3
Sep 18

Diagonalization of symmetric matrices

We are looking for conditions under which a matrix in some orthonormal basis takes a diagonal form.

Definition 1. We say that $A$ is diagonalizable if there exists an orthonormal basis $U=(u_1,...,u_n)$ such that $A_U=U^{-1}AU$ is diagonal: $A_U=diag[\lambda_1,...,\lambda_n].$

The usual way of solving a mathematical problem is this. Look for necessary conditions. Then try to find weak sufficient conditions. If they coincide with the necessary ones, you have an exact solution to the problem.

Exercise 1 (necessary condition) Suppose $A$ is diagonalizable by an orthogonal matrix. Then it is symmetric.

Proof. A diagonal matrix is obviously symmetric. Hence, from $A=UA_UU^{-1}$ and using Exercise 1 on the orthogonal matrix inverse $A^T=(U^{-1})^TA_U^TU^T$ $=(U^T)^TA_UU^{-1}=A.$

Exercise 2. If $A$ is symmetric and a subspace $L\subset R^n$ is invariant with respect to $A$, then $L^\perp$ is also an invariant subspace of $A$.

Proof. Let $y\in L^\perp.$ We need to show that $Ay\in L^\perp.$ Take any $x\in L.$ Since $L$ is invariant, we have $Ax\in L.$ Hence, by Exercise 1 $0=(Ax)\cdot y=x\cdot(Ay).$ Since $x$ is arbitrary, it follows that $Ay\in L^\perp.$

Exercise 3 (sufficient condition) If $A$ is symmetric, then it is diagonalizable by an orthogonal matrix.

Proof. Let $A$ be symmetric. By Exercise 3 $A$ has at least one eigenvector $u_1\in R^n.$ Denote $L_1$ the set of vectors orthogonal to $u_1.$ It has dimension $n-1$ and it is invariant by Exercise 2. By Exercise 4 $A$ has an eigenvector $u_2$ in $L_1.$

Let $L_2$ be the set of vectors from $L_1$ which are orthogonal to $u_2.$ As above, $\dim L_2=n-2$, $L_2$ is invariant and in $L_2$ there is an eigenvector $u_3$ of $A$.

Continuing in this way, eventually we obtain a system $u_1,...,u_n.$ Since $u_1$ is orthogonal to $L_1$ and all of $u_2,u_3,...$ belong to $L_1$$u_1$ is orthogonal to all of $u_2,u_3,...$. Similarly, at each step $u_i$ is orthogonal to all of $u_{i+1},u_{i+2},...$ Thus, the system $u_1,...,u_n$ is orthogonal. Its elements can be scaled to satisfy $\|u_i\|=1$ for all $i.$

The resulting system $U=(u_1,...,u_n)$ will be an orthonormal basis. Its completeness follows from the fact that there are $n$ elements in this system and they are linearly independent.

Denoting $\lambda_i$ the eigenvalue corresponding to $u_i,$ we have $Au_i=\lambda_iu_i.$ This means that $A$ is of diagonal form in the basis $U.$ The transition matrix from the basis consisting of unit vectors $e_i$ to $u_i$ is orthogonal. If $x\in R^n,$ then the same $x$ is the vector of coefficients of $x$ in the basis $E=(e_1,...,e_n).$ By Exercise 3, $A_U=U^{-1}AU.$