1 Rayleighs Quotient

We want to prove that if A is a real symmetric n n matrix (more gener-

ally complex Hermitian matrix, in which case we need to put proper complex
conjugates for scalar product) then the Rayleighs quotient
G(y) =
(y, Ay)
(y, y)
=
P
n
i=1
P
n
k=1
A
ik
y
i
y
k
P
n
i=1
y
2
i
, A
ik
= A
ki
. (1)
has a stationary value for y 6= 0 if y is an eigen vector of A.
Obviously, each vector can be normalized by such way that
kyk
2
= (y, y) = 1. (2)
So the problem is to prove that eigen vectors of A provide stationary value for
(y, Ay) =
n
X
i=1
n
X
k=1
A
ik
y
i
y
k
, (3)
subject to constraint (2).
This can be proven by considering the following functional of y (method of
Lagrange multipliers):
F (y
1
, ..., y
n
) = F (y) = (y, Ay) !!(y, y) =
n
X
i=1
n
X
k=1
A
ik
y
i
y
k
!!
n
X
i=1
y
2
i
, (4)
and its stationary values. In fact stationary values of F (y) will provide station-
ary values of G(y). These values can be found as
"F
"y
j
= 0, j = 1, ..., n. (5)
Using Eq. (4) we can see that
"F
"y
j
=
"
"y
j

n
X
i=1
n
X
k=1
A
ik
y
i
y
k
!!
n
X
i=1
y
2
i
!
= (6)
=
n
X
k=1
A
jk
y
k
+
n
X
i=1
A
ij
y
i
!2!y
j
= 2

n
X
k=1
A
jk
y
k
!!y
j
!
.
The last equality holds due to symmetry of matrix A, A
ik
= A
ki
. Therefore the
stationary values (5) satisfy the following relation
n
X
k=1
A
jk
y
k
= !y
j
, j = 1, ..., n. (7)
or in vector form
Ay =!y. (8)
1
which show that y should be an eigen vector of A and ! is a corresponding eigen
value. This eigen value also yields stationary value for G(y) , since
G(y) =
(y, Ay)
(y, y)
=
!(y, y)
(y, y)
= !. (9)
Note that we proved also that if A has n eigen values !
1
, ..., !
n
, and y
1
, ..., y
n
are corresponding eigen values, then G(y) has n stationary values !
1
, ..., !
n
and
y
1
, ..., y
n
are points at which these stationary values are reached.
Some generalizations follow immediately from this proof. E.g. we can con-
sider stationary values of
G(y) =
(y, Ay)
(y, By)
, (10)
where A is a Hermitian operator, and B is Hermitian and positive denite. This
solves the generalized eigen value problem
Ay =By. (11)
For proof it is only necessary replace the denition of the scalar product
(y, y)
B
= (y, By) . (12)
c 2003, Nail Gumerov.
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