Inlinear algebra andfunctional analysis, themin-max theorem, orvariational theorem, orCourant–Fischer–Weyl min-max principle, is a result that gives a variational characterization ofeigenvalues ofcompact Hermitian operators onHilbert spaces. It can be viewed as the starting point of many results of similar nature.
This article first discusses the finite-dimensional case and its applications before considering compact operators on infinite-dimensional Hilbert spaces. We will see that for compact operators, the proof of the main theorem uses essentially the same idea from the finite-dimensional argument.
In the case that the operator is non-Hermitian, the theorem provides an equivalent characterization of the associatedsingular values. The min-max theorem can be extended toself-adjoint operators that are bounded below.
where(⋅, ⋅) denotes theEuclidean inner product onCn. Equivalently, the Rayleigh–Ritz quotient can be replaced by
The Rayleigh quotient of an eigenvector is its associated eigenvalue because. For a Hermitian matrixA, the range of the continuous functionsRA(x) andf(x) is a compact interval [a,b] of the real line. The maximumb and the minimuma are the largest and smallest eigenvalue ofA, respectively. The min-max theorem is a refinement of this fact.
Let be Hermitian on an inner product space with dimension, with spectrum ordered in descending order.
Let be the corresponding unit-length orthogonal eigenvectors.
Reverse the spectrum ordering, so that.
(Poincaré’s inequality)—Let be a subspace of with dimension, then there exists unit vectors, such that
, and.
Proof
Part 2 is a corollary, using.
is a dimensional subspace, so if we pick any list of vectors, their span must intersect on at least a single line.
Take unit. That’s what we need.
, since.
Since, we find.
min-max theorem—
Proof
Part 2 is a corollary of part 1, by using.
By Poincare’s inequality, is an upper bound to the right side.
By setting, the upper bound is achieved.
Define thepartial trace to be the trace of projection of to. It is equal to given an orthonormal basis of.
Wielandt minimax formula([1]: 44 )—Let be integers. Define a partial flag to be a nested collection of subspaces of such that for all.
Define the associated Schubert variety to be the collection of all dimensional subspaces such that.
Proof
Proof
The case.
Let, and any, it remains to show that
To show this, we construct an orthonormal set of vectors such that. Then
Since, we pick any unit. Next, since, we pick any unit that is perpendicular to, and so on.
The case.
For any such sequence of subspaces, we must find some such that
Now we prove this by induction.
The case is the Courant-Fischer theorem. Assume now.
If, then we can apply induction. Let. We construct a partial flag within from the intersection of with.
We begin by picking a-dimensional subspace, which exists by counting dimensions. This has codimension within.
Then we go down by one space, to pick a-dimensional subspace. This still exists. Etc. Now since, apply the induction hypothesis, there exists some such that Now is the-th eigenvalue of orthogonally projected down to. By Cauchy interlacing theorem,. Since, we’re done.
If, then we perform a similar construction. Let. If, then we can induct. Otherwise, we construct a partial flag sequence By induction, there exists some, such that thus And it remains to find some such that.
If, then any would work. Otherwise, if, then any would work, and so on. If none of these work, then it means, contradiction.
Define the Rayleigh quotient exactly as above in the Hermitian case. Then it is easy to see that the only eigenvalue ofN is zero, while the maximum value of the Rayleigh quotient is1/2. That is, the maximum value of the Rayleigh quotient is larger than the maximum eigenvalue.
Thesingular values {σk} of a square matrixM are the square roots of the eigenvalues ofM*M (equivalentlyMM*). An immediate consequence[citation needed] of the first equality in the min-max theorem is:
Similarly,
Here denotes thekth entry in the decreasing sequence of the singular values, so that.
LetA be a symmetricn ×n matrix. Them ×m matrixB, wherem ≤n, is called acompression ofA if there exists anorthogonal projectionP onto a subspace of dimensionm such thatPAP* =B. The Cauchy interlacing theorem states:
Theorem. If the eigenvalues ofA areα1 ≤ ... ≤αn, and those ofB areβ1 ≤ ... ≤βj ≤ ... ≤βm, then for allj ≤m,
This can be proven using the min-max principle. Letβi have corresponding eigenvectorbi andSj be thej dimensional subspaceSj = span{b1, ...,bj}, then
According to first part of min-max,αj ≤βj. On the other hand, if we defineSm−j+1 = span{bj, ...,bm}, then
where the last inequality is given by the second part of min-max.
Whenn −m = 1, we haveαj ≤βj ≤αj+1, hence the nameinterlacing theorem.
LetA be acompact,Hermitian operator on a Hilbert spaceH. Recall that the non-zerospectrum of such an operator consists of real eigenvalues with finite multiplicities whose only possiblecluster point is zero. IfA has infinitely many positive eigenvalues, they accumulate at zero. In this case, we list the positive eigenvalues ofA as
where entries are repeated withmultiplicity, as in the matrix case. (To emphasize that the sequence is decreasing, we may write.) We now apply the same reasoning as in the matrix case. LettingSk ⊂H be ak dimensional subspace, we can obtain the following theorem.
Theorem (Min-Max). LetA be a compact, self-adjoint operator on a Hilbert spaceH, whose positive eigenvalues are listed in decreasing order... ≤λk ≤ ... ≤λ1. Then:
A similar pair of equalities hold for negative eigenvalues.
Proof
LetS' be the closure of the linear span.The subspaceS' has codimensionk − 1. By the same dimension count argument as in the matrix case,S' ∩Sk has positive dimension. So there existsx ∈S' ∩Sk with. Since it is an element ofS', such anx necessarily satisfy
Therefore, for allSk
ButA is compact, therefore the functionf(x) = (Ax,x) is weakly continuous. Furthermore, any bounded set inH is weakly compact. This lets us replace the infimum by minimum:
So
Because equality is achieved when,
This is the first part of min-max theorem for compact self-adjoint operators.
Analogously, consider now a(k − 1)-dimensional subspaceSk−1, whose the orthogonal complement is denoted bySk−1⊥. IfS' = span{u1...uk},
So
This implies
where the compactness ofA was applied. Index the above by the collection ofk-1-dimensional subspaces gives
The min-max theorem also applies to (possibly unbounded) self-adjoint operators.[2][3] Recall theessential spectrum is the spectrum without isolated eigenvalues of finite multiplicity. Sometimes we have some eigenvalues below the essential spectrum, and we would like to approximate the eigenvalues and eigenfunctions.
Theorem (Min-Max). LetA be self-adjoint, and let be the eigenvalues ofA below the essential spectrum. Then
.
If we only haveN eigenvalues and hence run out of eigenvalues, then we let (the bottom of the essential spectrum) forn>N, and the above statement holds after replacing min-max with inf-sup.
Theorem (Max-Min). LetA be self-adjoint, and let be the eigenvalues ofA below the essential spectrum. Then
.
If we only haveN eigenvalues and hence run out of eigenvalues, then we let (the bottom of the essential spectrum) forn > N, and the above statement holds after replacing max-min with sup-inf.
The proofs[2][3] use the following results about self-adjoint operators:
Theorem. LetA be self-adjoint. Then for if and only if.[2]: 77
^abTao, Terence (2012).Topics in random matrix theory. Graduate studies in mathematics. Providence, R.I: American Mathematical Society.ISBN978-0-8218-7430-1.