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Matrix Methods for Data Analysis & ML · Lecture 6 of 36 · 48:55
Lecture 4: Eigenvalues and Eigenvectors
Study guide
What this lecture covers
This lecture builds up eigenvalues and eigenvectors from scratch: what makes a vector an eigenvector, why they solve powers of a matrix and exponentials so easily, and how they let you write down the general solution of a difference equation or a linear differential equation. Strang also introduces similar matrices, M^-1 A M, and shows why matrices related this way share the same eigenvalues.
The lecture then narrows to symmetric matrices, the S in the course's running letter scheme. Strang works a small example to compute eigenvalues by hand, checks them with the trace and determinant, and derives the diagonalization A = X Λ X^-1, ending with the spectral theorem: a symmetric matrix's eigenvectors are orthogonal and its eigenvalues are real. After watching you should be able to compute eigenvalues and eigenvectors of a small matrix, explain why similar matrices share eigenvalues, and state the spectral theorem.
Key ideas
- Eigenvector definition:
Ax = λxmeans multiplying byAdoesn't change the direction ofx, only scales it byλ. - Powers and functions of A: if
xis an eigenvector ofAwith eigenvalueλ, thenxis also an eigenvector ofA^k(eigenvalueλ^k), ofA^-1(eigenvalue1/λ, whenλ ≠ 0), and of the matrix exponentiale^(At)(eigenvaluee^(λt)). - Solving difference and differential equations: writing any starting vector as a combination of eigenvectors lets you solve
v_(k+1) = A v_kordv/dt = Avimmediately, since each eigenvector component evolves independently. - Similar matrices:
B = M^-1 A Mfor any invertibleMmeansAandBhave the same eigenvalues; this is the basis for how eigenvalues are computed numerically, by repeatedly choosing goodM's. - AB and BA share eigenvalues: even though
AandBare not similar to each other in general,ABandBAare similar (viaM = B), so they share nonzero eigenvalues. - Trace and determinant checks: for a small matrix, the sum of the eigenvalues equals the trace (sum of diagonal entries), and the product of the eigenvalues equals the determinant.
- Diagonalization:
A = X Λ X^-1, whereXhas the eigenvectors as columns andΛis diagonal with the eigenvalues; for a symmetric matrix this becomesS = Q Λ Q^TwithQorthogonal, the spectral theorem.
Walkthrough
What eigenvectors are good for (1:03)
Strang defines eigenvectors and eigenvalues for a general square matrix A, then shows that an eigenvector of A is automatically an eigenvector of A^2, A^k, A^-1 (when λ ≠ 0), and the matrix exponential, with the eigenvalue transformed accordingly (λ^2, λ^k, 1/λ, e^(λt)). Writing a starting vector v as a combination of eigenvectors then gives an immediate solution to a one-step difference equation v_(k+1) = A v_k or a differential equation dv/dt = Av.
Similar matrices and eigenvalue computation (12:21)
Strang defines similar matrices, B = M^-1 A M, and proves they share the same eigenvalues, with eigenvectors related by the same M. He notes this is the mechanism behind how software actually computes eigenvalues: applying a sequence of similarity transformations that gradually push a matrix toward triangular (or, for symmetric matrices, diagonal) form while the eigenvalues stay fixed. He also shows AB and BA share nonzero eigenvalues, while eigenvalues of A + B generally have no simple relation to the eigenvalues of A and B separately.
Computing eigenvalues of an antisymmetric matrix (25:40)
Before turning to symmetric matrices, Strang contrasts them with an antisymmetric 90-degree rotation matrix, showing it has no real eigenvector since rotation can never send a vector to a multiple of itself. Solving det(A - λI) = 0 gives complex eigenvalues i and -i, and Strang checks the result using the trace (sum of eigenvalues equals sum of diagonal entries) and the determinant (product of eigenvalues equals the determinant).
Symmetric matrices, diagonalization, and the spectral theorem (34:55)
Working a 2x2 symmetric example, Strang finds real eigenvalues 1 and -1 with orthogonal eigenvectors, checked again via trace and determinant. He builds the diagonalization A = X Λ X^-1, where X collects the eigenvectors as columns, and shows the same relation squares cleanly: A^2 = X Λ^2 X^-1. For a symmetric matrix, the eigenvector matrix becomes an orthogonal matrix Q, giving S = Q Λ Q^T, the spectral theorem, with real eigenvalues and orthogonal eigenvectors.
Before you watch
- Watch Lecture 3 on orthogonal matrices first, since the spectral theorem at the end of this lecture builds directly on
Q^T Q = I. - Comfort with determinants and solving
det(A - λI) = 0for a 2x2 matrix is assumed for the worked examples.
Check your understanding
- Why is
xalso an eigenvector ofA^2andA^-1whenever it is an eigenvector ofA? - How does writing a vector as a combination of eigenvectors solve
v_(k+1) = A v_k? - Why do
AandB = M^-1 A Malways have the same eigenvalues? - Why does an antisymmetric matrix like a 90-degree rotation have no real eigenvectors?
- What does the spectral theorem
S = Q Λ Q^Tsay about the eigenvalues and eigenvectors of a symmetric matrix?
Vocabulary
- eigenvalue (noun)
- A number that tells how much a matrix stretches or shrinks its eigenvector.
Every eigenvector has its own eigenvalue. - eigenvector (noun)
- A special vector whose direction does not change when multiplied by a matrix.
Ax = lambda x means x is an eigenvector of A. - scale (verb)
- To multiply a vector by a number, making it longer or shorter without changing direction.
The eigenvalue tells you how much A scales the eigenvector. - difference equation (noun)
- An equation that describes how a value changes step by step.
Eigenvectors solve a difference equation like v(k+1) = A v(k). - differential equation (noun)
- An equation involving a rate of change, describing how something evolves continuously over time.
The differential equation dv/dt = Av has a clean solution using eigenvectors. - matrix exponential (noun)
- The result of raising the number e to the power of a matrix, used to solve differential equations.
The matrix exponential e^(At) has the same eigenvectors as A. - similar matrices (noun)
- Two matrices related by B = M inverse A M, which always share the same eigenvalues.
Similar matrices are the basis for how software computes eigenvalues. - invertible (adjective)
- Describes a matrix that has an inverse, so its effect can be undone.
M must be invertible for the similarity transform to make sense. - antisymmetric (adjective)
- Describes a matrix that becomes its own negative when rows and columns are swapped.
A 90-degree rotation matrix is antisymmetric. - complex eigenvalue (noun)
- An eigenvalue that involves the imaginary number i, not just real numbers.
The rotation matrix has complex eigenvalues i and -i. - trace (noun)
- The sum of the diagonal entries of a matrix.
The trace equals the sum of all the eigenvalues. - diagonalization (noun)
- Writing a matrix as X times a diagonal matrix times X inverse, using its eigenvectors and eigenvalues.
Diagonalization lets you compute powers of A easily. - diagonal matrix (noun)
- A matrix with numbers only on the main diagonal and zeros everywhere else.
Lambda is a diagonal matrix holding the eigenvalues. - spectral theorem (noun)
- The rule that a symmetric matrix always has real eigenvalues and orthogonal eigenvectors.
The spectral theorem says S = Q Lambda Q transpose. - real number (noun)
- An ordinary number, as opposed to a complex number involving i.
Symmetric matrices always have real eigenvalues. - solvable (adjective)
- Able to be solved or worked out.
The characteristic equation is solvable for small matrices by hand. - square matrix (noun)
- A matrix with the same number of rows and columns.
Eigenvalues are only defined for a square matrix. - worked example (noun)
- A full example solved step by step to show the method.
Strang solves a worked example to find the eigenvalues by hand. - stationary (adjective)
- Not changing over time.
An eigenvector direction stays stationary under repeated multiplication. - eigenspace (noun)
- The set of all eigenvectors sharing the same eigenvalue, plus the zero vector.
A repeated eigenvalue can have a larger eigenspace.
Chapters
- 0:00 Intro
- 0:21 Last time
- 0:48 Eigenvectors
- 5:26 Special cases
- 12:20 Similar matrices
- 15:17 Good choices of M
- 20:17 Similar Eigenvalues
- 24:11 Different Eigenvalues
- 25:21 Key Facts
- 26:11 Antisymmetric Matrix
- 31:59 Checks
From the YouTube description
MIT 18.065 Matrix Methods in Data Analysis, Signal Processing, and Machine Learning, Spring 2018
Instructor: Gilbert Strang
View the complete course: https://ocw.mit.edu/18-065S18
YouTube Playlist: https://www.youtube.com/playlist?list=PLUl4u3cNGP63oMNUHXqIUcrkS2PivhN3k
Professor Strang begins this lecture talking about eigenvectors and eigenvalues and why they are useful. Then he moves to a discussion of symmetric matrices, in particular, positive definite matrices.
License: Creative Commons BY-NC-SA
More information at https://ocw.mit.edu/terms
More courses at https://ocw.mit.edu
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