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Matrix norm

From Wikipedia, the free encyclopedia
Norm on a vector space of matrices
For the general concept, seeNorm (mathematics).
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In the field ofmathematics,norms are defined for elements within avector space. Specifically, when the vector space comprises matrices, such norms are referred to asmatrix norms. Matrix norms differ from vector norms in that they must also interact withmatrix multiplication.

Preliminaries

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Given afield K {\displaystyle \ K\ } of eitherreal orcomplex numbers (or any complete subset thereof), let Km×n {\displaystyle \ K^{m\times n}\ } be theK-vector space of matrices withm{\displaystyle m} rows andn{\displaystyle n} columns and entries in the field K .{\displaystyle \ K~.} A matrix norm is anorm on Km×n .{\displaystyle \ K^{m\times n}~.}

Norms are often expressed withdouble vertical bars (like so: A {\displaystyle \ \|A\|\ }). Thus, the matrix norm is afunction :Km×nR0+ {\displaystyle \ \|\cdot \|:K^{m\times n}\to \mathbb {R} ^{0+}\ } that must satisfy the following properties:[1][2]

For all scalars αK {\displaystyle \ \alpha \in K\ } and matrices A,BKm×n ,{\displaystyle \ A,B\in K^{m\times n}\ ,}

The only feature distinguishing matrices from rearranged vectors ismultiplication. Matrix norms are particularly useful if they are alsosub-multiplicative:[1][2][3]

Every norm on Kn×n {\displaystyle \ K^{n\times n}\ } can be rescaled to be sub-multiplicative; in some books, the terminologymatrix norm is reserved for sub-multiplicative norms.[4]

Unitary invariance

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A matrix norm is called unitarily invariant if for all unitary matricesU,V{\displaystyle U,V} and matrixA{\displaystyle A},UAV=A{\displaystyle \lVert UAV\rVert =\lVert A\rVert }.

A symmetric gauge function is an absolutevector normϕ:CpR+{\displaystyle \phi :\mathbb {C} ^{p}\to \mathbb {R} ^{+}} such thatϕ(Px)=ϕ(x){\displaystyle \phi (Px)=\phi (x)} for anypermutation matrixP{\displaystyle P}. That is:

A norm is a unitarily invariant matrix normif and only if it is a symmetric gauge function on the vector of singular values.[4]

Matrix norms induced by vector norms

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Main article:Operator norm

Suppose avector normα{\displaystyle \|\cdot \|_{\alpha }} onKn{\displaystyle K^{n}} and a vector normβ{\displaystyle \|\cdot \|_{\beta }} onKm{\displaystyle K^{m}} are given. Anym×n{\displaystyle m\times n} matrixA induces a linear operator fromKn{\displaystyle K^{n}} toKm{\displaystyle K^{m}} with respect to the standard basis, and one defines the correspondinginduced norm oroperator norm orsubordinate norm on the spaceKm×n{\displaystyle K^{m\times n}} of allm×n{\displaystyle m\times n} matrices as follows:Aα,β=sup{Axβ:xKn such that xα1}{\displaystyle \|A\|_{\alpha ,\beta }=\sup\{\|Ax\|_{\beta }:x\in K^{n}{\text{ such that }}\|x\|_{\alpha }\leq 1\}}wheresup{\displaystyle \sup } denotes thesupremum. This norm measures how much the mapping induced byA{\displaystyle A} can stretch vectors.Depending on the vector normsα{\displaystyle \|\cdot \|_{\alpha }},β{\displaystyle \|\cdot \|_{\beta }} used, notation other thanα,β{\displaystyle \|\cdot \|_{\alpha ,\beta }} can be used for the operator norm.

Matrix norms induced by vectorp-norms

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If thep-norm for vectors (1p{\displaystyle 1\leq p\leq \infty }) is used for both spacesKn{\displaystyle K^{n}} andKm,{\displaystyle K^{m},} then the corresponding operator norm is:[2]Ap=sup{Axp:xKn such that xp1}.{\displaystyle \|A\|_{p}=\sup\{\|Ax\|_{p}:x\in K^{n}{\text{ such that }}\|x\|_{p}\leq 1\}.}These induced norms are different from the"entry-wise"p-norms and theSchattenp-norms for matrices treated below, which are also usually denoted byAp.{\displaystyle \|A\|_{p}.}

Geometrically speaking, one can imagine ap-norm unit ballVp,n={xKn:xp1}{\displaystyle V_{p,n}=\{x\in K^{n}:\|x\|_{p}\leq 1\}} inKn{\displaystyle K^{n}}, then apply the linear mapA{\displaystyle A} to the ball. It would end up becoming a distorted convex shapeAVp,nKm{\displaystyle AV_{p,n}\subset K^{m}}, andAp{\displaystyle \|A\|_{p}} measures the longest "radius" of the distorted convex shape. In other words, we must take ap-norm unit ballVp,m{\displaystyle V_{p,m}} inKm{\displaystyle K^{m}}, then multiply it by at leastAp{\displaystyle \|A\|_{p}}, in order for it to be large enough to containAVp,n{\displaystyle AV_{p,n}}.

p = 1 or ∞

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When p=1 ,{\displaystyle \ p=1\ ,} or p= ,{\displaystyle \ p=\infty \ ,} we have simple formulas.

A1=max1jni=1m|aij| ,{\displaystyle \|A\|_{1}=\max _{1\leq j\leq n}\sum _{i=1}^{m}\left|a_{ij}\right|\ ,}

which is simply the maximum absolute column sum of the matrix.A=max1imj=1n|aij| ,{\displaystyle \|A\|_{\infty }=\max _{1\leq i\leq m}\sum _{j=1}^{n}\left|a_{ij}\right|\ ,}which is simply the maximum absolute row sum of the matrix.

For example, forA=[357  264  028] ,{\displaystyle A={\begin{bmatrix}-3&5&7\\~~2&6&4\\~~0&2&8\\\end{bmatrix}}\ ,}we have thatA1=max{ |3|+2+0 , 5+6+2 , 7+4+8 }=max{ 5 , 13 , 19 }=19 ,{\displaystyle \|A\|_{1}=\max {\bigl \{}\ |{-3}|+2+0\ ,~5+6+2\ ,~7+4+8\ {\bigr \}}=\max {\bigl \{}\ 5\ ,~13\ ,~19\ {\bigr \}}=19\ ,}A=max{ |3|+5+7 , 2+6+4 , 0+2+8 }=max{ 15 , 12 , 10 }=15 .{\displaystyle \|A\|_{\infty }=\max {\bigl \{}\ |{-3}|+5+7\ ,~2+6+4\ ,~0+2+8\ {\bigr \}}=\max {\bigl \{}\ 15\ ,~12\ ,~10\ {\bigr \}}=15~.}

Spectral norm (p = 2)

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Whenp=2{\displaystyle p=2} (theEuclidean norm or2{\displaystyle \ell _{2}}-norm for vectors), the induced matrix norm is thespectral norm. The two values donot coincide in infinite dimensions — seeSpectral radius for further discussion. The spectral radius should not be confused with the spectral norm. The spectral norm of a matrixA{\displaystyle A} is the largestsingular value ofA{\displaystyle A}, i.e., the square root of the largesteigenvalue of the matrixAA,{\displaystyle A^{*}A,} whereA{\displaystyle A^{*}} denotes theconjugate transpose ofA{\displaystyle A}:[5]A2=λmax(AA)=σmax(A).{\displaystyle \|A\|_{2}={\sqrt {\lambda _{\max }\left(A^{*}A\right)}}=\sigma _{\max }(A).}whereσmax(A){\displaystyle \sigma _{\max }(A)} represents the largest singular value of matrixA.{\displaystyle A.}

There are further properties:

Matrix norms induced by vectorα- andβ-norms

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We can generalize the above definition. Suppose we have vector normsα{\displaystyle \|\cdot \|_{\alpha }} andβ{\displaystyle \|\cdot \|_{\beta }} for spacesKn{\displaystyle K^{n}} andKm{\displaystyle K^{m}} respectively; the corresponding operator norm isAα,β=sup{Axβ:xKn such that xα1}{\displaystyle \|A\|_{\alpha ,\beta }=\sup\{\|Ax\|_{\beta }:x\in K^{n}{\text{ such that }}\|x\|_{\alpha }\leq 1\}}In particular, theAp{\displaystyle \|A\|_{p}} defined previously is the special case ofAp,p{\displaystyle \|A\|_{p,p}}.

In the special cases ofα=2{\displaystyle \alpha =2} andβ={\displaystyle \beta =\infty }, the induced matrix norms can be computed byA2,=max1imAi:2,{\displaystyle \|A\|_{2,\infty }=\max _{1\leq i\leq m}\|A_{i:}\|_{2},} whereAi:{\displaystyle A_{i:}} is the i-th row of matrixA{\displaystyle A}.

In the special cases ofα=1{\displaystyle \alpha =1} andβ=2{\displaystyle \beta =2}, the induced matrix norms can be computed byA1,2=max1jnA:j2,{\displaystyle \|A\|_{1,2}=\max _{1\leq j\leq n}\|A_{:j}\|_{2},} whereA:j{\displaystyle A_{:j}} is the j-th column of matrixA{\displaystyle A}.

Hence,A2,{\displaystyle \|A\|_{2,\infty }} andA1,2{\displaystyle \|A\|_{1,2}} are the maximum row and column 2-norm of the matrix, respectively.

Properties

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Any operator norm isconsistent with the vector norms that induce it, givingAxβAα,βxα.{\displaystyle \|Ax\|_{\beta }\leq \|A\|_{\alpha ,\beta }\|x\|_{\alpha }.}

Supposeα,β{\displaystyle \|\cdot \|_{\alpha ,\beta }};β,γ{\displaystyle \|\cdot \|_{\beta ,\gamma }}; andα,γ{\displaystyle \|\cdot \|_{\alpha ,\gamma }} are operator norms induced by the respective pairs of vector norms(α,β){\displaystyle (\|\cdot \|_{\alpha },\|\cdot \|_{\beta })};(β,γ){\displaystyle (\|\cdot \|_{\beta },\|\cdot \|_{\gamma })}; and(α,γ){\displaystyle (\|\cdot \|_{\alpha },\|\cdot \|_{\gamma })}. Then,

ABα,γAβ,γBα,β;{\displaystyle \|AB\|_{\alpha ,\gamma }\leq \|A\|_{\beta ,\gamma }\|B\|_{\alpha ,\beta };}

this follows fromABxγAβ,γBxβAβ,γBα,βxα{\displaystyle \|ABx\|_{\gamma }\leq \|A\|_{\beta ,\gamma }\|Bx\|_{\beta }\leq \|A\|_{\beta ,\gamma }\|B\|_{\alpha ,\beta }\|x\|_{\alpha }}andsupxα=1ABxγ=ABα,γ.{\displaystyle \sup _{\|x\|_{\alpha }=1}\|ABx\|_{\gamma }=\|AB\|_{\alpha ,\gamma }.}

Square matrices

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Supposeα,α{\displaystyle \|\cdot \|_{\alpha ,\alpha }} is an operator norm on the space of square matricesKn×n{\displaystyle K^{n\times n}}induced by vector normsα{\displaystyle \|\cdot \|_{\alpha }} andα{\displaystyle \|\cdot \|_{\alpha }}.Then, the operator norm is a sub-multiplicative matrix norm:ABα,αAα,αBα,α.{\displaystyle \|AB\|_{\alpha ,\alpha }\leq \|A\|_{\alpha ,\alpha }\|B\|_{\alpha ,\alpha }.}

Moreover, any such norm satisfies the inequality

(Arα,α)1/rρ(A){\displaystyle (\|A^{r}\|_{\alpha ,\alpha })^{1/r}\geq \rho (A)}1

for all positive integersr, whereρ(A) is thespectral radius ofA. Forsymmetric orhermitianA, we have equality in (1) for the 2-norm, since in this case the 2-normis precisely the spectral radius ofA. For an arbitrary matrix, we may not have equality for any norm; a counterexample would beA=[0100],{\displaystyle A={\begin{bmatrix}0&1\\0&0\end{bmatrix}},}which has vanishing spectral radius. In any case, for any matrix norm, we have thespectral radius formula:limrAr1/r=ρ(A).{\displaystyle \lim _{r\to \infty }\|A^{r}\|^{1/r}=\rho (A).}

Energy norms

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If the vector normsα{\displaystyle \|\cdot \|_{\alpha }} andβ{\displaystyle \|\cdot \|_{\beta }} are given in terms ofenergy norms based onsymmetricpositive definite matricesP{\displaystyle P} andQ{\displaystyle Q} respectively, the resulting operator norm is given asAP,Q=sup{AxQ:xP1}.{\displaystyle \|A\|_{P,Q}=\sup\{\|Ax\|_{Q}:\|x\|_{P}\leq 1\}.}

Using the symmetricmatrix square roots ofP{\displaystyle P} andQ{\displaystyle Q} respectively, the operator norm can be expressed as the spectral norm of a modified matrix:

AP,Q=Q1/2AP1/22.{\displaystyle \|A\|_{P,Q}=\|Q^{1/2}AP^{-1/2}\|_{2}.}

Consistent and compatible norms

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A matrix norm{\displaystyle \|\cdot \|} onKm×n{\displaystyle K^{m\times n}} is calledconsistent with a vector normα{\displaystyle \|\cdot \|_{\alpha }} onKn{\displaystyle K^{n}} and a vector normβ{\displaystyle \|\cdot \|_{\beta }} onKm{\displaystyle K^{m}}, if:AxβAxα{\displaystyle \left\|Ax\right\|_{\beta }\leq \left\|A\right\|\left\|x\right\|_{\alpha }}for allAKm×n{\displaystyle A\in K^{m\times n}} and allxKn{\displaystyle x\in K^{n}}. In the special case ofm =n andα=β{\displaystyle \alpha =\beta },{\displaystyle \|\cdot \|} is also calledcompatible withα{\displaystyle \|\cdot \|_{\alpha }}.

All induced norms are consistent by definition. Also, any sub-multiplicative matrix norm onKn×n{\displaystyle K^{n\times n}} induces a compatible vector norm onKn{\displaystyle K^{n}} by definingv:=(v,v,,v){\displaystyle \left\|v\right\|:=\left\|\left(v,v,\dots ,v\right)\right\|}.

"Entry-wise" matrix norms

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These norms treat anm×n{\displaystyle m\times n} matrix as a vector of sizemn{\displaystyle m\cdot n}, and use one of the familiar vector norms. For example, using thep-norm for vectors,p ≥ 1, we get:

Ap,p=vec(A)p=(i=1mj=1n|aij|p)1/p{\displaystyle \|A\|_{p,p}=\|\mathrm {vec} (A)\|_{p}=\left(\sum _{i=1}^{m}\sum _{j=1}^{n}|a_{ij}|^{p}\right)^{1/p}}

This is a different norm from the inducedp-norm (see above) and the Schattenp-norm (see below), but the notation is the same.

The special casep = 2 is the Frobenius norm, andp = ∞ yields the maximum norm.

L2,1 andLp,q norms

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Let(a1,,an){\displaystyle (a_{1},\ldots ,a_{n})} be the dimensionm columns of matrixA{\displaystyle A}. From the original definition, the matrixA{\displaystyle A} presentsn data points in anm-dimensional space. TheL2,1{\displaystyle L_{2,1}} norm[6] is the sum of the Euclidean norms of the columns of the matrix:

A2,1=j=1naj2=j=1n(i=1m|aij|2)1/2{\displaystyle \|A\|_{2,1}=\sum _{j=1}^{n}\|a_{j}\|_{2}=\sum _{j=1}^{n}\left(\sum _{i=1}^{m}|a_{ij}|^{2}\right)^{1/2}}

TheL2,1{\displaystyle L_{2,1}} norm as anerror function is more robust, since the error for each data point (a column) is not squared. It is used inrobust data analysis andsparse coding.

Forp,q ≥ 1, theL2,1{\displaystyle L_{2,1}} norm can be generalized to theLp,q{\displaystyle L_{p,q}} norm as follows:

Ap,q=(j=1n(i=1m|aij|p)qp)1q.{\displaystyle \|A\|_{p,q}=\left(\sum _{j=1}^{n}\left(\sum _{i=1}^{m}|a_{ij}|^{p}\right)^{\frac {q}{p}}\right)^{\frac {1}{q}}.}

Frobenius norm

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Main article:Hilbert–Schmidt operator
See also:Frobenius inner product

Whenp =q = 2 for theLp,q{\displaystyle L_{p,q}} norm, it is called theFrobenius norm or theHilbert–Schmidt norm, though the latter term is used more frequently in the context of operators on (possibly infinite-dimensional)Hilbert space. This norm can be defined in various ways:

AF=imjn|aij|2=trace(AA)=i=1min{m,n}σi2(A),{\displaystyle \|A\|_{\text{F}}={\sqrt {\sum _{i}^{m}\sum _{j}^{n}|a_{ij}|^{2}}}={\sqrt {\operatorname {trace} \left(A^{*}A\right)}}={\sqrt {\sum _{i=1}^{\min\{m,n\}}\sigma _{i}^{2}(A)}},}

where thetrace is the sum of diagonal entries, andσi(A){\displaystyle \sigma _{i}(A)} are thesingular values ofA{\displaystyle A}. The second equality is proven by explicit computation oftrace(AA){\displaystyle \mathrm {trace} (A^{*}A)}. The third equality is proven bysingular value decomposition ofA{\displaystyle A}, and the fact that the trace is invariant under circular shifts.

The Frobenius norm is an extension of the Euclidean norm toKn×n{\displaystyle K^{n\times n}} and comes from theFrobenius inner product on the space of all matrices.

The Frobenius norm is sub-multiplicative and is very useful fornumerical linear algebra. The sub-multiplicativity of Frobenius norm can be proved using theCauchy–Schwarz inequality. In fact, it is more than sub-multiplicative, asABFAopBF{\displaystyle \|AB\|_{F}\leq \|A\|_{op}\|B\|_{F}}where the operator normopF{\displaystyle \|\cdot \|_{op}\leq \|\cdot \|_{F}}.

Frobenius norm is often easier to compute than induced norms, and has the useful property of being invariant underrotations (andunitary operations in general). That is,AF=AUF=UAF{\displaystyle \|A\|_{\text{F}}=\|AU\|_{\text{F}}=\|UA\|_{\text{F}}} for any unitary matrixU{\displaystyle U}. This property follows from the cyclic nature of the trace (trace(XYZ)=trace(YZX)=trace(ZXY){\displaystyle \operatorname {trace} (XYZ)=\operatorname {trace} (YZX)=\operatorname {trace} (ZXY)}):

AUF2=trace((AU)AU)=trace(UAAU)=trace(UUAA)=trace(AA)=AF2,{\displaystyle \|AU\|_{\text{F}}^{2}=\operatorname {trace} \left((AU)^{*}AU\right)=\operatorname {trace} \left(U^{*}A^{*}AU\right)=\operatorname {trace} \left(UU^{*}A^{*}A\right)=\operatorname {trace} \left(A^{*}A\right)=\|A\|_{\text{F}}^{2},}

and analogously:

UAF2=trace((UA)UA)=trace(AUUA)=trace(AA)=AF2,{\displaystyle \|UA\|_{\text{F}}^{2}=\operatorname {trace} \left((UA)^{*}UA\right)=\operatorname {trace} \left(A^{*}U^{*}UA\right)=\operatorname {trace} \left(A^{*}A\right)=\|A\|_{\text{F}}^{2},}

where we have used the unitary nature ofU{\displaystyle U} (that is,UU=UU=I{\displaystyle U^{*}U=UU^{*}=\mathbf {I} }).

It also satisfies

AAF=AAFAF2{\displaystyle \|A^{*}A\|_{\text{F}}=\|AA^{*}\|_{\text{F}}\leq \|A\|_{\text{F}}^{2}}

and

A+BF2=AF2+BF2+2Re(A,BF),{\displaystyle \|A+B\|_{\text{F}}^{2}=\|A\|_{\text{F}}^{2}+\|B\|_{\text{F}}^{2}+2\operatorname {Re} \left(\langle A,B\rangle _{\text{F}}\right),}

whereA,BF{\displaystyle \langle A,B\rangle _{\text{F}}} is theFrobenius inner product, and Re is the real part of a complex number (irrelevant for real matrices)

Max norm

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Themax norm is the elementwise norm in the limit asp =q goes to infinity:

Amax=maxi,j|aij|.{\displaystyle \|A\|_{\max }=\max _{i,j}|a_{ij}|.}

This norm is notsub-multiplicative; but modifying the right-hand side tomnmaxi,j|aij|{\displaystyle {\sqrt {mn}}\max _{i,j}\vert a_{ij}\vert } makes it so.

Note that in some literature (such asCommunication complexity), an alternative definition of max-norm, also called theγ2{\displaystyle \gamma _{2}}-norm, refers to the factorization norm:

γ2(A)=minU,V:A=UVTU2,V2,=minU,V:A=UVTmaxi,jUi,:2Vj,:2{\displaystyle \gamma _{2}(A)=\min _{U,V:A=UV^{T}}\|U\|_{2,\infty }\|V\|_{2,\infty }=\min _{U,V:A=UV^{T}}\max _{i,j}\|U_{i,:}\|_{2}\|V_{j,:}\|_{2}}

Schatten norms

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Further information:Schatten norm

The Schattenp-norms arise when applying thep-norm to the vector ofsingular values of a matrix.[2] If the singular values of them×n{\displaystyle m\times n} matrixA{\displaystyle A} are denoted byσi, then the Schattenp-norm is defined by

Ap=(i=1min{m,n}σip(A))1/p.{\displaystyle \|A\|_{p}=\left(\sum _{i=1}^{\min\{m,n\}}\sigma _{i}^{p}(A)\right)^{1/p}.}

These norms again share the notation with the induced and entry-wisep-norms, but they are different.

All Schatten norms are sub-multiplicative. They are also unitarily invariant, which means thatA=UAV{\displaystyle \|A\|=\|UAV\|} for all matricesA{\displaystyle A} and allunitary matricesU{\displaystyle U} andV{\displaystyle V}.

The most familiar cases arep = 1, 2, ∞. The casep = 2 yields the Frobenius norm, introduced before. The casep = ∞ yields the spectral norm, which is the operator norm induced by the vector 2-norm (see above). Finally,p = 1 yields thenuclear norm (also known as thetrace norm, or theKy Fan 'n'-norm[7]), defined as:

A=trace(AA)=i=1min{m,n}σi(A),{\displaystyle \|A\|_{*}=\operatorname {trace} \left({\sqrt {A^{*}A}}\right)=\sum _{i=1}^{\min\{m,n\}}\sigma _{i}(A),}

whereAA{\displaystyle {\sqrt {A^{*}A}}} denotes a positive semidefinite matrixB{\displaystyle B} such thatBB=AA{\displaystyle BB=A^{*}A}. More precisely, sinceAA{\displaystyle A^{*}A} is apositive semidefinite matrix, itssquare root is well defined. The nuclear normA{\displaystyle \|A\|_{*}} is aconvex envelope of the rank functionrank(A){\displaystyle {\text{rank}}(A)}, so it is often used inmathematical optimization to search for low-rank matrices.

Combiningvon Neumann's trace inequality withHölder's inequality for Euclidean space yields a version ofHölder's inequality for Schatten norms for1/p+1/q=1{\displaystyle 1/p+1/q=1}:

|trace(AB)|ApBq,{\displaystyle \left|\operatorname {trace} (A^{*}B)\right|\leq \|A\|_{p}\|B\|_{q},}

In particular, this implies the Schatten norm inequality

AF2ApAq.{\displaystyle \|A\|_{F}^{2}\leq \|A\|_{p}\|A\|_{q}.}

Monotone norms

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A matrix norm{\displaystyle \|\cdot \|} is calledmonotone if it is monotonic with respect to theLoewner order. Thus, a matrix norm is increasing if

ABAB.{\displaystyle A\preccurlyeq B\Rightarrow \|A\|\leq \|B\|.}

The Frobenius norm and spectral norm are examples of monotone norms.[8]

Cut norms

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Another source of inspiration for matrix norms arises from considering a matrix as theadjacency matrix of aweighted,directed graph.[9] The so-called "cut norm" measures how close the associated graph is to beingbipartite:A=maxS[n],T[m]|sS,tTAt,s|{\displaystyle \|A\|_{\Box }=\max _{S\subseteq [n],T\subseteq [m]}{\left|\sum _{s\in S,t\in T}{A_{t,s}}\right|}} whereAKm×n.[9][10][11] Equivalent definitions (up to a constant factor) impose the conditions2|S| >n & 2|T| >m;S =T; orST = ∅.[10]

The cut-norm is equivalent to the induced operator norm‖·‖∞→1, which is itself equivalent to another norm, called theGrothendieck norm.[11]

To define the Grothendieck norm, first note that a linear operatorK1K1 is just a scalar, and thus extends to a linear operator on anyKkKk. Moreover, given any choice of basis forKn andKm, any linear operatorKnKm extends to a linear operator(Kk)n → (Kk)m, by letting each matrix element on elements ofKk viascalar multiplication. The Grothendieck norm is the norm of that extended operator; in symbols:[11]AG,k=supeach uj,vjKk;uj=vj=1j[n],[m](ujvj)A,j{\displaystyle \|A\|_{G,k}=\sup _{{\text{each }}u_{j},v_{j}\in K^{k};\|u_{j}\|=\|v_{j}\|=1}{\sum _{j\in [n],\ell \in [m]}{(u_{j}\cdot v_{j})A_{\ell ,j}}}}

The Grothendieck norm depends on choice of basis (usually taken to be thestandard basis) andk.

Equivalence of norms

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See also:Equivalent norms

For any two matrix normsα{\displaystyle \|\cdot \|_{\alpha }} andβ{\displaystyle \|\cdot \|_{\beta }}, we have that:

rAαAβsAα{\displaystyle r\|A\|_{\alpha }\leq \|A\|_{\beta }\leq s\|A\|_{\alpha }}

for some positive numbersr ands, for all matricesAKm×n{\displaystyle A\in K^{m\times n}}. In other words, all norms onKm×n{\displaystyle K^{m\times n}} areequivalent; they induce the sametopology onKm×n{\displaystyle K^{m\times n}}. This is true because the vector spaceKm×n{\displaystyle K^{m\times n}} has the finitedimensionm×n{\displaystyle m\times n}.

Moreover, for every matrix norm{\displaystyle \|\cdot \|} onRn×n{\displaystyle \mathbb {R} ^{n\times n}} there exists a unique positive real numberk{\displaystyle k} such that{\displaystyle \ell \|\cdot \|} is a sub-multiplicative matrix norm for everyk{\displaystyle \ell \geq k}; to wit,

k=sup{AB:A1,B1}.{\displaystyle k=\sup\{\Vert AB\Vert \,:\,\Vert A\Vert \leq 1,\Vert B\Vert \leq 1\}.}

A sub-multiplicative matrix normα{\displaystyle \|\cdot \|_{\alpha }} is said to beminimal, if there exists no other sub-multiplicative matrix normβ{\displaystyle \|\cdot \|_{\beta }} satisfyingβ<α{\displaystyle \|\cdot \|_{\beta }<\|\cdot \|_{\alpha }}.

Examples of norm equivalence

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LetAp{\displaystyle \|A\|_{p}} once again refer to the norm induced by the vectorp-norm (as above in the Induced norm section).

For matrixARm×n{\displaystyle A\in \mathbb {R} ^{m\times n}} ofrankr{\displaystyle r}, the following inequalities hold:[12][13]

See also

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Notes

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  1. ^The condition only applies when the product is defined, such as the case ofsquare matrices ( m=n {\displaystyle \ m=n\ }). More generally, multiplication of the matrices must be possible: AK×m {\displaystyle \ A\in K^{\ell \times m}\ } and BKm×n ;{\displaystyle \ B\in K^{m\times n}~;} further, the two norms A {\displaystyle \ \|A\|\ } and B {\displaystyle \ \|B\|\ } must either have the same definitions, only differing in the matrix dimensions, or two different types of norms that are none the less "consistent" (see below).

References

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  1. ^abWeisstein, Eric W."Matrix norm".mathworld.wolfram.com. Retrieved2020-08-24.
  2. ^abcd"Matrix norms".fourier.eng.hmc.edu. Retrieved2020-08-24.
  3. ^Malek-Shahmirzadi, Massoud (1983). "A characterization of certain classes of matrix norms".Linear and Multilinear Algebra.13 (2):97–99.doi:10.1080/03081088308817508.ISSN 0308-1087.
  4. ^abHorn, Roger A. (2012).Matrix analysis. Johnson, Charles R. (2nd ed.). Cambridge, UK: Cambridge University Press. pp. 340–341.ISBN 978-1-139-77600-4.OCLC 817236655.
  5. ^Carl D. Meyer, Matrix Analysis and Applied Linear Algebra, §5.2, p.281, Society for Industrial & Applied Mathematics, June 2000.
  6. ^Ding, Chris; Zhou, Ding; He, Xiaofeng; Zha, Hongyuan (June 2006).R1-PCA: Rotational invariant L1-norm principal component analysis for robust subspace factorization. 23rd International Conference on Machine Learning. ICML '06. Pittsburgh, PA:Association for Computing Machinery. pp. 281–288.doi:10.1145/1143844.1143880.ISBN 1-59593-383-2.
  7. ^Fan, Ky. (1951)."Maximum properties and inequalities for the eigenvalues of completely continuous operators".Proceedings of the National Academy of Sciences of the United States of America.37 (11):760–766.Bibcode:1951PNAS...37..760F.doi:10.1073/pnas.37.11.760.PMC 1063464.PMID 16578416.
  8. ^Ciarlet, Philippe G. (1989).Introduction to numerical linear algebra and optimisation. Cambridge, England: Cambridge University Press. p. 57.ISBN 0521327881.
  9. ^abFrieze, Alan; Kannan, Ravi (1999-02-01)."Quick Approximation to Matrices and Applications".Combinatorica.19 (2):175–220.doi:10.1007/s004930050052.ISSN 1439-6912.S2CID 15231198.
  10. ^abLovász László (2012). "The cut distance".Large Networks and Graph Limits. AMS Colloquium Publications. Vol. 60. Providence, RI: American Mathematical Society. pp. 127–131.ISBN 978-0-8218-9085-1. Note that Lovász rescalesA to lie in[0, 1].
  11. ^abcAlon, Noga; Naor, Assaf (2004-06-13)."Approximating the cut-norm via Grothendieck's inequality".Proceedings of the thirty-sixth annual ACM symposium on Theory of computing. STOC '04. Chicago, IL, USA: Association for Computing Machinery. pp. 72–80.doi:10.1145/1007352.1007371.ISBN 978-1-58113-852-8.S2CID 1667427.
  12. ^Golub, Gene;Charles F. Van Loan (1996). Matrix Computations – Third Edition. Baltimore: The Johns Hopkins University Press, 56–57.ISBN 0-8018-5413-X.
  13. ^Roger Horn and Charles Johnson.Matrix Analysis, Chapter 5, Cambridge University Press, 1985.ISBN 0-521-38632-2.

Bibliography

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  • James W. Demmel, Applied Numerical Linear Algebra, section 1.7, published by SIAM, 1997.
  • Carl D. Meyer, Matrix Analysis and Applied Linear Algebra, published by SIAM, 2000.[1]
  • John Watrous, Theory of Quantum Information,2.3 Norms of operators, lecture notes, University of Waterloo, 2011.
  • Kendall Atkinson, An Introduction to Numerical Analysis, published by John Wiley & Sons, Inc 1989
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