So here i have a symmetric matrix $\Sigma$ which is positive semidefinite but not positive definite. How to prove $\Sigma$ is also singular?
From the definition I tried $X^T\Sigma X\geqslant0$.
Given $X\neq0$, it is easy to see that if $X^T\Sigma X>0$, then $\Sigma X>0$.
But when come to the case which $X^T\Sigma X=0$, I don't know if I can suppose $\Sigma X=0$ or not. Because if I can, then the prove is almost done. Any ideas about it? Thanks
Any symmetric matrix is diagonalizable. Similarity transformations preserve positive definiteness and positive semidefiniteness. Any diagonal matrix which is positive semidefinite, yet not positive definite, has a zero entry on the diagonal and is therefore singular.
Therefore any symmetric matrix which is positive semidefinite, yet not positive definite, is singular.