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TheQRMethodforEigenvalues

Module
for
TheQRMethodforEigenvalues

BackgroundforQRMethod
SupposethatAisarealsymmetricmatrix.Householdersmethodisusedtoconstructasimilartridiagonalmatrix.ThentheQRmethodisusedtofindall
eigenvaluesofthetridiagonalmatrix.Inthelatterconstruction,planerotationssimilartothosethatwereintroducedinJacobismethodareusedtoconstruct
theorthogonalmatrices .TheimportantsteptheQRmethodisthefactorization
anditeration
.

Definition(QRDecomposition).Foranonsingularsquarematrix ,thereexistsafactorization

where isaunitaryand isanuppertriangularmatrix.Remark. isaunitarymeans

Forarealnonsingularsquarematrix ,thereexistsafactorization

where isanorthogonalmatrixand isanuppertriangularmatrix.Remark. isaorthogonalmeans

(also

).

Example1.FindtheQRdecompositionofthematrix

Solution1.

Example2.Findthe

decompositionofthematrix

2(a).Performthecomputationusingdecimalarithmetic.
2(a).Performthecomputationusingexactarithmetic.
Solution2(a).
Solution2(b).

QRtransformation
Afterfindingthe

factorization,the

transformationis

Remark.Wewillnotwriteourownsubroutineforfindingthe

factorization,wewilluseMathematica'ssubroutine.

QRMethod
Wenowinvestigateawellknownandefficientmethodforfindingalltheeigenvaluesofageneral
arbitraryrealmatrix,butforageneralmatrixittakesmanyiterationsandbecomestimeconsuming.

The
methodworksmuchfasteronspecialmatrices,preferably:
(i)symmetrictridiagonal,
(ii)Hessenbergmatrices,
(iii)symmetricbandmatrices.

Forthismodule,wewillillustratetheQRmethodfor
realsymmetricmatrices.

realmatrix.The

methodcanbeusedforan

Whensolvingforeigenvaluesofadensesymmetricmatrix ,thestandardpracticeistoreducethedensematrixtoatridiagonalmatrix throughaseriesof

orthogonaltransformations,andthentoapplyaneigenvaluesolverfortridiagonalmatricesto .Thetransformationsappliedto preserveeigenvalues,and
theeigenvaluesof and arethesame.
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Thepopulareigenvaluesolverforsymmetrictridiagonalmatricesiscalledtheimplicit
method.Itappliesaseriesoforthogonaltransformations toa
tridiagonalmatrix whichconvergestoadiagonalmatrix .Furthermore, hasthesameeigenvaluesas whicharethediagonalelementsof .In
addition,theproductoftheorthogonaltransformations
isamatrixwhosecolumnsaretheeigenvectorsof .Themethodiscalled because
ineachiterationthe factorizationiscomputed.TheLAPACKroutineimplementingtheimplicit algorithmontridiagonalsymmetricmatricesiscalled
DSTEQR.

QRAlgorithm.ThepseudocodefortheQRmethodis:
1.i=0
2.

3.repeat
4.Factor

5.
6.i=i+1
7.untilconvergence
ProofTheQRMethodTheQRMethod

ComputerProgramsTheQRMethodTheQRMethod
MathematicaSubroutine(QRmethod).Toreducethe

realtridiagonalmatrix todiagonalform.

Example3.ApplytheQRmethodtotransformthetridiagonalmatrix

intodiagonalmatrixDthathasthesameeigenvalues.

Solution3.

ReductiontoHessenbergForm
WeneedtofindtheHessenbergform.Supposethat isasymmetric

Constructthesequence

matrix.Startwith

for

ofHouseholdermatrices,sothat
,

where haszerosbelowthesubdiagonalincolumns
method.

.Then

isaHessenbergmatrixthatissimilarto .ThisprocessiscalledHouseholders

Wearemostinterestedinfindingeigenvaluesofsymmetricmatrices.IfAissymmetric,thentheaboveprocesswillconstructasymmetrictridiagonal
matrix.wewillbuildonthistheme.Asmentionedpreviously,theQRiterationwillworkfasterontridiagonalmatrices
ProofTheQRMethodTheQRMethod

ComputerProgramsTheQRMethodTheQRMethod
MathematicaSubroutine(HouseholderreductiontoupperHessenbergForm).Toreducethe
realmatrix toHessenbergformbyusing
Householdertransformations.Thefollowingversionoftheprogramuses"loops"extensivelyandismoretraditionalinprogrammingstructure.Italsocontains
aprintstatementsothatyoucanwatchtheHouseholdertransformationsperformtheir"magic."

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Example4.ApplytheQRmethodandfindtheeigenvaluesofthefollowingmatrix

Solution4.

AccelerationshiftsfortheQRmethod
AsoutlinedaboveQRmethodwillwork,butconvergenceisslow,evenformatricesofsmalldimension.Wecanaddashiftingtechniquethatspeedsupthe
rateofconvergence.Recallthatif isaneigenvalueofA,then
isaneigenvalueofthematrix
.Thisideaisincorporatedinthe
modifiedstep

thenform

where

for

isasequencewhosesumis

thatis,

ProofTheQRMethodTheQRMethod

ComputerProgramsTheQRMethodTheQRMethod
MathematicaSubroutine(QRmethodwithshifts).Toreducethe

http://mathfaculty.fullerton.edu/mathews/n2003/QRMethodMod.html

realtridiagonalmatrix todiagonalform.

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Example5.ApplytheQRmethodwithshiftsandfindtheeigenvaluesofthefollowingmatrix

Solution5.

ApplicationoftheQRFactorizationto"leastsquares"
IsiscommonpracticetousetheA=QRfactorizationforunderdeterminedsystemandgeta"leastsquaressolution."Wewillillustratethemethodforthe
problemoffindinga"leastsquaresparabola."
Anoverdeterminedsystemofequationswillarisewhichdoesnothaveasolution
MX=B
TheQRfactorizationofMisobtained

Multiplicationontheleftby

,andwe"wish"tosolve

producesthesystem

whichwewillbeabletosolveintheform

ThedetailsinExample7willmakeclearwhatishappening.

Example6.Findthe"leastsquaresparabola"throughthesixpoints
UseMathematica'ssubroutineFittofindthesolution.
Solution6.

Example7.Findthe"leastsquaresparabola"throughthesixpoints
.Writedownsixequationsinthreeunknownsthat
we"wish"couldbesolved.Observethatthisisanunderdeterminedsystemandenvisiona"leastsquaressolution."
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UsetheA=QRfactorizationtogeta"leastsquaressolution."
Solution7.

ResearchExperienceforUndergraduates
TheQRMethodTheQRMethodInternethyperlinkstowebsitesandabibliographyofarticles.

DownloadthisMathematicaNotebookTheQRMethodforEigenvalues

ReturntoNumericalMethodsNumericalAnalysis

(c)JohnH.Mathews2004

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