Singular values of differences of positive semidefinite matrices
Based on known results, the author shows relations between the singular values of two positive semidefinite matrices. Let \(A\) and \(B\) be complex positive semidefinite matrices of order \(n\) and let us denote as \(A \oplus B\) the block diagonal matrix with \(A\) and \(B\) on the diagonal. Using the common notation for singular values \(s_1(.) \geq s_2(.) \geq \dots \geq s_n(.)\) of a matrix , the following result is proved: \(s_j(A-B) \leq s_j(A \oplus B)\) for \(j=1,2, \dots, n\). The second result expresses the weak log-majorization relations for singular values: \(\prod_{j=1}^k s_j(A-|z|B) \leq \prod_{j=1}^k s_j(A+zB) \leq \prod_{j=1}^k s_j(A+|z|B)\) for \(k=1,2, \dots, n\) and any complex number \(z\). Simple examples illustrate the use of the inequalities.
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