Friday, November 30, 2018

linear algebra - How to find orthogonal eigenvectors if some of the eigenvalues are the same?



I have an example:
A=(2242584817)
The eigenvalue I found is λ1=λ2=1 and λ3=22.
For λ=1,
(xyz)=(210)y+(401)z
For λ=22,
(xyz)=(1/41/21)z

However, those eigenvectors I found are not orthogonal to each other. The goal is to find an orthogonal matrix P and diagonal matrix Q so that A=PQPT.


Answer



One thing we know is that eigenvectors of a symmetric matrix corresponding to distinct eigenvalues are orthogonal. So, if we find eigenvectors v1,v2,v3 for λ1<λ2<λ3 we are done. On the other hand, we have eigenvalues λ1=λ2=1 and λ3=22, so that there are not 3 distinct eigenvalues and the situation becomes somewhat more complicated.



Suppose we found v1,v2E(A,λ1) which are linearly independent (and hence a basis for the Eigenspace). We know that v1v3 and v2v3. This means v1,v3=v2,v3=0. By bilinearity of the inner product, we get that av1+bv2,v3=0 for all a,bR. The upshot is that the entire eigenspace E(A,λ1) is orthogonal to v3. So, we are free to choose any basis of eigenvectors for E(A,λ1) and proceed from there. Well, just apply Gram-Schmidt to v1,v2. Define
u1=v1v1
u2=v2v2,u1u1v2v2,u1u1.
A quick check shows that these two vectors form an orthonormal basis for E(A,λ1). Then, if we take any nonzero v3E(A,λ3) and set
u3=v3v3
we can see that (u1,u2,u3)is an orthonormal eigenbasis of R3E(λ1,A)E(λ3,A) with respect to A. You've already found the vectors v1,v2,v3. Once you compute u1,u2,u3, the matrix P=[u1,u2,u3] is orthogonal and

A=PT[1000100022]P.


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