Linear Algebra and Its Applications · Problem 6.2.9

Positive Definite Matrices — Gilbert Strang

Mathematics · tests-for-positive-definiteness

Problem

If A=RTRA = R^T R prove the generalized Schwarz inequality ∣xTAy∣2≤(xTAx)(yTAy)|x^T A y|^2 \leq (x^T A x)(y^T A y).
Intuitive explanation

The key is recognizing that A=RTRA = R^T R lets you rewrite the quadratic forms as inner products of transformed vectors. If you set u=Rxu = Rx and v=Ryv = Ry, then xTAx=uTux^T A x = u^T u and yTAy=vTvy^T A y = v^T v—turning the inequality into the standard Cauchy–Schwarz inequality ∣uTv∣2≤(uTu)(vTv)|u^T v|^2 \leq (u^T u)(v^T v), which you already know is true. The factorization essentially "linearizes" the problem.

Intuitive explanation

The key is recognizing that A=RTRA = R^T R lets you rewrite the quadratic forms as inner products of transformed vectors. If you set u=Rxu = Rx and v=Ryv = Ry, then xTAx=uTux^T A x = u^T u and yTAy=vTvy^T A y = v^T v—turning the inequality into the standard Cauchy–Schwarz inequality ∣uTv∣2≤(uTu)(vTv)|u^T v|^2 \leq (u^T u)(v^T v), which you already know is true. The factorization essentially "linearizes" the problem.

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