Lecture notes

Jacobi's method for symmetric matrices

Let A be a real symmetric matrix. The eigenvalues of A are real and there exists a
real orthogonal matrix S such thatS −1 AS = S T AS is a diagonal matrix, say D. The
diagonalization is done by applying a series of orthogonal transformations S1 , S2 , ..., Sn ,
... as follows:

• Among the o-diagonal elements let aik be the numerically largest element in mag-
nitude.
• Then we form a 2 × 2 sub matrix A1 with the elements aii , aik , aki , akk
 
aii aik
A1 = (1)
aki akk

• Now we consider the orthogonal matrix

 
cos θ − sin θ
∗
S1 = (2)
sin θ cos θ

• Using the orthogonal matrix S1∗ , we nd θ such that the matrix A1 is diagonalized
by performing the rotation S1∗ −1 AS1∗ as follows:
   
∗ −1 ∗ ∗T ∗ cos θ sin θ aii aik cos θ − sin θ
S1 AS1 = S1 AS1 =
− sin θ cos θ aki akk sin θ cos θ
aii cos2 θ + aik sin 2θ + akk sin2 θ (akk − aii ) sin θ cos θ + aik cos 2θ
 
=
(akk − aii ) sin θ cos θ + aik cos 2θ aii sin2 θ − aik sin 2θ + akk cos2 θ
For the above matrix to be of diagonal form we put
(akk − aii ) sin θ cos θ + aik cos 2θ = 0
i.e.,
2aik
tan 2θ = (3)
aii − akk
or  
1 2aik
θ = tan−1
(4)
2 aii − akk

• With this value of θ the o-diagonal elements of S1∗ T AS1∗ vanish. Hence, we perform
the rotation S1T AS1 on the matrix A with the matrix
 
1 0 · · · · · · · 0
0 1 0 · · · · · · ·
 
· · · · · · · · · · 
 
 · · · · cos θ · · − sin θ · · 
 
· · · · · · · · · · 
(5)
 
S1 = · · · · · · 1 · ·  
· · · · · · · · · · 

 · · · · sin θ · · cos θ · · 
 
· · · · · · · · · ·
 
· · · · · · · 0 1 0
0 · · · · · · · 0 1

Dr. R. Nageshwar Rao, Assistant Professor(Senior), Page 1

School of Advanced Sciences, VIT University, Vellore632014,T.N., India.
Lecture notes

where cos θ, − sin θ, sin θ, cos θ are located in the (i, i),(i, k), (k, i), (k, k) positions
respectively.
With this rotation the rst step is completed and we get the new rotated matrix
B1 = S1T AS1 .
• In the next step, again we choose the largest o-diagonal element in magnitude in
the new rotated matrix B1 and the procedure is repeated to get the matrices
B2 = S2−1 B1 S2 = S2−1 S1−1 AS1 S2 ,
B3 = S3−1 B2 S3 = S3−1 S2−1 S1−1 AS1 S2 S3 ,
..
.
Br = Sr−1 Br−1 Sr = Sr−1 Sr−1
−1
· · · S2−1 S1−1 AS1 S2 · · · Sr−1 Sr
= (S1 S2 · · · Sr−1 Sr )−1 A (S1 S2 · · · Sr−1 Sr )

• Hence after r transformations we get the matrix Br = S −1 AS = S T AS , where

S = S1 S2 · · · Sr−1 Sr .
• When r is large enough, the matrix Br approaches a diagonal matrix and the diag-
onal elements of Br represent the eigenvalues of Br which are also the eigenvalues
of A.
• The columns of the matrix S = S1 S2 · · · Sr−1 Sr represent the corresponding eigen-
vectors of A.
The minimum number of rotations required to bring the matrix A of order n to its diag-
onal form is n(n−1)
2
.
This procedure described to reduce the symmetric matrix A to its diagonal form D is
called the Jacobi method.
This method suers from the disadvantage that the elements annihilated by a plane ro-
tation may not necessarily remain zero during the subsequent transformations.

Example 1. Using the Jacobi

 method
√ ndall the eigenvalues and the corresponding
√1 2 √2
eigenvectors of the matrix A =  2 √3 2
2 2 1
 √ 
√1 2 √2
S ol: The given matrix A =  2 √3 2
2 2 1
• The largest o-diagonal element in A is a13 = a31 = 2.
 
1 2
• The 2 × 2 submatrix with elements a11 , a13 , a31 , a33 . i.e.,
2 1
 
2a13
• θ = 12 tan−1 = 12 tan−1 4


a11 −a33 0
= π/4

√1 0 − √12
 
2
• S1 =  0 1 0 
√1 0 √12
2

Dr. R. Nageshwar Rao, Assistant Professor(Senior), Page 2

School of Advanced Sciences, VIT University, Vellore632014,T.N., India.
Lecture notes

√
√1 √1
 1
0 0 − √12
  
√
2 2 √12 √2 2
B1 = S1−1 AS1 = S1T AS1 =  0 1 0   2 √3 2  0 1 0 
− √12 0 √1
2 2 2 1 √1
2
0 √12
•  
3 2 0
= 2 3 0

0 0 −1
With this the rst rotation completes and we see that zero is created in the a13 and
a31 positions of B1 .
• Again the largest o-diagonal element in B1 is a12 = a21 = 2.
 
3 2
• The 2 × 2 submatrix with elements a11 , a12 , a21 , a22 . i.e.,
2 3

• θ = 12 tan−1 3−3
2×2
= 21 tan−1 04 = π/4

1
− √12 0

√
2
• S2 =  √1 2
√1
2
0
0 0 1
√1 √1
 1
0 3 2 0 − √1 0
  
√
2 2 2 2
B2 = S2−1 B1 S2 = S2T AS2 = − √1
2
√1
2
0 2 3 0   √12 √12 0
0 0 1 0 0 −1 0 0 1
•  
5 0 0
= 0 1 0 
0 0 −1
With this the second rotation completes and the matrix is diagonalized.
• We have the matrix of eigenvectors as
1
0 − √12
 1
− √12 0

√ √
2 2
S = S1 S2 =  0 1 0   √12 √12 0
√1 0 √12 0 0 1
2
 1

2
− 21 − √12
 √1 √1 0 
=  2 2 
1
2
− 21 √12

• Hence the eigenvalues are the diagonal elements of the diagonal matrix B2 i.e.,
5, −1, 1 and the corresponding eigenvectors are the columns of S .

Exericse. Find all the eigenvalues and the corresponding eigenvectors of the following
matrices using Jacobi method.
 
3 2 2
1. A = 2 5 2
2 2 3
√ √
Answer: Eigenvalues
 are
 λ = 1,5 − 2, 5 + 2 2,
2 
−1 1
√ √1
Eigenvectors are  0  , − 2 ,  2
1 1 1

Dr. R. Nageshwar Rao, Assistant Professor(Senior), Page 3

School of Advanced Sciences, VIT University, Vellore632014,T.N., India.
Lecture notes

 
1 −2 4
2. A = −2 5 −2
4 −2 1
√ √
Answer: Eigenvalues
 are −3,5 − 2 2, 5 + 2 2
 λ = 
−1 √1 1
√
Eigenvectors are 0 , 2 , − 2
    
1 1 1
 √ 
√1 3 √4
3. A =  3 √5 3
4 3 1
√ √
Answer: Eigenvalues
  are λ = −3, 5
   − 6, 5 + 6
1 √1 √ 1
Eigenvectors are 0 , − 2 ,  2
1 1 1

Dr. R. Nageshwar Rao, Assistant Professor(Senior), Page 4

School of Advanced Sciences, VIT University, Vellore632014,T.N., India.