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Let \(\lambda \) be any eigenvalue of a symmetric matrix \(A\). Justify the statement made in this section that \(m \le \lambda \le M\), where \(m\) and \(M\) are defined as in (2). [Hint: Find an \({\rm{x}}\) such that \(\lambda = {{\rm{x}}^T}A{\rm{x}}\).]

Short Answer

Expert verified

The statement\({{\rm{x}}^T}A{\rm{x}} = \lambda \)is justified when\(m \le \lambda \le M\).

Step by step solution

01

Symmetric Matrices and Quadratic Forms

When any Symmetric Matrix\(A\)is diagonalized orthogonallyas \(PD{P^{ - 1}}\)we have:

\(\begin{array}{l}{{\rm{x}}^T}A{\rm{x}} = {{\rm{y}}^T}D{\rm{y}}\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\left\{ {{\rm{as }}x = Py} \right\}\\{\rm{and}}\\\left\| {\rm{x}} \right\| = \left\| {P{\rm{y}}} \right\| = \left\| {\rm{y}} \right\|\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\left\{ {\forall y \in \mathbb{R}} \right\}\end{array}\)

02

Find the maximum value

As per the question, we have:

The matrix\(A\)has eigenvalue\(\lambda \)with eigenvector\({\rm{x}}\), then:

\(\begin{array}{c}{{\rm{x}}^T}A{\rm{x}} = {{\rm{x}}^T}\lambda {\rm{x}}\\ = \lambda \left( {{{\rm{x}}^T}{\rm{x}}} \right)\\ = \lambda {\left\| {\rm{x}} \right\|^2}\\ = \lambda \end{array}\)

Thus,

\({{\rm{x}}^T}A{\rm{x}} = \lambda ,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\left\{ {\forall \lambda \in \left[ {m,M} \right]} \right\}\)

The statement\({{\rm{x}}^T}A{\rm{x}} = \lambda \)is justified when\(m \le \lambda \le M\).

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Most popular questions from this chapter

In Exercises 17鈥24, \(A\) is an \(m \times n\) matrix with a singular value decomposition \(A = U\Sigma {V^T}\) , where \(U\) is an \(m \times m\) orthogonal matrix, \({\bf{\Sigma }}\) is an \(m \times n\) 鈥渄iagonal鈥 matrix with \(r\) positive entries and no negative entries, and \(V\) is an \(n \times n\) orthogonal matrix. Justify each answer.

22. Show that if \(A\) is an \(n \times n\) positive definite matrix, then an orthogonal diagonalization \(A = PD{P^T}\) is a singular value decomposition of \(A\).

Orthogonally diagonalize the matrices in Exercises 13鈥22, giving an orthogonal matrix \(P\) and a diagonal matrix \(D\). To save you time, the eigenvalues in Exercises 17鈥22 are: (17) \( - {\bf{4}}\), 4, 7; (18) \( - {\bf{3}}\), \( - {\bf{6}}\), 9; (19) \( - {\bf{2}}\), 7; (20) \( - {\bf{3}}\), 15; (21) 1, 5, 9; (22) 3, 5.

16. \(\left( {\begin{aligned}{{}}{\,6}&{ - 2}\\{ - 2}&{\,\,\,9}\end{aligned}} \right)\)

Determine which of the matrices in Exercises 7鈥12 are orthogonal. If orthogonal, find the inverse.

9. \(\left[ {\begin{aligned}{{}}{ - 4/5}&{\,\,\,3/5}\\{3/5}&{\,\,4/5}\end{aligned}} \right]\)

Orthogonally diagonalize the matrices in Exercises 13鈥22, giving an orthogonal matrix\(P\)and a diagonal matrix\(D\). To save you time, the eigenvalues in Exercises 17鈥22 are: (17)\( - {\bf{4}}\), 4, 7; (18)\( - {\bf{3}}\),\( - {\bf{6}}\), 9; (19)\( - {\bf{2}}\), 7; (20)\( - {\bf{3}}\), 15; (21) 1, 5, 9; (22) 3, 5.

22. \(\left( {\begin{aligned}{{}}4&0&1&0\\0&4&0&1\\1&0&4&0\\0&1&0&4\end{aligned}} \right)\)

Question: In Exercises 1 and 2, convert the matrix of observations to mean deviation form, and construct the sample covariance matrix.

\(1.\,\,\left( {\begin{array}{*{20}{c}}{19}&{22}&6&3&2&{20}\\{12}&6&9&{15}&{13}&5\end{array}} \right)\)

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