(with Mathlib's conventions )
ProvedGaussianMatrix.specNorm_inv_gram_eqdeterministicgram-matrixlinear-algebrasmallest-singular-valuespectral-norm
Let be a real matrix, let be the smallest singular value of , and let be the spectral ( operator) norm. Then
with the conventions that the inverse of a singular matrix is and .
When is invertible this is the statement for the positive definite matrix , using . When is singular, some unit vector satisfies , so both sides are . It lets you restate any bound on as a bound on .
Formalization Note. specNorm is Mathlib's operator norm on matrices and ⁻¹ is Mathlib's total matrix inverse, which is on singular input. sMin is the infimum over the unit sphere, which is when (empty sphere). Because Lean has , the identity holds for every with no hypothesis, including .
Preamble
import Definitions.Def_GaussianMatrix_basic open MeasureTheory ProbabilityTheory open scoped Matrix
Formal statement
namespace GaussianMatrix
theorem specNorm_inv_gram_eq {r k : ℕ} (A : Matrix (Fin r) (Fin k) ℝ) :
specNorm (A * Aᵀ)⁻¹ = 1 / sMin Aᵀ ^ 2 := by sorry
end GaussianMatrixSource
standard fact: for a symmetric positive definite matrix M, ‖M⁻¹‖₂ = 1/λ_min(M), and λ_min(AAᵀ) = min_{‖x‖=1} ‖Aᵀx‖² = σ_min(Aᵀ)² (Courant–Fischer; e.g. R. A. Horn and C. R. Johnson, Matrix Analysis, 2nd ed., Thm. 4.2.6 and §5.6).