Sharif Univ. of Tech. EE. Dept.

Generalized Eigenvalue Problem A l i & Applications Analysis A li ti

Mohammad M. Alem-Karladani
Summer 2008

Outline
Introduction Applications Definitions

Infinite I fi it Eigenvalue Ei l Singularity & Regularity Symmetry

Symmetric Definite Quadratic Eigenvalue Problem Solution Method

Introduction

Standard Eigenvalue Problem

Ax = x

x0

det ( A I ) = 0

Generalized Eigenvalue Problem

Ax = Bx

x0

det ( A B ) = 0

Applications

Mechanical Vibration
o

Newtons Laws
k1
it y = x e 1 1 it y x e = 2 2

d 2 y1 (k1 + k2 ) y1 + k2 y2 = m1 2 d dt 2 d y2 k2 y1 k2 y2 = m2 dt 2

m1 y1 k2

k1 + k2 k 2

k2 x1 2 m1 = k2 x2 0

0 x1 m2 x2

Kx = Mx
o

m2

Stiffness Matrix K , Mass Matrix

y2

Applications

Electrical Oscillation
o

Kirchhoffs Laws

v1 C1

L1

v2 C2 L2

dv1 1 = v v dt C ( ) 2 1 1 L1 dt 1 (v v )dt 1 v dt = C dv2 1 2 2 2 L L dt 1 2

1 d 2 v1 (v2 v1 ) = C1 2 dt L1 d 2 v2 1 1 L (v1 v2 ) L v2 = C2 dt 2 1 2

it v = x e 1 1 it v x e = 2 2

L11 1 L1

1 L1 0 x1 x1 2 C1 = x 1 1 x 0 C L1 + L2 2 2 2

Ax = Bx

Definitions

Generalized Eigenvalue Problem for a Matrix Pair

( Ann , Bnn )

Ax = Bx

Eigenvalue of the Pair

( A, B) :

x0

Eigenvector of the Pair ( A, B ) : S d d Ei Standard Eigenvalue l Problem: P bl

x
( A, B) : det ( A B ) = 0

B=I

Characteristic Equation of the Pair Matrix Pencil:

A B

Infinity of Eigenvalue

Characteristic Equation det ( A B ) or less. 1 1 0 0 Exp. A = B=

0 1 0 1

= 0 is of degree n

1 d t ( A B ) = (1 ) = 0 1 = 1 x1 = det 1
Infinite Eigenvalue

1 x2 = 0

0 = Bx =

Ax

2 =

Theorem:

is an e.v. of ( A, B) iff det( B) = 0

d t( B) 0 det( det( d t( A B) = 0 det( d t( B 1 A I ) = 0

Singularity vs. Regularity

x 0 , A x = B x = 0 ( A B ) x = 0 det( ( A B) 0

Singular The pair ( A, B ) is called Regular

det ( A B ) 0
Otherwise

Theorem: If the null spaces of A and B have nontrivial intersection, then ( A, B ) is a singular pair. C Counterexample l to the h reverse:
0 1 0 0 0 1 B= 0 0 0 0 ) N ( A) = span p ( 1 0 1 ) N ( B) = span p ( 0 0
) ( , x = 1 0

1 0 0 0 0 0 A= 0 0 1

N ( A) N ( B) = {0}

1 det ( A B ) = 0 0 0 0

0 0 1

Symmetric GEVP

Eigenvalues are real. Standard EVP: AT = A Eigenvectors are orthonormal Generalized EVP: Is symmetry of A and B is sufficient? Counterexample: 1 2 1 1 A= B= 2 3 1 0.5 2+ 1 + 2 = + +1 = 0 det ( A B) = 0 2 + 3 + / 2

The product of two symmetric matrices is not necessarily symmetric. Ax = Bx B 1 Ax = x

Symmetric Definite GEVP

Definition: A is symmetric and B is positive definite. Theorem: In Symmetric Definite GEVP, GEVP Eigenvalues are real. Eigenvectors are B-orthonormal
Cholesky Decomposition

Proof: B is P.D.

B = LLT

Ax = Bx Ax = LLT x L1 A( LT ) 1 LT x = LT x C = L1 A( LT ) 1 , y = LT x Cy = y

CT = C

T T T T T T yT y = ( L x ) L x = x LL x = x i j i j i j i Bx j = ij

Quadratic Eigenvalue Problem

In many applications: Steady-state solution:

d 2y dt 2

+D

dy + Ky = 0 dt

y = x e t

Quadratic Eigenvalue Problem: ( 2 M + D + K )x = 0 Standard Nonsymmetric Eigenvalue Problem:

M 1 D M 1 K x x = 0 x x I

Generalized Symmetric Eigenvalue Problem: D K x M 0 x K 0 x = 0 x K

Solution Method

Definition: Two pairs ( A, B ) and ( A, B ) are strictly unitarily equivalent q if there exist unitary y matrices U and V such that:

A = UAV

B = UBV

Corollary: Two strictly unitarily equivalent pairs have the same characteristic equations. det ( A B ) = 0 det ( A B ) = 0 Generalized Schur Theorem: For every pair ( A, B ) there exits unitary matrices Q , Z and upper triangular matrices T , S such that:

A = QTZ

B = QSZ

det (T S ) =

(t
i =1

ii

sii ) = 0

tii i = sii