Past exam of the mathematics course of the University of Cambridge / 2008 / ib / Paper 4 / 10E / Solution

A Hermitian matrix satisfies $A=A^{†}$, where $†$ means conjugate transpose. If $Av=\lambda v$ with $v\ne 0$, then $v^{†}Av=\lambda \Vert v{\Vert }^2$ is real, since it equals its complex conjugate $v^{†}{A}^{†}v$. Thus every eigenvalue is real. To prove the finite-dimensional spectral theorem, choose a unit eigenvector $v$; one exists because the complex characteristic polynomial has a root. Its orthogonal complement is invariant, since for $w\perp v$,The restriction to that complement is again Hermitian. Induction on dimension supplies an orthonormal basis of eigenvectors, so $A=U\mathrm{diag}({\lambda }_1,\dots ,{\lambda }_n)U^{†}$ for a unitary matrix $U$.

In this basis, $x^{†}Ax={\sum }_i{\lambda }_i|(U^{†}x{)}_i{|}^2$. Therefore $\boxed{A>0⟺{\lambda }_i>0\text{ for every }i}$. In that case the square root of a matrixis Hermitian, positive definite and satisfies $C^2=A$. For uniqueness, any positive-definite Hermitian $D$ satisfying $D^2=A$ commutes with $A$ and hence preserves each eigenspace of $A$. Its restriction to the $\lambda$-eigenspace is Hermitian, and its positive eigenvalues all solve ${\mu }^2=\lambda$. Thus that restriction is $\sqrt{\lambda }I$, forcing $D=C$. This is the principal square root of a positive semidefinite matrix, here strictly positive definite.

Now let $D=\sqrt{B}$ and $X=C-D$. Expanding without assuming that $C$ and $D$ commute givesThe Hermitian matrix $X$ has $X^2\ge 0$ because $v^{†}{X}^{2}v=\Vert Xv{\Vert }^2$, whereas $A-B>0$. Hence $CX+XC>0$. If $Xv=\mu v$, $v\ne 0$, thenSince $C>0$, every real eigenvalue $\mu$ of $X$ is positive. The positive-eigenvalue criterion now gives the strict finite-dimensional operator monotonicity of the square root: