Hermitian positive definite matrix

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SUMMARY

The discussion focuses on the relationship between Hermitian positive definite matrices P and Q, specifically proving the inequality x*Px ≤ x*Qx for all x in C^n. The proof hinges on the equivalence of this inequality to x*Q^-1 x ≤ x*P^-1 x for all x in C^n. Participants emphasize utilizing the definition of Hermitian positive definite matrices and suggest leveraging the spectral theorem, where P and Q can be expressed in terms of their diagonal forms D_P and D_Q.

PREREQUISITES
  • Understanding of Hermitian positive definite matrices
  • Familiarity with complex vector spaces (C^n)
  • Knowledge of the spectral theorem
  • Basic linear algebra concepts, including matrix multiplication and inverses
NEXT STEPS
  • Study the properties of Hermitian matrices in detail
  • Learn about the spectral theorem and its applications in linear algebra
  • Explore matrix inequalities and their proofs
  • Investigate the implications of positive definiteness in optimization problems
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Mathematicians, graduate students in linear algebra, and researchers working with Hermitian matrices and optimization techniques will benefit from this discussion.

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Let P and Q be Hermitian positive definite matrices.
We prove that x*Px < or eq. x*Qx, for all x in C^n (C : complex numbers) if and only if x*Q^-1 x < or eq. x*P^-1 x for all x in C^n.

I guess I should use the definition of a hermitian positive definite matrix being
x*Px > 0 , for all x in C^n but I am not sure how to proceed to get both the P and Q in the inequality.

Should I try and multiply both sides of the inequality by x and x*?
 
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Try proving it in the special case where P and Q are also diagonal. Then for the general case, use the fact that you can write

P = A^{-1}D_P A
Q = B^{-1}D_Q B

where D_P and D_Q are both diagonal. (This is the spectral theorem.)
 

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