Mathematics_for_Physicists/chapters/sections/eigenvalue.tex

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\begin{document}
\section{Eigenvalue problems}

\begin{defi}
    Let $A \in \field^{n \times n}$. Then $\lambda \in \field$ is called an eigenvalue of $A$, if
    \[
        \exists v \in \field^n, ~v \ne 0: ~~Av = \lambda v
    \]
    Such a vector $v$ is called eigenvector. We call 
    \[
        \set[Av = \lambda v]{v \in \field^n} =: E_{\lambda}
    \]
    eigenspace belonging to $\lambda$.
\end{defi}

\begin{eg}
    Let 
    \[
        A = \begin{pmatrix}
            2 & 1 & -1 \\
            0 & 1 & 0 \\
            0 & 0 & 1
        \end{pmatrix}
    \]
    Then 
    \begin{align*}
        A \cdot \begin{pmatrix}
            1 \\ 0 \\ 0
        \end{pmatrix}
        &= \begin{pmatrix}
            2 \\ 0 \\ 0
        \end{pmatrix}
        = 2 \cdot \begin{pmatrix}
            1 \\ 0 \\ 0
        \end{pmatrix} \\
        A \cdot \begin{pmatrix}
            1 \\ -1 \\ 0
        \end{pmatrix}
        &= \begin{pmatrix}
            1 \\ -1 \\ 0
        \end{pmatrix}
        = 1 \cdot \begin{pmatrix}
            1 \\ -1 \\ 0
        \end{pmatrix} \\
        A \cdot \begin{pmatrix}
            1 \\ 0 \\ 1
        \end{pmatrix}
        &= \begin{pmatrix}
            1 \\ 0 \\ 1
        \end{pmatrix}
        = 1 \cdot \begin{pmatrix}
            1 \\ 0 \\ 1
        \end{pmatrix}
    \end{align*}
    The eigenspaces are 
    \begin{align*}
        E_2 &= \set[\kappa \in \realn]{\kappa \cdot \begin{pmatrix}1\\0\\0\end{pmatrix}} \\
        E_1 &= \set[\kappa, \rho \in \realn]{\kappa \cdot \begin{pmatrix}1\\-1\\0\end{pmatrix} + \rho \cdot \begin{pmatrix}1\\0\\1\end{pmatrix}} 
             = \spn\set{\begin{pmatrix}1\\-1\\0\end{pmatrix}, \begin{pmatrix}1\\0\\1\end{pmatrix}}
    \end{align*}
\end{eg}

\begin{rem}
    The eigenspace to an eigenvalue $\lambda$ is a linear subspace.
\end{rem}

\begin{rem}
    We want to find $\lambda \in \field$, $v \in \field^n$ such that
    \[
        Av = \lambda v \iff (\underbrace{A - \lambda I}_{\in \field^{n \times n}}) v = 0
    \]
    If $(A - \lambda I)$ is invertible, then $v = 0$. So the interesting case is when $(A - \lambda I)$ not invertible.
    \[
        (A - \lambda I) \text{ not invertible} \iff \det(A - \lambda I) = 0
    \]
    This determinant is called the characteristic polynomial. This polynomial has degree $n$, and the eigenvalues are the roots of that polynomial.
    So let $\lambda$ be an eigenvalue of $A$, then 
    \[
        (A - \lambda I) v = 0
    \]
    is a linear equation system for the components of $v$.
\end{rem}

\begin{eg}
    Let 
    \[
        A = \begin{pmatrix}
            0 & 1 \\ -1 & 0
        \end{pmatrix}
        \in \cmpln^{2 \times 2}
    \]
    The characteristic polynomial is
    \[
        \det(A - \lambda I) = \begin{vmatrix}
            -\lambda & 1 \\ -1 & -\lambda
        \end{vmatrix}
        = \lambda^2 + 1
    \]
    Its roots are 
    \begin{multicols}{2}
        \noindent
        \[ \lambda_1 = i \]
        \[ \lambda_2 = -i \]
    \end{multicols}
    \noindent To find the eigenvector belonging to $\lambda_1$, we declare $v_1 = (x, y) \in \cmpln^2$ and solve the linear equation system 
    \begin{multicols}{2}\noindent
        \[ (A - \lambda_1 I) v_1 = 0 \]
        \begin{align*}
            -ix + 1y &= 0 \\
            -1x - iy &= 0 \\
        \end{align*}
    \end{multicols}
    \noindent It has the solutions $x = -i$ and $y = 1$, so 
    \[
        v_1 = \begin{pmatrix}
            -i \\ 1
        \end{pmatrix}
    \]
    Doing the same for $v_2$ yields 
    \[
        v_2 = \begin{pmatrix}
            i \\ 1
        \end{pmatrix}    
    \]
    It is to be noted that the eigenvectors aren't unique (multiples of eigenvectors are also eigenvectors).
\end{eg}

\begin{eg}
    Let $D$ be a diagonal matrix, with the diagonal entries $\lambda_j$. Then 
    \[
        \det(D - \lambda I) = \begin{vmatrix}
            \lambda_1 - \lambda & & & \\
            & \lambda_2 - \lambda & & \\
            & & \ddots & \\
            & & & \lambda_n - \lambda \\
        \end{vmatrix}
    \]
    The roots (eigenvalues) are $\lambda_1, \lambda_2, \cdots, \lambda_n$, and the eigenvectors are $De_i = \lambda_i e_i$.
\end{eg}

\begin{defi}
    $A \in \field^{n \times n}$ is called diagonalizable if there exists a basis of $\field^n$ that consists of eigenvectors.
\end{defi}

\begin{thm}
    A matrix $A \in \field^{n \times n}$ is diagonalizable, if and only if there exists a diagonal matrix $D$ and a invertible matrix $T$ such that 
    \[
        D = \inv{T}AT
    \]
\end{thm}
\begin{proof}
    Let $e_1, e_2, \cdots, e_n$ be the canonical basis of $\field^n$. Define $TD\inv{T} = A$, and let $\lambda_1, \cdots, \lambda_n$ be the diagonal entries of $D$.
    Then we know that 
    \begin{equation}
        De_i = \lambda_ie_i, ~~\forall i \in \set{1, \cdots n}
    \end{equation}
    Since $T$ is invertible, the $Te_1, \cdots Te_n$ form a basis. 
    \begin{equation}
        A(Te_i) = T(\inv{T}AT)e_i = TDe_i = T\lambda_i e_i = \lambda_i (Te_i)
    \end{equation}
    Therefore $Te_i$ is an eigenvector of $A$ to the eigenvalue $\lambda_i$. Now let $v_1, \cdots, v_n$ be a basis of $\field^n$ and 
    \begin{equation}
        Av_i = \lambda_iv_i, ~~\lambda_1, \cdots, \lambda_n \in \field^n
    \end{equation}
    Write write $v_1, \cdots, v_n$ as the columns of a matrix, therefore 
    \begin{subequations}
        \begin{equation}   
            T = (v_1, v_2, \cdots, v_n)                 
        \end{equation}  
        \begin{equation}
            D = \begin{pmatrix}
                \lambda_1 & & \\
                & \vdots & \\
                & & \lambda_n
            \end{pmatrix}
        \end{equation}
    \end{subequations}
    So $Te_i = v_i$, and thus 
    \begin{equation}
        A(Te_i) = Av_i = \lambda_iv_i = \lambda_i(Te_i) = T\lambda_ie_i = TDe_i
    \end{equation}
    This means that $(AT - TD)e_i = 0$, $\forall i \in \set{1, \cdots, n}$.
    \begin{equation}
        \implies AT = TD
    \end{equation}
    $T$ is invertible (left as an exercise for the reader), and thus 
    \begin{equation}
        \implies \inv{T}AT = D
    \end{equation}
\end{proof}

\begin{eg}
    \begin{enumerate}[(i)]
        \item Let 
        \[
            A = \begin{pmatrix}
                0 & 1 \\ -1 & 0
            \end{pmatrix}
        \]
        The eigenvalues and eigenvectors are 
        \begin{multicols}{2}\noindent
            \[
                A \cdot \begin{pmatrix}
                    -i \\ 1
                \end{pmatrix}
                =
                i \begin{pmatrix}
                    -i \\ 1
                \end{pmatrix}
            \]
            \[
                A \cdot \begin{pmatrix}
                    i \\ 1
                \end{pmatrix}
                =
                -i \begin{pmatrix}
                    i \\ 1
                \end{pmatrix}
            \]
        \end{multicols}
        \noindent Therefore 
        \[
            T = \begin{pmatrix}
                -i & i \\ 1 & 1
            \end{pmatrix}
        \]
        which has the inverse 
        \[
            \inv{T} = \frac{1}{2} \begin{pmatrix}
                i & 1 \\ -i & 1
            \end{pmatrix}
        \]
        Finally,
        \[
            \inv{T}AT = \frac{1}{2}
            \begin{pmatrix}
                i & 1 \\ -i & 1
            \end{pmatrix}
            \begin{pmatrix}
                1 & 1 \\ i & -i
            \end{pmatrix}
            = \frac{1}{2}
            \begin{pmatrix}
                2i & 0 \\ 0 & -2i
            \end{pmatrix}
            =
            \begin{pmatrix}
                i & 0 \\ 0 & -i
            \end{pmatrix}
        \]
        This is a diagonal matrix, therefore $A$ is diagonalizable.

        \item The matrix 
        \[
            \begin{pmatrix}
                0 & 1 \\ 0 & 0
            \end{pmatrix}
        \]
        is not diagonalizable since its only eigenvector is $(1, 0)^T$.
    \end{enumerate}
\end{eg}

\begin{rem}
    For diagonal matrices the following is true 
    \[
        \begin{pmatrix}
            \lambda_1 & & & \\
            & \lambda_2 & & \\
            & & \ddots & \\
            & & & \lambda_3 \\
        \end{pmatrix}^k
        =
        \begin{pmatrix}
            \lambda_1^k & & & \\
            & \lambda_2^k & & \\
            & & \ddots & \\
            & & & \lambda_3^k \\
        \end{pmatrix}
    \]
    If $\inv{T}AT = D$ (where $D$ is a diagonal matrix), then 
    \[
        D^k = (\inv{T}AT)^k = \underbrace{\inv{T}AT \cdot \inv{T}AT \cdot \cdots}_{k \text{ times}} = \inv{T}A^kT
    \]
    \[
        \implies A^k = TD^k\inv{T}
    \]
\end{rem}

\begin{thm}
    Let $A \in \realn^{n \times n}$ be a symmetric matrix, i.e. $A = A^T$. (Or if $A \in \cmpln^{n \times n}$ a self-adjoint matrix $A = A^H$).
    Then $A$ has an orthonormal basis consisting of eigenvectors and is diagonalizable.
\end{thm}
\begin{proof}
    Let $\lambda \in \cmpln$ be an eigenvalue of $A \in \field^{n \times n}$ with eigenvector $v \in \field^n$ and $A = A^H$. Then 
    \begin{equation}
        \lambda\innerproduct{v}{v} = \innerproduct{v}{\lambda v} = \innerproduct{v}{Av} = \innerproduct{A^Hv}{v} = \innerproduct{Av}{v} = \innerproduct{\lambda v}{v} = \conj{\lambda} \innerproduct{v}{v}
    \end{equation}
    Therefore
    \begin{equation}
        (\lambda - \conj{\lambda})\underbrace{\innerproduct{v}{v}}_0 = 0
    \end{equation}
    \begin{equation}
        \implies (\lambda - \conj{\lambda}) = 0 \implies \lambda = \conj{\lambda} \implies \lambda \in \realn
    \end{equation}
    Now let $\lambda, \rho \in \realn$ be eigenvalues to the eigenvectors $v, w$, and require $\lambda \ne \rho$. Then 
    \begin{equation}
        \rho\innerproduct{v}{w} = \innerproduct{v}{Aw} = \innerproduct{Av}{w} = \conj{\lambda}\innerproduct{v}{w} = \lambda\innerproduct{v}{w}
    \end{equation}
    And thus 
    \begin{equation}
        \underbrace{(\rho - \lambda)}_{\ne 0} \underbrace{\innerproduct{v}{w}}_{=0} = 0 \implies v \perp w
    \end{equation}
\end{proof}
\end{document}