Lecture04 - Eigenvalues and Eigenvectors

MTH2212 – Computational Methods and
Statistics
Solution of Linear System of Equations
Lecture 4:
Eigenvalues and Eigenvectors
Objectives
 Introduction
 Mathematical background
 Physical background
 Polynomial Method
 Power Method
Dr. M. Hrairi MTH2212 - Computational Methods and Statistics 2

Introduction
 Eigenvalue problems are a special class of problems that are

common in engineering contexts involving vibrations and
elasticity.
 Many systems of ODEs can be reduced to eigenvalue

problems.

Mathematical Background
 So far we learned to solve [A]{x}={b}
 Such systems are called nonhomogeneous because of the presence

of {b}.
 If det[A] ≠ 0  unique solution of {x}
 Homogeneous systems has the general form [A]{x}=0
 Nontrivial solutions of such systems are possible but

generally they are not unique.

 Eigenvalue problems are of the general form:

(a11   ) x1  a12 x2   a1n xn  0
a21 x1  (a22   ) x2    a 2 n xn  0
   
an1 x1  a n 2 x2    (ann   ) xn  0
 is the unknown parameter called the eigenvalue or
characteristic value.
 A solution {x1, x2, …, xn} for such a system is referred to as an
eigenvector.

 The set of equations may also be expressed as:

  A   I   x  0
 The determinant of the matrix [[A]-[I]] must equal to zero for
nontrivial solutions to be possible.
 Expanding the determinant yields a polynomial in .
 The roots of this polynomial are the solutions to the eigenvalues.

Physical Background
 The following mass-spring system is a simple illustration of how

eigenvalues occur in engineering context.
Force balance for each mass is

developed using Newton’s
second law:
d 2 x1
m1 2  kx1  k ( x2  x1 )
dt
d 2 x2
m2 2   k ( x2  x1 )  kx2
dt

Physical Background
 From vibration theory, the solutions to these equations
xi  X i sin(t )
where
Xi is the amplitude of the vibration of mi
2
ω is the frequency of the vibration given by  
Tp
Tp is the period.

Physical Background
 This system of equations can be converted to an eigenvalue

problem of vibrations.
 2k 2 k
    X 1  X2  0
 m1  m1
k  2k 2
 X 1      X 2  0
m2  m2 

The Polynomial Method
 When dealing with complicated systems or systems with

heterogeneous properties, analytical solutions are often difficult or
impossible to obtain.
 Numerical solutions to such equations may be the only practical

alternatives.
 These equations can be solved by substituting a central finite-

divided difference approximation for the derivatives.
 Writing this equation for a series of nodes yields a homogeneous

system of equations.
The Polynomial Method Procedure
 Convert the system to an eigenvalue problem

[[A]- λ[I]] {x}= 0
 Expand determinant det[[A]- λ[I]] = 0. This will yield a
polynomial in λ.
 Solve for λ
 For each value of λ, establish the relationship between the
unknowns x’s called an eigenvector (note no unique solution).

Example 1
Use the polynomial method to evaluate the eigenvalues and

eigenvectors of the spring-mass example for the case where m1
= m2 = 40 kg and k = 200 N/m.

Example 1 - Solution

10    X  5 X  0
2
1 2
 5 X  10    X  0
1
2
2
 Expand determinant det[[A]- λ[I]] = 0.
(2 ) 2  202  75  0
 Solve for ω2
ω2 = 15 and ω2 = 5 s-2
 The frequencies for the vibrations of the masses are ω = 3.873 and
ω = 2.236 s-1

 The periods for the vibrations

Tp = 1.62 s and Tp = 2.81 s
 For each value of ω2, plug into matrix equation to solve for
eigenvectors X’s.
- For the first mode (ω2 = 15)
10  15 X 1  5 X 2  0
 X1 = - X2
 5 X 1  10  15 X 2  0
- Similarly, for the second mode (ω2 = 5)  X1 = X2

What does this mean

physically?
Valuable information
about:
 Period
 Amplitude
 1st mode
X1 = - X 2
 2nd mode
X1 = X2

The Power Method
 An iterative approach that can be employed to determine the

largest eigenvalue.
 With slight modification, it can also be used to determine the

smallest eigenvalue.
 To determine the largest eigenvalue the system must be expressed

in the form:
 A X    X 

The Power Method Procedure
 Rearrange equations so that we have:

 A X    X 
 Plug in an initial guess for LHS X . Assume all the X’s on the
LHS of the equations are equal to 1.
 Solve for RHS.
 Pull scalar out of RHS so maximum value in vector is equal
to 1.
 Plug eigenvector back into LHS and repeat until eigenvalue
converges with εa < εs

Example 2
Employ the power method to determine the highest

eigenvalue and its associated eigenvector of a three mass-four
spring system for the case where m1 = m2 = m3 = 1 kg and k1 =
k2 = k3 = k4 = k = 20 N/m.


 2k 2 k
    X 1  X2  0
 m1  m1
k  2k 2 k
 X   2   X 2 
2 12
X3  0
m(
2 )  20m2  75  0 m2
k  2k 2
 X 2      X 3  0
m3  m3 

 Substitute the values of m’s and k’s and express the system
in the matrix form
 A X    X 
 40  20 0  X1   X1 
 20 40  20  X     X 
  2   2
 0  20 40   X 3  X 
 3

 Eventually converges
- Eigenvalue = 68.28427
 0.707107
 
- Eigenvector =  1 
 0.707107
 

The Power Method - Extra
 Example 2 found the largest eigenvalue and its

corresponding eigenvector.
 To find the smallest eigenvalue, apply the power method to
the matrix inverse of A. The power method will converge to
the largest value of 1/λ (which means the smallest λ).
 After finding the largest eigenvalue, it is possible to
determine the next highest by replacing the original matrix
by one that includes only the remaining eigenvalues. This
process is called deflation.

Assignment #2
 Computational Methods
 27.11, 28.25, 28.27
 Statistics
 2.83, 2.86, 2.88, 2.108, 2.120

Quiz #2
Solve the following system of equations using Gauss-Seidel

method
20 x1 + 2 x2 – 5 x3 = 13 (1)
5 x1 – 20 x2 + 2 x3 = 27 (2)
4 x1 + 5 x2 + 20 x3 = 19 (3)

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MTH2212 – Computational Methods and

Solution of Linear System of Equations

Dr. M. Hrairi MTH2212 - Computational Methods and Statistics 2

 Eigenvalue problems are a special class of problems that are

 Many systems of ODEs can be reduced to eigenvalue

Dr. M. Hrairi MTH2212 - Computational Methods and Statistics 3

 So far we learned to solve [A]{x}={b}

 Such systems are called nonhomogeneous because of the presence

 Homogeneous systems has the general form [A]{x}=0

 Nontrivial solutions of such systems are possible but

Dr. M. Hrairi MTH2212 - Computational Methods and Statistics 4

 Eigenvalue problems are of the general form:

Dr. M. Hrairi MTH2212 - Computational Methods and Statistics 5

 The set of equations may also be expressed as:

 Expanding the determinant yields a polynomial in .

 The roots of this polynomial are the solutions to the eigenvalues.

Dr. M. Hrairi MTH2212 - Computational Methods and Statistics 6

 The following mass-spring system is a simple illustration of how

Force balance for each mass is

Dr. M. Hrairi MTH2212 - Computational Methods and Statistics 7

 From vibration theory, the solutions to these equations

Dr. M. Hrairi MTH2212 - Computational Methods and Statistics 8

 This system of equations can be converted to an eigenvalue

Dr. M. Hrairi MTH2212 - Computational Methods and Statistics 9

 When dealing with complicated systems or systems with

 Numerical solutions to such equations may be the only practical

 These equations can be solved by substituting a central finite-

 Writing this equation for a series of nodes yields a homogeneous

 Convert the system to an eigenvalue problem

Dr. M. Hrairi MTH2212 - Computational Methods and Statistics 11

Use the polynomial method to evaluate the eigenvalues and

Dr. M. Hrairi MTH2212 - Computational Methods and Statistics 12

 Convert the system to an eigenvalue problem

Dr. M. Hrairi MTH2212 - Computational Methods and Statistics 13

 The periods for the vibrations

- Similarly, for the second mode (ω2 = 5)  X1 = X2

Dr. M. Hrairi MTH2212 - Computational Methods and Statistics 14

What does this mean

Dr. M. Hrairi MTH2212 - Computational Methods and Statistics 15

 An iterative approach that can be employed to determine the

 With slight modification, it can also be used to determine the

 To determine the largest eigenvalue the system must be expressed

Dr. M. Hrairi MTH2212 - Computational Methods and Statistics 16

 Rearrange equations so that we have:

Dr. M. Hrairi MTH2212 - Computational Methods and Statistics 17

Employ the power method to determine the highest

Dr. M. Hrairi MTH2212 - Computational Methods and Statistics 18

 Convert the system to an eigenvalue problem

Dr. M. Hrairi MTH2212 - Computational Methods and Statistics 19

Dr. M. Hrairi MTH2212 - Computational Methods and Statistics 20

Dr. M. Hrairi MTH2212 - Computational Methods and Statistics 21

 Example 2 found the largest eigenvalue and its

Dr. M. Hrairi MTH2212 - Computational Methods and Statistics 22

Dr. M. Hrairi MTH2212 - Computational Methods and Statistics 23

Solve the following system of equations using Gauss-Seidel

Dr. M. Hrairi MTH2212 - Computational Methods and Statistics 24

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