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One can verify that $U_{A}=U_{S}$ as follows. Note that $$\det(U_{A}\Sigma_{A}V_{A}^{T}+U_{S}\Sigma_{S}V_{S}^{T})=\det(\Sigma_{A}+U_{A}^{-1}U_{S}\Sigma_{S}V_{S}^{T}V_{A}^{-T})$$ Let $Y=U_{A}^{-1}U_{S}\Sigma_{S}V_{S}^{T}V_{A}^{-T}$ so that the problem can be rephrased as:

$$\max\limits_{Y} \det(\Sigma_{A}+Y) \text{ subject to } Tr(Y)=c,\ Y\succ 0$$

Now, let $Z=\Sigma_{A}+Y$ so that the problem is reformulated:

$$\max\limits_{Z} \det(Z) \text{ subject to } Tr(Z)=c+\sum\limits_{i=1}^{n} \sigma_{A}(i),\ Z\succ 0,\ Z_{i,i}\geq \sigma_{A}(i)$$

Since $Z$ can be written $Z=UT$ where $U$ is orthogonal and $T$ upper triangular, $\det(Z)=\det(T)$ and the off-diagonal terms of $T$ do not contribute so that $T$ may be assumed diagonal. Thus, finally one arrives at:

$$\max\limits_{T} \det(T) \text{ subject to } Tr(T)=c+\sum\limits_{i=1}^{n} \sigma_{A}(i),\ T\succ 0,\ T_{i,i}\geq \sigma_{A}(i),\ \text{T is diagonal}$$

This problem's solution follows from solving the water filling problem above:

$$\max\limits_{t_{k}} \sum\limits_{k=1}^{n} \log(t_{k}+\sigma_{k}) \text{ subject to } t_{k}\geq 0 \text{ and }\sum\limits_{k=1}^{n} t_{k}=c$$

Josiah Park
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