吴恩达机器学习:week3


title: ‘吴恩达机器学习:week3’
date: 2019-11-20 15:37:28
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categories:

  • 机器学习
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  • 机器学习

线性代数回顾(Linear Algebra Review)

3.1 矩阵和向量

参考视频: 3 - 1 - Matrices and Vectors (9 min).mkv

如图:这个是4×2矩阵,即4行2列,如 m m m为行, n n n为列,那么 m × n m×n m×n即4×2

矩阵的维数即行数×列数

矩阵元素(矩阵项): A = [ 1402 191 1371 821 949 1437 147 1448 ] A=\left[ \begin{matrix} 1402 & 191 \\ 1371 & 821 \\ 949 & 1437 \\ 147 & 1448 \\\end{matrix} \right] A=1402137194914719182114371448

A i j A_{ij} Aij指第 i i i行,第 j j j列的元素。

向量是一种特殊的矩阵,讲义中的向量一般都是列向量,如:
y = [ 460 232 315 178 ] y=\left[ \begin{matrix} {460} \\ {232} \\ {315} \\ {178} \\\end{matrix} \right] y=460232315178

为四维列向量(4×1)。

如下图为1索引向量和0索引向量,左图为1索引向量,右图为0索引向量,一般我们用1索引向量。

y = [ y 1 y 2 y 3 y 4 ] y=\left[ \begin{matrix} {{y}_{1}} \\ {{y}_{2}} \\ {{y}_{3}} \\ {{y}_{4}} \\\end{matrix} \right] y=y1y2y3y4 y = [ y 0 y 1 y 2 y 3 ] y=\left[ \begin{matrix} {{y}_{0}} \\ {{y}_{1}} \\ {{y}_{2}} \\ {{y}_{3}} \\\end{matrix} \right] y=y0y1y2y3

3.2 加法和标量乘法

参考视频: 3 - 2 - Addition and Scalar Multiplication (7 min).mkv

矩阵的加法:行列数相等的可以加。

例:

矩阵的乘法:每个元素都要乘

组合算法也类似。

3.3 矩阵向量乘法

参考视频: 3 - 3 - Matrix Vector Multiplication (14 min).mkv

矩阵和向量的乘法如图: m × n m×n m×n的矩阵乘以 n × 1 n×1 n×1的向量,得到的是 m × 1 m×1 m×1的向量

算法举例:

3.4 矩阵乘法

参考视频: 3 - 4 - Matrix Matrix Multiplication (11 min).mkv

矩阵乘法:

m × n m×n m×n矩阵乘以 n × o n×o n×o矩阵,变成 m × o m×o m×o矩阵。

如果这样说不好理解的话就举一个例子来说明一下,比如说现在有两个矩阵 A A A B B B,那么它们的乘积就可以表示为图中所示的形式。


3.5 矩阵乘法的性质

参考视频: 3 - 5 - Matrix Multiplication Properties (9 min).mkv

矩阵乘法的性质:

矩阵的乘法不满足交换律: A × B ≠ B × A A×B≠B×A A×B=B×A

矩阵的乘法满足结合律。即: A × ( B × C ) = ( A × B ) × C A×(B×C)=(A×B)×C A×(B×C)=(A×B)×C

单位矩阵:在矩阵的乘法中,有一种矩阵起着特殊的作用,如同数的乘法中的1,我们称这种矩阵为单位矩阵.它是个方阵,一般用 I I I 或者 E E E 表示,本讲义都用 I I I 代表单位矩阵,从左上角到右下角的对角线(称为主对角线)上的元素均为1以外全都为0。如:

A A − 1 = A − 1 A = I A{{A}^{-1}}={{A}^{-1}}A=I AA1=A1A=I

对于单位矩阵,有 A I = I A = A AI=IA=A AI=IA=A

3.6 逆、转置

参考视频: 3 - 6 - Inverse and Transpose (11 min).mkv

矩阵的逆:如矩阵 A A A是一个 m × m m×m m×m矩阵(方阵),如果有逆矩阵,则: A A − 1 = A − 1 A = I A{{A}^{-1}}={{A}^{-1}}A=I AA1=A1A=I

我们一般在OCTAVE或者MATLAB中进行计算矩阵的逆矩阵。

矩阵的转置:设 A A A m × n m×n m×n阶矩阵(即 m m m n n n列),第$i 行 行 j 列 的 元 素 是 列的元素是 a(i,j) , 即 : ,即: A=a(i,j)$

定义 A A A的转置为这样一个 n × m n×m n×m阶矩阵 B B B,满足 B = a ( j , i ) B=a(j,i) B=a(j,i),即 b ( i , j ) = a ( j , i ) b (i,j)=a(j,i) b(i,j)=a(j,i) B B B的第 i i i行第 j j j列元素是 A A A的第 j j j行第 i i i列元素),记 A T = B {{A}^{T}}=B AT=B。(有些书记为A’=B)

直观来看,将 A A A的所有元素绕着一条从第1行第1列元素出发的右下方45度的射线作镜面反转,即得到 A A A的转置。

例:

∣ a b c d e f ∣ T = ∣ a c e b d f ∣ {{\left| \begin{matrix} a& b \\ c& d \\ e& f \\\end{matrix} \right|}^{T}}=\left|\begin{matrix} a& c & e \\ b& d & f \\\end{matrix} \right| acebdfT=abcdef

矩阵的转置基本性质:

$ {{\left( A\pm B \right)}{T}}={{A}{T}}\pm {{B}^{T}} $
( A × B ) T = B T × A T {{\left( A\times B \right)}^{T}}={{B}^{T}}\times {{A}^{T}} (A×B)T=BT×AT
${{\left( {{A}^{T}} \right)}^{T}}=A $
${{\left( KA \right)}{T}}=K{{A}{T}} $

matlab中矩阵转置:直接打一撇,x=y'

机器学习的数学基础

高等数学

1.导数定义:

导数和微分的概念

f ′ ( x 0 ) = lim ⁡ Δ x → 0   f ( x 0 + Δ x ) − f ( x 0 ) Δ x f'({{x}_{0}})=\underset{\Delta x\to 0}{\mathop{\lim }}\,\frac{f({{x}_{0}}+\Delta x)-f({{x}_{0}})}{\Delta x} f(x0)=Δx0limΔxf(x0+Δx)f(x0) (1)

或者:

f ′ ( x 0 ) = lim ⁡ x → x 0   f ( x ) − f ( x 0 ) x − x 0 f'({{x}_{0}})=\underset{x\to {{x}_{0}}}{\mathop{\lim }}\,\frac{f(x)-f({{x}_{0}})}{x-{{x}_{0}}} f(x0)=xx0limxx0f(x)f(x0) (2)

2.左右导数导数的几何意义和物理意义

函数 f ( x ) f(x) f(x) x 0 x_0 x0处的左、右导数分别定义为:

左导数: f ′ − ( x 0 ) = lim ⁡ Δ x → 0 −   f ( x 0 + Δ x ) − f ( x 0 ) Δ x = lim ⁡ x → x 0 −   f ( x ) − f ( x 0 ) x − x 0 , ( x = x 0 + Δ x ) {{{f}'}_{-}}({{x}_{0}})=\underset{\Delta x\to {{0}^{-}}}{\mathop{\lim }}\,\frac{f({{x}_{0}}+\Delta x)-f({{x}_{0}})}{\Delta x}=\underset{x\to x_{0}^{-}}{\mathop{\lim }}\,\frac{f(x)-f({{x}_{0}})}{x-{{x}_{0}}},(x={{x}_{0}}+\Delta x) f(x0)=Δx0limΔxf(x0+Δx)f(x0)=xx0limxx0f(x)f(x0),(x=x0+Δx)

右导数: f ′ + ( x 0 ) = lim ⁡ Δ x → 0 +   f ( x 0 + Δ x ) − f ( x 0 ) Δ x = lim ⁡ x → x 0 +   f ( x ) − f ( x 0 ) x − x 0 {{{f}'}_{+}}({{x}_{0}})=\underset{\Delta x\to {{0}^{+}}}{\mathop{\lim }}\,\frac{f({{x}_{0}}+\Delta x)-f({{x}_{0}})}{\Delta x}=\underset{x\to x_{0}^{+}}{\mathop{\lim }}\,\frac{f(x)-f({{x}_{0}})}{x-{{x}_{0}}} f+(x0)=Δx0+limΔxf(x0+Δx)f(x0)=xx0+limxx0f(x)f(x0)

3.函数的可导性与连续性之间的关系

Th1: 函数 f ( x ) f(x) f(x) x 0 x_0 x0处可微 ⇔ f ( x ) \Leftrightarrow f(x) f(x) x 0 x_0 x0处可导

Th2: 若函数在点 x 0 x_0 x0处可导,则 y = f ( x ) y=f(x) y=f(x)在点 x 0 x_0 x0处连续,反之则不成立。即函数连续不一定可导。

Th3: f ′ ( x 0 ) {f}'({{x}_{0}}) f(x0)存在 ⇔ f ′ − ( x 0 ) = f ′ + ( x 0 ) \Leftrightarrow {{{f}'}_{-}}({{x}_{0}})={{{f}'}_{+}}({{x}_{0}}) f(x0)=f+(x0)

4.平面曲线的切线和法线

切线方程 : y − y 0 = f ′ ( x 0 ) ( x − x 0 ) y-{{y}_{0}}=f'({{x}_{0}})(x-{{x}_{0}}) yy0=f(x0)(xx0)
法线方程: y − y 0 = − 1 f ′ ( x 0 ) ( x − x 0 ) , f ′ ( x 0 ) ≠ 0 y-{{y}_{0}}=-\frac{1}{f'({{x}_{0}})}(x-{{x}_{0}}),f'({{x}_{0}})\ne 0 yy0=f(x0)1(xx0),f(x0)=0

5.四则运算法则
设函数 u = u ( x ) , v = v ( x ) u=u(x),v=v(x) u=u(x)v=v(x)]在点 x x x可导则
(1) ( u ± v ) ′ = u ′ ± v ′ (u\pm v{)}'={u}'\pm {v}' (u±v)=u±v d ( u ± v ) = d u ± d v d(u\pm v)=du\pm dv d(u±v)=du±dv
(2) ( u v ) ′ = u v ′ + v u ′ (uv{)}'=u{v}'+v{u}' (uv)=uv+vu d ( u v ) = u d v + v d u d(uv)=udv+vdu d(uv)=udv+vdu
(3) ( u v ) ′ = v u ′ − u v ′ v 2 ( v ≠ 0 ) (\frac{u}{v}{)}'=\frac{v{u}'-u{v}'}{{{v}^{2}}}(v\ne 0) (vu)=v2vuuv(v=0) d ( u v ) = v d u − u d v v 2 d(\frac{u}{v})=\frac{vdu-udv}{{{v}^{2}}} d(vu)=v2vduudv

6.基本导数与微分表
(1) y = c y=c y=c(常数) y ′ = 0 {y}'=0 y=0 d y = 0 dy=0 dy=0
(2) y = x α y={{x}^{\alpha }} y=xα($\alpha $为实数) y ′ = α x α − 1 {y}'=\alpha {{x}^{\alpha -1}} y=αxα1 d y = α x α − 1 d x dy=\alpha {{x}^{\alpha -1}}dx dy=αxα1dx
(3) y = a x y={{a}^{x}} y=ax y ′ = a x ln ⁡ a {y}'={{a}^{x}}\ln a y=axlna d y = a x ln ⁡ a d x dy={{a}^{x}}\ln adx dy=axlnadx
特例: ( e x ) ′ = e x ({{{e}}^{x}}{)}'={{{e}}^{x}} (ex)=ex d ( e x ) = e x d x d({{{e}}^{x}})={{{e}}^{x}}dx d(ex)=exdx

(4) y = log ⁡ a x y={{\log }_{a}}x y=logax y ′ = 1 x ln ⁡ a {y}'=\frac{1}{x\ln a} y=xlna1

d y = 1 x ln ⁡ a d x dy=\frac{1}{x\ln a}dx dy=xlna1dx
特例: y = ln ⁡ x y=\ln x y=lnx ( ln ⁡ x ) ′ = 1 x (\ln x{)}'=\frac{1}{x} (lnx)=x1 d ( ln ⁡ x ) = 1 x d x d(\ln x)=\frac{1}{x}dx d(lnx)=x1dx

(5) y = sin ⁡ x y=\sin x y=sinx

y ′ = cos ⁡ x {y}'=\cos x y=cosx d ( sin ⁡ x ) = cos ⁡ x d x d(\sin x)=\cos xdx d(sinx)=cosxdx

(6) y = cos ⁡ x y=\cos x y=cosx

y ′ = − sin ⁡ x {y}'=-\sin x y=sinx d ( cos ⁡ x ) = − sin ⁡ x d x d(\cos x)=-\sin xdx d(cosx)=sinxdx

(7) y = tan ⁡ x y=\tan x y=tanx

y ′ = 1 cos ⁡ 2 x = sec ⁡ 2 x {y}'=\frac{1}{{{\cos }^{2}}x}={{\sec }^{2}}x y=cos2x1=sec2x d ( tan ⁡ x ) = sec ⁡ 2 x d x d(\tan x)={{\sec }^{2}}xdx d(tanx)=sec2xdx
(8) y = cot ⁡ x y=\cot x y=cotx y ′ = − 1 sin ⁡ 2 x = − csc ⁡ 2 x {y}'=-\frac{1}{{{\sin }^{2}}x}=-{{\csc }^{2}}x y=sin2x1=csc2x d ( cot ⁡ x ) = − csc ⁡ 2 x d x d(\cot x)=-{{\csc }^{2}}xdx d(cotx)=csc2xdx
(9) y = sec ⁡ x y=\sec x y=secx y ′ = sec ⁡ x tan ⁡ x {y}'=\sec x\tan x y=secxtanx

d ( sec ⁡ x ) = sec ⁡ x tan ⁡ x d x d(\sec x)=\sec x\tan xdx d(secx)=secxtanxdx
(10) y = csc ⁡ x y=\csc x y=cscx y ′ = − csc ⁡ x cot ⁡ x {y}'=-\csc x\cot x y=cscxcotx

d ( csc ⁡ x ) = − csc ⁡ x cot ⁡ x d x d(\csc x)=-\csc x\cot xdx d(cscx)=cscxcotxdx
(11) y = arcsin ⁡ x y=\arcsin x y=arcsinx

y ′ = 1 1 − x 2 {y}'=\frac{1}{\sqrt{1-{{x}^{2}}}} y=1x2 1

d ( arcsin ⁡ x ) = 1 1 − x 2 d x d(\arcsin x)=\frac{1}{\sqrt{1-{{x}^{2}}}}dx d(arcsinx)=1x2 1dx
(12) y = arccos ⁡ x y=\arccos x y=arccosx

y ′ = − 1 1 − x 2 {y}'=-\frac{1}{\sqrt{1-{{x}^{2}}}} y=1x2 1 d ( arccos ⁡ x ) = − 1 1 − x 2 d x d(\arccos x)=-\frac{1}{\sqrt{1-{{x}^{2}}}}dx d(arccosx)=1x2 1dx

(13) y = arctan ⁡ x y=\arctan x y=arctanx

y ′ = 1 1 + x 2 {y}'=\frac{1}{1+{{x}^{2}}} y=1+x21 d ( arctan ⁡ x ) = 1 1 + x 2 d x d(\arctan x)=\frac{1}{1+{{x}^{2}}}dx d(arctanx)=1+x21dx

(14) y = arc ⁡ cot ⁡ x y=\operatorname{arc}\cot x y=arccotx

y ′ = − 1 1 + x 2 {y}'=-\frac{1}{1+{{x}^{2}}} y=1+x21

d ( arc ⁡ cot ⁡ x ) = − 1 1 + x 2 d x d(\operatorname{arc}\cot x)=-\frac{1}{1+{{x}^{2}}}dx d(arccotx)=1+x21dx
(15) y = s h x y=shx y=shx

y ′ = c h x {y}'=chx y=chx d ( s h x ) = c h x d x d(shx)=chxdx d(shx)=chxdx

(16) y = c h x y=chx y=chx

y ′ = s h x {y}'=shx y=shx d ( c h x ) = s h x d x d(chx)=shxdx d(chx)=shxdx

7.复合函数,反函数,隐函数以及参数方程所确定的函数的微分法

(1) 反函数的运算法则: 设 y = f ( x ) y=f(x) y=f(x)在点 x x x的某邻域内单调连续,在点 x x x处可导且 f ′ ( x ) ≠ 0 {f}'(x)\ne 0 f(x)=0,则其反函数在点 x x x所对应的 y y y处可导,并且有 d y d x = 1 d x d y \frac{dy}{dx}=\frac{1}{\frac{dx}{dy}} dxdy=dydx1
(2) 复合函数的运算法则:若 μ = φ ( x ) \mu =\varphi (x) μ=φ(x)在点 x x x可导,而 y = f ( μ ) y=f(\mu ) y=f(μ)在对应点$\mu ( ( (\mu =\varphi (x) ) 可 导 , 则 复 合 函 数 )可导,则复合函数 ),y=f(\varphi (x)) 在 点 在点 x 可 导 , 且 可导,且 ,{y}’={f}’(\mu )\cdot {\varphi }’(x)$
(3) 隐函数导数 d y d x \frac{dy}{dx} dxdy的求法一般有三种方法:
1)方程两边对 x x x求导,要记住 y y y x x x的函数,则 y y y的函数是 x x x的复合函数.例如 1 y \frac{1}{y} y1 y 2 {{y}^{2}} y2 l n y ln y lny e y {{{e}}^{y}} ey等均是 x x x的复合函数.
x x x求导应按复合函数连锁法则做.
2)公式法.由 F ( x , y ) = 0 F(x,y)=0 F(x,y)=0 d y d x = − F ′ x ( x , y ) F ′ y ( x , y ) \frac{dy}{dx}=-\frac{{{{{F}'}}_{x}}(x,y)}{{{{{F}'}}_{y}}(x,y)} dxdy=Fy(x,y)Fx(x,y),其中, F ′ x ( x , y ) {{{F}'}_{x}}(x,y) Fx(x,y)
F ′ y ( x , y ) {{{F}'}_{y}}(x,y) Fy(x,y)分别表示 F ( x , y ) F(x,y) F(x,y) x x x y y y的偏导数
3)利用微分形式不变性

8.常用高阶导数公式

(1) ( a x )   ( n ) = a x ln ⁡ n a ( a > 0 ) ( e x )   ( n ) = e   x ({{a}^{x}}){{\,}^{(n)}}={{a}^{x}}{{\ln }^{n}}a\quad (a>{0})\quad \quad ({{{e}}^{x}}){{\,}^{(n)}}={e}{{\,}^{x}} (ax)(n)=axlnna(a>0)(ex)(n)=ex
(2) ( sin ⁡ k x )   ( n ) = k n sin ⁡ ( k x + n ⋅ π 2 ) (\sin kx{)}{{\,}^{(n)}}={{k}^{n}}\sin (kx+n\cdot \frac{\pi }{{2}}) (sinkx)(n)=knsin(kx+n2π)
(3) ( cos ⁡ k x )   ( n ) = k n cos ⁡ ( k x + n ⋅ π 2 ) (\cos kx{)}{{\,}^{(n)}}={{k}^{n}}\cos (kx+n\cdot \frac{\pi }{{2}}) (coskx)(n)=kncos(kx+n2π)
(4) ( x m )   ( n ) = m ( m − 1 ) ⋯ ( m − n + 1 ) x m − n ({{x}^{m}}){{\,}^{(n)}}=m(m-1)\cdots (m-n+1){{x}^{m-n}} (xm)(n)=m(m1)(mn+1)xmn
(5) ( ln ⁡ x )   ( n ) = ( − 1 ) ( n − 1 ) ( n − 1 ) ! x n (\ln x){{\,}^{(n)}}={{(-{1})}^{(n-{1})}}\frac{(n-{1})!}{{{x}^{n}}} (lnx)(n)=(1)(n1)xn(n1)!
(6)莱布尼兹公式:若 u ( x )   , v ( x ) u(x)\,,v(x) u(x),v(x) n n n阶可导,则
( u v ) ( n ) = ∑ i = 0 n c n i u ( i ) v ( n − i ) {{(uv)}^{(n)}}=\sum\limits_{i={0}}^{n}{c_{n}^{i}{{u}^{(i)}}{{v}^{(n-i)}}} (uv)(n)=i=0ncniu(i)v(ni),其中 u ( 0 ) = u {{u}^{({0})}}=u u(0)=u v ( 0 ) = v {{v}^{({0})}}=v v(0)=v

9.微分中值定理,泰勒公式

Th1:(费马定理)

若函数 f ( x ) f(x) f(x)满足条件:
(1)函数 f ( x ) f(x) f(x) x 0 {{x}_{0}} x0的某邻域内有定义,并且在此邻域内恒有
f ( x ) ≤ f ( x 0 ) f(x)\le f({{x}_{0}}) f(x)f(x0) f ( x ) ≥ f ( x 0 ) f(x)\ge f({{x}_{0}}) f(x)f(x0),

(2) f ( x ) f(x) f(x) x 0 {{x}_{0}} x0处可导,则有 f ′ ( x 0 ) = 0 {f}'({{x}_{0}})=0 f(x0)=0

Th2:(罗尔定理)

设函数 f ( x ) f(x) f(x)满足条件:
(1)在闭区间 [ a , b ] [a,b] [a,b]上连续;

(2)在 ( a , b ) (a,b) (a,b)内可导;

(3) f ( a ) = f ( b ) f(a)=f(b) f(a)=f(b)

则在 ( a , b ) (a,b) (a,b)内一存在个$\xi $,使 f ′ ( ξ ) = 0 {f}'(\xi )=0 f(ξ)=0
Th3: (拉格朗日中值定理)

设函数 f ( x ) f(x) f(x)满足条件:
(1)在 [ a , b ] [a,b] [a,b]上连续;

(2)在 ( a , b ) (a,b) (a,b)内可导;

则在 ( a , b ) (a,b) (a,b)内一存在个$\xi $,使 f ( b ) − f ( a ) b − a = f ′ ( ξ ) \frac{f(b)-f(a)}{b-a}={f}'(\xi ) baf(b)f(a)=f(ξ)

Th4: (柯西中值定理)

设函数 f ( x ) f(x) f(x) g ( x ) g(x) g(x)满足条件:
(1) 在 [ a , b ] [a,b] [a,b]上连续;

(2) 在 ( a , b ) (a,b) (a,b)内可导且 f ′ ( x ) {f}'(x) f(x) g ′ ( x ) {g}'(x) g(x)均存在,且 g ′ ( x ) ≠ 0 {g}'(x)\ne 0 g(x)=0

则在 ( a , b ) (a,b) (a,b)内存在一个$\xi $,使 f ( b ) − f ( a ) g ( b ) − g ( a ) = f ′ ( ξ ) g ′ ( ξ ) \frac{f(b)-f(a)}{g(b)-g(a)}=\frac{{f}'(\xi )}{{g}'(\xi )} g(b)g(a)f(b)f(a)=g(ξ)f(ξ)

10.洛必达法则
法则Ⅰ ( 0 0 \frac{0}{0} 00型)
设函数 f ( x ) , g ( x ) f\left( x \right),g\left( x \right) f(x),g(x)满足条件:
lim ⁡ x → x 0   f ( x ) = 0 , lim ⁡ x → x 0   g ( x ) = 0 \underset{x\to {{x}_{0}}}{\mathop{\lim }}\,f\left( x \right)=0,\underset{x\to {{x}_{0}}}{\mathop{\lim }}\,g\left( x \right)=0 xx0limf(x)=0,xx0limg(x)=0;

f ( x ) , g ( x ) f\left( x \right),g\left( x \right) f(x),g(x) x 0 {{x}_{0}} x0的邻域内可导,(在 x 0 {{x}_{0}} x0处可除外)且 g ′ ( x ) ≠ 0 {g}'\left( x \right)\ne 0 g(x)=0;

lim ⁡ x → x 0   f ′ ( x ) g ′ ( x ) \underset{x\to {{x}_{0}}}{\mathop{\lim }}\,\frac{{f}'\left( x \right)}{{g}'\left( x \right)} xx0limg(x)f(x)存在(或$\infty $)。

则:
lim ⁡ x → x 0   f ( x ) g ( x ) = lim ⁡ x → x 0   f ′ ( x ) g ′ ( x ) \underset{x\to {{x}_{0}}}{\mathop{\lim }}\,\frac{f\left( x \right)}{g\left( x \right)}=\underset{x\to {{x}_{0}}}{\mathop{\lim }}\,\frac{{f}'\left( x \right)}{{g}'\left( x \right)} xx0limg(x)f(x)=xx0limg(x)f(x)
法则 I ′ {{I}'} I ( 0 0 \frac{0}{0} 00型)设函数 f ( x ) , g ( x ) f\left( x \right),g\left( x \right) f(x),g(x)满足条件:
lim ⁡ x → ∞   f ( x ) = 0 , lim ⁡ x → ∞   g ( x ) = 0 \underset{x\to \infty }{\mathop{\lim }}\,f\left( x \right)=0,\underset{x\to \infty }{\mathop{\lim }}\,g\left( x \right)=0 xlimf(x)=0,xlimg(x)=0;

存在一个 X > 0 X>0 X>0,当 ∣ x ∣ > X \left| x \right|>X x>X时, f ( x ) , g ( x ) f\left( x \right),g\left( x \right) f(x),g(x)可导,且 g ′ ( x ) ≠ 0 {g}'\left( x \right)\ne 0 g(x)=0; lim ⁡ x → x 0   f ′ ( x ) g ′ ( x ) \underset{x\to {{x}_{0}}}{\mathop{\lim }}\,\frac{{f}'\left( x \right)}{{g}'\left( x \right)} xx0limg(x)f(x)存在(或$\infty $)。

则:
lim ⁡ x → x 0   f ( x ) g ( x ) = lim ⁡ x → x 0   f ′ ( x ) g ′ ( x ) \underset{x\to {{x}_{0}}}{\mathop{\lim }}\,\frac{f\left( x \right)}{g\left( x \right)}=\underset{x\to {{x}_{0}}}{\mathop{\lim }}\,\frac{{f}'\left( x \right)}{{g}'\left( x \right)} xx0limg(x)f(x)=xx0limg(x)f(x)
法则Ⅱ( ∞ ∞ \frac{\infty }{\infty } 型) 设函数 f ( x ) , g ( x ) f\left( x \right),g\left( x \right) f(x),g(x)满足条件:
$\underset{x\to {{x}{0}}}{\mathop{\lim }},f\left( x \right)=\infty ,\underset{x\to {{x}{0}}}{\mathop{\lim }},g\left( x \right)=\infty $; f ( x ) , g ( x ) f\left( x \right),g\left( x \right) f(x),g(x) x 0 {{x}_{0}} x0 的邻域内可导(在 x 0 {{x}_{0}} x0处可除外)且 g ′ ( x ) ≠ 0 {g}'\left( x \right)\ne 0 g(x)=0; lim ⁡ x → x 0   f ′ ( x ) g ′ ( x ) \underset{x\to {{x}_{0}}}{\mathop{\lim }}\,\frac{{f}'\left( x \right)}{{g}'\left( x \right)} xx0limg(x)f(x)存在(或$\infty $)。则
lim ⁡ x → x 0   f ( x ) g ( x ) = lim ⁡ x → x 0   f ′ ( x ) g ′ ( x ) . \underset{x\to {{x}_{0}}}{\mathop{\lim }}\,\frac{f\left( x \right)}{g\left( x \right)}=\underset{x\to {{x}_{0}}}{\mathop{\lim }}\,\frac{{f}'\left( x \right)}{{g}'\left( x \right)}. xx0limg(x)f(x)=xx0limg(x)f(x).同理法则 I I ′ {I{I}'} II( ∞ ∞ \frac{\infty }{\infty } 型)仿法则 I ′ {{I}'} I可写出。

11.泰勒公式

设函数 f ( x ) f(x) f(x)在点 x 0 {{x}_{0}} x0处的某邻域内具有 n + 1 n+1 n+1阶导数,则对该邻域内异于 x 0 {{x}_{0}} x0的任意点 x x x,在 x 0 {{x}_{0}} x0 x x x之间至少存在
一个$\xi $,使得:
$f(x)=f({{x}{0}})+{f}’({{x}{0}})(x-{{x}{0}})+\frac{1}{2!}{f}’’({{x}{0}}){{(x-{{x}_{0}})}^{2}}+\cdots $
+ f ( n ) ( x 0 ) n ! ( x − x 0 ) n + R n ( x ) +\frac{{{f}^{(n)}}({{x}_{0}})}{n!}{{(x-{{x}_{0}})}^{n}}+{{R}_{n}}(x) +n!f(n)(x0)(xx0)n+Rn(x)
其中 R n ( x ) = f ( n + 1 ) ( ξ ) ( n + 1 ) ! ( x − x 0 ) n + 1 {{R}_{n}}(x)=\frac{{{f}^{(n+1)}}(\xi )}{(n+1)!}{{(x-{{x}_{0}})}^{n+1}} Rn(x)=(n+1)!f(n+1)(ξ)(xx0)n+1称为 f ( x ) f(x) f(x)在点 x 0 {{x}_{0}} x0处的 n n n阶泰勒余项。

x 0 = 0 {{x}_{0}}=0 x0=0,则 n n n阶泰勒公式
f ( x ) = f ( 0 ) + f ′ ( 0 ) x + 1 2 ! f ′ ′ ( 0 ) x 2 + ⋯ + f ( n ) ( 0 ) n ! x n + R n ( x ) f(x)=f(0)+{f}'(0)x+\frac{1}{2!}{f}''(0){{x}^{2}}+\cdots +\frac{{{f}^{(n)}}(0)}{n!}{{x}^{n}}+{{R}_{n}}(x) f(x)=f(0)+f(0)x+2!1f(0)x2++n!f(n)(0)xn+Rn(x)……(1)
其中 R n ( x ) = f ( n + 1 ) ( ξ ) ( n + 1 ) ! x n + 1 {{R}_{n}}(x)=\frac{{{f}^{(n+1)}}(\xi )}{(n+1)!}{{x}^{n+1}} Rn(x)=(n+1)!f(n+1)(ξ)xn+1,$\xi 在 0 与 在0与 0x$之间.(1)式称为麦克劳林公式

常用五种函数在 x 0 = 0 {{x}_{0}}=0 x0=0处的泰勒公式

(1) e x = 1 + x + 1 2 ! x 2 + ⋯ + 1 n ! x n + x n + 1 ( n + 1 ) ! e ξ {{{e}}^{x}}=1+x+\frac{1}{2!}{{x}^{2}}+\cdots +\frac{1}{n!}{{x}^{n}}+\frac{{{x}^{n+1}}}{(n+1)!}{{e}^{\xi }} ex=1+x+2!1x2++n!1xn+(n+1)!xn+1eξ

= 1 + x + 1 2 ! x 2 + ⋯ + 1 n ! x n + o ( x n ) =1+x+\frac{1}{2!}{{x}^{2}}+\cdots +\frac{1}{n!}{{x}^{n}}+o({{x}^{n}}) =1+x+2!1x2++n!1xn+o(xn)

(2) sin ⁡ x = x − 1 3 ! x 3 + ⋯ + x n n ! sin ⁡ n π 2 + x n + 1 ( n + 1 ) ! sin ⁡ ( ξ + n + 1 2 π ) \sin x=x-\frac{1}{3!}{{x}^{3}}+\cdots +\frac{{{x}^{n}}}{n!}\sin \frac{n\pi }{2}+\frac{{{x}^{n+1}}}{(n+1)!}\sin (\xi +\frac{n+1}{2}\pi ) sinx=x3!1x3++n!xnsin2nπ+(n+1)!xn+1sin(ξ+2n+1π)

= x − 1 3 ! x 3 + ⋯ + x n n ! sin ⁡ n π 2 + o ( x n ) =x-\frac{1}{3!}{{x}^{3}}+\cdots +\frac{{{x}^{n}}}{n!}\sin \frac{n\pi }{2}+o({{x}^{n}}) =x3!1x3++n!xnsin2nπ+o(xn)

(3) cos ⁡ x = 1 − 1 2 ! x 2 + ⋯ + x n n ! cos ⁡ n π 2 + x n + 1 ( n + 1 ) ! cos ⁡ ( ξ + n + 1 2 π ) \cos x=1-\frac{1}{2!}{{x}^{2}}+\cdots +\frac{{{x}^{n}}}{n!}\cos \frac{n\pi }{2}+\frac{{{x}^{n+1}}}{(n+1)!}\cos (\xi +\frac{n+1}{2}\pi ) cosx=12!1x2++n!xncos2nπ+(n+1)!xn+1cos(ξ+2n+1π)

= 1 − 1 2 ! x 2 + ⋯ + x n n ! cos ⁡ n π 2 + o ( x n ) =1-\frac{1}{2!}{{x}^{2}}+\cdots +\frac{{{x}^{n}}}{n!}\cos \frac{n\pi }{2}+o({{x}^{n}}) =12!1x2++n!xncos2nπ+o(xn)

(4) ln ⁡ ( 1 + x ) = x − 1 2 x 2 + 1 3 x 3 − ⋯ + ( − 1 ) n − 1 x n n + ( − 1 ) n x n + 1 ( n + 1 ) ( 1 + ξ ) n + 1 \ln (1+x)=x-\frac{1}{2}{{x}^{2}}+\frac{1}{3}{{x}^{3}}-\cdots +{{(-1)}^{n-1}}\frac{{{x}^{n}}}{n}+\frac{{{(-1)}^{n}}{{x}^{n+1}}}{(n+1){{(1+\xi )}^{n+1}}} ln(1+x)=x21x2+31x3+(1)n1nxn+(n+1)(1+ξ)n+1(1)nxn+1

= x − 1 2 x 2 + 1 3 x 3 − ⋯ + ( − 1 ) n − 1 x n n + o ( x n ) =x-\frac{1}{2}{{x}^{2}}+\frac{1}{3}{{x}^{3}}-\cdots +{{(-1)}^{n-1}}\frac{{{x}^{n}}}{n}+o({{x}^{n}}) =x21x2+31x3+(1)n1nxn+o(xn)

(5) ( 1 + x ) m = 1 + m x + m ( m − 1 ) 2 ! x 2 + ⋯ + m ( m − 1 ) ⋯ ( m − n + 1 ) n ! x n {{(1+x)}^{m}}=1+mx+\frac{m(m-1)}{2!}{{x}^{2}}+\cdots +\frac{m(m-1)\cdots (m-n+1)}{n!}{{x}^{n}} (1+x)m=1+mx+2!m(m1)x2++n!m(m1)(mn+1)xn
+ m ( m − 1 ) ⋯ ( m − n + 1 ) ( n + 1 ) ! x n + 1 ( 1 + ξ ) m − n − 1 +\frac{m(m-1)\cdots (m-n+1)}{(n+1)!}{{x}^{n+1}}{{(1+\xi )}^{m-n-1}} +(n+1)!m(m1)(mn+1)xn+1(1+ξ)mn1

或 ${{(1+x)}{m}}=1+mx+\frac{m(m-1)}{2!}{{x}{2}}+\cdots $ + m ( m − 1 ) ⋯ ( m − n + 1 ) n ! x n + o ( x n ) +\frac{m(m-1)\cdots (m-n+1)}{n!}{{x}^{n}}+o({{x}^{n}}) +n!m(m1)(mn+1)xn+o(xn)

12.函数单调性的判断
Th1: 设函数 f ( x ) f(x) f(x) ( a , b ) (a,b) (a,b)区间内可导,如果对 ∀ x ∈ ( a , b ) \forall x\in (a,b) x(a,b),都有 f   ′ ( x ) > 0 f\,'(x)>0 f(x)>0(或 f   ′ ( x ) < 0 f\,'(x)<0 f(x)<0),则函数 f ( x ) f(x) f(x) ( a , b ) (a,b) (a,b)内是单调增加的(或单调减少)

Th2: (取极值的必要条件)设函数 f ( x ) f(x) f(x) x 0 {{x}_{0}} x0处可导,且在 x 0 {{x}_{0}} x0处取极值,则 f   ′ ( x 0 ) = 0 f\,'({{x}_{0}})=0 f(x0)=0

Th3: (取极值的第一充分条件)设函数 f ( x ) f(x) f(x) x 0 {{x}_{0}} x0的某一邻域内可微,且 f   ′ ( x 0 ) = 0 f\,'({{x}_{0}})=0 f(x0)=0(或 f ( x ) f(x) f(x) x 0 {{x}_{0}} x0处连续,但 f   ′ ( x 0 ) f\,'({{x}_{0}}) f(x0)不存在。)
(1)若当 x x x经过 x 0 {{x}_{0}} x0时, f   ′ ( x ) f\,'(x) f(x)由“+”变“-”,则 f ( x 0 ) f({{x}_{0}}) f(x0)为极大值;
(2)若当 x x x经过 x 0 {{x}_{0}} x0时, f   ′ ( x ) f\,'(x) f(x)由“-”变“+”,则 f ( x 0 ) f({{x}_{0}}) f(x0)为极小值;
(3)若 f   ′ ( x ) f\,'(x) f(x)经过 x = x 0 x={{x}_{0}} x=x0的两侧不变号,则 f ( x 0 ) f({{x}_{0}}) f(x0)不是极值。

Th4: (取极值的第二充分条件)设 f ( x ) f(x) f(x)在点 x 0 {{x}_{0}} x0处有 f ′ ′ ( x ) ≠ 0 f''(x)\ne 0 f(x)=0,且 f   ′ ( x 0 ) = 0 f\,'({{x}_{0}})=0 f(x0)=0,则 当 f ′   ′ ( x 0 ) < 0 f'\,'({{x}_{0}})<0 f(x0)<0时, f ( x 0 ) f({{x}_{0}}) f(x0)为极大值;
f ′   ′ ( x 0 ) > 0 f'\,'({{x}_{0}})>0 f(x0)>0时, f ( x 0 ) f({{x}_{0}}) f(x0)为极小值。
注:如果 f ′   ′ ( x 0 ) < 0 f'\,'({{x}_{0}})<0 f(x0)<0,此方法失效。

13.渐近线的求法
(1)水平渐近线 若 lim ⁡ x → + ∞   f ( x ) = b \underset{x\to +\infty }{\mathop{\lim }}\,f(x)=b x+limf(x)=b,或 lim ⁡ x → − ∞   f ( x ) = b \underset{x\to -\infty }{\mathop{\lim }}\,f(x)=b xlimf(x)=b,则

y = b y=b y=b称为函数 y = f ( x ) y=f(x) y=f(x)的水平渐近线。

(2)铅直渐近线 若$\underset{x\to x_{0}^{-}}{\mathop{\lim }},f(x)=\infty , 或 ,或 \underset{x\to x_{0}^{+}}{\mathop{\lim }},f(x)=\infty $,则

x = x 0 x={{x}_{0}} x=x0称为 y = f ( x ) y=f(x) y=f(x)的铅直渐近线。

(3)斜渐近线 若 a = lim ⁡ x → ∞   f ( x ) x , b = lim ⁡ x → ∞   [ f ( x ) − a x ] a=\underset{x\to \infty }{\mathop{\lim }}\,\frac{f(x)}{x},\quad b=\underset{x\to \infty }{\mathop{\lim }}\,[f(x)-ax] a=xlimxf(x),b=xlim[f(x)ax],则
y = a x + b y=ax+b y=ax+b称为 y = f ( x ) y=f(x) y=f(x)的斜渐近线。

14.函数凹凸性的判断
Th1: (凹凸性的判别定理)若在I上 f ′ ′ ( x ) < 0 f''(x)<0 f(x)<0(或 f ′ ′ ( x ) > 0 f''(x)>0 f(x)>0),则 f ( x ) f(x) f(x)在I上是凸的(或凹的)。

Th2: (拐点的判别定理1)若在 x 0 {{x}_{0}} x0 f ′ ′ ( x ) = 0 f''(x)=0 f(x)=0,(或 f ′ ′ ( x ) f''(x) f(x)不存在),当 x x x变动经过 x 0 {{x}_{0}} x0时, f ′ ′ ( x ) f''(x) f(x)变号,则 ( x 0 , f ( x 0 ) ) ({{x}_{0}},f({{x}_{0}})) (x0,f(x0))为拐点。

Th3: (拐点的判别定理2)设 f ( x ) f(x) f(x) x 0 {{x}_{0}} x0点的某邻域内有三阶导数,且 f ′ ′ ( x ) = 0 f''(x)=0 f(x)=0 f ′ ′ ′ ( x ) ≠ 0 f'''(x)\ne 0 f(x)=0,则 ( x 0 , f ( x 0 ) ) ({{x}_{0}},f({{x}_{0}})) (x0,f(x0))为拐点。

15.弧微分

d S = 1 + y ′ 2 d x dS=\sqrt{1+y{{'}^{2}}}dx dS=1+y2 dx

16.曲率

曲线 y = f ( x ) y=f(x) y=f(x)在点 ( x , y ) (x,y) (x,y)处的曲率 k = ∣ y ′ ′ ∣ ( 1 + y ′ 2 ) 3 2 k=\frac{\left| y'' \right|}{{{(1+y{{'}^{2}})}^{\tfrac{3}{2}}}} k=(1+y2)23y
对于参数方程KaTeX parse error: No such environment: align at position 15: \left\{ \begin{̲a̲l̲i̲g̲n̲}̲ & x=\varphi (… k = ∣ φ ′ ( t ) ψ ′ ′ ( t ) − φ ′ ′ ( t ) ψ ′ ( t ) ∣ [ φ ′ 2 ( t ) + ψ ′ 2 ( t ) ] 3 2 k=\frac{\left| \varphi '(t)\psi ''(t)-\varphi ''(t)\psi '(t) \right|}{{{[\varphi {{'}^{2}}(t)+\psi {{'}^{2}}(t)]}^{\tfrac{3}{2}}}} k=[φ2(t)+ψ2(t)]23φ(t)ψ(t)φ(t)ψ(t)

17.曲率半径

曲线在点 M M M处的曲率 k ( k ≠ 0 ) k(k\ne 0) k(k=0)与曲线在点 M M M处的曲率半径$\rho 有 如 下 关 系 : 有如下关系: \rho =\frac{1}{k}$。

线性代数

行列式

1.行列式按行(列)展开定理

(1) 设 A = ( a i j ) n × n A = ( a_{{ij}} )_{n \times n} A=(aij)n×n,则: a i 1 A j 1 + a i 2 A j 2 + ⋯ + a i n A j n = { ∣ A ∣ , i = j 0 , i ≠ j a_{i1}A_{j1} +a_{i2}A_{j2} + \cdots + a_{{in}}A_{{jn}} = \begin{cases}|A|,i=j\\ 0,i \neq j\end{cases} ai1Aj1+ai2Aj2++ainAjn={A,i=j0,i=j

a 1 i A 1 j + a 2 i A 2 j + ⋯ + a n i A n j = { ∣ A ∣ , i = j 0 , i ≠ j a_{1i}A_{1j} + a_{2i}A_{2j} + \cdots + a_{{ni}}A_{{nj}} = \begin{cases}|A|,i=j\\ 0,i \neq j\end{cases} a1iA1j+a2iA2j++aniAnj={A,i=j0,i=j A A ∗ = A ∗ A = ∣ A ∣ E , AA^{*} = A^{*}A = \left| A \right|E, AA=AA=AE,其中: A ∗ = ( A 11 A 12 … A 1 n A 21 A 22 … A 2 n … … … … A n 1 A n 2 … A n n ) = ( A j i ) = ( A i j ) T A^{*} = \begin{pmatrix} A_{11} & A_{12} & \ldots & A_{1n} \\ A_{21} & A_{22} & \ldots & A_{2n} \\ \ldots & \ldots & \ldots & \ldots \\ A_{n1} & A_{n2} & \ldots & A_{{nn}} \\ \end{pmatrix} = (A_{{ji}}) = {(A_{{ij}})}^{T} A=A11A21An1A12A22An2A1nA2nAnn=(Aji)=(Aij)T

D n = ∣ 1 1 … 1 x 1 x 2 … x n … … … … x 1 n − 1 x 2 n − 1 … x n n − 1 ∣ = ∏ 1 ≤ j < i ≤ n   ( x i − x j ) D_{n} = \begin{vmatrix} 1 & 1 & \ldots & 1 \\ x_{1} & x_{2} & \ldots & x_{n} \\ \ldots & \ldots & \ldots & \ldots \\ x_{1}^{n - 1} & x_{2}^{n - 1} & \ldots & x_{n}^{n - 1} \\ \end{vmatrix} = \prod_{1 \leq j < i \leq n}^{}\,(x_{i} - x_{j}) Dn=1x1x1n11x2x2n11xnxnn1=1j<in(xixj)

(2) 设 A , B A,B A,B n n n阶方阵,则 ∣ A B ∣ = ∣ A ∣ ∣ B ∣ = ∣ B ∣ ∣ A ∣ = ∣ B A ∣ \left| {AB} \right| = \left| A \right|\left| B \right| = \left| B \right|\left| A \right| = \left| {BA} \right| AB=AB=BA=BA,但 ∣ A ± B ∣ = ∣ A ∣ ± ∣ B ∣ \left| A \pm B \right| = \left| A \right| \pm \left| B \right| A±B=A±B不一定成立。

(3) ∣ k A ∣ = k n ∣ A ∣ \left| {kA} \right| = k^{n}\left| A \right| kA=knA, A A A n n n阶方阵。

(4) 设 A A A n n n阶方阵, ∣ A T ∣ = ∣ A ∣ ; ∣ A − 1 ∣ = ∣ A ∣ − 1 |A^{T}| = |A|;|A^{- 1}| = |A|^{- 1} AT=A;A1=A1(若 A A A可逆), ∣ A ∗ ∣ = ∣ A ∣ n − 1 |A^{*}| = |A|^{n - 1} A=An1

n ≥ 2 n \geq 2 n2

(5) ∣ A O O B ∣ = ∣ A C O B ∣ = ∣ A O C B ∣ = ∣ A ∣ ∣ B ∣ \left| \begin{matrix} & {A\quad O} \\ & {O\quad B} \\ \end{matrix} \right| = \left| \begin{matrix} & {A\quad C} \\ & {O\quad B} \\ \end{matrix} \right| = \left| \begin{matrix} & {A\quad O} \\ & {C\quad B} \\ \end{matrix} \right| =| A||B| AOOB=ACOB=AOCB=AB
A , B A,B A,B为方阵,但 ∣ O A m × m B n × n O ∣ = ( − 1 ) m n ∣ A ∣ ∣ B ∣ \left| \begin{matrix} {O} & A_{m \times m} \\ B_{n \times n} & { O} \\ \end{matrix} \right| = ({- 1)}^{{mn}}|A||B| OBn×nAm×mO=(1)mnAB

(6) 范德蒙行列式 D n = ∣ 1 1 … 1 x 1 x 2 … x n … … … … x 1 n − 1 x 2 n 1 … x n n − 1 ∣ = ∏ 1 ≤ j < i ≤ n   ( x i − x j ) D_{n} = \begin{vmatrix} 1 & 1 & \ldots & 1 \\ x_{1} & x_{2} & \ldots & x_{n} \\ \ldots & \ldots & \ldots & \ldots \\ x_{1}^{n - 1} & x_{2}^{n 1} & \ldots & x_{n}^{n - 1} \\ \end{vmatrix} = \prod_{1 \leq j < i \leq n}^{}\,(x_{i} - x_{j}) Dn=1x1x1n11x2x2n11xnxnn1=1j<in(xixj)

A A A n n n阶方阵, λ i ( i = 1 , 2 ⋯   , n ) \lambda_{i}(i = 1,2\cdots,n) λi(i=1,2,n) A A A n n n个特征值,则
∣ A ∣ = ∏ i = 1 n λ i |A| = \prod_{i = 1}^{n}\lambda_{i} A=i=1nλi

矩阵

矩阵: m × n m \times n m×n个数 a i j a_{{ij}} aij排成 m m m n n n列的表格 [ a 11 a 12 ⋯ a 1 n a 21 a 22 ⋯ a 2 n ⋯ ⋯ ⋯ ⋯ ⋯ a m 1 a m 2 ⋯ a m n ] \begin{bmatrix} a_{11}\quad a_{12}\quad\cdots\quad a_{1n} \\ a_{21}\quad a_{22}\quad\cdots\quad a_{2n} \\ \quad\cdots\cdots\cdots\cdots\cdots \\ a_{m1}\quad a_{m2}\quad\cdots\quad a_{{mn}} \\ \end{bmatrix} a11a12a1na21a22a2nam1am2amn 称为矩阵,简记为 A A A,或者 ( a i j ) m × n \left( a_{{ij}} \right)_{m \times n} (aij)m×n 。若 m = n m = n m=n,则称 A A A n n n阶矩阵或 n n n阶方阵。

矩阵的线性运算

1.矩阵的加法

A = ( a i j ) , B = ( b i j ) A = (a_{{ij}}),B = (b_{{ij}}) A=(aij),B=(bij)是两个 m × n m \times n m×n矩阵,则 m × n m \times n m×n 矩阵 C = c i j ) = a i j + b i j C = c_{{ij}}) = a_{{ij}} + b_{{ij}} C=cij)=aij+bij称为矩阵 A A A B B B的和,记为 A + B = C A + B = C A+B=C

2.矩阵的数乘

A = ( a i j ) A = (a_{{ij}}) A=(aij) m × n m \times n m×n矩阵, k k k是一个常数,则 m × n m \times n m×n矩阵 ( k a i j ) (ka_{{ij}}) (kaij)称为数 k k k与矩阵 A A A的数乘,记为 k A {kA} kA

3.矩阵的乘法

A = ( a i j ) A = (a_{{ij}}) A=(aij) m × n m \times n m×n矩阵, B = ( b i j ) B = (b_{{ij}}) B=(bij) n × s n \times s n×s矩阵,那么 m × s m \times s m×s矩阵 C = ( c i j ) C = (c_{{ij}}) C=(cij),其中 c i j = a i 1 b 1 j + a i 2 b 2 j + ⋯ + a i n b n j = ∑ k = 1 n a i k b k j c_{{ij}} = a_{i1}b_{1j} + a_{i2}b_{2j} + \cdots + a_{{in}}b_{{nj}} = \sum_{k =1}^{n}{a_{{ik}}b_{{kj}}} cij=ai1b1j+ai2b2j++ainbnj=k=1naikbkj称为 A B {AB} AB的乘积,记为 C = A B C = AB C=AB

4. A T \mathbf{A}^{\mathbf{T}} AT A − 1 \mathbf{A}^{\mathbf{-1}} A1 A ∗ \mathbf{A}^{\mathbf{*}} A三者之间的关系

(1) ( A T ) T = A , ( A B ) T = B T A T , ( k A ) T = k A T , ( A ± B ) T = A T ± B T {(A^{T})}^{T} = A,{(AB)}^{T} = B^{T}A^{T},{(kA)}^{T} = kA^{T},{(A \pm B)}^{T} = A^{T} \pm B^{T} (AT)T=A,(AB)T=BTAT,(kA)T=kAT,(A±B)T=AT±BT

(2) ( A − 1 ) − 1 = A , ( A B ) − 1 = B − 1 A − 1 , ( k A ) − 1 = 1 k A − 1 , \left( A^{- 1} \right)^{- 1} = A,\left( {AB} \right)^{- 1} = B^{- 1}A^{- 1},\left( {kA} \right)^{- 1} = \frac{1}{k}A^{- 1}, (A1)1=A,(AB)1=B1A1,(kA)1=k1A1,

( A ± B ) − 1 = A − 1 ± B − 1 {(A \pm B)}^{- 1} = A^{- 1} \pm B^{- 1} (A±B)1=A1±B1不一定成立。

(3) ( A ∗ ) ∗ = ∣ A ∣ n − 2   A    ( n ≥ 3 ) \left( A^{*} \right)^{*} = |A|^{n - 2}\ A\ \ (n \geq 3) (A)=An2 A  (n3) ( A B ) ∗ = B ∗ A ∗ , \left({AB} \right)^{*} = B^{*}A^{*}, (AB)=BA, ( k A ) ∗ = k n − 1 A ∗    ( n ≥ 2 ) \left( {kA} \right)^{*} = k^{n -1}A^{*}{\ \ }\left( n \geq 2 \right) (kA)=kn1A  (n2)

( A ± B ) ∗ = A ∗ ± B ∗ \left( A \pm B \right)^{*} = A^{*} \pm B^{*} (A±B)=A±B不一定成立。

(4) ( A − 1 ) T = ( A T ) − 1 ,   ( A − 1 ) ∗ = ( A A ∗ ) − 1 , ( A ∗ ) T = ( A T ) ∗ {(A^{- 1})}^{T} = {(A^{T})}^{- 1},\ \left( A^{- 1} \right)^{*} ={(AA^{*})}^{- 1},{(A^{*})}^{T} = \left( A^{T} \right)^{*} (A1)T=(AT)1, (A1)=(AA)1,(A)T=(AT)

5.有关 A ∗ \mathbf{A}^{\mathbf{*}} A的结论

(1) A A ∗ = A ∗ A = ∣ A ∣ E AA^{*} = A^{*}A = |A|E AA=AA=AE

(2) ∣ A ∗ ∣ = ∣ A ∣ n − 1   ( n ≥ 2 ) ,      ( k A ) ∗ = k n − 1 A ∗ ,    ( A ∗ ) ∗ = ∣ A ∣ n − 2 A ( n ≥ 3 ) |A^{*}| = |A|^{n - 1}\ (n \geq 2),\ \ \ \ {(kA)}^{*} = k^{n -1}A^{*},{{\ \ }\left( A^{*} \right)}^{*} = |A|^{n - 2}A(n \geq 3) A=An1 (n2),    (kA)=kn1A,  (A)=An2A(n3)

(3) 若 A A A可逆,则 A ∗ = ∣ A ∣ A − 1 , ( A ∗ ) ∗ = 1 ∣ A ∣ A A^{*} = |A|A^{- 1},{(A^{*})}^{*} = \frac{1}{|A|}A A=AA1,(A)=A1A

(4) 若 A A A n n n阶方阵,则:

r ( A ∗ ) = { n , r ( A ) = n 1 , r ( A ) = n − 1 0 , r ( A ) < n − 1 r(A^*)=\begin{cases}n,\quad r(A)=n\\ 1,\quad r(A)=n-1\\ 0,\quad r(A)<n-1\end{cases} r(A)=n,r(A)=n1,r(A)=n10,r(A)<n1

6.有关 A − 1 \mathbf{A}^{\mathbf{- 1}} A1的结论

A A A可逆 ⇔ A B = E ; ⇔ ∣ A ∣ ≠ 0 ; ⇔ r ( A ) = n ; \Leftrightarrow AB = E; \Leftrightarrow |A| \neq 0; \Leftrightarrow r(A) = n; AB=E;A=0;r(A)=n;

⇔ A \Leftrightarrow A A可以表示为初等矩阵的乘积; ⇔ A ; ⇔ A x = 0 \Leftrightarrow A;\Leftrightarrow Ax = 0 A;Ax=0

7.有关矩阵秩的结论

(1) 秩 r ( A ) r(A) r(A)=行秩=列秩;

(2) r ( A m × n ) ≤ min ⁡ ( m , n ) ; r(A_{m \times n}) \leq \min(m,n); r(Am×n)min(m,n);

(3) A ≠ 0 ⇒ r ( A ) ≥ 1 A \neq 0 \Rightarrow r(A) \geq 1 A=0r(A)1

(4) r ( A ± B ) ≤ r ( A ) + r ( B ) ; r(A \pm B) \leq r(A) + r(B); r(A±B)r(A)+r(B);

(5) 初等变换不改变矩阵的秩

(6) r ( A ) + r ( B ) − n ≤ r ( A B ) ≤ min ⁡ ( r ( A ) , r ( B ) ) , r(A) + r(B) - n \leq r(AB) \leq \min(r(A),r(B)), r(A)+r(B)nr(AB)min(r(A),r(B)),特别若 A B = O AB = O AB=O
则: r ( A ) + r ( B ) ≤ n r(A) + r(B) \leq n r(A)+r(B)n

(7) 若 A − 1 A^{- 1} A1存在 ⇒ r ( A B ) = r ( B ) ; \Rightarrow r(AB) = r(B); r(AB)=r(B); B − 1 B^{- 1} B1存在
⇒ r ( A B ) = r ( A ) ; \Rightarrow r(AB) = r(A); r(AB)=r(A);

r ( A m × n ) = n ⇒ r ( A B ) = r ( B ) ; r(A_{m \times n}) = n \Rightarrow r(AB) = r(B); r(Am×n)=nr(AB)=r(B); r ( A m × s ) = n ⇒ r ( A B ) = r ( A ) r(A_{m \times s}) = n\Rightarrow r(AB) = r\left( A \right) r(Am×s)=nr(AB)=r(A)

(8) r ( A m × s ) = n ⇔ A x = 0 r(A_{m \times s}) = n \Leftrightarrow Ax = 0 r(Am×s)=nAx=0只有零解

8.分块求逆公式

( A O O B ) − 1 = ( A − 1 O O B − 1 ) \begin{pmatrix} A & O \\ O & B \\ \end{pmatrix}^{- 1} = \begin{pmatrix} A^{-1} & O \\ O & B^{- 1} \\ \end{pmatrix} (AOOB)1=(A1OOB1) ( A C O B ) − 1 = ( A − 1 − A − 1 C B − 1 O B − 1 ) \begin{pmatrix} A & C \\ O & B \\\end{pmatrix}^{- 1} = \begin{pmatrix} A^{- 1}& - A^{- 1}CB^{- 1} \\ O & B^{- 1} \\ \end{pmatrix} (AOCB)1=(A1OA1CB1B1)

( A O C B ) − 1 = ( A − 1 O − B − 1 C A − 1 B − 1 ) \begin{pmatrix} A & O \\ C & B \\ \end{pmatrix}^{- 1} = \begin{pmatrix} A^{- 1}&{O} \\ - B^{- 1}CA^{- 1} & B^{- 1} \\\end{pmatrix} (ACOB)1=(A1B1CA1OB1) ( O A B O ) − 1 = ( O B − 1 A − 1 O ) \begin{pmatrix} O & A \\ B & O \\ \end{pmatrix}^{- 1} =\begin{pmatrix} O & B^{- 1} \\ A^{- 1} & O \\ \end{pmatrix} (OBAO)1=(OA1B1O)

这里 A A A B B B均为可逆方阵。

向量

1.有关向量组的线性表示

(1) α 1 , α 2 , ⋯   , α s \alpha_{1},\alpha_{2},\cdots,\alpha_{s} α1,α2,,αs线性相关 ⇔ \Leftrightarrow 至少有一个向量可以用其余向量线性表示。

(2) α 1 , α 2 , ⋯   , α s \alpha_{1},\alpha_{2},\cdots,\alpha_{s} α1,α2,,αs线性无关, α 1 , α 2 , ⋯   , α s \alpha_{1},\alpha_{2},\cdots,\alpha_{s} α1,α2,,αs β \beta β线性相关 ⇔ β \Leftrightarrow \beta β可以由 α 1 , α 2 , ⋯   , α s \alpha_{1},\alpha_{2},\cdots,\alpha_{s} α1,α2,,αs唯一线性表示。

(3) β \beta β可以由 α 1 , α 2 , ⋯   , α s \alpha_{1},\alpha_{2},\cdots,\alpha_{s} α1,α2,,αs线性表示
⇔ r ( α 1 , α 2 , ⋯   , α s ) = r ( α 1 , α 2 , ⋯   , α s , β ) \Leftrightarrow r(\alpha_{1},\alpha_{2},\cdots,\alpha_{s}) =r(\alpha_{1},\alpha_{2},\cdots,\alpha_{s},\beta) r(α1,α2,,αs)=r(α1,α2,,αs,β)

2.有关向量组的线性相关性

(1)部分相关,整体相关;整体无关,部分无关.

(2) ① n n n n n n维向量
α 1 , α 2 ⋯ α n \alpha_{1},\alpha_{2}\cdots\alpha_{n} α1,α2αn线性无关 ⇔ ∣ [ α 1 α 2 ⋯ α n ] ∣ ≠ 0 \Leftrightarrow \left|\left\lbrack \alpha_{1}\alpha_{2}\cdots\alpha_{n} \right\rbrack \right| \neq0 [α1α2αn]=0 n n n n n n维向量 α 1 , α 2 ⋯ α n \alpha_{1},\alpha_{2}\cdots\alpha_{n} α1,α2αn线性相关
⇔ ∣ [ α 1 , α 2 , ⋯   , α n ] ∣ = 0 \Leftrightarrow |\lbrack\alpha_{1},\alpha_{2},\cdots,\alpha_{n}\rbrack| = 0 [α1,α2,,αn]=0

n + 1 n + 1 n+1 n n n维向量线性相关。

③ 若 α 1 , α 2 ⋯ α S \alpha_{1},\alpha_{2}\cdots\alpha_{S} α1,α2αS线性无关,则添加分量后仍线性无关;或一组向量线性相关,去掉某些分量后仍线性相关。

3.有关向量组的线性表示

(1) α 1 , α 2 , ⋯   , α s \alpha_{1},\alpha_{2},\cdots,\alpha_{s} α1,α2,,αs线性相关 ⇔ \Leftrightarrow 至少有一个向量可以用其余向量线性表示。

(2) α 1 , α 2 , ⋯   , α s \alpha_{1},\alpha_{2},\cdots,\alpha_{s} α1,α2,,αs线性无关, α 1 , α 2 , ⋯   , α s \alpha_{1},\alpha_{2},\cdots,\alpha_{s} α1,α2,,αs β \beta β线性相关 ⇔ β \Leftrightarrow\beta β 可以由 α 1 , α 2 , ⋯   , α s \alpha_{1},\alpha_{2},\cdots,\alpha_{s} α1,α2,,αs唯一线性表示。

(3) β \beta β可以由 α 1 , α 2 , ⋯   , α s \alpha_{1},\alpha_{2},\cdots,\alpha_{s} α1,α2,,αs线性表示
⇔ r ( α 1 , α 2 , ⋯   , α s ) = r ( α 1 , α 2 , ⋯   , α s , β ) \Leftrightarrow r(\alpha_{1},\alpha_{2},\cdots,\alpha_{s}) =r(\alpha_{1},\alpha_{2},\cdots,\alpha_{s},\beta) r(α1,α2,,αs)=r(α1,α2,,αs,β)

4.向量组的秩与矩阵的秩之间的关系

r ( A m × n ) = r r(A_{m \times n}) =r r(Am×n)=r,则 A A A的秩 r ( A ) r(A) r(A) A A A的行列向量组的线性相关性关系为:

(1) 若 r ( A m × n ) = r = m r(A_{m \times n}) = r = m r(Am×n)=r=m,则 A A A的行向量组线性无关。

(2) 若 r ( A m × n ) = r < m r(A_{m \times n}) = r < m r(Am×n)=r<m,则 A A A的行向量组线性相关。

(3) 若 r ( A m × n ) = r = n r(A_{m \times n}) = r = n r(Am×n)=r=n,则 A A A的列向量组线性无关。

(4) 若 r ( A m × n ) = r < n r(A_{m \times n}) = r < n r(Am×n)=r<n,则 A A A的列向量组线性相关。

5. n \mathbf{n} n维向量空间的基变换公式及过渡矩阵

α 1 , α 2 , ⋯   , α n \alpha_{1},\alpha_{2},\cdots,\alpha_{n} α1,α2,,αn β 1 , β 2 , ⋯   , β n \beta_{1},\beta_{2},\cdots,\beta_{n} β1,β2,,βn是向量空间 V V V的两组基,则基变换公式为:

( β 1 , β 2 , ⋯   , β n ) = ( α 1 , α 2 , ⋯   , α n ) [ c 11 c 12 ⋯ c 1 n c 21 c 22 ⋯ c 2 n ⋯ ⋯ ⋯ ⋯ c n 1 c n 2 ⋯ c n n ] = ( α 1 , α 2 , ⋯   , α n ) C (\beta_{1},\beta_{2},\cdots,\beta_{n}) = (\alpha_{1},\alpha_{2},\cdots,\alpha_{n})\begin{bmatrix} c_{11}& c_{12}& \cdots & c_{1n} \\ c_{21}& c_{22}&\cdots & c_{2n} \\ \cdots & \cdots & \cdots & \cdots \\ c_{n1}& c_{n2} & \cdots & c_{{nn}} \\\end{bmatrix} = (\alpha_{1},\alpha_{2},\cdots,\alpha_{n})C (β1,β2,,βn)=(α1,α2,,αn)c11c21cn1c12c22cn2c1nc2ncnn=(α1,α2,,αn)C

其中 C C C是可逆矩阵,称为由基 α 1 , α 2 , ⋯   , α n \alpha_{1},\alpha_{2},\cdots,\alpha_{n} α1,α2,,αn到基 β 1 , β 2 , ⋯   , β n \beta_{1},\beta_{2},\cdots,\beta_{n} β1,β2,,βn的过渡矩阵。

6.坐标变换公式

若向量 γ \gamma γ在基 α 1 , α 2 , ⋯   , α n \alpha_{1},\alpha_{2},\cdots,\alpha_{n} α1,α2,,αn与基 β 1 , β 2 , ⋯   , β n \beta_{1},\beta_{2},\cdots,\beta_{n} β1,β2,,βn的坐标分别是
X = ( x 1 , x 2 , ⋯   , x n ) T X = {(x_{1},x_{2},\cdots,x_{n})}^{T} X=(x1,x2,,xn)T

Y = ( y 1 , y 2 , ⋯   , y n ) T Y = \left( y_{1},y_{2},\cdots,y_{n} \right)^{T} Y=(y1,y2,,yn)T 即: γ = x 1 α 1 + x 2 α 2 + ⋯ + x n α n = y 1 β 1 + y 2 β 2 + ⋯ + y n β n \gamma =x_{1}\alpha_{1} + x_{2}\alpha_{2} + \cdots + x_{n}\alpha_{n} = y_{1}\beta_{1} +y_{2}\beta_{2} + \cdots + y_{n}\beta_{n} γ=x1α1+x2α2++xnαn=y1β1+y2β2++ynβn,则向量坐标变换公式为 X = C Y X = CY X=CY Y = C − 1 X Y = C^{- 1}X Y=C1X,其中 C C C是从基 α 1 , α 2 , ⋯   , α n \alpha_{1},\alpha_{2},\cdots,\alpha_{n} α1,α2,,αn到基 β 1 , β 2 , ⋯   , β n \beta_{1},\beta_{2},\cdots,\beta_{n} β1,β2,,βn的过渡矩阵。

7.向量的内积

( α , β ) = a 1 b 1 + a 2 b 2 + ⋯ + a n b n = α T β = β T α (\alpha,\beta) = a_{1}b_{1} + a_{2}b_{2} + \cdots + a_{n}b_{n} = \alpha^{T}\beta = \beta^{T}\alpha (α,β)=a1b1+a2b2++anbn=αTβ=βTα

8.Schmidt正交化

α 1 , α 2 , ⋯   , α s \alpha_{1},\alpha_{2},\cdots,\alpha_{s} α1,α2,,αs线性无关,则可构造 β 1 , β 2 , ⋯   , β s \beta_{1},\beta_{2},\cdots,\beta_{s} β1,β2,,βs使其两两正交,且 β i \beta_{i} βi仅是 α 1 , α 2 , ⋯   , α i \alpha_{1},\alpha_{2},\cdots,\alpha_{i} α1,α2,,αi的线性组合 ( i = 1 , 2 , ⋯   , n ) (i= 1,2,\cdots,n) (i=1,2,,n),再把 β i \beta_{i} βi单位化,记 γ i = β i ∣ β i ∣ \gamma_{i} =\frac{\beta_{i}}{\left| \beta_{i}\right|} γi=βiβi,则 γ 1 , γ 2 , ⋯   , γ i \gamma_{1},\gamma_{2},\cdots,\gamma_{i} γ1,γ2,,γi是规范正交向量组。其中
β 1 = α 1 \beta_{1} = \alpha_{1} β1=α1 β 2 = α 2 − ( α 2 , β 1 ) ( β 1 , β 1 ) β 1 \beta_{2} = \alpha_{2} -\frac{(\alpha_{2},\beta_{1})}{(\beta_{1},\beta_{1})}\beta_{1} β2=α2(β1,β1)(α2,β1)β1 β 3 = α 3 − ( α 3 , β 1 ) ( β 1 , β 1 ) β 1 − ( α 3 , β 2 ) ( β 2 , β 2 ) β 2 \beta_{3} =\alpha_{3} - \frac{(\alpha_{3},\beta_{1})}{(\beta_{1},\beta_{1})}\beta_{1} -\frac{(\alpha_{3},\beta_{2})}{(\beta_{2},\beta_{2})}\beta_{2} β3=α3(β1,β1)(α3,β1)β1(β2,β2)(α3,β2)β2

β s = α s − ( α s , β 1 ) ( β 1 , β 1 ) β 1 − ( α s , β 2 ) ( β 2 , β 2 ) β 2 − ⋯ − ( α s , β s − 1 ) ( β s − 1 , β s − 1 ) β s − 1 \beta_{s} = \alpha_{s} - \frac{(\alpha_{s},\beta_{1})}{(\beta_{1},\beta_{1})}\beta_{1} - \frac{(\alpha_{s},\beta_{2})}{(\beta_{2},\beta_{2})}\beta_{2} - \cdots - \frac{(\alpha_{s},\beta_{s - 1})}{(\beta_{s - 1},\beta_{s - 1})}\beta_{s - 1} βs=αs(β1,β1)(αs,β1)β1(β2,β2)(αs,β2)β2(βs1,βs1)(αs,βs1)βs1

9.正交基及规范正交基

向量空间一组基中的向量如果两两正交,就称为正交基;若正交基中每个向量都是单位向量,就称其为规范正交基。

线性方程组

1.克莱姆法则

线性方程组 { a 11 x 1 + a 12 x 2 + ⋯ + a 1 n x n = b 1 a 21 x 1 + a 22 x 2 + ⋯ + a 2 n x n = b 2 ⋯ ⋯ ⋯ ⋯ ⋯ ⋯ ⋯ ⋯ ⋯ a n 1 x 1 + a n 2 x 2 + ⋯ + a n n x n = b n \begin{cases} a_{11}x_{1} + a_{12}x_{2} + \cdots +a_{1n}x_{n} = b_{1} \\ a_{21}x_{1} + a_{22}x_{2} + \cdots + a_{2n}x_{n} =b_{2} \\ \quad\cdots\cdots\cdots\cdots\cdots\cdots\cdots\cdots\cdots \\ a_{n1}x_{1} + a_{n2}x_{2} + \cdots + a_{{nn}}x_{n} = b_{n} \\ \end{cases} a11x1+a12x2++a1nxn=b1a21x1+a22x2++a2nxn=b2an1x1+an2x2++annxn=bn,如果系数行列式 D = ∣ A ∣ ≠ 0 D = \left| A \right| \neq 0 D=A=0,则方程组有唯一解, x 1 = D 1 D , x 2 = D 2 D , ⋯   , x n = D n D x_{1} = \frac{D_{1}}{D},x_{2} = \frac{D_{2}}{D},\cdots,x_{n} =\frac{D_{n}}{D} x1=DD1,x2=DD2,,xn=DDn,其中 D j D_{j} Dj是把 D D D中第 j j j列元素换成方程组右端的常数列所得的行列式。

2. n n n阶矩阵 A A A可逆 ⇔ A x = 0 \Leftrightarrow Ax = 0 Ax=0只有零解。 ⇔ ∀ b , A x = b \Leftrightarrow\forall b,Ax = b b,Ax=b总有唯一解,一般地, r ( A m × n ) = n ⇔ A x = 0 r(A_{m \times n}) = n \Leftrightarrow Ax= 0 r(Am×n)=nAx=0只有零解。

3.非奇次线性方程组有解的充分必要条件,线性方程组解的性质和解的结构

(1) 设 A A A m × n m \times n m×n矩阵,若 r ( A m × n ) = m r(A_{m \times n}) = m r(Am×n)=m,则对 A x = b Ax =b Ax=b而言必有 r ( A ) = r ( A ⋮ b ) = m r(A) = r(A \vdots b) = m r(A)=r(Ab)=m,从而 A x = b Ax = b Ax=b有解。

(2) 设 x 1 , x 2 , ⋯ x s x_{1},x_{2},\cdots x_{s} x1,x2,xs A x = b Ax = b Ax=b的解,则 k 1 x 1 + k 2 x 2 ⋯ + k s x s k_{1}x_{1} + k_{2}x_{2}\cdots + k_{s}x_{s} k1x1+k2x2+ksxs k 1 + k 2 + ⋯ + k s = 1 k_{1} + k_{2} + \cdots + k_{s} = 1 k1+k2++ks=1时仍为 A x = b Ax =b Ax=b的解;但当 k 1 + k 2 + ⋯ + k s = 0 k_{1} + k_{2} + \cdots + k_{s} = 0 k1+k2++ks=0时,则为 A x = 0 Ax =0 Ax=0的解。特别 x 1 + x 2 2 \frac{x_{1} + x_{2}}{2} 2x1+x2 A x = b Ax = b Ax=b的解; 2 x 3 − ( x 1 + x 2 ) 2x_{3} - (x_{1} +x_{2}) 2x3(x1+x2) A x = 0 Ax = 0 Ax=0的解。

(3) 非齐次线性方程组 A x = b {Ax} = b Ax=b无解 ⇔ r ( A ) + 1 = r ( A ‾ ) ⇔ b \Leftrightarrow r(A) + 1 =r(\overline{A}) \Leftrightarrow b r(A)+1=r(A)b不能由 A A A的列向量 α 1 , α 2 , ⋯   , α n \alpha_{1},\alpha_{2},\cdots,\alpha_{n} α1,α2,,αn线性表示。

4.奇次线性方程组的基础解系和通解,解空间,非奇次线性方程组的通解

(1) 齐次方程组 A x = 0 {Ax} = 0 Ax=0恒有解(必有零解)。当有非零解时,由于解向量的任意线性组合仍是该齐次方程组的解向量,因此 A x = 0 {Ax}= 0 Ax=0的全体解向量构成一个向量空间,称为该方程组的解空间,解空间的维数是 n − r ( A ) n - r(A) nr(A),解空间的一组基称为齐次方程组的基础解系。

(2) η 1 , η 2 , ⋯   , η t \eta_{1},\eta_{2},\cdots,\eta_{t} η1,η2,,ηt A x = 0 {Ax} = 0 Ax=0的基础解系,即:

  1. η 1 , η 2 , ⋯   , η t \eta_{1},\eta_{2},\cdots,\eta_{t} η1,η2,,ηt A x = 0 {Ax} = 0 Ax=0的解;

  2. η 1 , η 2 , ⋯   , η t \eta_{1},\eta_{2},\cdots,\eta_{t} η1,η2,,ηt线性无关;

  3. A x = 0 {Ax} = 0 Ax=0的任一解都可以由 η 1 , η 2 , ⋯   , η t \eta_{1},\eta_{2},\cdots,\eta_{t} η1,η2,,ηt线性表出.
    k 1 η 1 + k 2 η 2 + ⋯ + k t η t k_{1}\eta_{1} + k_{2}\eta_{2} + \cdots + k_{t}\eta_{t} k1η1+k2η2++ktηt A x = 0 {Ax} = 0 Ax=0的通解,其中 k 1 , k 2 , ⋯   , k t k_{1},k_{2},\cdots,k_{t} k1,k2,,kt是任意常数。

矩阵的特征值和特征向量

1.矩阵的特征值和特征向量的概念及性质

(1) 设 λ \lambda λ A A A的一个特征值,则 k A , a A + b E , A 2 , A m , f ( A ) , A T , A − 1 , A ∗ {kA},{aA} + {bE},A^{2},A^{m},f(A),A^{T},A^{- 1},A^{*} kA,aA+bE,A2,Am,f(A),AT,A1,A有一个特征值分别为
k λ , a λ + b , λ 2 , λ m , f ( λ ) , λ , λ − 1 , ∣ A ∣ λ , {kλ},{aλ} + b,\lambda^{2},\lambda^{m},f(\lambda),\lambda,\lambda^{- 1},\frac{|A|}{\lambda}, kλ,aλ+b,λ2,λm,f(λ),λ,λ1,λA,且对应特征向量相同( A T A^{T} AT 例外)。

(2)若 λ 1 , λ 2 , ⋯   , λ n \lambda_{1},\lambda_{2},\cdots,\lambda_{n} λ1,λ2,,λn A A A n n n个特征值,则 ∑ i = 1 n λ i = ∑ i = 1 n a i i , ∏ i = 1 n λ i = ∣ A ∣ \sum_{i= 1}^{n}\lambda_{i} = \sum_{i = 1}^{n}a_{{ii}},\prod_{i = 1}^{n}\lambda_{i}= |A| i=1nλi=i=1naii,i=1nλi=A ,从而 ∣ A ∣ ≠ 0 ⇔ A |A| \neq 0 \Leftrightarrow A A=0A没有特征值。

(3)设 λ 1 , λ 2 , ⋯   , λ s \lambda_{1},\lambda_{2},\cdots,\lambda_{s} λ1,λ2,,λs A A A s s s个特征值,对应特征向量为 α 1 , α 2 , ⋯   , α s \alpha_{1},\alpha_{2},\cdots,\alpha_{s} α1,α2,,αs

若: α = k 1 α 1 + k 2 α 2 + ⋯ + k s α s \alpha = k_{1}\alpha_{1} + k_{2}\alpha_{2} + \cdots + k_{s}\alpha_{s} α=k1α1+k2α2++ksαs ,

则: A n α = k 1 A n α 1 + k 2 A n α 2 + ⋯ + k s A n α s = k 1 λ 1 n α 1 + k 2 λ 2 n α 2 + ⋯ k s λ s n α s A^{n}\alpha = k_{1}A^{n}\alpha_{1} + k_{2}A^{n}\alpha_{2} + \cdots +k_{s}A^{n}\alpha_{s} = k_{1}\lambda_{1}^{n}\alpha_{1} +k_{2}\lambda_{2}^{n}\alpha_{2} + \cdots k_{s}\lambda_{s}^{n}\alpha_{s} Anα=k1Anα1+k2Anα2++ksAnαs=k1λ1nα1+k2λ2nα2+ksλsnαs

2.相似变换、相似矩阵的概念及性质

(1) 若 A ∼ B A \sim B AB,则

  1. A T ∼ B T , A − 1 ∼ B − 1 , , A ∗ ∼ B ∗ A^{T} \sim B^{T},A^{- 1} \sim B^{- 1},,A^{*} \sim B^{*} ATBT,A1B1,,AB

  2. ∣ A ∣ = ∣ B ∣ , ∑ i = 1 n A i i = ∑ i = 1 n b i i , r ( A ) = r ( B ) |A| = |B|,\sum_{i = 1}^{n}A_{{ii}} = \sum_{i =1}^{n}b_{{ii}},r(A) = r(B) A=B,i=1nAii=i=1nbii,r(A)=r(B)

  3. ∣ λ E − A ∣ = ∣ λ E − B ∣ |\lambda E - A| = |\lambda E - B| λEA=λEB,对 ∀ λ \forall\lambda λ成立

3.矩阵可相似对角化的充分必要条件

(1)设 A A A n n n阶方阵,则 A A A可对角化 ⇔ \Leftrightarrow 对每个 k i k_{i} ki重根特征值 λ i \lambda_{i} λi,有 n − r ( λ i E − A ) = k i n-r(\lambda_{i}E - A) = k_{i} nr(λiEA)=ki

(2) 设 A A A可对角化,则由 P − 1 A P = Λ , P^{- 1}{AP} = \Lambda, P1AP=Λ, A = P Λ P − 1 A = {PΛ}P^{-1} A=PΛP1,从而 A n = P Λ n P − 1 A^{n} = P\Lambda^{n}P^{- 1} An=PΛnP1

(3) 重要结论

  1. A ∼ B , C ∼ D A \sim B,C \sim D AB,CD,则 [ A O O C ] ∼ [ B O O D ] \begin{bmatrix} A & O \\ O & C \\\end{bmatrix} \sim \begin{bmatrix} B & O \\ O & D \\\end{bmatrix} [AOOC][BOOD].

  2. A ∼ B A \sim B AB,则 f ( A ) ∼ f ( B ) , ∣ f ( A ) ∣ ∼ ∣ f ( B ) ∣ f(A) \sim f(B),\left| f(A) \right| \sim \left| f(B)\right| f(A)f(B),f(A)f(B),其中 f ( A ) f(A) f(A)为关于 n n n阶方阵 A A A的多项式。

  3. A A A为可对角化矩阵,则其非零特征值的个数(重根重复计算)=秩( A A A)

4.实对称矩阵的特征值、特征向量及相似对角阵

(1)相似矩阵:设 A , B A,B A,B为两个 n n n阶方阵,如果存在一个可逆矩阵 P P P,使得 B = P − 1 A P B =P^{- 1}{AP} B=P1AP成立,则称矩阵 A A A B B B相似,记为 A ∼ B A \sim B AB

(2)相似矩阵的性质:如果 A ∼ B A \sim B AB则有:

  1. A T ∼ B T A^{T} \sim B^{T} ATBT

  2. A − 1 ∼ B − 1 A^{- 1} \sim B^{- 1} A1B1 (若 A A A B B B均可逆)

  3. A k ∼ B k A^{k} \sim B^{k} AkBk k k k为正整数)

  4. ∣ λ E − A ∣ = ∣ λ E − B ∣ \left| {λE} - A \right| = \left| {λE} - B \right| λEA=λEB,从而 A , B A,B A,B
    有相同的特征值

  5. ∣ A ∣ = ∣ B ∣ \left| A \right| = \left| B \right| A=B,从而 A , B A,B A,B同时可逆或者不可逆

  6. ( A ) = \left( A \right) = (A)= ( B ) , ∣ λ E − A ∣ = ∣ λ E − B ∣ \left( B \right),\left| {λE} - A \right| =\left| {λE} - B \right| (B),λEA=λEB A , B A,B A,B不一定相似

二次型

1. n \mathbf{n} n个变量 x 1 , x 2 , ⋯   , x n \mathbf{x}_{\mathbf{1}}\mathbf{,}\mathbf{x}_{\mathbf{2}}\mathbf{,\cdots,}\mathbf{x}_{\mathbf{n}} x1,x2,,xn的二次齐次函数

f ( x 1 , x 2 , ⋯   , x n ) = ∑ i = 1 n ∑ j = 1 n a i j x i y j f(x_{1},x_{2},\cdots,x_{n}) = \sum_{i = 1}^{n}{\sum_{j =1}^{n}{a_{{ij}}x_{i}y_{j}}} f(x1,x2,,xn)=i=1nj=1naijxiyj,其中 a i j = a j i ( i , j = 1 , 2 , ⋯   , n ) a_{{ij}} = a_{{ji}}(i,j =1,2,\cdots,n) aij=aji(i,j=1,2,,n),称为 n n n元二次型,简称二次型. 若令 x =   [ x 1 x 1 ⋮ x n ] , A = [ a 11 a 12 ⋯ a 1 n a 21 a 22 ⋯ a 2 n ⋯ ⋯ ⋯ ⋯ a n 1 a n 2 ⋯ a n n ] x = \ \begin{bmatrix}x_{1} \\ x_{1} \\ \vdots \\ x_{n} \\ \end{bmatrix},A = \begin{bmatrix} a_{11}& a_{12}& \cdots & a_{1n} \\ a_{21}& a_{22}& \cdots & a_{2n} \\ \cdots &\cdots &\cdots &\cdots \\ a_{n1}& a_{n2} & \cdots & a_{{nn}} \\\end{bmatrix} x= x1x1xn,A=a11a21an1a12a22an2a1na2nann,这二次型 f f f可改写成矩阵向量形式 f = x T A x f =x^{T}{Ax} f=xTAx。其中 A A A称为二次型矩阵,因为 a i j = a j i ( i , j = 1 , 2 , ⋯   , n ) a_{{ij}} =a_{{ji}}(i,j =1,2,\cdots,n) aij=aji(i,j=1,2,,n),所以二次型矩阵均为对称矩阵,且二次型与对称矩阵一一对应,并把矩阵 A A A的秩称为二次型的秩。

2.惯性定理,二次型的标准形和规范形

(1) 惯性定理

对于任一二次型,不论选取怎样的合同变换使它化为仅含平方项的标准型,其正负惯性指数与所选变换无关,这就是所谓的惯性定理。

(2) 标准形

二次型 f = ( x 1 , x 2 , ⋯   , x n ) = x T A x f = \left( x_{1},x_{2},\cdots,x_{n} \right) =x^{T}{Ax} f=(x1,x2,,xn)=xTAx经过合同变换 x = C y x = {Cy} x=Cy化为 f = x T A x = y T C T A C f = x^{T}{Ax} =y^{T}C^{T}{AC} f=xTAx=yTCTAC

y = ∑ i = 1 r d i y i 2 y = \sum_{i = 1}^{r}{d_{i}y_{i}^{2}} y=i=1rdiyi2称为 f ( r ≤ n ) f(r \leq n) f(rn)的标准形。在一般的数域内,二次型的标准形不是唯一的,与所作的合同变换有关,但系数不为零的平方项的个数由 r ( A ) r(A) r(A)唯一确定。

(3) 规范形

任一实二次型 f f f都可经过合同变换化为规范形 f = z 1 2 + z 2 2 + ⋯ z p 2 − z p + 1 2 − ⋯ − z r 2 f = z_{1}^{2} + z_{2}^{2} + \cdots z_{p}^{2} - z_{p + 1}^{2} - \cdots -z_{r}^{2} f=z12+z22+zp2zp+12zr2,其中 r r r A A A的秩, p p p为正惯性指数, r − p r -p rp为负惯性指数,且规范型唯一。

3.用正交变换和配方法化二次型为标准形,二次型及其矩阵的正定性

A A A正定 ⇒ k A ( k > 0 ) , A T , A − 1 , A ∗ \Rightarrow {kA}(k > 0),A^{T},A^{- 1},A^{*} kA(k>0),AT,A1,A正定; ∣ A ∣ > 0 |A| >0 A>0, A A A可逆; a i i > 0 a_{{ii}} > 0 aii>0,且 ∣ A i i ∣ > 0 |A_{{ii}}| > 0 Aii>0

A A A B B B正定 ⇒ A + B \Rightarrow A +B A+B正定,但 A B {AB} AB B A {BA} BA不一定正定

A A A正定 ⇔ f ( x ) = x T A x > 0 , ∀ x ≠ 0 \Leftrightarrow f(x) = x^{T}{Ax} > 0,\forall x \neq 0 f(x)=xTAx>0,x=0

⇔ A \Leftrightarrow A A的各阶顺序主子式全大于零

⇔ A \Leftrightarrow A A的所有特征值大于零

⇔ A \Leftrightarrow A A的正惯性指数为 n n n

⇔ \Leftrightarrow 存在可逆阵 P P P使 A = P T P A = P^{T}P A=PTP

⇔ \Leftrightarrow 存在正交矩阵 Q Q Q,使 Q T A Q = Q − 1 A Q = ( λ 1 ⋱ λ n ) , Q^{T}{AQ} = Q^{- 1}{AQ} =\begin{pmatrix} \lambda_{1} & & \\ \begin{matrix} & \\ & \\ \end{matrix} &\ddots & \\ & & \lambda_{n} \\ \end{pmatrix}, QTAQ=Q1AQ=λ1λn,

其中 λ i > 0 , i = 1 , 2 , ⋯   , n . \lambda_{i} > 0,i = 1,2,\cdots,n. λi>0,i=1,2,,n.正定 ⇒ k A ( k > 0 ) , A T , A − 1 , A ∗ \Rightarrow {kA}(k >0),A^{T},A^{- 1},A^{*} kA(k>0),AT,A1,A正定; ∣ A ∣ > 0 , A |A| > 0,A A>0,A可逆; a i i > 0 a_{{ii}} >0 aii>0,且 ∣ A i i ∣ > 0 |A_{{ii}}| > 0 Aii>0

概率论和数理统计

随机事件和概率

1.事件的关系与运算

(1) 子事件: A ⊂ B A \subset B AB,若 A A A发生,则 B B B发生。

(2) 相等事件: A = B A = B A=B,即 A ⊂ B A \subset B AB,且 B ⊂ A B \subset A BA

(3) 和事件: A ⋃ B A\bigcup B AB(或 A + B A + B A+B), A A A B B B中至少有一个发生。

(4) 差事件: A − B A - B AB A A A发生但 B B B不发生。

(5) 积事件: A ⋂ B A\bigcap B AB(或 A B {AB} AB), A A A B B B同时发生。

(6) 互斥事件(互不相容): A ⋂ B A\bigcap B AB= ∅ \varnothing

(7) 互逆事件(对立事件):
A ⋂ B = ∅ , A ⋃ B = Ω , A = B ˉ , B = A ˉ A\bigcap B=\varnothing ,A\bigcup B=\Omega ,A=\bar{B},B=\bar{A} AB=,AB=Ω,A=Bˉ,B=Aˉ
2.运算律
(1) 交换律: A ⋃ B = B ⋃ A , A ⋂ B = B ⋂ A A\bigcup B=B\bigcup A,A\bigcap B=B\bigcap A AB=BA,AB=BA
(2) 结合律: ( A ⋃ B ) ⋃ C = A ⋃ ( B ⋃ C ) (A\bigcup B)\bigcup C=A\bigcup (B\bigcup C) (AB)C=A(BC)
(3) 分配律: ( A ⋂ B ) ⋂ C = A ⋂ ( B ⋂ C ) (A\bigcap B)\bigcap C=A\bigcap (B\bigcap C) (AB)C=A(BC)
3.德$\centerdot $摩根律

A ⋃ B ‾ = A ˉ ⋂ B ˉ \overline{A\bigcup B}=\bar{A}\bigcap \bar{B} AB=AˉBˉ A ⋂ B ‾ = A ˉ ⋃ B ˉ \overline{A\bigcap B}=\bar{A}\bigcup \bar{B} AB=AˉBˉ
4.完全事件组

A 1 A 2 ⋯ A n {{A}_{1}}{{A}_{2}}\cdots {{A}_{n}} A1A2An两两互斥,且和事件为必然事件,即${{A}{i}}\bigcap {{A}{j}}=\varnothing, i\ne j ,\underset{i=1}{\overset{n}{\mathop \bigcup }},=\Omega $

5.概率的基本公式
(1)条件概率:
P ( B ∣ A ) = P ( A B ) P ( A ) P(B|A)=\frac{P(AB)}{P(A)} P(BA)=P(A)P(AB),表示 A A A发生的条件下, B B B发生的概率。
(2)全概率公式:
$P(A)=\sum\limits_{i=1}^{n}{P(A|{{B}{i}})P({{B}{i}}),{{B}{i}}{{B}{j}}}=\varnothing ,i\ne j,\underset{i=1}{\overset{n}{\mathop{\bigcup }}},{{B}_{i}}=\Omega $
(3) Bayes公式:

P ( B j ∣ A ) = P ( A ∣ B j ) P ( B j ) ∑ i = 1 n P ( A ∣ B i ) P ( B i ) , j = 1 , 2 , ⋯   , n P({{B}_{j}}|A)=\frac{P(A|{{B}_{j}})P({{B}_{j}})}{\sum\limits_{i=1}^{n}{P(A|{{B}_{i}})P({{B}_{i}})}},j=1,2,\cdots ,n P(BjA)=i=1nP(ABi)P(Bi)P(ABj)P(Bj),j=1,2,,n
注:上述公式中事件 B i {{B}_{i}} Bi的个数可为可列个。
(4)乘法公式:
P ( A 1 A 2 ) = P ( A 1 ) P ( A 2 ∣ A 1 ) = P ( A 2 ) P ( A 1 ∣ A 2 ) P({{A}_{1}}{{A}_{2}})=P({{A}_{1}})P({{A}_{2}}|{{A}_{1}})=P({{A}_{2}})P({{A}_{1}}|{{A}_{2}}) P(A1A2)=P(A1)P(A2A1)=P(A2)P(A1A2)
P ( A 1 A 2 ⋯ A n ) = P ( A 1 ) P ( A 2 ∣ A 1 ) P ( A 3 ∣ A 1 A 2 ) ⋯ P ( A n ∣ A 1 A 2 ⋯ A n − 1 ) P({{A}_{1}}{{A}_{2}}\cdots {{A}_{n}})=P({{A}_{1}})P({{A}_{2}}|{{A}_{1}})P({{A}_{3}}|{{A}_{1}}{{A}_{2}})\cdots P({{A}_{n}}|{{A}_{1}}{{A}_{2}}\cdots {{A}_{n-1}}) P(A1A2An)=P(A1)P(A2A1)P(A3A1A2)P(AnA1A2An1)

6.事件的独立性
(1) A A A B B B相互独立 ⇔ P ( A B ) = P ( A ) P ( B ) \Leftrightarrow P(AB)=P(A)P(B) P(AB)=P(A)P(B)
(2) A A A B B B C C C两两独立
⇔ P ( A B ) = P ( A ) P ( B ) \Leftrightarrow P(AB)=P(A)P(B) P(AB)=P(A)P(B); P ( B C ) = P ( B ) P ( C ) P(BC)=P(B)P(C) P(BC)=P(B)P(C) ; P ( A C ) = P ( A ) P ( C ) P(AC)=P(A)P(C) P(AC)=P(A)P(C);
(3) A A A B B B C C C相互独立
⇔ P ( A B ) = P ( A ) P ( B ) \Leftrightarrow P(AB)=P(A)P(B) P(AB)=P(A)P(B); P ( B C ) = P ( B ) P ( C ) P(BC)=P(B)P(C) P(BC)=P(B)P(C) ;
P ( A C ) = P ( A ) P ( C ) P(AC)=P(A)P(C) P(AC)=P(A)P(C) ; P ( A B C ) = P ( A ) P ( B ) P ( C ) P(ABC)=P(A)P(B)P(C) P(ABC)=P(A)P(B)P(C)

7.独立重复试验

将某试验独立重复 n n n次,若每次实验中事件A发生的概率为 p p p,则 n n n次试验中 A A A发生 k k k次的概率为:
P ( X = k ) = C n k p k ( 1 − p ) n − k P(X=k)=C_{n}^{k}{{p}^{k}}{{(1-p)}^{n-k}} P(X=k)=Cnkpk(1p)nk
8.重要公式与结论
( 1 ) P ( A ˉ ) = 1 − P ( A ) (1)P(\bar{A})=1-P(A) (1)P(Aˉ)=1P(A)
( 2 ) P ( A ⋃ B ) = P ( A ) + P ( B ) − P ( A B ) (2)P(A\bigcup B)=P(A)+P(B)-P(AB) (2)P(AB)=P(A)+P(B)P(AB)
P ( A ⋃ B ⋃ C ) = P ( A ) + P ( B ) + P ( C ) − P ( A B ) − P ( B C ) − P ( A C ) + P ( A B C ) P(A\bigcup B\bigcup C)=P(A)+P(B)+P(C)-P(AB)-P(BC)-P(AC)+P(ABC) P(ABC)=P(A)+P(B)+P(C)P(AB)P(BC)P(AC)+P(ABC)
( 3 ) P ( A − B ) = P ( A ) − P ( A B ) (3)P(A-B)=P(A)-P(AB) (3)P(AB)=P(A)P(AB)
( 4 ) P ( A B ˉ ) = P ( A ) − P ( A B ) , P ( A ) = P ( A B ) + P ( A B ˉ ) , (4)P(A\bar{B})=P(A)-P(AB),P(A)=P(AB)+P(A\bar{B}), (4)P(ABˉ)=P(A)P(AB),P(A)=P(AB)+P(ABˉ),
P ( A ⋃ B ) = P ( A ) + P ( A ˉ B ) = P ( A B ) + P ( A B ˉ ) + P ( A ˉ B ) P(A\bigcup B)=P(A)+P(\bar{A}B)=P(AB)+P(A\bar{B})+P(\bar{A}B) P(AB)=P(A)+P(AˉB)=P(AB)+P(ABˉ)+P(AˉB)
(5)条件概率 P ( ⋅ ∣ B ) P(\centerdot |B) P(B)满足概率的所有性质,
例如:. P ( A ˉ 1 ∣ B ) = 1 − P ( A 1 ∣ B ) P({{\bar{A}}_{1}}|B)=1-P({{A}_{1}}|B) P(Aˉ1B)=1P(A1B)
P ( A 1 ⋃ A 2 ∣ B ) = P ( A 1 ∣ B ) + P ( A 2 ∣ B ) − P ( A 1 A 2 ∣ B ) P({{A}_{1}}\bigcup {{A}_{2}}|B)=P({{A}_{1}}|B)+P({{A}_{2}}|B)-P({{A}_{1}}{{A}_{2}}|B) P(A1A2B)=P(A1B)+P(A2B)P(A1A2B)
P ( A 1 A 2 ∣ B ) = P ( A 1 ∣ B ) P ( A 2 ∣ A 1 B ) P({{A}_{1}}{{A}_{2}}|B)=P({{A}_{1}}|B)P({{A}_{2}}|{{A}_{1}}B) P(A1A2B)=P(A1B)P(A2A1B)
(6)若 A 1 , A 2 , ⋯   , A n {{A}_{1}},{{A}_{2}},\cdots ,{{A}_{n}} A1,A2,,An相互独立,则 P ( ⋂ i = 1 n A i ) = ∏ i = 1 n P ( A i ) , P(\bigcap\limits_{i=1}^{n}{{{A}_{i}}})=\prod\limits_{i=1}^{n}{P({{A}_{i}})}, P(i=1nAi)=i=1nP(Ai),
P ( ⋃ i = 1 n A i ) = ∏ i = 1 n ( 1 − P ( A i ) ) P(\bigcup\limits_{i=1}^{n}{{{A}_{i}}})=\prod\limits_{i=1}^{n}{(1-P({{A}_{i}}))} P(i=1nAi)=i=1n(1P(Ai))
(7)互斥、互逆与独立性之间的关系:
A A A B B B互逆 ⇒ \Rightarrow A A A B B B互斥,但反之不成立, A A A B B B互斥(或互逆)且均非零概率事件$\Rightarrow $ A A A B B B不独立.
(8)若 A 1 , A 2 , ⋯   , A m , B 1 , B 2 , ⋯   , B n {{A}_{1}},{{A}_{2}},\cdots ,{{A}_{m}},{{B}_{1}},{{B}_{2}},\cdots ,{{B}_{n}} A1,A2,,Am,B1,B2,,Bn相互独立,则 f ( A 1 , A 2 , ⋯   , A m ) f({{A}_{1}},{{A}_{2}},\cdots ,{{A}_{m}}) f(A1,A2,,Am) g ( B 1 , B 2 , ⋯   , B n ) g({{B}_{1}},{{B}_{2}},\cdots ,{{B}_{n}}) g(B1,B2,,Bn)也相互独立,其中 f ( ⋅ ) , g ( ⋅ ) f(\centerdot ),g(\centerdot ) f(),g()分别表示对相应事件做任意事件运算后所得的事件,另外,概率为1(或0)的事件与任何事件相互独立.

随机变量及其概率分布

1.随机变量及概率分布

取值带有随机性的变量,严格地说是定义在样本空间上,取值于实数的函数称为随机变量,概率分布通常指分布函数或分布律

2.分布函数的概念与性质

定义: F ( x ) = P ( X ≤ x ) , − ∞ < x < + ∞ F(x) = P(X \leq x), - \infty < x < + \infty F(x)=P(Xx),<x<+

性质:(1) 0 ≤ F ( x ) ≤ 1 0 \leq F(x) \leq 1 0F(x)1

(2) F ( x ) F(x) F(x)单调不减

(3) 右连续 F ( x + 0 ) = F ( x ) F(x + 0) = F(x) F(x+0)=F(x)

(4) F ( − ∞ ) = 0 , F ( + ∞ ) = 1 F( - \infty) = 0,F( + \infty) = 1 F()=0,F(+)=1

3.离散型随机变量的概率分布

P ( X = x i ) = p i , i = 1 , 2 , ⋯   , n , ⋯ p i ≥ 0 , ∑ i = 1 ∞ p i = 1 P(X = x_{i}) = p_{i},i = 1,2,\cdots,n,\cdots\quad\quad p_{i} \geq 0,\sum_{i =1}^{\infty}p_{i} = 1 P(X=xi)=pi,i=1,2,,n,pi0,i=1pi=1

4.连续型随机变量的概率密度

概率密度 f ( x ) f(x) f(x);非负可积,且:

(1) f ( x ) ≥ 0 , f(x) \geq 0, f(x)0,

(2) ∫ − ∞ + ∞ f ( x ) d x = 1 \int_{- \infty}^{+\infty}{f(x){dx} = 1} +f(x)dx=1

(3) x x x f ( x ) f(x) f(x)的连续点,则:

f ( x ) = F ′ ( x ) f(x) = F'(x) f(x)=F(x)分布函数 F ( x ) = ∫ − ∞ x f ( t ) d t F(x) = \int_{- \infty}^{x}{f(t){dt}} F(x)=xf(t)dt

5.常见分布

(1) 0-1分布: P ( X = k ) = p k ( 1 − p ) 1 − k , k = 0 , 1 P(X = k) = p^{k}{(1 - p)}^{1 - k},k = 0,1 P(X=k)=pk(1p)1k,k=0,1

(2) 二项分布: B ( n , p ) B(n,p) B(n,p) P ( X = k ) = C n k p k ( 1 − p ) n − k , k = 0 , 1 , ⋯   , n P(X = k) = C_{n}^{k}p^{k}{(1 - p)}^{n - k},k =0,1,\cdots,n P(X=k)=Cnkpk(1p)nk,k=0,1,,n

(3) Poisson分布: p ( λ ) p(\lambda) p(λ) P ( X = k ) = λ k k ! e − λ , λ > 0 , k = 0 , 1 , 2 ⋯ P(X = k) = \frac{\lambda^{k}}{k!}e^{-\lambda},\lambda > 0,k = 0,1,2\cdots P(X=k)=k!λkeλ,λ>0,k=0,1,2

(4) 均匀分布 U ( a , b ) U(a,b) U(a,b):$f(x) = { \begin{matrix} & \frac{1}{b - a},a < x< b \ & 0, \ \end{matrix} $

(5) 正态分布: N ( μ , σ 2 ) : N(\mu,\sigma^{2}): N(μ,σ2): φ ( x ) = 1 2 π σ e − ( x − μ ) 2 2 σ 2 , σ > 0 , ∞ < x < + ∞ \varphi(x) =\frac{1}{\sqrt{2\pi}\sigma}e^{- \frac{{(x - \mu)}^{2}}{2\sigma^{2}}},\sigma > 0,\infty < x < + \infty φ(x)=2π σ1e2σ2(xμ)2,σ>0,<x<+

(6)指数分布:$E(\lambda):f(x) ={ \begin{matrix} & \lambda e^{-{λx}},x > 0,\lambda > 0 \ & 0, \ \end{matrix} $

(7)几何分布: G ( p ) : P ( X = k ) = ( 1 − p ) k − 1 p , 0 < p < 1 , k = 1 , 2 , ⋯   . G(p):P(X = k) = {(1 - p)}^{k - 1}p,0 < p < 1,k = 1,2,\cdots. G(p):P(X=k)=(1p)k1p,0<p<1,k=1,2,.

(8)超几何分布: H ( N , M , n ) : P ( X = k ) = C M k C N − M n − k C N n , k = 0 , 1 , ⋯   , m i n ( n , M ) H(N,M,n):P(X = k) = \frac{C_{M}^{k}C_{N - M}^{n -k}}{C_{N}^{n}},k =0,1,\cdots,min(n,M) H(N,M,n):P(X=k)=CNnCMkCNMnk,k=0,1,,min(n,M)

6.随机变量函数的概率分布

(1)离散型: P ( X = x 1 ) = p i , Y = g ( X ) P(X = x_{1}) = p_{i},Y = g(X) P(X=x1)=pi,Y=g(X)

则: P ( Y = y j ) = ∑ g ( x i ) = y i P ( X = x i ) P(Y = y_{j}) = \sum_{g(x_{i}) = y_{i}}^{}{P(X = x_{i})} P(Y=yj)=g(xi)=yiP(X=xi)

(2)连续型: X   ~ f X ( x ) , Y = g ( x ) X\tilde{\ }f_{X}(x),Y = g(x) X ~fX(x),Y=g(x)

则: F y ( y ) = P ( Y ≤ y ) = P ( g ( X ) ≤ y ) = ∫ g ( x ) ≤ y f x ( x ) d x F_{y}(y) = P(Y \leq y) = P(g(X) \leq y) = \int_{g(x) \leq y}^{}{f_{x}(x)dx} Fy(y)=P(Yy)=P(g(X)y)=g(x)yfx(x)dx f Y ( y ) = F Y ′ ( y ) f_{Y}(y) = F'_{Y}(y) fY(y)=FY(y)

7.重要公式与结论

(1) X ∼ N ( 0 , 1 ) ⇒ φ ( 0 ) = 1 2 π , Φ ( 0 ) = 1 2 , X\sim N(0,1) \Rightarrow \varphi(0) = \frac{1}{\sqrt{2\pi}},\Phi(0) =\frac{1}{2}, XN(0,1)φ(0)=2π 1,Φ(0)=21, Φ ( − a ) = P ( X ≤ − a ) = 1 − Φ ( a ) \Phi( - a) = P(X \leq - a) = 1 - \Phi(a) Φ(a)=P(Xa)=1Φ(a)

(2) X ∼ N ( μ , σ 2 ) ⇒ X − μ σ ∼ N ( 0 , 1 ) , P ( X ≤ a ) = Φ ( a − μ σ ) X\sim N\left( \mu,\sigma^{2} \right) \Rightarrow \frac{X -\mu}{\sigma}\sim N\left( 0,1 \right),P(X \leq a) = \Phi(\frac{a -\mu}{\sigma}) XN(μ,σ2)σXμN(0,1),P(Xa)=Φ(σaμ)

(3) X ∼ E ( λ ) ⇒ P ( X > s + t ∣ X > s ) = P ( X > t ) X\sim E(\lambda) \Rightarrow P(X > s + t|X > s) = P(X > t) XE(λ)P(X>s+tX>s)=P(X>t)

(4) X ∼ G ( p ) ⇒ P ( X = m + k ∣ X > m ) = P ( X = k ) X\sim G(p) \Rightarrow P(X = m + k|X > m) = P(X = k) XG(p)P(X=m+kX>m)=P(X=k)

(5) 离散型随机变量的分布函数为阶梯间断函数;连续型随机变量的分布函数为连续函数,但不一定为处处可导函数。

(6) 存在既非离散也非连续型随机变量。

多维随机变量及其分布

1.二维随机变量及其联合分布

由两个随机变量构成的随机向量 ( X , Y ) (X,Y) (X,Y), 联合分布为 F ( x , y ) = P ( X ≤ x , Y ≤ y ) F(x,y) = P(X \leq x,Y \leq y) F(x,y)=P(Xx,Yy)

2.二维离散型随机变量的分布

(1) 联合概率分布律 P { X = x i , Y = y j } = p i j ; i , j = 1 , 2 , ⋯ P\{ X = x_{i},Y = y_{j}\} = p_{{ij}};i,j =1,2,\cdots P{X=xi,Y=yj}=pij;i,j=1,2,

(2) 边缘分布律 p i ⋅ = ∑ j = 1 ∞ p i j , i = 1 , 2 , ⋯ p_{i \cdot} = \sum_{j = 1}^{\infty}p_{{ij}},i =1,2,\cdots pi=j=1pij,i=1,2, p ⋅ j = ∑ i ∞ p i j , j = 1 , 2 , ⋯ p_{\cdot j} = \sum_{i}^{\infty}p_{{ij}},j = 1,2,\cdots pj=ipij,j=1,2,

(3) 条件分布律 P { X = x i ∣ Y = y j } = p i j p ⋅ j P\{ X = x_{i}|Y = y_{j}\} = \frac{p_{{ij}}}{p_{\cdot j}} P{X=xiY=yj}=pjpij
P { Y = y j ∣ X = x i } = p i j p i ⋅ P\{ Y = y_{j}|X = x_{i}\} = \frac{p_{{ij}}}{p_{i \cdot}} P{Y=yjX=xi}=pipij

3. 二维连续性随机变量的密度

(1) 联合概率密度 f ( x , y ) : f(x,y): f(x,y):

  1. f ( x , y ) ≥ 0 f(x,y) \geq 0 f(x,y)0

  2. ∫ − ∞ + ∞ ∫ − ∞ + ∞ f ( x , y ) d x d y = 1 \int_{- \infty}^{+ \infty}{\int_{- \infty}^{+ \infty}{f(x,y)dxdy}} = 1 ++f(x,y)dxdy=1

(2) 分布函数: F ( x , y ) = ∫ − ∞ x ∫ − ∞ y f ( u , v ) d u d v F(x,y) = \int_{- \infty}^{x}{\int_{- \infty}^{y}{f(u,v)dudv}} F(x,y)=xyf(u,v)dudv

(3) 边缘概率密度: f X ( x ) = ∫ − ∞ + ∞ f ( x , y ) d y f_{X}\left( x \right) = \int_{- \infty}^{+ \infty}{f\left( x,y \right){dy}} fX(x)=+f(x,y)dy f Y ( y ) = ∫ − ∞ + ∞ f ( x , y ) d x f_{Y}(y) = \int_{- \infty}^{+ \infty}{f(x,y)dx} fY(y)=+f(x,y)dx

(4) 条件概率密度: f X ∣ Y ( x | y ) = f ( x , y ) f Y ( y ) f_{X|Y}\left( x \middle| y \right) = \frac{f\left( x,y \right)}{f_{Y}\left( y \right)} fXY(xy)=fY(y)f(x,y) f Y ∣ X ( y ∣ x ) = f ( x , y ) f X ( x ) f_{Y|X}(y|x) = \frac{f(x,y)}{f_{X}(x)} fYX(yx)=fX(x)f(x,y)

4.常见二维随机变量的联合分布

(1) 二维均匀分布: ( x , y ) ∼ U ( D ) (x,y) \sim U(D) (x,y)U(D) , f ( x , y ) = { 1 S ( D ) , ( x , y ) ∈ D 0 , 其 他 f(x,y) = \begin{cases} \frac{1}{S(D)},(x,y) \in D \\ 0,其他 \end{cases} f(x,y)={S(D)1,(x,y)D0,

(2) 二维正态分布: ( X , Y ) ∼ N ( μ 1 , μ 2 , σ 1 2 , σ 2 2 , ρ ) (X,Y)\sim N(\mu_{1},\mu_{2},\sigma_{1}^{2},\sigma_{2}^{2},\rho) (X,Y)N(μ1,μ2,σ12,σ22,ρ), ( X , Y ) ∼ N ( μ 1 , μ 2 , σ 1 2 , σ 2 2 , ρ ) (X,Y)\sim N(\mu_{1},\mu_{2},\sigma_{1}^{2},\sigma_{2}^{2},\rho) (X,Y)N(μ1,μ2,σ12,σ22,ρ)

f ( x , y ) = 1 2 π σ 1 σ 2 1 − ρ 2 . exp ⁡ { − 1 2 ( 1 − ρ 2 ) [ ( x − μ 1 ) 2 σ 1 2 − 2 ρ ( x − μ 1 ) ( y − μ 2 ) σ 1 σ 2 + ( y − μ 2 ) 2 σ 2 2 ] } f(x,y) = \frac{1}{2\pi\sigma_{1}\sigma_{2}\sqrt{1 - \rho^{2}}}.\exp\left\{ \frac{- 1}{2(1 - \rho^{2})}\lbrack\frac{{(x - \mu_{1})}^{2}}{\sigma_{1}^{2}} - 2\rho\frac{(x - \mu_{1})(y - \mu_{2})}{\sigma_{1}\sigma_{2}} + \frac{{(y - \mu_{2})}^{2}}{\sigma_{2}^{2}}\rbrack \right\} f(x,y)=2πσ1σ21ρ2 1.exp{2(1ρ2)1[σ12(xμ1)22ρσ1σ2(xμ1)(yμ2)+σ22(yμ2)2]}

5.随机变量的独立性和相关性

X X X Y Y Y的相互独立: ⇔ F ( x , y ) = F X ( x ) F Y ( y ) \Leftrightarrow F\left( x,y \right) = F_{X}\left( x \right)F_{Y}\left( y \right) F(x,y)=FX(x)FY(y):

⇔ p i j = p i ⋅ ⋅ p ⋅ j \Leftrightarrow p_{{ij}} = p_{i \cdot} \cdot p_{\cdot j} pij=pipj(离散型)
⇔ f ( x , y ) = f X ( x ) f Y ( y ) \Leftrightarrow f\left( x,y \right) = f_{X}\left( x \right)f_{Y}\left( y \right) f(x,y)=fX(x)fY(y)(连续型)

X X X Y Y Y的相关性:

相关系数 ρ X Y = 0 \rho_{{XY}} = 0 ρXY=0时,称 X X X Y Y Y不相关,
否则称 X X X Y Y Y相关

6.两个随机变量简单函数的概率分布

离散型: P ( X = x i , Y = y i ) = p i j , Z = g ( X , Y ) P\left( X = x_{i},Y = y_{i} \right) = p_{{ij}},Z = g\left( X,Y \right) P(X=xi,Y=yi)=pij,Z=g(X,Y) 则:

P ( Z = z k ) = P { g ( X , Y ) = z k } = ∑ g ( x i , y i ) = z k P ( X = x i , Y = y j ) P(Z = z_{k}) = P\left\{ g\left( X,Y \right) = z_{k} \right\} = \sum_{g\left( x_{i},y_{i} \right) = z_{k}}^{}{P\left( X = x_{i},Y = y_{j} \right)} P(Z=zk)=P{g(X,Y)=zk}=g(xi,yi)=zkP(X=xi,Y=yj)

连续型: ( X , Y ) ∼ f ( x , y ) , Z = g ( X , Y ) \left( X,Y \right) \sim f\left( x,y \right),Z = g\left( X,Y \right) (X,Y)f(x,y),Z=g(X,Y)
则:

F z ( z ) = P { g ( X , Y ) ≤ z } = ∬ g ( x , y ) ≤ z f ( x , y ) d x d y F_{z}\left( z \right) = P\left\{ g\left( X,Y \right) \leq z \right\} = \iint_{g(x,y) \leq z}^{}{f(x,y)dxdy} Fz(z)=P{g(X,Y)z}=g(x,y)zf(x,y)dxdy f z ( z ) = F z ′ ( z ) f_{z}(z) = F'_{z}(z) fz(z)=Fz(z)

7.重要公式与结论

(1) 边缘密度公式: f X ( x ) = ∫ − ∞ + ∞ f ( x , y ) d y , f_{X}(x) = \int_{- \infty}^{+ \infty}{f(x,y)dy,} fX(x)=+f(x,y)dy,
f Y ( y ) = ∫ − ∞ + ∞ f ( x , y ) d x f_{Y}(y) = \int_{- \infty}^{+ \infty}{f(x,y)dx} fY(y)=+f(x,y)dx

(2) P { ( X , Y ) ∈ D } = ∬ D f ( x , y ) d x d y P\left\{ \left( X,Y \right) \in D \right\} = \iint_{D}^{}{f\left( x,y \right){dxdy}} P{(X,Y)D}=Df(x,y)dxdy

(3) 若 ( X , Y ) (X,Y) (X,Y)服从二维正态分布 N ( μ 1 , μ 2 , σ 1 2 , σ 2 2 , ρ ) N(\mu_{1},\mu_{2},\sigma_{1}^{2},\sigma_{2}^{2},\rho) N(μ1,μ2,σ12,σ22,ρ)
则有:

  1. X ∼ N ( μ 1 , σ 1 2 ) , Y ∼ N ( μ 2 , σ 2 2 ) . X\sim N\left( \mu_{1},\sigma_{1}^{2} \right),Y\sim N(\mu_{2},\sigma_{2}^{2}). XN(μ1,σ12),YN(μ2,σ22).

  2. X X X Y Y Y相互独立 ⇔ ρ = 0 \Leftrightarrow \rho = 0 ρ=0,即 X X X Y Y Y不相关。

  3. C 1 X + C 2 Y ∼ N ( C 1 μ 1 + C 2 μ 2 , C 1 2 σ 1 2 + C 2 2 σ 2 2 + 2 C 1 C 2 σ 1 σ 2 ρ ) C_{1}X + C_{2}Y\sim N(C_{1}\mu_{1} + C_{2}\mu_{2},C_{1}^{2}\sigma_{1}^{2} + C_{2}^{2}\sigma_{2}^{2} + 2C_{1}C_{2}\sigma_{1}\sigma_{2}\rho) C1X+C2YN(C1μ1+C2μ2,C12σ12+C22σ22+2C1C2σ1σ2ρ)

  4.   X {\ X}  X关于 Y = y Y=y Y=y的条件分布为: N ( μ 1 + ρ σ 1 σ 2 ( y − μ 2 ) , σ 1 2 ( 1 − ρ 2 ) ) N(\mu_{1} + \rho\frac{\sigma_{1}}{\sigma_{2}}(y - \mu_{2}),\sigma_{1}^{2}(1 - \rho^{2})) N(μ1+ρσ2σ1(yμ2),σ12(1ρ2))

  5. Y Y Y关于 X = x X = x X=x的条件分布为: N ( μ 2 + ρ σ 2 σ 1 ( x − μ 1 ) , σ 2 2 ( 1 − ρ 2 ) ) N(\mu_{2} + \rho\frac{\sigma_{2}}{\sigma_{1}}(x - \mu_{1}),\sigma_{2}^{2}(1 - \rho^{2})) N(μ2+ρσ1σ2(xμ1),σ22(1ρ2))

(4) 若 X X X Y Y Y独立,且分别服从 N ( μ 1 , σ 1 2 ) , N ( μ 1 , σ 2 2 ) , N(\mu_{1},\sigma_{1}^{2}),N(\mu_{1},\sigma_{2}^{2}), N(μ1,σ12),N(μ1,σ22),
则: ( X , Y ) ∼ N ( μ 1 , μ 2 , σ 1 2 , σ 2 2 , 0 ) , \left( X,Y \right)\sim N(\mu_{1},\mu_{2},\sigma_{1}^{2},\sigma_{2}^{2},0), (X,Y)N(μ1,μ2,σ12,σ22,0),

C 1 X + C 2 Y   ~ N ( C 1 μ 1 + C 2 μ 2 , C 1 2 σ 1 2 C 2 2 σ 2 2 ) . C_{1}X + C_{2}Y\tilde{\ }N(C_{1}\mu_{1} + C_{2}\mu_{2},C_{1}^{2}\sigma_{1}^{2} C_{2}^{2}\sigma_{2}^{2}). C1X+C2Y ~N(C1μ1+C2μ2,C12σ12C22σ22).

(5) 若 X X X Y Y Y相互独立, f ( x ) f\left( x \right) f(x) g ( x ) g\left( x \right) g(x)为连续函数, 则 f ( X ) f\left( X \right) f(X) g ( Y ) g(Y) g(Y)也相互独立。

随机变量的数字特征

1.数学期望

离散型: P { X = x i } = p i , E ( X ) = ∑ i x i p i P\left\{ X = x_{i} \right\} = p_{i},E(X) = \sum_{i}^{}{x_{i}p_{i}} P{X=xi}=pi,E(X)=ixipi

连续型: X ∼ f ( x ) , E ( X ) = ∫ − ∞ + ∞ x f ( x ) d x X\sim f(x),E(X) = \int_{- \infty}^{+ \infty}{xf(x)dx} Xf(x),E(X)=+xf(x)dx

性质:

(1) E ( C ) = C , E [ E ( X ) ] = E ( X ) E(C) = C,E\lbrack E(X)\rbrack = E(X) E(C)=C,E[E(X)]=E(X)

(2) E ( C 1 X + C 2 Y ) = C 1 E ( X ) + C 2 E ( Y ) E(C_{1}X + C_{2}Y) = C_{1}E(X) + C_{2}E(Y) E(C1X+C2Y)=C1E(X)+C2E(Y)

(3) 若 X X X Y Y Y独立,则 E ( X Y ) = E ( X ) E ( Y ) E(XY) = E(X)E(Y) E(XY)=E(X)E(Y)

(4) [ E ( X Y ) ] 2 ≤ E ( X 2 ) E ( Y 2 ) \left\lbrack E(XY) \right\rbrack^{2} \leq E(X^{2})E(Y^{2}) [E(XY)]2E(X2)E(Y2)

2.方差 D ( X ) = E [ X − E ( X ) ] 2 = E ( X 2 ) − [ E ( X ) ] 2 D(X) = E\left\lbrack X - E(X) \right\rbrack^{2} = E(X^{2}) - \left\lbrack E(X) \right\rbrack^{2} D(X)=E[XE(X)]2=E(X2)[E(X)]2

3.标准差 D ( X ) \sqrt{D(X)} D(X)

4.离散型: D ( X ) = ∑ i [ x i − E ( X ) ] 2 p i D(X) = \sum_{i}^{}{\left\lbrack x_{i} - E(X) \right\rbrack^{2}p_{i}} D(X)=i[xiE(X)]2pi

5.连续型: D ( X ) = ∫ − ∞ + ∞ [ x − E ( X ) ] 2 f ( x ) d x D(X) = {\int_{- \infty}^{+ \infty}\left\lbrack x - E(X) \right\rbrack}^{2}f(x)dx D(X)=+[xE(X)]2f(x)dx

性质:

(1)   D ( C ) = 0 , D [ E ( X ) ] = 0 , D [ D ( X ) ] = 0 \ D(C) = 0,D\lbrack E(X)\rbrack = 0,D\lbrack D(X)\rbrack = 0  D(C)=0,D[E(X)]=0,D[D(X)]=0

(2) X X X Y Y Y相互独立,则 D ( X ± Y ) = D ( X ) + D ( Y ) D(X \pm Y) = D(X) + D(Y) D(X±Y)=D(X)+D(Y)

(3)   D ( C 1 X + C 2 ) = C 1 2 D ( X ) \ D\left( C_{1}X + C_{2} \right) = C_{1}^{2}D\left( X \right)  D(C1X+C2)=C12D(X)

(4) 一般有 D ( X ± Y ) = D ( X ) + D ( Y ) ± 2 C o v ( X , Y ) = D ( X ) + D ( Y ) ± 2 ρ D ( X ) D ( Y ) D(X \pm Y) = D(X) + D(Y) \pm 2Cov(X,Y) = D(X) + D(Y) \pm 2\rho\sqrt{D(X)}\sqrt{D(Y)} D(X±Y)=D(X)+D(Y)±2Cov(X,Y)=D(X)+D(Y)±2ρD(X) D(Y)

(5)   D ( X ) < E ( X − C ) 2 , C ≠ E ( X ) \ D\left( X \right) < E\left( X - C \right)^{2},C \neq E\left( X \right)  D(X)<E(XC)2,C=E(X)

(6)   D ( X ) = 0 ⇔ P { X = C } = 1 \ D(X) = 0 \Leftrightarrow P\left\{ X = C \right\} = 1  D(X)=0P{X=C}=1

6.随机变量函数的数学期望

(1) 对于函数 Y = g ( x ) Y = g(x) Y=g(x)

X X X为离散型: P { X = x i } = p i , E ( Y ) = ∑ i g ( x i ) p i P\{ X = x_{i}\} = p_{i},E(Y) = \sum_{i}^{}{g(x_{i})p_{i}} P{X=xi}=pi,E(Y)=ig(xi)pi

X X X为连续型: X ∼ f ( x ) , E ( Y ) = ∫ − ∞ + ∞ g ( x ) f ( x ) d x X\sim f(x),E(Y) = \int_{- \infty}^{+ \infty}{g(x)f(x)dx} Xf(x),E(Y)=+g(x)f(x)dx

(2) Z = g ( X , Y ) Z = g(X,Y) Z=g(X,Y); ( X , Y ) ∼ P { X = x i , Y = y j } = p i j \left( X,Y \right)\sim P\{ X = x_{i},Y = y_{j}\} = p_{{ij}} (X,Y)P{X=xi,Y=yj}=pij; E ( Z ) = ∑ i ∑ j g ( x i , y j ) p i j E(Z) = \sum_{i}^{}{\sum_{j}^{}{g(x_{i},y_{j})p_{{ij}}}} E(Z)=ijg(xi,yj)pij ( X , Y ) ∼ f ( x , y ) \left( X,Y \right)\sim f(x,y) (X,Y)f(x,y); E ( Z ) = ∫ − ∞ + ∞ ∫ − ∞ + ∞ g ( x , y ) f ( x , y ) d x d y E(Z) = \int_{- \infty}^{+ \infty}{\int_{- \infty}^{+ \infty}{g(x,y)f(x,y)dxdy}} E(Z)=++g(x,y)f(x,y)dxdy

7.协方差

C o v ( X , Y ) = E [ ( X − E ( X ) ( Y − E ( Y ) ) ] Cov(X,Y) = E\left\lbrack (X - E(X)(Y - E(Y)) \right\rbrack Cov(X,Y)=E[(XE(X)(YE(Y))]

8.相关系数

ρ X Y = C o v ( X , Y ) D ( X ) D ( Y ) \rho_{{XY}} = \frac{Cov(X,Y)}{\sqrt{D(X)}\sqrt{D(Y)}} ρXY=D(X) D(Y) Cov(X,Y), k k k阶原点矩 E ( X k ) E(X^{k}) E(Xk);
k k k阶中心矩 E { [ X − E ( X ) ] k } E\left\{ {\lbrack X - E(X)\rbrack}^{k} \right\} E{[XE(X)]k}

性质:

(1)   C o v ( X , Y ) = C o v ( Y , X ) \ Cov(X,Y) = Cov(Y,X)  Cov(X,Y)=Cov(Y,X)

(2)   C o v ( a X , b Y ) = a b C o v ( Y , X ) \ Cov(aX,bY) = abCov(Y,X)  Cov(aX,bY)=abCov(Y,X)

(3)   C o v ( X 1 + X 2 , Y ) = C o v ( X 1 , Y ) + C o v ( X 2 , Y ) \ Cov(X_{1} + X_{2},Y) = Cov(X_{1},Y) + Cov(X_{2},Y)  Cov(X1+X2,Y)=Cov(X1,Y)+Cov(X2,Y)

(4)   ∣ ρ ( X , Y ) ∣ ≤ 1 \ \left| \rho\left( X,Y \right) \right| \leq 1  ρ(X,Y)1

(5)   ρ ( X , Y ) = 1 ⇔ P ( Y = a X + b ) = 1 \ \rho\left( X,Y \right) = 1 \Leftrightarrow P\left( Y = aX + b \right) = 1  ρ(X,Y)=1P(Y=aX+b)=1 ,其中 a > 0 a > 0 a>0

ρ ( X , Y ) = − 1 ⇔ P ( Y = a X + b ) = 1 \rho\left( X,Y \right) = - 1 \Leftrightarrow P\left( Y = aX + b \right) = 1 ρ(X,Y)=1P(Y=aX+b)=1
,其中 a < 0 a < 0 a<0

9.重要公式与结论

(1)   D ( X ) = E ( X 2 ) − E 2 ( X ) \ D(X) = E(X^{2}) - E^{2}(X)  D(X)=E(X2)E2(X)

(2)   C o v ( X , Y ) = E ( X Y ) − E ( X ) E ( Y ) \ Cov(X,Y) = E(XY) - E(X)E(Y)  Cov(X,Y)=E(XY)E(X)E(Y)

(3) ∣ ρ ( X , Y ) ∣ ≤ 1 , \left| \rho\left( X,Y \right) \right| \leq 1, ρ(X,Y)1, ρ ( X , Y ) = 1 ⇔ P ( Y = a X + b ) = 1 \rho\left( X,Y \right) = 1 \Leftrightarrow P\left( Y = aX + b \right) = 1 ρ(X,Y)=1P(Y=aX+b)=1,其中 a > 0 a > 0 a>0

ρ ( X , Y ) = − 1 ⇔ P ( Y = a X + b ) = 1 \rho\left( X,Y \right) = - 1 \Leftrightarrow P\left( Y = aX + b \right) = 1 ρ(X,Y)=1P(Y=aX+b)=1,其中 a < 0 a < 0 a<0

(4) 下面5个条件互为充要条件:

ρ ( X , Y ) = 0 \rho(X,Y) = 0 ρ(X,Y)=0 ⇔ C o v ( X , Y ) = 0 \Leftrightarrow Cov(X,Y) = 0 Cov(X,Y)=0 ⇔ E ( X , Y ) = E ( X ) E ( Y ) \Leftrightarrow E(X,Y) = E(X)E(Y) E(X,Y)=E(X)E(Y) ⇔ D ( X + Y ) = D ( X ) + D ( Y ) \Leftrightarrow D(X + Y) = D(X) + D(Y) D(X+Y)=D(X)+D(Y) ⇔ D ( X − Y ) = D ( X ) + D ( Y ) \Leftrightarrow D(X - Y) = D(X) + D(Y) D(XY)=D(X)+D(Y)

注: X X X Y Y Y独立为上述5个条件中任何一个成立的充分条件,但非必要条件。

数理统计的基本概念

1.基本概念

总体:研究对象的全体,它是一个随机变量,用 X X X表示。

个体:组成总体的每个基本元素。

简单随机样本:来自总体 X X X n n n个相互独立且与总体同分布的随机变量 X 1 , X 2 ⋯   , X n X_{1},X_{2}\cdots,X_{n} X1,X2,Xn,称为容量为 n n n的简单随机样本,简称样本。

统计量:设 X 1 , X 2 ⋯   , X n , X_{1},X_{2}\cdots,X_{n}, X1,X2,Xn,是来自总体 X X X的一个样本, g ( X 1 , X 2 ⋯   , X n ) g(X_{1},X_{2}\cdots,X_{n}) g(X1,X2,Xn))是样本的连续函数,且 g ( ) g() g()中不含任何未知参数,则称 g ( X 1 , X 2 ⋯   , X n ) g(X_{1},X_{2}\cdots,X_{n}) g(X1,X2,Xn)为统计量。

样本均值: X ‾ = 1 n ∑ i = 1 n X i \overline{X} = \frac{1}{n}\sum_{i = 1}^{n}X_{i} X=n1i=1nXi

样本方差: S 2 = 1 n − 1 ∑ i = 1 n ( X i − X ‾ ) 2 S^{2} = \frac{1}{n - 1}\sum_{i = 1}^{n}{(X_{i} - \overline{X})}^{2} S2=n11i=1n(XiX)2

样本矩:样本 k k k阶原点矩: A k = 1 n ∑ i = 1 n X i k , k = 1 , 2 , ⋯ A_{k} = \frac{1}{n}\sum_{i = 1}^{n}X_{i}^{k},k = 1,2,\cdots Ak=n1i=1nXik,k=1,2,

样本 k k k阶中心矩: B k = 1 n ∑ i = 1 n ( X i − X ‾ ) k , k = 1 , 2 , ⋯ B_{k} = \frac{1}{n}\sum_{i = 1}^{n}{(X_{i} - \overline{X})}^{k},k = 1,2,\cdots Bk=n1i=1n(XiX)k,k=1,2,

2.分布

χ 2 \chi^{2} χ2分布: χ 2 = X 1 2 + X 2 2 + ⋯ + X n 2 ∼ χ 2 ( n ) \chi^{2} = X_{1}^{2} + X_{2}^{2} + \cdots + X_{n}^{2}\sim\chi^{2}(n) χ2=X12+X22++Xn2χ2(n),其中 X 1 , X 2 ⋯   , X n , X_{1},X_{2}\cdots,X_{n}, X1,X2,Xn,相互独立,且同服从 N ( 0 , 1 ) N(0,1) N(0,1)

t t t分布: T = X Y / n ∼ t ( n ) T = \frac{X}{\sqrt{Y/n}}\sim t(n) T=Y/n Xt(n) ,其中 X ∼ N ( 0 , 1 ) , Y ∼ χ 2 ( n ) , X\sim N\left( 0,1 \right),Y\sim\chi^{2}(n), XN(0,1),Yχ2(n), X X X Y Y Y 相互独立。

F F F分布: F = X / n 1 Y / n 2 ∼ F ( n 1 , n 2 ) F = \frac{X/n_{1}}{Y/n_{2}}\sim F(n_{1},n_{2}) F=Y/n2X/n1F(n1,n2),其中 X ∼ χ 2 ( n 1 ) , Y ∼ χ 2 ( n 2 ) , X\sim\chi^{2}\left( n_{1} \right),Y\sim\chi^{2}(n_{2}), Xχ2(n1),Yχ2(n2), X X X Y Y Y相互独立。

分位数:若 P ( X ≤ x α ) = α , P(X \leq x_{\alpha}) = \alpha, P(Xxα)=α,则称 x α x_{\alpha} xα X X X α \alpha α分位数

3.正态总体的常用样本分布

(1) 设 X 1 , X 2 ⋯   , X n X_{1},X_{2}\cdots,X_{n} X1,X2,Xn为来自正态总体 N ( μ , σ 2 ) N(\mu,\sigma^{2}) N(μ,σ2)的样本,

X ‾ = 1 n ∑ i = 1 n X i , S 2 = 1 n − 1 ∑ i = 1 n ( X i − X ‾ ) 2 , \overline{X} = \frac{1}{n}\sum_{i = 1}^{n}X_{i},S^{2} = \frac{1}{n - 1}\sum_{i = 1}^{n}{{(X_{i} - \overline{X})}^{2},} X=n1i=1nXi,S2=n11i=1n(XiX)2,则:

  1. X ‾ ∼ N ( μ , σ 2 n )    \overline{X}\sim N\left( \mu,\frac{\sigma^{2}}{n} \right){\ \ } XN(μ,nσ2)  或者 X ‾ − μ σ n ∼ N ( 0 , 1 ) \frac{\overline{X} - \mu}{\frac{\sigma}{\sqrt{n}}}\sim N(0,1) n σXμN(0,1)

  2. ( n − 1 ) S 2 σ 2 = 1 σ 2 ∑ i = 1 n ( X i − X ‾ ) 2 ∼ χ 2 ( n − 1 ) \frac{(n - 1)S^{2}}{\sigma^{2}} = \frac{1}{\sigma^{2}}\sum_{i = 1}^{n}{{(X_{i} - \overline{X})}^{2}\sim\chi^{2}(n - 1)} σ2(n1)S2=σ21i=1n(XiX)2χ2(n1)

  3. 1 σ 2 ∑ i = 1 n ( X i − μ ) 2 ∼ χ 2 ( n ) \frac{1}{\sigma^{2}}\sum_{i = 1}^{n}{{(X_{i} - \mu)}^{2}\sim\chi^{2}(n)} σ21i=1n(Xiμ)2χ2(n)

4)    X ‾ − μ S / n ∼ t ( n − 1 ) {\ \ }\frac{\overline{X} - \mu}{S/\sqrt{n}}\sim t(n - 1)   S/n Xμt(n1)

4.重要公式与结论

(1) 对于 χ 2 ∼ χ 2 ( n ) \chi^{2}\sim\chi^{2}(n) χ2χ2(n),有 E ( χ 2 ( n ) ) = n , D ( χ 2 ( n ) ) = 2 n ; E(\chi^{2}(n)) = n,D(\chi^{2}(n)) = 2n; E(χ2(n))=n,D(χ2(n))=2n;

(2) 对于 T ∼ t ( n ) T\sim t(n) Tt(n),有 E ( T ) = 0 , D ( T ) = n n − 2 ( n > 2 ) E(T) = 0,D(T) = \frac{n}{n - 2}(n > 2) E(T)=0,D(T)=n2n(n>2)

(3) 对于 F   ~ F ( m , n ) F\tilde{\ }F(m,n) F ~F(m,n),有 1 F ∼ F ( n , m ) , F a / 2 ( m , n ) = 1 F 1 − a / 2 ( n , m ) ; \frac{1}{F}\sim F(n,m),F_{a/2}(m,n) = \frac{1}{F_{1 - a/2}(n,m)}; F1F(n,m),Fa/2(m,n)=F1a/2(n,m)1;

(4) 对于任意总体 X X X,有 E ( X ‾ ) = E ( X ) , E ( S 2 ) = D ( X ) , D ( X ‾ ) = D ( X ) n E(\overline{X}) = E(X),E(S^{2}) = D(X),D(\overline{X}) = \frac{D(X)}{n} E(X)=E(X),E(S2)=D(X),D(X)=nD(X)

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