一些公式/定理积累
积累一些可能会用的数学公式,有时可以作为简化计算、提升效率的小技巧。
1. Woodbury Formula
不想敲代码,直接截个wiki的图过来:
上面已经提到了这个公式的几种特殊情形,这里我们关注更简单的一种。当A是n阶单位阵,C是k阶单位阵时,有:
然后呢,有什么用嘛?且看,如果
2. Nystrom Method
可以用来计算特征向量,可以看到,Nystrom把对
3. 一个不等式
当z>0时,有
4. 闵可夫斯基不等式
5. Holder不等式
6. Ky Fan Theorem
[ref]: Fan K. On a Theorem of Weyl Concerning Eigenvalues of Linear Transformations [J]. Proc Natl Acad Sci USA, 1949, 35(11):652-655.
7. Eckart-Young-Mirsky theorem
n阶矩阵A(rank>p)的rank-p近似为:
[ref]: Eckart C, Young G. The approximation of one matrix by another of lower rank[J]. Psychometrika, 1936, 1(3):211-218.
8. Von-Neumann successive projection lemma
For finding the closest intersection of sub-spaces…
Actually, the Von-Neumann lemma applies only to linear subspaces. The extension to convex subspaces involves a “deflection” component described by Dykstra [2].
[ref]: [1] Von Neumann J. Functional Operators. II. The Geometry of Orthogonal Spaces.[J]. Princeton University Press Princeton N J, 1950.
[2] Richard L. Dykstra. An Algorithm for Restricted Least Squares Regression[J]. Journal of the American Statistical Association, 1983, 78(384):837-842.