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Weyl's Inequality and Monotonicity of the Ordered Eigenvalues

The k-th largest eigenvalue of a symmetric matrix is monotone in the semidefinite ordering, moves by at most the operator norm of the perturbation, and shifts by c when cI is added.

Statement

In the setting of Symmetric and Positive Semidefinite Matrices, the Operator Norm and Spectral Notation, let n∈Nn\in\mathbb{N}, let A,B∈S(n)A,B\in\mathcal{S}(n), and let k∈[n]k\in[n]. Write λk(A)\lambda_{k}(A) and λk(B)\lambda_{k}(B) for the kkth ordered eigenvalues of AA and BB.

Monotonicity. If A⪯BA\preceq B, then λk(A)≤λk(B)\lambda_{k}(A)\le\lambda_{k}(B).

Weyl's perturbation inequality.

∣λk(A)−λk(B)∣≤∥A−B∥.\bigl|\lambda_{k}(A)-\lambda_{k}(B)\bigr|\le\lVert A-B\rVert .

Shift. For every c∈Rc\in\mathbb{R}, λk(A+cIn)=λk(A)+c\lambda_{k}(A+cI_{n})=\lambda_{k}(A)+c.

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