Word maps close to the identity

While talking mathematics with a postdoc here at UCLA (March Boedihardjo) we came across the following matrix problem which we managed to solve, but the proof was cute and the process of discovering it was fun, so I thought I would present the problem here as a puzzle without revealing the solution for now.

The problem involves word maps on a matrix group, which for sake of discussion we will take to be the special orthogonal group of real matrices (one of the smallest matrix groups that contains a copy of the free group, which incidentally is the key observation powering the Banach-Tarski paradox).  Given any abstract word of two generators and their inverses (i.e., an element of the free group ), one can define the word map simply by substituting a pair of matrices in into these generators.  For instance, if one has the word , then the corresponding word map is given by

for .  Because contains a copy of the free group, we see the word map is non-trivial (not equal to the identity) if and only if the word itself is nontrivial.

Anyway, here is the problem:

Problem. Does there exist a sequence of non-trivial word maps that converge uniformly to the identity map?

To put it another way, given any , does there exist a non-trivial word such that for all , where denotes (say) the operator norm, and denotes the identity matrix in ?

As I said, I don’t want to spoil the fun of working out this problem, so I will leave it as a challenge. Readers are welcome to share their thoughts, partial solutions, or full solutions in the comments below.

An update to “On the sign patterns of entrywise positivity preservers in fixed dimension”

Apoorva Khare and I have updated our paper “On the sign patterns of entrywise positivity preservers in fixed dimension“, announced at this post from last month. The quantitative results are now sharpened using a new monotonicity property of ratios of Schur polynomials, namely that such ratios are monotone non-decreasing in each coordinate of if is in the positive orthant, and the partition is larger than that of . (This monotonicity was also independently observed by Rachid Ait-Haddou, using the theory of blossoms.) In the revised version of the paper we give two proofs of this monotonicity. The first relies on a deep positivity result of Lam, Postnikov, and Pylyavskyy, which uses a representation-theoretic positivity result of Haiman to show that the polynomial combination

of skew-Schur polynomials is Schur-positive for any partitions (using the convention that the skew-Schur polynomial vanishes if is not contained in , and where and denotes the pointwise min and max of and respectively). It is fairly easy to derive the monotonicity of from this, by using the expansion

of Schur polynomials into skew-Schur polynomials (as was done in this previous post).

The second proof of monotonicity avoids representation theory by a more elementary argument establishing the weaker claim that the above expression (1) is non-negative on the positive orthant. In fact we prove a more general determinantal log-supermodularity claim which may be of independent interest:

Theorem 1 Let be any totally positive matrix (thus, every minor has a non-negative determinant). Then for any -tuples of increasing elements of , one has

where denotes the minor formed from the rows in and columns in .

For instance, if is the matrix

for some real numbers , one has

(corresponding to the case , ), or

(corresponding to the case , , , , ). It turns out that this claim can be proven relatively easy by an induction argument, relying on the Dodgson and Karlin identities from this previous post; the difficulties are largely notational in nature. Combining this result with the Jacobi-Trudi identity for skew-Schur polynomials (discussed in this previous post) gives the non-negativity of (1); it can also be used to directly establish the monotonicity of ratios by applying the theorem to a generalised Vandermonde matrix.

(Log-supermodularity also arises as the natural hypothesis for the FKG inequality, though I do not know of any interesting application of the FKG inequality in this current setting.)

Inverting the Schur complement, and large-dimensional Gelfand-Tsetlin patterns

Suppose we have an matrix that is expressed in block-matrix form as

where is an matrix, is an matrix, is an matrix, and is a matrix for some . If is invertible, we can use the technique of Schur complementation to express the inverse of (if it exists) in terms of the inverse of , and the other components of course. Indeed, to solve the equation

where are column vectors and are column vectors, we can expand this out as a system

Using the invertibility of , we can write the first equation as

and substituting this into the second equation yields

and thus (assuming that is invertible)

and then inserting this back into (1) gives

Comparing this with

we have managed to express the inverse of as

One can consider the inverse problem: given the inverse of , does one have a nice formula for the inverse of the minor ? Trying to recover this directly from (2) looks somewhat messy. However, one can proceed as follows. Let denote the matrix

(with the identity matrix), and let be its transpose:

Then for any scalar (which we identify with times the identity matrix), one has

and hence by (2)

noting that the inverses here will exist for large enough. Taking limits as , we conclude that

On the other hand, by the Woodbury matrix identity (discussed in this previous blog post), we have

and hence on taking limits and comparing with the preceding identity, one has

This achieves the aim of expressing the inverse of the minor in terms of the inverse of the full matrix. Taking traces and rearranging, we conclude in particular that

In the case, this can be simplified to

where is the basis column vector.

We can apply this identity to understand how the spectrum of an random matrix relates to that of its top left minor . Subtracting any complex multiple of the identity from (and hence from ), we can relate the Stieltjes transform of with the Stieltjes transform of :

At this point we begin to proceed informally. Assume for sake of argument that the random matrix is Hermitian, with distribution that is invariant under conjugation by the unitary group ; for instance, could be drawn from the Gaussian Unitary Ensemble (GUE), or alternatively could be of the form for some real diagonal matrix and a unitary matrix drawn randomly from using Haar measure. To fix normalisations we will assume that the eigenvalues of are typically of size . Then is also Hermitian and -invariant. Furthermore, the law of will be the same as the law of , where is now drawn uniformly from the unit sphere (independently of ). Diagonalising into eigenvalues and eigenvectors , we have

One can think of as a random (complex) Gaussian vector, divided by the magnitude of that vector (which, by the Chernoff inequality, will concentrate to ). Thus the coefficients with respect to the orthonormal basis can be thought of as independent (complex) Gaussian vectors, divided by that magnitude. Using this and the Chernoff inequality again, we see (for distance away from the real axis at least) that one has the concentration of measure

and thus

(that is to say, the diagonal entries of are roughly constant). Similarly we have

Inserting this into (5) and discarding terms of size , we thus conclude the approximate relationship

This can be viewed as a difference equation for the Stieltjes transform of top left minors of . Iterating this equation, and formally replacing the difference equation by a differential equation in the large limit, we see that when is large and for some , one expects the top left minor of to have Stieltjes transform

where solves the Burgers-type equation

with initial data .

Example 1 If is a constant multiple of the identity, then . One checks that is a steady state solution to (7), which is unsurprising given that all minors of are also times the identity.

Example 2 If is GUE normalised so that each entry has variance , then by the semi-circular law (see previous notes) one has (using an appropriate branch of the square root). One can then verify the self-similar solution

to (7), which is consistent with the fact that a top minor of also has the law of GUE, with each entry having variance when .

One can justify the approximation (6) given a sufficiently good well-posedness theory for the equation (7). We will not do so here, but will note that (as with the classical inviscid Burgers equation) the equation can be solved exactly (formally, at least) by the method of characteristics. For any initial position , we consider the characteristic flow formed by solving the ODE

with initial data , ignoring for this discussion the problems of existence and uniqueness. Then from the chain rule, the equation (7) implies that

and thus . Inserting this back into (8) we see that

and thus (7) may be solved implicitly via the equation

for all and .

Remark 3 In practice, the equation (9) may stop working when crosses the real axis, as (7) does not necessarily hold in this region. It is a cute exercise (ultimately coming from the Cauchy-Schwarz inequality) to show that this crossing always happens, for instance if has positive imaginary part then necessarily has negative or zero imaginary part.

Example 4 Suppose we have as in Example 1. Then (9) becomes

for any , which after making the change of variables becomes

as in Example 1.

Example 5 Suppose we have

as in Example 2. Then (9) becomes

If we write

one can calculate that

and hence

which gives

One can recover the spectral measure from the Stieltjes transform as the weak limit of as ; we write this informally as

In this informal notation, we have for instance that

which can be interpreted as the fact that the Cauchy distributions converge weakly to the Dirac mass at as . Similarly, the spectral measure associated to (10) is the semicircular measure .

If we let be the spectral measure associated to , then the curve from to the space of measures is the high-dimensional limit of a Gelfand-Tsetlin pattern (discussed in this previous post), if the pattern is randomly generated amongst all matrices with spectrum asymptotic to as . For instance, if , then the curve is , corresponding to a pattern that is entirely filled with ‘s. If instead is a semicircular distribution, then the pattern is

thus at height from the top, the pattern is semicircular on the interval . The interlacing property of Gelfand-Tsetlin patterns translates to the claim that (resp. ) is non-decreasing (resp. non-increasing) in for any fixed . In principle one should be able to establish these monotonicity claims directly from the PDE (7) or from the implicit solution (9), but it was not clear to me how to do so.

An interesting example of such a limiting Gelfand-Tsetlin pattern occurs when , which corresponds to being , where is an orthogonal projection to a random -dimensional subspace of . Here we have

and so (9) in this case becomes

A tedious calculation then gives the solution

For , there are simple poles at , and the associated measure is

This reflects the interlacing property, which forces of the eigenvalues of the minor to be equal to (resp. ). For , the poles disappear and one just has

For , one has an inverse semicircle distribution

There is presumably a direct geometric explanation of this fact (basically describing the singular values of the product of two random orthogonal projections to half-dimensional subspaces of ), but I do not know of one off-hand.

The evolution of can also be understood using the -transform and -transform from free probability. Formally, letlet be the inverse of , thus

for all , and then define the -transform

The equation (9) may be rewritten as

and hence

or equivalently

See these previous notes for a discussion of free probability topics such as the -transform.

Example 6 If then the transform is .

Example 7 If is given by (10), then the transform is

Example 8 If is given by (11), then the transform is

This simple relationship (12) is essentially due to Nica and Speicher (thanks to Dima Shylakhtenko for this reference). It has the remarkable consequence that when is the reciprocal of a natural number , then is the free arithmetic mean of copies of , that is to say is the free convolution of copies of , pushed forward by the map . In terms of random matrices, this is asserting that the top minor of a random matrix has spectral measure approximately equal to that of an arithmetic mean of independent copies of , so that the process of taking top left minors is in some sense a continuous analogue of the process of taking freely independent arithmetic means. There ought to be a geometric proof of this assertion, but I do not know of one. In the limit (or ), the -transform becomes linear and the spectral measure becomes semicircular, which is of course consistent with the free central limit theorem.

In a similar vein, if one defines the function

and inverts it to obtain a function with

for all , then the -transform is defined by

Writing

for any , , we have

and so (9) becomes

which simplifies to

replacing by we obtain

and thus

and hence

One can compute to be the -transform of the measure ; from the link between -transforms and free products (see e.g. these notes of Guionnet), we conclude that is the free product of and . This is consistent with the random matrix theory interpretation, since is also the spectral measure of , where is the orthogonal projection to the span of the first basis elements, so in particular has spectral measure . If is unitarily invariant then (by a fundamental result of Voiculescu) it is asymptotically freely independent of , so the spectral measure of is asymptotically the free product of that of and of .

Continuous analogues of the Schur and skew Schur polynomials

Fix a non-negative integer . Define an (weak) integer partition of length to be a tuple of non-increasing non-negative integers . (Here our partitions are “weak” in the sense that we allow some parts of the partition to be zero. Henceforth we will omit the modifier “weak”, as we will not need to consider the more usual notion of “strong” partitions.) To each such partition , one can associate a Young diagram consisting of left-justified rows of boxes, with the row containing boxes. A semi-standard Young tableau (or Young tableau for short) of shape is a filling of these boxes by integers in that is weakly increasing along rows (moving rightwards) and strictly increasing along columns (moving downwards). The collection of such tableaux will be denoted . The weight of a tableau is the tuple , where is the number of occurrences of the integer in the tableau. For instance, if and , an example of a Young tableau of shape would be

The weight here would be .

To each partition one can associate the Schur polynomial on variables , which we will define as

using the multinomial convention

Thus for instance the Young tableau given above would contribute a term to the Schur polynomial . In the case of partitions of the form , the Schur polynomial is just the complete homogeneous symmetric polynomial of degree on variables:

thus for instance

Schur polyomials are ubiquitous in the algebraic combinatorics of “type objects” such as the symmetric group , the general linear group , or the unitary group . For instance, one can view as the character of an irreducible polynomial representation of associated with the partition . However, we will not focus on these interpretations of Schur polynomials in this post.

This definition of Schur polynomials allows for a way to describe the polynomials recursively. If and is a Young tableau of shape , taking values in , one can form a sub-tableau of some shape by removing all the appearances of (which, among other things, necessarily deletes the row). For instance, with as in the previous example, the sub-tableau would be

and the reduced partition in this case is . As Young tableaux are required to be strictly increasing down columns, we can see that the reduced partition must intersperse the original partition in the sense that

for all ; we denote this interspersion relation as (though we caution that this is not intended to be a partial ordering). In the converse direction, if and is a Young tableau with shape with entries in , one can form a Young tableau with shape and entries in by appending to an entry of in all the boxes that appear in the shape but not the shape. This one-to-one correspondence leads to the recursion

where , , and the size of a partition is defined as .

One can use this recursion (2) to prove some further standard identities for Schur polynomials, such as the determinant identity

for , where denotes the Vandermonde determinant

or the Jacobi-Trudi identity

with the convention that if is negative. Thus for instance

We review the (standard) derivation of these identities via (2) below the fold. Among other things, these identities show that the Schur polynomials are symmetric, which is not immediately obvious from their definition.

One can also iterate (2) to write

where the sum is over all tuples , where each is a partition of length that intersperses the next partition , with set equal to . We will call such a tuple an integral Gelfand-Tsetlin pattern based at .

One can generalise (6) by introducing the skew Schur functions

for , whenever is a partition of length and a partition of length for some , thus the Schur polynomial is also the skew Schur polynomial with . (One could relabel the variables here to be something like instead, but this labeling seems slightly more natural, particularly in view of identities such as (8) below.)

By construction, we have the decomposition

whenever , and are partitions of lengths respectively. This gives another recursive way to understand Schur polynomials and skew Schur polynomials. For instance, one can use it to establish the generalised Jacobi-Trudi identity

with the convention that for larger than the length of ; we do this below the fold.

The Schur polynomials (and skew Schur polynomials) are “discretised” (or “quantised”) in the sense that their parameters are required to be integer-valued, and their definition similarly involves summation over a discrete set. It turns out that there are “continuous” (or “classical”) analogues of these functions, in which the parameters now take real values rather than integers, and are defined via integration rather than summation. One can view these continuous analogues as a “semiclassical limit” of their discrete counterparts, in a manner that can be made precise using the machinery of geometric quantisation, but we will not do so here.

The continuous analogues can be defined as follows. Define a real partition of length to be a tuple where are now real numbers. We can define the relation of interspersion between a length real partition and a length real partition precisely as before, by requiring that the inequalities (1) hold for all . We can then define the continuous Schur functions for recursively by defining

and

for and of length , where and the integral is with respect to -dimensional Lebesgue measure, and as before. Thus for instance

and

More generally, we can define the continuous skew Schur functions for of length , of length , and recursively by defining

and

for . Thus for instance

and

By expanding out the recursion, one obtains the analogue

of (6), and more generally one has

We will call the tuples in the first integral real Gelfand-Tsetlin patterns based at . The analogue of (8) is then

where the integral is over all real partitions of length , with Lebesgue measure.

By approximating various integrals by their Riemann sums, one can relate the continuous Schur functions to their discrete counterparts by the limiting formula

as for any length real partition and any , where

and

More generally, one has

as for any length real partition , any length real partition with , and any .

As a consequence of these limiting formulae, one expects all of the discrete identities above to have continuous counterparts. This is indeed the case; below the fold we shall prove the discrete and continuous identities in parallel. These are not new results by any means, but I was not able to locate a good place in the literature where they are explicitly written down, so I thought I would try to do so here (primarily for my own internal reference, but perhaps the calculations will be worthwhile to some others also).

Dodgson condensation from Schur complementation

The determinant of an matrix (with coefficients in an arbitrary field) obey many useful identities, starting of course with the fundamental multiplicativity for matrices . This multiplicativity can in turn be used to establish many further identities; in particular, as shown in this previous post, it implies the Schur determinant identity

whenever is an invertible matrix, is an matrix, is a matrix, and is a matrix. The matrix is known as the Schur complement of the block .

I only recently discovered that this identity in turn immediately implies what I always found to be a somewhat curious identity, namely the Dodgson condensation identity (also known as the Desnanot-Jacobi identity)

for any and matrix , where denotes the matrix formed from by removing the row and column, and similarly denotes the matrix formed from by removing the and rows and and columns. Thus for instance when we obtain

for any scalars . (Charles Dodgson, better known by his pen name Lewis Caroll, is of course also known for writing “Alice in Wonderland” and “Through the Looking Glass“.)

The derivation is not new; it is for instance noted explicitly in this paper of Brualdi and Schneider, though I do not know if this is the earliest place in the literature where it can be found. (EDIT: Apoorva Khare has pointed out to me that the original arguments of Dodgson can be interpreted as implicitly following this derivation.) I thought it is worth presenting the short derivation here, though.

Firstly, by swapping the first and rows, and similarly for the columns, it is easy to see that the Dodgson condensation identity is equivalent to the variant

Now write

where is an matrix, are column vectors, are row vectors, and are scalars. If is invertible, we may apply the Schur determinant identity repeatedly to conclude that

and the claim (2) then follows by a brief calculation (and the explicit form of the determinant). To remove the requirement that be invertible, one can use a limiting argument, noting that one can work without loss of generality in an algebraically closed field, and in such a field, the set of invertible matrices is dense in the Zariski topology. (In the case when the scalars are reals or complexes, one can just use density in the ordinary topology instead if desired.)

The same argument gives the more general determinant identity of Sylvester

whenever , is a -element subset of , and denotes the matrix formed from by removing the rows associated to and the columns associated to . (The Dodgson condensation identity is basically the case of this identity.)

A closely related proof of (2) proceeds by elementary row and column operations. Observe that if one adds some multiple of one of the first rows of to one of the last two rows of , then the left and right sides of (2) do not change. If the minor is invertible, this allows one to reduce to the case where the components of the matrix vanish. Similarly, using elementary column operations instead of row operations we may assume that vanish. All matrices involved are now block-diagonal and the identity follows from a routine computation.

The latter approach can also prove the cute identity

for any , any column vectors , and any matrix , which can for instance be found in page 7 of this text of Karlin. Observe that both sides of this identity are unchanged if one adds some multiple of any column of to one of ; for generic , this allows one to reduce to have only the first two entries allowed to be non-zero, at which point the determinants split into and determinants and we can reduce to the case (eliminating the role of ). One can now either proceed by a direct computation, or by observing that the left-hand side is quartilinear in and antisymmetric in and which forces it to be a scalar multiple of , at which point one can test the identity at a single point (e.g. and for the standard basis ) to conclude the argument. (One can also derive this identity from the Sylvester determinant identity but I think the calculations are a little messier if one goes by that route. Conversely, one can recover the Dodgson condensation identity from Karlin’s identity by setting , (for instance) and then permuting some rows and columns.)

PCMI lecture notes on random matrix theory

In July I will be spending a week at Park City, being one of the mini-course lecturers in the Graduate Summer School component of the Park City Summer Session on random matrices.  I have chosen to give some lectures on least singular values of random matrices, the circular law, and the Lindeberg exchange method in random matrix theory; this is a slightly different set of topics than I had initially advertised (which was instead about the Lindeberg exchange method and the local relaxation flow method), but after consulting with the other mini-course lecturers I felt that this would be a more complementary set of topics.  I have uploaded an draft of my lecture notes (some portion of which is derived from my monograph on the subject); as always, comments and corrections are welcome.

[Update, June 23: notes revised and reformatted to PCMI format. -T.]

 

[Update, Mar 19 2018: further revision. -T.]

Quantitative continuity estimates

Suppose is a continuous (but nonlinear) map from one normed vector space to another . The continuity means, roughly speaking, that if are such that is small, then is also small (though the precise notion of “smallness” may depend on or , particularly if is not known to be uniformly continuous). If is known to be differentiable (in, say, the Fréchet sense), then we in fact have a linear bound of the form

for some depending on , if is small enough; one can of course make independent of (and drop the smallness condition) if is known instead to be Lipschitz continuous.

In many applications in analysis, one would like more explicit and quantitative bounds that estimate quantities like in terms of quantities like . There are a number of ways to do this. First of all, there is of course the trivial estimate arising from the triangle inequality:

This estimate is usually not very good when and are close together. However, when and are far apart, this estimate can be more or less sharp. For instance, if the magnitude of varies so much from to that is more than (say) twice that of , or vice versa, then (1) is sharp up to a multiplicative constant. Also, if is oscillatory in nature, and the distance between and exceeds the “wavelength” of the oscillation of at (or at ), then one also typically expects (1) to be close to sharp. Conversely, if does not vary much in magnitude from to , and the distance between and is less than the wavelength of any oscillation present in , one expects to be able to improve upon (1).

When is relatively simple in form, one can sometimes proceed simply by substituting . For instance, if is the squaring function in a commutative ring , one has

and thus

or in terms of the original variables one has

If the ring is not commutative, one has to modify this to

Thus, for instance, if are matrices and denotes the operator norm, one sees from the triangle inequality and the sub-multiplicativity of operator norm that

If involves (or various components of ) in several places, one can sometimes get a good estimate by “swapping” with at each of the places in turn, using a telescoping series. For instance, if we again use the squaring function in a non-commutative ring, we have

which for instance leads to a slight improvement of (2):

More generally, for any natural number , one has the identity

in a commutative ring, while in a non-commutative ring one must modify this to

and for matrices one has

Exercise 1 If and are unitary matrices, show that the commutator obeys the inequality

(Hint: first control .)

Now suppose (for simplicity) that is a map between Euclidean spaces. If is continuously differentiable, then one can use the fundamental theorem of calculus to write

where is any continuously differentiable path from to . For instance, if one uses the straight line path , one has

In the one-dimensional case , this simplifies to

Among other things, this immediately implies the factor theorem for functions: if is a function for some that vanishes at some point , then factors as the product of and some function . Another basic consequence is that if is uniformly bounded in magnitude by some constant , then is Lipschitz continuous with the same constant .

Applying (4) to the power function , we obtain the identity

which can be compared with (3). Indeed, for and close to , one can use logarithms and Taylor expansion to arrive at the approximation , so (3) behaves a little like a Riemann sum approximation to (5).

Exercise 2 For each , let and be random variables taking values in a measurable space , and let be a bounded measurable function.

• (i) (Lindeberg exchange identity) Show that

  

  

  

• (ii) (Knowles-Yin exchange identity) Show that

  

  

  

  where is a mixture of and , with uniformly drawn from independently of each other and of the .

• (iii) Discuss the relationship between the identities in parts (i), (ii) with the identities (3), (5).

(The identity in (i) is the starting point for the Lindeberg exchange method in probability theory, discussed for instance in this previous post. The identity in (ii) can also be used in the Lindeberg exchange method; the terms in the right-hand side are slightly more symmetric in the indices , which can be a technical advantage in some applications; see this paper of Knowles and Yin for an instance of this.)

Exercise 3 If is continuously times differentiable, establish Taylor’s theorem with remainder

If is bounded, conclude that

For real scalar functions , the average value of the continuous real-valued function must be attained at some point in the interval . We thus conclude the mean-value theorem

for some (that can depend on , , and ). This can for instance give a second proof of fact that continuously differentiable functions with bounded derivative are Lipschitz continuous. However it is worth stressing that the mean-value theorem is only available for real scalar functions; it is false for instance for complex scalar functions. A basic counterexample is given by the function ; there is no for which . On the other hand, as has magnitude , we still know from (4) that is Lipschitz of constant , and when combined with (1) we obtain the basic bounds

which are already very useful for many applications.

Exercise 4 Let be matrices, and let be a non-negative real.

• (i) Establish the Duhamel formula

  

  

  where denotes the matrix exponential of . (Hint: Differentiate or in .)

• (ii) Establish the iterated Duhamel formula

  

  

  

  

  for any .

• (iii) Establish the infinitely iterated Duhamel formula

  

  

• (iv) If is an matrix depending in a continuously differentiable fashion on , establish the variation formula

  

  where is the adjoint representation applied to , and is the function

  

  (thus for non-zero ), with defined using functional calculus.

We remark that further manipulation of (iv) of the above exercise using the fundamental theorem of calculus eventually leads to the Baker-Campbell-Hausdorff-Dynkin formula, as discussed in this previous blog post.

Exercise 5 Let be positive definite matrices, and let be an matrix. Show that there is a unique solution to the Sylvester equation

which is given by the formula

In the above examples we had applied the fundamental theorem of calculus along linear curves . However, it is sometimes better to use other curves. For instance, the circular arc can be useful, particularly if and are “orthogonal” or “independent” in some sense; a good example of this is the proof by Maurey and Pisier of the gaussian concentration inequality, given in Theorem 8 of this previous blog post. In a similar vein, if one wishes to compare a scalar random variable of mean zero and variance one with a Gaussian random variable of mean zero and variance one, it can be useful to introduce the intermediate random variables (where and are independent); note that these variables have mean zero and variance one, and after coupling them together appropriately they evolve by the Ornstein-Uhlenbeck process, which has many useful properties. For instance, one can use these ideas to establish monotonicity formulae for entropy; see e.g. this paper of Courtade for an example of this and further references. More generally, one can exploit curves that flow according to some geometrically natural ODE or PDE; several examples of this occur famously in Perelman’s proof of the Poincaré conjecture via Ricci flow, discussed for instance in this previous set of lecture notes.

In some cases, it is difficult to compute or the derivative directly, but one can instead proceed by implicit differentiation, or some variant thereof. Consider for instance the matrix inversion map (defined on the open dense subset of matrices consisting of invertible matrices). If one wants to compute for close to , one can write temporarily write , thus

Multiplying both sides on the left by to eliminate the term, and on the right by to eliminate the term, one obtains

and thus on reversing these steps we arrive at the basic identity

For instance, if are matrices, and we consider the resolvents

then we have the resolvent identity

as long as does not lie in the spectrum of or (for instance, if , are self-adjoint then one can take to be any strictly complex number). One can iterate this identity to obtain

for any natural number ; in particular, if has operator norm less than one, one has the Neumann series

Similarly, if is a family of invertible matrices that depends in a continuously differentiable fashion on a time variable , then by implicitly differentiating the identity

in using the product rule, we obtain

and hence

(this identity may also be easily derived from (6)). One can then use the fundamental theorem of calculus to obtain variants of (6), for instance by using the curve we arrive at

assuming that the curve stays entirely within the set of invertible matrices. While this identity may seem more complicated than (6), it is more symmetric, which conveys some advantages. For instance, using this identity it is easy to see that if are positive definite with in the sense of positive definite matrices (that is, is positive definite), then . (Try to prove this using (6) instead!)

Exercise 6 If is an invertible matrix and are vectors, establish the Sherman-Morrison formula

whenever is a scalar such that is non-zero. (See also this previous blog post for more discussion of these sorts of identities.)

One can use the Cauchy integral formula to extend these identities to other functions of matrices. For instance, if is an entire function, and is a counterclockwise contour that goes around the spectrum of both and , then we have

and similarly

and hence by (7) one has

similarly, if depends on in a continuously differentiable fashion, then

as long as goes around the spectrum of .

Exercise 7 If is an matrix depending continuously differentiably on , and is an entire function, establish the tracial chain rule

In a similar vein, given that the logarithm function is the antiderivative of the reciprocal, one can express the matrix logarithm of a positive definite matrix by the fundamental theorem of calculus identity

(with the constant term needed to prevent a logarithmic divergence in the integral). Differentiating, we see that if is a family of positive definite matrices depending continuously on , that

This can be used for instance to show that is a monotone increasing function, in the sense that whenever in the sense of positive definite matrices. One can of course integrate this formula to obtain some formulae for the difference of the logarithm of two positive definite matrices .

To compare the square root of two positive definite matrices is trickier; there are multiple ways to proceed. One approach is to use contour integration as before (but one has to take some care to avoid branch cuts of the square root). Another to express the square root in terms of exponentials via the formula

where is the gamma function; this formula can be verified by first diagonalising to reduce to the scalar case and using the definition of the Gamma function. Then one has

and one can use some of the previous identities to control . This is pretty messy though. A third way to proceed is via implicit differentiation. If for instance is a family of positive definite matrices depending continuously differentiably on , we can differentiate the identity

to obtain

This can for instance be solved using Exercise 5 to obtain

and this can in turn be integrated to obtain a formula for . This is again a rather messy formula, but it does at least demonstrate that the square root is a monotone increasing function on positive definite matrices: implies .

Several of the above identities for matrices can be (carefully) extended to operators on Hilbert spaces provided that they are sufficiently well behaved (in particular, if they have a good functional calculus, and if various spectral hypotheses are obeyed). We will not attempt to do so here, however.

AMS open math notes

I just learned (from Emmanuel Kowalski’s blog) that the AMS has just started a repository of open-access mathematics lecture notes.  There are only a few such sets of notes there at present, but hopefully it will grow in the future; I just submitted some old lecture notes of mine from an undergraduate linear algebra course I taught in 2002 (with some updating of format and fixing of various typos).

 

[Update, Dec 22: my own notes are now on the repository.]

Another problem about power series

By an odd coincidence, I stumbled upon a second question in as many weeks about power series, and once again the only way I know how to prove the result is by complex methods; once again, I am leaving it here as a challenge to any interested readers, and I would be particularly interested in knowing of a proof that was not based on complex analysis (or thinly disguised versions thereof), or for a reference to previous literature where something like this identity has occured. (I suspect for instance that something like this may have shown up before in free probability, based on the answer to part (ii) of the problem.)

Here is a purely algebraic form of the problem:

Problem 1 Let be a formal function of one variable . Suppose that is the formal function defined by

where we use to denote the -fold derivative of with respect to the variable .

• (i) Show that can be formally recovered from by the formula

  

  

  

• (ii) There is a remarkable further formal identity relating with that does not explicitly involve any infinite summation. What is this identity?

To rigorously formulate part (i) of this problem, one could work in the commutative differential ring of formal infinite series generated by polynomial combinations of and its derivatives (with no constant term). Part (ii) is a bit trickier to formulate in this abstract ring; the identity in question is easier to state if are formal power series, or (even better) convergent power series, as it involves operations such as composition or inversion that can be more easily defined in those latter settings.

To illustrate Problem 1(i), let us compute up to third order in , using to denote any quantity involving four or more factors of and its derivatives, and similarly for other exponents than . Then we have

and hence

multiplying, we have

and

and hence after a lot of canceling

Thus Problem 1(i) holds up to errors of at least. In principle one can continue verifying Problem 1(i) to increasingly high order in , but the computations rapidly become quite lengthy, and I do not know of a direct way to ensure that one always obtains the required cancellation at the end of the computation.

Problem 1(i) can also be posed in formal power series: if

is a formal power series with no constant term with complex coefficients with , then one can verify that the series

makes sense as a formal power series with no constant term, thus

For instance it is not difficult to show that . If one further has , then it turns out that

as formal power series. Currently the only way I know how to show this is by first proving the claim for power series with a positive radius of convergence using the Cauchy integral formula, but even this is a bit tricky unless one has managed to guess the identity in (ii) first. (In fact, the way I discovered this problem was by first trying to solve (a variant of) the identity in (ii) by Taylor expansion in the course of attacking another problem, and obtaining the transform in Problem 1 as a consequence.)

The transform that takes to resembles both the exponential function

and Taylor’s formula

but does not seem to be directly connected to either (this is more apparent once one knows the identity in (ii)).

246A, Notes 0: the complex numbers

Kronecker is famously reported to have said, “God created the natural numbers; all else is the work of man”. The truth of this statement (literal or otherwise) is debatable; but one can certainly view the other standard number systems as (iterated) completions of the natural numbers in various senses. For instance:

• The integers are the additive completion of the natural numbers (the minimal additive group that contains a copy of ).
• The rationals are the multiplicative completion of the integers (the minimal field that contains a copy of ).
• The reals are the metric completion of the rationals (the minimal complete metric space that contains a copy of ).
• The complex numbers are the algebraic completion of the reals (the minimal algebraically closed field that contains a copy of ).

These descriptions of the standard number systems are elegant and conceptual, but not entirely suitable for constructing the number systems in a non-circular manner from more primitive foundations. For instance, one cannot quite define the reals from scratch as the metric completion of the rationals , because the definition of a metric space itself requires the notion of the reals! (One can of course construct by other means, for instance by using Dedekind cuts or by using uniform spaces in place of metric spaces.) The definition of the complex numbers as the algebraic completion of the reals does not suffer from such a non-circularity issue, but a certain amount of field theory is required to work with this definition initially. For the purposes of quickly constructing the complex numbers, it is thus more traditional to first define as a quadratic extension of the reals , and more precisely as the extension formed by adjoining a square root of to the reals, that is to say a solution to the equation . It is not immediately obvious that this extension is in fact algebraically closed; this is the content of the famous fundamental theorem of algebra, which we will prove later in this course.

The two equivalent definitions of – as the algebraic closure, and as a quadratic extension, of the reals respectively – each reveal important features of the complex numbers in applications. Because is algebraically closed, all polynomials over the complex numbers split completely, which leads to a good spectral theory for both finite-dimensional matrices and infinite-dimensional operators; in particular, one expects to be able to diagonalise most matrices and operators. Applying this theory to constant coefficient ordinary differential equations leads to a unified theory of such solutions, in which real-variable ODE behaviour such as exponential growth or decay, polynomial growth, and sinusoidal oscillation all become aspects of a single object, the complex exponential (or more generally, the matrix exponential ). Applying this theory more generally to diagonalise arbitrary translation-invariant operators over some locally compact abelian group, one arrives at Fourier analysis, which is thus most naturally phrased in terms of complex-valued functions rather than real-valued ones. If one drops the assumption that the underlying group is abelian, one instead discovers the representation theory of unitary representations, which is simpler to study than the real-valued counterpart of orthogonal representations. For closely related reasons, the theory of complex Lie groups is simpler than that of real Lie groups.

Meanwhile, the fact that the complex numbers are a quadratic extension of the reals lets one view the complex numbers geometrically as a two-dimensional plane over the reals (the Argand plane). Whereas a point singularity in the real line disconnects that line, a point singularity in the Argand plane leaves the rest of the plane connected (although, importantly, the punctured plane is no longer simply connected). As we shall see, this fact causes singularities in complex analytic functions to be better behaved than singularities of real analytic functions, ultimately leading to the powerful residue calculus for computing complex integrals. Remarkably, this calculus, when combined with the quintessentially complex-variable technique of contour shifting, can also be used to compute some (though certainly not all) definite integrals of real-valued functions that would be much more difficult to compute by purely real-variable methods; this is a prime example of Hadamard’s famous dictum that “the shortest path between two truths in the real domain passes through the complex domain”.

Another important geometric feature of the Argand plane is the angle between two tangent vectors to a point in the plane. As it turns out, the operation of multiplication by a complex scalar preserves the magnitude and orientation of such angles; the same fact is true for any non-degenerate complex analytic mapping, as can be seen by performing a Taylor expansion to first order. This fact ties the study of complex mappings closely to that of the conformal geometry of the plane (and more generally, of two-dimensional surfaces and domains). In particular, one can use complex analytic maps to conformally transform one two-dimensional domain to another, leading among other things to the famous Riemann mapping theorem, and to the classification of Riemann surfaces.

If one Taylor expands complex analytic maps to second order rather than first order, one discovers a further important property of these maps, namely that they are harmonic. This fact makes the class of complex analytic maps extremely rigid and well behaved analytically; indeed, the entire theory of elliptic PDE now comes into play, giving useful properties such as elliptic regularity and the maximum principle. In fact, due to the magic of residue calculus and contour shifting, we already obtain these properties for maps that are merely complex differentiable rather than complex analytic, which leads to the striking fact that complex differentiable functions are automatically analytic (in contrast to the real-variable case, in which real differentiable functions can be very far from being analytic).

The geometric structure of the complex numbers (and more generally of complex manifolds and complex varieties), when combined with the algebraic closure of the complex numbers, leads to the beautiful subject of complex algebraic geometry, which motivates the much more general theory developed in modern algebraic geometry. However, we will not develop the algebraic geometry aspects of complex analysis here.

Last, but not least, because of the good behaviour of Taylor series in the complex plane, complex analysis is an excellent setting in which to manipulate various generating functions, particularly Fourier series (which can be viewed as boundary values of power (or Laurent) series ), as well as Dirichlet series . The theory of contour integration provides a very useful dictionary between the asymptotic behaviour of the sequence , and the complex analytic behaviour of the Dirichlet or Fourier series, particularly with regard to its poles and other singularities. This turns out to be a particularly handy dictionary in analytic number theory, for instance relating the distribution of the primes to the Riemann zeta function. Nowadays, many of the analytic number theory results first obtained through complex analysis (such as the prime number theorem) can also be obtained by more “real-variable” methods; however the complex-analytic viewpoint is still extremely valuable and illuminating.

We will frequently touch upon many of these connections to other fields of mathematics in these lecture notes. However, these are mostly side remarks intended to provide context, and it is certainly possible to skip most of these tangents and focus purely on the complex analysis material in these notes if desired.

Note: complex analysis is a very visual subject, and one should draw plenty of pictures while learning it. I am however not planning to put too many pictures in these notes, partly as it is somewhat inconvenient to do so on this blog from a technical perspective, but also because pictures that one draws on one’s own are likely to be far more useful to you than pictures that were supplied by someone else.