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Numerical Analysis

Numerical Analysis. EE, NCKU Tien-Hao Chang (Darby Chang). In In the previous slide. Special matrices Strictly diagonally dominant matrix Symmetric positive definite matrix Cholesky decomposition Tridiagonal matrix Iterative techniques Jacobi, Gauss-Seidel and SOR methods

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Numerical Analysis

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  1. Numerical Analysis EE, NCKU Tien-Hao Chang (Darby Chang)

  2. In In the previous slide • Special matrices • Strictly diagonally dominant matrix • Symmetric positive definite matrix • Cholesky decomposition • Tridiagonal matrix • Iterative techniques • Jacobi, Gauss-Seidel and SOR methods • conjugate gradient method • Nonlinear systems of equations • Exercise 3

  3. In this slide • Eigenvalues and eigenvectors • The power method • locate the dominant eigenvalue • Inverse power method • Deflation 3

  4. Chapter 4 Eigenvalues and Eigenvectors

  5. Eigenvalues and eigenvectors • Eigenvalue • λ • Av=λv(A-λI)v=0 • det(A-λI)=0 • characteristic polynomial • Eigenvector • the nonzero vector v for which Av=λvassociated with the eigenvalueλ

  6. In Chapter 4 • Determine the dominant eigenvalue • Determine a specific eigenvalue • Remove a eigenvalue

  7. 4.1 The Power Method

  8. The power method • Different problems have different requirements • a single, several or all of the eigenvalues • the corresponding eigenvectors may or may not also be required • To handle each of these situations efficiently, different strategies are required • The power method • an iterative technique • locate the dominant eigenvalue • also computes an associated eigenvector • can be extended to compute eigenvalues

  9. The power methodBasics

  10. The power methodApproximated eigenvalue

  11. The power methodA common practice • Make the vector x(m) have a unit length • Why we need this step? question

  12. Make the vector x(m) have a unit length • to avoid overflow and underflow

  13. The power methodComplete procedure

  14. http://thomashawk.com/hello/209/1017/1024/Jackson%20Running.jpghttp://thomashawk.com/hello/209/1017/1024/Jackson%20Running.jpg In action

  15. what is the first estimate?

  16. The power method for generic matrices

  17. The power method for symmetric matrices

  18. When A is symmetric • more rapid convergence • still linear, but smaller asymptotic error • different scaling scheme (norm) • based on the theorem

  19. The power method variation

  20. 4.1 The Power Method

  21. An application of eigenvalue

  22. Undirected graphRelation to eigenvalue • Proper coloring • how to color the geographic regions on a map regions that share a common border receive different colors • Chromatic number • the minimum number of colors that can be used in a proper coloring of a graph

  23. Undirected graphThe dominant eigenvalue

  24. Undirected graphThe corresponding eigenvector

  25. 4.2 The Inverse Power Method

  26. The inverse power method • To find an eigenvalue other than the dominant one • To derive the inverse power method, we will need • the relationship between the eigenvalues of a matrix A to a class of matrices constructed from A • With that, we can • transform an eigenvalue of A the dominant eigenvalue of B • B=(A-qI)-1 later

  27. B is a polynomial of A

  28. The inverse power method • To find an eigenvalue other than the dominant one • To derive the inverse power method, we will need • the relationship between the eigenvalues of a matrix A to a class of matrices constructed from A • With that, we can • transform an eigenvalue of A the dominant eigenvalue of B • B=(A-qI)-1

  29. How to Find the eigenvalue smallest in magnitude

  30. 4.2 The Inverse Power Method

  31. 4.3 Deflation

  32. Deflation • So far, we can approximate • the dominant eigenvalue of a matrix • the one smallest in magnitude • the one closest to a specific value • What if we need several of the largest/smallest eigenvalues? • Deflation • to remove an already determined solution, while leaving the remainder solutions unchanged

  33. Within the context of polynomial rootfinding • remove each root by dividing out the monomial • x3-6x2+11x-6 = (x-1)(x2-5x+6) = (x-1)(x-2)(x-3) • x2-5x+6 = (x-2)(x-3) is a deflation ofx3-6x2+11x-6 • For the matrix eigenvalue problem • shift the previously determined eigenvalue to zero (while leaving the remainder eigenvalues unchanged) • to do this, we need the relationship among the eigenvalues of a matrix A and AT

  34. Recall that http://www.dianadepasquale.com/ThinkingMonkey.jpg

  35. DeflationShift an eigenvalue to zero

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