Monday, September 26, 2016

linear algebra - Generalized eigenvalue problem of Hermitian matrix (exist complex eigenvalues)

Let A,BCn×n be Hermitian and invertible. Show that exists eigenvalues λ which satisfy Av=λBv are not real.



My solution and question:



From the property of Hermitian we know that all eigenvalues of Hermitian matrix are real. (Omit the proof)



Then xCn we have xHAx=xHPHDPx=(Px)HD(Px)=yHDy=λ1|y1|2++λn|yn|2 which is a real number, where D is diagonal matrix and the second inequality is derived form eigendecomposition.



Back to the question, Av=λBvvHAv=λvHBv.




Since A and B are Hermitian, the quadratic form should real. Therefore, the λ=vHAvvHBv is real.



Is the original problem wrong? Could anyone help me out? Thanks in advance!

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