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checklist for prequisites

- Invariant Subspaces
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ase that these concepts have not been used recently, especially by CS majors. So

you may need to freshen up. This list provides a guideline to do so.

1. Linear algebra.

- linear (vector) spaces: what they are, how they are represented, how they are

transformed one onto the other

- linear combinations: what it takes for a space to be a linear space.

- linear independence: what it means, what happens when a set of vectors is not

linearly independent; how an it be transformed into another set that is "equival

ent" and yet is made of linearly independent elements

- basis: what it is, how to transform from one to the other

- inner products, orthogonality: what it means; how to transform from an inner p

roduct to another; abstract definition, generalization to vector spaces beyond R

^n

- orthogonal matrices: definitions, properties

- Gram-Schmidt orthogonalization: procedure and its meaning

- range space, null space, rank: definitions, interpretation, calculation: How d

o you compute the (range/null/rank) of a matrix?

- eigenvalues, eigenvectors: definitions, interpretation; spectrum of a matrix

- symmetric matrices: definitions, properties

- solving linear systems of equations of the form Ax = b: you must be able to so

lve a linear system of equations by hand, provided it is solvable. You must also

be able to ...

- conditions under which the system above can be solved, and can be solved uniqu

ely: determine whether a linear system of equation is solvable (has at least one

solution), and whether it has multiple solutions; in the latter case, you must

be able to represent the set of all possible solutions analytically

- least-squares approximation to the solution of a linear system: If a linear sy

stem does not admit a solution, how do you "relax" it so that it admits infinite

ly many, and how can you determine a criterion to choose one particular solution

, among the infinitely many, that is in some sense "sensible".

- (optional: SVD)

2. Calculus and numerical analysis.

- limits: you must understand the concept of limit; epsilon-delta and all that;

be facile with computing limits and derivatives

- differentiation

- Riemann integral: how to compute the integral of a function that is represente

d using samples, as opposed to analytically.

- Gauss-Newton methods, conjugate gradient, Levemberg-Marquardt: how to minimize

a scalar-valued smooth function iteratively; conditions under which you are gua

ranteed to converge to the global minimum; necessary conditions for a local mini

mum

- Constrained optimization, Lagrangian multipliers: how to frame a constrained o

ptimization problem into an unconstrained one.

- trigonometric functions, Fourier series: series of functions (polynomials, sin

/cos, exponentials)

- solution of linear system of ordinary differential equations x-dot = A x; you

must be able to solve a linear system of equations with constant coefficients; y

ou must have a procedure to compute, or at least approximate, matrix powers and

matrix exponentials

3. Basic probability and stochastic processes

- probability space: what it is, examples

- random variables: definition, interpretation, understand the difference betwee

n a random variable, its probabilistic description (distribution, density, momen

- expectation: definition, interpretation, examples

- conditional expectation: definition (it is a random variable), interpretation

- moments: definition, interpretation; second- and third-order moments

- marginalization: how to "integrate out" a random variable.

- Bayes' rule: definition, interpretation

- law of large numbers, central limit theorem: definition, interpretation, impli

cations

- stochastic process: definition, interpretation, understand the difference betw

een a random process, its probabilistic description, its realizations

- correlation function: definition, interpretation

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