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The Jacobi matrix spectrum is the set of Gauss nodes
Statement
Let be moment data from Positive-measure Gaussian quadrature moment data with . For , let be as in Monic orthogonal polynomials satisfy a three-term recurrence, and for let . Put and define the real symmetric tridiagonal Jacobi matrix with the evident one-by-one interpretation for . If are the roots of , then , where spectrum denotes the set of eigenvalues as in Eigenvalues, eigenvectors, eigenspaces , and the spectrum of an endomorphism; every eigenvalue is simple. If for , then is a nonzero eigenvector of for .
Facts & Assumptions
Given: Moment data and the monic orthogonal polynomials through degree .
The Gauss orthogonal polynomial has simple roots inside the interval: the degree- polynomial has exactly distinct roots .
Real spectral theorem: a self-adjoint endomorphism of a finite-dimensional real inner product space has an orthonormal eigenbasis: a self-adjoint endomorphism of a finite-dimensional real inner product space has an orthonormal eigenbasis.
The standard formulas on and on are inner products and In an orthonormal basis, self-adjoint means conjugate-transpose symmetry and normal means commuting with the conjugate transpose: a real symmetric matrix is self-adjoint for the standard Euclidean inner product on .
Nonnegative real square roots exist uniquely: every positive real has a unique positive square root.
Eigenvalues, eigenvectors, eigenspaces , and the spectrum of an endomorphism: the spectrum of a finite-dimensional endomorphism is its set of eigenvalues.
Proof
By [F1] and [F5], the normalized polynomials satisfy for , with . For the final index, the monic recurrence gives ; at a root the term vanishes. After dividing by , this is the final row of for . When , the identity gives the same conclusion at the sole root.
The vector is nonzero because and . Thus each of the distinct roots in [F2] is an eigenvalue of .
The matrix is real symmetric by its definition, so [F4] makes its endomorphism self-adjoint on . By [F3], it has an orthonormal eigenbasis of vectors; hence it has exactly eigenvalues counted with multiplicity. The distinct eigenvalues already exhibited in step 2.1 exhaust this list, so each is simple and there are no others. By [F6], this eigenvalue set is .
Depends on
- Positive-measure Gaussian quadrature moment data
- Monic orthogonal polynomials exist uniquely through the quadrature order
- The Gauss orthogonal polynomial has simple roots inside the interval
- Monic orthogonal polynomials satisfy a three-term recurrence
- Real spectral theorem: a self-adjoint endomorphism of a finite-dimensional real inner product space has an orthonormal eigenbasis
- The Euclidean inner product $\langle x,y\rangle = \sum_{k<n} x_k y_k$ on $\mathbb{R}^n$
- The standard formulas $\langle x,y\rangle=\sum_{k<n}x_k y_k$ on $\mathbb R^n$ and $\sum_{k<n}x_k\overline{y_k}$ on $\mathbb C^n$ are inner products
- In an orthonormal basis, self-adjoint means conjugate-transpose symmetry and normal means commuting with the conjugate transpose
- Nonnegative real square roots exist uniquely
- Eigenvalues, eigenvectors, eigenspaces $E_\lambda(T)=\ker(T-\lambda I)$, and the spectrum $\sigma_F(T)$ of an endomorphism
Used by
- Certified Gaussian nodes and weights by Golub–Welsch Algorithm
- The two-node Gauss–Legendre rule is exact through degree three Example
- A residual and spectral gap bound a Gaussian weight error Lemma
- Certified Golub–Welsch intervals contain the Gaussian nodes and weights Theorem
- Consecutive Gaussian orthogonal polynomials and Jacobi truncations strictly interlace Theorem
- Gaussian weights equal the total mass times a Jacobi eigenvector's first-coordinate square Theorem
Dependency tree · two levels
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Sources
- John A. Gubner, Gaussian Quadrature and the Eigenvalue Problem, §§2–5, 2020 (standard reference, not scraped)
- MATH 373 Lecture Notes, Lecture 14: Gaussian Quadrature, §§10.2–10.5 (standard reference, not scraped)
- Walter Gautschi, The Interplay Between Classical Analysis and (Numerical) Linear Algebra, §2.1 (standard reference, not scraped)