 Isometry parametrization of a density-matrix ensemble

For the nonzero spectral decomposition $\rho ={\sum }_{a=1}^r{\lambda }_a|e_a⟩⟨e_a|$, every pure-state quantum state ensemble of $\rho$ is specified by the displayed column linear isometry. To prove this, write $w_j=\sqrt{p_j}{\varphi }_j$. Positivity forces each $w_j$ into the support of $\rho$, and the coefficients $U_{ja}=⟨e_a|w_j⟩/\sqrt{{\lambda }_a}$ have orthonormal columns because ${\sum }_j|w_j⟩⟨w_j|=\rho$. Conversely this column identity reconstructs $\rho$; the squared vector norms are the probabilities and sum to one. Complete the columns to unitary bases after adding zero ensemble vectors to obtain the usual unitary-mixing formulation.