Professional Documents
Culture Documents
x=
3 2
=3
1 0
+2
0 1
= 3e1 + 2e2
Imagine that there is a basis v1 and v2 such that Av1 = 1v1 and Av2 = 2v2 (where
1 and 2 are scalars) and that x = c1v1 + c2v2. Then: Ax = A [c1v1 + c2v2] = c1Av1 + c2Av2 = c11v1 + c22v2
If Av = v, call an eigenvalue of A and v an eigenvector of A.
Power Method
Suppose a matrix A has two distinct, real eigenvalues 1 and 2 with eigenvectors x1 and x2. If x1 and x2 are not parallel, you can write any vector z(0) as a linear combination of x1 and x2:
z(1) = Az(0) = c1Ax1 + c2Ax2 = c11x1 + c22x2 z(2) = Az(1) = c11Ax1 + c22Ax2 = c12x1 + c22x2 1 2 z(k) = Az(k1) = c1k1Ax1 + c2k1Ax2 = c1k x1 + c2k x2 1 2 1 2
2 k 1
0 as k . Therefore: c1k x1 as k 1
2 k z(k) = k c1x1 + c2 x2 1 1
But if z(k)
(k) k , then |z | 1 |z(k1)|
r(k) =
1 as k
This method can be extended to look for the other eigenvalues of A and for complex eigenvalues as well. It works most effectively in nding the extreme eigenvalues those with the largest and smallest magnitude.
Ax = x Ax = Ix (A I) x = 0
2 K 1 0 2 K 1 0
x = x x= 0 0 x=0 x
2 K 1
Since the last equation is satised for a non-zero x, the matrix (A I) is singular:
det
2 K 1
= 0 and (2 )() + K = 0
This polynomial is called the characteristic polynomial of the matrix A and the roots
of the characteristic polynomial are the eigenvalues of the matrix A. The vector x is an eigenvector of the matrix A.
We have the polynomial 2 + 2 + K = 0. First consider the case where K = 0: couple of cases:
2 4 K=0 = = 1 1 = 0, 2 2 The eigenvalues for K = 0 are = 2, 0. Remember that the eigenvalue equation may be written Ax = x. Look for the eigenvector x corresponding to each eigenvalue : Ax1 = 1x1 2x1 = 2x1 Ax2 = 2x2 2x1 = 0 2 0 1 0 x1 x2 = 2 x1 x2
and x1 = 2x2
x1 = x1 x2
1 0.5 x1 x2
2 0 1 0
=0 0 1
and x1 = 0
x2 =
Note that the eigenvectors are only determined up to a constant: A(3x) = (3x).
K=1 K=2
2 0 = = 1 0 = 1, 1 2 2 4 = 1 1 = 2
The real part of the eigenvalues in these case is negative, so that solutions that evolve as exp(t) will decay with time.
Examples/Applications
Error analysis of iterative methods: The initial error is multiplied repeatedly by a matrix T:
e(1) = T e(0) = T (c1x1 + c2x2) = c1T x1 + c2T x2 = c11x1 + c22x2 e(k) = Tk e(0) = c1(1)k x1 + c2(2)k x2
Therefore, if |1| < 1 and |2| < 1 then the error will go to zero as k . Ordinary differential equations: Consider a system of ordinary differential equations:
v=Av
If x1 and x2 are the eigenvectors of A (i.e. Ax1 = 1x1 and Ax2 = 2x2), then:
c1 = 1c1 c2 = 2c2
v(t) = c1(t = 0) exp(1t) x1 + c2(t = 0) exp(2t) x2 If the real part of 1 and 2 is negative, the solutions will decay with time. If the real part of 1 and 2 is positive, the solutions will grow with time. If the eigenvalues are complex ( = r + 1i), the solution will evolve like: exp(t) = exp(rt) cos(it) + 1sin(it)