244 Selected Mathematical Background Material Appendix A

10. Prove that Tr {X} is equal to the sum of the eigenvalues of X.

11. Explain how the singular value decomposition of a Hermitian matrix reduces
to the eigenvalue-decomposition of the same matrix.

12. Prove that vec(ABC) = (C T ⊗ A) vec(B)

 
13. Prove that Tr AH B = vecH (A) vec(B)

14. Prove that Tr {A ⊗ B} = Tr {A}Tr {B}

 
15. Prove that Tr {ABCD} = vecT AT (DT ⊗ B) vec(C)

16. Prove that (A ⊗ C)(B ⊗ D) = (AB ⊗ CD)

17. Prove that (A ⊗ B)−1 = (A−1 ⊗ B −1 )

18. Prove that (A ⊗ B)H = (AH ⊗ B H )

19. Show that for square A and B of dimensions m × m and n × n, respectively,

it holds that:
|A ⊗ B| = |A|n · |B|m (A.4.3)

20. Suppose that Ax2 = x2 for all x. Show that A must be a unitary matrix.

21. Assume that X and Y are square matrices of dimension n × n and that both
of them have rank m. What can we say about

(a) the eigenvalues of XX H ?

(b) the rank of XY ?
(c) the determinant |XY |?

Can we say anything about Tr {XY }?

22. Assume that X is skew-Hermitian: X H = −X, and let Y be a Hermitian

matrix. What can we say about Tr {XY }?

23. Let X be a positive definite matrix of dimension N × N . Prove that

N

|X| ≤ X n,n (A.4.4)
n=1

(This inequality is called the Hadamard inequality.)

Section A.4. Selected Problems 245

24. Let B be a matrix with full column rank and let A be another given matrix.
Prove that
A − BX2 ≥ (I − B(B H B)−1 B H )A2 (A.4.5)
with equality if
X = (B H B)−1 B H A (A.4.6)
Hint: show first that
 2
 
A − BX2 =ΠB (A − BX) + Π⊥
B (A − BX)
 2 (A.4.7)
2  ⊥ 
=ΠB (A − BX) + ΠB (A − BX)

25. Prove that |I + AB| = |I + BA|.

26. Let X be a positive definite matrix and let Y be a positive semi-definite

matrix. Prove that |X + Y | ≥ |X|.

27. Prove that a right circulant matrix has the eigenvalue-decomposition (A.2.10).
Extend the result to left circulant matrices and to block circulant matrices.

28. Prove that  2

 
Tr {XY } ≤ X2 · Y 2 (A.4.8)
(This inequality is called the matrix Cauchy-Schwarz inequality.) Determine
a necessary and sufficient condition for equality to hold in (A.4.8).

29. Prove Equation (A.2.7).

30. Prove that the eigenvalues of a projection matrix ΠX are either zero or one.

31. Show that Π⊥ ⊥ ⊥ ⊥ ⊥

X ΠX = ΠX , that ΠX ΠX = 0 and that ΠX X = 0.

32. Let X(θ) be a matrix-valued function of a real-valued scalar variable θ and

let A and B be given constant matrices. Prove that

d dX(θ)
Tr {AX(θ)} = Tr A
dθ dθ

d   dX(θ)
Tr X H (θ)AX(θ) = 2ReTr X H (θ)A
dθ dθ

(A.4.9)
d −1 dX(θ)
log |X(θ)| = Tr X (θ)
dθ dθ

d  −1
 −2 dX(θ)
Tr X (θ) = −Tr X (θ)
dθ dθ
246 Selected Mathematical Background Material Appendix A

33. Prove that Re {X}Re {Y } = 12 Re {XY + XY ∗ }.

34. Prove the “matrix inversion lemma”:

(A − CB −1 D)−1 = A−1 + A−1 C(B − DA−1 C)−1 DA−1 (A.4.10)

35. Let A be an arbitrary constant matrix and let X be a matrix whose elements
are independent and circularly symmetric Gaussian random variables with
mean zero and variance γ 2 . Prove that
  
Tr {AX} ∼ NC 0, γ 2 Tr AAH (A.4.11)