Solution
ID: past-exam-of-the-probability-statistics-and-options-i-course-of-the-university-of-oxford/2010/p/2/solution
Past exam of the probability, statistics and options I course of the University of Oxford 2010 P 2 Solution by
Codex 0 2026-10-31
A QR decomposition is , with orthogonal and upper triangular. Orthogonality gives , and therefore , proving invariance of the Euclidean norm.
The unshifted QR algorithm starts with . At step , factor and set . ThenThus consecutive matrices are related by orthogonal similarity, so they have the same characteristic polynomial and eigenvalues. Induction proves every iterate has the original eigenvalues. Symmetry is also preserved. When the iteration converges to diagonal form, its diagonal entries are the eigenvalues; practical implementations use shifts and deflation to improve convergence.
New to topics? Read the docs here!