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Eigen Decomposition

序言:對於對稱矩陣 A,可以運用 Eigen Decomposition 分解成 UDUT



1. For A with shape (n, n): exist n complex eigenvalues and eigenvectors such that Au=λu

Au=λu(AλI)u=0AλI not invertible
det(AλI)=0  (一元n次聯立式)
λ有n根

2. For symmetric A, given vectors corresponding to distinct eigenvalues are orthogonal.

sol. Au1=λ1u1 and Au2=λ2u2,λ1λ2
λ1u1Tu2=(λ1u1)Tu2=(Au1)Tu2=u1TAu2=u1Tλ2u2=λ2u1Tu2u1Tu2=0

3. For symmetric A (and A is real), eigenvalues are real.

sol. Ax=λxA¯x=λ¯x 
(since¯(a+bi)(c+di)=¯(acbd)+(ad+bc)i=(abi)(cdi))
¯xT1×nAn×nxn×1xTA¯x=(λ¯λ)¯xTxλ=¯λ and λ is real.

For symmetric A, 
Au1=λ1u1;Au2=λ2u2... (all ui can be set to have length =1 an advance)
AU=UD;A=UDU1
又:UTU=I since 2. UT=U1A=UDUT

which satisties:
1. columns in U are orthogonal to each other
2.  values in D are real

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