Eigenvalues of normal matrices move by at most the size of the perturbation
Statement
Let be normal (), for instance real symmetric. Show that for every , every eigenvalue of is within distance of some eigenvalue of . For real symmetric show the sharper statement that the sorted eigenvalues satisfy .
Hint
Normal matrices are unitarily diagonalisable, so the condition number of the eigenvector matrix is .
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Solution
First statement. By the spectral theorem for normal matrices, with unitary and diagonal. Then , so . Bauer-Fike gives
Symmetric case, sorted eigenvalues (Weyl). For real symmetric with eigenvalues , the Courant-Fischer formula says
For a unit , , hence . Applying this to the pair gives . So
Example. and with : the eigenvalues of are , which differ from by .
Remark. The contrast with the nilpotent Jordan block (change for a perturbation of size ) shows that non-normality is exactly what makes eigenvalues sensitive. This also explains why symmetric eigenproblems are numerically much easier than general ones.