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A symmetric matrix operator norm is its largest absolute Rayleigh quotient
Statement
Let be symmetric, where . Then where are the eigenvalues of .
Facts & Assumptions
Given: A symmetric real matrix with .
A symmetric real matrix has an orthonormal eigenbasis (Real spectral theorem: a self-adjoint endomorphism of a finite-dimensional real inner product space has an orthonormal eigenbasis).
The operator norm is the maximum of over unit vectors (The operator norm is zero on the zero domain and otherwise is max_{||v||=1} ||Tv||).
Proof
Choose an orthonormal eigenbasis with eigenvalues by [F1], and put . For a unit vector , orthonormality gives and . Equality is attained at an eigenvector whose eigenvalue has absolute value . Thus [F2] gives .
For the same unit vector, , so . At an eigenvector with absolute eigenvalue , equality holds. Therefore the largest absolute Rayleigh quotient equals .
Depends on
Used by
- The stated sparse-covariance minimax rate is unbounded for super-exponential dimension Counterexample
- A sphere net controls the operator norm of a symmetric matrix Lemma
- Expected squared operator error of thresholded sparse covariance Lemma
- Separated Matérn sites have a positive Gram lower bound Lemma
- Weak-lq thresholding error from an entrywise deviation event Lemma
- Capped thresholded minimax rate for weak-lq sparse covariance Theorem
- Elliptic theorem of sums with the full block matrix bound Theorem
Dependency tree · two levels
6 results within two dependency steps of this one, each drawn at its shortest distance from it. An arrow runs from a result to what uses it, so the chart reads left to right and ends at this result, which carries a heavier outline. Every node is a link to that result. Click elsewhere on the chart to enlarge it.
Sources
- Philippe Rigollet and Jan-Christian Hütter, High-Dimensional Statistics: Lecture Notes, Chapter 1, Lemma 1.18 (standard reference, not scraped)
- Sheldon Axler, Linear Algebra Done Right, fourth edition, Chapter 7 (standard reference, not scraped)