ECMM701/2, MAB October 1, 2012

ECMM701 Methods and Algorithms ECMM702 Methods for Stochastics and Finance

Example sheet 2: Matrix algebra

Please hand in answers to questions 3, 6, 8, 9, 10 for assessment via the Education Oce room 147, Harrison Building by 12.00 on Thursday 25th October 2012. Note: if you hand this assignment in late, a mark of 0 will be recorded, unless you make a case for leniency which is accepted by the Mitigation Committee.

1. Show by matrix multiplication that if 1 2 2 1 2 4 3 5 . A = 3 1 1 , then A1 = 1 2 0 1 2 4 7

2. a) Given a matrix M , dene MS = MA 1 (M + M T ) 2 1 = (M M T ). 2

T T Show that MS = MS . Show that MA = MA . (MS is called a symmetric matrix, while MA is called an antisymmetric matrix.) b) An anti-symmetric 2 2 matrix is determined by a single number a: all such matrices can be written in the form

0 a . a 0 In other words, an anti-symmetric 2 2 matrix has only one independent component. Let (M ) be the number of independent components of a matrix M . An arbitrary n n matrix has (M ) = n2 . i) Let MA be an n n anti-symmetric matrix. What is (MA )? ii) Let MS be an n n symmetric matrix. What is (MS )? (Hint: rst try matrices of dimension n = 1, 2, 3, .)

ECMM701/2, MAB October 1, 2012

3. (i) Let 1 1 1 A = 2 1 1 , 1 2 3 6 c = 3 . 14

Find the LU decomposition of A into a unit lower triangular matrix L and an upper triangular matrix U . Check by multiplying out LU that LU = A as required. Use your LU decomposition using only back-substitutions to solve Ax = c. (ii) Find det(A), rst by using the co-factor method, and second by using your LU decomposition. Check you get the same answer using both methods! 4. Show that if the system Ax = b, where 2 4 1 A = 1 2 3 , 1 1 2

7 and b = 0 , 1

is solved by the Gauss elimination method without partial pivoting, a zero pivot element occurs. Explain why partial pivoting removes the diculty and use it to nd the solution (x1 , x2 , x3 ). 5. Find the LU decomposition of the matrix 1 2 1 1 2 3 1 2 A= 1 1 8 11 1 4 7 9 and hence nd the rank of A. 6. Show that the determinant of the matrix 1 2 7 A = 2 1 4 1 0 3 is zero. Show that the columns of the matrix are linearly dependent by nding a1 , b1 and c1 such that 1 2 7 a1 2 + b1 1 + c1 4 = 0, 1 0 3 and that the rows are linearly dependent by nding a2 , b2 and c2 such that 2 1 1 a2 2 + b2 1 + c2 0 = 0. 7 4 3

ECMM701/2, MAB October 1, 2012

7. Given that one of the eigenvalues of the matrix 0 2 4 A = 1 1 2 2 0 5 is = 1 nd all the eigenvalues and the corresponding normalised eigenvectors. 8. Find the eigenvalues, 1 and 2 , and normalised eigenvectors, x(1) and x(2) , of the symmetric matrix 6 2 A= . 2 3 Show that the matrix Q = (x(1) , x(2) ) is an orthogonal matrix, that is show QT Q = I . 9. Consider a drawing in the x y plane, enclosed in the square 1 x 1, 1 y 1, for example,

-1

-1
Write down examples of matrices corresponding to the following transformations, and sketch their eects: 1. an expansion in both x and y directions by a factor of 3 2. a rotation by an angle of /4 3. a shear 4. a reection through the y axis 5. an expansion in the x direction and contraction in the y direction, both by a factor of 2. 6. a projection into the line y = x.

ECMM701/2, MAB October 1, 2012

10. (i) Show that if a matrix A has eigenvalues 1 , 2 , . . . , n , then the matrix A2 has 2 2 eigenvalues 2 1 , 2 , . . . , n . Deduce that the spectral norm of a symmetric matrix (for which AT = A) is |1 |, where 1 is the eigenvalue with largest absolute value. (ii) Find the inverse of the matrix A= 1 2 2 4.001 .

Find the eigenvalues of A and A1 , and hence nd the condition number for this matrix A. (iii) Solve the systems Ax = b and Ax = c, where b= 5 10.002 , c= 5 10 .

Note that although b and c are very close, the answers in the two cases are very dierent. Explain why this is consistent with the large value of the condition number for matrix A.