: Repeat Step 4 to Step 6 until | mk +1 mk | 0.005 . The complete result is shown below. k 0 1 2 3 4 5 6 7
v (k ) 1 1 1 1 1 1 1 1 Av (k ) 0.167 0.334 0.833 1.133 1.186 1.193 1.194
mk + 1

1 0.749 -0.188 -0.806 -0.928 -0.946 -0.948 -0.949

0 0.251 0.437 0.381 0.334 0.320 0.317 0.316

0.125 -0.063 -0.672 -1.052 -1.122 -1.131 -1.132

0.042 0.146 0.318 0.378 0.380 0.378 0.378

1

0.167 0.334 0.833 1.133 1.186 1.193 1.194

Since | m6 m5 |= 0.001 < 0.005 , so the smallest eigenvalue, s m = 0.838 , and 7 its corresponding eigenvector, v1 v ( 7 ) = ( 0.949 1 0.316 )T .

4.4

Determinant of Matrix Using Calculator

EXAMPLE 4.4 4 3 0 Find the determinant of A = 3 4 1 . 0 1 4 SOLUTION Step 1: Input matrix A into the calculator. Refer to Step 2 in Example 4.1.

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Step 2: Press q4 7 q4 3 p
4 So the determinant of A = 3 0 3 4 1 0 1 is 24. 4

Screen

Transpose of Matrix Using Calculator

EXAMPLE 4.5 1 2 3 Find the transpose of A = 4 5 6 . 7 8 9 SOLUTION Step 1: Input matrix A into the calculator. Refer to Step 2 in Example 4.1. Step 2: Press q4 8
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Screen

Eigenvalues

q4 3 p 1 4 7 So, A = 2 5 8 . 3 6 9
T

4.6

Inverse of Matrix using Calculator

EXAMPLE 4.6 4 3 0 Find the inverse of A = 3 4 1 . 0 1 4 SOLUTION Step 1: Input matrix A into the calculator. Refer to Step 2 in Example 4.1. Step 2: Press q4 3 u Screen

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Eigenvalues

p 0.625 0.5 0.125 So, A = 0.5 0.667 0.167 . 0.125 0.167 0.292
1

EXERCISE 4.1 2 1 0 1. Given the matrix A = 1 2 1 . Find the most dominant eigenvalue, 1 , 0 1 2 and its corresponding eigenvector, v1 , of the matrix A using the power method. Use v ( 0 ) = (0 1 0) T and calculate until | mk +1 mk |< 0.005.
2. Given the matrix

Find the most dominant eigenvalue, and its corresponding eigenvector, of the matrix A using the power method. Use and calculate until Find the most dominant eigenvalue, 1 , and its corresponding eigenvector, of the matrix A using the power method. Use and calculate until Find the most dominant eigenvalue, 1 , and its corresponding eigenvector, of the matrix A using the power method. Use and calculate until

3. Given the matrix

4. Given the matrix

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EXERCISE 4.2 1. Given the matrix Find the smallest eigenvalue, 3 , and its corresponding eigenvector, of the matrix A by using the shifted power method. Use and calculate until
2. Given the matrix

Find the smallest eigenvalue, 3 , and its corresponding eigenvector, of the matrix A by using the shifted power method. Use and calculate until Find the smallest eigenvalue, 3 , and its corresponding

3. Given the matrix

eigenvector, of the matrix A by using the shifted power method. Use and calculate until
4. Given the matrix Find the smallest eigenvalue, 3 , and its corresponding

eigenvector, v3 , of the matrix A by using the shifted power method. Use and calculate until EXERCISE 4.3 Repeat Exercise 4.2 by using the inverse power method.

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ANSWER 4.1 1. 1 = 3.414, v1 = ( 0.707 1 0.707 ) 2. v1 = ( 1 0.43 0.785 ) ANSWER 4.2 1. 3 = 0.586 , v1 = ( 0.290 1 0.580 )
T T

2. 3 = 0.238 , v3 = ( 1 0.762 0.432 ) 4. 3 =1.354 , v3 = ( 0.323 1 0.823) ANSWER 4.3 1. 3 = 0.586 , v3 = ( 0.707 1 0.707 )

v3 = ( 0.707 1 0.707 )

T T T

3. 3 = 0.551 v3 = ( 0.500 0.725 1)

T

T T T

2. 3 = 0.238 , v3 = ( 1 0.762 0.432 ) 4. 3 =1.353 , v3 = ( 0.324 1 0.824 )

3. 3 = 0.551 v3 = ( 0.500 0.725 1)

T

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