Thursday, April 20, 2017

linear algebra - Eigenvalue decomposition of A=IxxT




Let A=IxxT, where xRn and I is the identity matrix of Rn




We know that A is a real symmetric matrix, therefore there exists an eigenvalue decomposition of A such that



A=QTΛQ



Is it possible to find Q, Λ?



IxxT=QTQxQTQxT=QTQ(QTx)T(xTQ)T...


Answer



Consider
Ax=(Ixx)x=(1xx)x


so x itself is an eigenvector with eigenvalue 1xx. In fact, if v is an eigenvector with some eigenvalue α, we have
αv=Av=(Ixx)v=v(xv)x(1α)v=(xv)x.

This means if α1, then v is proportional to x so in fact v is an eigenvector with eigenvalue 1xx. If α=1, then xv=0. Conversely, if vx=0, then v is an eigenvector with eigenvalue 1:
Av=(Ixx)v=v(xv)v=v.


Conclusion: Ixx has eigenvalues 1xx and 1 where 1 has multiplicity n1. The eigenvectors for 1xx are parallel to x and the eigenvectors of 1 are any vector in the space orthogonal to the space spanned by x. So you can take Q=(x|x|r1rn1) where each ri is n×1 and {r1,,rn1} is some orthonormal basis of [span(x)].


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