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Further Matrices

University Mathematics is 100% positioned to meet the demands of undergraduate, postgraduate and professional exams. The book is capable and remarkable, giving students a good grounding in real-world mathematical applications. Inside you will find: • Simplified explanations step by step. • Solved examples of varying difficulties. • Plenty of workouts, fill-in-the-blanks and multiple-choice questions. Every student and every classroom will vastly benefit from University Mathematics.

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12 views

Further Matrices

University Mathematics is 100% positioned to meet the demands of undergraduate, postgraduate and professional exams. The book is capable and remarkable, giving students a good grounding in real-world mathematical applications. Inside you will find: • Simplified explanations step by step. • Solved examples of varying difficulties. • Plenty of workouts, fill-in-the-blanks and multiple-choice questions. Every student and every classroom will vastly benefit from University Mathematics.

Uploaded by

Olaniyi Evans
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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13

QUADRATIC FORMS, DEFINITE


MATRICES, EIGENVALUES & HESSIAN

CONTENTS
Quadratic Forms and Definite Matrix 169
Eigenvalues and Eigenvectors 172
Unconstrained Optimization Using the Bordered Hessian 174
Constrained Optimization Using the Bordered Hessian 179

Q U A D R A TIC F O R M S A ND D E F IN I TE M A TR IX
The quadratic form of an 𝑛 × 𝑛 symmetric matrix A is given by

𝑄(𝑥) = 𝑥 𝑇 𝐴𝑥

where 𝑥 is a vector of variables, and A is a symmetric matrix.

For example, consider the matrix


1 2
𝐴=[ ]
2 1
The quadratic form is given by

𝑥2 ] [1 2 𝑥1
𝑄(𝑥) = 𝑥 𝑇 𝐴𝑥 = [𝑥1 ][ ]
2 1 𝑥2
= 𝑥12 + 4𝑥1 𝑥2 + 𝑥22

Also consider the following matrix


1 0 0
𝐴 = [0 2 0]
0 0 3
The quadratic form is given by
1 0 0 𝑥1
𝑄(𝑥) = 𝑥 𝑇 𝐴𝑥 = [𝑥1 𝑥2 𝑥3 ] [0 2 0] [𝑥2 ]
0 0 3 𝑥3
= 𝑥12 + 2𝑥22 + 3𝑥32
170 Olaniyi Evans | University Mathematics

The quadratic form 𝑄(𝑥) is:

• Positive definite if 𝑄(𝑥) > 0 for all 𝑥 ≠ 0.


• Negative definite if 𝑄(𝑥) < 0 for all 𝑥 ≠ 0.
• Indefinite if 𝑄(𝑥) assumes both positive and negative values.

Also, 𝑄(𝑥) is said to be positive definite if 𝑄(𝑥) ≥ 0 for all 𝑥, and negative
definite if 𝑄(𝑥) ≤ 0 for all 𝑥.

The matrix 𝐴 will determine to which one of the above definitions the quadratic
form will belong. We can use either of the two tests:

1. Discriminant test
2. Eigenvalues test

For example, matrix A is positive definite if and only if all the eigenvalues are
positive (see Table 13.1). The determinant of a matrix is the product of its
eigenvalues. So, if all the eigenvalues are positive, then the
discriminant/determinant is also positive.

Table 13.1 Conditions for Definiteness


Discriminant/Determinant
Definiteness Eigenvalues
of Principal Minors

positive definite Di > 0 , i = 1…n all ri > 0

positive semidefinite Di ≥ 0 , i = 1…n all ri ≥ 0

negative definite D1 < 0 , D2 > 0 , D3 < 0… all ri < 0

negative semidefinite D1 ≤ 0 , D2 ≥ 0 , D3 ≤ 0… all ri ≤ 0


some ri ≥ 0, some ri ≤
indefinite none of the above
0

 EXAMPLE 13.2
Write 𝑄 = 5𝑥12 + 4𝑥22 − 4𝑥1 𝑥2 in the form 𝑄(𝑥) = 𝑥 𝑇 𝐴𝑥, where 𝐴 is a 2 × 2
matrix.

S O L U T I O N tips
The cross term is −4𝑥1 𝑥2 = −2𝑥1 𝑥2 − 2𝑥2 𝑥1 . Hence
𝑥
𝑄(𝑥) = 𝑥 𝑇 𝐴𝑥 = [𝑥1 𝑥2 ] [ 5 −2] [ 1 ]
−2 4 𝑥2
NOTE: The coefficients of the squares appear on the main diagonal while the
coefficients of the cross terms are neatly divided among two positions to give
a symmetric matrix. Hence this matrix is referred to as the matrix of the
quadratic form Q.
Chapter 13 | Quadratic Forms, Definiteness, Eigenvalues & Hessian 171

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