TheoremBase

Sketch: the max-min clause of Courant-Fischer, applied to both diagonalizations and to the span of the first k columns of Q, gives lambdaklambda_k <= mukmu_k; exchanging the roles gives the reverse inequality.

Proof

Fix k∈[n]k\in[n]. We show λk≤μk\lambda_{k}\le\mu_{k}; the reverse inequality then follows by symmetry.

First apply The Courant–Fischer Min–Max Theorem (i) to AA with the decomposition given by QQ and λ\lambda: the span Uk=span⁡(Qe1,…,Qek)U_{k}=\operatorname{span}(Qe_{1},\dots,Qe_{k}) is a subspace of Rn\mathbb{R}^{n} of dimension kk, and x⋅(Ax)≥λkx\cdot(Ax)\ge\lambda_{k} for every unit vector x∈Ukx\in U_{k}.

Next apply The Courant–Fischer Min–Max Theorem (i) to AA with the decomposition given by PP and μ\mu, and to the subspace UkU_{k} just obtained: since dim⁡Uk=k\dim U_{k}=k, it contains a unit vector xx with x⋅(Ax)≤μkx\cdot(Ax)\le\mu_{k}. The previous paragraph applies to this xx as well, and so

λk≤x⋅(Ax)≤μk.\lambda_{k}\le x\cdot(Ax)\le\mu_{k}.

The hypotheses are symmetric in (Q,λ)(Q,\lambda) and (P,μ)(P,\mu), so exchanging their roles in the two previous paragraphs gives μk≤λk\mu_{k}\le\lambda_{k}. Hence λk=μk\lambda_{k}=\mu_{k} for every k∈[n]k\in[n], and λ=μ\lambda=\mu by Euclidean Space Rn\mathbb{R}^n: n-Tuples of Real Numbers with Their Componentwise Operations (iii). This proves (i).

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