Has the largest-to-rest eigenvalue ratio of real symmetric matrices been researched before? - MathOverflow most recent 30 from http://mathoverflow.net 2013-05-20T15:36:47Z http://mathoverflow.net/feeds/question/99900 http://www.creativecommons.org/licenses/by-nc/2.5/rdf http://mathoverflow.net/questions/99900/has-the-largest-to-rest-eigenvalue-ratio-of-real-symmetric-matrices-been-research Has the largest-to-rest eigenvalue ratio of real symmetric matrices been researched before? Anna 2012-06-18T14:03:39Z 2012-07-02T18:20:56Z <p>I'm investigating the eigenvalue ratios</p> <p>$$\frac{\lambda_1}{\sum_{j=2}^N\lambda_j} \quad\mbox{and}\quad \frac{\sum_{j=1}^N\lambda_j}{\sum_{j=2}^N\lambda_j}$$</p> <p>of the NxN matrix $B=AA^T$. $\lambda_1$ denotes the largest eigenvalue. The ratios can be thought of as a measure of "rank-1-ness" of $B$.</p> <p>I haven't found any mention of either ratio in literature, regardless of constraints on $B$. Has any work been done on this before, and could someone point me there?</p> http://mathoverflow.net/questions/99900/has-the-largest-to-rest-eigenvalue-ratio-of-real-symmetric-matrices-been-research/99919#99919 Answer by Igor Rivin for Has the largest-to-rest eigenvalue ratio of real symmetric matrices been researched before? Igor Rivin 2012-06-18T16:50:56Z 2012-06-18T16:50:56Z <p>The eigenvalues you are computing are the singular values of $A.$ The largest singular value is the operator norm of the matrix, the sum of all singular values is another norm (I am not sure what it is called, it's analogous to the $L^1$ norm, while the largest s.v. is the analogue of the $L^\infty$ norm). I am not sure what you are interested in, but if you google "largest singular value", you will see a wealth of information.</p> http://mathoverflow.net/questions/99900/has-the-largest-to-rest-eigenvalue-ratio-of-real-symmetric-matrices-been-research/101166#101166 Answer by Federico Poloni for Has the largest-to-rest eigenvalue ratio of real symmetric matrices been researched before? Federico Poloni 2012-07-02T18:19:10Z 2012-07-02T18:19:10Z <p>I am not sure if you are allowed to change your objective function, but a natural alternative for measuring "rank-1-ness" is $$\frac{\lambda_1^2}{\lambda_1^2+\lambda_2^2+\dots+\lambda_n^2}.$$ This ratio is easy to compute: the denominator is the squared Frobenius norm of the matrix (i.e., sum of squares of all entries), and the numerator is the squared spectral radius, which you can easily estimate using a few iterations of the power method.</p> <p>The norm $\lambda_1+\lambda_2+\dots+\lambda_n$ is called <em>nuclear norm</em>, and as far as I know it is not as easy to compute as the other two.</p> http://mathoverflow.net/questions/99900/has-the-largest-to-rest-eigenvalue-ratio-of-real-symmetric-matrices-been-research/101167#101167 Answer by Kjetil B Halvorsen for Has the largest-to-rest eigenvalue ratio of real symmetric matrices been researched before? Kjetil B Halvorsen 2012-07-02T18:20:56Z 2012-07-02T18:20:56Z <p>Also, if you have a sample covariance matrix, you should look into the Wishart distribution, there is a lot of work on the distribution of its eigenvalues. See Muirhead: "Aspects of Multivariate Statistical Theory".</p>