BALAKRISHNAN

S EP 16, 2003

Solutions to EE695R Homework #2

1. Schur complements. Consider  

A B
M=
BT C
where A = AT , and C = CT and invertible. Show that M ≥ 0 if and only if C > 0 and A ≥ BC−1BT .
(A − BC−1 BT is called the Schur complement of C.)
Hint: Block diagonalize M with a block-triangular congruence.
What if A is known to be invertible and C is known merely to be positive semidefinite?
Solution: Since M ≥ 0, and C is invertible, we must have C > 0. Next, M ≥ 0 holds if and only if
QMQT ≥ 0 for any invertible Q.
Let us use  
I 0
Q= −1 .
−C B I
Then,
A − BC−1 BT
 
T 0
QMQ = ≥ 0.
0 C
Therefore, M ≥ 0 if and only if A ≥ BC−1BT and C > 0.
If only A is known to be invertible, we have

M ≥ 0 ⇐⇒ C ≥ BT A−1B, A > 0.

2. Suppose {A, b} is controllable. Which of the following are norms? Give a proof or counterexample.
(a)
Z 1
 
∆ 
kzkmin fuel = inf |u(t)|dt  ẋ = Ax + bu, x(0) = 0, x(1) = z .

0

(b)
∆
kzkmin time = inf { T | ẋ = Ax + bu, x(0) = 0, x(T ) = z, |u(t)| ≤ 1 } .

Solution:

(a) Let us check if k · kmin fuel is a norm on Rn .

Homogeneity:
Z 1
 
|u(t)|dt  ẋ = Ax + bu, x(0) = 0, x(1) = λz .

kλzkmin fuel = inf
0

The case λ = 0 is trivial. For nonzero λ, u steers the state from 0 to z over [0, 1] if and only if λu
steers the state from 0 to λz over [0, 1]. Therefore,
Z 1  

kλzkmin fuel = inf |λu(t)|dt 
 ẋ = Ax + bu, x(0) = 0, x(1) = z ,
0

1
 which is just |λ| kzkmin fuel .
Triangle inequality: Define Sy as

Sy = {u | ẋ = Ax + bu, x(0) = 0, x(1) = y}.

That is, Sy is the set of all inputs that steer the state from 0 to y over [0, 1]. Then, from linearity,
it follows that if z = z1 + z2 ,
Sz1 + Sz2 ⊆ Sz,
where
Sz1 + Sz2 = {u | u = u1 + u2 , u1 ∈ Sz1 , u2 ∈ Sz2 }.

Now,
Z 1
kz1 + z2 kmin fuel = inf |u(t)|dt
u∈Sz1 +z2 0
Z 1
≤ inf |u(t)|dt
u∈Sz1 +Sz2 0
Z 1
= inf |u1(t) + u2(t)|dt
u1 ∈Sz1 ,u2 ∈Sz2 0
1 Z 1
Z 
≤ inf |u1(t)|dt + |u2(t)|dt
u1 ∈Sz1 ,u2 ∈Sz2 0 0
Z 1 Z 1
= inf |u1(t)|dt + inf |u2(t)|dt
u1 ∈Sz1 0 u2 ∈Sz2 0

= kz1kmin fuel + kz2 kmin fuel .

Zero property: Let kzkmin fuel = 0. Then there exists a sequence {un} such that un ∈ Sz, n =
1, 2, ... with 0 |un(t)|dt −→ 0 as n −→ ∞.
R1

Now, for every n,

Z 1
kzk2 = e bun(1 − τ)dτ
Aτ


0

2
Z 1
e bun(1 − τ) dτ
Aτ

≤ 2
0
Z 1
≤ sup ke bk2 At
|un(1 − τ)|dτ.
0≤t≤1 0

Let us denote by M the quantity sup0≤t≤1 keAt bk2 (why is it bounded?). Then for every n,
Z 1
kzk2 ≤ M |un(1 − τ)|dτ.
0

|un(t)|dt −→ 0 as n −→ ∞, this means that kzk2 = 0, or z = 0.

R1
Since 0
(b)
∆
kzkmin time = inf { T | ẋ = Ax + bu, x(0) = 0, x(T ) = z, |u(t)| ≤ 1 } .

2
 This does not define a norm on Rn . For example, let A = −1, b = 1. Then
Z T Z T
x(T ) = eAτ bu(T − τ)dτ == e−τ u(T − τ)dτ,
0 0

so that Z T Z T
e−τu(T − τ) dτ ≤ |e−τ|dτ = 1 − e−T .

|x(T )| ≤
0 0

Thus if |z| > 1, kzkmin time is not even defined!

3. Define, for z ∈ Rn , Z ∞
∆
kzkenergy = y(t)T y(t)dt,
0
where ẋ = Ax, x(0) = z, and y = Cx, where A ∈ Rn×n. Find conditions on A and C under which
kzkenergy is: (i) a semi-norm; (ii) a norm.
Solution: By definition (note the typo),
s
∞
Z 
kzkenergy = zT eAT t CT CeAt dt z.
0

This is bounded only if A is stable. In this case,

p
kzkenergy = zT Woz,

where Wo ≥ 0 is the observability Gramian. We also know that Wo > 0 if and only if (C, A) is observ-
able.
In summary, we conclude: (i) kzkenergy is a semi-norm if A is stable. (ii) In addition, if (C, A) is
observable, then kzkenergy is a norm.
√
4. The Frobenius norm of a (real n × n, for simplicity) matrix is defined as kAkF = TrAT A.

(a) An interpretation of the Frobenius norm.

1/2
Suppose the random vector x satisfies Ex = 0, ExxT = I. Show that EkAxk2 = kAkF . Thus,
kAkF is the standard deviation of the random variable kAxk.
(b) Show that
!1/2
kAkfrob = ∑ |Ai j |2 .
i, j

Thus, the Frobenius norm is simply the Euclidean norm of the matrix when it is considered as
2
an element of Rn .
(c) Show that if U is orthogonal kUAkF = kAUkF = kAkF . Thus the Frobenius norm is orthogonally
invariant. q √
(d) Show that kAkF = σ21 + . . . + σ2n . Then show that σ̄(A) ≤ kAkF ≤ nσ̄(A). In particular
kAxk ≤ kAkF kxk for all x.
(e) True or False. There exists a norm k · kα over Rn such that
kAxkα
kAkF = max .
x6=0 kxkα
(This means that the Frobenius norm of A is its “α-induced gain”.)

3
 Solution:
(a)
EkAxk2 = E xT AT Ax = ETr AxxT AT = Tr AE xxT AT = TrAAT = kAk2F .

(b) Let A = [a1, · · ·, an], where ai is the ith column vector of A. Therefore,
 T  
a1 n
Tr(AT A) = Tr  ...  a1 · · · an  = ∑ aTi ai = ∑ |Ai j |2.
  
i=1 i, j
aTn
(c)
kUAkF = Tr((UA)T (UA) = Tr(AT U T UA) = Tr(AT A) = kAkF .
Next,
kAUkF = kU T AT kF = kAT kF = kAkF .
(d) Let A = UΣV T be an SVD of A. Then, from part (b),
!1/2
n
T T
kAkF = kUΣV kF = kΣV kF = kΣkF = ∑ σ2i .
i=1

(e) This one is false, just take A = I (the identity matrix). The α-induced gain for any norm k · kα is
√
one, while kIkF = n.
√
This counterexample suggests another question: Does a scaling factor of n help, i.e., is there a
norm k · kα such that
√ kAxkα
kAkF = n max ?
x6=0 kxkα

5. Let k · k be any norm on Cn, and let kAk be the induced norm of the n × n matrix A, (using k · k as the
norm in both domain and codomain).
(a) Show that kAk ≥ ρ, where ρ = max |λi |, λi ’s the eigenvalues of A. (ρ is called the spectral radius
i
of A).
(b) Show that kAnk ≤ kAkn.
(c) Show that kAnk1/n → ρ as n → ∞.
Hint: For any ε > 0, A/(ρ + ε) is a discrete-time stable matrix.
(d) Why do all norms on Cn yield the same limit in (c)?
The formula in (c) is called the spectral radius formula.
Solution:
(a) Let λ be an eigenvalue of A with |λ| = ρ and v be the corresponding unit eigenvector, i.e. ,
Av = λv with v∗ v = 1. Then,
kAxk kAvk
kAk = sup ≥ = ρ.
kxk≤1 kxk kvk
And similiarly
kAnxk kAnvk
kAnk = sup ≥ = ρn.
kxk≤1 kxk kvk

4
 (b) Since kAk is the induced norm of A, it is submultiplicative; that is, kABk ≥ kAkkBk (since
kABxk ≤ kAkkBxk ≤ kAkkBkkxk). The desired result follows immediately.
(c) Since A / (ρ + ε) is a discrete-time stable matrix,
 n
A
→ 0 as n → ∞.
ρ+ε
Since norm is a continuous function,
 n
A
ρ + ε → 0 as n → ∞.

Thus, there exists some integer N (which may depend on ε) such that
 n
A
ρ + ε < 1 whenever n > N

=⇒ kAnk < (ρ + ε)n whenever n > N

1
=⇒ kAnk n < (ρ + ε) whenever n > N.
1
Hence lim kAnk n ≤ ρ + ε. Since this holds for arbitrary ε, we conclude
n→∞
1
lim kAn k n ≤ ρ.
n→∞
1
However, from part (a), kAnk n ≥ ρ for every n. Therefore, we conclude that
1
lim kAn k n = ρ.
n→∞
2
(d) The induced norm of a matrix A ∈ Rn×n yields a norm on Rn ×1 of the vector vec(A), which is
just the vector formed by stacking the columns of A into one long vector. (However, it is not true
2
that every norm on Rn ×1 of a vector v corresponds to an induced norm of the matrix vec−1(v),
where the operation vec−1 has an obvious meaning. Can you think of an example?)
2
Now, since Rn ×1 is finite dimensional, all norms on it are equivalent. Thus, any two induced
norms of a matrix A are equivalent. Thus if k · kα and k · kβ are norms on Cn , there exist K, K
such that
KkAnkαi ≤ kAnkβi ≤ KkAnkαi .
Thus,
1 1 1 1 1
K n kAnkαi
n
≤ kAnkβin ≤ K n kAnkαi
n
.
1 1
However, K n and K n → 1 as n → ∞, so two norms result in the same limit, as n → ∞.
6. Show that σmin (A + B) ≥ σmin (A) − σmax(B).
Solution:
kAxk = k(A + B)x − Bxk ≤ k(A + B)xk + kBxk, ∀x

min kAxk ≤ min (k(A + B)xk + kBxk) (1)

kxk = 1 kxk = 1
≤ min k(A + B)xk + max kBxk (2)
kxk = 1 kxk = 1
Thus σmin (A) ≤ σmin (A + B) + σmax (B) and the claim follows.

5
7. (a) Show that if A is square and λ is any eigenvalue of A, then σmin ≤ |λ| ≤ σmax .
(b) How are the eigenvalues and singular values of a Hermitian matrix related?
Solution:

(a) In the lecture, we saw:

σmaxkxk ≥ kAxk, σmin kxk ≤ kAxk, ∀x

Now, let Avmax = λmaxvmax , Avmin = λminvmin , where λmax, λmin are the maximum and minimum
magnitude eigenvalues of A.
Then
σmax kvmaxk ≥ kAvmaxk = |λmax|kvmaxk
and
σmin kvmin k ≤ kAvmink = |λmin |kvmink
So
σmax ≥ |λ| ≥ σmin

(b) Suppose A is hermitian. Then A can be diagonalized using a unitary matrix Q:

λ1
 

A = Q
 ..  ?
Q
.
λn

such that |λ1| ≥ |λ2| ≥ . . . ≥ |λn|. Thus

λ1
  
|λ1 | |λ1|

A = Q ..  ..  ?
Q
 . 
 .
λn |λn|
|λn |

Now we define V = Qdiag{ |λλ11 | , . . ., |λλnn | } which is a unitary matrix. Then A = V ΣQ? is a SVD of
A and we conclude σi = |λi |.

8. (a) Show that σmax (AB) ≤ σmax (A)σmax(B) and σmin (AB) ≥ σmin (A)σmin (B)
(b) Assume that A and B have distinct singular values. Under what conditions (on A and B) do we
have σmax (AB) = σmax (A)σmax(B)? (Note: A and B may be complex.)
(c) We know that σ1 (A + B) ≤ σ1 (A) + σ1(B). For which k > 1 do we have σk (A + B) ≤ σk (A) +
σk (B) for all matrices A, B ∈ Cn×m? (You should give proofs or counter examples as appropri-
ate.)

6
 Solution:

(a)

σmax (AB) = max kA(Bx)k ≤ σmax(A) max kBxk = σmax (A)σmax(B) (3)
kxk = 1 kxk = 1
σmin (AB) = min kA(Bx)k ≥ σmin (A) min kBxk = σmin (A)σmin(B) (4)
kxk = 1 kxk = 1

(b) Let A = UA ΣAVA?, B = UB ΣBVB . Intuitively, to get σmax (AB) = σmax(A)σmax(B), the highest gain
output direction of B, (uB1 ) must be parallel to the highest input gain direction of A, (vA1 ). i.e.
uB1 = λvA1 , λ ∈ C, |λ| = 1. Alternatively |v?A1 uB1 | = 1. Now, we show that this condition is a
necessary and sufficient condition for σmax (AB) = σmax (A)σmax(B). Assume uB1 = λvA1 , |λ| =
1. Then

σmax (AB) ≥ kABvB1 k (since kvB1 k = 1) (5)

= kAσmax(B)uB1 k (6)
= σmax (B)|λ|kAvA1 k (7)
= σmax (B)σmax(A) (since |λ| = 1, AvA1 = σmax (A)uA1 ) (8)

Using (a) we get σmax(AB) = σmax(A)σmax(B).

Now assume σmax (AB) = σmax (A)σmax(B). We will show that |u?B1 vA1 | = 1. Let w be a unit
vector for which kABwk = σmax(AB), (kwk = 1). We say |v?B1 w| = 1, otherwise

kABwk < max kAxσmax (B)k

kxk = 1

which is contradictory. Thus kABwk = σmax(B)kAuB1 k. Now by the same reason as above we
say |v?A1 uB1 | = 1 and we are done.
Note that the above reasoning can be extended to the case when A, B have non-distinct singular
values...
(c) The assertion is false for all k > 1.
As a counterexample, take
   
1 0 0 0
A= , B= .
0 0 0 1

Then σ2 (A) + σ2 (B) = 0 + 0 = 0, but σ2 (A + B) = σ2 (I) = 1 6< 0.

For a general counterexample, take
  
Ik−1 0 1, i = j = k
A= , Bi j =
0 0 0, otherwise

Then σk (A) = σk (B) = 0. But σk (A + B) = 1 6< 0.

9. Suppose A ∈ Rn×n and B ∈ Rn×n with A > B > 0. Proof or counterexample: σi (A) > σi (B), i = 1, . . ., n.
Solution:

7
 Note: A and B are symmetric. (I followed the convention that A > 0 implies A = AT ; sorry if this led
to some confusion.)
The claim is TRUE.
Given a subspace U ⊆ Rn , let us define the “gain of A over U” as

∆ kAuk2
ν(A,U) = sup .
u∈U,u6=0 kuk2

For example, ν(A, Rn ) = σmax(A). With this notation, we can give another characterization for the
singular values of A.
Let Ur be the set of all r-dimensional subspaces of Rn , where 1 ≤ r ≤ n. Then,

σr (A) = inf ν(A,U).

U∈Ur

In other words, the rth singular value of A can be characterized as the minimum value of the gain of
A over all possible r-dimensional subspaces of A. (Can you prove this?)
Now, consider the inequality A > B > 0. This means that

uT Au > uT Bu for all nonzero u ∈ Rn.

Therefore, ν(A,U) > ν(B,U) for all U, and consequently

inf ν(A,U) > inf ν(B,U),

U∈Ur U∈Ur

for r = 1, . . ., n. Thus, σi (A) > σi (B), i = 1, . . ., n.

10. The matrix A† = V1 ∑−1 ∗

+ U1 is called the pseudo-inverse of A or Moore-Penrose inverse of A, and is
useful for solving various over and underdetermined equations in a least-squares sense.

(a) Show that AA† is orthogonal projection on the range of A. In other words, for any x, (AA†)x is
the point in Range(A) that is nearest to x.
(b) Suppose A is full rank and fat, so the system of equations Ax = b is underdetermined. Show that
x̂ = A†b is the solution of Ax = b of least norm. Show that A† = A∗(AA∗)−1 in this case. Show
AA† = I.
(c) Suppose now A is full rank and skinny, so the system of equations Ax = b is overdetermined.
Show that x̂ = A† b minimizes kAx − bk. Find a formula for A† analogous to that in (b). Show
that A† A = I.

Solution:

(a) Let
Σ+
 
A = [U1 U2] [V1 V2]∗ = U1Σ+V1∗.
0
Then,
AA† = U1Σ+V1∗V1Σ−1 ∗ ∗
+ U1 = U1U1 .

Note that Range(U1) = Range(A). Moreover, as the columns are U1 are orthonormal, the prod-
uct AA†x = U1U1∗x can be interpreted as: (i) Project x on each column of U1 (the components of

8
 x along the columns is given by the vector resulting from the product U1∗x). (ii) Form a linear
combination of the columns of U1 with the coefficients given by these components (the product
U1(U1∗x)).
To show that AA†x is the point in the range of A that is closest to x, consider any other point ẑ in
the range of A. Let z = AA† x. Then

kẑ − xk2 = (ẑ − z + z − x)∗ (ẑ − z + z − x)

= kẑ − zk2 + kz − xk2 + 2(ẑ − z)∗ (z − x).

Now, note that z − x = (AA† − I)x = (U1U1∗ − I)x = −U2U2∗ x, while since both ẑ and z are in the
range of A, we have ẑ − z = U1y for some y ∈ Rr . Therefore (ẑ − z)∗(z − x) = −y∗U1∗U2U2∗x = 0.
Thus,
kẑ − xk2 = kẑ − zk2 + kz − xk2 ≥ kz − xk2 ,
establishing that the closest point in the range of A is simply z = AA†x.
(b) A is full rank and fat, and the system of equations Ax = b is underdetermined. Let z = A∗(AA∗)−1x.
Then it is directly verified that Az = b. To show that z is the solution with minimum norm, we
let ẑ be any other solution (i.e., Aẑ = b as well), and consider

kẑk2 = ẑ∗ẑ = (ẑ − z + z)∗ (ẑ − z + z) = kẑ − zk2 + kzk2 + 2(ẑ − z)∗ z.

The last term 2(ẑ − z)∗ z = 2(ẑ − z)∗ A∗(AA∗)−1x = 0 (why?). Thus,

kẑk2 = kẑ − zk2 + kzk2 ≥ kzk2,

establishing the claim.

To show that A† = A∗ (AA∗)−1, note that since A is full rank and fat, its SVD is A = UΣV1∗, so
that
A∗ (AA∗)−1 = V1ΣU ∗ (UΣV1∗V1ΣU ∗)−1 = V1Σ−1U ∗ = A† .

(c) Since A is full rank and skinny, and the system of equations Ax = b is overdetermined. Let us
directly find the x̂ that minimizes kAx − bk. Differentiating kAx − bk2 = (Ax − b)∗(Ax − b) with
respect to x and setting the derivative to zero, we get

2(Ax − b)∗A = 0, or x̂ = (A∗A)−1 A∗ b.

(It is easily argued that x̂ is a minimizer of the error.)

To show that A† = (A∗A)−1A∗, note that since A is full rank and skinny, its SVD is A = U1ΣV ∗ ,
so that
(A∗A)−1A∗ = (V ΣU1∗U1ΣV ∗ )−1V ΣU1∗ = V Σ−1U1∗ = A†.