Numerical Methods

Course 5 Eigenproblems. The power method and the inverse power method.

these notes are available for download at http://cemsig.ceft.utt.ro/astratan/didactic/nm

Eigenproblems in structural engineering

Earthquake engineering
Modal analysis (eigenproblem) is used to determine the fundamental modes of vibration of a structure Earthquake forces are determined based on the results of the modal analysis and the characteristic of ground motion

Buckling of structures or elements

 Consider a system of three homogeneous linear algebraic equations of the form Four unknowns: X1, X2, X3, and Solutions of the equation:
the trivial solution X=0 solutions 0 possible for special values of , called eigenvalues

Finding eigenvalues represent an eigenproblem Unique values of XT=[X1 X2 X3] cannot be determined, but for each eigenvalue i, relative values of X1, X2, X3 can be obtained Xi vectors corresponding to i eigenvalues are called eigenvectors, and they determine the mode of oscillation of the physical system The eigenproblem can be written as:

Eigenproblem: geometrical representation

Consider the following 22 eigenproblem: It can be rearranged as:

The two equations represent two straight lines with slopes m1 and m2. Trivial solution: when m1m2 Alternative solution, when m1=m2
values of for which m1=m2 are called eigenvalues the relative values of x1 and x2 (given by the slope m) are called eigenvectors

Organisation of Chapter 2

Mathematical characteristics of eigenproblems

A system of nonhomogeneous linear algebraic equations of the form Cx=b can be solved by the Cramer's rule as: where Cj is the matrix C with the column j replaced by vector b. In general det(Cj)0, and unique solution are found for xj. A system of homogeneous linear algebraic equations of the form Cx=0 can be solved by the Cramer's rule as:

In general det(C)0, and the only solution is the trivial one x=0 For special forms of C that involve an unspecified arbitrary scalar , values of can be chosen to force det(C)=0, so that solution other than the trivial one is possible. The solution x is not unique in this case, but relative values of xj can be determined

 Eigenproblems arise when the C matrix takes the form: Values of determined so that are the eigenvalues of the problem The homogeneous system of equations can be written as: In many problems B=I, so that it becomes: If BI, a matrix can be defined, and multiplying the equation to the left by B-1, one gets which is a classical eigenproblem. An eigenvalue problem is most commonly stated as:

Finding eigenvalues
Consider the eigenproblem:

It can be solved by expanding the det(A-I)=0 and finding the roots of the resulting nth-order polynomial, called the characteristic equation:

The eigenvalues are: =13.870585, 8.620434, 2.508981

 The eigenvectors are found for each eigenvalue in the following way:
X1 is set to 1.0 X2 and X3 are found from two of the original equations

as: X3=(10-)/15- and X2=(8-)/2-X3 substituting 1 to 3 into the expressions of X2 and X3, it yields:

Eigenproblem summary
Eigenproblems arise from homogeneous systems of equations that contain an unspecified parameter in the coefficients The characteristic equation is determined by expanding the determinant Eigenvalues i (i=1,2,,n) are found by solving the n-th order polynomial in Eigenvectors xi (i=1,2,,n) are found by substituting the individual eigenvalues into the homogeneous set of equations and solving for the relative values of xi For large systems of equations
expanding the determinant is difficult solving a n-th order polynomial is difficult

As a result, alternative procedures are required

The power method

The power method is an iterative technique used to determine the largest (in absolute value) eigenvalue of an equation of the form and can be summarized as follows:
1. Assume a trial vector x(0) for the eigenvector x. Choose one component of x to be unity, designating that component as the unity component. 2. Perform the matrix multiplication: Ax(0)=y(1) 3. Scale y(1) so that the unity component remains unity: y(1)=(1)x(1) 4. Repeat steps 2 and 3 to convergence. When the solution converged, the value of is the largest (in absolute value) eigenvalue, and the vector x is the corresponding eigenvector (scaled to unity on the unity component)

The general algorithm of the power method is:

Limitations of the power method:

when the iterations indicate that the unity component may be zero, a different unity component must be chosen the method converges slowly when the magnitudes of the two largest eigenvalues are close when the largest eigenvalues are of equal magnitude, the power method, as described, fails

Example of the power method: find the eigenvalue of largest magnitude and the corresponding eigenvector for the matrix

assume x(0)T=[1.0 1.0 1.0] and let the third component x3 be the unity component applying equation

 step 0

step 1

The results of iterations continued until changed by less than 0.000001 is presented here The largest eigenvalue and the corresponding eigenvector are

Basis of the power method

Assumptions:
Matrix A is of size nn and is nonsingular Its n eigenvalues verify the following: The corresponding n eigenvectors are linearly independent

Thus, any arbitrary vector x can be expressed as a combination of the eigenvectors:

Multiplying both sides by A, A2,,Ak (superscript denoting repetitive matrix multiplication), and recalling that , yields:

 Factoring the 1k from the last equation yields:

Since |1|>|i| for i=2,3,,n, the ratios (i/1)k 0 as k, and the above equation approaches the limit which approaches 0 if |1|<1 and approaches if |1|>1. Therefore, it must be scaled between iterations.

Scaling can be accomplished by scaling any of the components of vector y(k) by unity. Choose the y1 as that component. Thus, x1 will become 1.0, and In the next step: Taking the ratios of the last to equations gives

Thus, if y1(k)=1, then y1(k+1)=1. If y1(k+1) is scaled so that y1(k+1)=1, then y1(k+2)=1. Consequently, scaling a particular component of vector y each iteration, factors 1 out of vector y. In the limit, as k, the scaling factor approaches 1, and the scaled vector y approaches the eigenvector x1.

 Several restrictions apply to the power method:

The largest eigenvalue must be distinct The n eigenvectors must be independent The initial guess xi(0) must contain some component of eigenvector xi, so that Ci0 The convergence rate is proportional to the ratio

where i is the largest (in magnitude) eigenvalue and i-1 is the second largest (in magnitude) eigenvalue

The inverse power method

The inverse power method can be used to determine the smallest (in magnitude) eigenvalue of matrix A. The procedure essentially finds the largest (in magnitude) eigenvalue of the inverse matrix A-1, which is the smallest (in magnitude) eigenvalue of matrix A. Prove:
Consider the standard eigenproblem Multiply the equation by A-1 to the left: Rearranging, yields an eigenproblem for A-1:

The eigenvalues of A-1 are the reciprocals of eigenvalues of matrix A The eigenvectors of matrix A-1 are the same as the eigenvectors of matrix A

 The power method may be used to solve the problem:

However, to avoid computation of the inverse matrix, the LU method can be employed:
The power method applied to A-1 is given by Multiplying the above equation by A gives:

which can be written as This equation is in the standard form Ax=b, where x=y(k+1) and b=x(k). Therefore, for a given x(k), the y(k+1) can be found by the Doolittle LU method.

The procedure of the inverse power method is as follows:

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 Example: find the smallest (in magnitude) eigenvalue of the matrix

Assume x(0)T=[1.0 1.0 1.0], and choose the first component to be unity Solve for the L and U matrices using Doolittle method:

Solve for x' using forward substitution Lx'=x(0)

Solve for y(1) using backward substitution Uy(1)=x'

Scale y(1) so that the unity component is unity

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 The results of iterations continued until inverse changed by less than 0.000001 is presented in the table

The final solution for the smallest eigenvalue and the corresponding eigenvector are

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