Chapter 5 (Eigenvalues and Eigenvectors): The characteristic equation (特征方程)

本文为《Linear algebra and its applications》的读书笔记

The Characteristic Equation

• Note that $\lambda$ is the eigenvalue of $A$ if and only if $A-\lambda I$ is not invertible, which is equivalent to $det(A-\lambda I)=0$. The scalar equation $det(A-\lambda I)=0$ is called the characteristic equation of $A$.

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• It can be shown that if $A$ is an $n\times n$ matrix, then $det(A-\lambda I)$ is a polynomial of degree $n$ called the characteristic polynomial (特征多项式) of $A$.
  • Suppose that $det(A-\lambda I)=(\lambda -5{)}^2(\lambda -3)(\lambda -1)$, then the eigenvalue 5 is said to have $multiplicity$ (重数) 2 because $(\lambda -5)$ occurs two times as a factor of the characteristic polynomial. In general, the (algebraic) multiplicity (重数) of an eigenvalue $\lambda$ is its multiplicity as a root of the characteristic equation.
  • Because the characteristic equation for an $n\times n$ matrix involves an $n$th-degree polynomial, the equation has exactly $n$ roots, counting multiplicities, provided complex roots are allowed. Such complex roots, called $complex$ $eigenvalues$ (复特征值), will be discussed in Section 5.5.

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Similarity

相似性

• The next theorem illustrates one use of the characteristic polynomial, and it provides the foundation for several iterative methods that approximate eigenvalues.

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• If $A$ and $B$ are $n\times n$ matrices, then $A$ is similar to $B$ if there is an invertible matrix $P$ such that $P^{-1}AP=B$, or, equivalently, $A=PB{P}^{-1}$. Writing $Q$ for $P^{-1}$, we have $Q^{-1}BQ=A$. So $B$ is also similar to $A$, and we say simply that $A$ and $B$ are similar. Changing $A$ into $P^{-1}AP$ is called a similarity transformation.

“similar to” is an equivalence relation (等价关系)

推论: 相似 $\iff$ 特征方程相同

Proof
$$\begin{gathered} \text{det}(B-\lambda I)=\text{det}(P^{-1}AP-\lambda I)=\text{det}(P^{-1}(A-\lambda I)P) \\ =\text{det}{P}^{-1}\text{det}(A-\lambda I)\text{det}P=\text{det}(A-\lambda I) \end{gathered}$$

推论: 相似 $\iff$ 秩相同

• If $A$ and $B$ are similar, then they have the same rank.

Proof

• [Hint: Refer to 4.6 Exercises 12 and 13]

Application to Dynamical Systems

动力系统

• Eigenvalues and eigenvectors hold the key to the discrete evolution of a dynamical system.

EXAMPLE 5

Let $A=\left[\begin{array}{cc}.95& .03\\ .05& .97\end{array}\right]$. Analyze the long-term behavior of the dynamical system defined by ${\mathbf{x}}_{k+1}=A{\mathbf{x}}_k(k=0,1,2...)$, with ${\mathbf{x}}_0=\left[\begin{array}{c}.6\\ .4\end{array}\right]$.

SOLUTION

• The first step is to find the eigenvalues of $A$ and a basis for each eigenspace.
  It is readily checked that eigenvectors corresponding to $\lambda =1$ and $\lambda =.92$ are multiples of
  respectively.
• The next step is to write the given ${\mathbf{x}}_0$ in terms of ${\mathbf{v}}_1$ and ${\mathbf{v}}_2$. This can be done because { v 1 , v 2 } \{\boldsymbol v_1,\boldsymbol v_2\} {v1​,v2​} is obviously a basis for ${\mathbb{R}}^2$.
  Because ${\mathbf{v}}_1$ and ${\mathbf{v}}_2$ in (3) are eigenvectors of $A$, we easily compute ${\mathbf{x}}_k$:
  As $k\to \infty ,(.92{)}^k$ tends to zero and ${\mathbf{x}}_k$ tends to $\left[\begin{array}{c}.375\\ .625\end{array}\right]=.125{\mathbf{v}}_1$.

QR algorithm

• A widely used method for estimating eigenvalues of a general matrix $A$ is the $QRalgorithm$. Under suitable conditions, this algorithm produces a sequence of matrices, all similar to $A$, that become almost upper triangular, with diagonal entries that approach the eigenvalues of $A$.
• The main idea is to factor $A$ (or another matrix similar to $A$) in the form $A=Q_1{R}_1$, where $Q_1^T=Q_1^{-1}$ and $R_1$ is upper triangular. The factors are interchanged to form $A_1=R_1{Q}_1$, which is again factored as $A_1=Q_2{R}_2$; then to form $A_2=R_2{Q}_2$, and so on. The similarity of $A,A_1,A_2,...$ can be easily shown.