Weyl's inequality

In linear algebra, Weyl's inequality is a theorem about the changes to eigenvalues of an Hermitian matrix that is perturbed. It can be used to estimate the eigenvalues of a perturbed Hermitian matrix.

Weyl's inequality about perturbation

Let ${\textstyle A}$ be Hermitian on inner product space ${\textstyle V}$ with dimention ${\textstyle n}$ , with spectrum ordered in descending order ${\textstyle \lambda _{1}\geq ...\geq \lambda _{n}}$ . Note that these eigenvalues can be ordered, because they are real (as eigenvalues of Hermitian matrices).^[1]

Weyl inequality —

\lambda _{i+j-1}(A+B)\leq \lambda _{i}(A)+\lambda _{j}(B)\leq \lambda _{i+j-n}(A+B)

Proof

By the min-max theorem, it suffices to show that any ${\textstyle W\subset V}$ with dimension ${\textstyle i+j-1}$ , there exists a unit vector ${\textstyle w}$ such that ${\textstyle \langle w,(A+B)w\rangle \leq \lambda _{i}(A)+\lambda _{j}(B)}$ .

By the min-max principle, there exists some

{\textstyle W_{A}}

with codimension

{\textstyle (i-1)}

, such that

\lambda _{i}(A)=\max _{x\in W_{A};\|x\|=1}\langle x,Ax\rangle

Similarly, there exists such a

{\textstyle W_{B}}

with codimension

{\textstyle j-1}

. Now

{\textstyle W_{A}\cap W_{B}}

has codimension

{\textstyle \leq i+j-2}

, so it has nontrivial intersection with

{\textstyle W}

. Let

{\textstyle w\in W\cap W_{A}\cap W_{B}}

, and we have the desired vector.

The second one is a corollary of the first, by taking the negative.

Weyl's inequality states that the spectrum of Hermitian matrices is stable under perturbation. Specifically, we have:^[1]

Corollary (Spectral stability) —

\lambda _{k}(A+B)-\lambda _{k}(A)\in [\lambda _{n}(B),\lambda _{1}(B)]

|\lambda _{k}(A+B)-\lambda _{k}(A)|\leq \|B\|_{op}

where

\|B\|_{op}=\max(|\lambda _{1}(B)|,|\lambda _{n}(B)|)

is the operator norm.

In jargon, it says that $\lambda _{k}$ is Lipschitz-continuous on the space of Hermitian matrices with operator norm.

Weyl's inequality between eigenvalues and singular values

Let $A\in \mathbb {C} ^{n\times n}$ have singular values $\sigma _{1}(A)\geq \cdots \geq \sigma _{n}(A)\geq 0$ and eigenvalues ordered so that $|\lambda _{1}(A)|\geq \cdots \geq |\lambda _{n}(A)|$ . Then

|\lambda _{1}(A)\cdots \lambda _{k}(A)|\leq \sigma _{1}(A)\cdots \sigma _{k}(A)

For $k=1,\ldots ,n$ , with equality for $k=n$ . ^[2]

Applications

Estimating perturbations of the spectrum

Assume that $R$ is small in the sense that its spectral norm satisfies $\|R\|_{2}\leq \epsilon$ for some small $\epsilon >0$ . Then it follows that all the eigenvalues of $R$ are bounded in absolute value by $\epsilon$ . Applying Weyl's inequality, it follows that the spectra of the Hermitian matrices M and N are close in the sense that^[3]

|\mu _{i}-\nu _{i}|\leq \epsilon \qquad \forall i=1,\ldots ,n.

Note, however, that this eigenvalue perturbation bound is generally false for non-Hermitian matrices (or more accurately, for non-normal matrices). For a counterexample, let $t>0$ be arbitrarily small, and consider

M={\begin{bmatrix}0&0\\1/t^{2}&0\end{bmatrix}},\qquad N=M+R={\begin{bmatrix}0&1\\1/t^{2}&0\end{bmatrix}},\qquad R={\begin{bmatrix}0&1\\0&0\end{bmatrix}}.

whose eigenvalues $\mu _{1}=\mu _{2}=0$ and $\nu _{1}=+1/t,\nu _{2}=-1/t$ do not satisfy $|\mu _{i}-\nu _{i}|\leq \|R\|_{2}=1$ .

Weyl's inequality for singular values

Let $M$ be a $p\times n$ matrix with $1\leq p\leq n$ . Its singular values $\sigma _{k}(M)$ are the $p$ positive eigenvalues of the $(p+n)\times (p+n)$ Hermitian augmented matrix

{\begin{bmatrix}0&M\\M^{*}&0\end{bmatrix}}.

Therefore, Weyl's eigenvalue perturbation inequality for Hermitian matrices extends naturally to perturbation of singular values.^[1] This result gives the bound for the perturbation in the singular values of a matrix $M$ due to an additive perturbation $\Delta$ :

|\sigma _{k}(M+\Delta )-\sigma _{k}(M)|\leq \sigma _{1}(\Delta )

where we note that the largest singular value $\sigma _{1}(\Delta )$ coincides with the spectral norm $\|\Delta \|_{2}$ .

Notes

1 2 3 Tao, Terence (2010-01-13). "254A, Notes 3a: Eigenvalues and sums of Hermitian matrices". Terence Tao's blog. Retrieved 25 May 2015.
↑ Roger A. Horn, and Charles R. Johnson Topics in Matrix Analysis. Cambridge, 1st Edition, 1991. p.171
↑ Weyl, Hermann. "Das asymptotische Verteilungsgesetz der Eigenwerte linearer partieller Differentialgleichungen (mit einer Anwendung auf die Theorie der Hohlraumstrahlung)." Mathematische Annalen 71, no. 4 (1912): 441-479.

References

Matrix Theory, Joel N. Franklin, (Dover Publications, 1993) ISBN 0-486-41179-6
"Das asymptotische Verteilungsgesetz der Eigenwerte linearer partieller Differentialgleichungen", H. Weyl, Math. Ann., 71 (1912), 441–479

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[:0-1] 1 2 3 Tao, Terence (2010-01-13). "254A, Notes 3a: Eigenvalues and sums of Hermitian matrices". Terence Tao's blog. Retrieved 25 May 2015.

[2] Roger A. Horn, and Charles R. Johnson Topics in Matrix Analysis. Cambridge, 1st Edition, 1991. p.171

[3] Weyl, Hermann. "Das asymptotische Verteilungsgesetz der Eigenwerte linearer partieller Differentialgleichungen (mit einer Anwendung auf die Theorie der Hohlraumstrahlung)." Mathematische Annalen 71, no. 4 (1912): 441-479.

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