What Is a Circulant Matrix?

An n\times n circulant matrix is defined by n parameters, the elements in the first row, and each subsequent row is a cyclic shift forward of the one above:

\notag    C = \begin{bmatrix} c_1     & c_2    & \dots   & c_n     \\                        c_n     & c_1    & \dots   & \vdots  \\                        \vdots  & \ddots & \ddots  & c_2     \\                        c_2     & \dots  & c_n     & c_1     \\      \end{bmatrix}.

Circulant matrices have the important property that they are diagonalized by the discrete Fourier transform matrix

\notag      F_n = \Bigl(\exp( -2\pi \mathrm{i} (r-1)(s-1) / n )\Bigr)_{r,s=1}^n,

which satisfies F_n^*F_n = nI, so that n^{-1/2}F_n is a unitary matrix. (F_n is a Vandermonde matrix with points the roots of unity.) Specifically,

\notag          F_n C F_n^{-1} = D = \mathrm{diag}(d_i).  \qquad(1)

Hence circulant matrices are normal (C^*C = CC^*). Moreover, the eigenvalues are given by d = F_n Ce_1,

Note that one particular eigenpair is immediate, since Ce = \bigl(\sum_{i=1}^n c_i\bigr) e.

The factorization (1) enables a circulant linear system to be solved in O(n\log n) flops, since multiplication by F_n can be done using the fast Fourier transform.

A particular circulant matrix is the (up) shift matrix K_n, the 4\times 4 version of which is

\notag   K_4 = \begin{bmatrix}   0 & 1 & 0 & 0  \\   0 & 0 & 1 & 0  \\   0 & 0 & 0 & 1  \\   1 & 0 & 0 & 0 \end{bmatrix}.

It is not hard to see that

C =  c_1 I + c_2 K_n + c_3K_n^2 + \cdots + c_n K_n^{n-1}.

Since powers of K_n commute, it follows that any two circulant matrices commute (this is also clear from (1)). Furthermore, the sum and product of two circulant matrices is a circulant matrix and the inverse of a nonsingular circulant matrix is a circulant matrix.

One important use of circulant matrices is to act as preconditioners for Toeplitz linear systems. Several methods have been proposed for constructing a circulant matrix from a Toeplitz matrix, including copying the central diagonals and wrapping them around and finding the nearest circulant matrix to the Toeplitz matrix. See Chan and Ng (1996) or Chan and Jin (2017) for a summary of work on circulant preconditioners for Toeplitz systems.

An interesting circulant matrix is anymatrix('core/circul_binom',n) in the Anymatrix collection, which is the n\times n circulant matrix whose first row has ith element n \choose ,i-1. The eigenvalues are (1 + w^i)^n - 1, i=1:n, where w = \exp(2\pi\mathrm{i}/n). The matrix is singular when n is a multiple of 6, in which case the null space has dimension 2. Example:

>> n = 6; C = anymatrix('core/circul_binom',n), svd(C)
C =
     1     6    15    20    15     6
     6     1     6    15    20    15
    15     6     1     6    15    20
    20    15     6     1     6    15
    15    20    15     6     1     6
     6    15    20    15     6     1
ans =
   6.3000e+01
   2.8000e+01
   2.8000e+01
   1.0000e+00
   2.0244e-15
   7.6607e-16

Notes

A classic reference on circulant matrices is Davis (1994).

References

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.

What Is Fast Matrix Multiplication?

The definition of matrix multiplication says that for n\times n matrices A and B, the product C = AB is given by c_{ij} = \sum_{k=1}^n a_{ik}b_{kj}. Each element of C is an inner product of a row of A and a column of B, so if this formula is used then the cost of forming C is n^2(2n-1) additions and multiplications, that is, O(n^3) operations. For over a century after the development of matrix algebra in the 1850s by Cayley, Sylvester and others, all methods for matrix multiplication were based on this formula and required O(n^3) operations.

In 1969 Volker Strassen showed that when n=2 the product can be computed from the formulas

\notag \begin{gathered} p_1 =(a_{11}+a_{22})(b_{11}+b_{22}), \\ p_2=(a_{21}+a_{22})b_{11}, \qquad p_3=a_{11}(b_{12}-b_{22}), \\ p_4=a_{22}(b_{21}-b_{11}), \qquad p_5=(a_{11}+a_{12})b_{22}, \\ p_6=(a_{21}-a_{11})(b_{11}+b_{12}), \qquad p_7=(a_{12}-a_{22})(b_{21}+b_{22}), \\ \noalign{\smallskip} C = \begin{bmatrix} p_1+p_4-p_5+p_7 & p_3+p_5 \\ p_2+p_4 & p_1+p_3-p_2+p_6 \end{bmatrix}. \end{gathered}

The evaluation requires 7 multiplications and 18 additions instead of 8 multiplications and 4 additions for the usual formulas.

At first sight, Strassen’s formulas may appear simply to be a curiosity. However, the formulas do not rely on commutativity so are valid when the a_{ij} and b_{ij} are matrices, in which case for large dimensions the saving of one multiplication greatly outweighs the extra 14 additions. Assuming n is a power of 2, we can partition A and B into four blocks of size n/2, apply Strassen’s formulas for the multiplication, and then apply the same formulas recursively on the half-sized matrix products.

Let us examine the number of multiplications for the recursive Strassen algorithm. Denote by M(k) the number of scalar multiplications required to multiply two 2^k \times 2^k matrices. We have M(k) = 7M(k-1), so

M(k) = 7M(k-1) = 7^2M(k-2) = \cdots = 7^k M(0) = 7^k.

But 7^k = 2^{\log_2{7^k}} = (2^k)^{\log_2 7} = n^{\log_2 7} = n^{2.807\dots}. The number of additions can be shown to be of the same order of magnitude, so the algorithm requires O(n^{\log_27})=O(n^{2.807\dots}) operations.

Strassen’s work sparked interest in finding matrix multiplication algorithms of even lower complexity. Since there are O(n^2) elements of data, which must each participate in at least one operation, the exponent of n in the operation count must be at least 2.

The current record upper bound on the exponent is 2.37286, proved by Alman and Vassilevska Williams (2021) which improved on the previous record of 2.37287, proved by Le Gall (2014) The following figure plots the best upper bound for the exponent for matrix multiplication over time.

mmhist.jpg

In the methods that achieve exponents lower than 2.775, various intricate techniques are used, based on representing matrix multiplication in terms of bilinear or trilinear forms and their representation as tensors having low rank. Laderman, Pan, and Sha (1993) explain that for these methods “very large overhead constants are hidden in the `O‘ notation”, and that the methods “improve on Strassen’s (and even the classical) algorithm only for immense numbers N.”

Strassen’s method, when carefully implemented, can be faster than conventional matrix multiplication for reasonable dimensions. In practice, one does not recur down to 1\times 1 matrices, but rather uses conventional multiplication once n_0\times n_0 matrices are reached, where the parameter n_0 is tuned for the best performance.

Strassen’s method has the drawback that it satisfies a weaker form of rounding error bound that conventional multiplication. For conventional multiplication C = AB of A\in\mathbb{R}^{m\times n} and B\in\mathbb{R}^{n\times p} we have the componentwise bound

\notag        |C - \widehat{C}| \le \gamma^{}_n |A| @ |B|, \qquad(1)

where \gamma^{}_n = nu/(1-nu) and u is the unit roundoff. For Strassen’s method we have only a normwise error bound. The following result uses the norm \|A\| = \max_{i,j} |a_{ij}|, which is not a consistent norm.

Theorem 1 (Brent). Let A,B \in \mathbb{R}^{n\times n}, where n=2^k. Suppose that C=AB is computed by Strassen’s method and that n_0=2^r is the threshold at which conventional multiplication is used. The computed product \widehat{C} satisfies

\notag    \|C - \widehat{C}\| \le \left[ \Bigl( \displaystyle\frac{n}{n_0} \Bigr)^{\log_2{12}}                       (n_0^2+5n_0) - 5n \right] u \|A\|\, \|B\|                       + O(u^2). \qquad(2)

With full recursion (n_0=1) the constant in (2) is 6 n^{\log_2 12}-5n \approx 6 n^{3.585}-5n, whereas with just one level of recursion (n_0 = n/2) it is 3n^2+25n. These compare with n^2u + O(u^2) for conventional multiplication (obtained by taking norms in (1)). So the constant for Strassen’s method grows at a faster rate than that for conventional multiplication no matter what the choice of n_0.

The fact that Strassen’s method does not satisfy a componentwise error bound is a significant weakness of the method. Indeed Strassen’s method cannot even accurately multiply by the identity matrix. The product

\notag       C = \begin{bmatrix} 1 & 0 \\ 0 & 1 \end{bmatrix}           \begin{bmatrix} 1 & \epsilon \\ \epsilon & \epsilon^2 \end{bmatrix},             \quad 0 < \epsilon \ll 1

is evaluated exactly in floating-point arithmetic by conventional multiplication, but Strassen’s method computes

c_{22} = 2(1+\epsilon^2) + (\epsilon-\epsilon^2) - 1 - (1+\epsilon).

Because c_{22} involves subterms of order unity, the error c_{22} - \widehat c_{22} will be of order u. Thus the relative error |c_{22} - \widehat c_{22}| / |c_{22}| = O(u/\epsilon^2) \gg O(u),

Another weakness of Strassen’s method is that while the scaling AB \to (AD) (D^{-1}B), where D is diagonal, leaves (1) unchanged, it can alter (2) by an arbitrary amount. Dumitrescu (1998) suggests computing D_1(D_1^{-1}A\cdot B D_2^{-1})D_2, where the diagonal matrices D_1 and D_2 are chosen to equilibrate the rows of A and the columns of B in the \infty-norm; he shows that this scaling can improve the accuracy of the result. Further investigations along these lines are made by Ballard et al. (2016).

Should one use Strassen’s method in practice, assuming that an implementation is available that is faster than conventional multiplication? Not if one needs a componentwise error bound, which ensures accurate products of matrices with nonnegative entries and ensures that the column scaling of A and row scaling of B has no effect on the error. But if a normwise error bound with a faster growing constant than for conventional multiplication is acceptable then the method is worth considering.

Notes

For recent work on high-performance implementation of Strassen’s method see Huang et al. (2016, 2020).

Theorem 1 is from an unpublished technical report of Brent (1970). A proof can be found in Higham (2002, §23.2.2).

For more on fast matrix multiplication see Bini (2014) and Higham (2002, Chapter 23).

References

This is a minimal set of references, which contain further useful references within.

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.

What Is the Pascal Matrix?

The Pascal matrix P_n\in\mathbb{R}^{n\times n} is the symmetric matrix defined by

p_{ij} = \displaystyle{i+j-2 \choose j-1} = \displaystyle\frac{ (i+j-2)! }{ (i-1)! (j-1)! }.

It contains the rows of Pascal’s triangle along the anti-diagonals. For example:

\notag  P_5 = \left[\begin{array}{ccccc}     1 & 1 & 1 & 1 & 1\\     1 & 2 & 3 & 4 & 5\\     1 & 3 & 6 & 10 & 15\\     1 & 4 & 10 & 20 & 35\\     1 & 5 & 15 & 35 & 70 \end{array}\right].

In MATLAB, the matrix is pascal(n).

The Pascal matrix is positive definite and has the Cholesky factorization

\notag    P_n = L_nL_n^T,   \qquad(1)

where the rows of L_n are the rows of Pascal’s triangle. For example,

\notag    L_5 = \left[\begin{array}{ccccc} 1 & 0 & 0 & 0 & 0\\ 1 & 1 & 0 & 0 & 0\\ 1 & 2 & 1 & 0 & 0\\ 1 & 3 & 3 & 1 & 0\\ 1 & 4 & 6 & 4 & 1 \end{array}\right]\\

From (1) we have \det(P_n) = \det(L_n)^2 = 1. Form this equation, or by inverting (1), it follows that P_n^{-1} has integer elements. Indeed the inverse is known to have (i,j) element

\notag      (-1)^{i-j} \displaystyle\sum_{k=0}^{n-i} {i+k-1 \choose k} {i+k-1 \choose i+k-j},      \quad i \ge j. \qquad(2)

The Cholesky factor L_n can be factorized as

\notag    L_n = M_{n-1} M_{n-2} \dots M_1, \qquad(3)

where M_i is unit lower bidiagonal with the first i-1 entries along the subdiagonal of M_i zero and the rest equal to 1. For example,

\notag \begin{aligned}    L_5 =     \left[\begin{array}{ccccc} 1 & 0 & 0 & 0 & 0\\ 0 & 1 & 0 & 0 & 0\\ 0 & 0 & 1 & 0 & 0\\ 0 & 0 & 0 & 1 & 0\\ 0 & 0 & 0 & 1 & 1 \end{array}\right]     \left[\begin{array}{ccccc} 1 & 0 & 0 & 0 & 0\\ 0 & 1 & 0 & 0 & 0\\ 0 & 0 & 1 & 0 & 0\\ 0 & 0 & 1 & 1 & 0\\ 0 & 0 & 0 & 1 & 1 \end{array}\right]     \left[\begin{array}{ccccc} 1 & 0 & 0 & 0 & 0\\ 0 & 1 & 0 & 0 & 0\\ 0 & 1 & 1 & 0 & 0\\ 0 & 0 & 1 & 1 & 0\\ 0 & 0 & 0 & 1 & 1 \end{array}\right]     \left[\begin{array}{ccccc} 1 & 0 & 0 & 0 & 0\\ 1 & 1 & 0 & 0 & 0\\ 0 & 1 & 1 & 0 & 0\\ 0 & 0 & 1 & 1 & 0\\ 0 & 0 & 0 & 1 & 1 \end{array}\right]. \end{aligned}

The factorization (3) shows that P_n is totally positive, that is, every minor (a determinant of a square submatrix) is positive. Indeed each bidiagonal factor M_i is totally nonnegative, that is, every minor is nonnegative, and the product of totally nonnegative matrices is totally nonnegative. Further results in the theory of totally positive matrices show that the product is actually totally positive.

The positive definiteness of P_n implies that the eigenvalues are real and positive. The total positivity, together with the fact that P_n is (trivially) irreducible, implies that the eigenvalues are distinct.

For a symmetric positive semidefinite matrix A with nonnegative entries, we define A^{\circ t} = (a_{ij}^t), which is the matrix with every entry raised to the power t\in \mathbb{R}. We say that A is infinitely divisible if A^{\circ t} is positive semidefinite for all nonnegative t. The Pascal matrix is infinitely divisible.

It is possible to show that

\notag    L_n^{-1}  = DL_nD, \qquad (4)

where D = \mathrm{diag}((-1)^i). In other words, Y_n = L_nD is involutory, that is, Y_n^2 = I. It follows from P_n = Y_n Y_n^T that

\notag \begin{aligned} P_n^{-1} = Y_n^{-T} Y_n^{-1} = Y_n^T Y_n = Y_n^{-1} (Y_n Y_n^T) Y_n          = Y_n^{-1} P_n Y_n, \end{aligned}

so P_n and P_n^{-1} are similar and hence have the same eigenvalues. This means that the eigenvalues of P_n appear in reciprocal pairs and that the characteristic polynomial is palindromic. Here is an illustration in MATLAB:

>> P = pascal(5); evals = eig(P); [evals 1./evals], coeffs = charpoly(P)
ans =
   1.0835e-02   9.2290e+01
   1.8124e-01   5.5175e+00
   1.0000e+00   1.0000e+00
   5.5175e+00   1.8124e-01
   9.2290e+01   1.0835e-02
coeffs =
     1   -99   626  -626    99    -1

Now

p_{nn} \le \|P\|_2 \le (\|P\|_1 \|P\|_{\infty})^{1/2}      = \biggl(\displaystyle\frac{2n-1}{n}\biggr) p_{nn},

where for the equality we used a binomial coefficient summation identity. The fact that P_n is positive definite with reciprocal eigenvalues implies that \kappa_2(P) = \|P\|_2^2. Hence, using Stirling’s approximation (n! \sim \sqrt{2\pi n} (n/\mathrm{e})^n),

\kappa_2(P_n) \sim p_{nn}^2                  \sim\left( \displaystyle\frac{ (2n)! }{ (n!)^2 } \right)^2                  \sim \displaystyle\frac{16^n}{n \pi}.

Thus P_n is exponentially ill conditioned as n\to\infty.

The matrix Y_n is obtained in MATLAB with pascal(n,1); this is a lower triangular square root of the identity matrix. Turnbull (1927) noted that by rotating Y_n through 90 degrees one obtains a cube root of the identity matrix. This matrix is returned by pascal(n,2). For example, with n = 5:

\notag \hspace*{-1cm} X = \left[\begin{array}{rrrrr} 1 & 1 & 1 & 1 & 1\\ -4 & -3 & -2 & -1 & 0\\ 6 & 3 & 1 & 0 & 0\\ -4 & -1 & 0 & 0 & 0\\ 1 & 0 & 0 & 0 & 0 \end{array}\right], \quad X^2 = \left[\begin{array}{rrrrr} 0 & 0 & 0 & 0 & 1\\ 0 & 0 & 0 & -1 & -4\\ 0 & 0 & 1 & 3 & 6\\ 0 & -1 & -2 & -3 & -4\\ 1 & 1 & 1 & 1 & 1 \end{array}\right], \quad X^3 = I.

The logarithm of L_n is explicitly known: it is the upper bidiagonal matrix

\notag   \log L_n = \left[\begin{array}{ccccc}     0 & 1 &   &        &  \\       & 0 & 2 &        &   \\[-5pt]       &   & 0 & \ddots &   \\[-5pt]       &   &   & \ddots & n-1\\       &   &   &        & 0 \end{array}\right].  \qquad (5)

Notes

For proofs of (2) and (4) see Cohen (1975) and Call and Velleman (1993). respectively. For (5), see Edelman and Strang (2004). The infinite divisibility of the Pascal matrix is infinitely is shown by Bhatia (2006). For the total positivity property see Fallat and Johnson (2011).

References

Related Blog Posts

This article is part of the “What Is” series, available from https://nhigham.com/index-of-what-is-articles/ and in PDF form from the GitHub repository https://github.com/higham/what-is.

What Is a Schur Decomposition?

A Schur decomposition of a matrix A\in\mathbb{C}^{n\times n} is a factorization A = QTQ^*, where Q is unitary and T is upper triangular. The diagonal entries of T are the eigenvalues of A, and they can be made to appear in any order by choosing Q appropriately. The columns of Q are called Schur vectors.

A subspace \mathcal{X} of \mathbb{C}^{n\times n} is an invariant subspace of A if Ax\in\mathcal{X} for all x\in\mathcal{X}. If we partition Q and T conformably we can write

\notag   A [Q_1,~Q_2] = [Q_1,~Q_2]   \begin{bmatrix}   T_{11} & T_{12} \\       0  & T_{22} \\   \end{bmatrix},

which gives A Q_1 = Q_1 T_{11}, showing that the columns of Q_1 span an invariant subspace of A. Furthermore, Q_1^*AQ_1 = T_{11}. The first column of Q is an eigenvector of A corresponding to the eigenvalue \lambda_1 = t_{11}, but the other columns are not eigenvectors, in general. Eigenvectors can be computed by solving upper triangular systems involving T - \lambda I, where \lambda is an eigenvalue.

Write T = D+N, where D = \mathrm{diag}(\lambda_i) and N is strictly upper triangular. Taking Frobenius norms gives \|A\|_F^2 = \|D\|_F^2 + \|N\|_F^2, or

\notag        \|N\|_F^2 = \|A\|_F^2 - \displaystyle\sum_{i=1}^n |\lambda_i|^2.

Hence \|N\|_F is independent of the particular Schur decomposition and it provides a measure of the departure from normality. The matrix A is normal (that is, A^*A = AA^*) if and only if N = 0. So a normal matrix is unitarily diagonalizable: A = QDQ^*.

An important application of the Schur decomposition is to compute matrix functions. The relation f(A) = Qf(T)Q^* shows that computing f(A) reduces to computing a function of a triangular matrix. Matrix functions illustrate what Van Loan (1975) describes as “one of the most basic tenets of numerical algebra”, namely “anything that the Jordan decomposition can do, the Schur decomposition can do better!”. Indeed the Jordan canonical form is built on a possibly ill conditioned similarity transformation while the Schur decomposition employs a perfectly conditioned unitary similarity, and the full upper triangular factor of the Schur form can do most of what the Jordan form’s bidiagonal factor can do.

An upper quasi-triangular matrix is a block upper triangular matrix

\notag   R =   \begin{bmatrix}   R_{11} & R_{12} & \dots & R_{1m}\\          & R_{22} & \dots & R_{2m}\\          &        & \ddots& \vdots\\          &        &       &  R_{mm}   \end{bmatrix}

whose diagonal blocks R_{ii} are either 1\times1 or 2\times2. A real matrix A\in\mathbb{R}^{n \times n} has a real Schur decomposition A = QRQ^T in which in which all the factors are real, Q is orthogonal, and R is upper quasi-triangular with any 2\times2 diagonal blocks having complex conjugate eigenvalues. If A is normal then the 2\times 2 blocks R_{ii} have the form

R_{ii} = \left[\begin{array}{@{}rr@{\mskip2mu}} a & b \\                -b & a \end{array}\right], \quad b \ne 0,

which has eigenvalues a \pm \mathrm{i}b.

The Schur decomposition can be computed by the QR algorithm at a cost of about 25n^3 flops for Q and T, or 10n^3 flops for T only.

In MATLAB, the Schur decomposition is computed with the schur function: the command [Q,T] = schur(A) returns the real Schur form if A is real and otherwise the complex Schur form. The complex Schur form for a real matrix can be obtained with [Q,T] = schur(A,'complex'). The rsf2csf function converts the real Schur form to the complex Schur form. The= ordschur function takes a Schur decomposition and modifies it so that the eigenvalues appear in a specified order along the diagonal of T.

References

Related Blog Posts

This article is part of the “What Is” series, available from https://nhigham.com/index-of-what-is-articles/ and in PDF form from the GitHub repository https://github.com/higham/what-is.

What Is a Permutation Matrix?

A permutation matrix is a square matrix in which every row and every column contains a single 1 and all the other elements are zero. Such a matrix, P say, is orthogonal, that is, P^TP = PP^T = I_n, so it is nonsingular and has determinant \pm 1. The total number of n\times n permutation matrices is n!.

Premultiplying a matrix by P reorders the rows and postmultiplying by P reorders the columns. A permutation matrix P that has the desired reordering effect is constructed by doing the same operations on the identity matrix.

Examples of permutation matrices are the identity matrix I_n, the reverse identity matrix J_n, and the shift matrix K_n (also called the cyclic permutation matrix), illustrated for n = 4 by

\notag   I_4 = \begin{bmatrix}   1 & 0 & 0 & 0  \\   0 & 1 & 0 & 0  \\   0 & 0 & 1 & 0  \\   0 & 0 & 0 & 1 \end{bmatrix}, \qquad   J_4 = \begin{bmatrix}   0 & 0 & 0 & 1  \\   0 & 0 & 1 & 0  \\   0 & 1 & 0 & 0  \\   1 & 0 & 0 & 0 \end{bmatrix}, \qquad   K_4 = \begin{bmatrix}   0 & 1 & 0 & 0  \\   0 & 0 & 1 & 0  \\   0 & 0 & 0 & 1  \\   1 & 0 & 0 & 0 \end{bmatrix}.

Pre- or postmultiplying a matrix by J_n reverses the order of the rows and columns, respectively. Pre- or postmultiplying a matrix by K_n shifts the rows or columns, respectively, one place forward and moves the first one to the last position—that is, it cyclically permutes the rows or columns. Note that J_n is a symmetric Hankel matrix and K_n is a circulant matrix.

An elementary permutation matrix P differs from I_n in just two rows and columns, i and j, say. It can be written P = I_n - (e_i-e_j)(e_i-e_j)^T, where e_i is the ith column of I_n. Such a matrix is symmetric and so satisfies P^2 = I_n, and it has determinant -1. A general permutation matrix can be written as a product of elementary permutation matrices P = P_1P_2\dots P_k, where k is such that \det(P) = (-1)^k.

It is easy to show that \det(\lambda I - K_n) = \lambda^n - 1, which means that the eigenvalues of K_n are 1, w, w^2, \dots, w^{n-1}, where w = \exp(2\pi\mathrm{i}/n) is the nth root of unity. The matrix K_n has two diagonals of 1s, which move up through the matrix as it is powered: K_n^i \ne I for i< n and K_n^n = I. The following animated gif superposes MATLAB spy plots of K_{64}, K_{64}^2, …, K_{64}^{64} = I_{64}.

shift_powers.gif

The shift matrix K_n plays a fundamental role in characterizing irreducible permutation matrices. Recall that a matrix A\in\mathbb{C}^{n\times n} is irreducible if there does not exist a permutation matrix P such that

\notag         P^TAP = \begin{bmatrix} A_{11} & A_{12} \\                                    0   & A_{22}                  \end{bmatrix},

where A_{11} and A_{22} are square, nonempty submatrices.

Theorem 1. For a permutation matrix P \in \mathbb{R}^{n \times n} the following conditions are equivalent.

  • P is irreducible.
  • There exists a permutation matrix Q such that Q^{-1}PQ = K_n
  • The eigenvalues of P are 1, w, w^2, \dots, w^{n-1}.

One consequence of Theorem 1 is that for any irreducible permutation matrix P, \mathrm{rank}(P - I) = \mathrm{rank}(K_n - I) = n-1.

The next result shows that a reducible permutation matrix can be expressed in terms of irreducible permutation matrices.

Theorem 2. Every reducible permutation matrix is permutation similar to a direct sum of irreducible permutation matrices.

Another notable permutation matrix is the vec-permutation matrix, which relates A\otimes B to B\otimes A, where \otimes is the Kronecker product.

A permutation matrix is an example of a doubly stochastic matrix: a nonnegative matrix whose row and column sums are all equal to 1. A classic result characterizes doubly stochastic matrices in terms of permutation matrices.

Theorem 3 (Birkhoff). A matrix is doubly stochastic if and only if it is a convex combination of permutation matrices.

In coding, memory can be saved by representing a permutation matrix P as an integer vector p, where p_i is the column index of the 1 within the ith row of P. MATLAB functions that return permutation matrices can also return the permutation in vector form. Here is an example with the MATLAB lu function that illustrates how permuting a matrix can be done using the vector permutation representation.

>> A = gallery('frank',4), [L,U,P] = lu(A); P
A =
     4     3     2     1
     3     3     2     1
     0     2     2     1
     0     0     1     1
P =
     1     0     0     0
     0     0     1     0
     0     0     0     1
     0     1     0     0
>> P*A
ans =
     4     3     2     1
     0     2     2     1
     0     0     1     1
     3     3     2     1
>> [L,U,p] = lu(A,'vector'); p
p =
     1     3     4     2
>> A(p,:)
ans =
     4     3     2     1
     0     2     2     1
     0     0     1     1
     3     3     2     1

For more on handling permutations in MATLAB see section 24.3 of MATLAB Guide.

Notes

For proofs of Theorems 1–3 see Zhang (2011, Sec. 5.6). Theorem 3 is also proved in Horn and Johnson (2013, Thm. 8.7.2).

Permutations play a key role in the fast Fourier transform and its efficient implementation; see Van Loan (1992).

References

Related Blog Posts

This article is part of the “What Is” series, available from https://nhigham.com/index-of-what-is-articles/ and in PDF form from the GitHub repository https://github.com/higham/what-is.

What Is the Matrix Inverse?

The inverse of a matrix A\in\mathbb{C}^{n\times n} is a matrix X\in\mathbb{C}^{n\times n} such that AX = I, where I is the identity matrix (which has ones on the diagonal and zeros everywhere else). The inverse is written as A^{-1}. If the inverse exists then A is said to be nonsingular or invertible, and otherwise it is singular.

The inverse X of A also satisfies XA = I, as we now show. The equation AX = I says that Ax_j = e_j for j=1\colon n, where x_j is the jth column of A and e_j is the jth unit vector. Hence the n columns of A span \mathbb{C}^n, which means that the columns are linearly independent. Now A(I-XA) = A - AXA = A -A = 0, so every column of I - XA is in the null space of A. But this contradicts the linear independence of the columns of A unless I - XA = 0, that is, XA = I.

The inverse of a nonsingular matrix is unique. If AX = AW = I then premultiplying by X gives XAX = XAW, or, since XA = I, X = W.

The inverse of the inverse is the inverse: (A^{-1})^{-1} = A, which is just another way of interpreting the equations AX = XA = I.

Connections with the Determinant

Since the determinant of a product of matrices is the product of the determinants, the equation AX = I implies \det(A) \det(X) = 1, so the inverse can only exist when \det(A) \ne 0. In fact, the inverse always exists when \det(A) \ne 0.

An explicit formula for the inverse is

\notag   A^{-1} = \displaystyle\frac{\mathrm{adj}(A)}{\det(A)},   \qquad (1)

where the adjugate \mathrm{adj} is defined by

\bigl(\mathrm{adj}(A)\bigr)_{ij} = (-1)^{i+j} \det(A_{ji})

and where A_{pq} denotes the submatrix of A obtained by deleting row p and column q. A special case is the formula

\notag      \begin{bmatrix}        a & b \\ c& d      \end{bmatrix}^{-1}    = \displaystyle\frac{1}{ad-bc}      \begin{bmatrix}        d & -b \\ -c & a      \end{bmatrix}.

The equation AA^{-1} = I implies \det(A^{-1}) = 1/\det(A).

Conditions for Nonsingularity

The following result collects some equivalent conditions for a matrix to be nonsingular. We denote by \mathrm{null}(A) the null space of A (also called the kernel).

Theorem 1. For A \in \mathbb{C}^{n \times n} the following conditions are equivalent to A being nonsingular:

  • \mathrm{null}(A) = \{0\},
  • \mathrm{rank}(A) = n,
  • Ax=b has a unique solution x, for any b,
  • none of the eigenvalues of A is zero,
  • \det(A) \ne 0.

A useful formula is

\notag     (AB)^{-1} = B^{-1}A^{-1}.

Here are some facts about the inverses of n\times n matrices of special types.

  • A diagonal matrix D = \mathrm{diag}(d_i) is nonsingular if d_i\ne0 for all i, and D^{-1} = \mathrm{diag}(d_i^{-1}).
  • An upper (lower) triangular matrix T is nonsingular if its diagonal elements are nonzero, and the inverse is upper (lower) triangular with (i,i) element t_{ii}^{-1}.
  • If x,y\in\mathbb{C}^n and y^*A^{-1}x \ne -1, then A + xy^* is nonsingular and

    \notag     \bigl(A + xy^*\bigr)^{-1}       = A^{-1} - \displaystyle\frac{A^{-1}x y^* A^{-1}}{1 +  y^*A^{-1}x}.

    This is the Sherman–Morrison formula.

The Inverse as a Matrix Polynomial

The Cayley-–Hamilton theorem says that a matrix satisfies its own characteristic equation, that is, if p(t) = \det(tI - A) = t^n + c_{n-1} t^{n-1} + \cdots + c_0, then p(A) = 0. In other words, A^n + c_{n-1} A^{n-1} + \cdots + c_0I = 0, and if A is nonsingular then multiplying through by A^{-1} gives (since c_0 = p(0) = (-1)^n\det(A) \ne 0)

A^{-1} = -\displaystyle\frac{1}{c_0} (A^{n-1} + c_{n-1} A^{n-2} + \cdots + c_1 I).     \qquad (2)

This means that A^{-1} is expressible as a polynomial of degree at most n-1 in A (with coefficients that depend on A).

To Compute or Not to Compute the Inverse

The inverse is an important theoretical tool, but it is rarely necessary to compute it explicitly. If we wish to solve a linear system of equations Ax = b then computing A^{-1} and then forming x = A^{-1}b is both slower and less accurate in floating-point arithmetic than using LU factorization (Gaussian elimination) to solve the system directly. Indeed, for n = 1 one would not solve 3x = 1 by computing 3^{-1} \times 1.

For sparse matrices, computing the inverse may not even be practical, as the inverse is usually dense.

If one needs to compute the inverse, how should one do it? We will consider the cost of different methods, measured by the number of elementary arithmetic operations (addition, subtraction, division, multiplication) required. Using (1), the cost is that of computing one determinant of order n and n^2 determinants of order n-1. Since computing a k\times k determinant costs at least O(k^3) operations by standard methods, this approach costs at least O(n^5) operations, which is prohibitively expensive unless n is very small. Instead one can compute an LU factorization with pivoting and then solve the systems Ax_i = e_i for the columns x_i of A^{-1}, at a total cost of 2n^3 + O(n^2) operations.

Equation (2) does not give a good method for computing A^{-1}, because computing the coefficients c_i and evaluating a matrix polynomial are both expensive.

It is possible to exploit fast matrix multiplication methods, which compute the product of two n\times n matrices in O(n^\alpha) operations for some \alpha < 3. By using a block LU factorization recursively, one can reduce matrix inversion to matrix multiplication. If we use Strassen’s fast matrix multiplication method, which has \alpha = \log_2 7 \approx 2.807, then we can compute A^{-1} in O(n^{2.807}) operations.

Slash Notation

MATLAB uses the backslash and forward slash for “matrix division”, with the meanings A \backslash B = A^{-1}B and A / B = AB^{-1}. Note that because matrix multiplication is not commutative, A \backslash B \ne A / B, in general. We have A\backslash I = I/A = A^{-1} and I\backslash A = A/I = A. In MATLAB, the inverse can be compute with inv(A), which uses LU factorization with pivoting.

Rectangular Matrices

If A is m\times n then the equation AX = I_m requires X to be n\times m, as does XA = I_n. Rank considerations show that at most one of these equations can hold if m\ne n. For example, if A = a^* is a nonzero row vector, then AX = 1 for X = a/a^*a, but XA = aa^*/a^*a\ne I. This is an example of a generalized inverse.

An Interesting Inverse

Here is a triangular matrix with an interesting inverse. This example is adapted from the LINPACK Users’ Guide, which has the matrix, with “LINPACK” replacing “INVERSE” on the front cover and the inverse on the back cover.

\notag \left[\begin{array}{ccccccc} I & N & V & E & R & S & E\\ 0 & N & V & E & R & S & E\\ 0 & 0 & V & E & R & S & E\\ 0 & 0 & 0 & E & R & S & E\\ 0 & 0 & 0 & 0 & R & S & E\\ 0 & 0 & 0 & 0 & 0 & S & E\\ 0 & 0 & 0 & 0 & 0 & 0 & E \end{array}\right]^{-1} = \left[\begin{array}{*{7}{r@{\hspace{4pt}}}} 1/I & -1/I & 0 & 0 & 0 & 0 & 0\\ 0 & 1/N & -1/N & 0 & 0 & 0 & 0\\ 0 & 0 & 1/V & -1/V & 0 & 0 & 0\\ 0 & 0 & 0 & 1/E & -1/E & 0 & 0\\ 0 & 0 & 0 & 0 & 1/R & -1/R & 0\\ 0 & 0 & 0 & 0 & 0 & 1/S & -1/S\\ 0 & 0 & 0 & 0 & 0 & 0 & 1/E \end{array}\right].

What Is A\A?

In a recent blog post What is A\backslash A?, Cleve Moler asked what the MATLAB operation A \backslash A returns. I will summarize what backslash does in general, for A \backslash B and then consider the case B = A.

A \backslash B is a solution, in some appropriate sense, of the equation

\notag   AX = B, \quad A \in\mathbb{C}^{m\times n}           \quad X \in\mathbb{C}^{n\times p}           \quad B \in\mathbb{C}^{m\times p}. \qquad (1)

It suffices to consider the case p = 1, because backslash treats the columns independently, and we write this as

\notag  Ax = b,  \quad A \in\mathbb{C}^{m\times n}           \quad x \in\mathbb{C}^{n}           \quad b \in\mathbb{C}^{m}.

The MATLAB backslash operator handles several cases depending on the relative sizes of the row and column dimensions of A and whether it is rank deficient.

Square Matrix: m = n

When A is square, backslash returns x = A^{-1}b, computed by LU factorization with partial pivoting (and of course without forming A^{-1}). There is no special treatment for singular matrices, so for them division by zero may occur and the output may contain NaNs (in practice, what happens will usually depend on the rounding errors). For example:

>> A = [1 0; 0 0], b = [1 0]', x = A\b
A =
     1     0
     0     0
b =
     1
     0
Warning: Matrix is singular to working precision. 

x =
     1
   NaN

Backslash take advantage of various kinds of structure in A; see MATLAB Guide (section 9.3) or doc mldivide in MATLAB.

Overdetermined System: m > n

An overdetermined system has no solutions, in general. Backslash yields a least squares (LS) solution, which is unique if A has full rank. If A is rank-deficient then there are infinitely many LS solutions, and backslash returns a basic solution: one with at most \mathrm{rank}(A) nonzeros. Such a solution is not, in general, unique.

Underdetermined System: m < n

An underdetermined system has fewer equations than unknowns, so either there is no solution of there are infinitely many. In the latter case A\backslash b produces a basic solution and in the former case a basic LS solution. Example:

>> A = [1 1 1; 1 1 0]; b = [3 2]'; x = A\b
x =
   2.0000e+00
            0
   1.0000e+00

Another basic solution is [0~2~1]^T, and the minimum 2-norm solution is [1~1~1]^T.

A\A

Now we turn to the special case A\backslash A, which in terms of equation (1) is a solution to AX = A. If A = 0 then X = I is not a basic solution, so A\backslash A \ne I; in fact, 0\backslash 0  = 0 if m\ne n and it is matrix of NaNs if m = n.

For an underdetermined system with full-rank A, A\backslash A is not necessarily the identity matrix:

>> A = [1 0 1; 0 1 0], X = A\A
A =
     1     0     1
     0     1     0
X =
     1     0     1
     0     1     0
     0     0     0

But for an overdetermined system with full-rank A, A\backslash A is the identity matrix:

>> A'\A'
ans =
   1.0000e+00            0
  -1.9185e-17   1.0000e+00

Minimum Frobenius Norm Solution

The MATLAB definition of A\backslash b is a pragmatic one, as it computes a solution or LS solution to Ax = b in the most efficient way, using LU factorization (m = n) or QR factorization (m\ne n). Often, one wants the solution of minimum 2-norm, which can be expressed as A^+b, where A^+ is the pseudoinverse of A. In MATLAB, A^+b can be computed by lsqminnorm(A,b) or pinv(A)*b, the former expression being preferred as it avoids the unnecessary computation of A^+ and it uses a complete orthogonal factorization instead of an SVD.

When the right-hand side is a matrix, B, lsqminnorm(A,B) and pinv(A)*B give the solution of minimal Frobenius norm, which we write as A \backslash\backslash B. Then A\backslash\backslash A = A^+A, which is the orthogonal projector onto \mathrm{range}(A^*), and it is equal to the identity matrix when m\ge n and A has full rank. For the matrix above:

>> A = [1 0 1; 0 1 0], X = lsqminnorm(A,A)
A =
     1     0     1
     0     1     0
X =
   5.0000e-01            0   5.0000e-01
            0   1.0000e+00            0
   5.0000e-01            0   5.0000e-01

Related Blog Posts

This article is part of the “What Is” series, available from https://nhigham.com/index-of-what-is-articles/ and in PDF form from the GitHub repository https://github.com/higham/what-is.

What Is the Jordan Canonical Form?

How close can similarity transformations take a matrix towards diagonal form? The answer is given by the Jordan canonical form, which achieves the largest possible number of off-diagonal zero entries (Brualdi, Pei, and Zhan, 2008).

Theorem (Jordan canonical form). Any matrix A\in\mathbb{C}^{n\times n} can be expressed as

\notag \begin{aligned}    A &= ZJZ^{-1}, \quad   J = \mathrm{diag}(J_1, J_2, \dots, J_p), \\   J_k &= J_k(\lambda_k) =       \begin{bmatrix} \lambda_k & 1         &          &           \\                           & \lambda_k & \ddots   &           \\                           &           & \ddots   &    1      \\                           &           &          & \lambda_k \end{bmatrix}     \in \mathbb{C}^{m_k\times m_k}, \label{Jk} \end{aligned}

where Z is nonsingular and m_1 + m_2 + \cdots + m_p = n. The matrix J is unique up to the ordering of the blocks J_k.

The matrix J is (up to reordering of the diagonal blocks) the Jordan canonical form of A (or the Jordan form, for short).

The bidiagonal matrices J_k are called Jordan blocks. Clearly, the eigenvalues of J_k are \lambda_k repeated m_k times and J_k has a single eigenvector, e_1\in\mathbb{R}^{m_k}. Two different Jordan blocks can have the same eigenvalues.

In total, J has p linearly independent eigenvectors, and the same is true of A.

The Jordan canonical form is an invaluable tool in matrix analysis, as it provides a concrete way to prove and understand many results. However, the Jordan form can not be reliably computed in finite precision arithmetic, so it is of little use computationally, except in special cases such as when A is Hermitian or normal.

For a Jordan block J_k = J_k(\lambda_k)\in\mathbb{C}^{m_k\times m_k} we have

\notag \begin{aligned} J_k - \lambda_k I    &=  \begin{bmatrix} 0         & 1         &          &           \\                           & 0         & \ddots   &           \\                           &           & \ddots   &    1      \\                           &           &          & 0         \end{bmatrix}, \quad (J_k - \lambda_k I)^2    =  \begin{bmatrix} 0         & 0         & 1        &        &           \\                           & 0         & 0        &    \ddots   &      \\                           &           & \ddots   &  \ddots& 1   \\                           &           &          & \ddots & 0     \\                           &           &          &      & 0    \end{bmatrix},\\ \dots,\quad (J_k - \lambda_k I)^{m_k-1}    &=  \begin{bmatrix} 0         & 0         & \dots    &    1      \\                           & 0         & \dots    &    0      \\                           &           & \ddots   &    \vdots \\                           &           &          & 0          \end{bmatrix}, \quad   (J_k - \lambda_k I)^{m_k} = 0. \qquad (*)\notag \end{aligned}

The superdiagonal of ones moves up to the right with each increase in the index of the power, until it disappears off the top corner of the matrix.

It is easy to see that (A - \lambda I_n)^{j} = Z(J - \lambda I_n)^{j} Z^{-1}      = Z\mathrm{diag}\bigl((J_k(\lambda_k) - \lambda I_{m_k})^{j}\bigr) Z^{-1}, and so

\mathrm{rank}( (A - \lambda I_n)^{j} ) = \sum_{k = 1}^p\mathrm{rank}\bigl( (J_k(\lambda_k) - \lambda I_{m_k})^{j} \bigr).

For \lambda = \lambda_k, these quantities provide information about the size of the Jordan blocks associated with \lambda_k. To be specific, let

\notag    d_j = \mathrm{rank}( (A - \lambda_kI_n)^{j}), \quad j\ge 1, \quad \quad d_0 = n

and

\notag   \omega_j = d_{j-1} - d_j, \quad j \ge 1.

By considering the equations (*) above, it can be shown that \omega_j is the number of Jordan blocks of size at least j in which \lambda_k appears. Moreover, the number of Jordan blocks of size j is \omega_j - \omega_{j+1} = d_{j-1} - 2d_j + d_{j+1}. Therefore if we know the eigenvalues and the ranks of (A - \lambda_k I_n)^j for each eigenvalue \lambda_k and appropriate j then we can determine the Jordan structure. As an important special case, if \mathrm{rank}(A - \lambda_k I_n) = n-1 then we know that \lambda_k appears in a single Jordan block. The sequence of \omega_j is known as the Weyr characteristic, and it satisfies \omega_1 \ge \omega_2 \ge \cdots.

As an example of a matrix for which we can easily deduce the Jordan form consider the nilpotent matrix B = \bigl[\begin{smallmatrix} 0_r & I_r\\0_r & 0_r \end{smallmatrix}\bigr], for which B^2 = 0 and all the eigenvalues are zero. Since \mathrm{rank}(B) = r, we have d_0 = 2r, d_1 = r, and d_2 = 0. Hence \omega_1 = 0 and \omega_2 = r, so there are r 2\times 2 Jordan blocks. (In fact, A can be permuted into Jordan form by a similarity transformation.)

Here is an example with A the 11\times 11 matrix anymatrix('core/collatz',11).

\notag A = \left[\begin{array}{ccccccccccc} 1 & 1 & 0 & 0 & 0 & 0 & 0 & 0 & 0 & 0 & 0\\ 1 & 1 & 0 & 0 & 0 & 0 & 0 & 0 & 0 & 0 & 0\\ 0 & 0 & 1 & 0 & 1 & 0 & 0 & 0 & 0 & 0 & 0\\ 0 & 1 & 0 & 1 & 0 & 0 & 0 & 0 & 0 & 0 & 0\\ 0 & 0 & 0 & 0 & 1 & 0 & 0 & 1 & 0 & 0 & 0\\ 0 & 0 & 1 & 0 & 0 & 1 & 0 & 0 & 0 & 0 & 0\\ 0 & 0 & 0 & 0 & 0 & 0 & 1 & 0 & 0 & 0 & 1\\ 0 & 0 & 0 & 1 & 0 & 0 & 0 & 1 & 0 & 0 & 0\\ 0 & 0 & 0 & 0 & 0 & 0 & 0 & 0 & 1 & 0 & 0\\ 0 & 0 & 0 & 0 & 1 & 0 & 0 & 0 & 0 & 1 & 0\\ 0 & 0 & 0 & 0 & 0 & 0 & 0 & 0 & 0 & 0 & 1 \end{array}\right]

We have \mathrm{rank}(A) = 10 and \mathrm{rank}(A-2I) = 10, so 0 and 2 are simple eigenvalues. All the other eigenvalues are 1 and they have the following d_j and \omega_j values:

\notag \begin{array}{cccc} j &  d_j &\omega_j &\omega_j - \omega_{j+1}\\\hline  0 & 11 &     &     \\  1 &  7 &   4 &   2 \\  2 &  5 &   2 &   1 \\  3 &  4 &   1 &   0 \\  4 &  3 &   1 &   0 \\  5 &  2 &   1 &   1 \\  6 &  2 &   0 &   0 \\ \end{array}

We conclude that the eigenvalue 1 occurs in one block of order 5, one block of order 2, and two blocks of order 1.

A matrix and its transpose have the same Jordan form. One way to see this is to note that A = ZJZ^{-1} implies

A^T = Z^{-T}J^TZ^T      = Z^{-T}P \cdot PJ^TP \cdot PZ^T      = (ZP)^{-T}J \,(ZP)^T,

where P is the identity matrix with the its columns reversed. A consequence is that A and A^T are similar.

Real Jordan Form

A version of the Jordan form with Z and J real exists for A\in\mathbb{R}^{n\times n}. The main change is how complex eigenvalues are represented. Since the eigenvalues now occur in complex conjugate pairs \lambda and \overline{\lambda}, and each of the pair has the same Jordan structure (which follows from the fact that a matrix and its complex conjugate have the same rank), pairs of Jordan blocks corresponding to \lambda and \overline{\lambda} are combined into a real block of twice the size. For example, Jordan blocks

\notag  \begin{bmatrix} \lambda & 1 \\ 0 & \lambda \end{bmatrix}, \;  \begin{bmatrix}\,\overline{\lambda} & 1 \\ 0 & \overline{\lambda} \end{bmatrix}  \in\mathbb{C}^{2 \times 2}

become

\notag     \left[\begin{array}{@{\mkern3mu}rr|rr@{\mkern7mu}}          a & b & 1 & 0 \\         -b & a & 0 & 1 \\\hline          0 & 0 & a & b \\          0 & 0 &-b & a          \end{array}\right]  \in\mathbb{R}^{4 \times 4}

in the real Jordan form, where \lambda = a + \mathrm{i} b. Note that the eigenvalues of \bigl[\begin{smallmatrix} a & b \\ -b & a \end{smallmatrix}\bigr] are a \pm \mathrm{i} b.

Notes

Proofs of the Jordan canonical form and its real variant can be found in many textbooks. See also Brualdi (1987) and Fletcher and Sorensen (1983), who give proofs that go via the Schur decomposition.

References

This article is part of the “What Is” series, available from https://nhigham.com/index-of-what-is-articles/ and in PDF form from the GitHub repository https://github.com/higham/what-is.

What Is the Second Difference Matrix?

The second difference matrix is the tridiagonal matrix T_n with diagonal elements 2 and sub- and superdiagonal elements -1:

\notag    T_n = \left[    \begin{array}{@{}*{4}{r@{\mskip10mu}}r}                 2  & -1 &        &        &    \\                 -1 & 2  & -1     &        &    \\[-5pt]                    & -1 & 2      & \ddots &    \\                    &    & \ddots & \ddots & -1 \\                    &    &        & -1     & 2    \end{array}\right] \in\mathbb{R}^{n\times n}.

It arises when a second derivative is approximated by the central second difference f''(x) \approx (f(x+h) -2 f(x) + f(x-h))/h^2. (Accordingly, the second difference matrix is sometimes defined as -T_n.) In MATLAB, T_n can be generated by gallery('tridiag',n), which is returned as a aparse matrix.

This is Gil Strang’s favorite matrix. The photo, from his home page, shows a birthday cake representation of the matrix.

strang_second_diff_cake.jpg

The second difference matrix is symmetric positive definite. The easiest way to see this is to define the full rank rectangular matrix

\notag  L_n = \begin{bmatrix}                1  &      &        &  \\                -1 &  1   &        &  \\                   & -1   & \ddots &  \\                   &      & \ddots & 1 \\                   &      &        &  -1     \end{bmatrix} \in\mathbb{R}^{(n+1)\times n}

and note that T_n = L_n^T L_n. The factorization corresponds to representing a central difference as the product of a forward difference and a backward difference. Other properties of the second difference matrix are that it is diagonally dominant, a Toeplitz matrix, and an M-matrix.

Cholesky Factorization

In an LU factorization A = LU the pivots u_{ii} are 2, 3/2, 4/3, …, (n+1)/n. Hence the pivots form a decreasing sequence tending to 1 as n\to\infty. The diagonal of the Cholesky factor contains the square roots of the pivots. This means that in the Cholesky factorization A = R^*R with R upper bidiagonal, r_{nn} \to 1 and r_{n,n-1}\to -1 as n\to\infty.

Determinant, Inverse, Condition Number

Since the determinant is the product of the pivots, \det(T_n) = n+1.

The inverse of T_n is full, with (i,j) element i(n-j+1)/(n+1) for j\ge i. For example,

\notag   T_5^{-1} = \displaystyle\frac{1}{6}  \begin{bmatrix} 5 & 4 & 3 & 2 & 1\\ 4 & 8 & 6 & 4 & 2\\ 3 & 6 & 9 & 6 & 3\\ 2 & 4 & 6 & 8 & 4\\ 1 & 2 & 3 & 4 & 5  \end{bmatrix}.

The 2-norm condition number satisfies \kappa_2(T_n) \sim 4n^2/\pi^2 (as follows from the formula (1) below for the eigenvalues).

Eigenvalues and Eigenvectors

The eigenvalues of T_n are

\notag      \mu_k       = 4 \sin^2\Bigl(\displaystyle\frac{k \phi}{2} \Bigr),         \quad k = 1:n, \qquad (1)

where \phi = \pi/(n+1), with corresponding eigenvector

\notag   v_k = \begin{bmatrix} \sin(k\phi), &\sin(2k\phi), &\dots, &\sin(nk\phi)   \end{bmatrix}^T.

The matrix Q with

\notag    q_{ij} = \Bigl(\displaystyle\frac{2}{n+1}\Bigr)^{1/2} \sin\Bigl( \frac{ij\pi}{n+1} \Bigr)

is therefore an eigenvector matrix for T_n: Q^*AQ = \mathrm{diag}(\mu_k).

Variations

Various modifications of the second difference matrix arise and similar results can be derived. For example, consider the matrix obtained by changing the (n,n) element to 1:

\notag    \widetilde{T}_n = \left[    \begin{array}{@{}*{4}{r@{\mskip10mu}}r}                 2  & -1 &        &        &    \\                 -1 & 2  & -1     &        &    \\[-5pt]                    & -1 & 2      & \ddots &    \\                    &    & \ddots & \ddots & -1 \\                    &    &        & -1     & 1    \end{array}\right] \in\mathbb{R}^{n\times n}.

It can be shown that \widetilde{T}_n^{-1} has (i,j) element \min(i,j) and eigenvalues 4\cos( j \pi/(2n+1))^2, j=1:n.

If we perturb the (1,1) of \widetilde{T}_n to 1, we obtain a singular matrix, but suppose we perturb the (1,1) element to 3:

\notag    \widehat{T}_n = \left[    \begin{array}{@{}*{4}{r@{\mskip10mu}}r}                 3  & -1 &        &        &    \\                 -1 & 2  & -1     &        &    \\[-5pt]                    & -1 & 2      & \ddots &    \\                    &    & \ddots & \ddots & -1 \\                    &    &        & -1     & 1    \end{array}\right] \in\mathbb{R}^{n\times n}.

The inverse is \widehat{T}_n^{-1} = G/2, where G with (i,j) element 2\min(i,j)-1 is a matrix of Givens, and the eigenvalues are 4\cos((2j-1)\pi/(4n))^2, j=1:n.

Notes

The factorization T_n = L_n^TL_n is noted by Strang (2012).

For a derivation of the eigenvalues and eigenvectors see Todd (1977, p. 155 ff.). For the eigenvalues of \widetilde{T}_n see Fortiana and Cuadras (1997). Givens’s matrix is described by Newman and Todd (1958) and Todd (1977).

References

This is a minimal set of references, which contain further useful references within.

Related Blog Posts

What Is the Frank Matrix?

The n\times n upper Hessenberg matrix

\notag   F_n =   \left[\begin{array}{*{6}c}   n      & n-1    & n-2    & \dots  & 2      & 1 \\   n-1    & n-1    & n-2    & \dots  & 2      & 1 \\   0      & n-2    & n-2    & \dots  & 2      & 1 \\[-3pt]   \vdots & 0      & \ddots & \ddots & \vdots & 1 \\[-3pt]   \vdots & \vdots & \dots  &   2    & 2      & 1 \\   0      & 0      & \dots  &   0    & 1      & 1 \\   \end{array}\right]

was introduced by Frank in 1958 as a test matrix for eigensolvers.

Determinant

Taking the Laplace expansion about the first column, we obtain \det(F_n) = n\det(F_{n-1}) - (n-1)\det(F_{n-1})             = \det(F_{n-1}), and since \det(F_1) = 1 we have \det(F_n) = 1.

In MATLAB, the computed determinant of the matrix and its transpose can be far from the exact values of 1:

>> n = 20; F = anymatrix('gallery/frank',n); 
>> [det(F), det(F')]
ans =
   1.0000e+00  -1.4320e+01
>> n = 49; F = anymatrix('gallery/frank',n); det(F)
ans =
    -1.406934439401568e+45

This behavior illustrates the sensitivity of the determinant rather than numerical instability in the evaluation and it is very dependent on the arithmetic (different results may be obtained in different releases of MATLAB). The sensitivity can be seen by noting that

\notag     \det\bigl(F_n + \epsilon e_1e_n^T\bigr) = 1 + (-1)^{n-1} (n-1)!\epsilon,     \qquad (1)

which means that changing the (1,n) element from 1 to 1+\epsilon changes the determinant by (n-1)!\epsilon.

Inverse and Condition Number

It is easily verified that

\notag       F_n =             \begin{bmatrix}            1 & -1 &        &        &   \\                          &  1 & -1     &        &   \\                          &    & 1      & \ddots &   \\                          &    &        & \ddots & -1\\                          &    &        &        & 1        \end{bmatrix}^{-1}       \begin{bmatrix}               1 &    &        &        &   \\                      n-1 &  1 &        &        &   \\                          & n-2&  1     &        &   \\                          &    &  \ddots& \ddots &       \\                          &    &        &   1    & 1    \end{bmatrix}          \equiv U^{-1}L.       \qquad (2)

Hence F_n^{-1} = L^{-1}U is lower Hessenberg with integer entries. This factorization provides another way to see that \det(F_n) = 1.

From (1) we see that F_n + \epsilon e_1e_n^T is singular for \epsilon = (-1)^n/(n-1)!, which implies that

\notag      \kappa(F_n) \ge (n-1)! \|F_n\|

for any subordinate matrix norm, showing that the condition number grows very rapidly with n. In fact, this lower bound is within a factor 3.5 of the condition number for the 1-, 2-, and \infty-norms for n\le 20.

Eigenvalues

Denote by p_n(t) = \det(F_n - tI) the characteristic polynomial of F_n. By expanding about the first column one can show that

\label{Fnpn-rec}     p_n(t) = (1-t)p_{n-1}(t) - (n-1)t p_{n-2}(t).    \qquad (3)

Using (3), one can show by induction that

\notag       p_n(t^{-1}) = (-1)^n t^{-n} p_n(t).

This means that the eigenvalues of F_n occur in reciprocal pairs, and hence that \lambda = 1 is an eigenvalue when n is odd. It also follows that p_n is palindromic when n is even and anti-palindromic when n is odd. Examples:

>> charpoly( anymatrix('gallery/frank',6) )
ans =
     1   -21   120  -215   120   -21     1
>> charpoly( anymatrix('gallery/frank',7) )
ans =
     1   -28   231  -665   665  -231    28    -1

Since F_n has nonzero subdiagonal entries, \mathrm{rank}(F_n - t I) \ge n-1 for any t, and hence F_n is nonderogatory, that is, no eigenvalue appears in more than one Jordan block in the Jordan canonical form. It can be shown that the eigenvalues are real and positive and that they can be expressed in terms of the zeros of Hermite polynomials. Furthermore, the eigenvalues are distinct.

If each eigenvalue of an n\times n matrix undergoes a small perturbation then the determinant, being the product of the eigenvalues, undergoes a perturbation up to about n times as large. From (1) we see that a change to F_n of order \epsilon can perturb \det(F_n) by (n-1)!\epsilon, and it follows that some eigenvalues must undergo a large relative perturbation. The condition number of a simple eigenvalue is defined as the reciprocal of the cosine of the angle between its left and right eigenvectors. For the Frank matrix it is the small eigenvalues that are ill conditioned, as shown here for n = 9.

>> n = 9; F = anymatrix('gallery/frank',n);
>> [V,D,cond_evals] = condeig(F); evals = diag(D);
>> [~,k] = sort(evals,'descend');
>> [evals(k) cond_evals(k)]
ans =
   2.2320e+01   1.9916e+00
   1.2193e+01   2.3903e+00
   6.1507e+00   1.5268e+00
   2.6729e+00   3.6210e+00
   1.0000e+00   6.8615e+01
   3.7412e-01   1.5996e+03
   1.6258e-01   1.1907e+04
   8.2016e-02   2.5134e+04
   4.4803e-02   1.4762e+04

Notes

Frank found that F_n “gives our selected procedures difficulties” and that “accuracy was lost in the smaller roots”. The difficulties encountered by Frank’s codes were shown by Wilkinson to be caused by the inherent sensitivity of the eigenvalues to perturbations in the matrix.

References

This is a minimal set of references, which contain further useful references within.

Related Blog Posts

This article is part of the “What Is” series, available from https://nhigham.com/index-of-what-is-articles/ and in PDF form from the GitHub repository https://github.com/higham/what-is.