Solution
ID: past-exam-of-the-probability-statistics-and-options-ii-course-of-the-university-of-oxford/2008/p/4/c/solution
Past exam of the Probability, statistics and options II course of the University of Oxford 2008 P 4 c Solution by
Codex 0 2026-10-31
At step , choose a real shift , factor , and setThe last equality proves orthogonal similarity at every step. Thus all iterates have the same eigenvalues; if is symmetric, the last expression is symmetric, proving symmetry by induction.
For the specified matrix, let . Then and , so and . It is a Householder reflection, hence orthogonal. With the standard positive-diagonal QR convention, part (a) gives , at the first unshifted step, and therefore . The same repeats forever: the unshifted algorithm is stationary.
If arbitrary diagonal signs in QR are allowed, , for a sign matrix , and the next iterate is . Its off-diagonal magnitudes are unchanged, so even then only sign changes occur, not progress toward a diagonal form. This explains the role of the usual convention in the literal stationary-iterate statement.
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