考虑三维正态分布 p ( x ∣ ω ) ∼ N ( μ ∣ Σ ) p({\bf x}\mid\omega)\sim N({\bf \mu}\mid\Sigma) p(x∣ω)∼N(μ∣Σ),其中 μ = ( 1 2 2 ) {\bf \mu}=\left( \begin{matrix}1\\2\\2\end{matrix} \right) μ=⎝⎛122⎠⎞及 Σ = ( 1 0 0 0 5 2 0 2 5 ) \Sigma=\left( \begin{matrix} 1 & 0 & 0 \\ 0 & 5 & 2 \\ 0 & 2 &5 \end{matrix} \right) Σ=⎝⎛100052025⎠⎞
(a) 求点 x 0 = ( 0.5 , 0 , 1 ) T x_0=(0.5,0,1)^T x0=(0.5,0,1)T处的概率密度;
解:根据正态分布密度公式:
N ( μ ∣ Σ ) = 1 ( 2 π ) D / 2 1 ∣ Σ ∣ 1 / 2 e x p { − 1 2 ( x − μ ) T Σ − 1 ( x − μ ) } N({\bf \mu}\mid\Sigma)= \frac {1}{(2\pi)^{D/2}}\frac {1}{|\Sigma|^{1/2}}exp\left \{ \frac{-1}{2}(x-\mu)^T\Sigma^{-1}(x-\mu) \right \} N(μ∣Σ)=(2π)D/21∣Σ∣1/21exp{ 2−1(x−μ)TΣ−1(x−μ)}
其中,由题目条件可知 x 0 − μ = ( − 0.5 − 2 − 1 ) , ∣ Σ ∣ − 1 = ( 1 0 0 0 5 21 − 2 21 0 − 2 21 5 21 ) , ∣ Σ ∣ = 21 x_0-\mu=\left( \begin{matrix}-0.5\\-2\\-1\end{matrix} \right),|\Sigma|^{-1}=\left( \begin{matrix} 1&0&0 \\ 0&\frac{5}{21}&-\frac{2}{21} \\ 0&-\frac{2}{21}&\frac{5}{21} \end{matrix} \right),|\Sigma|=21 x0−μ=⎝⎛−0.5−2−1⎠⎞,∣Σ∣−1=⎝⎛1000215−2120−212215⎠⎞,∣Σ∣=21
因此,
p ( x 0 ∣ μ ) = 1 ( 2 π ) 3 / 2 1 ∣ Σ ∣ 1 / 2 e x p { − 1 2 ( x 0 − μ ) T Σ − 1 ( x 0 − μ ) } = 1 168 π 3 e x p { − 89 168 } \begin{aligned} p(x_0\mid\mu)&=\frac {1}{(2\pi)^{3/2}}\frac {1}{|\Sigma|^{1/2}}exp\left \{ \frac{-1}{2}(x_0-\mu)^T\Sigma^{-1}(x_0-\mu) \right \} \\ &=\frac{1}{\sqrt{168\pi^3}}exp \left \{ -\frac{89}{168} \right \} \end{aligned} p(x0∣μ)=(2π)3/21∣Σ∣1/21exp{
2−1(x0−μ)TΣ−1(x0−μ)}=168π31exp{
−16889}
(b) 构造白化变换矩阵 A ω ( A ω = Φ Λ − 1 / 2 ) A_\omega(A_\omega=\Phi\Lambda^{-1/2}) Aω</