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In the field of mathematics, norms are defined for elements within a vector space. Specifically, when the vector space comprises matrices, such norms are referred to as matrix norms. Matrix norms differ from vector norms in that they must also interact with matrix multiplication.

Preliminaries

Given a field  K  of either real or complex numbers (or any complete subset thereof), let  Km×n  be the Template:Mvar-vector space of matrices with m rows and n columns and entries in the field  K. A matrix norm is a norm on  Km×n.

Norms are often expressed with double vertical bars (like so:  A ). Thus, the matrix norm is a function  :Km×n0+  that must satisfy the following properties:[1][2]

For all scalars  αK  and matrices  A,BKm×n ,

  • A0  (positive-valued)
  • A=0A=0m,n (definite)
  • α A=|α| A  (absolutely homogeneous)
  • A+BA+B  (sub-additive or satisfying the triangle inequality)

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

Every norm on  Kn×n  can be rescaled to be sub-multiplicative; in some books, the terminology matrix norm is reserved for sub-multiplicative norms.[4]

Matrix norms induced by vector norms

Template:Main Suppose a vector norm α on Kn and a vector norm β on Km are given. Any m×n matrix Template:Mvar induces a linear operator from Kn to Km with respect to the standard basis, and one defines the corresponding induced norm or operator norm or subordinate norm on the space Km×n of all m×n matrices as follows: Aα,β=sup{Axβ:xKn such that xα1} where sup denotes the supremum. This norm measures how much the mapping induced by A can stretch vectors. Depending on the vector norms α, β used, notation other than α,β can be used for the operator norm.

Matrix norms induced by vector p-norms

If the p-norm for vectors (1p) is used for both spaces Kn and Km, then the corresponding operator norm is:[2] Ap=sup{Axp:xKn such that xp1}. These induced norms are different from the "entry-wise" p-norms and the Schatten p-norms for matrices treated below, which are also usually denoted by Ap.

Geometrically speaking, one can imagine a p-norm unit ball Vp,n={xKn:xp1} in Kn, then apply the linear map A to the ball. It would end up becoming a distorted convex shape AVp,nKm, and Ap measures the longest "radius" of the distorted convex shape. In other words, we must take a p-norm unit ball Vp,m in Km, then multiply it by at least Ap, in order for it to be large enough to contain AVp,n.

p = 1 or ∞

When  p=1 , or  p= , we have simple formulas.

A1=max1jni=1m|aij| ,

which is simply the maximum absolute column sum of the matrix. A=max1imj=1n|aij| , which is simply the maximum absolute row sum of the matrix.

For example, for A=[357264028] , we have that A1=max{ |3|+2+0 ,5+6+2 ,7+4+8 }=max{ 5 ,13 ,19 }=19 , A=max{ |3|+5+7 ,2+6+4 ,0+2+8 }=max{ 15 ,12 ,10 }=15.

Spectral norm (p = 2)

Template:Anchor When p=2 (the Euclidean norm or 2-norm for vectors), the induced matrix norm is the spectral norm. The two values do not coincide in infinite dimensions — see Spectral radius for further discussion. The spectral radius should not be confused with the spectral norm. The spectral norm of a matrix A is the largest singular value of A, i.e., the square root of the largest eigenvalue of the matrix A*A, where A* denotes the conjugate transpose of A:[5]A2=λmax(A*A)=σmax(A).where σmax(A) represents the largest singular value of matrix A.

There are further properties:

  • A2=sup{x*Ay:xKm,yKn with x2=y2=1}. Proved by the Cauchy–Schwarz inequality.
  • A*A2=AA*2=A22. Proven by singular value decomposition (SVD) on A.
  • A2=σmax(A)AF=iσi(A)2, where AF is the Frobenius norm. Equality holds if and only if the matrix A is a rank-one matrix or a zero matrix.
  • Conversely, AFmin(m,n)1/2A2.
  • A2=ρ(A*A)A*AA1A.

Matrix norms induced by vector α- and β-norms

We can generalize the above definition. Suppose we have vector norms α and β for spaces Kn and Km respectively; the corresponding operator norm is Aα,β=sup{Axβ:xKn such that xα1} In particular, the Ap defined previously is the special case of Ap,p.

In the special cases of α=2 and β=, the induced matrix norms can be computed byA2,=max1imAi:2, where Ai: is the i-th row of matrix A.

In the special cases of α=1 and β=2, the induced matrix norms can be computed byA1,2=max1jnA:j2, where A:j is the j-th column of matrix A.

Hence, A2, and A1,2 are the maximum row and column 2-norm of the matrix, respectively.

Properties

Any operator norm is consistent with the vector norms that induce it, giving AxβAα,βxα.

Suppose α,β; β,γ; and α,γ are operator norms induced by the respective pairs of vector norms (α,β); (β,γ); and (α,γ). Then,

ABα,γAβ,γBα,β;

this follows from ABxγAβ,γBxβAβ,γBα,βxα and supxα=1ABxγ=ABα,γ.

Square matrices

Suppose α,α is an operator norm on the space of square matrices Kn×n induced by vector norms α and α. Then, the operator norm is a sub-multiplicative matrix norm: ABα,αAα,αBα,α.

Moreover, any such norm satisfies the inequality Template:NumBlk for all positive integers r, where Template:Math is the spectral radius of Template:Mvar. For symmetric or hermitian Template:Mvar, we have equality in (Template:EquationNote) for the 2-norm, since in this case the 2-norm is precisely the spectral radius of Template:Mvar. For an arbitrary matrix, we may not have equality for any norm; a counterexample would be A=[0100], which has vanishing spectral radius. In any case, for any matrix norm, we have the spectral radius formula: limrAr1/r=ρ(A).

Energy norms

If the vector norms α and β are given in terms of energy norms based on symmetric positive definite matrices P and Q respectively, the resulting operator norm is given as AP,Q=sup{AxQ:xP1}.

Using the symmetric matrix square roots of P and Q respectively, the operator norm can be expressed as the spectral norm of a modified matrix:

AP,Q=Q1/2AP1/22.

Consistent and compatible norms

A matrix norm on Km×n is called consistent with a vector norm α on Kn and a vector norm β on Km, if: AxβAxα for all AKm×n and all xKn. In the special case of Template:Math and α=β, is also called compatible with α.

All induced norms are consistent by definition. Also, any sub-multiplicative matrix norm on Kn×n induces a compatible vector norm on Kn by defining v:=(v,v,,v).

"Entry-wise" matrix norms

These norms treat an m×n matrix as a vector of size mn, and use one of the familiar vector norms. For example, using the p-norm for vectors, Template:Nowrap, we get:

Ap,p=vec(A)p=(i=1mj=1n|aij|p)1/p

This is a different norm from the induced p-norm (see above) and the Schatten p-norm (see below), but the notation is the same.

The special case p = 2 is the Frobenius norm, and p = ∞ yields the maximum norm.

Let (a1,,an) be the dimension Template:Mvar columns of matrix A. From the original definition, the matrix A presents Template:Mvar data points in an Template:Mvar-dimensional space. The L2,1 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

The L2,1 norm as an error function is more robust, since the error for each data point (a column) is not squared. It is used in robust data analysis and sparse coding.

For Template:Nowrap, the L2,1 norm can be generalized to the Lp,q norm as follows:

Ap,q=(j=1n(i=1m|aij|p)qp)1q.

Frobenius norm

Template:Main Template:See also

When Template:Nowrap for the Lp,q norm, it is called the Frobenius norm or the Hilbert–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(A*A)=i=1min{m,n}σi2(A),

where the trace is the sum of diagonal entries, and σi(A) are the singular values of A. The second equality is proven by explicit computation of trace(A*A). The third equality is proven by singular value decomposition of A, and the fact that the trace is invariant under circular shifts.

The Frobenius norm is an extension of the Euclidean norm to Kn×n and comes from the Frobenius inner product on the space of all matrices.

The Frobenius norm is sub-multiplicative and is very useful for numerical linear algebra. The sub-multiplicativity of Frobenius norm can be proved using Cauchy–Schwarz inequality. In fact, it is more than sub-multiplicative, as ABFAopBFwhere the operator norm opF.

Frobenius norm is often easier to compute than induced norms, and has the useful property of being invariant under rotations (and unitary operations in general). That is, AF=AUF=UAF for any unitary matrix U. This property follows from the cyclic nature of the trace (trace(XYZ)=trace(YZX)=trace(ZXY)):

AUF2=trace((AU)*AU)=trace(U*A*AU)=trace(UU*A*A)=trace(A*A)=AF2,

and analogously:

UAF2=trace((UA)*UA)=trace(A*U*UA)=trace(A*A)=AF2,

where we have used the unitary nature of U (that is, U*U=UU*=𝐈).

It also satisfies

A*AF=AA*FAF2

and

A+BF2=AF2+BF2+2Re(A,BF),

where A,BF is the Frobenius inner product, and Re is the real part of a complex number (irrelevant for real matrices)

Max norm

The max norm is the elementwise norm in the limit as Template:Nowrap goes to infinity:

Amax=maxi,j|aij|.

This norm is not sub-multiplicative; but modifying the right-hand side to mnmaxi,j|aij| makes it so.

Note that in some literature (such as Communication complexity), an alternative definition of max-norm, also called the γ2-norm, refers to the factorization norm:

γ2(A)=minU,V:A=UVTU2,V2,=minU,V:A=UVTmaxi,jUi,:2Vj,:2

Schatten norms

Template:Further

The Schatten p-norms arise when applying the p-norm to the vector of singular values of a matrix.[2] If the singular values of the m×n matrix A are denoted by σi, then the Schatten p-norm is defined by

Ap=(i=1min{m,n}σip(A))1/p.

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

All Schatten norms are sub-multiplicative. They are also unitarily invariant, which means that A=UAV for all matrices A and all unitary matrices U and V.

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

A*=trace(A*A)=i=1min{m,n}σi(A),

where A*A denotes a positive semidefinite matrix B such that BB=A*A. More precisely, since A*A is a positive semidefinite matrix, its square root is well defined. The nuclear norm A* is a convex envelope of the rank function rank(A), so it is often used in mathematical optimization to search for low-rank matrices.

Combining von Neumann's trace inequality with Hölder's inequality for Euclidean space yields a version of Hölder's inequality for Schatten norms for 1/p+1/q=1:

|trace(A*B)|ApBq,

In particular, this implies the Schatten norm inequality

AF2ApAq.

Monotone norms

A matrix norm is called monotone if it is monotonic with respect to the Loewner order. Thus, a matrix norm is increasing if

ABAB.

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

Cut norms

Another source of inspiration for matrix norms arises from considering a matrix as the adjacency matrix of a weighted, directed graph.[9] The so-called "cut norm" measures how close the associated graph is to being bipartite: A=maxS[n],T[m]|sS,tTAt,s| where Template:Math.[9][10][11] Equivalent definitions (up to a constant factor) impose the conditions Template:Math; Template:Math; or Template:Math.[10]

The cut-norm is equivalent to the induced operator norm Template:Math, which is itself equivalent to another norm, called the Grothendieck norm.[11]

To define the Grothendieck norm, first note that a linear operator Template:Math is just a scalar, and thus extends to a linear operator on any Template:Math. Moreover, given any choice of basis for Template:Math and Template:Math, any linear operator Template:Math extends to a linear operator Template:Math, by letting each matrix element on elements of Template:Math via scalar 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

The Grothendieck norm depends on choice of basis (usually taken to be the standard basis) and Template:Mvar.

Equivalence of norms

Template:See also

For any two matrix norms α and β, we have that:

rAαAβsAα

for some positive numbers r and s, for all matrices AKm×n. In other words, all norms on Km×n are equivalent; they induce the same topology on Km×n. This is true because the vector space Km×n has the finite dimension m×n.

Moreover, for every matrix norm on n×n there exists a unique positive real number k such that is a sub-multiplicative matrix norm for every k; to wit,

k=sup{AB:A1,B1}.

A sub-multiplicative matrix norm α is said to be minimal, if there exists no other sub-multiplicative matrix norm β satisfying β<α.

Examples of norm equivalence

Let Ap once again refer to the norm induced by the vector p-norm (as above in the Induced norm section).

For matrix Am×n of rank r, the following inequalities hold:[12][13]

  • A2AFrA2
  • AFA*rAF
  • AmaxA2mnAmax
  • 1nAA2mA
  • 1mA1A2nA1.

See also

Notes

Template:Notelist

References

Template:Reflist

Bibliography

  • 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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  1. 1.0 1.1 Template:Cite web
  2. 2.0 2.1 2.2 2.3 Template:Cite web
  3. Template:Cite journal
  4. Template:Cite book
  5. Carl D. Meyer, Matrix Analysis and Applied Linear Algebra, §5.2, p.281, Society for Industrial & Applied Mathematics, June 2000.
  6. Template:Cite conference
  7. Template:Cite journal
  8. Template:Cite book
  9. 9.0 9.1 Template:Cite journal
  10. 10.0 10.1 Template:Cite book Note that Lovász rescales Template:Math to lie in Template:Closed-closed.
  11. 11.0 11.1 11.2 Template:Cite book
  12. Golub, Gene; Charles F. Van Loan (1996). Matrix Computations – Third Edition. Baltimore: The Johns Hopkins University Press, 56–57. Template:ISBN.
  13. Roger Horn and Charles Johnson. Matrix Analysis, Chapter 5, Cambridge University Press, 1985. Template:ISBN.