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For Hermitian matrices, the Rayleigh quotient and residual converge with the expected rates along power iteration
Statement
Let be Hermitian with simple dominant eigenvalue , let be a unit eigenvector, and let be the power iteration from a start vector with nonzero -component. Put
Then
In particular, and .
Facts & Assumptions
Given: A Hermitian matrix with simple dominant eigenpair and a valid power iteration .
Power iteration converges projectively to the dominant eigendirection at rate (If a diagonalisable matrix has a simple eigenvalue of strictly largest modulus and the start vector has a nonzero component in that eigendirection, power iteration converges projectively at the eigenvalue-ratio rate).
Hermitian means , so if then (Self-adjoint and normal endomorphisms of a finite-dimensional real or complex inner product space).
The power iteration is the normalised recurrence , with Rayleigh estimates from the same iterates (Power iteration with normalisation and Rayleigh-quotient eigenvalue estimates).
A real self-adjoint or complex Hermitian matrix has an orthonormal eigenbasis and is therefore diagonalisable (Real spectral theorem: a self-adjoint endomorphism of a finite-dimensional real inner product space has an orthonormal eigenbasis, Complex spectral theorem: a normal endomorphism of a finite-dimensional complex inner product space has an orthonormal eigenbasis, and conversely).
Proof
Let . By [L4], the Hermitian matrix is diagonalisable, so [L1] applies. After choosing phases of modulus one, one has Write with . Then .
By [L2], the orthogonal complement is -invariant. Since is unit and , the cross terms vanish: Using , this becomes Therefore
Using , one has Since , Step 2.1 and step 1.1 give
The displayed bounds force and .
Depends on
- Power iteration with normalisation and Rayleigh-quotient eigenvalue estimates
- Self-adjoint and normal endomorphisms of a finite-dimensional real or complex inner product space
- If a diagonalisable matrix has a simple eigenvalue of strictly largest modulus and the start vector has a nonzero component in that eigendirection, power iteration converges projectively at the eigenvalue-ratio rate
- Real spectral theorem: a self-adjoint endomorphism of a finite-dimensional real inner product space has an orthonormal eigenbasis
- Complex spectral theorem: a normal endomorphism of a finite-dimensional complex inner product space has an orthonormal eigenbasis, and conversely
Used by
Nothing in the library uses this result yet.
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Sources
- Andrew Stuart and Jochen Voss, Matrix Analysis and Algorithms (standard reference, not scraped)
- Per-Olof Persson, The QR Algorithm I (standard reference, not scraped)