Math 202A: Lecture 19

Let V,W \in \mathbf{FHil} be any two finite-dimensional Hilbert spaces, and let A \in \mathrm{Hom}(V,W) be an arbitrary morphism.

Theorem 19.1 (Geometric SVD) We have orthogonal decompositions

V=V_1 \oplus \dots \oplus V_r \oplus \mathrm{Ker}(A) \quad\text{and}\quad W=W_1 \oplus \dots \oplus W_r \oplus \mathrm{Im}(A)^\perp,

where r = \dim \mathrm{Im}(A) is the rank of A, the spaces V_1,W_1,\dots,V_r,W_r are lines, the numbers \sigma_1 \geq \dots \geq \sigma_r >0 are positive, and the restrictions A_i=A|_{V_i} are of the form A_i = \sigma_iU_i with U_i \in \mathrm{Hom}(V_i,W_i) an isometric isomorphism for 1 \leq i \leq r.

In this theorem, “decomposition” really means two things: first, it refers to simultaneous orthogonal decompositions of the spaces V and W into orthogonal lines with chunky remainders \mathrm{Ker}(A) \leq V and \mathrm{Im}(A)^\perp \leq W, and second it refers to a corresponding decomposition of the transformation A into a combination of line-to-line mappings and a terminal collapsing of the (possibly non-existent) chunk \mathrm{Ker}(A) into the zero vector of W. The decomposition of A may be written compactly as

A= \sum\limits_{i=1}^r \sigma_iU_iP_i,

where P_i \in \mathrm{End}(V) is the orthogonal projection of V onto the subspace V_i \leq V. The best way to consider this operator decomposition is an orthogonal decomposition of A in a Hilbert space of transformations, which makes the singular values \sigma_1,\dots,\sigma_r the coordinates of A.

More precisely, \mathrm{Hom}(V,W) is itself a Hilbert space: letting X \subset V and Y \subset W be orthonormal bases, we defined the Frobenius scalar product on \mathrm{Hom}(V,W) by

\langle A,B \rangle =\sum\limits_{x \in X}\sum\limits_{y \in Y} \overline{\langle y,Ax\rangle}\langle y,Bx \rangle,

or equivalently

\langle A,B \rangle= \sum\limits_{x \in X} \langle Ax,Bx\rangle.

This gives the Frobenius norm

\|A\|^2 = \sum\limits_{x \in X}\sum\limits_{y \in Y}|\langle y,Ax\rangle|^2,

or equivalently

\|A\|^2 = \sum\limits_{x \in X} \|Ax\|^2.

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 V and W used to construct it. Equivalently, if T \in \mathrm{End}(V) and U \in \mathrm{End}(W) are unitary operators then the Frobenius scalar product satisfies

\langle UAT,UBT\rangle=\langle A,B \rangle.

Now let us consider Theorem 19.1 from the point of view of Hilbert space geometry in \mathrm{Hom}(V,W) equipped with the Frobenius scalar product. Let us write the SVD of A \in \mathrm{Hom}(V,W) as

A = \sum\limits_{i=1}^r \sigma_iE_i,

where E_i=U_iP_i \in \mathrm{Hom}(V,W).

Proposition 19.2. \{E_1,\dots,E_r\} is an orthonormal set in \mathrm{Hom}(V,W).

Proof: Let X \subset V be an ordered orthonormal basis adapted to the decomposition V=\oplus_iV_i, and let Y \subset W be an ordered orthonormal basis adapted to the decomposition W=\oplus_i W_i. This means that, for each 1 \leq i \leq r, we have

Ax_i = \sigma_iy_i.

Equivalently, the transformation E_i=U_iP_i which acts on V by first orthogonally projecting onto V_i and then mapping this line isometrically onto the line W_i is a rank one isometry.

Now compute the Frobenius norm of E_i using the adapted basis X \subset V,

\|E_i\|^2 = \sum\limits_{x \in X} \|E_ix\|^2 = \|x\|^2=1.

Similarly, suppose i\neq j and consider the scalar product

\langle E_i,E_j\rangle = \sum_{x \in X} \langle E_ix,E_jx\rangle.

There are two mutually exclusive cases for the term in this sum corresponding to a given x \in X. First case: x lies on neither of the lines V_i,V_j, so E_ix=E_jx is the zero vector in W. Second case: x lies on at least one of the lines V_i so at least one of the vectors E_ix,E_jx is the zero vector in W. \square

Now, the rank r of A\in \mathrm{Hom}(V,W) satisfies r \leq \min(\dim V,\dim W) but we can extend the orthonormal set \{E_1,\dots,E_r\} \subset \mathrm{Hom}(V,W) to an orthonormal basis, relative to the Frobenius scalar product. Then, the SVD simply says that the singular values of A are its nonzero coordinates in this basis. In particular, we have the following

Proposition 19.3. For any A \in \mathrm{Hom}(V,W), we have

\|A\|^2=\sum\limits_{i=1}^r \sigma_i^2.

Proof: By Proposition 19.2, this is an instance of the Pythagorean theorem. \square

A difficult and interesting question is to try to understand how the singular values of a sum A+B of two morphisms A,B \in \mathrm{Hom}(V,W) are are determined by the singular values of the summands A and B. More conceptually, this means that we want to define functionals \sigma_i on \mathrm{Hom}(V,W) which send a morphism \in \mathrm{Hom}(V,W) to its ith largest singular value (so there are \min(\dim V,\dim W) 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

\sigma_1(A+B) \leq \sigma_1(A)+\sigma_1(B),

which is a consequence of the fact that \sigma_1(A) is the operator norm of A, 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 \mathrm{Hom}(V,W).

Proposition 19.4. For any A,B \in \mathrm{Hom}(V,W) we have

\sum_i \sigma_i(A+B)^2 + \sum_i \sigma_i(A_B)^2 = 2 \sum_i \sigma_i(A)^2 + 2 \sum_i\sigma_i(B)^2.

Proof: By Proposition 19.2, this is an instance of the Parallelogram Law. \square

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