数学课复习
高等数学
- 极限与连续
- 极限的意义
重要极限 lim x → 0 sin x x \lim\limits_{x \to 0} \frac{\sin x}{x} x→0limxsinx和 lim x → ∞ ( 1 + 1 x ) x \lim\limits_{x \to \infty} (1+\frac{1}{x})^x x→∞lim(1+x1)x - 闭区间连续函数的性质 (有界性,最值性,介值性)
- 极限的意义
- 微分与积分
- 微分的意义
曲率 κ = d α d s = d arctan d y / d x ( d x ) 2 + ( d y ) 2 \kappa = \frac{\mathrm{d} \alpha}{\mathrm{d} s} = \frac{\mathrm{d} \arctan \mathrm{d} y / \mathrm{d} x}{\sqrt{(\mathrm{d} x)^2 + (\mathrm{d} y)^2}} κ=dsdα=(dx)2+(dy)2darctandy/dx - 微分的运算
反函数 d x d y = ( d y d x ) − 1 \frac{\mathrm{d} x}{\mathrm{d} y} = (\frac{\mathrm{d} y}{\mathrm{d} x})^{-1} dydx=(dxdy)−1
链式法则 d y d x = ∑ u d y d u d u d x \frac{\mathrm{d} y}{\mathrm{d} x} = \sum\limits_{u} \frac{\mathrm{d} y}{\mathrm{d} u} \frac{\mathrm{d} u}{\mathrm{d} x} dxdy=u∑dudydxdu - 积分的运算
换元 ∬ f ( x , y ) d x d y = ∬ f ( x ( u , v ) , y ( u , v ) ) ∣ ∂ ( x , y ) ∂ ( u , v ) ∣ d u d v \iint f(x,y) \mathrm{d} x \mathrm{d} y = \iint f(x(u,v),y(u,v)) |\frac{\partial (x,y)}{\partial (u,v)}| \mathrm{d} u \mathrm{d} v ∬f(x,y)dxdy=∬f(x(u,v),y(u,v))∣∂(u,v)∂(x,y)∣dudv
概率密度函数中的换元 q ( u , v ) = p ( x ( u , v ) , y ( u , v ) ) ∣ ∂ ( x , y ) ∂ ( u , v ) ∣ q(u,v) = p(x(u,v),y(u,v)) |\frac{\partial (x,y)}{\partial (u,v)}| q(u,v)=p(x(u,v),y(u,v))∣∂(u,v)∂(x,y)∣ - 中值定理
- 微分的意义
线性代数
- 代数空间
- 线性空间,赋范线性空间,内积空间
- 线性空间的运算 (交,和,直和)
- 线性无关,秩
- 线性方程组
- 克拉默法则
- 高斯消元
- 相容线性方程组极小范数解
- 矛盾线性方程组最小二乘解
- 矩阵
- 四个子空间
- 转置,乘积,求逆,伪逆
- 二次型,正定性
- 迹,行列式
- 特征值,奇异值
- 特殊矩阵 (厄尔米特矩阵,置换矩阵,正交矩阵,三角矩阵,范德蒙德矩阵,哈达玛矩阵,托普利兹矩阵,循环矩阵,投影矩阵,正交投影矩阵)
概率统计
- 概率论
- 古典概型与几何概型
- The Twelvefold Way
- 概率公理
- 容斥原理和Bonferroni不等式
- 边缘概率
- 期望和方差
- 期望的线性性质,期望的琴生不等式
- 方差的性质
- D [ X ] = E [ ( X − E [ X ] ) 2 ] = E [ X 2 ] − E 2 [ X ] ⩾ 0 D[X] = E[(X-E[X])^2] = E[X^2] - E^2[X] \geqslant 0 D[X]=E[(X−E[X])2]=E[X2]−E2[X]⩾0 (期望的线性性质,期望的Jensen不等式)
- E [ ( X − e ) 2 ] = E [ ( X − E [ X ] ) 2 ] + ( E [ X ] − e ) 2 E[(X-e)^2] = E[(X-E[X])^2] + (E[X]-e)^2 E[(X−e)2]=E[(X−E[X])2]+(E[X]−e)2 (期望的线性性质)
- D [ c X + d ] = c 2 D [ X ] D[cX+d] = c^2 D[X] D[cX+d]=c2D[X] (期望的线性性质)
- D [ X ] ⩽ ( b − E [ X ] ) ( E [ X ] − a ) ⩽ 1 4 ( b − a ) 2 D[X] \leqslant (b-E[X])(E[X]-a) \leqslant \frac{1}{4} (b-a)^2 D[X]⩽(b−E[X])(E[X]−a)⩽41(b−a)2 (期望的线性性质)
- 协方差 C o v ( X , Y ) = E [ ( X − E [ X ] ) ( Y − E [ Y ] ) ] = E [ X Y ] − E [ X ] E [ Y ] \mathrm{Cov}(X,Y) = E[(X-E[X])(Y-E[Y])] = E[XY]-E[X]E[Y] Cov(X,Y)=E[(X−E[X])(Y−E[Y])]=E[XY]−E[X]E[Y]
- 协方差矩阵 Σ i j = C o v ( X i , X j ) \Sigma_{ij} = \mathrm{Cov}(X_i,X_j) Σij=Cov(Xi,Xj)
- 条件期望
- 条件概率
- 全概率公式,贝叶斯公式
- 独立性
- E [ X Y ] ⩽ E [ X 2 ] E [ Y 2 ] E[XY] \leqslant \sqrt{E[X^2]E[Y^2]} E[XY]⩽E[X2]E[Y2], C o v ( X , Y ) ⩽ D [ X ] D [ Y ] \mathrm{Cov}(X,Y) \leqslant \sqrt{D[X]D[Y]} Cov(X,Y)⩽D[X]D[Y]
- ρ ( X , Y ) = C o v ( X , Y ) / D [ X ] D [ Y ] \rho(X,Y) = \mathrm{Cov}(X,Y) / \sqrt{D[X]D[Y]} ρ(X,Y)=Cov(X,Y)/D[X]D[Y]
- 离散随机变量
- 01分布, X ∼ B ( 1 , p ) X \sim B(1,p) X∼B(1,p), E [ X ] = p E[X]=p E[X]=p, D [ x ] = p ( 1 − p ) D[x]=p(1-p) D[x]=p(1−p)
- 二项分布, X ∼ B ( n , p ) X \sim B(n,p) X∼B(n,p), Pr ( X = k ) = ( n k , n − k ) p k ( 1 − p ) n − k \Pr(X=k)=\binom{n}{k,n-k}p^k(1-p)^{n-k} Pr(X=k)=(k,n−kn)pk(1−p)n−k, E [ X ] = n p E[X]=np E[X]=np, D [ x ] = n p ( 1 − p ) D[x]=np(1-p) D[x]=np(1−p)
- 几何分布, X ∼ G ( p ) X \sim G(p) X∼G(p), Pr ( X = k ) = ( 1 − p ) k − 1 p \Pr(X=k)=(1-p)^{k-1}p Pr(X=k)=(1−p)k−1p, E [ X ] = 1 p E[X]=\frac{1}{p} E[X]=p1, D [ x ] = 1 p ( 1 p − 1 ) D[x]=\frac{1}{p}(\frac{1}{p}-1) D[x]=p1(p1−1)
- 泊松分布, X ∼ P ( λ ) X \sim P(\lambda) X∼P(λ), Pr ( X = k ) = λ k k ! e − λ \Pr(X=k)=\frac{\lambda^k}{k!}e^{-\lambda} Pr(X=k)=k!λke−λ, E [ X ] = λ E[X]=\lambda E[X]=λ, D [ x ] = λ D[x]=\lambda D[x]=λ
- n p = λ np=\lambda np=λ, n → ∞ n \to \infty n→∞, p → 0 p \to 0 p→0, ( n k , n − k ) p k ( 1 − p ) n − k → λ k k ! e − λ \binom{n}{k,n-k}p^k(1-p)^{n-k} \to \frac{\lambda^k}{k!}e^{-\lambda} (k,n−kn)pk(1−p)n−k→k!λke−λ
- 连续随机变量
- 均匀分布, X ∼ U ( a , b ) X \sim U(a,b) X∼U(a,b), p ( x ) = δ ( a ⩽ x ⩽ b ) 1 b − a p(x)=\delta(a \leqslant x \leqslant b) \frac{1}{b-a} p(x)=δ(a⩽x⩽b)b−a1, E [ X ] = 1 2 ( a + b ) E[X]=\frac{1}{2}(a+b) E[X]=21(a+b), D [ x ] = 1 12 ( b − a ) 2 D[x]=\frac{1}{12}(b-a)^2 D[x]=121(b−a)2
- 指数分布, X ∼ e ( β ) X \sim e(\beta) X∼e(β), p ( x ) = δ ( x > 0 ) 1 β e − 1 β x p(x)=\delta(x>0) \frac{1}{\beta} e^{- \frac{1}{\beta} x} p(x)=δ(x>0)β1e−β1x, E [ X ] = β E[X]=\beta E[X]=β, D [ x ] = β 2 D[x]=\beta^2 D[x]=β2
- 正态分布,
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- Mill不等式,
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Pr ( X ⩾ ϵ ) ⩽ 1 2 exp ( − 1 2 ϵ 2 ) \Pr(X \geqslant \epsilon) \leqslant \frac{1}{2} \exp(- \frac{1}{2} \epsilon^2) Pr(X⩾ϵ)⩽21exp(−21ϵ2)
Pr ( X ⩾ ϵ ) ⩽ 1 ϵ 1 2 π exp ( − 1 2 ϵ 2 ) \Pr(X \geqslant \epsilon) \leqslant \frac{1}{\epsilon} \frac{1}{\sqrt{2\pi}} \exp(- \frac{1}{2} \epsilon^2) Pr(X⩾ϵ)⩽ϵ12π1exp(−21ϵ2)
- Mill不等式,
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- 古典概型与几何概型
- 概率不等式
- 集中不等式
- Markov不等式 Pr ( X ⩾ a ) ⩽ E [ X ] a \Pr(X \geqslant a) \leqslant \frac{E[X]}{a} Pr(X⩾a)⩽aE[X] ( X ⩾ 0 X \geqslant 0 X⩾0)
- Chebyshev不等式
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Pr((X−μ)2⩾σ2)⩽σ2D[X]
单边Chebyshev不等式 Pr ( X − μ ⩾ σ ) , Pr ( X − μ ⩽ − σ ) ⩽ D [ X ] D [ X ] + σ 2 \Pr(X-\mu \geqslant \sigma),\Pr(X-\mu \leqslant -\sigma) \leqslant \frac{D[X]}{D[X]+\sigma^2} Pr(X−μ⩾σ),Pr(X−μ⩽−σ)⩽D[X]+σ2D[X] - Chernoff不等式
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\Pr(e^{tX} \geqslant e^{ta}) \leqslant \frac{E[e^{tX}]}{e^{ta}}
Pr(etX⩾eta)⩽etaE[etX]
- 01分布独立
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\Pr(\bar{X} \geqslant (1+\epsilon) \bar{p}) \leqslant (\frac{e^\epsilon}{(1+\epsilon)^{(1+\epsilon)}})^{\bar{p}} \leqslant (e^{-\epsilon^2/3})^{\bar{p}}
Pr(Xˉ⩾(1+ϵ)pˉ)⩽((1+ϵ)(1+ϵ)eϵ)pˉ⩽(e−ϵ2/3)pˉ
- E [ e t X ] = ( 1 − p ) + p e t = 1 + p ( e t − 1 ) ⩽ e p ( e t − 1 ) E[e^{tX}] = (1-p) + pe^t = 1 + p(e^t-1) \leqslant e^{p(e^t-1)} E[etX]=(1−p)+pet=1+p(et−1)⩽ep(et−1)
- Pr ( X ˉ ⩾ ( 1 − ϵ ) p ˉ ) ⩽ ( e ϵ ( 1 − ϵ ) ( 1 − ϵ ) ) p ˉ ⩽ ( e − ϵ 2 / 2 ) p ˉ \Pr(\bar{X} \geqslant (1-\epsilon) \bar{p}) \leqslant (\frac{e^\epsilon}{(1-\epsilon)^{(1-\epsilon)}})^{\bar{p}} \leqslant (e^{-\epsilon^2/2})^{\bar{p}} Pr(Xˉ⩾(1−ϵ)pˉ)⩽((1−ϵ)(1−ϵ)eϵ)pˉ⩽(e−ϵ2/2)pˉ
- [0,1]上分布独立
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\Pr(\bar{X} \geqslant \bar{\mu}+\epsilon) \leqslant e^{- 2n \epsilon^2}
Pr(Xˉ⩾μˉ+ϵ)⩽e−2nϵ2
- E [ e t X ] ⩽ ( 1 − μ ) + μ e t ⩽ e t μ + t 2 / 8 E[e^{tX}] \leqslant (1 - \mu) + \mu e^t \leqslant e^{t \mu + t^2 / 8} E[etX]⩽(1−μ)+μet⩽etμ+t2/8
- e t X = e X t + ( 1 − X ) 0 ⩽ X e t + ( 1 − X ) e^{tX} = e^{Xt + (1-X)0} \leqslant Xe^t + (1-X) etX=eXt+(1−X)0⩽Xet+(1−X)
- 𝒩(0,1)独立
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Pr(Xˉ⩾ϵ)⩽21e−nϵ2/2
- X ˉ ∼ N ( 0 , 1 n ) \bar{X} \sim \mathcal{N}(0,\frac{1}{n}) Xˉ∼N(0,n1)
- Bennet和Bernstein不等式 (引入方差和更多约束)
- 01分布独立
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\Pr(\bar{X} \geqslant (1+\epsilon) \bar{p}) \leqslant (\frac{e^\epsilon}{(1+\epsilon)^{(1+\epsilon)}})^{\bar{p}} \leqslant (e^{-\epsilon^2/3})^{\bar{p}}
Pr(Xˉ⩾(1+ϵ)pˉ)⩽((1+ϵ)(1+ϵ)eϵ)pˉ⩽(e−ϵ2/3)pˉ
- 大数定律
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\frac{1}{n} \sum\limits_{i=1}^{n} X_i \stackrel{\Pr}{\to} \frac{1}{n} \sum\limits_{i=1}^{n} E[X_i]
n1i=1∑nXi→Prn1i=1∑nE[Xi]
- Markov大数定律 1 n 2 D [ ∑ i = 1 n X i ] → 0 \frac{1}{n^2}D[\sum\limits_{i=1}^{n} X_i] \to 0 n21D[i=1∑nXi]→0
- Chebyshev大数定律 D [ X i ] ⩽ C o n s t D[X_i] \leqslant \mathrm{Const} D[Xi]⩽Const ( ρ ( X i , X j ) = 0 \rho(X_i,X_j)=0 ρ(Xi,Xj)=0)
- Khintchine大数定律 E [ X i ] < ∞ E[X_i]<\infty E[Xi]<∞ (i.i.d.)
- Bernoulli大数定律
- 中心极限定理
- Lindburg-Levy中心极限定理 ( ∑ i = 1 n X i − n μ ) / n σ 2 → d N ( 0 , 1 ) (\sum\limits_{i=1}^{n} X_i - n \mu) / \sqrt{n\sigma^2} \stackrel{d}{\to} \mathcal{N}(0,1) (i=1∑nXi−nμ)/nσ2→dN(0,1) (i.i.d.)
- De Moivre-Laplace中心极限定理 X i ∼ B ( 1 , p ) X_i \sim B(1,p) Xi∼B(1,p) ( Y n = ∑ i = 1 n X i ∼ B ( n , p ) Y_n = \sum\limits_{i=1}^{n} X_i \sim B(n,p) Yn=i=1∑nXi∼B(n,p))
- Lyapunov中心极限定理 ( ∑ i = 1 n X i − ∑ i = 1 n μ i ) / ∑ i = 1 n σ i 2 → d N ( 0 , 1 ) \left. \left(\sum\limits_{i=1}^{n} X_i - \sum\limits_{i=1}^{n} \mu_i\right) \middle/ \sqrt{\sum\limits_{i=1}^{n} \sigma_i^2} \right. \stackrel{d}{\to} \mathcal{N}(0,1) (i=1∑nXi−i=1∑nμi)/i=1∑nσi2→dN(0,1) (独立) ( ( ∑ i = 1 n E [ ∣ X i − μ i ∣ 2 + δ ] ) 1 2 + δ / ∑ i = 1 n σ i 2 → 0 \left. \left(\sum\limits_{i=1}^{n} E[|X_i-\mu_i|^{2+\delta}]\right)^{\frac{1}{2+\delta}} \middle/ \sqrt{\sum\limits_{i=1}^{n} \sigma_i^2} \right. \to 0 (i=1∑nE[∣Xi−μi∣2+δ])2+δ1/i=1∑nσi2→0)
- 集中不等式
- 统计与检验
- 样本k阶原点矩
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Ak=n1i=1∑nXik,样本k阶中心矩
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Bk=n1i=1∑n(Xi−Xˉ)k
- 样本方差 E [ s 0 2 ] = ( 1 − 1 n ) σ 2 E[s_0^2] = (1-\frac{1}{n}) \sigma^2 E[s02]=(1−n1)σ2
- 最小值,最大值,极差,次序统计量
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Pk(x)=i=k∑n(i,n−in)(P(x))i(1−P(x))n−i
- ∑ i = k n ( n i , n − i ) p i ( 1 − p ) n − i = n ( n − 1 k − 1 , ( n − 1 ) − ( k − 1 ) ) ∫ 0 p t k − 1 ( 1 − t ) ( n − 1 ) − ( k − 1 ) d t \sum\limits_{i=k}^{n} \binom{n}{i,n-i} p^i (1-p)^{n-i} = n \binom{n-1}{k-1,(n-1)-(k-1)} \int\limits_{0}^{p} t^{k-1}(1-t)^{(n-1)-(k-1)} \mathrm{d}t i=k∑n(i,n−in)pi(1−p)n−i=n(k−1,(n−1)−(k−1)n−1)0∫ptk−1(1−t)(n−1)−(k−1)dt
- p ( x ) ← Pr ( X ∈ ( x − ϵ , x + ϵ ) ) p(x) \gets \Pr(X \in (x-\epsilon,x+\epsilon)) p(x)←Pr(X∈(x−ϵ,x+ϵ))
- Beta分布,Gamma分布,Dirichlet分布
- 正态总体抽象分布
- χ2分布(卡方分布) Y = ∑ i = 1 n X i 2 Y = \sum\limits_{i=1}^{n} X_i^2 Y=i=1∑nXi2 (样本方差)
- t分布(学生分布) Y = X / 1 n ∑ i = 1 n X i 2 Y = \left. X \middle/ \sqrt{\frac{1}{n} \sum\limits_{i=1}^{n} X_i^2} \right. Y=X/n1i=1∑nXi2 (均值和样本方差)
- F分布 Y = ( 1 m ∑ j = 1 m X j 2 ) / ( 1 n ∑ i = 1 n X i 2 ) Y = \left. \left(\frac{1}{m} \sum\limits_{j=1}^{m} X_j^2\right) \middle/ \left(\frac{1}{n} \sum\limits_{i=1}^{n} X_i^2\right) \right. Y=(m1j=1∑mXj2)/(n1i=1∑nXi2) (两个正态分布总体)
- X ˉ \bar{X} Xˉ与 s 0 2 s_0^2 s02独立
- 分位数(分位点)
- 参数估计
- 区间估计
- 枢轴变量(正态分布总体)
- 非正态分布总体
- 单侧置信区间
- 点估计
- 矩估计法
- 极大似然估计法
- 一致性,无偏性,有效性
- 区间估计
- 假设检验(根据统计量和可接受置信度(显著性水平)计算置信区间(拒绝域))
- 方差已知的单个正态总体的期望检验(Z检验)
- 独立性检验 n ∑ i , j ( p ^ i j − p ^ i p ^ j ) 2 p ^ i p ^ j ∼ χ 2 ( ( # i − 1 ) ( # j − 1 ) ) n \sum\limits_{i,j} \frac{(\hat{p}_{ij} - \hat{p}_i\hat{p}_j)^2}{\hat{p}_i\hat{p}_j} \sim \chi^2((\#i-1)(\#j-1)) ni,j∑p^ip^j(p^ij−p^ip^j)2∼χ2((#i−1)(#j−1))
- 样本k阶原点矩
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Ak=n1i=1∑nXik,样本k阶中心矩
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凸优化
- Young不等式
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b
q
ab \leqslant \frac{1}{p}a^p + \frac{1}{q}b^q
ab⩽p1ap+q1bq (
a
,
b
>
0
a,b>0
a,b>0,
p
,
q
>
0
p,q>0
p,q>0,
1
p
+
1
q
=
1
\frac{1}{p}+\frac{1}{q}=1
p1+q1=1)
Holder不等式 E [ X Y ] ⩽ E [ X p ] 1 p E [ Y q ] 1 q E[XY] \leqslant E[X^p]^{\frac{1}{p}}E[Y^q]^{\frac{1}{q}} E[XY]⩽E[Xp]p1E[Yq]q1 ( X , Y > 0 X,Y>0 X,Y>0, p , q > 0 p,q>0 p,q>0, 1 p + 1 q = 1 \frac{1}{p}+\frac{1}{q}=1 p1+q1=1)