Show that a symmetric matrix is positive semidefinite

eigenvalues-eigenvectorslinear algebrapositive definitepositive-semidefinitesymmetric matrices

Let $A\in\mathbb{R}^{n\times n}$ be a symmetric positive definite matrix and $D\in\mathbb{R}_{\geq0}^{n\times n}$ be a diagonal matrix with non-negative entries (hence $D\succeq0$)

Show that
$$2D-DAD\succeq0\iff 2I-D^{1/2}AD^{1/2}\succeq0$$

The converse follows by multiplying both sides of the matrix by $D^{1/2}$.

I don't know how to prove the right arrow.
Since $2I-ST$ and $2I-TS$ have the same eigenvalues, it suffices to show that $$2D-DAD\succeq0\implies 2I-AD\quad\text{has non negative eigenvalues}$$
but I have no idea about how to prove that…

Best Answer

1.)
Suppose $D\succ \mathbf 0$
$2D-DAD$ and $2I-D^{1/2}AD^{1/2}$
are congruent and by Sylvester's Law of Inertia they have the same signature.

2.)
suppose $\text{rank}\big(D\big) = r$ and with the usual ordering $d_{1,1}\geq d_{2,2}\geq...\geq d_{r,r}\gt d_{r+1, r+1}=0$

$2D-DAD = D^\frac{1}{2}\big(2I-D^\frac{1}{2}AD^\frac{1}{2}\big)D^\frac{1}{2}\succeq \mathbf 0$
implies the leading $r\times r$ sub-matrix is positive semidefinite and the matrix is zero everywhere else. In particular, working with the pseudo inverse of $D^\frac{1}{2}$ this implies the leading $r\times r$ sub-matrix of $\big(2I-D^\frac{1}{2}AD^\frac{1}{2}\big)$ is PSD -- i.e. the $r\times r$ leading submatrices of $2D-DAD$ and $\big(2I-D^\frac{1}{2}AD^\frac{1}{2}\big)$ are congruent.

Conveniently, $\big(2I-D^\frac{1}{2}AD^\frac{1}{2}\big)$ is real symmetric and block diagonal, so its spectrum (and hence signature) splits into the leading $r\times r$ matrix which we know is PSD, and the lower right matrix which is $I_{n-r}$. Hence $\big(2I-D^\frac{1}{2}AD^\frac{1}{2}\big)\succeq \mathbf 0$