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A Hermitian-definite pencil has a real spectrum and a B-orthonormal eigenbasis
Statement
Let and let be positive definite in , where . If is its Cholesky factorisation, then is self-adjoint and has an orthonormal eigenbasis with real eigenvalues . The vectors form a basis satisfying and . The generalized eigenvalues of are exactly ; none is infinite.
Facts & Assumptions
Given: A real symmetric or complex Hermitian matrix and a Hermitian positive-definite matrix of the same positive order.
The B-inner product, B-norm, and dual residual norm: for the unique Cholesky factor , , and B-orthonormality means .
A matrix admits a Cholesky factorisation with positive diagonal exactly when it is Hermitian positive definite, and that factor is unique: with lower triangular and positive diagonal, and is unique.
The determinant of a triangular matrix is the product of its diagonal entries: the determinant of a triangular matrix is the product of its diagonal entries.
A finite-dimensional linear operator over a field is invertible if and only if its determinant is nonzero: a finite-dimensional operator over a field is invertible exactly when its determinant is nonzero.
Real spectral theorem: a self-adjoint endomorphism of a finite-dimensional real inner product space has an orthonormal eigenbasis: a real self-adjoint endomorphism has an orthonormal eigenbasis.
Complex spectral theorem: a normal endomorphism of a finite-dimensional complex inner product space has an orthonormal eigenbasis, and conversely: a complex normal endomorphism has an orthonormal eigenbasis.
For same-sized finite square matrices over a commutative ring, : determinants multiply under matrix products.
Regular matrix pencils and homogeneous generalized eigenvalues: homogeneous roots of are the generalized eigenvalues.
Proof
By [F2], is lower triangular with positive diagonal. [F3] gives , and [F4] therefore makes invertible. Hence is defined. Taking adjoints and using gives .
Regard as a real or complex endomorphism with the Euclidean inner product. In the real case [F5] applies; in the complex case implies is normal, so [F6] applies. Thus there are orthonormal and real with .
Set . Then and The invertible change of variables sends the basis to a basis .
For every , , so The diagonalisation from step 2.1 expresses with and unitary. By [F7], and . Applying [F3] to the diagonal matrix gives . Also and are nonzero by step 1.1, so the finite roots of are exactly the real . Finally , so is not a homogeneous root.
Depends on
- Regular matrix pencils and homogeneous generalized eigenvalues
- The B-inner product, B-norm, and dual residual norm
- For $n\ge1$, the determinant over a commutative ring by the Leibniz formula, and $|\det A|$ for a real matrix
- For same-sized finite square matrices over a commutative ring, $\det(AB)=\det(A)\det(B)$
- The determinant of a triangular matrix is the product of its diagonal entries
- A finite-dimensional linear operator over a field is invertible if and only if its determinant is nonzero
- A matrix admits a Cholesky factorisation with positive diagonal exactly when it is Hermitian positive definite, and that factor is unique
- 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
- A mass-stiffness pencil has real B-orthogonal modes and a residual enclosure Example
- A principal-angle bound encloses the largest selected generalized Ritz value across a spectral gap Lemma
- Generalized Ritz values obey min-max bounds and are monotone under trial-space inclusion Lemma
- A B-dual residual bounds distance to the spectrum of a Hermitian-definite pencil Theorem
Dependency tree · two levels
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Sources
- Peter Arbenz, Lecture Notes on Solving Large Scale Eigenvalue Problems, §11.4 (standard reference, not scraped)
- LAPACK Users' Guide, Generalized Symmetric Definite Eigenproblems (standard reference, not scraped)