Positive Definite Matrix – Determinant Inequality Proof

inequalitylinear algebramatrices

In the Wikipedia article on positive definite matrices they claim that if $M$ is positive definite, then the determinant of $M$ is bounded by the product of its diagonal entries. How might we show this?

Ideas: The sum of the diagonal entries of $M$ is the trace, which is also the sum of the eigenvalues. The product of the eigenvalues is the determinant. All the diagonal entries of $A$ must be real and strictly positive. Also we have $|m_{ij}|\leq \sqrt{m_{ii}m_{jj}}\leq \frac{m_{ii}+m_{jj}}{2}$. So far nothing is working…

We might try to write the Gram matrix $m_{ij} = \langle v_i, v_j \rangle$, and then $\prod_i m_{ii} = \prod_i \|v_i\|^2$. Now we'd need to show that the determinant, which is a polynomial in the entries of $v_i$, is less than $\prod_i \|v_i\|^2$ somehow.

Best Answer

If $M$ is an $n\times n$ Hermitian and positive definite matrix, it has a Cholesky factorisation: there exists a nonsingular (the result is trivial if $M$ were singular, that is, positive semi-definite) triangular (pick an upper) matrix $U$ such that $M=U^*U$. Now: $$ \det(M)=\det(U^*U)=\det(U^*)\det(U)=\overline{\det(U)}\det(U)=|\det(U)|^2. $$ Now use the Hadamard's inequality which states that an $n\times n$ square matrix $P=[p_1,\ldots,p_n]$ ($p_i$ are the columns of $P$) satisfies $|\det(P)|\leq \prod_{i=1}^n\|p_i\|_2$. Use it on $U=[u_1,\ldots,u_n]$: $$ |\det(U)|\leq\prod_{i=1}^n\|u_i\|_2. $$ Now, what is the diagonal entry $m_{ii}$ of $M$? Well, it is the product $m_{ii}=u_i^*u_i=\|u_i\|_2^2$. So: $$ \det(M)=|\det(U)|^2\leq\prod_{i=1}^n\|u_i\|_2^2=\prod_{i=1}^n m_{ii}. $$