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Definite, Semi-Definite and Indefinite Matrices - Mathonline

The document defines positive definite, negative definite, indefinite, and positive/negative semidefinite matrices. A matrix is positive definite if the determinants of its leading principal minors are all positive, and negative definite if the determinants alternate between positive and negative. A matrix is indefinite if its determinant is non-zero but it satisfies neither of the above. Semidefinite matrices have a determinant of zero. Two examples classify matrices as positive definite or negative definite based on the signs of the leading principal minor determinants.

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192 views1 page

Definite, Semi-Definite and Indefinite Matrices - Mathonline

The document defines positive definite, negative definite, indefinite, and positive/negative semidefinite matrices. A matrix is positive definite if the determinants of its leading principal minors are all positive, and negative definite if the determinants alternate between positive and negative. A matrix is indefinite if its determinant is non-zero but it satisfies neither of the above. Semidefinite matrices have a determinant of zero. Two examples classify matrices as positive definite or negative definite based on the signs of the leading principal minor determinants.

Uploaded by

Intan Citra
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© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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10/26/2020 Definite, Semi-Definite and Indefinite Matrices - Mathonline

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Definite, Semi-Definite and Indefinite Matrices


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Definite, Semi-Definite and Indefinite Matrices
Example 1
Example 2

Definite, Semi-Definite and Indefinite Matrices


We are about to look at an important type of matrix in multivariable calculus known as Hessian Matrices. We will then formulate a generalized second
derivatives test for a real-valued function z = f (x1 , x2 , . . . , xn ) of n variables with continuous partial derivatives at a critical point
a = (a1 , a2 , . . . , an ) ∈ D(f ) to determine whether f (a) is a local maximum value, local minimum value, or saddle point of f .

Before we do this though, we will need to be able to analyze whether a square n × n symmetric matrix is positive definite, negative definite, indefinite, or
positive/negative semidefinite. These terms are more properly defined in Linear Algebra and relate to what are known as eigenvalues of a matrix. We will
now go into the specifics here, however, the definition below will be sufficient for what we need.

a11 a12 ⋯ a1n ∣ a11 a12 ⋯ a1i ∣


⎡ ⎤
∣ ∣
a21 a22 ⋯ a2n a21 a22 ⋯ a2i
⎢ ⎥
∣ ∣
Definition: Let A = ⎢
⎢
⎥
⎥
be an n × n symmetric matrix, and let Di = for i = 1, 2, . . . , n . Then:
∣ ∣
⎢ ⎥
⋮ ⋮ ⋱ ⋮ ⋮ ⋮ ⋱ ⋮
∣ ∣
⎣ ⎦
an1 an2 ⋯ ann ∣ ai1 ai2 ⋯ aii ∣

a) A is said to be Positive Definite if Di > 0 for i = 1, 2, . . . , n .


b) A is said to be Negative Definite if Di < 0 for odd i ∈ {1, 2, . . . , n} and Di > 0 for even i ∈ {1, 2, . . . , n} .
c) A is said to be Indefinite if det(A) = Dn ≠ 0 and neither a) nor b) hold.
d) If det(A) = Dn = 0 , then A may be Indefinite or what is known Positive Semidefinite or Negative Semidefinite.

∣ a11 a12 ∣
The values Di for i = 1, 2, . . . , n are the values of the determinants of the i × i top left submatrices of A. Note that D1 = a11 , D2 = ∣ ∣ , etc…
∣ a21 a22 ∣

Let's look at some examples of classifying square symmetric matrices.

Example 1
6 4
Classify the following square symmetric matrix A = [ ] as positive definite, negative definite, indefinite, or unknown.
4 5

∣6 4∣
We have that D1 = 6 > 0 , and D2 = ∣ ∣ = 30 − 16 = 14 > 0 . Therefore, A is a positive definite matrix.
∣4 5∣

Example 2
−3 0 0
⎡ ⎤
Classify the following square symmetric matrix 0 −2 0 as positive definite, negative definite, indefinite, or unknown.
⎣ ⎦
0 0 −1

∣ −3 0 0 ∣
∣ −3 0 ∣ ∣ ∣
We have that D1 = −3 < 0 and D2 = ∣ ∣ = 6 > 0 . The matrix A is known as a diagonal matrix, and the determinant D3 = 0 −2 0
∣ 0 ∣ ∣
−2 ∣
∣ 0 0 −1 ∣

can be computed as the product of the entries in the main diagonal, that is D3 = (−3)(−2)(−1) = −6 < 0 .
Since D1 , D3 < 0 and D2 > 0 , we have that A is a negative definite matrix.

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