Some Bounds for the Singular Values of Matrices

Similar documents
Perturbation Bounds for Determinants and Characteristic Polynomials

BINOMIAL TRANSFORMS OF QUADRAPELL SEQUENCES AND QUADRAPELL MATRIX SEQUENCES

Applied Mathematics Letters

THE OPTIMAL HEDGE RATIO FOR UNCERTAIN MULTI-FOREIGN CURRENCY CASH FLOW

Techniques for Calculating the Efficient Frontier

Received May 27, 2009; accepted January 14, 2011

The ruin probabilities of a multidimensional perturbed risk model

Solutions of Bimatrix Coalitional Games

On the Number of Permutations Avoiding a Given Pattern

Comparative Study between Linear and Graphical Methods in Solving Optimization Problems

Notes on the symmetric group

CLASSIC TWO-STEP DURBIN-TYPE AND LEVINSON-TYPE ALGORITHMS FOR SKEW-SYMMETRIC TOEPLITZ MATRICES

Wada s Representations of the. Pure Braid Group of High Degree

COMBINATORIAL CONVOLUTION SUMS DERIVED FROM DIVISOR FUNCTIONS AND FAULHABER SUMS

OPTIMAL PORTFOLIO CONTROL WITH TRADING STRATEGIES OF FINITE

BOUNDS FOR THE LEAST SQUARES RESIDUAL USING SCALED TOTAL LEAST SQUARES

A RIDGE REGRESSION ESTIMATION APPROACH WHEN MULTICOLLINEARITY IS PRESENT

TWO-PERIODIC TERNARY RECURRENCES AND THEIR BINET-FORMULA 1. INTRODUCTION

Chapter 5 Finite Difference Methods. Math6911 W07, HM Zhu

CSCI 1951-G Optimization Methods in Finance Part 07: Portfolio Optimization

Non replication of options

Palindromic Permutations and Generalized Smarandache Palindromic Permutations

CONSTRUCTION OF CODES BY LATTICE VALUED FUZZY SETS. 1. Introduction. Novi Sad J. Math. Vol. 35, No. 2, 2005,

Version A. Problem 1. Let X be the continuous random variable defined by the following pdf: 1 x/2 when 0 x 2, f(x) = 0 otherwise.

Optimizing Portfolios

Part 3: Trust-region methods for unconstrained optimization. Nick Gould (RAL)

The Limiting Distribution for the Number of Symbol Comparisons Used by QuickSort is Nondegenerate (Extended Abstract)

Journal of Computational and Applied Mathematics. The mean-absolute deviation portfolio selection problem with interval-valued returns

Alain Hertz 1 and Sacha Varone 2. Introduction A NOTE ON TREE REALIZATIONS OF MATRICES. RAIRO Operations Research Will be set by the publisher

Translates of (Anti) Fuzzy Submodules

HIGHER ORDER BINARY OPTIONS AND MULTIPLE-EXPIRY EXOTICS

Markowitz portfolio theory

Markov Decision Processes II

Lossy compression of permutations

On the smallest abundant number not divisible by the first k primes

Lecture Neyman Allocation vs Proportional Allocation and Stratified Random Sampling vs Simple Random Sampling

Richardson Extrapolation Techniques for the Pricing of American-style Options

Epimorphisms and Ideals of Distributive Nearlattices

CSCI 1951-G Optimization Methods in Finance Part 00: Course Logistics Introduction to Finance Optimization Problems

Mathematics in Finance

A lower bound on seller revenue in single buyer monopoly auctions

Analysis of a Prey-Predator Fishery Model. with Prey Reserve

ON A PROBLEM BY SCHWEIZER AND SKLAR

American Option Pricing Formula for Uncertain Financial Market

A way to improve incremental 2-norm condition estimation

A Comparative Study of Black-Scholes Equation

Exercise List: Proving convergence of the (Stochastic) Gradient Descent Method for the Least Squares Problem.

MS-E2114 Investment Science Lecture 5: Mean-variance portfolio theory

Study of Monotonicity of Trinomial Arcs M(p, k, r, n) when 1 <α<+

Convex-Cardinality Problems Part II

Steepest descent and conjugate gradient methods with variable preconditioning

On the Distribution of Multivariate Sample Skewness for Assessing Multivariate Normality

GLOBAL CONVERGENCE OF GENERAL DERIVATIVE-FREE TRUST-REGION ALGORITHMS TO FIRST AND SECOND ORDER CRITICAL POINTS

PRICING AND HEDGING MULTIVARIATE CONTINGENT CLAIMS

FUZZY PRIME L-FILTERS

The Smarandache Curves on H 0

Collinear Triple Hypergraphs and the Finite Plane Kakeya Problem

A NOTE ON A SQUARE-ROOT RULE FOR REINSURANCE. Michael R. Powers and Martin Shubik. June 2005 COWLES FOUNDATION DISCUSSION PAPER NO.

Pricing Exotic Options Under a Higher-order Hidden Markov Model

EFFICIENT MONTE CARLO ALGORITHM FOR PRICING BARRIER OPTIONS

A New Multivariate Kurtosis and Its Asymptotic Distribution

A class of coherent risk measures based on one-sided moments

Credibilistic Equilibria in Extensive Game with Fuzzy Payoffs

Optimal Portfolios and Random Matrices

No-arbitrage theorem for multi-factor uncertain stock model with floating interest rate

Final Exam Suggested Solutions

NUMERICAL METHODS OF PARTIAL INTEGRO-DIFFERENTIAL EQUATIONS FOR OPTION PRICE

Stock Loan Valuation Under Brownian-Motion Based and Markov Chain Stock Models

Solution of the problem of the identified minimum for the tri-variate normal

Chapter 6 Simple Correlation and

A No-Arbitrage Theorem for Uncertain Stock Model

Mean Variance Analysis and CAPM

Essays on Some Combinatorial Optimization Problems with Interval Data

Game Theory. Lecture Notes By Y. Narahari. Department of Computer Science and Automation Indian Institute of Science Bangalore, India August 2012

Stability in geometric & functional inequalities

Research Article On the Classification of Lattices Over Q( 3) Which Are Even Unimodular Z-Lattices of Rank 32

Smarandache Curves on S 2. Key Words: Smarandache Curves, Sabban Frame, Geodesic Curvature. Contents. 1 Introduction Preliminaries 52

THE USE OF NUMERAIRES IN MULTI-DIMENSIONAL BLACK- SCHOLES PARTIAL DIFFERENTIAL EQUATIONS. Hyong-chol O *, Yong-hwa Ro **, Ning Wan*** 1.

Portfolio Choice. := δi j, the basis is orthonormal. Expressed in terms of the natural basis, x = j. x j x j,

Week 1 Quantitative Analysis of Financial Markets Basic Statistics A

KIER DISCUSSION PAPER SERIES

arxiv: v3 [math.nt] 10 Jul 2014

Geometry of orthogonally invariant matrix varieties

Laurence Boxer and Ismet KARACA

Strategic Trading of Informed Trader with Monopoly on Shortand Long-Lived Information

Numerical simulations of techniques related to utility function and price elasticity estimators.

Correlation Ambiguity

More On λ κ closed sets in generalized topological spaces

BEST LINEAR UNBIASED ESTIMATORS FOR THE MULTIPLE LINEAR REGRESSION MODEL USING RANKED SET SAMPLING WITH A CONCOMITANT VARIABLE

Economics 424/Applied Mathematics 540. Final Exam Solutions

Risk, Return, and Ross Recovery

Collective Profitability and Welfare in Selling-Buying Intermediation Processes

Learning Martingale Measures to Price Options

Some derivative free quadratic and cubic convergence iterative formulas for solving nonlinear equations

Deriving the Black-Scholes Equation and Basic Mathematical Finance

End-to-End Congestion Control for the Internet: Delays and Stability

Secant Varieties, Symbolic Powers, Statistical Models

EE/AA 578 Univ. of Washington, Fall Homework 8

Accounting Conservatism, Market Liquidity and Informativeness of Asset Price: Implications on Mark to Market Accounting

Existentially closed models of the theory of differential fields with a cyclic automorphism

Transcription:

Applied Mathematical Sciences, Vol., 007, no. 49, 443-449 Some Bounds for the Singular Values of Matrices Ramazan Turkmen and Haci Civciv Department of Mathematics, Faculty of Art and Science Selcuk University, 403 Konya, Turkey rturkmen@selcuk.edu.tr, hacicivciv@selcuk.edu.tr Abstract We know that to estimate matrix singular values ( especially the largest and the smallest ones ) is an attractive topic in matrix theory and numerical analysis. In this note, we first provide a simple estimate for the smallest singular value σ n (A) ofn n positive definite matrix A. Secondly, we obtain some simple estimates for the smallest singular value σ n (A) and the largest singular value σ (A) ofanyn n complex matrix A, which is not necessarily positive definite. Finally, we get a simple estimate for the largest singular value σ (A) ofann n nonsingular complex matrix A. These estimates are presented as a function of the determinant and the Euclidean norm of A and n. Mathematics Subject Classsification: 5A8, 5A60, 5A5 Keywords: Singular values, matrix norm, determinant Introduction Let A be n-by-n matrix with complex (real) elements. We denote the smallest singular value of A by σ n (A), and its largest singular value by σ (A). Using matrix norms, a simple upper bound of σ (A) was given in []: σ (A) [ ] /. Yu Yi-Sheng and Gu Dun-he [4], and G. Piazza and T. Politi [5] gave a simple lower bound of σ n (A) showing that if A C n n (n ) is a nonsingular matrix, then ( ) (n )/ n σ n (A) det A, E

444 R. Turkmen and H. Civciv and σ n (A) det A (n )/ E, respectively. In this paper, we first provide a simple estimate for the smallest singular value σ n (A) ofn n positive definite matrix A. We then obtain some simple estimates for the smallest singular value σ n (A) and the largest singular value σ (A) ofanyn n complex matrix A, which is not necessarily positive definite. Finally, we get a simple estimate for the largest singular value σ (A)ofann n nonsingular complex matrix A. Preliminaries In this section, we review the basic results on matrices needed in this paper. For more comprehensive treatments on matrices we refer to []. Let A be any n n matrix. The Eucledean norm of the matrix A are defined as ( ) / E = a ij () i,j= Also, the spectral norm of the matrix A is = max in λ i, where λ i is eigenvalue of A H A and A H is conjugate transpose of the matrix A. If λ,λ,..., λ n are the eigenvalues of the matrix A, then det A = λ λ...λ n. () The sequare roots of the n eigenvalues of A H A are the singular values of A. Since A H A is Hermitian and positive semidefinite, the singular values of A are real and nonnegative. This let us write them in sorted order σ (A) σ (A)... σ n (A) 0. If σ,σ,..., σ n are the singular values of the matrix A, then E = i= σi (A). (3) Throughout this note, we denote the smallest singular value of A by σ n (A), and its largest singular value by σ (A).

Bounds for singular values of matrices 445 The arithmetic-geometric-mean inequality, or briefly the AGM inequality is the most important inequality in the classical analysis. It simply states that if x,x,..., x n are nonnegative real numbers and λ,λ,..., λ n > 0 with λ i =, then i= n i= x λ i i λ i x i i= and equality holds if and only if x = x =... = x n =. The important unweighted case occurs if we put λ = λ =... = λ n = n : 3 Main Results n x x,...x n x + x,... + x n. (4) n Theorem Let A be any n n positive definite matrix. Then, σ n (A) E. n Proof. From the arithmetic-geometric-mean inequality, we can write ( n ) /n σk (A) n σk (A) (5) and ( n ) /n σk (A) n σ k (A). (6) Threfore, the inequalities (5) and (6) give ( n σ k (A))( Thus, if we consider the identitiy E = we get n ) σk (A) (7) σk (A) and the Ineq. (7), then n E σ k (A).

446 R. Turkmen and H. Civciv Consequently, we have an upper bound for the smallest singular value σ n (A) of the matrix A such that This completes the proof. σ n (A) E. n Theorem Let A be any n-by-n complex matrix. Then, the smallest singular value σ n (A) and the largest singular value σ (A) of A satisfy σ n (A) 4 n (n ) and σ (A) 4 n [ 4 E + E det (I + A A)+ ] /4. Proof. The identity E = σ (A)+... + σ n (A) give 4 E = [ σ (A)+... + σn (A)] 4 [ ] = σk 4 (A)+ σk (A) σ j (A) k>j Thus, from this equality we obtain the inequality 4 E < σk 4 (A)+ σk (A) σ j (A) k>j = σk (A) σm (A) = Hence, the Ineq. (9) implies that m=k [ σk (A) m= = 4 E σk (A) k σm (A) k m= m= σ m (A) ]. (8) σ m (A). (9) n σn 4 (A) k< 4 E. (0)

Bounds for singular values of matrices 447 By solving the Ineq. (0) for σ n (A), we get σ n (A). n (n ) 4 To obtain a lower bound for the largest singular value of A, let us consider the equality (8). Therefore, we write [ ] 4 E σk 4 (A) = σk (A) σj (A). () k>j If we use in () the inequality n ( +σ k (A) ) + σk (A)+ i<jn σ i (A) σ j (A), then we obtain n 4 E + σk (A) ( +σ k (A) ) + σ 4 k (A). () Note that σ k (A), k =,,..., n, are the eigenvalues of A A (with associated eigenvectors x k ). Then, for each j, (I + A A) x j = Ix j + A Ax j = x j + σj (A) x j = ( +σ j (A) ) x j. Therefore, μ k =+σk (A), k =,,..., n, are the eigenvalues of the matrix I + A A. Hence, we can write det (I + A A)= Combining () and (3), we obtain n ( +σ k (A) ). (3) 4 E + E det (I + A A)+ nσ 4 (A). (4) We solve the inequality (4) for σ (A) to obtain σ (A) 4 n [ 4 E + E det (I + A A)+ ] /4.

448 R. Turkmen and H. Civciv Theorem 3 Let A be an n n (n 3) nonsingular complex matrix. Then, the largest singular value of A satisfies ( ) σ (A) (det A) /( n) n n E. n Proof. Using the artihmetic-geometric-mean inequality, we can easily write σ (A) [ σ (A)+... + σ n (A)] ( σ (A)+σ (A)+... + σ n (A) ) = 4 4 E. (5) On the other hand, to obtain an upper bound for the largest singular value of A, we now will apply the artihmetic-geometric-mean inequality on the product σ n 4 (A) det A. Hence, we have σ n 4 (A) (det A) = σ n 4 σ (A) σ (A)...σ n (A) = σ n σ (A)...σn (A) From (5) and (6), we get = ( σ (A)+... + σn (A) ) n n [ σ (σ (A)+... + σ n (A)) ] n. (6) σ n σ n 4 (A) (det A) ( n 4 E 4n 4 ) n. (7) Consequently, from (7) we find an upper bound for the largest singular value of A such that ( ) σ (A) (det A) /( n) n n E. n References [] C. R. Johnson and T. Szulc, Further lower bounds for the smallest singular value, Linear Alg. and Its Appl., 7, 69-79, 998.

Bounds for singular values of matrices 449 [] R. A. Horn, and C. R. Johnson, Topics in matrix analysis, Cambridge University Press, New York, 99, [3] O. Rojo, R. Soto and H. Rojo, Bounds for the spectral radius and the largest singular value, Computers Math. Appl., 36,, 4-50, 998. [4] Yu Yi-Sheng and Gu Dun-he, A note on a lower bound for the smallest singular value, Linear Alg. and Its Appl., 53, 5-38, 997. [5] G. Piazza and T. Politi, An upper bound for the condition number of a matrix in spectral norm, Journal of Computational and Appl. Math., 43, 4-44, 00. Received: April 7, 007