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Numerical Linear Algebra

This document contains solutions to exam problems in numerical linear algebra. The problems cover topics such as: - Proving that the transpose of a nonsingular matrix multiplied by itself is positive definite. - Showing that the spectral radius of a matrix to the power of k is equal to the spectral radius of the matrix to the power of k. - Conditions for a matrix inverse to exist. - An example of a matrix where the spectral radius is less than any subordinate matrix norm. - Conditions for the Jacobi and Gauss-Seidel iterative methods to converge.

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196 views

Numerical Linear Algebra

This document contains solutions to exam problems in numerical linear algebra. The problems cover topics such as: - Proving that the transpose of a nonsingular matrix multiplied by itself is positive definite. - Showing that the spectral radius of a matrix to the power of k is equal to the spectral radius of the matrix to the power of k. - Conditions for a matrix inverse to exist. - An example of a matrix where the spectral radius is less than any subordinate matrix norm. - Conditions for the Jacobi and Gauss-Seidel iterative methods to converge.

Uploaded by

thermopolis3012
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© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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MATH 609-600

Exam #1, Numerical Linear Algebra


Solutions
(1) (10 pts) Let A Rnn be nonsingular. Prove that AT A is positive definte.
Solution: For real matrices, A is called positive definite if
xT Ax > 0, x Rn , x 6= 0.
Here, A Rnn and nonsingular. Then, if x 6= 0 we have that Ax 6= 0 (proof by contradiction). Observe that AT A is real, and (AT A)t = AT A, is symmetric. Moreover,
x Rn , x 6= 0 we have
(AT Ax, x) = (Ax, Ax) = (y, y) > 0, where y = Ax 6= 0.
So, we conclude AT A is symmetric positive definite. This completes the proof.
(2) (10 pts) Let (A) be the spectral radius of A. Show that (Ak ) = (A)k .
Solution: First, recall that the set of complex numbers (A) = { : det(A I) = 0} is
called spectrum of A. Then, (A), we show that k (Ak ). Indeed, let Au = u
with u 6= 0.
Ak u = Ak1 u = = k u.
For any (Ak ), we have Ak v = v, v 6= 0. Since, v belong to the range of A, so at least
there exists one eigenvalue = 1/k s.t.
Av = 1/k v.
Thus, we always have that for any || where Ak u = u, u 6= 0, there exists a || = ||1/k
where Au = u, u 6= 0; for any || where Au = u, u 6= 0, there exists a || = |k | = ||k
where Ak u = u, u 6= 0. So,
(Ak ) = max || max ||k = ( max ||)k = ((A))k .
(Ak )

(A)

(A)

(3) (10 pts) Let A, B Rnn be such that B is nonsingular and they satisfy the inequality
kAk kB 1 k 0.5. Show that B A is nonsingular.
Solution: Observe that B A = B(I B 1 A). Then B A is nonsinular if and only if
I B 1 A is nonsingular. Let X := B 1 A. We use that kXk = kB 1 Ak kB 1 kkAk < 1
and by the basic lemma we proved in class we conclude that I X has an inverse.
(4) (10 pts) Let (A) be the spectral radius of A. Is there a matrix such that (A) < kAk for
every subordinate matrix norm?
Solution: Yes, there is. Here is an example of such a matrix:


0 1
A=
.
0 0
We have that (A) = 0 and it is less than any subordinate matrix norm of A (any norm
of A is larger that zero). In fact, all nonzero upper or lower triangular matrices with zero
diagonal elements have (A) = 0, while any subordinate norm will be greater than 0.
1

(5) (10 pts) Assume that A and B are such that for some subordinate matrix norm k k the
following holds true: kI BAk < 1. Show that both A and B are nonsingular.
Solution: Let X = BA. Then X has an inverse because kI Xk < 1. Therefore, X is
nonsingular, i.e., det(X) 6= 0. Because det(X) = det(A) det(B) 6= 0 we conclude that both
A and B are nonsingular.
1. Some Not So Simple Problems
(6) (20 pts) Consider the system Ax = b where A Rnn is such that ajj = 1 >
1 j n. Prove that the Jacobi iteration method converges.

i6=j

|aij |, for

Solution: We proved in class tha Jacobi converges for any Strictly Diagonally Dominant
matrix. It is also in the book.
(7) (20 pts) Show that the matrix 1-norm subordinate to the vector 1-norm is given by:
n
n
X
X
kAk1 = max
|aij |, where kxk1 =
|xi |.
1jn

i=1

i=1

Solution: This is a homework problem.


(8) (20 pts) Show that the matrix C Rnn below is positive

3
1
0 ... 0
0
1
3
1
.
.
.
0
0

0
1
3 ... 0
0
C=
... ... ... ... ... ...

0
0
0 ... 3
1
0
0
0 ... 1
3

definite and find its spectrum:

Solution: Look at the general notes posted on my page for the spectrum of such matrices.
(9) (20 pts) Prove that the Gauss-Seidel iterative method for the system Cx = b converges.
Here C is defined in Problem 8.
Solution: Let C = DLU . The we have that G = (DL)1 U , and x(k+1) = Gx(k) +(D
L)1 b. Take an eigenvector x for an eigenvalue . Then Gx = x implies U x = (D L)x
which is equivalent to (L + U )x = Dx. Take xk such that |xk | = max1in |xi |. Then,
using equation k in the systems (L + U )x = Dx, we have
3|| = |||ckk | ||

k1
X

|ckj | +

j=1

n
X

|ckj |.

j=k+1

Therefore, we obtain
3

k1
X
j=1

n
1
1 X
|ckj | = 1 +
|ckj | +
||
||
j=k+1

and this implies that || 0.5 < 1. Then, the spectral radius of G is less than one, hence
the CG method converges.

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