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Linear algebra

Eigenvalues, eigenvectors and diagonalization

Find λ\lambda and x\boldsymbol{x} with Ax=λxA\boldsymbol{x} = \lambda\boldsymbol{x} and diagonalize the matrix; diagonalization makes AnA^n easy to compute.

Basic, Standard, Advanced: University Year 1 · 2nd semester

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Eigenvalues and the characteristic equation

A number λ\lambda with Ax=λxA\boldsymbol{x} = \lambda\boldsymbol{x} for some x≠0\boldsymbol{x} \neq \boldsymbol{0} is an eigenvalue, and x\boldsymbol{x} is an eigenvector. Since (A−λE)x=0(A - \lambda E)\boldsymbol{x} = \boldsymbol{0} must have a nontrivial solution,

Characteristic equation
∣A−λE∣=0(for 2×2: λ2−(tr⁡A)λ+∣A∣=0)|A - \lambda E| = 0 \qquad \left(\text{for } 2 \times 2:\ \lambda^2 - (\operatorname{tr} A)\lambda + |A| = 0\right)

∣λE−A∣|\lambda E - A| is the characteristic polynomial. The eigenvalues of a triangular matrix are its diagonal entries.

Finding eigenvectors

For each eigenvalue λ\lambda, solve (A−λE)x=0(A - \lambda E)\boldsymbol{x} = \boldsymbol{0} by row reduction. Eigenvectors are determined only up to a nonzero multiple, so write them as c(12)c\begin{pmatrix} 1 \\ 2 \end{pmatrix} (c≠0c \neq 0) or give the ratio x:y=1:2x : y = 1 : 2.

Diagonalization and $A^n$

Diagonalization

If the eigenvectors p1,…,pn\boldsymbol{p}_1, \ldots, \boldsymbol{p}_n are linearly independent, then with P=(p1 ⋯ pn)P = (\boldsymbol{p}_1\ \cdots\ \boldsymbol{p}_n),

P−1AP=(λ1⋱λn),An=P(λ1n⋱λnn)P−1P^{-1}AP = \begin{pmatrix} \lambda_1 & & \\ & \ddots & \\ & & \lambda_n \end{pmatrix},\qquad A^n = P\begin{pmatrix} \lambda_1^n & & \\ & \ddots & \\ & & \lambda_n^n \end{pmatrix}P^{-1}

Distinct eigenvalues always allow diagonalization. For a repeated eigenvalue λ\lambda of multiplicity mm, AA is diagonalizable only if the eigenspace dimension n−rank⁡(A−λE)n - \operatorname{rank}(A - \lambda E) equals mm.