# Applied linear operators and spectral methods/Lecture 4

## More on spectral decompositions

In the course of the previous lecture we essentially proved the following theorem:

### Theorem:

1) If a ${\displaystyle n\times n}$  matrix ${\displaystyle \mathbf {A} }$  has ${\displaystyle n}$  linearly independent real or complex eigenvectors, the ${\displaystyle \mathbf {A} }$  can be diagonalized. 2) If ${\displaystyle \mathbf {T} }$  is a matrix whose columns are eigenvectors then ${\displaystyle \mathbf {T} \mathbf {A} \mathbf {T} ^{-1}={\boldsymbol {\Lambda }}}$  is the diagonal matrix of eigenvalues.

The factorization ${\displaystyle \mathbf {A} =\mathbf {T} ^{-1}{\boldsymbol {\Lambda }}\mathbf {T} }$  is called the spectral representation of ${\displaystyle \mathbf {A} }$ .

### Application

We can use the spectral representation to solve a system of linear homogeneous ordinary differential equations.

For example, we could wish to solve the system

${\displaystyle {\cfrac {d\mathbf {u} }{dt}}=\mathbf {A} \mathbf {u} ={\begin{bmatrix}-2&1\\1&-2\end{bmatrix}}{\begin{bmatrix}u_{1}\\u_{2}\end{bmatrix}}}$

(More generally ${\displaystyle \mathbf {A} }$  could be a ${\displaystyle n\times n}$  matrix.)

#### Comment:

Higher order ordinary differential equations can be reduced to this form. For example,

${\displaystyle {\cfrac {d^{2}u_{1}}{dt^{2}}}+a~{\cfrac {du_{1}}{dt}}=b~u_{1}}$

Introduce

${\displaystyle u_{2}={\cfrac {du_{1}}{dt}}}$

Then the system of equations is

{\displaystyle {\begin{aligned}{\cfrac {du_{1}}{dt}}&=u_{2}\\{\cfrac {du_{2}}{dt}}&=b~u_{1}-a~u_{2}\end{aligned}}}

or,

${\displaystyle {\cfrac {d\mathbf {u} }{dt}}={\begin{bmatrix}0&1\\b&-a\end{bmatrix}}{\begin{bmatrix}u_{1}\\u_{2}\end{bmatrix}}=\mathbf {A} \mathbf {u} }$

Returning to the original problem, let us find the eigenvalues and eigenvectors of ${\displaystyle \mathbf {A} }$ . The characteristic equation is

${\displaystyle det(\mathbf {A} -\lambda ~\mathbf {I} )=0}$

o we can calculate the eigenvalues as

${\displaystyle (2+\lambda )(2+\lambda )-1=0\quad \implies \quad \lambda ^{2}+4\lambda +3=0\qquad \implies \qquad \lambda _{1}=-1,\qquad \lambda _{2}=-3}$

The eigenvectors are given by

${\displaystyle (\mathbf {A} -\lambda _{1}~\mathbf {I} )\mathbf {n} _{1}=\mathbf {0} ~;~~(\mathbf {A} -\lambda _{2}~\mathbf {I} )\mathbf {n} _{2}=\mathbf {0} }$

or,

${\displaystyle -n_{1}^{1}+n_{2}^{1}=0~;~~n_{1}^{1}-n_{2}^{1}=0~;~~n_{1}^{2}+n_{2}^{2}=0~;~~n_{1}^{2}+n_{2}^{2}=0}$

Possible choices of ${\displaystyle \mathbf {n} _{1}}$  and ${\displaystyle \mathbf {n} _{2}}$  are

${\displaystyle \mathbf {n} _{1}={\begin{bmatrix}1\\1\end{bmatrix}}~;~~\mathbf {n} _{2}={\begin{bmatrix}1\\-1\end{bmatrix}}}$

The matrix ${\displaystyle \mathbf {T} }$  is one whose columd are the eigenvectors of ${\displaystyle \mathbf {A} }$ , i.e.,

${\displaystyle \mathbf {T} ={\begin{bmatrix}1&1\\1&-1\end{bmatrix}}}$

and

${\displaystyle {\boldsymbol {\Lambda }}=\mathbf {T} ^{-1}\mathbf {A} \mathbf {T} ={\begin{bmatrix}-1&0\\0&-3\end{bmatrix}}}$

If ${\displaystyle \mathbf {u} =\mathbf {T} \mathbf {u} ^{'}}$  the system of equations becomes

${\displaystyle {\cfrac {d\mathbf {u} ^{'}}{dt}}=\mathbf {T} ^{-1}\mathbf {A} \mathbf {T} \mathbf {u} ^{'}={\boldsymbol {\Lambda }}~\mathbf {u} ^{'}}$

Expanded out

${\displaystyle {\cfrac {du_{1}^{'}}{dt}}=-u_{1}^{'}~;~~{\cfrac {du_{2}^{'}}{dt}}=-3~u_{2}^{'}}$

The solutions of these equations are

${\displaystyle u_{1}^{'}=C_{1}~e^{-t}~;~~u_{2}^{'}=C_{2}~e^{-3t}}$

Therefore,

${\displaystyle \mathbf {u} =\mathbf {T} ~\mathbf {u} ^{'}={\begin{bmatrix}C_{1}~e^{-t}+C_{2}~e^{-3t}\\C_{1}~e^{-t}-C_{2}~e^{-3t}\end{bmatrix}}}$

This is the solution of the system of ODEs that we seek.

Most "generic" matrices have linearly independent eigenvectors. Generally a matrix will have ${\displaystyle n}$  distinct eigenvalues unless there are symmetries that lead to repeated values.

### Theorem

If ${\displaystyle \mathbf {A} }$  has ${\displaystyle k}$  distinct eigenvalues then it has ${\displaystyle k}$  linearly independent eigenvectors.

Proof:

We prove this by induction.

Let ${\displaystyle \mathbf {n} _{j}}$  be the eigenvector corresponding to the eigenvalue ${\displaystyle \lambda _{j}}$ . Suppose ${\displaystyle \mathbf {n} _{1},\mathbf {n} _{2},\dots ,\mathbf {n} _{k-1}}$  are linearly independent (note that this is true for ${\displaystyle k}$  = 2). The question then becomes: Do there exist ${\displaystyle \alpha _{1},\alpha _{2},\dots ,\alpha _{k}}$  not all zero such that the linear combination

${\displaystyle \alpha _{1}~\mathbf {n} _{1}+\alpha _{2}~\mathbf {n} _{2}+\dots +\alpha _{k}~\mathbf {n} _{k}=0}$

Let us multiply the above by ${\displaystyle (\mathbf {A} -\lambda _{k}~\mathbf {I} )}$ . Then, since ${\displaystyle \mathbf {A} ~\mathbf {n} _{i}=\lambda _{i}~\mathbf {n} _{i}}$ , we have

${\displaystyle \alpha _{1}~(\lambda _{1}-\lambda _{k})~\mathbf {n} _{1}+\alpha _{2}~(\lambda _{2}-\lambda _{k})~\mathbf {n} _{2}+\dots +\alpha _{k-1}~(\lambda _{k-1}-\lambda _{k})~\mathbf {n} _{k-1}+\alpha _{k}~(\lambda _{k}-\lambda _{k})~\mathbf {n} _{k}=\mathbf {0} }$

Since ${\displaystyle \lambda _{k}}$  is arbitrary, the above is true only when

${\displaystyle \alpha _{1}=\alpha _{2}=\dots =\alpha _{k-1}=0}$

In thast case we must have

${\displaystyle \alpha _{k}~\mathbf {n} _{k}=\mathbf {0} \quad \implies \quad \alpha _{k}=0}$

Therefore ${\displaystyle \mathbf {n} _{1},\mathbf {n} _{2},\dots ,\mathbf {n} _{k}}$  are linearly independent. ${\displaystyle \qquad \square }$

Another important class of matrices which are diagonalizable are those which are self-adjoint.

### Theorem

If ${\displaystyle {\boldsymbol {A}}}$  is self-adjoint the following statements are true

1. ${\displaystyle \langle {\boldsymbol {A}}\mathbf {x} ,\mathbf {x} \rangle }$  is real for all ${\displaystyle \mathbf {x} }$ .
2. All eigenvalues are real.
3. Eigenvectors of distinct eigenvalues are orthogonal.
4. There is an orthonormal basis formed by the eigenvectors.
5. The matrix ${\displaystyle {\boldsymbol {A}}}$  can be diagonalized (this is a consequence of the previous statement.)

Proof

1) Because the matrix is self-adjoint we have

${\displaystyle \langle {\boldsymbol {A}}\mathbf {x} ,\mathbf {x} \rangle =\langle \mathbf {x} ,{\boldsymbol {A}}\mathbf {x} \rangle }$

From the property of the inner product we have

${\displaystyle \langle \mathbf {x} ,{\boldsymbol {A}}\mathbf {x} \rangle ={\overline {\langle {\boldsymbol {A}}\mathbf {x} ,\mathbf {x} \rangle }}}$

Therefore,

${\displaystyle \langle {\boldsymbol {A}}\mathbf {x} ,\mathbf {x} \rangle ={\overline {\langle {\boldsymbol {A}}\mathbf {x} ,\mathbf {x} \rangle }}}$

which implies that ${\displaystyle \langle {\boldsymbol {A}}\mathbf {x} ,\mathbf {x} \rangle }$  is real.

2) Since ${\displaystyle \langle {\boldsymbol {A}}\mathbf {x} ,\mathbf {x} \rangle }$  is real, ${\displaystyle \langle {\boldsymbol {I}}\mathbf {x} ,\mathbf {x} \rangle =\langle \mathbf {x} ,\mathbf {x} \rangle }$  is real. Also, from the eiegnevalue problem, we have

${\displaystyle \langle {\boldsymbol {A}}\mathbf {x} ,\mathbf {x} \rangle =\lambda ~\langle \mathbf {x} ,\mathbf {x} \rangle }$

Therefore, ${\displaystyle \lambda }$  is real.

3) If ${\displaystyle (\lambda ,\mathbf {x} )}$  and ${\displaystyle (\mu ,\mathbf {y} )}$  are two eigenpairs then

${\displaystyle \lambda ~\langle \mathbf {x} ,\mathbf {y} \rangle =\langle {\boldsymbol {A}}\mathbf {x} ,\mathbf {y} \rangle }$

Since the matrix is self-adjoint, we have

${\displaystyle \lambda ~\langle \mathbf {x} ,\mathbf {y} \rangle =\langle \mathbf {x} ,{\boldsymbol {A}}\mathbf {y} \rangle =\mu ~\langle \mathbf {x} ,\mathbf {y} \rangle }$

Therefore, if ${\displaystyle \lambda \neq \mu \neq 0}$ , we must have

${\displaystyle \langle \mathbf {x} ,\mathbf {y} \rangle =0}$

Hence the eigenvectors are orthogonal.

4) This part is a bit more involved. We need to define a manifold first.

#### Linear manifold

A linear manifold (or vector subspace) ${\displaystyle {\mathcal {M}}\in {\mathcal {S}}}$  is a subset of ${\displaystyle {\mathcal {S}}}$  which is closed under scalar multiplication and vector addition.

Examples are a line through the origin of ${\displaystyle n}$ -dimensional space, a plane through the origin, the whole space, the zero vector, etc.

#### Invariant manifold

An invariant manifold ${\displaystyle {\mathcal {M}}}$  for the matrix ${\displaystyle {\boldsymbol {A}}}$  is the linear manifold for which ${\displaystyle \mathbf {x} \in {\mathcal {M}}}$  implies ${\displaystyle {\boldsymbol {A}}\mathbf {x} \in {\mathcal {M}}}$ .

Examples are the null space and range of a matrix ${\displaystyle {\boldsymbol {A}}}$ . For the case of a rotation about an axis through the origin in ${\displaystyle n}$ -space, invaraiant manifolds are the origin, the plane perpendicular to the axis, the whole space, and the axis itself.

Therefore, if ${\displaystyle \mathbf {x} _{1},\mathbf {x} _{2},\dots ,\mathbf {x} _{m}}$  are a basis for ${\displaystyle {\mathcal {M}}}$  and ${\displaystyle \mathbf {x} _{m+1},\dots ,\mathbf {x} _{n}}$  are a basis for ${\displaystyle {\mathcal {M}}_{\perp }}$  (the perpendicular component of ${\displaystyle {\mathcal {M}}}$ ) then in this basis ${\displaystyle {\boldsymbol {A}}}$  has the representation

${\displaystyle {\boldsymbol {A}}={\begin{bmatrix}x&x&|&x&x\\x&x&|&x&x\\-&-&-&-&-\\0&0&|&x&x\\0&0&|&x&x\end{bmatrix}}}$

We need a matrix of this form for it to be in an invariant manifold for ${\displaystyle {\boldsymbol {A}}}$ .

Note that if ${\displaystyle {\mathcal {M}}}$  is an invariant manifold of ${\displaystyle {\boldsymbol {A}}}$  it does not follow that ${\displaystyle {\mathcal {M}}_{\perp }}$  is also an invariant manifold.

Now, if ${\displaystyle {\boldsymbol {A}}}$  is self adjoint then the entries in the off-diagonal spots must be zero too. In that case, ${\displaystyle {\boldsymbol {A}}}$  is block diagonal in this basis.

Getting back to part (4), we know that there exists at least one eigenpair (${\displaystyle \lambda _{1},\mathbf {x} _{1}}$ ) (this is true for any matrix). We now use induction. Suppose that we have found (${\displaystyle n-1}$ ) mutually orthogonal eigenvectors ${\displaystyle \mathbf {x} _{i}}$  with ${\displaystyle {\boldsymbol {A}}\mathbf {x} _{i}=\lambda _{i}\mathbf {x} _{i}}$  and ${\displaystyle \lambda _{i}}$  are real, ${\displaystyle i=1,\dots ,k-1}$ . Note that the ${\displaystyle \mathbf {x} _{i}}$ s are invariant manifolds of ${\displaystyle {\boldsymbol {A}}}$  as is the space spanned by the ${\displaystyle \mathbf {x} _{i}}$ s and so is the manifold perpendicular to these vectors).

We form the linear manifold

${\displaystyle {\mathcal {M}}_{k}=\{\mathbf {x} |\langle \mathbf {x} ,\mathbf {x} _{j}\rangle =0~~j=1,2,\dots ,k-1\}}$

This is the orthogonal component of the ${\displaystyle k-1}$  eigenvectors ${\displaystyle \mathbf {x} _{1},\mathbf {x} _{2},\dots ,\mathbf {x} _{k-1}}$  If ${\displaystyle \mathbf {x} \in {\mathcal {M}}_{k}}$  then

${\displaystyle \langle \mathbf {x} ,\mathbf {x} _{j}\rangle =0\quad {\text{and}}\quad \langle {\boldsymbol {A}}\mathbf {x} ,\mathbf {x} _{j}\rangle =\langle \mathbf {x} ,{\boldsymbol {A}}\mathbf {x} _{j}\rangle =\lambda _{j}\langle \mathbf {x} ,\mathbf {x} _{j}\rangle =0}$

Therefore ${\displaystyle {\boldsymbol {A}}\mathbf {x} \in {\mathcal {M}}_{k}}$  which means that ${\displaystyle {\mathcal {M}}_{k}}$  is invariant.

Hence ${\displaystyle {\mathcal {M}}_{k}}$  contains at least one eigenvector ${\displaystyle \mathbf {x} _{k}}$  with real eigenvalue ${\displaystyle \lambda _{k}}$ . We can repeat the procedure to get a diagonal matrix in the lower block of the block diagonal representation of ${\displaystyle {\boldsymbol {A}}}$ . We then get ${\displaystyle n}$  distinct eigenvectors and so ${\displaystyle {\boldsymbol {A}}}$  can be diagonalized. This implies that the eigenvectors form an orthonormal basis.

5) This follows from the previous result because each eigenvector can be normalized so that ${\displaystyle \langle \mathbf {x} _{i},\mathbf {x} _{j}\rangle =\delta _{ij}}$ .

We will explore some more of these ideas in the next lecture.

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