Let be any two finite-dimensional Hilbert spaces, and let
be an arbitrary morphism.
Theorem 19.1 (Geometric SVD) We have orthogonal decompositions
where is the rank of
, the spaces
are lines, the numbers
are positive, and the restrictions
are of the form
with
an isometric isomorphism for
In this theorem, “decomposition” really means two things: first, it refers to simultaneous orthogonal decompositions of the spaces and
into orthogonal lines with chunky remainders
and
and second it refers to a corresponding decomposition of the transformation
into a combination of line-to-line mappings and a terminal collapsing of the (possibly non-existent) chunk
into the zero vector of
The decomposition of
may be written compactly as
where is the orthogonal projection of
onto the subspace
The best way to consider this operator decomposition is an orthogonal decomposition of
in a Hilbert space of transformations, which makes the singular values
the coordinates of
.
More precisely, is itself a Hilbert space: letting
and
be orthonormal bases, we defined the Frobenius scalar product on
by
,
or equivalently
This gives the Frobenius norm
or equivalently
We had a nice time proving early on, from first principles, that the Frobenius scalar product is in fact independent of the Cartesian coordinate systems in and
used to construct it. Equivalently, if
and
are unitary operators then the Frobenius scalar product satisfies
Now let us consider Theorem 19.1 from the point of view of Hilbert space geometry in equipped with the Frobenius scalar product. Let us write the SVD of
as
,
where
Proposition 19.2. is an orthonormal set in
Proof: Let be an ordered orthonormal basis adapted to the decomposition
and let
be an ordered orthonormal basis adapted to the decomposition
This means that, for each
we have
Equivalently, the transformation which acts on
by first orthogonally projecting onto
and then mapping this line isometrically onto the line
is a rank one isometry.
Now compute the Frobenius norm of using the adapted basis
Similarly, suppose and consider the scalar product
There are two mutually exclusive cases for the term in this sum corresponding to a given First case:
lies on neither of the lines
, so
is the zero vector in
Second case:
lies on at least one of the lines
so at least one of the vectors
is the zero vector in
Now, the rank of
satisfies
but we can extend the orthonormal set
to an orthonormal basis, relative to the Frobenius scalar product. Then, the SVD simply says that the singular values of
are its nonzero coordinates in this basis. In particular, we have the following
Proposition 19.3. For any we have
Proof: By Proposition 19.2, this is an instance of the Pythagorean theorem.
A difficult and interesting question is to try to understand how the singular values of a sum of two morphisms
are are determined by the singular values of the summands
and
. More conceptually, this means that we want to define functionals
on
which send a morphism
to its
th largest singular value (so there are
of these functionals). These functionals are nonlinear and it is difficult to say much about them in general. One thing we can say immediately is that
which is a consequence of the fact that is the operator norm of
and indeed most statements that can be made are inequalities rather than identities. However, the following identity is an immediate consequence of the Hilbert space structure on
Proposition 19.4. For any we have
Proof: By Proposition 19.2, this is an instance of the Parallelogram Law.