# Introduction. Chapter 1. Contents. EECS 600 Function Space Methods in System Theory Lecture Notes J. Fessler 1.1

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1 Chapter 1 Introduction Contents Motivation Applications (of optimization) Main principles History Prerequisites Sequences Sets of real numbers Mathematical notation Sets Space EECS 600 Function Space Methods in System Theory Lecture Notes J. Fessler 1.1

2 1.2 c J. Fessler, September 8, 2004, 15:54 (student version) 1.1 Motivation Preface. The primary objective of this book is to demonstrate that a rather large segment of the field of optimization can be effectively unified by a few geometric principles... p.2. Most of the principal results in functional analysis are expressed as abstractions of intuitive geometric properties of ordinary 3D space. Examples: point, line, plane, sphere, length, distance, angle, orthogonality, perpendicular projections,... Some readers may look with great expectation towards functional analysis, hoping to discover new powerful techniques that will enable them to solve important problems beyond the reach of simpler mathematical analysis. Such hopes are rarely realized in practice. The primary utility of functional analysis... is its role as a unifying discipline... The unification of ideas you have probably previously seen as special cases (such as the Cauchy-Schwarz inequality) is perhaps the main benefit of this course. Keywords vector space, norm, inner product, Banach space, Hilbert space orthogonality, convexity, duality, hyperplanes, adjoints, pseudoinverse Euler-Lagrange equations, Gateaux and Fréchet differentials Kuhn-Tucker conditions, Lagrange multipliers, projections, etc. 1.2 Applications (of optimization) resource allocation planning (e.g., production) Example. burn rate of booster rocket control approximation estimation (important for statistical signal processing) game theory Wavelets The concepts in this course will be of particular interest to students using tools like wavelets. For example, the second chapter of Vetterli and Kovacevic s text Wavelets and subband coding has a review of Hilbert spaces. Likewise, the classic book by Daubechies on wavelets contains many uses of function space methods. (Wavelets are not a prerequisite for EECS 600. But the topics of EECS 600 are nearly a prerequisite for serious analyses using wavelets!)

3 c J. Fessler, September 8, 2004, 15:54 (student version) Main principles 0. Infinite-dimensional vector spaces Example. The space of continuous real-valued functions on an interval [a,b]: 1. The projection theorem C[a,b] = {f : [a,b] R : f is continuous}. In 3D Euclidean space, the shortest distance from a point to a plane is determined by the perpendicular from the point to the plane (Picture) 2D, 3D cases showing point x, projection x, and plane P Generalized to higher dimensions, this principle forms the basis for least-squares approximation, control, and estimation procedures! { Example. Suppose we are given f 0 L 2 [0,1] f : [0,1] R : } 1 0 f2 (t)dt <. Now consider the space of 2nd-order polynomials: P 2 = { at 2 + bt + c : a,b,c R }. Problem. Find p P 2 that minimizes 1 0 [f(t) p(t)]2 dt. Solution. Interpret P 2 as a plane in an appropriate function space, and 1 0 [ ]2 dt as a distance. Then the projection theorem will say that the best p is such that f p P, which leads to a tractable, finite-dimensional linear algebra problem! 1b. Completeness If we use more and more components for approximation, will the error converge to zero? This depends in part on whether we have a complete basis. We claim in undergraduate signals and systems courses that the Fourier basis is complete. Similar claims are made about various wavelet bases. This course provides the tools to make such statements rigorous. 2. The Hahn-Banach theorem In its simplest form, it states that given sphere and a point outside that sphere, there exists a (hyper)plane that separates them. (Picture) in 2D: 3. Duality Ch. 5 - over 100 pages away! Converting between minimization and maximization problems, usually by exchanging vectors and hyperplanes. Example. The shortest distance from a point to a sphere equals the maximum of the distances from the point to separating hyperplanes. (Note that H.B. ensures the existence of such hyperplanes.) (Picture) in 2D: / 4. Differentials In ordinary calculus one maximizes a function by equating its derivative to zero (and then checking the sign of the second derivative). In finite dimensional spaces one equates the gradient of a function to zero. For optimization over infinite-dimensional spaces, we require generalizations of these concepts. Preview: at an extremum, the tangent hyperplane to the graph of the function is horizontal. So hyperplanes arise here too! History The mathematics of functional analysis is relatively new. Stefan Banach, the Polish founder of much of functional analysis, lived from and published his book Théorie des opérations linéaires (which does not look like Polish to me) in Only in 1973 did Enflo prove that there is a separable Banach space that has no Schauder basis (after Luenberger s book was written!) [1].

4 1.4 c J. Fessler, September 8, 2004, 15:54 (student version) Prerequisites Linear algebra (vectors, matrices, eigenvalues, etc.) (Math 419 or equivalent) For example: the determinant of a (square) matrix is the product of its eigenvalues. Differentiation We say f(t) is differentiable at t with derivative f(t) iff f(t + δ) f(t) lim = f(t), δ 0 δ i.e., ε > 0, δ 0 > 0 s.t. δ < δ 0 = Limits and convergence A sequence x n of real (or complex) numbers is said to converge to a limit x iff ε > 0, N ε < s.t. n N ε = x n x < ε. f(t + δ) f(t) δ f(t) < ε. Such concepts are discussed at length in Math 451. This course will be mathematically self contained in that any such concepts needed from Math 451 will be briefly reviewed. But, review supremum, infimum, limit superior, limit inferior. Other examples: if a n a and b n b, then a n + b n a + b. Completeness of Euclidean space. Any Cauchy sequence of real numbers converges. (Proven in Math 451; we will take this as given.) Sequences Sequences are denoted x 1,x 2,... or {x n } n=1 or {x n }. Definition. A real number s is called the limit superior of a sequence {x n } and denoted s = lim sup n x n iff and If {x n } is not bounded above, we write lim supx n =. Definition. The limit inferior is If lim inf x n = lim supx n = y, then we write lim n x n = y. ε > 0, N s.t. n > N, x n < s + ε ε > 0 and M > 0, n > M, s.t. x n > s ε. lim inf x n = lim sup x n. n n Example. If x n = ( 1) n + 7/n, then lim supx n = 1 and lim inf x n = 1. Sets of real numbers Definition. The least upper bound or supremum of a set S of real numbers that is bounded above is the smallest real number y such that x y, x S, and is denoted sup {x : x S}. If S is not bounded above, then sup {x : x S} =. Definition. Similarly, the greatest lower bound or infimum of S is denoted inf {x : x S}, which can be. Fact. These quantities always exist (they may be ± ) for a nonempty set S. Example. If S = Q (0,1), then sup S = 1 and inf S = 0.

5 c J. Fessler, September 8, 2004, 15:54 (student version) 1.5 Mathematical notation Symbol Meaning R Real numbers C Complex numbers N Natural numbers {1, 2, 3,...} Z Integers {..., 2, 1,0,1,2,...} (German Zahlen = integers) Q rational numbers (quotients) Symbol how it is read : such that there exists for all if and only if (iff) = implies maps into Sets This review of sets is provided for completeness, and contains more than we really need in 600. Definitions Set theory was largely created by G. Cantor ( ), who, according to [2, p. 1] defined a set as follows. Definition. A set is a collection of definite, distinguishable objects of our thought, to be conceived as a whole. The objects of our thought in sets are called elements or members. Often upper case letters early in the alphabet denote sets: A,B,C. Often lower case letters denote generic elements of sets: a,b,x,y,s. The universal set, denoted Ω, contains all the elements of interest in a particular context. The empty set, denoted, contains no elements. Set membership x A means x is an element of set A. Read: x is in A, or x belongs to A, or x is a member of A. x / A means x is not an element of set A Set notation Often we enumerate set contents in braces: A = {1,2,...,10}, or by properties: A = {x N : x 10}. By definition: A = {x Ω : x A} An interval on the real line: A = [2,5) = {x R : 2 x < 5} Set relationships Subset A B iff x, x A = x B (i.e., every element of A must also be in B) Proper Subset A B iff A B and x B such that x / A Equality A = B iff ( x, x A x B) iff (A B and B A) Disjoint or Mutually Exclusive Sets: no common elements: x A = x B. Equivalently: x B = x / A Set operations Union Intersection A B = A + B = {x Ω : x A or x B} A B = AB = {x Ω : x A and x B} Complement A c = Ã = {x Ω : x / A} Difference A B = A B c = {x A : x / B} (i.e., the elements of A that are not in B) (aka set reduction) (Picture) Venn Diagram Disjoint sets or Mutually exclusive sets Sets A and B are disjoint iff A B =

6 1.6 c J. Fessler, September 8, 2004, 15:54 (student version) Set algebra Commutative Laws A B = B A A B = B A Associative Laws A (B C) = (A B) C A (B C) = (A B) C Distributive Laws A (B C) = (A B) (A C) A (B C) = (A B) (A C) De Morgan s Laws Ã B = Ã B Ã B = Ã B Proof of : x Ã B x / A B x / A and x / B x Ã and x / B x Ã B. Because of the commutative and associative laws, the following notation is unambiguous: n A i = A 1 A 2... A n i=1 and n A i = A 1 A 2... A n. i=1 One can also have countable and uncountable unions. For example, by definition: A = {x}. Set partition x A The sets A 1,A 2,...,A n are said to partition B iff B = n i=1 A i, and A i A j =, i j (i.e., the A i s are mutually exclusive or disjoint). Duality principle In any set identity, if you replace by, by, Ω by, and by Ω, then the new identity is also true. Example: Distributive Laws, De Morgan s Laws. Example: A Ω = A becomes A = A Set properties = Ω, Ω = A Ã = Ω A Ã =. Thus A and Ã partition Ω Ã = A Ã = Ω A A Ω = Ω, so from the duality principle:?? etc. (important for probability)

7 c J. Fessler, September 8, 2004, 15:54 (student version) 1.7 Set functions The following definitions generalize the usual definitions of functions on the real line used in calculus. f : A B is a function from A to B iff x A, f(x) B, i.e., for every element x of A, the function f assigns a value denoted f(x) that is a member of B. We also say f is a mapping from A into B. Calculus is concerned primarily with functions on the real line: f : R R, such as f(x) = x 2. In probability we use more general functions. Example. In a coin tossing experiment with 2 coin tosses, the sample space is Ω = {HH,HT,TH,TT}, and we might be interested in the function f : Ω R that returns the number of tails: 0, if s = HH 1, if s = HT f(s) = 1, if s = TH 2, if s = TT. When f : A B, the set A is called the domain of f. We say f is defined on A. The elements f(x) are called the values of f. The range of f is denoted R(f) = {f(x) : x A} and is the set of values of f. Note that R(f) B. If E A, then f(e) = {f(x) : x E} is called the image of E under the mapping f. Thus R(f) = f(a). Also f(a) B. However, if f(a) = B, then we say f maps A onto B. This is a stronger condition than into. If E B, then f 1 (E) = {x A : f(x) E} is called the inverse image of E under f. In particular, if y B, then f 1 (y) = f 1 ({y}) = {x A : f(x) = y}. If for every y B, f 1 (y) is (at most) a single element of A, then f is called a one-to-one mapping of A into B. Equivalently, f is a one-to-one mapping of A into B iff x 1 A and x 2 A and x 1 x 2 = f(x 1 ) f(x 2 ). In other words, if x 1 and x 2 are two distinct elements of A, then f must map those two elements to different values in B. If in addition, f(a) = B, then f is called a one-to-one mapping of A onto B. Examples A 1 = {1,2,3} A 2 = { 3, 2, 1,1,2,3} B 1 = {2,4,8} B 2 = {2,3,4,8} The function f 1 (x) = 2 x maps A 2 onto B 1, and maps A 2 into B 2, because f 1 (A 2 ) = {2,4,8}. The function f 2 (x) = 2 x is a one-to-one mapping of A 1 onto B 1, and is a one-to-one mapping of A 1 into B 2. Note that f 1 2 (3) =, because there are no points x in A 1 (or A 2 ) for which f 2 (x) = 3.

8 1.8 c J. Fessler, September 8, 2004, 15:54 (student version) Set size If there exists a one-to-one mapping of A onto B, then we say A and B have the same cardinality or the same cardinal number, or that A and B can be put into one-to-one correspondence. Sometimes written A B. Possible set sizes or cardinalities Empty: A = Finite: A {1,2,...,n} for a positive integer n Countably Infinite: A {1, 2, 3,...} (all positive integers) Uncountable or Uncountably Infinite: (if none of the above apply) Roughly speaking, a set is countably infinite if there is a way to write down all of its elements as an (infinitely long) list. (A list is like a mapping defined on the set of positive integers, where f(1) is the first item on the list, f(2) is the second item, etc.) Examples The set {red,green,blue,yellow} is finite. The set of even positive integers is countably infinite. (Let f(n) = 2n). The set of all integers is countably infinite. (Let f(n) = ( 1) n ceil[ n 1 2 ], where ceil[x] denotes the smallest integer x.) The set of positive fractions is countably infinite. The interval [0,1) on the real line is uncountably infinite! The real numbers are uncountably infinite Proof that A = [0,1) is an uncountable set (Proof by contradiction, i.e., assume that A is countable, and show the assumption leads to a logical contradiction, so we must then conclude that A is uncountable.) Suppose A is countably infinite. Then every x A is one of the elements of the collection { a 1,a 2,a 3,... }, since by definition, if A is countable, then there exists a function f from the positive integers onto A. Now write each a n in its decimal expansion: a n = 0.u n 1u n 2u n 3 = u n i 10 i, i=1 where u n i {0,1,...,9}. Now we construct a new decimal number: where we define v i = y = 0.v 1 v 2 v 3, { 1, if u i i = 0, 0, otherwise. Clearly y [0,1) = A by construction, but y a n for all n, since y and a n differ in the nth decimal place! This contradicts the existence of a function f from the positive integers onto A. Thus A must be uncountable. Space The concept of a space is used throughout this course (and throughout math). A space is more specific than a mere set since it involves both a set and certain properties that the members of the set are assumed or shown to satisfy. Many spaces are named after the individuals who investigated them, e.g., Euclidean space, Banach space, and Hilbert space, a practice that gives little insight into the properties! Bibliography [1] P. Enflo. A counterexample to the approximation problem in Banach spaces. Acta Math, 130:309 17, [2] I. J. Maddox. Elements of functional analysis. Cambridge, 2 edition, 1988.

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