# [R] SVD and spectral decompositions of a hermitian matrix

Prof Brian Ripley ripley at stats.ox.ac.uk
Thu Jul 3 20:21:27 CEST 2003

```On Thu, 3 Jul 2003, Ravi Varadhan wrote:

> I create a hermitian matrix

You didn't succeed, if you meant Hermitian.

> and then perform its singular value
> decomposition. But when I put it back, I don't get the original
> hermitian matrix.  I am having the same problem with spectral value
> decomposition as well.
>
> I am using R 1.7.0 on Windows.  Here is my code:
>
> X <- matrix(rnorm(16)+1i*rnorm(16),4)
> X <- X + t(X)
> X[upper.tri(X)] <- Conj(X[upper.tri(X)])

and I get

> X - Conj(t(X))
[,1]        [,2]        [,3]        [,4]
[1,] 0-7.044789i 0+0.000000i 0+0.000000i 0+0.000000i
[2,] 0+0.000000i 0+4.255175i 0+0.000000i 0+0.000000i
[3,] 0+0.000000i 0+0.000000i 0+6.163605i 0+0.000000i
[4,] 0+0.000000i 0+0.000000i 0+0.000000i 0+3.021553i

so X is not Hermitian.

> Y <- La.svd(X)
> Y\$u %*% diag(Y\$d) %*% t(Y\$v)   # this doesn't give back X

The result has component vt, not v: you can't read the help page!

> Y\$u %*% diag(Y\$d) %*% Y\$v      # this works fine.
but is really matching Y\$u %*% diag(Y\$d) %*% Y\$vt

> Z <- La.eigen(X)   # the eigen values should be real, but are not.

The matrix is not Hermitian.

> Z\$vec %*% diag(Z\$val) %*% t(Z\$vec)   # this doesn't give back X

Nor should it: for a Hermitian matrix try

Z\$vec %*% diag(Z\$val) %*% Conj(t(Z\$vec))

> The help for "La.svd" says that the function return U, D, and V such
> that X = U D V'

> Furthermore, the help for "La.eigen" says that if the
> argument "symmetric" is not specified, the matrix is inspected for
> symmetry, so I expect that I should get real eigen values to a
> hermitian matrix.

> Are there any problems with these 2 functions, or
> what is it that I am not understanding?

There is now no real point in using La.svd() and La.eigen() rather than
svd() and eigen().

--
Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595

```