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单词 RelationBetweenPositiveFunctionAndItsGradientWhenItsHessianMatrixIsBounded
释义

relation between positive function and its gradient when its Hessian matrix is bounded


Let f:RnR a positive function, twicedifferentiableMathworldPlanetmathPlanetmath everywhere. Furthermore, let 𝐇f(𝐱)2M,M>0 𝐱Rn, where 𝐇f(𝐱) is the Hessian matrix of f(𝐱).Then, for any 𝐱Rn,

f(𝐱)22Mf(𝐱)
Proof.

Let 𝐱, 𝐱0Rn be arbitrary points. Bypositivity of f(𝐱), writing Taylor expansionMathworldPlanetmath of f(𝐱)with Lagrange error formula around 𝐱0, a point 𝐜Rn exists such that:

0f(𝐱)
=f(𝐱0)+f(𝐱0)(𝐱-𝐱0)+12(𝐱-𝐱0)T𝐇f(𝐜)(𝐱-𝐱0)
=|f(𝐱0)+f(𝐱0)(𝐱-𝐱0)+12(𝐱-𝐱0)T𝐇f(𝐜)(𝐱-𝐱0)|
f(𝐱0)+|f(𝐱0)(𝐱-𝐱0)|+12|(𝐱-𝐱0)T𝐇f(𝐜)(𝐱-𝐱0)|
f(𝐱0)+f(𝐱0)2𝐱-𝐱02+12𝐇f(𝐜)2𝐱-𝐱022 (by Cauchy-Schwartzinequality)
f(𝐱0)+f(𝐱0)2𝐱-𝐱02+12M𝐱-𝐱022

The rightest side is a second degree polynomial in variable 𝐱-𝐱02; for it to be positive for anychoice of 𝐱-𝐱02 (that is,for any choice of 𝐱), the discriminant

f(𝐱0)22-412Mf(𝐱0)

must be negative, whence the thesis.∎

Note: The condition on the boundedness of the Hessian matrix is actually needed. In fact, in the Lagrange form remainder, the constant 𝐜 depends upon the point 𝐱. Thus, if we couldn’t rely on the condition 𝐇f(𝐱)2M, we could only statef(𝐱0)+f(𝐱0)2𝐱-𝐱02+12𝐇f(𝐜(𝐱))2𝐱-𝐱0220which, not being a second degree polynomial, wouldn’t imply any particular further condition.Moreover, in the case n=1, the lemma assumes the simpler form:Let f: a positive function, twice differentiable everywhere.Furthermore, let f′′(x)M,M>0 x. Then,for any x,|f(x)|2Mf(x).

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更新时间:2025/5/4 17:10:57