Eigenvalue decomposition, also known as eigendecomposition, is a matrix factorization technique that expresses a square matrix as a product of three matrices:
A matrix of eigenvectors
A diagonal matrix of eigenvalues
The inverse of the matrix of eigenvectors
Mathematically, if
where
Suppose we have the following matrix:
Here, the eigenvalues we got are
Now, for eigenvectors:
For eigenvalue :
This system of linear equation can have infinitely many solutions. One of the solutions is:
Hence,
Normalizing Eigenvectors:
For eigenvalue :
This system of linear equation can have infinitely many solutions. One of the solutions is:
Hence,
Normalizing Eigenvectors:
Hence,
Calculating the inverse of
Combining our calculations:
Eigenvalue decomposition empowers us to comprehend complex matrices by breaking them into their constituent eigenvectors and eigenvalue. We use the eigenvalue decomposition to factorize a square matrix, but alternative matrix factorization methods, such as singular value decomposition (SVD), are used for non-diagonalizable or non-square matrices.
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