[Math] Eigenvalues of product matrix

linear algebra

I have two matrices, both positive definite, real symmetric and one is diagonal. What can I say about lower and upper bound of the eigenvalues of the product matrix in terms the of lower and upper bounds on eigenvalues of those two matrices.

Best Answer

TravisJ already answered the question for the upper bound on the eigenvalues of the product of two symmetric positive definite matrices, $$\lambda_\text{max}(AB) \le \lambda_\text{max}(A)\lambda_\text{max}(B).$$ To get a lower bound apply the upper bound inequality to the inverse*: $$\lambda_\text{max}\left((AB)^{-1}\right) \le \lambda_\text{max}(A^{-1})\lambda_\text{max}(B^{-1}).$$ Since the eigenvalues of the inverse are the inverse of the eigenvalues, this is the same as, $$\frac{1}{\lambda_\text{min}(AB)} \le \frac{1}{\lambda_\text{min}(A)}\frac{1}{\lambda_\text{min}(B)}.$$ Multiplying through to clear the denominators yields the nice minimum eigenvalue bound, $$\lambda_\text{min}(A)\lambda_\text{min}(B) \le \lambda_\text{min}(AB).$$


*The inverses exist because the matrices are assumed to be positive definite in the question. The result extends to the case where the matrices are positive semi-definite as well. In this case, either $A$ or $B$, are not invertible, and the above proof would divide by zero. However, in this case either $A$, or $B$ has zero as the minimum eigenvalue, and $AB$ has zero as the minimum eigenvalue, so the inequality becomes $0 \le 0$.