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Using SVD to generalise Sylvester’s Law
of Inertia to non-square matrices
Let
be a Hermitian matrix
1
. All the Eigenvalues of
are hence real. Define
as the number of positive Eigenvalues,
as the number of negative Eigenvalues and
as the number of zeroEigenvalues.Define the inertia of
,
, as the tuple
Suppose
is invertible (and hence square). Then
Sylvestia’s law of Inertia
states that
2
:
It is possible to generalise this for non-square matrices
.Suppose
is still Hermitian and that
with
.
can be written as
, where:
and
and
and
where
This is the
Singular Value Decomposition
of
.It hence follows that:
Define
so that:
Note
, and so
is Hermitian.
is invertible
by definition, and thus it follows from Sylvester’s
Law that:
The problem is hence reduced to finding the inertia of
.As
only has non-zero values on its diagonal, and
, it follows that
when either
or
. Denote the principle
submatrix of
by
. It follows that:
1
i.e.
, where the bar denotes complex conjugation.
2
This can be interpreted as saying that for a sesquilinear form
, any basis
where
,
has the same set of values
(up to permutation).
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