Diagonal matrices maximize log-minor variance

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Let Mκ\mathcal M_{\kappa} be the set of positive-definite n×nn\times n matrices with condition number κ\kappa. For k<nk<n, κ\kappa, and M∈MκM\in\mathcal M_{\kappa}, define Yk(M)Y_k(M) as the log-minor random variable associated with MM. Diagonal matrices maximize log-minor variance. For all k<nk<n, κ\kappa, and M∈MκM\in\mathcal M_{\kappa}, there exists a diagonal matrix D∈MκD\in\mathcal M_{\kappa} such that

var⁡(Yk(M))≤var⁡(Yk(D)).\operatorname{var}(Y_k(M))\leq\operatorname{var}(Y_k(D)).

The conjecture is motivated by the sharpness of the variance bound for diagonal matrices and examples suggesting that diagonal matrices attain the largest possible log-minor variance among positive-definite matrices with fixed condition number. Its resolution would identify the extremizers for the general variance bound.

References

Primary source

Alice C. Schwarze, Philip S. Chodrow and Mason A. Porter, “Log-minor distributions and an application to estimating mean subsystem entropy”, arXiv:1901.09456 (2019).

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