Eigenvalue, eigenvector and eigenspace
Encyclopedia : E : EI : EIG : Eigenvalue, eigenvector and eigenspace
In mathematics, an [eigenvector] of a transformationIn this context, only linear transformations from a vector space to itself are considered. is a non-null vector whose direction is unchanged by that transformation. The factor by which the magnitude is scaled is called the [eigenvalue] of that vector. A pictorial example is provided in Fig. 1. Often, a transformation is completely described by its eigenvalues and eigenvectors. An eigenspace is a set of eigenvectors with a common eigenvalue.
These concepts play a major role in several branches of both pure and applied mathematics — appearing prominently in linear algebra, functional analysis, and even a variety of nonlinear situations.
The German word eigen was first used in this context by Hilbert in 1904 (there was an earlier related usage by Helmholtz). "Eigen" can be translated as "own", "peculiar to", "characteristic" or "individual"—emphasizing how important eigenvalues are to defining the unique nature of a specific transformation. In English mathematical jargon, the closest translation would be "characteristic"; and some older references do use expressions like "characteristic value" and "characteristic vector", or even "Eigenwert", German for eigenvalue. In the past, the standard translation used to be "proper". Today the more distinctive term "eigenvalue" is standard.
- 1 Definitions
- 2 Examples
- 3 Eigenvalue equation
- 4 Spectral theorem
- 5 Eigenvalues and eigenvectors of matrices
- 5.1 Computing eigenvalues and eigenvectors of matrices
- 5.2 Properties
- 5.2.1 Algebraic multiplicity
- 5.2.2 Decomposition theorems for general matrices
- 5.2.3 Some other properties of eigenvalues
- 5.3 Conjugate eigenvector
- 5.4 Generalized eigenvalue problem
- 5.5 Entries from a ring
- 6 Infinite-dimensional spaces
- 7 Applications
- 8 Notes
- 9 References
- 10 External links
Definitions
Transformations of space—such as translation (or shifting the origin), rotation, reflection, stretching, compression, or any combination of these; other transformations could also be listed—may be visualized by the effect they produce on vectors. Vectors can be visualised as arrows pointing from one point to another.
- Eigenvectors of transformations are vectorsSince all linear transformations leave the zero vector unchanged, it is not considered an eigenvector. which are either left unaffected or simply multiplied by a scale factor after the transformation.
- An eigenvector's eigenvalue is the scale factor that it has been multiplied by.
- An eigenspace is a space consisting of all eigenvectors which have the same eigenvalue, along with the zero(null) vector which itself is not an eigenvector.
- The principal eigenvector of a transformation is the eigenvector with the largest corresponding eigenvalue.
- The geometric multiplicity of an eigenvalue is the dimension of the associated eigenspace.
- The spectrum of a transformation on finite dimensional vector spaces is the set of all its eigenvalues.
Examples
As the Earth rotates, every arrow pointing outward from the center of the Earth also rotates, except those arrows that lie on the axis of rotation. Consider the transformation of the Earth after one hour of rotation: An arrow from the center of the Earth to the Geographic South Pole would be an eigenvector of this transformation, but an arrow from the center of the Earth to anywhere on the equator would not be an eigenvector. Since the arrow pointing at the pole is not stretched by the rotation of the Earth, its eigenvalue is 1.Another example is provided by a thin metal sheet expanding uniformly about a fixed point in such a way that the distances from any point of the sheet to the fixed point are doubled. This expansion is a transformation with eigenvalue 2. Every vector from the fixed point to a point on the sheet is an eigenvector, and the eigenspace is the set of all these vectors.
However, three-dimensional geometric space is not the only vector space. For example, consider a stressed rope fixed at both ends, like the vibrating strings of a string instrument (Fig. 2). The distances of atoms of the vibrating rope from their positions when the rope is at rest can be seen as the components of a vector in a space with as many dimensions as there are atoms in the rope.
Assume the rope is a continuous medium. If one considers the transformation of the rope as time passes, its eigenvectors, or eigenfunctions, are its standing waves—the things that, mediated by the surrounding air, humans can experience as the twang of a bow string or the plink of a guitar. The standing waves correspond to particular oscillations of the rope such that the shape of the rope is scaled by a factor (the eigenvalue) as time passes. Each component of the vector associated with the rope is multiplied by this time-dependent factor. The amplitude (eigenvalues) of the standing waves decrease with time if damping is considered. One can then associate a lifetime with the eigenvector, and relate the concept of an eigenvector to the concept of resonance.
Eigenvalue equation
Mathematically, vλ is an eigenvector and λ the corresponding eigenvalue of a transformation T if the equation:- [T(\mathbf_\lambda)=\lambda\,\mathbf_\lambda]
Suppose T is a linear transformation (which means that [T(a\mathbf+b\mathbf)=aT(\mathbf)+bT(\mathbf)] for all scalars a, b, and vectors v, w). Consider a basis in that vector space. Then, T and vλ can be represented relative to that basis by a matrix AT—a two-dimensional array—and respectively a column vector vλ—a one-dimensional vertical array. The eigenvalue equation in its matrix representation is written
- [A_T\,v_\lambda=\lambda\,v_\lambda]
However, it is sometimes unnatural or even impossible to write down the eigenvalue equation in a matrix form. This occurs for instance when the vector space is infinite dimensional, for example, in the case of the rope above. Depending on the nature of the transformation T and the space to which it applies, it can be advantageous to represent the eigenvalue equation as a set of differential equations. If T is a differential operator, the eigenvectors are commonly called eigenfunctions of the differential operator representing T. For example, differentiation itself is a linear transformation since
- [ \displaystyle\frac(af+bg) = a \frac + b \frac ]
Consider differentiation with respect to [t]. Its eigenfunctions h(t) obey the eigenvalue equation:
- [\displaystyle\frac = \lambda h],
The solution to the eigenvalue equation is [g(t)= \exp (\lambda t)], the exponential function; thus that function is an eigenfunction of the differential operator d/dt with the eigenvalue λ. If λ is negative, we call the evolution of g an exponential decay; if it is positive, an exponential growth. The value of λ can be any complex number. The spectrum of d/dt is therefore the whole complex plane. In this example the vector space in which the operator d/dt acts is the space of the differentiable functions of one variable. This space has an infinite dimension (because it is not possible to express every differentiable function as a linear combination of a finite number of basis functions). However, the eigenspace associated with any given eigenvalue λ is one dimensional. It is the set of all functions [g(t)= A \exp (\lambda t)], where A is an arbitrary constant, the initial population at t=0.
Spectral theorem
- For more details on this topic, see spectral theorem.
- [\mathcal(\mathbf)= \lambda_1 (\mathbf_1 \cdot \mathbf) \mathbf_1 + \lambda_2 (\mathbf_2 \cdot \mathbf) \mathbf_2 + \dots ]
If one defines the nth power of a transformation as the result of applying it n times in succession, one can also define polynomials of transformations. A more general version of the theorem is that any polynomial P of [\mathcal] is equal to:
- [P(\mathcal)(\mathbf)= P(\lambda_1) (\mathbf_1 \cdot \mathbf) \mathbf_1 + P(\lambda_2) (\mathbf_2 \cdot \mathbf) \mathbf_2 + \dots ]
Eigenvalues and eigenvectors of matrices
Computing eigenvalues and eigenvectors of matrices
Suppose that we want to compute the eigenvalues of a given matrix. If the matrix is small, we can compute them symbolically using the characteristic polynomial. However, this is often impossible for larger matrices, in which case we must use a numerical method.Symbolic computations
- For more details on this topic, see symbolic computation of matrix eigenvalues.
- Finding eigenvalues
- [\det(A - \lambda I) = 0 \!\ ]
All the eigenvalues of a matrix A can be computed by solving the equation [ p_A(\lambda) = 0 ]. If A is an n×n matrix, then [p_A] has degree n and A can therefore have at most n eigenvalues. Conversely, the fundamental theorem of algebra says that this equation has exactly n roots (zeroes), counted with multiplicity. All real polynomials of odd degree have a real number as a root, so for odd n, every real matrix has at least one real eigenvalue. In the case of a real matrix, for even and odd n, the non-real eigenvalues come in conjugate pairs.
- Finding eigenvectors
- [ (A - \lambda I) v = 0 \!\ ]
- [\begin0 & 1\\ -1 & 0\end]
Numerical computations
- For more details on this topic, see eigenvalue algorithm.
- [\frac
>
], [\frac >
], [\frac >
], ... This sequence will almost always converge to an eigenvector corresponding to the eigenvalue of greatest magnitude. This algorithm is easy, but not very useful by itself. However, popular methods such as the QR algorithm are based on it. Properties
Algebraic multiplicity
The algebraic multiplicity of an eigenvalue λ of A is the order of λ as a zero of the characteristic polynomial of A; in other words, if λ is one root of the polynomial, it is the number of factors (t − λ) in the characteristic polynomial after factorization. An n×n matrix has n eigenvalues, counted according to their algebraic multiplicity, because its characteristic polynomial has degree n.An eigenvalue of algebraic multiplicity 1 is called a "simple eigenvalue".
In an article on matrix theory, a statement like the one below might be encountered:
- "the eigenvalues of a matrix A are 4,4,3,3,3,2,2,1,"
Recall that above we defined the geometric multiplicity of an eigenvector to be the dimension of the associated eigenspace, the nullspace of λI − A. The algebraic multiplicity can also be thought of as a dimension: it is the dimension of the associated generalized eigenspace (1st sense), which is the nullspace of the matrix (λI − A)k for any sufficiently large k. That is, it is the space of generalized eigenvectors (1st sense), where a generalized eigenvector is any vector which eventually becomes 0 if λI − A is applied to it enough times successively. Any eigenvector is a generalized eigenvector, and so each eigenspace is contained in the associated generalized eigenspace. This provides an easy proof that the geometric multiplicity is always less than or equal to the algebraic multiplicity. The first sense should not to be confused with generalized eigenvalue problem as stated below.
For example:
- [ A=\begin 1 & 1 \\ 0 & 1 \end. ]
Generalized eigenvectors can be used to calculate the Jordan normal form of a matrix (see discussion below). The fact that Jordan blocks in general are not diagonal but nilpotent is directly related to the distinction between eigenvectors and generalized eigenvectors.
Decomposition theorems for general matrices
The decomposition theorem is a version of the spectral theorem in the particular case of matrices. This theorem is usually introduced in terms of coordinate transformation. If U is an invertible matrix, it can be seen as a transformation from one coordinate system to another, with the columns of U being the components of the new basis vectors within the old basis set. In this new system the coordinates of the vector [v] are labeled [v']. The latter are obtained from the coordinates v in the original coordinate system by the relation [v'=Uv] and, the other way around, we have [v=U^v']. Applying successively [v'=Uv], [w'=Uw] and [U^U=I], to the relation [Av=w] defining the matrix multiplication provides [A'v'=w'] with [A'=UAU^], the representation of A in the new basis. In this situation, the matrices A and [A'] are said to be similar.
The decomposition theorem states that, if one chooses as columns of [U^] n linearly independent eigenvectors of A, the new matrix [A'=UAU^] is diagonal and its diagonal elements are the eigenvalues of A. If this is possible the matrix A is diagonalizable. An example of non-diagonalizable matrix is given by the matrix A above. There are several generalizations of this decomposition which can cope with the non-diagonalizable case, suited for different purposes:
- the Schur triangular form states that any matrix is unitarily equivalent to an upper triangular one;
- the singular value decomposition, [A=U \Sigma V^*] where [\Sigma] is diagonal with U and V unitary matrices. The diagonal entries of [A=U \Sigma V^*] are nonnegative; they are called the singular values of A. This can be done for non-square matrices as well;
- the Jordan normal form, where [A=X \Lambda X^] where [\Lambda] is not diagonal but block-diagonal. The number and the sizes of the Jordan blocks are dictated by the geometric and algebraic multiplicities of the eigenvalues. The Jordan decomposition is a fundamental result. One might glean from it immediately that a square matrix is described completely by its eigenvalues, including multiplicity, up to similarity. This shows mathematically the important role played by eigenvalues in the study of matrices;
- as an immediate consequence of Jordan decomposition, any matrix A can be written uniquely as A = S + N where S is diagonalizable, N is nilpotent (i.e., such that Nq=0 for some q), and S commutes with N (SN=NS).
Some other properties of eigenvalues
The spectrum is invariant under similarity transformations: the matrices A and P-1AP have the same eigenvalues for any matrix A and any invertible matrix P. The spectrum is also invariant under transposition: the matrices A and AT have the same eigenvalues.Since a linear transformation on finite dimensional spaces is bijective iff it is injective, a matrix is invertible if and only if zero is not an eigenvalue of the matrix.
Some more consequences of the Jordan decomposition are as follows:
- a matrix is diagonalizable if and only if the algebraic and geometric multiplicities coincide for all its eigenvalues. In particular, an n×n matrix which has n different eigenvalues is always diagonalizable;
- the vector space on which the matrix acts can be viewed as a direct sum of its invariant subspaces span by its generalized eigenvectors. Each block on the diagonal corresponds to a subspace in the direct sum. When a block is diagonal, its invariant subspace is an eigenspace. Otherwise it is a generalized eigenspace, defined above;
- Since the trace, or the sum of the elements on the main diagonal of a matrix, is preserved by unitary equivalence, the Jordan normal form tells us that it is equal to the sum of the eigenvalues;
- Similarly, because the eigenvalues of a triangular matrix are the entries on the main diagonal, the determinant equals the product of the eigenvalues (counted according to algebraic multiplicity).
- All eigenvalues of a Hermitian matrix (A = A*) are real. Furthermore, all eigenvalues of a positive-definite matrix (v*Av > 0 for all vectors v) are positive;
- All eigenvalues of a skew-Hermitian matrix (A = −A*) are purely imaginary;
- All eigenvalues of a unitary matrix (A-1 = A*) have absolute value one;
Each matrix can be assigned an operator norm, which depends on the norm of its domain. The operator norm of a square matrix is an upper bound for the moduli of its eigenvalues, and thus also for its spectral radius. This norm is directly related to the power method for calculating the eigenvalue of largest modulus given above. For normal matrices, the operator norm induced by the Euclidean norm is the largest moduli among its eigenvalues.
Conjugate eigenvector
A conjugate eigenvector or coneigenvector is a vector sent after transformation to a scalar multiple of its conjugate, where the scalar is called the conjugate eigenvalue or coneigenvalue of the linear transformation. The coneigenvectors and coneigenvalues represent essentially the same information and meaning as the regular eigenvectors and eigenvalues, but arise when an alternative coordinate system is used. The corresponding equation is- [Av = \lambda v^*.\,]
Generalized eigenvalue problem
A generalized eigenvalue problem (2nd sense) is of the form- [ Av = \lambda B v \quad \quad]
- [\det(A - \lambda B)=0.\, ]
- [ B^Av = \lambda v \quad \quad ]
An example is provided by the molecular orbital application below.
Entries from a ring
In the case of a square matrix A with entries in a ring, λ is called a right eigenvalue if there exists a column vector x such that Ax=λx, or a left eigenvalue if there exists a nonzero row vector y such that yA=yλ.If the ring is commutative, the left eigenvalues are equal to the right eigenvalues and are just called eigenvalues. If not, for instance if the ring is the set of quaternions, they may be different.
Infinite-dimensional spaces
If the vector space is infinite dimensional, the notion of eigenvalues can be generalized to the concept of spectrum. The spectrum is the set of scalars λ for which, [\left(T-\lambda\right)^], is not defined, that is such that [T-\lambda] has no bounded inverse.
Clearly if λ is an eigenvalue of T, λ is in the spectrum of T. In general, the converse is not true. There are operators on Hilbert or Banach spaces which have no eigenvectors at all. This can be seen on the following example. The bilateral shift on the Hilbert space [\ell^2(\mathbf)] (the space of all sequences of scalars [\dots a_, a_0, a_1,a_2,\dots] such that [\dots |a_|^2 + |a_0|^2 + |a_1|^2 + |a_2|^2 +\dots] converge) has no eigenvalue but has spectral values.
In infinite-dimensional spaces, the spectrum of a bounded operator is always nonempty, which is also true for unbounded self adjoint operator. Via its spectral measures, the spectrum of any self adjoint operator, bounded or otherwise, can be decomposed into absolutely continuous, discrete, and singular spectrum parts. The exponential growth or decay provides an example of a continuous spectrum and the vibrating string an example above. The hydrogen atom is an example where both type of spectra appear. The bound states of the hydrogen atom correspond to the discrete part of the spectrum while the ionization processes are described by the continuous part. Fig. 3 exemplifies this concept in the case of the Chlorine atom.
Applications
- Schrödinger equation
Fig. 4. The wavefunctions associated to the bound states of an electron in a hydrogen atom can be seen as the eigenvectors of the hydrogen atom Hamiltonian as well as of the angular momentum operator. They are associated to eigenvalues interpreted as their energies (increasing downward: n=1,2,3,...) and angular momentum (increasing across: s, p, d,...). Here are plotted the square of the absolute value of the wavefunctions. Brighter areas correspond to higher probability density for a position measurement. The center of each figure is the atomic nucleus, a proton.An example of an eigenvalue equation where the transformation [\mathcal] is represented in terms of a differential operator is the time-independent Schrödinger equation in quantum mechanics
- [H\Psi_E = E\Psi_E]
However, in the case we only look for the bound state solutions of the Schrödinger equation, as is usually the case in quantum chemistry, we look for [\Psi_E] within the space of square integrable functions. Since this space is a Hilbert space, with a well-defined scalar product, we can introduce a basis set in which [\Psi_E] and H can be represented as a one-dimensional array and a matrix respectively. This allows us to represent the Schrödinger equation in a matrix form. (Fig. 4 presents the lowest eigenfunctions of the Hydrogen atom Hamiltonian.)
The Dirac notation often used in this context stresses the difference between the vector or state [|\Psi_E\rangle] and its representation, the function [\Psi_E]. In this context one writes the Schrödinger equation
- [H|\Psi_E\rangle = E|\Psi_E\rangle]
- Molecular orbitals
- Factor analysis
Fig. 5. Eigenfaces as examples of eigenvectors- Eigenfaces
- Tensor of inertia
- Stress tensor
- Eigenvalues of a graph
Notes
References
- Roger A. Horn and Charles R. Johnson, Matrix Analysis, Cambridge University Press (1985). ISBN 0-521-30586-1 (hardback), ISBN 0-521-38632-2 (paperback).
- John B. Fraleigh and Raymond A. Beauregard, Linear Algebra (3rd edition), Addison-Wesley Publishing Company (1995). ISBN 0-201-83999-7 (international edition).
- Claude Cohen-Tannoudji, Quantum Mechanics, Wiley (1977). ISBN 0-471-16432-1. (Chapter II. The mathematical tools of quantum mechanics.)
External links
Wikibooks has a manual, textbook or guide to this subject:- [Videos of MIT Linear Algebra Course, spring 2005] - See Lecture Eigenvalues and Eigenvectors
- [MathWorld: Eigenvector]
- [Earliest Known Uses of Some of the Words of Mathematics: E - see eigenvector and related terms]
- [ARPACK] is a collection of FORTRAN subroutines for solving large scale eigenvalue problems
- [Eigenvalue (of a matrix)] on PlanetMath
- [Online calculator for Eigenvalues and Eigenvectors]
- [Online Matrix Calculator] Calculates eigenvalues, eigenvectors and other decompositions of matrices online
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