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• Definition of probability:
1. Relative frequency
2. Classical
• Relative frequency definition:
n=number of times random expt repeated
n A = number of times event A occurs
nA
P( A) lim
n n
P(A+B+C)=P(A)+P(B)+P(C)-P(AB)-P(BC)-P(AC)+P(ABC)
Conditional Probability
P( A / B ) P ( AB) / P ( B )
P( B / A) B ( AB) / P ( A)
P( A / B ) [ P ( B / A) P ( A)] / P ( B ) known as Bayes ' Theorem
• X S --- R
FX ( x) P( X x)
• Cumulative distribution function:
T
Symmetric C X C X
• How do we find ?
| ( A I ) | 0
• Make why?
• Eigen values of a covariance matrix are always
positive why?
• Question then is:
Do the inverse of covariance matrix always
exist?
Zn
• Form normalized RV
S n n
Zn
as n
x (1 ) y C
• Intuitively: If we take two points in C and draw
a line, every point in that line also belongs to C
Examples
n
• All of R
• The set || x || 1
• Affine subspace: The set of all x belonging to
n
R Ax b
Such that
• Intersection of convex sets is also convex
• Positive semidefinite matrices
Convex function
• A function f : R R is convex if its domain is a
n
f (x (1 ) y ) f ( x) (1 ) f ( y )
f ( x1 , x2 ) x12 x22
2 f 2 f
2
1 x x1 x 2 Hessian of f x , x 2 0
2 f 1 2 0 2
2 f
2
x2 x1 x2