feat: port Analysis.InnerProductSpace.Rayleigh (#4920)

Co-authored-by: Jireh Loreaux <loreaujy@gmail.com>

Mathlib.lean

@@ -594,6 +594,7 @@ import Mathlib.Analysis.InnerProductSpace.Orthogonal
 import Mathlib.Analysis.InnerProductSpace.PiL2
 import Mathlib.Analysis.InnerProductSpace.Positive
 import Mathlib.Analysis.InnerProductSpace.Projection
+import Mathlib.Analysis.InnerProductSpace.Rayleigh
 import Mathlib.Analysis.InnerProductSpace.Symmetric
 import Mathlib.Analysis.InnerProductSpace.TwoDim
 import Mathlib.Analysis.InnerProductSpace.l2Space

Mathlib/Analysis/InnerProductSpace/Rayleigh.lean

@@ -0,0 +1,295 @@
+/-
+Copyright (c) 2021 Heather Macbeth. All rights reserved.
+Released under Apache 2.0 license as described in the file LICENSE.
+Authors: Heather Macbeth, Frédéric Dupuis
+
+! This file was ported from Lean 3 source module analysis.inner_product_space.rayleigh
+! leanprover-community/mathlib commit 6b0169218d01f2837d79ea2784882009a0da1aa1
+! Please do not edit these lines, except to modify the commit id
+! if you have ported upstream changes.
+-/
+import Mathlib.Analysis.InnerProductSpace.Calculus
+import Mathlib.Analysis.InnerProductSpace.Dual
+import Mathlib.Analysis.InnerProductSpace.Adjoint
+import Mathlib.Analysis.Calculus.LagrangeMultipliers
+import Mathlib.LinearAlgebra.Eigenspace.Basic
+
+/-!
+# The Rayleigh quotient
+
+The Rayleigh quotient of a self-adjoint operator `T` on an inner product space `E` is the function
+`λ x, ⟪T x, x⟫ / ‖x‖ ^ 2`.
+
+The main results of this file are `IsSelfAdjoint.hasEigenvector_of_isMaxOn` and
+`IsSelfAdjoint.hasEigenvector_of_isMinOn`, which state that if `E` is complete, and if the
+Rayleigh quotient attains its global maximum/minimum over some sphere at the point `x₀`, then `x₀`
+is an eigenvector of `T`, and the `iSup`/`iInf` of `λ x, ⟪T x, x⟫ / ‖x‖ ^ 2` is the corresponding
+eigenvalue.
+
+The corollaries `LinearMap.IsSymmetric.hasEigenvalue_iSup_of_finiteDimensional` and
+`LinearMap.IsSymmetric.hasEigenvalue_iSup_of_finiteDimensional` state that if `E` is
+finite-dimensional and nontrivial, then `T` has some (nonzero) eigenvectors with eigenvalue the
+`iSup`/`iInf` of `λ x, ⟪T x, x⟫ / ‖x‖ ^ 2`.
+
+## TODO
+
+A slightly more elaborate corollary is that if `E` is complete and `T` is a compact operator, then
+`T` has some (nonzero) eigenvector with eigenvalue either `⨆ x, ⟪T x, x⟫ / ‖x‖ ^ 2` or
+`⨅ x, ⟪T x, x⟫ / ‖x‖ ^ 2` (not necessarily both).
+
+-/
+
+
+variable {𝕜 : Type _} [IsROrC 𝕜]
+
+variable {E : Type _} [NormedAddCommGroup E] [InnerProductSpace 𝕜 E]
+
+local notation "⟪" x ", " y "⟫" => @inner 𝕜 _ _ x y
+
+open scoped NNReal
+
+open Module.End Metric
+
+namespace ContinuousLinearMap
+
+variable (T : E →L[𝕜] E)
+
+/-- The *Rayleigh quotient* of a continuous linear map `T` (over `ℝ` or `ℂ`) at a vector `x` is
+the quantity `re ⟪T x, x⟫ / ‖x‖ ^ 2`. -/
+noncomputable abbrev rayleighQuotient (x : E) := T.reApplyInnerSelf x / ‖(x : E)‖ ^ 2
+
+theorem rayleigh_smul (x : E) {c : 𝕜} (hc : c ≠ 0) :
+    rayleighQuotient T (c • x) = rayleighQuotient T x := by
+  by_cases hx : x = 0
+  · simp [hx]
+  have : ‖c‖ ≠ 0 := by simp [hc]
+  have : ‖x‖ ≠ 0 := by simp [hx]
+  field_simp [norm_smul, T.reApplyInnerSelf_smul]
+  ring
+#align continuous_linear_map.rayleigh_smul ContinuousLinearMap.rayleigh_smul
+
+theorem image_rayleigh_eq_image_rayleigh_sphere {r : ℝ} (hr : 0 < r) :
+    rayleighQuotient T '' {0}ᶜ = rayleighQuotient T '' sphere 0 r := by
+  ext a
+  constructor
+  · rintro ⟨x, hx : x ≠ 0, hxT⟩
+    have : ‖x‖ ≠ 0 := by simp [hx]
+    let c : 𝕜 := ↑‖x‖⁻¹ * r
+    have : c ≠ 0 := by simp [hx, hr.ne']
+    refine' ⟨c • x, _, _⟩
+    · field_simp [norm_smul, abs_of_pos hr]
+    · rw [T.rayleigh_smul x this]
+      exact hxT
+  · rintro ⟨x, hx, hxT⟩
+    exact ⟨x, ne_zero_of_mem_sphere hr.ne' ⟨x, hx⟩, hxT⟩
+#align continuous_linear_map.image_rayleigh_eq_image_rayleigh_sphere ContinuousLinearMap.image_rayleigh_eq_image_rayleigh_sphere
+
+theorem iSup_rayleigh_eq_iSup_rayleigh_sphere {r : ℝ} (hr : 0 < r) :
+    (⨆ x : { x : E // x ≠ 0 }, rayleighQuotient T x) =
+      ⨆ x : sphere (0 : E) r, rayleighQuotient T x :=
+  show (⨆ x : ({0}ᶜ : Set E), rayleighQuotient T x) = _ by
+    simp only [← @sSup_image' _ _ _ _ (rayleighQuotient T),
+      T.image_rayleigh_eq_image_rayleigh_sphere hr]
+#align continuous_linear_map.supr_rayleigh_eq_supr_rayleigh_sphere ContinuousLinearMap.iSup_rayleigh_eq_iSup_rayleigh_sphere
+
+theorem iInf_rayleigh_eq_iInf_rayleigh_sphere {r : ℝ} (hr : 0 < r) :
+    (⨅ x : { x : E // x ≠ 0 }, rayleighQuotient T x) =
+      ⨅ x : sphere (0 : E) r, rayleighQuotient T x :=
+  show (⨅ x : ({0}ᶜ : Set E), rayleighQuotient T x) = _ by
+    simp only [← @sInf_image' _ _ _ _ (rayleighQuotient T),
+      T.image_rayleigh_eq_image_rayleigh_sphere hr]
+#align continuous_linear_map.infi_rayleigh_eq_infi_rayleigh_sphere ContinuousLinearMap.iInf_rayleigh_eq_iInf_rayleigh_sphere
+
+end ContinuousLinearMap
+
+namespace IsSelfAdjoint
+
+section Real
+
+variable {F : Type _} [NormedAddCommGroup F] [InnerProductSpace ℝ F]
+
+theorem _root_.LinearMap.IsSymmetric.hasStrictFDerivAt_reApplyInnerSelf {T : F →L[ℝ] F}
+    (hT : (T : F →ₗ[ℝ] F).IsSymmetric) (x₀ : F) :
+    HasStrictFDerivAt T.reApplyInnerSelf (2 • (innerSL ℝ (T x₀))) x₀ := by
+  convert T.hasStrictFDerivAt.inner ℝ (hasStrictFDerivAt_id x₀) using 1
+  ext y
+  rw [ContinuousLinearMap.smul_apply, ContinuousLinearMap.comp_apply, fderivInnerClm_apply,
+    ContinuousLinearMap.prod_apply, innerSL_apply, id.def, ContinuousLinearMap.id_apply,
+    hT.apply_clm x₀ y, real_inner_comm _ x₀, two_smul]
+#align linear_map.is_symmetric.has_strict_fderiv_at_re_apply_inner_self LinearMap.IsSymmetric.hasStrictFDerivAt_reApplyInnerSelf
+
+variable [CompleteSpace F] {T : F →L[ℝ] F}
+
+local macro_rules | `($x ^ $y)   => `(HPow.hPow $x $y)
+
+theorem linearly_dependent_of_isLocalExtrOn (hT : IsSelfAdjoint T) {x₀ : F}
+    (hextr : IsLocalExtrOn T.reApplyInnerSelf (sphere (0 : F) ‖x₀‖) x₀) :
+    ∃ a b : ℝ, (a, b) ≠ 0 ∧ a • x₀ + b • T x₀ = 0 := by
+  have H : IsLocalExtrOn T.reApplyInnerSelf {x : F | ‖x‖ ^ 2 = ‖x₀‖ ^ 2} x₀ := by
+    convert hextr
+    ext x
+    simp [dist_eq_norm]
+  -- find Lagrange multipliers for the function `T.re_apply_inner_self` and the
+  -- hypersurface-defining function `λ x, ‖x‖ ^ 2`
+  obtain ⟨a, b, h₁, h₂⟩ :=
+    IsLocalExtrOn.exists_multipliers_of_hasStrictFDerivAt_1d H (hasStrictFDerivAt_norm_sq x₀)
+      (hT.isSymmetric.hasStrictFDerivAt_reApplyInnerSelf x₀)
+  refine' ⟨a, b, h₁, _⟩
+  apply (InnerProductSpace.toDualMap ℝ F).injective
+  simp only [LinearIsometry.map_add, LinearIsometry.map_smul, LinearIsometry.map_zero]
+  simp only [map_smulₛₗ, IsROrC.conj_to_real]
+  change a • innerSL ℝ x₀ + b • innerSL ℝ (T x₀) = 0
+  apply smul_right_injective (F →L[ℝ] ℝ) (two_ne_zero : (2 : ℝ) ≠ 0)
+  simpa only [two_smul, smul_add, add_smul, add_zero] using h₂
+#align is_self_adjoint.linearly_dependent_of_is_local_extr_on IsSelfAdjoint.linearly_dependent_of_isLocalExtrOn
+
+theorem eq_smul_self_of_isLocalExtrOn_real (hT : IsSelfAdjoint T) {x₀ : F}
+    (hextr : IsLocalExtrOn T.reApplyInnerSelf (sphere (0 : F) ‖x₀‖) x₀) :
+    T x₀ = T.rayleighQuotient x₀ • x₀ := by
+  obtain ⟨a, b, h₁, h₂⟩ := hT.linearly_dependent_of_isLocalExtrOn hextr
+  by_cases hx₀ : x₀ = 0
+  · simp [hx₀]
+  by_cases hb : b = 0
+  · have : a ≠ 0 := by simpa [hb] using h₁
+    refine' absurd _ hx₀
+    apply smul_right_injective F this
+    simpa [hb] using h₂
+  let c : ℝ := -b⁻¹ * a
+  have hc : T x₀ = c • x₀ := by
+    have : b * (b⁻¹ * a) = a := by field_simp [mul_comm]
+    apply smul_right_injective F hb
+    simp [eq_neg_of_add_eq_zero_left h₂, ← mul_smul, this]
+  convert hc
+  have : ‖x₀‖ ≠ 0 := by simp [hx₀]
+  have := congr_arg (fun x => ⟪x, x₀⟫_ℝ) hc
+  field_simp [inner_smul_left, real_inner_self_eq_norm_mul_norm, sq] at this ⊢
+  exact this
+#align is_self_adjoint.eq_smul_self_of_is_local_extr_on_real IsSelfAdjoint.eq_smul_self_of_isLocalExtrOn_real
+
+end Real
+
+section CompleteSpace
+
+variable [CompleteSpace E] {T : E →L[𝕜] E}
+
+theorem eq_smul_self_of_isLocalExtrOn (hT : IsSelfAdjoint T) {x₀ : E}
+    (hextr : IsLocalExtrOn T.reApplyInnerSelf (sphere (0 : E) ‖x₀‖) x₀) :
+    T x₀ = (↑(T.rayleighQuotient x₀) : 𝕜) • x₀ := by
+  letI := InnerProductSpace.isROrCToReal 𝕜 E
+  let hSA := hT.isSymmetric.restrictScalars.toSelfAdjoint.prop
+  exact hSA.eq_smul_self_of_isLocalExtrOn_real hextr
+#align is_self_adjoint.eq_smul_self_of_is_local_extr_on IsSelfAdjoint.eq_smul_self_of_isLocalExtrOn
+
+/-- For a self-adjoint operator `T`, a local extremum of the Rayleigh quotient of `T` on a sphere
+centred at the origin is an eigenvector of `T`. -/
+theorem hasEigenvector_of_isLocalExtrOn (hT : IsSelfAdjoint T) {x₀ : E} (hx₀ : x₀ ≠ 0)
+    (hextr : IsLocalExtrOn T.reApplyInnerSelf (sphere (0 : E) ‖x₀‖) x₀) :
+    HasEigenvector (T : E →ₗ[𝕜] E) (↑(T.rayleighQuotient x₀)) x₀ := by
+  refine' ⟨_, hx₀⟩
+  rw [Module.End.mem_eigenspace_iff]
+  exact hT.eq_smul_self_of_isLocalExtrOn hextr
+#align is_self_adjoint.has_eigenvector_of_is_local_extr_on IsSelfAdjoint.hasEigenvector_of_isLocalExtrOn
+
+/-- For a self-adjoint operator `T`, a maximum of the Rayleigh quotient of `T` on a sphere centred
+at the origin is an eigenvector of `T`, with eigenvalue the global supremum of the Rayleigh
+quotient. -/
+theorem hasEigenvector_of_isMaxOn (hT : IsSelfAdjoint T) {x₀ : E} (hx₀ : x₀ ≠ 0)
+    (hextr : IsMaxOn T.reApplyInnerSelf (sphere (0 : E) ‖x₀‖) x₀) :
+    HasEigenvector (T : E →ₗ[𝕜] E) (↑(⨆ x : { x : E // x ≠ 0 }, T.rayleighQuotient x)) x₀ := by
+  convert hT.hasEigenvector_of_isLocalExtrOn hx₀ (Or.inr hextr.localize)
+  have hx₀' : 0 < ‖x₀‖ := by simp [hx₀]
+  have hx₀'' : x₀ ∈ sphere (0 : E) ‖x₀‖ := by simp
+  rw [T.iSup_rayleigh_eq_iSup_rayleigh_sphere hx₀']
+  refine' IsMaxOn.iSup_eq hx₀'' _
+  intro x hx
+  dsimp
+  have : ‖x‖ = ‖x₀‖ := by simpa using hx
+  simp only [ContinuousLinearMap.rayleighQuotient]
+  rw [this]
+  gcongr
+  exact hextr hx
+#align is_self_adjoint.has_eigenvector_of_is_max_on IsSelfAdjoint.hasEigenvector_of_isMaxOn
+
+/-- For a self-adjoint operator `T`, a minimum of the Rayleigh quotient of `T` on a sphere centred
+at the origin is an eigenvector of `T`, with eigenvalue the global infimum of the Rayleigh
+quotient. -/
+theorem hasEigenvector_of_isMinOn (hT : IsSelfAdjoint T) {x₀ : E} (hx₀ : x₀ ≠ 0)
+    (hextr : IsMinOn T.reApplyInnerSelf (sphere (0 : E) ‖x₀‖) x₀) :
+    HasEigenvector (T : E →ₗ[𝕜] E) (↑(⨅ x : { x : E // x ≠ 0 }, T.rayleighQuotient x)) x₀ := by
+  convert hT.hasEigenvector_of_isLocalExtrOn hx₀ (Or.inl hextr.localize)
+  have hx₀' : 0 < ‖x₀‖ := by simp [hx₀]
+  have hx₀'' : x₀ ∈ sphere (0 : E) ‖x₀‖ := by simp
+  rw [T.iInf_rayleigh_eq_iInf_rayleigh_sphere hx₀']
+  refine' IsMinOn.iInf_eq hx₀'' _
+  intro x hx
+  dsimp
+  have : ‖x‖ = ‖x₀‖ := by simpa using hx
+  simp only [ContinuousLinearMap.rayleighQuotient]
+  rw [this]
+  gcongr
+  exact hextr hx
+#align is_self_adjoint.has_eigenvector_of_is_min_on IsSelfAdjoint.hasEigenvector_of_isMinOn
+
+end CompleteSpace
+
+end IsSelfAdjoint
+
+section FiniteDimensional
+
+variable [FiniteDimensional 𝕜 E] [_i : Nontrivial E] {T : E →ₗ[𝕜] E}
+
+namespace LinearMap
+
+namespace IsSymmetric
+
+/-- The supremum of the Rayleigh quotient of a symmetric operator `T` on a nontrivial
+finite-dimensional vector space is an eigenvalue for that operator. -/
+theorem hasEigenvalue_iSup_of_finiteDimensional (hT : T.IsSymmetric) :
+    HasEigenvalue T ↑(⨆ x : { x : E // x ≠ 0 }, IsROrC.re ⟪T x, x⟫ / ‖(x : E)‖ ^ 2) := by
+  haveI := FiniteDimensional.proper_isROrC 𝕜 E
+  let T' := hT.toSelfAdjoint
+  obtain ⟨x, hx⟩ : ∃ x : E, x ≠ 0 := exists_ne 0
+  have H₁ : IsCompact (sphere (0 : E) ‖x‖) := isCompact_sphere _ _
+  have H₂ : (sphere (0 : E) ‖x‖).Nonempty := ⟨x, by simp⟩
+  -- key point: in finite dimension, a continuous function on the sphere has a max
+  obtain ⟨x₀, hx₀', hTx₀⟩ :=
+    H₁.exists_forall_ge H₂ T'.val.reApplyInnerSelf_continuous.continuousOn
+  have hx₀ : ‖x₀‖ = ‖x‖ := by simpa using hx₀'
+  have : IsMaxOn T'.val.reApplyInnerSelf (sphere 0 ‖x₀‖) x₀ := by simpa only [← hx₀] using hTx₀
+  have hx₀_ne : x₀ ≠ 0 := by
+    have : ‖x₀‖ ≠ 0 := by simp only [hx₀, norm_eq_zero, hx, Ne.def, not_false_iff]
+    simpa [← norm_eq_zero, Ne.def]
+  exact hasEigenvalue_of_hasEigenvector (T'.prop.hasEigenvector_of_isMaxOn hx₀_ne this)
+#align linear_map.is_symmetric.has_eigenvalue_supr_of_finite_dimensional LinearMap.IsSymmetric.hasEigenvalue_iSup_of_finiteDimensional
+
+/-- The infimum of the Rayleigh quotient of a symmetric operator `T` on a nontrivial
+finite-dimensional vector space is an eigenvalue for that operator. -/
+theorem hasEigenvalue_iInf_of_finiteDimensional (hT : T.IsSymmetric) :
+    HasEigenvalue T ↑(⨅ x : { x : E // x ≠ 0 }, IsROrC.re ⟪T x, x⟫ / ‖(x : E)‖ ^ 2) := by
+  haveI := FiniteDimensional.proper_isROrC 𝕜 E
+  let T' := hT.toSelfAdjoint
+  obtain ⟨x, hx⟩ : ∃ x : E, x ≠ 0 := exists_ne 0
+  have H₁ : IsCompact (sphere (0 : E) ‖x‖) := isCompact_sphere _ _
+  have H₂ : (sphere (0 : E) ‖x‖).Nonempty := ⟨x, by simp⟩
+  -- key point: in finite dimension, a continuous function on the sphere has a min
+  obtain ⟨x₀, hx₀', hTx₀⟩ :=
+    H₁.exists_forall_le H₂ T'.val.reApplyInnerSelf_continuous.continuousOn
+  have hx₀ : ‖x₀‖ = ‖x‖ := by simpa using hx₀'
+  have : IsMinOn T'.val.reApplyInnerSelf (sphere 0 ‖x₀‖) x₀ := by simpa only [← hx₀] using hTx₀
+  have hx₀_ne : x₀ ≠ 0 := by
+    have : ‖x₀‖ ≠ 0 := by simp only [hx₀, norm_eq_zero, hx, Ne.def, not_false_iff]
+    simpa [← norm_eq_zero, Ne.def]
+  exact hasEigenvalue_of_hasEigenvector (T'.prop.hasEigenvector_of_isMinOn hx₀_ne this)
+#align linear_map.is_symmetric.has_eigenvalue_infi_of_finite_dimensional LinearMap.IsSymmetric.hasEigenvalue_iInf_of_finiteDimensional
+
+theorem subsingleton_of_no_eigenvalue_finiteDimensional (hT : T.IsSymmetric)
+    (hT' : ∀ μ : 𝕜, Module.End.eigenspace (T : E →ₗ[𝕜] E) μ = ⊥) : Subsingleton E :=
+  (subsingleton_or_nontrivial E).resolve_right fun _h =>
+    absurd (hT' _) hT.hasEigenvalue_iSup_of_finiteDimensional
+#align linear_map.is_symmetric.subsingleton_of_no_eigenvalue_finite_dimensional LinearMap.IsSymmetric.subsingleton_of_no_eigenvalue_finiteDimensional
+
+end IsSymmetric
+
+end LinearMap
+
+end FiniteDimensional