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To prove Kantorovich inequality (for that we suppose the matrix A symmetric and definite positive) I need to demonstrate the next exercise:

Prove that

$$(x^TAx)(x^TA^{-1}x) \leq \frac{(\lambda_1 + \lambda_n)^2}{4\lambda_1 \lambda_n} || x||_2^4 \quad \forall x \in \mathbb{R}^n $$

is equivalent to

$$(x^TAx)(x^TA^{-1}x) \leq \frac{(\lambda_1 + \lambda_n)^2}{4\lambda_1 \lambda_n} \quad \forall x \in \mathbb{R}^n,||x||_2=1 $$

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  • $\begingroup$ Both sides of the inequality are homogeneous of degree $4$. Therefore, scaling does not change anything. $\endgroup$ May 24, 2015 at 18:03

1 Answer 1

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The part that requires work is $\Leftarrow$.

Suppose that $(x^TAx)(x^TA^{-1}x) \leq \frac{(\lambda_1 + \lambda_n)^2}{4\lambda_1 \lambda_n} \quad \forall x \in \mathbb{R}^n,||x||_2=1$

Let $x\in \mathbb R^n\setminus\{0\}$

Let $y=\frac{x}{||x||}$

Since $||y||=1$, one has $$(y^TAy)(y^TA^{-1}y)\leq \frac{(\lambda_1 + \lambda_n)^2}{4\lambda_1 \lambda_n}$$

which is equivalent to $$\frac{1}{||x||^4}(x^TAx)(x^TA^{-1}x) \leq \frac{(\lambda_1 + \lambda_n)^2}{4\lambda_1 \lambda_n}$$

This proves the claim.

Also, http://www.math.rice.edu/~njd2/documents/inequalities.pdf might improve your understanding of scaling in inequalities.

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