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Stephen Boyd
Lecture 15
Symmetric matrices, quadratic forms, matrix
norm, and SVD
eigenvectors of symmetric matrices
quadratic forms
inequalities for quadratic forms
positive semidefinite matrices
norm of a matrix
singular value decomposition
151
n
X
i=1
but also
T
v T Av = (Av) v = (v) v =
|vi|2
n
X
i=1
|vi|2
152
n
X
iqiqiT
i=1
153
Interpretations
replacements
A = QQT
x
QT
QT x
QT x
Ax
154
or, geometrically,
rotate by QT
diagonal real scale (dilation) by
rotate back by Q
decomposition
A=
n
X
iqiqiT
i=1
155
example:
1/2
3/2
3/2 1/2
T
1
1
1
0
1
1
1
1
=
0 2
2 1 1
2 1 1
A =
q2q2T x
x
q1
q1q1T x
1q1q1T x
q2
2q2q2T x
Ax
156
kvik = 1
then we have
viT (Avj ) = j viT vj = (Avi)T vj = iviT vj
so (i j )viT vj = 0
for i 6= j, i 6= j , hence viT vj = 0
in this case we can say: eigenvectors are orthogonal
in general case (i not distinct) we must say: eigenvectors can be
chosen to be orthogonal
Symmetric matrices, quadratic forms, matrix norm, and SVD
157
Example: RC circuit
i1
v1
c1
in
vn
resistive circuit
cn
ck v k = ik ,
i = Gv
158
use state xi =
civi, so
x = C 1/2v = C 1/2GC 1/2x
where C
1/2
we conclude:
eigenvalues 1, . . . , n of C 1/2GC 1/2 (hence, C 1G) are real
eigenvectors qi (in xi coordinates) can be chosen orthogonal
eigenvectors in voltage coordinates, si = C 1/2qi, satisfy
C 1Gsi = isi,
sTi Csi = ij
159
Quadratic forms
a function f : Rn R of the form
f (x) = xT Ax =
n
X
Aij xixj
i,j=1
1510
Examples
kBxk2 = xT B T Bx
Pn1
i=1
(xi+1 xi)2
kF xk2 kGxk2
sets defined by quadratic forms:
{ x | f (x) = a } is called a quadratic surface
{ x | f (x) a } is called a quadratic region
1511
xT Ax = xT QQT x
= (QT x)T (QT x)
n
X
i(qiT x)2
=
i=1
n
X
(qiT x)2
i=1
= 1kxk2
i.e., we have xT Ax 1xT x
Symmetric matrices, quadratic forms, matrix norm, and SVD
1512
1513
1514
Matrix inequalities
we say A is negative semidefinite if A 0
we say A is negative definite if A > 0
otherwise, we say A is indefinite
matrix inequality: if B = B T Rn we say A B if A B 0, A < B
if B A > 0, etc.
for example:
A 0 means A is positive semidefinite
A > B means xT Ax > xT Bx for all x 6= 0
Symmetric matrices, quadratic forms, matrix norm, and SVD
1515
B 6 A
1516
Ellipsoids
s1
s2
1517
1/2
qi, i.e.:
1518
1519
Matrix norm
the maximum gain
kAxk
x6=0 kxk
is called the matrix norm or spectral norm of A and is denoted kAk
max
kAxk2
xT AT Ax
T
max
=
max
=
(A
A)
max
2
2
x6=0 kxk
x6=0
kxk
p
so we have kAk = max(AT A)
min(AT A)
1520
note that
AT A Rnn is symmetric and AT A 0 so min, max 0
max gain input direction is x = q1, eigenvector of AT A associated
with max
min gain input direction is x = qn, eigenvector of AT A associated with
min
1521
35 44
44 56
1 2
example: A = 3 4
5 6
AT A =
then kAk =
0.620
0.785
0.785 0.620
90.7
0
0 0.265
0.620
0.785
0.785 0.620
T
max(AT A) = 9.53:
0.620
0.785
= 1,
2.18
0.620
A
=
4.99
= 9.53
0.785
7.78
1522
min gain is
min(AT A) = 0.514:
0.785
0.620
= 1,
A
0.46
0.785
0.14
=
= 0.514
0.620
0.18
kAxk
9.53
0.514
kxk
1523
n1
consistent
with
vector
norm:
matrix
norm
of
a
R
is
p
max(aT a) = aT a
1524
1525
r
X
iuiviT
i=1
1526
AT A = (U V T )T (U V T ) = V 2V T
hence:
vi are eigenvectors of AT A (corresponding to nonzero eigenvalues)
i =
kAk = 1
1527
similarly,
AAT = (U V T )(U V T )T = U 2U T
hence:
ui are eigenvectors of AAT (corresponding to nonzero eigenvalues)
i =
1528
Interpretations
A = U V T =
r
X
iuiviT
i=1
V Tx
V T x
Ax
1529
1530
1531
v1
Ax
u2
1532