The matrix arithmetic-geometric mean inequality revisited

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isid/ms/007/11 November 1 007 http://wwwisidacin/ statmath/eprints The matrix arithmetic-geometric mean inequality revisited Rajendra Bhatia Fuad Kittaneh Indian Statistical Institute Delhi Centre 7 SJSS Marg New Delhi 1116 India

Twenty years ago we formulated and proved a matrix version of the arithmeticgeometric mean inequality 13 This seems to have stimulated several authors who have found different proofs equivalent statements extensions and generalisations in different directions In this article we survey these developments and discuss other closely related matters While our main focus is on the arithmetic-geometric mean inequality the article can also serve as an introduction to the basic ideas and typical problems of the flourishing subject of matrix inequalities 1 1 Notations Let Mn) be the space of n n complex matrices If A is a Hermitian element of Mn) then we enumerate its eigenvalues as λ 1 A) λ n A) If A is arbitrary then its singular values are enumerated as s 1 A) s n A) These are the eigenvalues of the positive semidefinite) matrix A = A A) 1/ If A and B are Hermitian matrices and A B is positive then we say that 11) B A Weyl s monotonicity theorem 9 p63 says that the relation 11) implies 1) λ j B) λ j A) for all 1 j n The condition 1) is equivalent to the following: there exists a unitary matrix U such that 13) B UAU We say that the n-tuple {λ j B)} is weakly majorised by {λ j A)} if we have 14) k λ j B) j=1 k λ j A) for all 1 k n j=1 In a condensed notation the family of inequalities 14) is expressed as 15) {λ j B)} w {λ j A)} A norm on Mn) is said to be unitarily invariant if UAV = A for all A and for all unitary matrices U and V Special examples of such norms are the Schatten p-norms n 1/p 16) A p := s j A) p 1 p j=1

Here it is understood that A = s 1 A) This norm called the operator norm is denoted simply by A The Schatten -norm also called the Hilbert-Schmidt norm is somewhat special It can be calculated easily from the entries of the matrix: ) 1/ 17) A = a ij ij By the Fan dominance theorem 9 {s j B)} w {s j A)} is equivalent to the statement 18) B A for every unitarily invariant norm Arguments with block matrices are often useful If A B C D are elements of Mn) then A C A 0 is an element of Mn) The block diagonal matrix is denoted as D B 0 B A B Block matrices of higher order and those in which the diagonal blocks are square matrices of different sizes are defined in the obvious way Levels of matrix inequalities After defining the object A the authors of the famous text 35 warn The reader should be wary of the emotional connotations of the symbol and go on to point out that among other things the prospective triangle inequality 1) A + B A + B is not true in general Inequalities for positive numbers could have several plausible extensions to positive matrices Only some of them turn out to be valid Let us illustrate this by an example If a and b are positive numbers then we have the inequality ) a b a + b A natural extension of this to positive matrices A and B could be 3) A B A + B This however is not always true If we choose 4 A = B = 1 1 4 then A B = 3 0 0 3 A + B = 5 4 4 5

and the putative inequality A B A + B is violated This having failed one may wonder whether the weaker assertion 4) s j A B) s j A + B) for all 1 j n is always true In the example above A B has singular values {3 3} and A + B has {9 1} Thus s A B) is bigger than s A + B) and 4) is violated An assertion weaker than 4) would be 5) A B A + B for all unitarily invariant norms This turns out to be true If an inequality like 3) 4) or 5) is valid we call it an extension of ) at Level 1 or 3 respectively A proof of 5) goes as follows Since ±A B) A + B the inequality 5) is a consequence of the following: Lemma 1 Let X and Y be Hermitian matrices such that ±Y X Then Y X for every unitarily invariant norm Proof Choose an orthonormal basis e 1 e e n such that Y e j = µ j e j where µ 1 µ µ n Then for 1 k n we have k s j Y ) = j=1 k µ j = j=1 k e j Y e j j=1 k e j Xe j By Ky Fan s maximum principle 9 p4 the sum on the extreme right is bounded by k s j X) So the assertion of the Lemma follows from the Fan dominance theorem j=1 If x and y are real numbers such that ±y x then y x If X and Y are Hermitian matrices and ±Y X then the lemma says that the Level 3 inequality Y X is true The higher Level inequality s j Y ) s j X) 1 j n is not always true 3 The arithmetic-geometric mean inequality AGMI) The familiar AGMI for positive real numbers a and b can be written either as ab a + b)/ or as ab a + b )/ We seek an attractive version for positive matrices A and B If A and B commute then AB is positive and the inequality AB A + B )/ is true In the general case AB is not positive So a possible Level 1 AGMI would be the assertion AB A + B This turns out to be false If A = 1 1 1 1 B = 1 0 j=1 3

4 then AB = 0 1 A + B ) = 3/ 1 1 1 and the putative inequality is not true A Level version of the inequality does hold and was proved by us in 13 For positive matrices A and B 31) s j AB) s j A + B ) for 1 j n We stated this in another form: for all n n matrices A and B 3) s j A B) s j AA + BB ) for 1 j n It is clear that if A and B are positive then 3) reduces to 31) If A and B are arbitrary then we use their polar decompositions A = P U B = RV in which P and R are positive and U and V unitary to obtain 3) from 31) Our original proof with a simplification suggested by X Zhan goes as follows Let A B X = Then Let U = I 0 0 I XX = AA + BB 0 X X = A A A B B A B B Then the off-diagonal part of X X can be expressed as Y = 0 A B B A 0 = X X UX X)U The matrix UX X)U is positive Hence this implies the inequality Y 1 X X By Weyl s monotonicity principle 33) λ j Y ) 1 λ jx X) for all j = 1 n But the eigenvalues of X X are the same as those of XX which in turn are the eigenvalues of AA + BB together with n zeros The eigenvalues of Y are the singular values of A B together with their negatives Hence the inequality 3) follows from 33) The use of block matrices in this argument is typical of several other proofs of this and related results X Zhan 38 and Y Tao 36 have shown that the AGMI is equivalent to other interesting matrix inequalities for which they have found different proofs We discuss these ideas in brief

A 1/ B 1/ Let A and B be positive matrices and let X = Then XX A + B 0 = X A A 1/ B 1/ X = B 1/ A 1/ B A 0 The block diagonal matrix = A B is a pinching of the matrix X X and 0 B hence A B X X for every unitarily invariant norm 9 p97 On the other hand X X = XX and hence 34) A B A + B) 0 This inequality could be abbreviated to A B A+B provided we are careful in interpreting such inequalities between matrices of different sizes Thus if X is of smaller size than Y an inequality like X Y really means that X 0 Y where the zero block is added to make the size of X 0 the same as that of Y In 13 we observed that for all positive matrices A and B we have 35) A B A B for all unitarily invariant norms In view of 34) this is an improvement on the inequality 5) Zhan 38 showed that the Level 3 inequality 35) can be enhanced to a Level version 36) s j A B) s j A B) 1 j n and further this statement is equivalent to the AGMI 31) We show how 36) follows from 3) Let A 1/ 0 A 1/ 0 X = Y = B 1/ 0 B 1/ 0 Then X Y = A B 0 XX + Y Y = A 0 0 B So the inequality 3) applied to X and Y in place of A and B) says that s j A B) 0) s j A B) 1 j n This is the inequality 36) In turn this implies another proposition proved by Tao 36 A C I 0 Suppose the block matrix X = is positive Let U = Then the C B 0 I matrix Y = UXU A C = is also positive Therefore by 36) we have C B s j X Y ) s j X Y ) for 1 j n 5

6 0 C But X Y = So the singular values of X Y are the singular values C 0 of C each repeated twice The matrices X and Y being unitarily equivalent have the same singular values and therefore the singular values of X Y are the singular values of X each repeated twice Thus we have shown that: A C If X = is positive then C B 37) s j C) s j X) for 1 j n Tao proved 37) and showed that this implies the AGMI 31) To see this implication A 0 let A and B be positive matrices and let T = Then B 0 X := TT A AB = Y := T A + B 0 T = BA B From 37) we have the inequality s j AB) s j X) = s j Y ) = s j A + B ) for 1 j n That is the AGMI 31) We have shown that the statements 31) 3) 36) and 37) can be derived from each other Zhan 38 and Tao 36 have given alternative proofs of 36) and 37) Yet another proof by Zhan 40 is remarkably simple and goes as follows If H is any Hermitian matrix then 38) s j H) = λ j H H) 1 j n Apply this to the matrix H = A B and note that A B) B A) A B Using Weyl s monotonicity principle we get 36) Another interesting proof of 31) is given by Aujla and Bourin 8 The formulation 31) of AGMI is somewhat delicate For example another possible formulation could have been s j AB + BA) s j A + B ) This is not always true If we choose A = a 0 B = 1 1 1 1 then AB + BA = a 5 1 A + B = a +

Clearly s A + B ) but the two singular values of AB + BA are of the same order of magnitude as a In the same vein the positioning of the stars in 3) is just right Any change destroys the inequality 4 Stronger Level 3 inequalities A corollary of 31) is the norm inequality 41) A 1/ B 1/ 1 A + B for all unitarily invariant norms Stronger versions of this were obtained by R Bhatia and C Davis 11 Among other things they showed that for all positive matrices A B and for all X we have 4) A 1/ XB 1/ 1 AX + XB For the operator norm alone this inequality had been proved earlier by A McIntosh 3 and used by him to obtain simple proofs of some famous inequalities of E Heinz in perturbation theory Following 11 different proofs of 4) were found by F Kittaneh 6 R A Horn 4 R Mathias 34 and others One of these ideas has been particularly fruitful and we explain it briefly The insertion of the matrix X in 4) greatly enhances the scope of the inequality 41) At the same time it leads to a simpler proof The trick is that the general case of 4) follows from its very special case when A = B In this case the original inequality 41) is a tautology) In order to prove that 43) A 1/ XA 1/ 1 AX + XA we may assume that A = diag λ 1 λ n ) a diagonal matrix The i j) entry of the matrix A 1/ XA 1/ is λ i λ j x ij and this is bounded in absolute value by 1λ i+λ j )x ij the i j) entry of 1 AX+XA) There is one unitarily invariant norm for which entrywise domination s j t ij implies S T So the inequality 43) is obviously true for this norm For other norms a more elaborate argument is required Let S T be the entrywise product s ij t ij If S is a positive semidefinite) matrix then by Theorem 5519 in 5 we have S T max s ii T i Let Y be the matrix with entries 7 Then A 1/ XA 1/ = Y y ij = λ i λ j λ i + λ j 1 AX + XA)

8 So if we show that Y is positive then the inequality 43) would follow The matrix Y is equal to A 1/ CA 1/ where c ij = 1 λ i +λ j It is a well-known fact that C is positive and hence so is Y The passage from 43) to 4) is affected by a block matrix argument Let à = A 0 0 B X = 0 X and apply 43) to this pair The inequality 4) follows Bhatia and Davis 11 proved a strong generalisation of 4) In the light of later work this can be interpreted as follows For 0 ν 1 the family of Heinz means of positive numbers a and b is defined as H ν a b) = aν b 1 ν + a 1 ν b ν Then H ν a b) = H 1 ν a b); H 1/ a b) = ab; H 0 a b) = H 1 a b) = 1 a + b) It can be seen that 44) ab Hν a b) 1 a + b) Thus H ν is a family of means that interpolates between the geometric and the arithmetic means A matrix version of 44) proved in 11 says 45) A 1/ XB 1/ A ν XB 1 ν + A 1 ν XB ν AX + XB The argument that we adumbrated for proving 43) can be adapted to this situation For example to prove the second inequality in 45) we need to prove that the matrix Z with entries z ij = λν i λ 1 ν j + λ 1 ν i λ ν j λ i + λ j is positive This is more complicated than the matrix Y considered earlier In 15 and 31 the authors establish a connection between such matrices and the theory of positive definite functions Using this they prove many inequalities involving different means This theme is carried out further in 19 and 0 It has led to a wealth of new results A convenient summary and a list of references can be obtained from the monographs 1 40 and the recent book 10 A norm inequality equivalent to 4) was proved by Corach Porta and Recht 16 with a different motivation See 8 for a further discussion Other papers with different emphases and viewpoints include 3 4 5 18 In Section 3 we gave a Level version of the inequality 41) The inequality 4) cannot be raised to this higher level Choose positive definite matrices A and X such that AX+XA is also positive Then the diagonal entries of A 1/ XA 1/ are equal to those 1AX + XA) The sum of these diagonal entries is equal to the trace of these matrices

which is the sum of their singular values Since s 1 A 1/ XA 1/ ) 1 s 1AX + XA) we must have s A 1/ XA 1/ ) 1 s AX + XA) If we do not insist on inserting the factor X then there are Level stronger versions of the AGMI These are given in the next section There seems to be a delicate balance between raising the level and inserting X 5 Stronger Level inequalities The inequality ab a +b )/ has a generalisation in Young s inequality that is often used in analysis This says that ab ap p + bq q where p and q are conjugate indices; ie they are positive numbers such that 1/p+1/q = 1 T Ando obtained an analogous extension of our matrix AGMI 31); he showed that ) A p 51) s j AB) s j p + Bq for all 1 j n q where A and B are positive matrices and 1/p + 1/q = 1 Of course this implies that 5) AB A p p + Bq q It has been pointed out by Ando 1 that the stronger version AXB A p X + XBq p q does not hold in general H Kosaki 31 showed that an inequality weaker than this: 53) AXB Ap X p + XBq q does hold and used this to give another proof of the multiplicative inequality 54) AXB A p X 1/p XB q 1/q proved earlier by Kittaneh 7 and by Bhatia and Davis 1 Young s inequality in the infinite-dimensional setting has been investigated by D Farenick et al in 6 17 33 Another paper on the inequality is In another direction the second of the inequalities 44) has a Level matrix version In response to a conjecture by X Zhan 39 K Audenaert 7 has recently proved the inequality 55) s j A ν B 1 ν + A 1 ν B ν) s j A + B) 1 j n for 0 ν 1 Audenaert s proof depends on the following general theorem about matrix monotone functions We give a short and simple proof of it 9

10 Theorem 7 Let f be a matrix monotone function on 0 ) Then for all positive matrices A and B 56) A fa) + B fb) 1 A + B)1/ fa) + fb))a + B) 1/ Proof The function f is also matrix concave and gt) = t ft) is matrix convex See Theorems V5 and V9 in 9) The matrix convexity of g implies the inequality AfA) + B fb) A + B ) A + B f The expression on the right hand side is equal to 1A + B)1/ f ) A+B A + B) 1/ The matrix concavity of f implies that ) A + B fa) + fb) f Combining these two inequalities we get 56) We now show how 55) is derived from 56) The proof cleverly exploits the fact that the matrices XY and Y X have the same eigenvalues Let ft) = t r 0 r 1 This function is matrix monotone Hence from 56) we have 57) λ j A 1+r + B 1+r) λ j A + B)A r + B r )) Except for trivial zeros the eigenvalues of A+B)A r +B r ) are the same as those of the matrix A 1/ B 1/ A 1/ 0 A r + B r 0 B 1/ 0 and in turn these are the same as the eigenalues of A 1/ 0 A r + B r 0 A 1/ B 1/ B 1/ 0 = A 1/ A r + B r )A 1/ A 1/ A r + B r )B 1/ B 1/ A r + B r )A 1/ B 1/ A r + B r )B 1/ So the inequalities 37) and 57) together give λ j A 1+r + B 1+r ) s j A 1/ A r + B r )B 1/) = s j A 1/+r B 1/ + A 1/ B 1/+r) Replacing A and B by A 1/1+r and B 1/1+r respectively we get from this ) s j A + B) s j A r+1 1 1 r+1 r+ B r+ + A r+ B r+ 0 r 1 In other words s j A + B) s j A ν B 1 ν + A 1 ν B ν) 1/ ν 3/4 and we have proved 55) for this special range

Again except for trivial zeros the eigenvalues of A + B)A r + B r ) are the same as those of A r/ 0 B r/ 0 A + B 0 A r/ B r/ If we repeat the arguments above we have at the end the inequality 55) for 3 ν 1 4 This establishes 55) for 1 ν 1 and by symmetry for all ν in 0 1 Here it is interesting to note that the first inequality in 44) fails to have a Level matrix extension Audenaert 7 gives an example of 3 3 matrices A and B for which s A 1/ B 1/) > s H ν A B)) for 0 < ν < 013 Another generalisation of 31) that can be proved using these ideas is 58) s j A 1/ A + B) r B 1/) s j A + B) r+1 ) for r 0 The special case r = 1 was proved by Bhatia and Kittaneh 14 and Tao 36 has proved this for all positive integers r Using the polar decomposition X = UP one sees that XX ) r+1 = XX X) r X A 1/ 0 for every matrix X Let X = Then B 1/ 0 11 XX ) r+1 = XX X) r X A 1/ 0 = B 1/ 0 = A + B) r 0 A 1/ B 1/ A 1/ A + B) r A 1/ A 1/ A + B) r B 1/ B 1/ A + B) r A 1/ B 1/ A + B) r B 1/ So using 37) we get for 1 j n s j A 1/ A + B) r B 1/) s j XX ) r+1 = s j X X) r+1 = s j A + B) r+1 ) as claimed An X-version of 35) has been recently proved by Kittaneh 9 30: if A and B are positive and X arbitrary then 59) AX XB X A B Note that this implies in particular that AX XA X A a significant improvement on the inequality AX XA X A that a raw use of the triangle inequality leads to A simple proof goes as follows Let U be any unitary matrix then using unitary invariance of the norm and 35) we get AU UB = A UBU A UBU = A B

1 Now let X be any contraction ie X 1 Then there exist unitary matrices U and V such that X = 1 U + V ) Hence AX XB 1 AU UB + AV V B ) A B Finally if X is any matrix then X/ X is a contraction and the inequality above leads to 59) Improving upon this Kittaneh 30 has obtained an X-version of 36) as well This says that for A B positive and X arbitrary we have 510) s j AX XB) X s j A B) 1 j n The reader can find more inequalities of this type and their applications in 30 6 Another level of matrix inequalities If the Level inequality s j Y ) s j X) 1 j n fails we may still have a weaker inequality We express this in an abbreviated form as s j Y 0) s j X X) 1 j n 61) s j Y ) s j X X) 1 j n and note that this is equivalent to saying 6) s j Y ) s j+1 X) 1 j n where r denotes the integer part of r Some examples of such inequalities germane to ones discussed above are presented below Lemma 61 let X and Y be Hermitian matrices such that ±Y X Then s j Y ) s j X X) 1 j n Proof The condition ±Y X implies that Y Y ) X X Using 38) and Weyl s monotonicity principle we have for 1 j n s j Y ) λ j X X) = s j X X) This leads to another version of the AGMI: Proposition 6 For all A B Mn) we have 63) s j A B + B A) s j A A + B B) A A + B B)) 1 j n Proof Since A ± B) A ± B) 0 we have ±A B + B A) A A + B B The inequality 63) follows from Lemma 61

13 If A and B are Hermitian this reduces to 64) s j AB + BA) s j A + B ) A + B ) ) 1 j n See the discussion at the end of Section 3 Hirzallah and Kittaneh 3 have shown that we also have 65) s j AB + BA ) s j A A + B B) A A + B B)) 1 j n We have remarked at the beginning of Section that a Level 1 triangle inequality 1) is not true Even a Level 3 inequality 66) A + B A + B is not always true for matrices If 1 0 A = B = 0 1 then A + B has singular values { 0 } whereas A + B = I and its singular values are {1 1} For these matrices there does not exist any unitary U with the property 67) A + B U A + B )U A well-known theorem of R C Thompson 37 says that given any A B in Mn) there exist unitary matrices U and V such that 68) A + B U A U + V B V We prove another version of the triangle inequality: Theorem 6 Let A B be any two n n matrices Then 69) s j A + B) s j A + B ) A + B )) for 1 j n X ±X Proof The matrices are positive for every X Mn); see 9p10 ±X X A + B ±A + B) Hence are positive and therefore ±A + B) A + B 0 A + B) A + B 0 ± A + B 0 0 A + B So using Lemma 61 we get s j A + B) A + B) ) s j A + B ) A + B ) A + B ) A + B ))

14 for j = 1 n Now note that s j X) = s j X ) and s j Y Y ) s j X X) for all j if and only if s j Y ) s j X) for all j Hence the last inequality above is equivalent to 69) Corollary 63 If A and B are n n normal matrices then for all j = 1 n 610) s j A + B) s j A + B ) A + B )) = s j+1 A + B ) We remark that for normal matrices A and B the Level 3 inequality 66) is true but the Level inequality 67) is not true even for Hermitian matrices If 1 1 A = B = 1 1 0 then s A + B) = and this is bigger than s A + B ) = Another well-known and very useful result is the pinching inequality Let A = A ij be an m m block matrix where the diagonal blocks A 11 A mm are square matrices of sizes n 1 n m with n 1 + +n m = n The block diagonal matrix CA) = A 11 A mm is called a pinching or m-pinching) of A The pinching inequality says CA) A for every unitary invariant norm A Level version of this inequality is not true The identity matrix is a pinching of A = 1 1 1 1 and s I) = 1 whereas s A) = 0 However we do have the following: Theorem 64 Let CA) be an m-pinching of an n n matrix A Then for j = 1 n 611) s j CA)) s j A A + A) m copies) Proof Every m-pinching can be expressed as CA) = 1 m m 1 k=0 U k AU k where U is a unitary matrix; see 10 p88 Recently it has been shown in 3 that if X 0 X m 1 m 1 ) are any elements of Mn) then 1 s m j X i s j X 0 X m 1 ) Combining these two facts we obtain 611) i=0 7 Other versions of the AGMI The AGMI for positive numbers a and b could be written in different ways as i) ab a+b

ii) ab a +b iii) ab ) a+b Each of these three can be obtained from another However they suggest different plausible matrix versions For example instead of the formulation 31) we could ask whether 71) s 1/ j AB) 1 s ja + B) 1 j n The level 3 inequality that would follow from this is 7) AB 1/ 1 A + B for all unitarily invariant norms The Level inequality suggested by iii) above is s j AB) 1 4 s ja + B) and this is no different from 71) The Level 3 inequality suggested by iii) is 73) AB 1 4 A + B) for all unitarily invariant norms It turns out that this is a weaker statement than 7) Bhatia and Kittaneh 14 considered all these different formulations They proved the inequality 73) for all unitarily invariant norms This is equivalent to saying that 7) is true for all Q-norms a class that includes all Schatten p-norms for p They showed that 7) is valid also for the trace norm p = 1) Further they showed that the Level inequality 71) is true for the case n = Other cases of this remain open Finally we remark that there is a large body of work on a positive matrix valued geometric mean of A and B with several connections to problems in matrix theory electrical networks physics and geometry The interested reader could see Chapters 4-6 of 10 References 15 1 T Ando Majorizations and inequalities in matrix theory Linear Algebra Appl 199 1994) 17-67 T Ando Matrix Young inequalities Oper Theory Adv Appl 75 1995) 33-38 3 E Andruchow G Corach and D Stojanoff Geometric operator inequalities Linear Algebra Appl 58 1997) 95 310 4 E Andruchow G Corach and D Stojanoff On Heinz inequality Math Japon 46 1997) 143-145 5 E Andruchow G Corach and D Stojanoff Geometrical significance of the Löwner-Heinz inequality Proc Amer Math Soc 18 000) 1031-1037 6 M Argerami and DR Farenick Young s inequality in trace-class operators Math Ann 35 003) 77 744 7 K Audenaert A singular value inequality for Heinz means Linear Algebra Appl 4 007) 79-83 8 JS Aujla and J-C Bourin Eigenvalue inequalities for convex and log-convex functions Linear Algebra Appl 44 007) 5-35

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