Spectral theorem

Every symmetric matrix has an eigendecomposition with an orthonormal basis of eigenvectors.


Let be a symmetric matrix. Then, all eigenvalues of are real, and there exists an orthonormal basis of consisting of eigenvectors of (aka eigenbasis).
Then:

… orthogonal matrix 12 () whose columns are the eigenvectors of
… diagonal matrix with the eigenvalues of on the diagonal.
→ For symmetric matrices, this is a pure scaling in the orthogonal directions of the eigenvectors or principal axes - the natural directions along which acts purely by scaling. Each eigenvector direction is scaled by its eigenvalue without any rotation or shearing.
→ Eigendecomposition and SVD coincide for symmetric matrices.

Derivation from the property of eigenvalues

Footnotes

  1. It doesn’t matter if is normalized, cancels the magnitude. ↩

  2. For symmetric matrices, the eigenvectors are orthogonal, and if normalized, becomes orthogonal (). However, for general diagonalizable matrices, eigenvectors need only be linearly independent. ↩