线性二次型规划LQR中二次型期望等于迹
在吴恩达LQG问题的笔记中，有公式为：
E
[
w
t
T
Φ
t
+
1
w
t
]
=
T
r
(
Σ
t
Φ
t
+
1
)
w
i
t
h
w
t
∼
N
(
0
,
Σ
t
)
\mathbb{E}[w_t^T\Phi_{t+1}w_t]=Tr(\Sigma_t\Phi_{t+1}) \quad with \quad w_t\sim\mathcal{N}(0,\Sigma_t)
E[wtTΦt+1wt]=Tr(ΣtΦt+1)withwt∼N(0,Σt)
证明如下：
- 引入等式： T r ( x x T A ) = T r ( x T A x ) = x T A x Tr(xx^TA)=Tr(x^TAx)=x^TAx Tr(xxTA)=Tr(xTAx)=xTAx
- 由上述等式
(1) E [ w t T Φ t + 1 w t ] = E [ T r ( w t w t T Φ t + 1 ) ] = T r ( E [ w t w t T Φ t + 1 ] ) = T r ( E [ w t w t T ] Φ t + 1 ) \begin{aligned} \mathbb{E}[w_t^T\Phi_{t+1}w_t]&=\mathbb{E}[Tr(w_tw_t^T\Phi_{t+1})]\\ &=Tr(\mathbb{E}[w_tw_t^T\Phi_{t+1}])\\ &=Tr(\mathbb{E}[w_tw_t^T]\Phi_{t+1})\tag{1} \end{aligned} E[wtTΦt+1wt]=E[Tr(wtwtTΦt+1)]=Tr(E[wtwtTΦt+1])=Tr(E[wtwtT]Φt+1)(1)
其中 w t = [ w t 1 , w t 2 , ⋯   , w t n ] T w_t=[w_{t_1},w_{t_2},\cdots,w_{t_n}]^T wt=[wt1,wt2,⋯,wtn]T，且 E [ w t 1 ] = 0 \mathbb{E}[w_{t_1}]=0 E[wt1]=0
(2) w t w t T = [ w t 1 w t 1 w t 1 w t 2 ⋯ w t 1 w t n w t 2 w t 1 w t 2 w t 2 ⋯ w t 2 w t n ⋮ ⋮ ⋱ ⋮ w t n w t 1 w t n w t 2 ⋯ w t n w t n ] \begin{aligned} w_tw_t^T=\left[ \begin{array}{cccc} w_{t_1}w_{t_1} & w_{t_1}w_{t_2} & \cdots & w_{t_1}w_{t_n} \\ w_{t_2}w_{t_1} & w_{t_2}w_{t_2} & \cdots & w_{t_2}w_{t_n} \\ \vdots & \vdots & \ddots & \vdots \\ w_{t_n}w_{t_1} & w_{t_n}w_{t_2} & \cdots & w_{t_n}w_{t_n} \end{array} \right]\tag{2} \end{aligned} wtwtT=⎣⎢⎢⎢⎡wt1wt1wt2wt1⋮wtnwt1wt1wt2wt2wt2⋮wtnwt2⋯⋯⋱⋯wt1wtnwt2wtn⋮wtnwtn⎦⎥⎥⎥⎤(2)
所以有
(3) E [ w t w t T ] = [ E [ w t i w t j ] ] n × n = [ E [ w t i w t j ] − E [ w t i ] E [ w t j ] ] n × n = [ E [ ( w t i − E [ w t i ] ) ( w t j − E [ w t j ] ) ] ] n × n = [ c o v ( w t i , w t j ) ] n × n = Σ t \begin{aligned} \mathbb{E}[w_tw_t^T]&=[\mathbb{E}[w_{t_i}w_{t_j}]]_{n\times n}\\ &=[\mathbb{E}[w_{t_i}w_{t_j}]-\mathbb{E}[w_{t_i}]\mathbb{E}[w_{t_j}]]_{n\times n}\\ &=[\mathbb{E}[(w_{t_i}-\mathbb{E}[w_{t_i}])(w_{t_j}-\mathbb{E}[w_{t_j}])]]_{n\times n}\\ &=[cov(w_{t_i},\ w_{t_j})]_{n\times n}\\ &=\Sigma_t\tag{3} \end{aligned} E[wtwtT]=[E[wtiwtj]]n×n=[E[wtiwtj]−E[wti]E[wtj]]n×n=[E[(wti−E[wti])(wtj−E[wtj])]]n×n=[cov(wti, wtj)]n×n=Σt(3) - 将公式(3)带入公式(1)得到 E [ w t T Φ t + 1 w t ] = T r ( Σ t Φ t + 1 ) \quad\mathbb{E}[w_t^T\Phi_{t+1}w_t]=Tr(\Sigma_t\Phi_{t+1}) E[wtTΦt+1wt]=Tr(ΣtΦt+1)
513
被折叠的 条评论
为什么被折叠?
到【灌水乐园】发言
