| 1. | Systems of linear equations |
| 2. | Vector spaces |
| 3. | Linear transformations and operators |
| 4. | Determinants |
| 5. | Eigenvalues and eigenvectors |
Eigenvalues and Eigenvectors
Introduction
Assume that \(L:\mathbb R^k\to\mathbb R^k\) is a linear operator. If the vector \(v\in\mathbb R^k\) and the scalar \(\lambda\in\mathbb R\) satisfy \(L v=\lambda v\), then \(v\) is called an eigenvector of \(L\). The scalar \(\lambda\) is called an eigenvalue of \(L\).
Clearly, zero vector is always an eigen-vector. Also, if \(u\) is an eigenvector, then \(\kappa u\) is also an eigenvector for every \(\kappa\in\mathbb R\). Indeed, assuming that \(\lambda\) is the eigenvalue corresponding to \(u\) we have \(A(\kappa u)=\kappa A(u)=\kappa\lambda u=\lambda \kappa u\).
In the previous example, we found eigenvalues as the zeroes of the polynomial \(\varphi_A(\lambda)=\lambda^2-9\). This is called the characteristic polynomial of the matrix \(A\). More precisely,
Let \(A\) be an \(n\times n\) matrix. The polynomial \(\displaystyle \varphi_A(\lambda)=\mbox{det }\left(A-\lambda I\right)\) is called the characteristic polynomial of the matrix \(A\).
The proof of the following theorem is obvious once we have seen the solution of Example 1.
Assume that \(A\) is an \(n\times n\) matrix. A real number \(\eta\) is an eigenvalue of \(A\) if and only if \(\varphi_A(\eta)=0\).
Polynomials with matrices
We will use the eigenvectors and eigenvalues to find closed formulas for \(n\)-th powers of matrices. We will illustrate the method by considering the following example.
Let \(\displaystyle A=\left[\begin{array}{cc} 5&4\\-4&-5\end{array}\right]\). Let us denote by \(a_n\), \(b_n\), \(c_n\), and \(d_n\) the numbers such that \(\displaystyle A^n=\left[\begin{array}{cc} a_n&b_n\\c_n&d_n\end{array}\right]\). Find the formulas for \(a_n\), \(b_n\), \(c_n\), and \(d_n\).
Assume that \(A\) is an \(n\times n\) matrix that has \(n\) linearly independent eigenvectors \(v_1\), \(\dots\), \(v_n\). Assume that \(\lambda_1\), \(\dots\), \(\lambda_n\) are eigenvalues corresponding to \(v_1\), \(\dots\), \(v_n\). Then there exists an invertible \(n\times n\) matrix \(P\) such that \[ P^{-1}AP=\left[\begin{array}{ccccc} \lambda_1&0&0&\cdots&0\\0&\lambda_2&0&\cdots&0\\ 0&0&\lambda_3&\cdots&0\\&&&\vdots&\\ 0&0&0&\dots&\lambda_n\end{array}\right].\]
Assume that \(A\) is an \(n\times n\) matrix and \(\varphi_A\) its characteristic polynomial. Then \(\varphi_A(A)=0\).
Recursive systems of equations
Our next goal is to use the techniques of eigenvalues and eigenvectors to solve the recursive systems of equations.
Assume that \((x_n)_{n=0}^{\infty}\) and \((y_n)_{n=0}^{\infty}\) are two sequence of real numbers defined in the following way: \(x_0=3\), \(y_0=2\), and \begin{eqnarray*} x_{n+1}&=&5x_n+4y_n\\ y_{n+1}&=&-4x_n-5y_n, \end{eqnarray*} for \(n\geq 0\). Determine the formulas for \(x_n\) and \(y_n\).
Using the technique described above we can solve the recursive equations. The following example provides the formula for Fibonacci numbers.
Assume that \((F_n)_{n=0}^{\infty}\) is the sequence defined as \(F_0=0\), \(F_1=1\) and for \(n\geq 0\) the following equation holds: \[F_{n+2}=F_{n+1}+F_n.\] Prove that \[F_n=\frac1{\sqrt 5}\left(\frac{1+\sqrt 5}2\right)^n-\frac1{\sqrt 5}\left(\frac{1-\sqrt 5}2\right)^n.\]
In the next example we treat the recursive system of equations whose matrix does not have a basis of eigenvectors. This is an introductory example to Jordan forms of matrices.
Consider the matrix \(\displaystyle A=\left[\begin{array}{cc}4&1\\-1&2\end{array}\right]\) and the following system of equations: \begin{eqnarray*} x_{n+1}&=&4x_n+y_n\\ y_{n+1}&=&-x_n+2y_n, \end{eqnarray*} with the initial conditions \(x_0=2\), \(y_0=5\).
- (a) Prove that \(A\) has only one eigenvalue \(\lambda\) and determine \(\lambda\).
- (b) Find an eigenvector \(u\) corresponding to \(\lambda\).
- (c) Does there exist an eigenvector \(w\) of \(A\) such that \(u\) and \(w\) are not scalar multiples of each other?
- (d) Find a vector \(v\) such that \(Av=\lambda v+u\). Here \(u\) and \(\lambda\) are the eigenvector and the eigenvalue from the previous parts of the problem.
- (e) Determine the matrix \(A^n\).
- (f) Find the closed formulas for \(x_n\) and \(y_n\).
Remark. The vectors \(u\) and \(v\) from previous example form a basis called Jordan basis for the matrix \(A\).
Practice problems
Which of the following statements are true?
- (S1) Every \(2\times 2\) matrix \(A\) has an eigenvector.
- (S2) If \(A\) and \(B\) are two \(n\times n\) matrices such that \(AB=BA\), and if \(u\) is an eigenvector of \(B\), then \(Au\) is an eigenvector of \(B\) as well.
- (S3) If \(u\) and \(v\) are eigenvectors of a \(2\times 2\) matrix \(A\), then \(u-v\) is also an eigenvector of \(A\).