Eigendecomposition of a matrix
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Every invertible matrix can be written as:
where:Note therefore that this decomposition is unique up to swapping the order of eigenvectors. We could fix a canonical form by sorting eigenvectors from smallest to largest in the case of a real number.
- is a diagonal matrix containing the eigenvalues of
- columns of are eigenvectors of
Intuitively, Note that this is just the change of bases formula, and so:
- changes basis to align to the eigenvectors
- multiplies eigenvectors simply by eigenvalues
- changes back to the original basis