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Matrix Functions Via Jordan Canonical

This document discusses matrix functions via the Jordan canonical form. It defines matrix functions and shows that if a function f is defined on the spectrum of a matrix A, then the matrix function f(A) can be computed by applying f to the Jordan blocks of A in its Jordan canonical form. It also presents the Lagrange-Hermite formula, which expresses f(A) as a polynomial function of A when f is defined on the spectrum of A.

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Shwet Goyal
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73 views

Matrix Functions Via Jordan Canonical

This document discusses matrix functions via the Jordan canonical form. It defines matrix functions and shows that if a function f is defined on the spectrum of a matrix A, then the matrix function f(A) can be computed by applying f to the Jordan blocks of A in its Jordan canonical form. It also presents the Lagrange-Hermite formula, which expresses f(A) as a polynomial function of A when f is defined on the spectrum of A.

Uploaded by

Shwet Goyal
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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MA614 – Applied Linear Algebra

Matrix Functions Via Jordan Canonical Form


Dr. Sairam Kaliraj
It is well known that any n x n matrix A with complex entries can be written in the Jordan
Canonical Form
Z−1 AZ = J = diag(J1 , J2 , . . . , Jp),
where

where Z is nonsingular and m1 + m2 + · · · + mp = n. The Jordan matrix J is unique up to the


ordering of the blocks Ji , but the transforming matrix Z is not unique.

Denote by λ1 , . . . , λs the distinct eigenvalues of A and let mi be the order of the largest
Jordan block in which λi appears, which is called the index of λi.

Definition 1: The function f is said to be defined on the spectrum of A, if the values


f( k) (λi ), for k = 0, 1, . . . mi − 1, and i = 1, 2, ... s
exist. These are called the values of the function f on the spectrum of A.

Here f( k) (λi ) denotes the kth derivative of f evaluated at the point λi.
Matrix Function via Jordan canonical form

Theorem 1: Let f be defined on the spectrum of A ∈ Cn×n and let A have the Jordan canonical
form

Z−1 AZ = J = diag(J1 , J2 , . . . , Jp)

as given in the previous slide. Then

Where

Remark: The lower diagonal entries in f(Jk ) are 0s only.


We consider the above formula as a definition for f(A), when f is defined on the spectrum of A.
In fact, it was derived from the way we have defined Matrix Functions for functions with
Taylor series expansion!

For the sake of motivation, I shall explain that in a casual way: Let Jk = λk I + Nk with Nk is a
mk x mk matrix.

In general, powering Nk causes the superdiagonal of 1s to move a diagonal at a time towards


the top right-hand corner, until at the mkth power it disappears. Since f is defined on the
spectrum of A, we consider the Taylor series of f with respect to the point λk.

Here we replace t by Jk
and λk by λk I, so that
(t – λk) will be replaced
by Nk .

since all powers of Nk from the mkth onwards are zero.


Remark:The above definition of matrix function coincides with the original matrices such as
An, A1/m (whenever it can be defined), when n, m are integers.

From the above discussions, it is natural to ask the following question: When f is defined on the
Spectrum of A, does there exist a polynomial p(t) such that p(A) = f(A)?

The answer to this question is affirmative and it is as follows.

Theorem 2: (Lagrange–Hermite formula): Let A be an n x n matrix with s distinct eigenvalues


λ1 , . . . , λs with the index n1, . . . , ns respectively. Suppose that f is defined on the spectrum of
A. Then the polynomial p given explicitly by the Lagrange - Hermite formula

Where has the property that p(A) = f(A).


When all the Eigenvalues of A are distinct

Corollary 3: When all the eigenvalues of A are distinct, the above Lagrange–Hermite formula
reduced to the familiar Lagrange formula

Example: Consider f (t) = √ t and

The eigenvalues are 1 and 4, so s = 2 and n1 = n2 = 1. So we can use Lagrange formula to find
The polynomial p(t) (Here, we use the positive square root of f. If we use the negative square
Root of f, we will get a different polynomial q which will give another square root).
Here p(1) = f (1) = 1 and p(4) = f (4) = 2 and the corresponding Lagrange polynomial is
given by

Verify that (f(A))2 = A.


Remark: We are not restricted to using the same branch of the square root function at
each eigenvalue. For example, with f (1) = 1 and f (4) = −2 we obtain p(t) = 2 − t and

Exercise: By using the other two possible combinations of square root of f, find the other
two possible square roots of A.

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