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Update Eigenvalue problem notes
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src/08_Eigenvalue_problems.jl

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@@ -40,7 +40,7 @@ TableOfContents()
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md"""
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# Eigenvalue problems
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Recall that the eigenpairs of a matrix $A$ are the pairs $(λ_i, \mathbf{v}_i)$
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Recall that the eigenpairs of a matrix $\mathbf A$ are the pairs $(λ_i, \mathbf{v}_i)$
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of eigenvalues $λ_i$ and eigenvectors $\mathbf{v}_i$ such that
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```math
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\mathbf{A} \mathbf{v}_i = λ_i \mathbf{v}_i.
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But more generally if $\mathbf x$ is an arbitrary vector
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and if for simplicity we assume $\mathbf{A}$ to be symmetric
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and positive-definite,
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and positive definite,
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then we find
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```math
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\| \mathbf A \mathbf x \| \leq \| \mathbf A \| \, \| \mathbf x \| \leq
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in physics and engineering**
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and since their **eigenpairs characterise the action of these matrices**,
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the computation of
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eigenpairs often carris a **physical interpretation**.
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eigenpairs often carries a **physical interpretation**.
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For example, in the classical mechanics of rotating objects, the eigenvectors of the **[Moment of inertia](https://en.wikipedia.org/wiki/Moment_of_inertia)** tensor are the **principle axes** along which an object spins without coupling to other rotational degrees of freedom.
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@@ -159,7 +159,7 @@ md"""Note how the iterations stabilise, i.e. that $\textbf{x}$ and $\textbf{A} \
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# ╔═╡ 73c62d23-ac2a-48be-b3c7-0d51ffce773c
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md"""
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Let us understand what happened in this example in detail now. We consider the case $\mathbf{A} \in \mathbb{R}^{n \times n}$ diagonalisable and let further
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Let us understand what happened in this example in detail. We consider the case $\mathbf{A} \in \mathbb{R}^{n \times n}$ diagonalisable and let further
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```math
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\tag{1}
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|λ_1| ≤ |λ_2| ≤ |λ_3| ≤ \cdots ≤ |λ_{n-1}| \textcolor{red}{<} |λ_n|
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# ╔═╡ 4ebfc860-e179-4c76-8fc5-8c1089301078
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md"""
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Note that in this algorithm
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$α^{(k)} = 1 / \| y^{(k)}$, such that Step 4 is exactly performing
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the normalisation we developed above.
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$y_m^{(k)} = \| y^{(k)} \|_\infty$
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and $α^{(k)} = 1 / \| y^{(k)} \|_\infty$.
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Step 4 is thus performing the normalisation we developed above.
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Furthermore instead of employing $\| x \|_\infty$
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as the eigenvalue estimate it employs
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$β^{(k)}$, which is just a scaled version of $\| x \|_\infty$.
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md"""which has eigenvalues $λ_1 = -4$, $λ_2 = 4$ and $λ_3 = 2$.
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Since it has no unique dominant eigenvalue ($|λ_1| = |λ_2| = 4$)
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**plain power iterations** do not converge, but rather oscillate around $4$ or $-4$:
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**plain power iterations** do not converge, but rather oscillate:
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"""
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# ╔═╡ fe15a206-e650-4d59-962c-a00bc226bf48
@@ -897,8 +898,7 @@ $\mu_i = \frac1{λ_i-σ}$ or
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\mu_1 = \frac{1}{-4 + 6} = \frac12 \qquad \mu_2 = \frac{1}{4+6} = \frac1{10} \qquad \mu_3 = \frac1{2+6} = \frac{1}{8},
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```
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such that $\mu_1 = \frac12$ is the dominating eigenvalue. Therefore
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with $σ = -6$ inverse iterations converge to $-6 + 1 / \mu_1 =
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with $σ = -6$ inverse iterations converge to $-6 + 1 / (\frac{1}2) = -4$:
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with $σ = -6$ inverse iterations converge to $-6 + 1 / \mu_1 = -6 + 1 / (\frac{1}2) = -4$:
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"""
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