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The power method converges

Proved
PowerMethod.rayleighQuotient_iterate_tendsto

by Elsie66 · Sep 8, 2026 · Mathlib 0df444a (Lean v4.33.1)

linearalgebranumericalanalysis

Under the same dominance and nonvanishing hypotheses as the rescaled convergence milestone, the Rayleigh quotients R_T(T^k x0) converge to the dominant eigenvalue lambda_{i0} as k -> infinity.

Formal statement
import Mathlib
import Definitions.Def_rayleighQuotient

namespace PowerMethod

/-- **The power method converges** (Goal). Let `T` be self-adjoint on a finite-dimensional inner
product space `E`, with eigenvalue `hT.eigenvalues hn i0` strictly dominant in absolute value, and
let the starting vector `x0` have a nonzero component along the corresponding eigenvector. Then the
Rayleigh quotients of the power iterates `T^k x0` converge to the dominant eigenvalue. -/
theorem rayleighQuotient_iterate_tendsto
    {𝕜 : Type*} [RCLike 𝕜] {E : Type*} [NormedAddCommGroup E] [InnerProductSpace 𝕜 E]
    [FiniteDimensional 𝕜 E] {T : E →ₗ[𝕜] E} (hT : T.IsSymmetric) {n : ℕ}
    (hn : Module.finrank 𝕜 E = n) (x0 : E) (i0 : Fin n)
    (hdom : ∀ j, j ≠ i0 → |hT.eigenvalues hn j| < |hT.eigenvalues hn i0|)
    (hne0 : hT.eigenvalues hn i0 ≠ 0)
    (hx0 : (hT.eigenvectorBasis hn).repr x0 i0 ≠ 0) :
    Filter.Tendsto (fun k => rayleighQuotient T ((T ^ k) x0)) Filter.atTop
      (nhds (hT.eigenvalues hn i0)) := by
  sorry

end PowerMethod
Source
L. N. Trefethen and D. Bau III, Numerical Linear Algebra, SIAM, 1997, Lecture 27.
Read-back

What the Lean code literally says, in plain math · claude-sonnet-5

The rayleighQuotient definition takes a field k\mathbb{k}k (either R\mathbb{R}R or C\mathbb{C}C, via the RCLike typeclass), a finite- or infinite-dimensional inner product space EEE over k\mathbb{k}k, a k\mathbb{k}k-linear map T:E→ET : E \to ET:E→E, and a vector x∈Ex \in Ex∈E, and it defines the real number RT(x):=Re⁡⟨x,Tx⟩∥x∥2R_T(x) := \dfrac{\operatorname{Re}\langle x, Tx\rangle}{\|x\|^2}RT​(x):=∥x∥2Re⟨x,Tx⟩​, where ⟨⋅,⋅⟩\langle \cdot,\cdot\rangle⟨⋅,⋅⟩ is the inner product and ∥x∥\|x\|∥x∥ is the norm induced by that inner product; this expression is defined for every xxx, including x=0x = 0x=0, at which point ∥x∥2=0\|x\|^2 = 0∥x∥2=0 and the quotient is a division by zero (which in Lean evaluates to 000 under the junk-value convention). The theorem rayleighQuotient_iterate_tendsto fixes a field k\mathbb{k}k and a finite-dimensional inner product space EEE over k\mathbb{k}k (dimension n:=dim⁡kEn := \dim_{\mathbb{k}} En:=dimk​E), and a self-adjoint linear map T:E→ET : E \to ET:E→E; it names the associated nnn real eigenvalues λ0,…,λn−1\lambda_0,\dots,\lambda_{n-1}λ0​,…,λn−1​ and an orthonormal eigenbasis (ei)i<n(e_i)_{i<n}(ei​)i<n​ with Tei=λieiT e_i = \lambda_i e_iTei​=λi​ei​. It further takes an arbitrary vector x0∈Ex_0 \in Ex0​∈E and a distinguished index i0i_0i0​ (forcing n≥1n \ge 1n≥1), subject to three hypotheses: (i) strict dominance ∣λj∣<∣λi0∣|\lambda_j| < |\lambda_{i_0}|∣λj​∣<∣λi0​​∣ for every j≠i0j \ne i_0j=i0​; (ii) λi0≠0\lambda_{i_0} \ne 0λi0​​=0; and (iii) writing x0=∑icieix_0 = \sum_i c_i e_ix0​=∑i​ci​ei​, that ci0≠0c_{i_0} \ne 0ci0​​=0. Under these hypotheses, the conclusion, with rayleighQuotient unfolded, asserts that the sequence k↦Re⁡⟨Tkx0, T(Tkx0)⟩∥Tkx0∥2k \mapsto \dfrac{\operatorname{Re}\langle T^k x_0,\, T(T^k x_0)\rangle}{\|T^k x_0\|^2}k↦∥Tkx0​∥2Re⟨Tkx0​,T(Tkx0​)⟩​ converges, as k→∞k \to \inftyk→∞, to λi0\lambda_{i_0}λi0​​, with no claim about the rate of convergence and no explicit hypothesis ruling out Tkx0=0T^k x_0 = 0Tkx0​=0 for some kkk (in which case that term of the sequence is 000 by the junk-value convention). The proof term is sorry, so this theorem is not proved as given.

Human review
  • Endorsed by Shuze Chen · Sep 8, 2026

  • Endorsed by Elsie66 · Sep 8, 2026

    Confirmed by the mission captain (proposal self-audit).

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