Eigendecomposition of a matrix


In linear algebra, eigendecomposition or sometimes spectral decomposition is the factorization of a matrix into a canonical form, whereby the matrix is represented in terms of its eigenvalues and eigenvectors. Only diagonalizable matrices can be factorized in this way.

Fundamental theory of matrix eigenvectors and eigenvalues

A vector of dimension is an eigenvector of a square matrix if it satisfies the linear equation
where is a scalar, termed the eigenvalue corresponding to. That is, the eigenvectors are the vectors that the linear transformation merely elongates or shrinks, and the amount that they elongate/shrink by is the eigenvalue. The [|above] equation is called the eigenvalue equation or the eigenvalue problem.
This yields an equation for the eigenvalues
We call the characteristic polynomial, and the equation, called the characteristic equation, is an th order polynomial equation in the unknown. This equation will have distinct solutions, where. The set of solutions, that is, the eigenvalues, is called the spectrum of.
We can factor as
The integer is termed the algebraic multiplicity of eigenvalue. If the field of scalars is algebraically closed, the algebraic multiplicities sum to :
For each eigenvalue, we have a specific eigenvalue equation
There will be linearly independent solutions to each eigenvalue equation. The linear combinations of the solutions are the eigenvectors associated with the eigenvalue. The integer is termed the geometric multiplicity of. It is important to keep in mind that the algebraic multiplicity and geometric multiplicity may or may not be equal, but we always have. The simplest case is of course when. The total number of linearly independent eigenvectors,, can be calculated by summing the geometric multiplicities
The eigenvectors can be indexed by eigenvalues, using a double index, with being the th eigenvector for the th eigenvalue. The eigenvectors can also be indexed using the simpler notation of a single index, with.

Eigendecomposition of a matrix

Let be a square matrix with linearly independent eigenvectors . Then can be factorized as
where is the square matrix whose th column is the eigenvector of, and is the diagonal matrix whose diagonal elements are the corresponding eigenvalues,. Note that only diagonalizable matrices can be factorized in this way. For example, the defective matrix cannot be diagonalized.
The eigenvectors are usually normalized, but they need not be. A non-normalized set of eigenvectors, can also be used as the columns of. That can be understood by noting that the magnitude of the eigenvectors in gets canceled in the decomposition by the presence of.
The decomposition can be derived from the fundamental property of eigenvectors:

Example

The 2 × 2 real matrix
may be decomposed into a diagonal matrix through multiplication of a non-singular matrix
Then
for some real diagonal matrix.
Multiplying both sides of the equation on the left by :
The above equation can be decomposed into two simultaneous equations:
Factoring out the eigenvalues and :
Letting
this gives us two vector equations:
And can be represented by a single vector equation involving two solutions as eigenvalues:
where represents the two eigenvalues and, and represents the vectors and.
Shifting to the left hand side and factoring out
Since is non-singular, it is essential that is non-zero. Therefore,
Thus
giving us the solutions of the eigenvalues for the matrix as or, and the resulting diagonal matrix from the eigendecomposition of is thus.
Putting the solutions back into the above simultaneous equations
Solving the equations, we have
Thus the matrix required for the eigendecomposition of is
that is:

Matrix inverse via eigendecomposition

If a matrix can be eigendecomposed and if none of its eigenvalues are zero, then is nonsingular and its inverse is given by
If is a symmetric matrix, since is formed from the eigenvectors of it is guaranteed to be an orthogonal matrix, therefore.
Furthermore, because is a diagonal matrix, its inverse is easy to calculate:

Practical implications

When eigendecomposition is used on a matrix of measured, real data, the inverse may be less valid when all eigenvalues are used unmodified in the form above. This is because as eigenvalues become relatively small, their contribution to the inversion is large. Those near zero or at the "noise" of the measurement system will have undue influence and could hamper solutions using the inverse.
Two mitigations have been proposed: truncating small or zero eigenvalues, and extending the lowest reliable eigenvalue to those below it.
The first mitigation method is similar to a sparse sample of the original matrix, removing components that are not considered valuable. However, if the solution or detection process is near the noise level, truncating may remove components that influence the desired solution.
The second mitigation extends the eigenvalue so that lower values have much less influence over inversion, but do still contribute, such that solutions near the noise will still be found.
The reliable eigenvalue can be found by assuming that eigenvalues of extremely similar and low value are a good representation of measurement noise.
If the eigenvalues are rank-sorted by value, then the reliable eigenvalue can be found by minimization of the Laplacian of the sorted eigenvalues:
where the eigenvalues are subscripted with an to denote being sorted. The position of the minimization is the lowest reliable eigenvalue. In measurement systems, the square root of this reliable eigenvalue is the average noise over the components of the system.

Functional calculus

The eigendecomposition allows for much easier computation of power series of matrices. If is given by
then we know that
Because is a diagonal matrix, functions of are very easy to calculate:
The off-diagonal elements of are zero; that is, is also a diagonal matrix. Therefore, calculating reduces to just calculating the function on each of the eigenvalues.
A similar technique works more generally with the holomorphic functional calculus, using
from above. Once again, we find that

Examples

which are examples for the functions.
Furthermore, is the matrix exponential.

Decomposition for special matrices

Normal matrices

A complex-valued square matrix is normal
if and only if it can be decomposed as
where is a unitary matrix and is a diagonal matrix.
The columns u1, …, un of form an orthonormal basis and are eigenvectors of with corresponding eigenvalues λ1, …, λn.
If is further restricted to be a Hermitian matrix, then has only real valued entries. If instead is further restricted to a unitary matrix, then takes all its values on the complex unit circle, that is,.

Real symmetric matrices

As a special case, for every real symmetric matrix, the eigenvalues are real and the eigenvectors can be chosen real and orthonormal. Thus a real symmetric matrix can be decomposed as
where is an orthogonal matrix whose columns are the eigenvectors of, and is a diagonal matrix whose entries are the eigenvalues of.

Useful facts

Useful facts regarding eigenvalues

Useful facts regarding eigenvectors

Numerical computation of eigenvalues

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.
In practice, eigenvalues of large matrices are not computed using the characteristic polynomial. Computing the polynomial becomes expensive in itself, and exact roots of a high-degree polynomial can be difficult to compute and express: the Abel–Ruffini theorem implies that the roots of high-degree polynomials cannot in general be expressed simply using th roots. Therefore, general algorithms to find eigenvectors and eigenvalues are iterative.
Iterative numerical algorithms for approximating roots of polynomials exist, such as Newton's method, but in general it is impractical to compute the characteristic polynomial and then apply these methods. One reason is that small round-off errors in the coefficients of the characteristic polynomial can lead to large errors in the eigenvalues and eigenvectors: the roots are an extremely ill-conditioned function of the coefficients.
A simple and accurate iterative method is the power method: a random vector is chosen and a sequence of unit vectors is computed as
This sequence will almost always converge to an eigenvector corresponding to the eigenvalue of greatest magnitude, provided that has a nonzero component of this eigenvector in the eigenvector basis. This simple algorithm is useful in some practical applications; for example, Google uses it to calculate the page rank of documents in their search engine. Also, the power method is the starting point for many more sophisticated algorithms. For instance, by keeping not just the last vector in the sequence, but instead looking at the span of all the vectors in the sequence, one can get a better approximation for the eigenvector, and this idea is the basis of Arnoldi iteration. Alternatively, the important QR algorithm is also based on a subtle transformation of a power method.

Numerical computation of eigenvectors

Once the eigenvalues are computed, the eigenvectors could be calculated by solving the equation
using Gaussian elimination or any other method for solving matrix equations.
However, in practical large-scale eigenvalue methods, the eigenvectors are usually computed in other ways, as a byproduct of the eigenvalue computation. In power iteration, for example, the eigenvector is actually computed before the eigenvalue. In the QR algorithm for a Hermitian matrix, the orthonormal eigenvectors are obtained as a product of the matrices from the steps in the algorithm. For Hermitian matrices, the Divide-and-conquer eigenvalue algorithm is more efficient than the QR algorithm if both eigenvectors and eigenvalues are desired.

Additional topics

Generalized eigenspaces

Recall that the geometric multiplicity of an eigenvalue can be described as the dimension of the associated eigenspace, the nullspace of. The algebraic multiplicity can also be thought of as a dimension: it is the dimension of the associated generalized eigenspace, which is the nullspace of the matrix for any sufficiently large . That is, it is the space of generalized eigenvectors, where a generalized eigenvector is any vector which eventually becomes 0 if 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.
This usage should not be confused with the generalized eigenvalue problem described below.

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
For example, in coherent electromagnetic scattering theory, the linear transformation represents the action performed by the scattering object, and the eigenvectors represent polarization states of the electromagnetic wave. In optics, the coordinate system is defined from the wave's viewpoint, known as the Forward Scattering Alignment, and gives rise to a regular eigenvalue equation, whereas in radar, the coordinate system is defined from the radar's viewpoint, known as the Back Scattering Alignment, and gives rise to a coneigenvalue equation.

Generalized eigenvalue problem

A generalized eigenvalue problem is the problem of finding a vector that obeys
where and are matrices. If obeys this equation, with some, then we call the generalized eigenvector of and , and is called the generalized eigenvalue of and which corresponds to the generalized eigenvector. The possible values of must obey the following equation
In the case we can find linearly independent vectors so that for every,, where then we define the matrices and such that
Then the following equality holds
And the proof is
And since is invertible, we multiply the equation from the right by its inverse, finishing the proof.
The set of matrices of the form, where is a complex number, is called a pencil; the term matrix pencil can also refer to the pair of matrices.
If is invertible, then the original problem can be written in the form
which is a standard eigenvalue problem. However, in most situations it is preferable not to perform the inversion, but rather to solve the generalized eigenvalue problem as stated originally. This is especially important if and are Hermitian matrices, since in this case is not generally Hermitian and important properties of the solution are no longer apparent.
If and are both symmetric or Hermitian, and is also a positive-definite matrix, the eigenvalues are real and eigenvectors and with distinct eigenvalues are -orthogonal. In this case, eigenvectors can be chosen so that the matrix
defined above satisfies
and there exists a basis of generalized eigenvectors. This case is sometimes called a Hermitian definite pencil or definite pencil.