前言
此篇博客用来整理一些技巧结论性质的积分
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\int_{x_1}\int_{x_2}[f(x_1)+f(x_2)]p(x_1,x_2)dx_1dx_2=\int_{x_1}f(x_1)p(x_1)dx_1+\int_{x_2}f(x_2)p(x_2)dx_2
∫x1∫x2[f(x1)+f(x2)]p(x1,x2)dx1dx2=∫x1f(x1)p(x1)dx1+∫x2f(x2)p(x2)dx2
证明：
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\begin{aligned} \int_{x_1}\int_{x_2}[f(x_1)+f(x_2)]p(x_1,x_2)dx_1dx_2&=\int_{x_1}[f(x_1)\int_{x_2}p(x_1,x_2)dx_2]dx_1 + \int_{x_2}[f(x_2) \int_{x_1}p(x_1,x_2)dx_1]dx_2 \\ &=\int_{x_1}f(x_1)p(x_1)dx_1+\int_{x_2}f(x_2)p(x_2)dx_2 \end{aligned}
∫x1∫x2[f(x1)+f(x2)]p(x1,x2)dx1dx2=∫x1[f(x1)∫x2p(x1,x2)dx2]dx1+∫x2[f(x2)∫x1p(x1,x2)dx1]dx2=∫x1f(x1)p(x1)dx1+∫x2f(x2)p(x2)dx2
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