==== Spectral norm ==== The spectral norm of a matrix $A^{m\times n}$ is equal to its largest singular value: $$ \|A\|_2 = \max_{\|x\|_2=1} \|Ax\|_2 = \sigma_{\max} $$ \\ ==== Alternate definition ==== We show that $ \|A\|_2 = \max_{\|x\|=\|y\|=1} x^T A y $, where $x$ and $y$ are vectors. === Proof: === Let $A=U^T\Sigma V$ be its SVD. \begin{eqnarray*} \|A\|_2 &=& \max_{\|x\|_2=\|y\|_2=1} (xU)^T \Sigma (Vy) \\ &=& \max_{\|x'\|_2=\|y'\|_2=1} x'^T \Sigma y' \\ &=& \max_{\|x'\|_2=\|y'\|_2=1} \sum_i \sigma_i x_i y_i \\ &\leq& \sigma_{\max} \sqrt{\|x\|_2^2 \|y\|_2^2} = \sigma_{\max} \end{eqnarray*} The equality holds when $x'=y'= [1,0,\cdots,0]^T$ (assuming $\sigma_1$ is the largest singular value). \\ ==== Power method ====