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A Hermitian-definite pencil has a real spectrum and a B-orthonormal eigenbasis

Statement

Let A=A∗ and let B=B∗ be positive definite in Fn×n, where F∈{R,C}. If B=LL∗ is its Cholesky factorisation, then C=L−1AL−∗ is self-adjoint and has an orthonormal eigenbasis with real eigenvalues λ1,…,λn. The vectors xi=L−∗yi(i=1,…,n) form a basis satisfying Axi=λiBxi and xi∗Bxj=δij. The generalized eigenvalues of (A,B) are exactly [λi:1]; none is infinite.

Facts & Assumptions

Given: A real symmetric or complex Hermitian matrix A and a Hermitian positive-definite matrix B of the same positive order.

[F1]

The B-inner product, B-norm, and dual residual norm: for the unique Cholesky factor B=LL∗, ∥x∥B=∥L∗x∥2, and B-orthonormality means xi∗Bxj=δij.

[F3]

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.

[F4]

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.

[F8]

Regular matrix pencils and homogeneous generalized eigenvalues: homogeneous roots of det⁡(βA−αB) are the generalized eigenvalues.

Proof

1.1givenF2F3F4algebra

By [F2], L is lower triangular with positive diagonal. [F3] gives det⁡L≠0, and [F4] therefore makes L invertible. Hence C=L−1AL−∗ is defined. Taking adjoints and using A=A∗ gives C∗=L−1AL−∗=C.

2.1step 1.1F5F6algebra

Regard C as a real or complex endomorphism with the Euclidean inner product. In the real case [F5] applies; in the complex case C=C∗ implies C is normal, so [F6] applies. Thus there are orthonormal yi and real λi with Cyi=λiyi.

3.1F1step 1.1step 2.1algebraconstruct

Set xi=L−∗yi. Then Axi=AL−∗yi=LCyi=λiLyi=λiBxi, and xi∗Bxj=yi∗L−1LL∗L−∗yj=yi∗yj=δij. The invertible change of variables L−∗ sends the basis (yi) to a basis (xi).

4.1F2F3F7F8step 1.1step 2.1algebra∎

For every λ∈C, A−λB=L(C−λI)L∗, so det⁡(A−λB)=det⁡(L)det⁡(C−λI)det⁡(L∗). The diagonalisation from step 2.1 expresses C=UDU∗ with D=diag⁡(λ1,…,λn) and U unitary. By [F7], det⁡(C−λI)=det⁡(U)det⁡(D−λI)det⁡(U∗) and det⁡(U)det⁡(U∗)=det⁡(UU∗)=det⁡I=1. Applying [F3] to the diagonal matrix gives det⁡(C−λI)=∏i(λi−λ). Also det⁡(L) and det⁡(L∗) are nonzero by step 1.1, so the finite roots of det⁡(A−λB) are exactly the real λi. Finally det⁡(B)=det⁡(L)det⁡(L∗)≠0, so [1:0] is not a homogeneous root.

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