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Let $(-A)$ be a real Hurwitz lower-triangular matrix (this implies that all the eigenvalues of $A$ are real and negative). Since $(-A)$ is Hurwitz, we know that there exist $\alpha,\lambda>0$ such that

$$ ||e^{-At}|| \le \alpha e^{-\lambda t} $$

for all $t\ge0$. Is it possible to choose the pair $(\alpha,\lambda)$ so that $\lambda$ is equal to the smallest eigenvalue of $A$? If so, how much is the smallest corresponding $\alpha$?

Remark. From this question and the answers therein, it seems that when $(-A)$ is just Hurwitz, it is not possible to choose $\lambda$ equal to the smallest eigenvalue of $A$. But now I am introducing the further property that $A$ is lower triangular.

Antonio
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2 Answers2

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Observe that

$$ \lambda_{\operatorname{max}}(e^{-A t}) = e^{-\gamma(A) t} \leq \lVert e^{-A t} \rVert \leq \alpha e^{-\lambda t} $$

where $\lambda_{\operatorname{max}}(X) = \max\{|\lambda| : \lambda \in \lambda(X)\}$ and $\gamma(X) := \min \{ \operatorname{Re}(\lambda): \lambda \in \lambda(X)\}$.

Since $A$ is lower triangular and real, it has real eigenvalues. Also since $-A$ is Hurwitz, it has real positive eigenvalues. Therefore, $\lambda$ in the exponent can be chosen as the minimum eigenvalue of $A$.

Also, if $A$ is diagonalizable, $\alpha$ can be chosen as $\alpha = \kappa(T) := \lVert T \rVert \lVert T^{-1} \rVert$ using the norm inequalities where $T$ is the matrix such that $T^{-1} A T$ is diagonal.

But, you can't change the exponent by selecting the constant in general. Because the exponential term is, well, exponential. So it will eventually catch the constant, independent of how big it is.

Edit: For any matrix $X \in \mathbb{C}^{n \times n}$, $\lambda_{\operatorname{max}}(X) = \rho(X) \leq \lVert X \rVert$. $\rho(X)$ is called the spectral radius of $X$. Also, if $\lambda$ is an eigenvalue of $A$, then $e^{-\lambda t}$ is an eigenvalue of $e^{-At}$ with the same eigenvector (Spectral Mapping Theorem).

Since $A$ is lower diagonal, $e^{-At}$ is also lower diagonal, because all powers of $A$ are lower diagonal. The diagonal elements of a lower diagonal matrix are also its eigenvalues, this is why $-A$ has all positive real eigenvalues.

Lastly, if $A$ is diagonalizable with $T$, then

$$ \lVert e^{-At} \rVert \leq \lVert T e^{-\Lambda t} T^{-1} \rVert \leq \lVert T \rVert \lVert e^{-\Lambda t} \rVert \lVert T^{-1} \rVert = \kappa(T) e^{-\gamma(A) t} $$

where $\Lambda$ is the diagonal matrix of eigenvalues of $A$. The last equation follows because any induced norm of a diagonal matrix is equal to its spectral radius.

obareey
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  • I am not sure. What do the first two terms in your chain have to do with $\alpha$ and $\lambda$ in the last term? What do the eigenvalues of $A$ have to do with the exponent $\lambda$? Why should $(-A)$ having positive eigenvalues allow us to choose $\lambda$ as the smallest of those? – Antonio Jan 24 '16 at 16:46
  • @Antonio See my edits. – obareey Jan 26 '16 at 11:25
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The answer to your first question is negative. The Jordan canonical form is a triangular matrix, right? That's why nothing changes.

So in general there is no best possible constant but you can take it as close as desired to the smallest eigenvalue.

John B
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  • I am not sure. The Jordan canonical form in general is block-diagonal. So it is not necessarily triangular. – Antonio Jan 24 '16 at 16:42
  • Perhaps we are talking about a different "Jordan canonical form"? – John B Jan 25 '16 at 07:10
  • Actually no, I was just wrong. Now I can see that you meant that the Jordan canonical form is Upper triangular (which it is indeed). In the question, I was thinking of a Lower triangular matrix, but I if I am not mistaken again, it makes no difference if it is Lower or Upper. So I guess that the answer to my question is just "No, it is not possible." – Antonio Jan 26 '16 at 19:38
  • Actually, it is possible for any diagonalizable Hurwitz matrix $-A$ with real eigenvalues. The question you linked also states that, as also my answer does. – obareey Jan 27 '16 at 07:26