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A symmetric matrix operator norm is its largest absolute Rayleigh quotient

Statement

Let A∈Rp×p be symmetric, where p≥1. Then ∥A∥op=max⁡∥v∥2=1∣vTAv∣=max⁡j∣λj∣, where λ1,…,λp are the eigenvalues of A.

Facts & Assumptions

Given: A symmetric real matrix A∈Rp×p with p≥1.

[F2]

The operator norm is the maximum of ∥Av∥2 over unit vectors (The operator norm is zero on the zero domain and otherwise is max_{||v||=1} ||Tv||).

Proof

1.1F1F2algebrachoose

Choose an orthonormal eigenbasis e1,…,ep with eigenvalues λ1,…,λp by [F1], and put M=max⁡j∣λj∣. For a unit vector v=∑jcjej, orthonormality gives ∑jcj2=1 and ∥Av∥22=∑jλj2cj2≤M2. Equality is attained at an eigenvector whose eigenvalue has absolute value M. Thus [F2] gives ∥A∥op=M.

2.1F1step 1.1algebra∎

For the same unit vector, vTAv=∑jλjcj2, so ∣vTAv∣≤∑j∣λj∣cj2≤M. At an eigenvector with absolute eigenvalue M, equality holds. Therefore the largest absolute Rayleigh quotient equals M=∥A∥op.

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