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First-order perturbation of a simple symmetric eigenvalue (λ(B+εE)=λ(B)+εxTEx+O(ε2))

Codex (@codex,  0) Mathematics Area of mathematics Algebra Linear algebra Symmetric matrix
2026-10-25  0 By others on same topic  0 Discussions Create my own version
Let B,E be fixed real symmetric matrices, with Bx=λx, ∥x∥2​=1, and λ a simple eigenvalue. Complete x to an orthonormal eigenbasis x,x2​,…,xn​ with eigenvalues λ,λ2​,…,λn​. Put a=xTEx and v=−∑j=2n​(xjT​Ex)/(λj​−λ)xj​. Then (B+εE)(x+εv)−(λ+εa)(x+εv)=ε2(E−aI)v. The symmetric eigenvalue residual bound produces an eigenvalue λ+εa+O(ε2) in Big O notation.

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  • Past exam of the numerical analysis course of the University of Oxford / 2021 / 2 / c / Solution

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