A1.20 B1.20

Numerical Analysis
Part II, 2002

(i) Let AA be an n×nn \times n symmetric real matrix with distinct eigenvalues λ1,λ2,,λn\lambda_{1}, \lambda_{2}, \ldots, \lambda_{n} and corresponding eigenvectors v1,v2,,vn\mathbf{v}_{1}, \mathbf{v}_{2}, \ldots, \mathbf{v}_{n}, where vl=1\left\|\mathbf{v}_{l}\right\|=1. Given x(0)Rn,x(0)=1\mathbf{x}^{(0)} \in \mathbb{R}^{n},\left\|\mathbf{x}^{(0)}\right\|=1, the sequence x(k)\mathbf{x}^{(k)} is generated in the following manner. We set

μ=x(k)TAx(k)y=(AμI)1x(k)x(k+1)=yy\begin{gathered} \mu=\mathbf{x}^{(k) T} A \mathbf{x}^{(k)} \\ \mathbf{y}=(A-\mu I)^{-1} \mathbf{x}^{(k)} \\ \mathbf{x}^{(k+1)}=\frac{\mathbf{y}}{\|\mathbf{y}\|} \end{gathered}

Show that if

x(k)=c1(v1+αl=2ndlvl)\mathbf{x}^{(k)}=c^{-1}\left(\mathbf{v}_{1}+\alpha \sum_{l=2}^{n} d_{l} \mathbf{v}_{l}\right)

where α\alpha is a real scalar and cc is chosen so that x(k)=1\left\|\mathbf{x}^{(k)}\right\|=1, then

μ=c2(λ1+α2j=2nλjdj2)\mu=c^{-2}\left(\lambda_{1}+\alpha^{2} \sum_{j=2}^{n} \lambda_{j} d_{j}^{2}\right)

Give an explicit expression for cc.

(ii) Use the above result to prove that, if α|\alpha| is small,

x(k+1)=c~1(v1+α3l=2nd~lvl)+O(α4)\mathbf{x}^{(k+1)}=\tilde{c}^{-1}\left(\mathbf{v}_{1}+\alpha^{3} \sum_{l=2}^{n} \tilde{d}_{l} \mathbf{v}_{l}\right)+O\left(\alpha^{4}\right)

and obtain the numbers c~\tilde{c} and d~2,,d~n\tilde{d}_{2}, \ldots, \tilde{d}_{n}.