In mathematics, particularly in linear algebra, the Schur product theorem states that the Hadamard product of two positive definite matrices is also a positive definite matrix. The result is named after Issai Schur (Schur 1911, p. 14, Theorem VII) (note that Schur signed as J. Schur in Journal für die reine und angewandte Mathematik.) The converse of the theorem holds in the following sense: if M {\displaystyle M} is a symmetric matrix and the Hadamard product M ∘ N {\displaystyle M\circ N} is positive definite for all positive definite matrices N {\displaystyle N} , then M {\displaystyle M} itself is positive definite.
Proof
Proof using the trace formula For any matrices M {\displaystyle M} and N {\displaystyle N} , the Hadamard product M ∘ N {\displaystyle M\circ N} considered as a bilinear form acts on vectors a , b {\displaystyle a,b} as
a ∗ ( M ∘ N ) b = tr ( M T diag ( a ∗ ) N diag ( b ) ) {\displaystyle a^{*}(M\circ N)b=\operatorname {tr} \left(M^{\textsf {T}}\operatorname {diag} \left(a^{*}\right)N\operatorname {diag} (b)\right)}
where tr {\displaystyle \operatorname {tr} } is the matrix trace and diag ( a ) {\displaystyle \operatorname {diag} (a)} is the diagonal matrix having as diagonal entries the elements of a {\displaystyle a} . Suppose M {\displaystyle M} and N {\displaystyle N} are positive definite, and so Hermitian. We can consider their square-roots M 1 2 {\displaystyle M^{\frac {1}{2}}} and N 1 2 {\displaystyle N^{\frac {1}{2}}} , which are also Hermitian, and write
tr ( M T diag ( a ∗ ) N diag ( b ) ) = tr ( M ¯ 1 2 M ¯ 1 2 diag ( a ∗ ) N 1 2 N 1 2 diag ( b ) ) = tr ( M ¯ 1 2 diag ( a ∗ ) N 1 2 N 1 2 diag ( b ) M ¯ 1 2 ) {\displaystyle \operatorname {tr} \left(M^{\textsf {T}}\operatorname {diag} \left(a^{*}\right)N\operatorname {diag} (b)\right)=\operatorname {tr} \left({\overline {M}}^{\frac {1}{2}}{\overline {M}}^{\frac {1}{2}}\operatorname {diag} \left(a^{*}\right)N^{\frac {1}{2}}N^{\frac {1}{2}}\operatorname {diag} (b)\right)=\operatorname {tr} \left({\overline {M}}^{\frac {1}{2}}\operatorname {diag} \left(a^{*}\right)N^{\frac {1}{2}}N^{\frac {1}{2}}\operatorname {diag} (b){\overline {M}}^{\frac {1}{2}}\right)}
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