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Spectral numerical rank counts singular values above threshold over R or C

Statement

Let m,n≥1, F∈{R,C}, A∈Fm×n, p=min⁡(m,n), and τ≥0. For the spectral norm, the numerical rank defined by Numerical rank relative to a declared norm, scale, and tolerance satisfies rank⁡τ(A)=#{i∈{1,…,p}:σi(A)>τ}.

Facts & Assumptions

Given: A real or complex matrix A, its ordered singular values, and a threshold τ≥0.

[F1]

Numerical rank relative to a declared norm, scale, and tolerance: rank⁡τ(A) is the least rank of a matrix within spectral-norm distance τ of A.

[F2]

The best rank-at-most-k approximation in operator norm is the rank-k truncation of a singular value decomposition: for 0≤k<p, the least spectral-norm distance from A to a matrix of rank at most k is σk+1(A); the rank-k SVD truncation attains it.

[F3]

The rank of a linear map is the number of its nonzero singular values: the rank of A is the number of its positive singular values, so it is at most p.

Proof

1.1F2F3algebra

Put q=#{i≤p:σi(A)>τ}. For every k<q, one has k<p and σk+1(A)≥σq(A)>τ (when q>0), so [F2] shows that no rank-at-most-k matrix lies within distance τ. If q<p, then σq+1(A)≤τ and the rank-q truncation from [F2] is within distance τ. If q=p, [F3] gives rank⁡A≤p=q, so A itself is an admissible matrix at distance zero. Thus the least admissible rank is q.

2.1step 1.1F1∎

By [F1], the least admissible rank is rank⁡τ(A); step 1.1 identifies it with the number of singular values strictly greater than τ. This proves the formula, including q=0 and thresholds equal to a singular value.

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