Mathematical Economics:

Lecture 11

Yu Ren
WISE, Xiamen University

November 5, 2012
 Chapter 16: Quadratic Forms and Definite Matrices

Outline

1 Chapter 16: Quadratic Forms and Definite

Matrices

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Yu Ren Mathematical Economics: Lecture 11

 Chapter 16: Quadratic Forms and Definite Matrices

New Section

Chapter 16: Quadratic

Forms and Definite
Matrices
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Yu Ren Mathematical Economics: Lecture 11

 Chapter 16: Quadratic Forms and Definite Matrices

Quadratic Forms

Definition: a quadratic form on R n is a

real-valued function P of the form
Q(x1 , · · · , xn ) = i≤j aij xi xj or
Q(X ) = X 0 AX
Example: a11 x12 + a12 x1 x2 + a22 x22

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Yu Ren Mathematical Economics: Lecture 11

 Chapter 16: Quadratic Forms and Definite Matrices

Quadratic Forms

Definition: a quadratic form on R n is a

real-valued function P of the form
Q(x1 , · · · , xn ) = i≤j aij xi xj or
Q(X ) = X 0 AX
Example: a11 x12 + a12 x1 x2 + a22 x22

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Yu Ren Mathematical Economics: Lecture 11

 Chapter 16: Quadratic Forms and Definite Matrices

Definite

positive definite: if X T AX > 0 for all X 6= 0

in R n
negative definite:if X T AX < 0 for all X 6= 0
in R n
positive semi-definite: if X T AX ≥ 0 for all
X 6= 0 in R n
negative semi-definite:if X T AX ≤ 0 for all
X 6= 0 in R n
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Yu Ren Mathematical Economics: Lecture 11

 Chapter 16: Quadratic Forms and Definite Matrices

Definite

positive definite: if X T AX > 0 for all X 6= 0

in R n
negative definite:if X T AX < 0 for all X 6= 0
in R n
positive semi-definite: if X T AX ≥ 0 for all
X 6= 0 in R n
negative semi-definite:if X T AX ≤ 0 for all
X 6= 0 in R n
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Yu Ren Mathematical Economics: Lecture 11

 Chapter 16: Quadratic Forms and Definite Matrices

Definite

positive definite: if X T AX > 0 for all X 6= 0

in R n
negative definite:if X T AX < 0 for all X 6= 0
in R n
positive semi-definite: if X T AX ≥ 0 for all
X 6= 0 in R n
negative semi-definite:if X T AX ≤ 0 for all
X 6= 0 in R n
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Yu Ren Mathematical Economics: Lecture 11

 Chapter 16: Quadratic Forms and Definite Matrices

Definite

positive definite: if X T AX > 0 for all X 6= 0

in R n
negative definite:if X T AX < 0 for all X 6= 0
in R n
positive semi-definite: if X T AX ≥ 0 for all
X 6= 0 in R n
negative semi-definite:if X T AX ≤ 0 for all
X 6= 0 in R n
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Yu Ren Mathematical Economics: Lecture 11

 Chapter 16: Quadratic Forms and Definite Matrices

Submatrix

Definition: Let A be an n × n matrix. A k × k

submatrix of A formed by deleting n − k
columns, say columns i1 , i2 , · · · , in−k and the
same n − k rows i1 , i2 , · · · , in−k from A is
called a k-th order principal submatrix.
The determinant of a k × k principal
submatrix is called a k-th order principal
minor of A.

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 Chapter 16: Quadratic Forms and Definite Matrices

Submatrix: Example

Example 16.2 For a general 3 x 3 matrix

 
a11 a12 a13
 a21 a22 a23 
 
a31 a32 a33

there is one third order principal minor: det(A).

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 Chapter 16: Quadratic Forms and Definite Matrices

Submatrix: Example
Example 16.2
there are three second order principal minors:
 
 a11 a12 
(1)  ,
a21 a22 
 
 a11 a13 
(2)  ,
a31 a33 
 
 a22 a23 
(3)  
a32 a33 
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 Chapter 16: Quadratic Forms and Definite Matrices

Submatrix: Example

Example 16.2
there are three first order principal minors:
(1) |a11 |, formed by deleting the last 2 rows and
columns,
(2) |a22 |, formed by deleting the first and third
rows and the first and third columns,
(3) |a33 |, formed by deleting the first 2 rows and
columns.

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 Chapter 16: Quadratic Forms and Definite Matrices

Leading Principal Minor

Definition: Let A be an n × n matrix. The

k-th order principal submatrix of A obtained
by deleting the last n-k rows and the last n-k
columns from A is called k-th order leading
principal submatrix of A. Its determinant is
called k-th order leading principal minor of
A.
Example 16.2

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 Chapter 16: Quadratic Forms and Definite Matrices

Leading Principal Minor

Definition: Let A be an n × n matrix. The

k-th order principal submatrix of A obtained
by deleting the last n-k rows and the last n-k
columns from A is called k-th order leading
principal submatrix of A. Its determinant is
called k-th order leading principal minor of
A.
Example 16.2

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 Chapter 16: Quadratic Forms and Definite Matrices

Theorems

Theorem 16.1 Let A be an n × n symmetric

matrix. Then,
(a) A is positive definite if and only if all its n
leading principal minors are (strictly) positive

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 Chapter 16: Quadratic Forms and Definite Matrices

Theorems

Theorem 16.1 Let A be an n × n symmetric

matrix. Then,
(b) A is negative definite if and only if its n
leading principal minors alternate in sign as
follows: |A1 | < 0, |A2 | > 0, |A3 | < 0 etc. The k th
order leading principal minor should have the
same sign as (−1)k .

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 Chapter 16: Quadratic Forms and Definite Matrices

Theorems

Theorem 16.1 Let A be an n × n symmetric

matrix. Then,
(c) If some k th order leading principal minor of A
is nonzero but does not fit either of the above
two sign patterns, then A is indefinite.

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 Chapter 16: Quadratic Forms and Definite Matrices

Theorems

Theorem 16.2 Let A be an n × n symmetric

matrix.
Then A is positive semidefinite if and only if
every principal minor of A is ≥ 0;
A is negative semidefinite if and only if every
principal minor of odd order is ≤ 0 and every
principal minor of even order is ≥ 0.

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 Chapter 16: Quadratic Forms and Definite Matrices

Example

Example 16.3 Suppose A is a 4 x 4 symmetric

matrix and, as usual, write |Ai | for its ith order
leading minor.
(a) if |A1 | > 0, |A2 | > 0,|A3 | > 0,|A4 | >
0, then A is positive definite (and conversely) .

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 Chapter 16: Quadratic Forms and Definite Matrices

Example

Example 16.3 Suppose A is a 4 x 4 symmetric

matrix and, as usual, write |Ai | for its ith order
leading minor.
(b) if |A1 | < 0, |A2 | > 0, |A3 | < 0, |A4 | >
0, then A is negative definite (and conversely) .

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 Chapter 16: Quadratic Forms and Definite Matrices

Example

Example 16.3 Suppose A is a 4 x 4 symmetric

matrix and, as usual, write |Ai | for its ith order
leading minor.
(c) if |A1 | > 0, |A2 | > 0, |A3 | = 0, |A4 | <
0, then A is indefinite because of A4 .

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 Chapter 16: Quadratic Forms and Definite Matrices

Example

Example 16.3 Suppose A is a 4 x 4 symmetric

matrix and, as usual, write |Ai | for its ith order
leading minor.
(d) if |A1 | < 0, |A2 | < 0, |A3 | < 0, |A4 | <
0, then A is indefinite because of A2 (and A4) .

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 Chapter 16: Quadratic Forms and Definite Matrices

Example

Example 16.3 Suppose A is a 4 x 4 symmetric

matrix and, as usual, write |Ai | for its ith order
leading minor.
(e) if |A1 | = 0, |A2 | < 0, |A3 | > 0, |A4 | =
0, then A is indefinite because of A2 .

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 Chapter 16: Quadratic Forms and Definite Matrices

Example

Example 16.3 Suppose A is a 4 x 4 symmetric

matrix and, as usual, write |Ai | for its ith order
leading minor.
(f ) if |A1 | > 0, |A2 | = 0, |A3 | > 0, |A4 | >
0, then A is not definite It is not negative
semidefinite, but it may be positive semidefinite.
To check all 15 principal minors of A. If none of
the principal minors are negative, then A is
positive semidefinite. If at least one of them is
negative, A is indefinite.
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 Chapter 16: Quadratic Forms and Definite Matrices

Example

Example 16.3 Suppose A is a 4 x 4 symmetric

matrix and, as usual, write |Ai | for its ith order
leading minor.
(g) if |A1 | = 0, |A2 | > 0, |A3 | = 0, |A4 | >
0, then A is not definite . It may be positive
semidefinite or negative semidefinite. To decide,
one must check all 15 principal minors of A.

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 Chapter 16: Quadratic Forms and Definite Matrices

Example

Example 16.4 Consider

   
23 24
A= and B =
37 47

since |A1 | = 2 and |A2 | = 5, A is positive definite.

since |B1 | = 2 and |B2 | = -2, A is indefinite.

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 Chapter 16: Quadratic Forms and Definite Matrices

Theorems

Definiteness of Diagonal matrix and 2 × 2

matrix in general form
Section 16.3 Equation (9) (10) (11) (12)
page 387

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 Chapter 16: Quadratic Forms and Definite Matrices

Theorems

Definiteness of Diagonal matrix and 2 × 2

matrix in general form
Section 16.3 Equation (9) (10) (11) (12)
page 387

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 Chapter 16: Quadratic Forms and Definite Matrices

Theorems

Theorem 16.3 The quadratic form

Q(x1 , x2 ) = ax12 + 2bx1 x2 + cx22 is positive
(respective ly, negative) definite on the
constraint
 set Ax1 +
 Bx2 = 0 if and only if
0 A B
det  A a b  is negative (respectively,
B b c
positive).

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 Chapter 16: Quadratic Forms and Definite Matrices

Theorems

Theorem 16.4 To determine the definiteness of

a quadratic form Q(X ) = X 0 A X when restricted
to a constraint set given by m linear equations
BX = 0, construct a symmetric matrix H as
follows:  
0 B
H=
BT A
check the signs of the last n − m leading
principal minors of H, starting with the
determinant of H itself.
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 Chapter 16: Quadratic Forms and Definite Matrices

Theorems

(a) If detH has the same sign as (−1)n and

if these last n − m leading principal minors
alternate in sign, then Q is negative definite
on the constraint set BX = 0 and X = 0 is a
strict global max of Q on this constraint set.

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 Chapter 16: Quadratic Forms and Definite Matrices

Theorems

(b) If detH and these last n − m leading

principal minors all have the same sign as
(−1)m , then Q is positive definite on the
constraint set BX = 0, and X = 0 is strict
global min of Q on this constraint set.

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 Chapter 16: Quadratic Forms and Definite Matrices

Theorems

(c) If both of these conditions (a) and (b)

are violated by nonzero leading principal
minors, then Q is indefinite on the
constraint set BX = 0.
Remark in p390

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 Chapter 16: Quadratic Forms and Definite Matrices

Theorems

(c) If both of these conditions (a) and (b)

are violated by nonzero leading principal
minors, then Q is indefinite on the
constraint set BX = 0.
Remark in p390

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 Chapter 16: Quadratic Forms and Definite Matrices

Example

Example 16.7 To check the definiteness of

Q(x1 , x2 , x3 , x4 ) = x12 −x22 +x32 +x42 +4x2 x3 −2x1 x4

on the constraint set

x2 + x3 + x4 = 0, x1 − 9x2 + x4 = 0 ,

from the bordered matrix

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 Chapter 16: Quadratic Forms and Definite Matrices

Example
Example 16.7
 
0 0|0 1 1 1

 0 0 | 1 -9 0 1 
− − − − − − −
 

 
H6 = 
 0 1 | 1 0 0 -1 

 1 -9 | 0 -1 2 0 

1 0|0 2 1 0
 

1 1|0 0 0 1
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 Chapter 16: Quadratic Forms and Definite Matrices

Example
since the problem has n = 4 variables and m = 2
constraints, we need to check the largest n - m
= 2 leading principle submatrices of H6 : H6 itself
and
0 0|0 1 1
 
 0 0 | 1 -9 0 
 
 − − − − −−
H5 = 
 
 0 1|1 0 0

 
 1 -9 | 0 -1 2 
1 0|0 2 1
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 Chapter 16: Quadratic Forms and Definite Matrices

Example

since m = 2 and (−1)2 = +1, detH6 = 24 > 0,

detH5 = 77 > 0, so Q is positive definite on the
constraint set, and x = 0 is a min of Q restricted
to the constraint set.

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Yu Ren Mathematical Economics: Lecture 11