Rigorous perturbation bounds for eigenvalues and eigenvectors of a matrix (Q1893599): Difference between revisions

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Latest revision as of 15:15, 23 May 2024

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Rigorous perturbation bounds for eigenvalues and eigenvectors of a matrix
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    Rigorous perturbation bounds for eigenvalues and eigenvectors of a matrix (English)
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    5 November 1995
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    If \(A\) has the eigenpair \((\lambda, x)\), i.e., the eigenvalue \(\lambda\) and the eigenvector \(x\), then it is of great interest to know bounds for the shifts \(| \widetilde \lambda - \lambda |\) and \(| \widetilde x - x |\), where \((\widetilde \lambda, \widetilde x)\) is the eigenpair of \(A + \delta A\), in terms of \(\delta A\). In this work, the author tries to provide strict bounds for \(| \widetilde \lambda_ i - \lambda_ i |\) and \(| \widetilde x_ i - x_ i |\) which are valid for big \(\delta A\). Namely \(\min | \widetilde \lambda - \lambda | \leq \| | T^{-1} | | \delta A | | T | \|\) (for the whole spectrum), where \(T\) is the modal matrix containing the eigenvectors of \(A\) and which brings it to a diagonal form under a similarity transform, i.e., \(T^{-1} AT = \Lambda\). For the individual eigenvalue \(\lambda_ i\) and corresponding eigenvector \(x^ i\), the bounds are \(| \delta \lambda_ i | \leq | y^{i*} | | \delta A | \sum^ n_{j = 1} | x^ j |\) and \(| \delta x^ i | \leq \sum_{j\neq i} | \alpha_ j | | x^ j |\) where \(y^{i*}\) is the eigenrow of \(A\) corresponding to \(\lambda_ i\) and \(\delta x^ i = \sum_{j \neq i} \alpha_ j x^ j\). Any eigenvalue problem \(L(\lambda)x = (A_ n \lambda^ n + A_{n - 1} \lambda^{n - 1} + \cdots + A_ 0)x = 0\) can be transformed into the form \(Au = \lambda Bu\). Bounds of this generalized eigenvalue problem are also obtained. It is worth noting that the famous order mechanical system \((M \lambda^ 2 + R \lambda + K) x = 0\) is a special one of \(L(\lambda) x = 0\).
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    perturbation bounds
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    matrix eigensystem
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    generalized eigenvalue problem
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    eigenvalue
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    eigenvector
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