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Abstract
We look at the role of eigenvalues and eigenvectors in various appli-
cations. Specifically, we consider differential equations, Markov chains,
population growth, and consumption.
1 Differential equations
We consider linear differential equations of the form
du
= Au. (1)
dt
The complex matrix A is n n and
u1 (t)
u2 (t)
u = u(t) = . . (2)
..
un (t)
The equations are linear, since if v and w are two solutions, then so is
u = v + w, as shown by
du d
= (v + w)
dt dt
dv dw
= +
dt dt
= Av + Aw
= A(v + w)
= Au.
1
By specifying an initial condition u(0) = u0 we can determine c from
u0 = u(0) = e0 c = c.
u(t) = et u0 . (4)
2
The constants c are determined by the n initial conditions u(0) = u0 to the
original differential equation (1) by
We put the pieces back together and find the general solution
1 t
e
e2 t
1
u(t) = Sy(t) = S S u0 (10)
. .
.
en t
eAt = Set S 1
we see immediate connections with the previous section. Note that the matrix
exponential solves the differential equation even when A is not diagonalizable.
3
2 Markov
A Markov chain is a random process that can be in one of a finite number of
states at any given time and the next state depends only on the current state.
We are given n2 transition probabilities pij [0, 1]. The number pij gives the
probability that the next state is state i if the current state is state j. By putting
the transition probabilities in a square matrix A such that aij = pij we obtain
a Markov matrix.
Definition 1 (Markov matrix). A square matrix A is a Markov matrix if it
satisfies the following two properties. First, every entry in A is nonnegative.
Second, every column of A adds to 1.
Two facts about Markov matrices follow directly from the definition. First,
multiplying a Markov matrix A with a nonnegative vector u0 produces a non-
negative vector u1 = Au0 . Second, if the components of u0 add to 1, then so
does the components of u1 = Au0 . The first fact is trivial, and the second fact
T
can be shown as follows. Let e = 1 1 be a vector of all 1s. Then
uk = Ak u0 = Sk S 1 u0 . (15)
3 Population
A Leslie model models the long-term age distribution and growth rate of a
population. It is popular in, e.g., ecology, and it works as follows. Partition
the population into n disjoint age groups. The population in the age groups
are represented as a vector p with n components. After one time step, the
population in each age group is given by Ap, where A is an n n Leslie matrix.
4
The long-term growth rate and age distribution come from the largest eigenvalue
and its corresponding eigenvector.
The Leslie matrix is constructed as follows. The members of the youngest
age group is a product only of reproductive activity. Formally, we write
n
(k+1) (k)
X
p1 = fi pi , (16)
i=1
0 0 s3 0
4 Consumption
Let A be a consumption matrix, p the production levels, and y the demand.
The production levels are given by
p = (I A)1 y. (18)
The question is: When does (I A)1 exist and when is it a nonnegative
matrix? Intuitively, if A is small then (I A)1 exists and the economy can
meet any demand, but if A is large then the production consumes too much
of the products and as a consequence the economy can not meet the demand.
What we consider small and large depends entirely on the eigenvalues of A.
We show that when the series B = I +A+A2 + converges, then B(I A) =
I and thus B = (I A)1 . Suppose that A is diagonalizable and write B as
B = S(I + + 2 + )S 1 . (19)
The infinite series within the parenthesis is nothing but n independent scalar
geometric series. The n scalar series converge if and only if |i | < 1.
The matrix B is obviously nonnegative since it is the sum of nonnegative ma-
trices. The inverse of (I A) exists and is nonnegative when all the eigenvalues
satisfy |i | < 1.