La 6

18.03 LA.
6: Diagonalization and Orthogonal Matrices
[1] Diagonal factorization

[2] Solving systems of first order differential equations
[3] Symmetric and Orthonormal Matrices
[1] Diagonal factorization

Recall: if Ax = λx, then the system ẏ = Ay has a general solution of the
form
y = c1 eλ1 t x1 + c2 eλ2 t x2 ,
where the λi are eigenvalues with corresponding eigenvectors xi .
I’m never going to see eigenvectors without putting them into a matrix.
And I’m never going to see eigenvalues without putting them into a matrix.
Let’s look at an example from last class.

5 2 1 1
A= . We found that this had eigenvectors and .
2 5 1 −1
I’m going to form a matrix out of these eigenvectors called the eigenvector
matrix S:
1 1
S=
1 −1
Then lets look at what happens when we multiply AS, and see that we
can factor this into S and a diagonal matrix Λ:

5 2 1 1 7 3 1 1 7 0
= =
2 5 1 −1 7 −3 1 −1 0 3
A S S Λ
We call matrix Λ with eigenvalues λ on the diagonal the eigenvalue matrix.

So we see that AS = SΛ, but we can multiply both sides on the right by
S and we get a factorization A = SΛS −1 . We’ve factored A into 3 pieces.
−1
1
Properties of Diagonalization
• A2 = SΛS −1 SΛS −1 = SΛ2 S −1

• A−1 = (SΛS −1 )−1 = (S −1 )−1 Λ−1 S −1 = SΛ−1 S −1
Diagonal matrices are easy to square and invert because you simply square
or invert the elements along the diagonal!
[2] Solving systems of first order differential

equations
The entire reason we are finding eigenvectors is to solve differential equations.
Let’s express our solution to the differential equation in terms of S and Λ:

eλ1 t 0 c1
y = x 1 x2
0 eλ2 t c2
S eΛt c
What determines c? Suppose we have an initial condition y(0). Plugging

this into our vector equation above we can solve for c:
y(0) = SIc
−1
S y(0) = c
The first line simply expresses our initial condition as a linear combination
of the eigenvectors, y(0) = c1 x1 + c2 x2 . The second equation just multiplies
the first by S −1 on both sides to solve for c in terms of y(0) and S −1 , which
we know, or can compute from what we know.
Steps for solving a differential equation
Step 0. Find λi and xi .
2
Step 1. Use the initial condition to compute the parameters:
c = S −1 y(0)
Step 2. Multiply c by eΛt and S:
y = SeΛt S −1 y(0).
[3] Symmetric and Orthonormal Matrices

In our example, we saw that A was symmetric (A = AT ) implied that the
eigenvectors were perpendicular, or orthogonal. Perpendicular and orthogo-
nal are two words that mean the same thing.
Now, the eigenvectors we chose

1 1
and
1 −1
√
had length 2. If we make them unit length, we can choose eigenvectors
that are both orthogonal and unit length. This is called orthonormal.
Question: Are the unit length vectors also eigenvectors?
√ √
1/√2 1/√2
and
1/ 2 −1/ 2
Yes! If Ax = λx, then

x x
A =λ .
||x|| ||x||
It turns out that finding the inverse of a matrix whose columns are or-
thonormal is extremely easy! All you have to do is take the transpose!
3
Claim
If S has orthonormal columns, then S −1 = S T .
Example

cos(θ) − sin(θ) cos(θ) sin(θ) 1 0
=
sin(θ) cos(θ) − sin(θ) cos(θ) 0 1
S ST = I
If the inverse exists, it is unique, so S T must be the inverse!

If we set θ = π/4 we get

1 1 −1
√ ,
2 1 1
but what we found was
1 1 1
√ .
2 1 −1
Fortunately we can multiply the second column by negative 1, and it is still
and eigenvector. So in the 2 by 2 case, we can always choose the eigenvectors
of a symmetric matrix so that the eigenvector matrix is not only orthonormal,
but also so that it is a rotation matrix!
In general, a set of vectors x1 , . . . , xn is said to be orthonormal if the dot
product of any vector with itself is 1:
xi · xi = xTi xi = 1,
and the dot product of any two vectors that are not equal is zero:
xi · xj = xTi xj = 0,
when i 6= j.
This tells us that the matrix product:
4
     T   
− xT1 − | | | x1 x1 xT1 x2 xT1 x3 1 0 0
− xT2 − x1 x2 x3  = xT2 x1 xT2 x2 xT2 x3  = 0 1 0
− xT3 − | | | xT3 x1 xT3 x1 xT3 x3 0 0 1
ST S =I
Example
We’ve seen that 2 by 2 orthonormal eigenvector matrices can be chosen to

be rotation matrices.
Let’s look at a 3 by 3 rotation matrix:
 
2 2 −1
1
S =  −1 2 2 
3
2 −1 2
As an exercise, test that all vector dot products are zero if the vectors are
not equal, and are one if it is a dot product with itself. This is a particularly
nice matrix because there are no square roots! And this is also a rotation
matrix! But it is a rotation is 3 dimensions.
Find a symmetric matrix A whose eigenvector matrix is S.
All we have to do is choose any Λ with real entries along the diagonal,
and then A = SΛS T is symmetric!
Recall that (AB)T = B T AT . We can use this to check that this A is in
fact symmetric:
AT = (SΛS T )T
= S T T ΛT S T
= SΛS T
This works because transposing a matrix twice returns the original ma-
trix, and transposing a diagonal matrix does nothing!
In physics and engineering this is called the principal axis theorem. In
math, this is the spectral theorem.
5
Why is it called the principal axis theorem?
An ellipsoid whose principal axis are along the standard x, y, and z axes
can be written as the equation ax2 + by 2 + cz 2 = 1, which in matrix form is
  
a 0 0 x
x y z 0 b 0 y  = 1
0 0 c z
However, what you consider a general ellipsoid, the 3 principal direction

can be pointing in any direction. They are orthogonal direction though! And
this means that we can get back to the standard basis elements by applying
a rotation matrix S whose columns are orthonormal. Thus our equation for
a general ellipsoid is:
  T     
x a 0 0 x
S y  0 b 0  S y  = 1

z 0 0 c z
    
a 0 0 x
x y z S T  0

b 0 S  y  = 1
0 0 c z
6
M.I.T. 18.03 Ordinary Differential
Equations
18.03 Extra Notes and Exercises
c Haynes Miller, David Jerison, Jennifer French and M.I.T., 2013

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18.03 LA.

6: Diagonalization and Orthogonal Matrices

[1] Diagonal factorization

[1] Diagonal factorization

We call matrix Λ with eigenvalues λ on the diagonal the eigenvalue matrix.

• A2 = SΛS −1 SΛS −1 = SΛ2 S −1

[2] Solving systems of first order differential

What determines c? Suppose we have an initial condition y(0). Plugging

Steps for solving a differential equation

Step 0. Find λi and xi .

Step 2. Multiply c by eΛt and S:

[3] Symmetric and Orthonormal Matrices

Yes! If Ax = λx, then

If S has orthonormal columns, then S −1 = S T .

If the inverse exists, it is unique, so S T must be the inverse!

We’ve seen that 2 by 2 orthonormal eigenvector matrices can be chosen to

However, what you consider a general ellipsoid, the 3 principal direction

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