A symmetric indefinite matrix is a symmetric matrix for which the quadratic form takes both positive and negative values. By contrast, for a positive definite matrix for all nonzero and for a negative definite matrix for all nonzero .
A neat way to express the indefinitess is that there exist vectors and for which .
A symmetric indefinite matrix has both positive and negative eigenvalues and in some sense is a typical symmetric matrix. For example, a random symmetric matrix is usually indefinite:
>> rng(3); B = rand(4); A = B + B'; eig(A)' ans = -8.9486e-01 -6.8664e-02 1.1795e+00 3.9197e+00
In general it is difficult to tell if a symmetric matrix is indefinite or definite, but there is one easy-to-spot sufficient condition for indefinitess: if the matrix has a zero diagonal element that has a nonzero element in its row then it is indefinite. Indeed if then , where is the th unit vector, so cannot be positive definite or negative definite. The existence of a nonzero element in the row of the zero rules out the matrix being positive semidefinite ( for all ) or negative semidefinite ( for all ).
An example of a symmetric indefinite matrix is a saddle point matrix, which has the block form
where is symmetric positive definite and . When is the identity matrix, is the augmented system matrix associated with a least squares problem . Another example is the reverse identity matrix , illustrated by
which has eigenvalues (exercise: how many s and how many s?). A third example is a Toeplitz tridiagonal matrix with zero diagonal:
>> A = full(gallery('tridiag',5,1,0,1)), eig(sym(A))' A = 0 1 0 0 0 1 0 1 0 0 0 1 0 1 0 0 0 1 0 1 0 0 0 1 0 ans = [-1, 0, 1, 3^(1/2), -3^(1/2)]
How can we exploit symmetry in solving a linear system with a symmetric indefinite matrix ? A Cholesky factorization does not exist, but we could try to compute a factorization , where is unit lower triangular and is diagonal with both positive and negative diagonal entries. However, this factorization does not always exist and if it does, its computation in floating-point arithmetic can be numerically unstable. The simplest example of nonexistence is the matrix
The way round this is to allow to have blocks. We can compute a block factorization , were is a permutation matrix, is unit lower triangular, and is block diagonal with diagonal blocks of size or . Various pivoting strategies, which determine , are possible, but the recommend one is the symmetric rook pivoting strategy of Ashcraft, Grimes, and Lewis (1998), which has the key property of producing a bounded factor. Solving now reduces to substitutions with and a solve with , which involves solving linear systems for the blocks and doing divisions for the blocks (scalars).
MATLAB implements factorization in its
ldl function. Here is an example using Anymatrix:
>> A = anymatrix('core/blockhouse',4), [L,D,P] = ldl(A), eigA = eig(A)' A = -4.0000e-01 -8.0000e-01 -2.0000e-01 4.0000e-01 -8.0000e-01 4.0000e-01 -4.0000e-01 -2.0000e-01 -2.0000e-01 -4.0000e-01 4.0000e-01 -8.0000e-01 4.0000e-01 -2.0000e-01 -8.0000e-01 -4.0000e-01 L = 1.0000e+00 0 0 0 0 1.0000e+00 0 0 5.0000e-01 -8.3267e-17 1.0000e+00 0 -2.2204e-16 -5.0000e-01 0 1.0000e+00 D = -4.0000e-01 -8.0000e-01 0 0 -8.0000e-01 4.0000e-01 0 0 0 0 5.0000e-01 -1.0000e+00 0 0 -1.0000e+00 -5.0000e-01 P = 1 0 0 0 0 1 0 0 0 0 1 0 0 0 0 1 eigA = -1.0000e+00 -1.0000e+00 1.0000e+00 1.0000e+00
Notice the blocks on the diagonal of , each of which contains one negative eigenvalue and one positive eigenvalue. The eigenvalues of are not the same as those of , but since and are congruent they have the same number of positive, zero, and negative eigenvalues.
- Cleve Ashcraft, Roger Grimes, and John Lewis, Accurate Symmetric Indefinite Linear Equation Solvers, SIAM J. Matrix Anal. Appl. 20, 513–561, 1998.
- Nicholas J. Higham and Mantas Mikaitis, Anymatrix: An Extendable MATLAB Matrix Collection, Numer. Algorithms, 90:3, 1175–1196, 2021.
Related Blog Posts
- What Is a Modified Cholesky Factorization? (2020)
- What Is a Symmetric Positive Definite Matrix? (2020)
This article is part of the “What Is” series, available from https://nhigham.com/category/what-is and in PDF form from the GitHub repository https://github.com/higham/what-is.