1.II.17F

Quadratic Mathematics | Part IB, 2002

Let AA and BB be n×nn \times n real symmetric matrices, such that the quadratic form xTAx\mathbf{x}^{T} A \mathbf{x} is positive definite. Show that it is possible to find an invertible matrix PP such that PTAP=IP^{T} A P=I and PTBPP^{T} B P is diagonal. Show also that the diagonal entries of the matrix PTBPP^{T} B P may be calculated directly from AA and BB, without finding the matrix PP. If

A=(210121012) and B=(400020000)A=\left(\begin{array}{ccc} 2 & 1 & 0 \\ 1 & 2 & 1 \\ 0 & 1 & 2 \end{array}\right) \quad \text { and } \quad B=\left(\begin{array}{ccc} 4 & 0 & 0 \\ 0 & -2 & 0 \\ 0 & 0 & 0 \end{array}\right)

find the diagonal entries of PTBPP^{T} B P.

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