Eigen Decomposition Ebc8B5
1. **State the problem:** We need to find the eigen-decomposition of the coefficient matrix $A$ of a system of linear equations and then use this decomposition to solve the system.
2. **Eigen-decomposition formula:** For a square matrix $A$, the eigen-decomposition is given by:
$$A = PDP^{-1}$$
where $P$ is the matrix of eigenvectors and $D$ is the diagonal matrix of eigenvalues.
3. **Steps to find eigen-decomposition:**
- Find eigenvalues $\lambda$ by solving $\det(A - \lambda I) = 0$.
- For each eigenvalue, find the corresponding eigenvector by solving $(A - \lambda I)\mathbf{v} = 0$.
- Form matrix $P$ with eigenvectors as columns and $D$ with eigenvalues on the diagonal.
4. **Using eigen-decomposition to solve $A\mathbf{x} = \mathbf{b}$:**
- Write $A = PDP^{-1}$.
- Then $PDP^{-1}\mathbf{x} = \mathbf{b}$.
- Multiply both sides by $P^{-1}$: $DP^{-1}\mathbf{x} = P^{-1}\mathbf{b}$.
- Let $\mathbf{y} = P^{-1}\mathbf{x}$ and $\mathbf{c} = P^{-1}\mathbf{b}$, so $D\mathbf{y} = \mathbf{c}$.
- Since $D$ is diagonal, solve for $\mathbf{y}$ by dividing each component: $y_i = \frac{c_i}{d_{ii}}$.
- Finally, find $\mathbf{x} = P\mathbf{y}$.
5. **Summary:**
- Compute eigenvalues and eigenvectors.
- Form $P$ and $D$.
- Compute $\mathbf{c} = P^{-1}\mathbf{b}$.
- Solve $D\mathbf{y} = \mathbf{c}$.
- Compute $\mathbf{x} = P\mathbf{y}$.
This method leverages the diagonalization of $A$ to simplify solving the system.