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If You Find Any Errors, Please Let Your Instructor Know ASAP

This document provides solutions to 5 problems about properties of matrices. Problem 1 proves that if a matrix A is skew-Hermitian, then all its eigenvalues are pure imaginary. Problem 2 shows that if a matrix is Hermitian or skew-Hermitian, its right eigenvectors are also left eigenvectors. Problem 3 constructs the square root of a positive semidefinite matrix. Problem 4 derives an expression for the maximum eigenvalue of a positive semidefinite matrix. Problem 5 analyzes an iterative algorithm that converges to the eigenvector of the largest eigenvalue of a positive definite matrix.

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Paresh Kumar Sahoo
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35 views

If You Find Any Errors, Please Let Your Instructor Know ASAP

This document provides solutions to 5 problems about properties of matrices. Problem 1 proves that if a matrix A is skew-Hermitian, then all its eigenvalues are pure imaginary. Problem 2 shows that if a matrix is Hermitian or skew-Hermitian, its right eigenvectors are also left eigenvectors. Problem 3 constructs the square root of a positive semidefinite matrix. Problem 4 derives an expression for the maximum eigenvalue of a positive semidefinite matrix. Problem 5 analyzes an iterative algorithm that converges to the eigenvector of the largest eigenvalue of a positive definite matrix.

Uploaded by

Paresh Kumar Sahoo
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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Autumn 2019 Math 104 - HW 7 Solutions

(If you find any errors, please let your instructor know ASAP)

Problem 1 (Chapter 9, Exercise 2). Suppose A is skew-Hermitian, i.e., AH = −A. Prove that all
its eigenvalues are pure imaginary.

Solution. Let B = iA, then B H = −iAH = iA = B and therefore B is Hermitian. Since B has
all real eigenvalues {λ1 , · · · , λn }, all the eigenvalues of A are of the form {−iλ1 , · · · , −iλn }, and
thus all pure imaginary.

Problem 2 (Chapter 9, Exercise 3). If A is an n × n Hermitian matrix with eigenvalue λ and


corresponding right eigenvector x, show that x is also a left eigenvector for λ. Prove the same result
if A is skew-Hermitian.

Solution. Let x be a right eigenvector of A with eigenvalue λ, then by definition

Ax = λx
Taking Hermitian transpose on both sides,

xH AH = λ̄xH

• If A is Hermitian, then AH = A, and all eigenvalues are real, λ̄ = λ, so

xH A = λxH

i.e. x is also a left eigenvector of A with the same eigenvalue λ.

• If A is skew-Hermitian, then AH = −A, and by Problem 9.2, all eigenvalues are purely
imaginary, λ̄ = −λ, so
−xH A = −λxH
i.e. x is also a left eigenvector of A with the same eigenvalue λ.

Problem 3. Suppose A is positive semidefinite. Can you a find a square root of this matrix? In
other words, can you find a matrix B such that B 2 = A? If yes, explain how you would construct it.
If no, explain why no such matrix exists.

Solution. Yes, we can. Notice that A can be written as A = V ΣV > where V is unitary, Σ is
diagonal. The diagonal elements of Σ are all the eigenvalues of A, and therefore are all
√ non-negative.
>
Consider B = V DV where D is a diagonal matrix with diagonal elements Dii = Σii . Then we
have B 2 = V DV > V DV > = A.
Problem 4. Suppose A is positive semidefinite. Show that the maximum eigenvalue of A, denoted
by λmax , is given by the so-called Rayleigh quoient

w> Aw
sup >
w6=0 w w

Solution. Let w0 be an eigenvector of λmax , then we have

w0> Aw0
= λmax .
w0> w0
On the other hand, denote the spectral representation of A by
n
X
λi vi vi> ,
i=1

then we have
Pn Pn
w> Aw i=1 λi khw, vi ik
2
λmax khw, vi ik2
i=1
= ≤ = λmax .
w> w kwk 2 kwk2
Therefore, we have
w> Aw
sup >
= λmax ,
w6=0 w w

as desired.
Problem 5. (a) Consider an n × n positive definite matrix A with a largest eigenvalue greater than
the second largest. Consider the following algorithm: start with a random vector x(0) ∈ Rn such
that kx(0) k2 = 1 for t = 1, 2, 3, · · · recursively define:

x(t) = Ax(t−1) /kAx(t−1) k2 .

What does this algorithm converge to?


Solution. We claim that the algorithm will ‘almost’ coverge to the eigenvector with respect to the
largest eigenvalue.
Consider the spectral representation of A = ni=1 λi vi viT where {v1 , · · · , vn } is an orthonormal
P
basis of A, λ1 > λ2 ≥ · · · ≥ λn are all the eigenvalues. Then we have
n
X
Ax = λi hx, vi ivi .
i=1

Therefore, by applying A and normalizing n times, we have


n
(k) 1 X k (0)
x = λ hx , vi ivi ,
Ck i=1 i

where C is the normalizing constant.


Suppose hx(0) , v1 i = 6 0 (which means the initial vector is not orthogonal to v1 ), we claim that
λk1 hx(0) ,v1 i
| Cn |→ 1.
pPn
Let cik = λki hx(0) , vi i, then we have Ck = 2
i=1 cik . Notice that

c1k λ1 hx(0) , v1 i
| |= | |k | (0) |→∞
cik λi hx , vi i

for all i > 1, as λ1 is the unique largest eigenvector.


Therefore,as k → ∞, if hx(0) , v1 i > 0, x(k) → v1 , if hx(0) , v1 i < 0, x(k) → −v1 . In either case,
the algorithm converges to the eigenvector with respect to the largest eigenvalue.
(The edge case is hx(0) , v1 i = 0, which has probablity 0 if we choose a direction uniformly at
random. In that case, the algorithm will converge to vk or −vk , where k is the smallest integer such
that x is not orthogonal with vk .)

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