Show that every symmetric matrix A=A^T can be written as U=UDU^T where D is a diagonal matrix and UU^T=I (orthogonal:unitary)
i am pretty sure that this should be tried through induction.
Lemma 1. The eigenvalues of a symmetric matrix with real entries are real numbers.
Proof. If is an eigenvalue and v a corresponding eigenvector of an symmetric matrix A.
Then . If we multiply each side of this equation on the left by , then we obtain
. Then,
.
Thus, is a real number. To further verify, you apply a conjugate transpose and
, since A is a symmetric matrix.
Lemma 2. Let A be a real symmetric matrix. There is an orthogonal matrix such that is diagonal.
Proof. We first show that eigenvectors from different eigenspaces with respect to a symmetric matrix A are orthogonal.
Let and be eigenvectors corresponding to distinct real eigenvalues and of the matrix A. We shall show that . Since A is a symmetric matrix, . This implies that Since and are distinct by hypothesis, .
The above showed that eigenvectors from different eigenspaces are orthogonal. By applying a Gram-Schmit process, eigenvectors obtained within same eigenspaces become orthonormal. This ensures that there exists an orthogonal matrix whose columns are normalized eigenvectors of a symmetric matrix A.
Let
be an orthogonal matrix whose columns are eigenvectors of A.
Since ,
= .
Thus, and , since U is an orthogonal matrix
To apply an induction, assume symmetric matrix A holds the above lemma and show symmetric matrix holds the above lemma as well. The construction shown in the lemma 2 can be used without much modification.