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    Eigenvectors and Diagonalization

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    Mouli
    The document discusses eigenvectors and diagonalization of matrices. It defines eigenvalues and eigenvectors, and explains that (1) eigenvectors associated with distinct eigenvalues allow a matrix to be diagonalized through a similarity transformation, and (2) when a matrix has linearly independent right and left eigenvectors corresponding to distinct eigenvalues, it can be diagonalized into a diagonal matrix of its eigenvalues. The diagonalization process involves constructing matrices from the eigenvectors that transform the original matrix into diagonal form.

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    Eigenvectors and Diagonalization

    Uploaded by

    Mouli
    38 views10 pages
    The document discusses eigenvectors and diagonalization of matrices. It defines eigenvalues and eigenvectors, and explains that (1) eigenvectors associated with distinct eigenvalues allow a matrix to be diagonalized through a similarity transformation, and (2) when a matrix has linearly independent right and left eigenvectors corresponding to distinct eigenvalues, it can be diagonalized into a diagonal matrix of its eigenvalues. The diagonalization process involves constructing matrices from the eigenvectors that transform the original matrix into diagonal form.

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    The document discusses eigenvectors and diagonalization of matrices. It defines eigenvalues and eigenvectors, and explains that (1) eigenvectors associated with distinct eigenvalues allow a matrix to be diagonalized through a similarity transformation, and (2) when a matrix has linearly independent right and left eigenvectors corresponding to distinct eigenvalues, it can be diagonalized into a diagonal matrix of its eigenvalues. The diagonalization process involves constructing matrices from the eigenvectors that transform the original matrix into diagonal form.

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    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    38 views10 pages

    Eigenvectors and Diagonalization

    Uploaded by

    Mouli
    The document discusses eigenvectors and diagonalization of matrices. It defines eigenvalues and eigenvectors, and explains that (1) eigenvectors associated with distinct eigenvalues allow a matrix to be diagonalized through a similarity transformation, and (2) when a matrix has linearly independent right and left eigenvectors corresponding to distinct eigenvalues, it can be diagonalized into a diagonal matrix of its eigenvalues. The diagonalization process involves constructing matrices from the eigenvectors that transform the original matrix into diagonal form.

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    EE263 Autumn 2015 S. Boyd and S.

    Lall

    Eigenvectors and diagonalization

    I eigenvectors

    I diagonalization

    1
    Eigenvectors and eigenvalues

    λ ∈ C is called an eigenvalue of A ∈ Cn×n if

    X (λ) = det(λI − A) = 0

    equivalent to:

    I there exists nonzero v ∈ Cn s.t. (λI − A)v = 0, i.e.,

    Av = λv

    any such v is called an eigenvector of A (associated with eigenvalue λ)

    I there exists nonzero w ∈ Cn s.t. w T (λI − A) = 0, i.e.,

    wT A = λwT

    any such w is called a left eigenvector of A

    2
    Complex eigenvalues and eigenvectors

    I if v is an eigenvector of A with eigenvalue λ, then so is αv, for any α ∈ C,


    α 6= 0

    I even when A is real, eigenvalue λ and eigenvector v can be complex

    I when A and λ are real, we can always find a real eigenvector v associated
    with λ: if Av = λv, with A ∈ Rn×n , λ ∈ R, and v ∈ Cn , then

    A<v = λ<v, A=v = λ=v

    so <v and =v are real eigenvectors, if they are nonzero


    (and at least one is)

    I conjugate symmetry: if A is real and v ∈ Cn is an eigenvector associated


    with λ ∈ C, then v is an eigenvector associated with λ:
    taking conjugate of Av = λv we get Av = λv, so

    Av = λv

    we’ll assume A is real from now on . . .


    3
    Scaling interpretation

    (assume λ ∈ R for now; we’ll consider λ ∈ C later)


    if v is an eigenvector, effect of A on v is very simple: scaling by λ

    Ax
    v

    Av

    4
    Scaling

    I λ ∈ R, λ > 0: v and Av point in same direction

    I λ ∈ R, λ < 0: v and Av point in opposite directions

    I λ ∈ R, |λ| < 1: Av smaller than v

    I λ ∈ R, |λ| > 1: Av larger than v

    (we’ll see later how this relates to stability of continuous- and discrete-time sys-
    tems. . . )

    5
    Diagonalization

    suppose v1 , . . . , vn is a linearly independent set of eigenvectors of A ∈ Rn×n :

    Avi = λi vi , i = 1, . . . , n

    express as
     
    λ1
    
    A v1 ··· vn
     
    = v1 ···
    
    vn  .. 
    . 
    λn
     
    define T = v1 ··· vn and Λ = diag(λ1 , . . . , λn ), so

    AT = T Λ

    6
    Diagonalization

    T −1 AT = Λ

    I T invertible means v1 , . . . , vn linearly independent

    I similarity transformation by T diagonalizes A

    I existence of invertible T such that

    T −1 AT = Λ = diag(λ1 , . . . , λn )

    is equivalent to existence of a linearly independent set of n eigenvectors

    I we say A is diagonalizable

    I if A is not diagonalizable, it is sometimes called defective

    7
    Not all matrices are diagonalizable

     
    0 1
    example: A =
    0 0

    I characteristic polynomial is X (s) = s2 , so λ = 0 is only eigenvalue

    I eigenvectors satisfy Av = 0v = 0, i.e.


      
    0 1 v1
    =0
    0 0 v2
     
    v1
    I so all eigenvectors have form v = where v1 6= 0
    0

    I thus, A cannot have two independent eigenvectors

    8
    Distinct eigenvalues

    if A has distinct eigenvalues then A is diagonalizable

    I distinct eigenvalues means λi 6= λj for i 6= j

    I the converse is false — A can have repeated eigenvalues but still be diago-
    nalizable

    9
    Diagonalization and left eigenvectors

    rewrite T −1 AT = Λ as T −1 A = ΛT −1 , or
     T  T
    w1 w1
     ..   .. 
     . A = Λ . 
    wnT wnT

    where w1T , . . . , wnT are the rows of T −1


    thus
    wiT A = λi wiT

    i.e., the rows of T −1 are (lin. indep.) left eigenvectors, normalized so that

    wiT vj = δij

    (i.e., left & right eigenvectors chosen this way are dual bases)

    10

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