1

1.1

How to compute the matrix exponential. . . and more!

Distinct eigenvalues

Theorem: If matrix A Rnn (or Cnn ) has m distinct eigenvalues

(i 6= j , i 6= j = 1, . . . , m) then it has (at least) m linearly independent
eigenvectors.
Corollary: If all eigenvalues of A are distinct then A is diagonalizable!
Proof of the Theorem: (By contradiction) Assume i , i = 1, . . . , m are
distinct and vi , i = 1, . . . , m are linearly dependent. That is, there exists i
such that
m
X
i vi = 0
i=1

where i are not zero all zero. We can assume w.l.o.g that 1 6= 0. Multiplying
on the left by (m I A)
0 = (m I A)

m
X

i vi = (m I A)

i=1

m1
X

i vi + m (m I A)vm ,

i=1

m1
X

i (m i )vi ,

i=1

since Avi = i vi . Then multiply by (m1 I A)

(m1 I A)

m1
X

i (m i )vi =

i=1

m2
X

i (m1 i )(m i )vi = 0

i=1

Repeatedly multiply by (mk I A), k = 2, . . . , m 2 to obtain

1

m
Y

(i 1 )vi = 0.

i=2

As 1 6= i , i = 2, . . . , m, the above implies 1 = 0, which is a contradiction.

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1.2

Non-diagonalizable matrices

Question: Are there matrices which are not diagonalizable by a similarity

transformation?
Short answer: YES.
Long answer:
? If A = T T 1 then must contain only eigenvalues. Recall that

Av1 Avn = AT = T = 1 v1 n vn .

0 1
Matrix A =
, has 1 = 2 = 0 (see homework), therefore = 0. But
0 0
if A is diagonalizable then there exists T nonsingular such T 1 T = 0 6= A!

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1.3

Now what?

First, a matrix might have repeated eigenvalues and still be diagonalizable.

Simple example: A = I.

1 0 1
Not so simple example: A = 0 1 0
0 0 2
Eigenvalues

1
0
1

1
0 = ( 1)( 1)( 2)
0 = det(I A) = 0
0
0
2

1 = 2 = 1,

3 = 2.

Eigenvectors

(1I A)v = 0
0

1
(2I A)v = 0
0

0 1
0 0 v = 0,
0 1

0 1
1 0 v = 0,
0 0

v 1 = 0 ,
0

1
v 3 = 0 .
1

v2 = 1 ,
0

Therefore

1
0
0
|

0 1
1 0 1
1 0 1
1 0 0
0 1 0 0 1 0 = 0 1 0
1 0
0 1
0 0 2
0 0 1
0 0 2
{z
} | {z } | {z }
| {z }
T 1
A
T
=

Conclusion: eigenvalues with multiplicity greater than one might have linearly
independent eigenvectors.

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1.4

Jordan Form

Definition: A Jordan Block Jk () Ckk is the upper triangular matrix

1
0

.. ..
.
.

Jk () =
.

1
0

Theorem: For any matrix A Rnn (or Cnn ) there exists T nonsingular
such that J = T 1 AT , where

Jk1 (1 )
0
...
,
J =
0
Jkm (m )
the eigenvalues 1 , . . . , m with multiplicity k1 , . . . , km are not necessarily
distinct, and k1 + + km = n.
Corollary: When m = n then J = .

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Proof of the Theorem: Let p m be the number of eigenvalues of A with

any multiplicity but associated with linearly independent eigenvectors.
For i = 1, . . . , p, let i , be one of such eigenvalues and vi its associated
eigenvector. Set ki = 1 so that Jki (i ) = J1 (i ) = i , i = 1, . . . , p.

For i > p define Ti = vi1 viki and consider

i 1
0

.
.
.. ..

Avi1 Aviki = ATi = Ti Jki (i ) = vi1 viki

,

i 1
0
i
which is equivalent to

Avi1 = i vi1 ,
Avi2 = vi1 + i vi2 ,
.. ..
. .
Aviki = viki1 + i viki .
For k = 2
(A i I)vi2 = vi1 6= 0

vi2 6= 0,

which multiplied by (A i I) on the left produces

(A i I)2 vi2 = (A i I)vi1 = 0.
In general
(A i I)j1 vij = vij1 6= 0,
(A i I)j vij = 0.

vij 6= 0

Using the above facts, we can prove that vij , j = 1, . . . , ki , are linearly
independent, the same way we did for distinct eigenvalues.

Putting it all together: matrix T = v1 vp Tp+1 Tm is nonsingular

and

AT = Av1 Avp ATp+1 ATm

= v1 J1 (1 ) vp J1 (p ) Tp+1 Jkp+1 (p+1 ) Tm Jkm (m ) = T J

so that

J = T 1 AT.
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1.5

Back to matrix functions

Let f (x) : C C be a continuous scalar-valued function.

Definition: For any X Rnn (or Cnn )

f (Jk1 (1 ))
...
f (X) = T
0

0
f (Jkm (m ))

T 1 ,

where T nonsingular and Jk1 , , Jkm are such that

Jk1 (1 )
0
...
= T 1 AT.

0
Jkm (m )

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1.6

What is f (Jk ())?

The simplest particular case is J2 (). Define

1
,
J2 (, ) =
0 +
with eigenvalues
1 = ,

2 = + .

For any 6= 0, J2 (, ) is diagonalizable.

Computing eigenvectors

0 1
[1 I J2 (, )]v1 =
v =0
0 1

1
[2 I J2 (, )]v2 =
v2 = 0,
0 0

1
v1 =
,
0

1
v2 =
.

and

T = v1 v2

1 1
=
,
0

T 1

1 1/
=
0 1/

we can evaluate
f (J2 (, )) = T f ()T 1

1 1 f ()
0
1 1/
=
,
0
0 f ( + ) 0 1/

f () (f ( + ) f ())/
=
.
0
f ( + )

As J2 (, ) J2 () as 0 and f is continuous, if f is also differentiable at

f () f 0 ()
f (J2 (, )) = lim f (J2 (, )) =
.
0
0
f ()
In the general case

f () f 0 ()

...

f (Jk ()) =

1 00
2! f ()

...
...

MAE 280A

...
...
...

1
(k1)
f
()
(k1)!
..
.

1 00
2! f ()
0

f ()
f ()

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1.7

What is f (Jk ()t)?

Again for k = 2
f (J2 (, )t) = T f (t)T

1 1 f (t)
0
1 1/
=
,
0
0
f (( + )t) 0 1/

f (t) (f (( + )t) f (t))/

=
.
0
f (( + )t)

And before we take the limit let = t so that

f (t) t(f (t + ) f (t))/

f (t) tf0 (t)
=
,
lim f (J2 (, )t) = lim
0
0
f (t + )
0
f (t)
0
In the general case

f (Jk (t)) =

f (t) tf (t)
...

Example

t2 00
2! f (t)

...
...

...
...
...

tk1
(k1)
(t)
(k1)! f

..
.
2
t 00
2! f (t)
tf 0 (t)
f (t)

eJk (t)

MAE 280A

te
...

t2 t
2! e

...
...

...
...
...

tk1 t
(k1)! e

..
.
t2 t
2! e
tet
et

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1.8

Example:

Compute eAt

0 1
for A =
.
1 2

Eigenvalues:

1
= 2 + 2 + 1 = ( + 1)2 = 0
det(I A) =
1 + 2

1 = 2 = 1.

Eigenvector:

1 1
(1I A)v1 =
v1 = 0,
1 1

v1 =

1
.
1

Generalized eigenvector:
v11 = v1 , (A 1I)v12

1 1
1
=
v12 =
= v11 ,
1 1
1

v12

1
=
.
0

Jordan form:

T = v11 v12

1 1
=
,
1 0

0 1
=
,
1 1

1 1
J=
.
0 1

Matrix exponential:
eAt = T eJ2 (t) T 1 ,

1 1 et tet 0 1
=
,
1 0
0 et 1 1

(t + 1)et
tet
=
.
tet
(1 t)et

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