Basic Calculus Review

Transcription

1 Basic Calculus Review Lorenzo Rosasco ISML Mod. 2 - Machine Learning

2 Vector Spaces Functionals and Operators (Matrices)

3 Vector Space A vector space is a set V with binary operations +: V V V and : R V V such that for all a, b R and v, w, x V: 1. v + w = w + v 2. (v + w) + x = v + (w + x) 3. There exists 0 V such that v + 0 = v for all v V 4. For every v V there exists v V such that v + ( v) = 0 5. a(bv) = (ab)v 6. 1v = v 7. (a + b)v = av + bv 8. a(v + w) = av + aw

4 Vector Space A vector space is a set V with binary operations +: V V V and : R V V such that for all a, b R and v, w, x V: 1. v + w = w + v 2. (v + w) + x = v + (w + x) 3. There exists 0 V such that v + 0 = v for all v V 4. For every v V there exists v V such that v + ( v) = 0 5. a(bv) = (ab)v 6. 1v = v 7. (a + b)v = av + bv 8. a(v + w) = av + aw Example: R n, space of polynomials, space of functions.

5 Inner Product An inner product is a function, : V V R such that for all a, b R and v, w, x V:

6 Inner Product An inner product is a function, : V V R such that for all a, b R and v, w, x V: 1. v, w = w, v 2. av + bw, x = a v, x + b w, x 3. v, v 0 and v, v = 0 if and only if v = 0.

7 Inner Product An inner product is a function, : V V R such that for all a, b R and v, w, x V: 1. v, w = w, v 2. av + bw, x = a v, x + b w, x 3. v, v 0 and v, v = 0 if and only if v = 0. v, w V are orthogonal if v, w = 0.

8 Inner Product An inner product is a function, : V V R such that for all a, b R and v, w, x V: 1. v, w = w, v 2. av + bw, x = a v, x + b w, x 3. v, v 0 and v, v = 0 if and only if v = 0. v, w V are orthogonal if v, w = 0. Given W V, we have V = W W, where W = { v V v, w = 0 for all w W }.

9 Inner Product An inner product is a function, : V V R such that for all a, b R and v, w, x V: 1. v, w = w, v 2. av + bw, x = a v, x + b w, x 3. v, v 0 and v, v = 0 if and only if v = 0. v, w V are orthogonal if v, w = 0. Given W V, we have V = W W, where W = { v V v, w = 0 for all w W }. Cauchy-Schwarz inequality: v, w v, v 1/2 w, w 1/2.

10 Norm Can define norm from inner product: v = v, v 1/2.

11 Norm A norm is a function : V R such that for all a R and v, w V: 1. v 0, and v = 0 if and only if v = 0 2. av = a v 3. v + w v + w Can define norm from inner product: v = v, v 1/2.

12 Metric Can define metric from norm: d(v, w) = v w.

13 Metric A metric is a function d: V V R such that for all v, w, x V: 1. d(v, w) 0, and d(v, w) = 0 if and only if v = w 2. d(v, w) = d(w, v) 3. d(v, w) d(v, x) + d(x, w) Can define metric from norm: d(v, w) = v w.

14 Basis B = {v 1,..., v n } is a basis of V if every v V can be uniquely decomposed as for some a 1,..., a n R. v = a 1 v a n v n

15 Basis B = {v 1,..., v n } is a basis of V if every v V can be uniquely decomposed as for some a 1,..., a n R. v = a 1 v a n v n An orthonormal basis is a basis that is orthogonal ( v i, v j = 0 for i j) and normalized ( v i = 1).

16 Vector Spaces Functionals and Operators (Matrices)

17 Maps Next we are going to review basic properties of maps on a Hilbert space. functionals: Ψ : H R linear operators A : H H, such that A(af + bg) = aaf + bag, with a, b R and f, g H.

18 Representation of Continuous Functionals Let H be a Hilbert space and g H, then Ψ g (f) = f, g, f H is a continuous linear functional. Riesz representation theorem The theorem states that every continuous linear functional Ψ can be written uniquely in the form, Ψ(f) = f, g for some appropriate element g H.

19 Matrix Every linear operator L: R m R n can be represented by an m n matrix A.

20 Matrix Every linear operator L: R m R n can be represented by an m n matrix A. If A R m n, the transpose of A is A R n m satisfying Ax, y R m = (Ax) y = x A y = x, A y R n for every x R n and y R m.

21 Matrix Every linear operator L: R m R n can be represented by an m n matrix A. If A R m n, the transpose of A is A R n m satisfying Ax, y R m = (Ax) y = x A y = x, A y R n for every x R n and y R m. A is symmetric if A = A.

22 Eigenvalues and Eigenvectors Let A R n n. A nonzero vector v R n is an eigenvector of A with corresponding eigenvalue λ R if Av = λv.

23 Eigenvalues and Eigenvectors Let A R n n. A nonzero vector v R n is an eigenvector of A with corresponding eigenvalue λ R if Av = λv. Symmetric matrices have real eigenvalues.

24 Eigenvalues and Eigenvectors Let A R n n. A nonzero vector v R n is an eigenvector of A with corresponding eigenvalue λ R if Av = λv. Symmetric matrices have real eigenvalues. Spectral Theorem: Let A be a symmetric n n matrix. Then there is an orthonormal basis of R n consisting of the eigenvectors of A.

25 Eigenvalues and Eigenvectors Let A R n n. A nonzero vector v R n is an eigenvector of A with corresponding eigenvalue λ R if Av = λv. Symmetric matrices have real eigenvalues. Spectral Theorem: Let A be a symmetric n n matrix. Then there is an orthonormal basis of R n consisting of the eigenvectors of A. Eigendecomposition: A = VΛV, or equivalently, n A = λ i v i v i. i=1

26 Singular Value Decomposition Every A R m n can be written as A = UΣV, where U R m m is orthogonal, Σ R m n is diagonal, and V R n n is orthogonal.

27 Singular Value Decomposition Every A R m n can be written as A = UΣV, where U R m m is orthogonal, Σ R m n is diagonal, and V R n n is orthogonal. Singular system: Av i = σ i u i A u i = σ i v i AA u i = σ 2 i u i A Av i = σ 2 i v i

28 Matrix Norm The spectral norm of A R m n is A spec = σ max (A) = λ max (AA ) = λ max (A A).

29 Matrix Norm The spectral norm of A R m n is A spec = σ max (A) = λ max (AA ) = λ max (A A). The Frobenius norm of A R m n is m n A F = a 2 ij = min{m,n} i=1 j=1 i=1 σ 2 i.

30 Positive Definite Matrix A real symmetric matrix A R m m is positive definite if x t Ax > 0, x R m. A positive definite matrix has positive eigenvalues. Note: for positive semi-definite matrices > is replaced by.