Eigenvalue and Eigenvector Derivatives of a General Matrix.

摘要

The existence of differentiable eigenvalues and eigenvectors for a general matrix is addressed. The eigenspace which contains differentiable eigenvectors is determined and computed by using the concept of subspace intersection in conjunction with the singular value decomposition algorithm. The differentiable eigenvectors associated with repeated eigenvalues should be simultaneously the eigenvectors of the general matrix and its corresponding sensitivity matrix. Furthermore, the derivatives for differentiable eigenvectors associated with repeated eigenvalues can be computed using higher order derivatives of the matrix, whereas the corresponding eigenvalue derivatives are the eigenvalues of the sensitivity matrix.