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运用最小二乘法 总体最小二乘法 进行参数估计

于 2021-05-06 发布
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最小二乘法(又称最小平方法)是一种数学优化技术。它通过最小化误差的平方和寻找数据的最佳函数匹配。利用最小二乘法可以简便地求得未知的数据,并使得这些求得的数据与实际数据之间误差的平方和为最小。最小二乘法还可用于曲线拟合。其他一些优化问题也可通过最小化能量或最大化熵用最小二乘法来表达。

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There are two things about them the reader should knowFirst, if an exercise is neither imperative "prove that.., )nor interrogtive("is it true that...?" )but merely declarative, then it is intendedas a challenge. For such exercises the reader is asked to discover if theassertion is true or false, prove it if true and construct a counterexample iffalse, and, most important of all, discuss such alterations of hypothesis andconclusion as will make the true ones false and the false ones true. Secondthe exercises, whatever their grammatical form, are not always placed 8oas to make their very position a hint to their solution. Frequently exer-cises are stated as soon as the statement makes sense, quite a bit beforemachinery for a quick solution has been developed. A reader who tries(even unsuccessfully) to solve such a"misplaced"exercise is likely to ap-preciate and to understand the subsequent developments much better forhis attempt. 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Dooband arlen Brown, who read the entire manuscript of the first and thesecond version, respectively, and made many useful suggestions, andJohn von Neumann, who was one of the originators of the modern spiritand methods that I have tried to present and whose teaching was theinspiration for this bookP、R.HCONTENTS的 FAPTERPAGRI SPACESI. Fields, 1; 2. Vector spaces, 3; 3. Examples, 4;4. Comments, 55. Linear dependence, 7; 6. Linear combinations. 9: 7. Bases, 108. Dimension, 13; 9. Isomorphism, 14; 10. Subspaces, 16; 11. Calculus of subspaces, 17; 12. Dimension of a subspace, 18; 13. Dualspaces, 20; 14. Brackets, 21; 15. Dual bases, 23; 16. Reflexivity, 24;17. Annihilators, 26; 18. Direct sums, 28: 19. Dimension of a directsum, 30; 20. Dual of a direct sum, 31; 21. Qguotient spaces, 33;22. Dimension of a quotient space, 34; 23. Bilinear forms, 3524. Tensor products, 38; 25. Product bases, 40 26. Permutations41; 27. Cycles,44; 28. Parity, 46; 29. Multilinear forms, 4830. Alternating formB, 50; 31. Alternating forms of maximal degree,52II. TRANSFORMATIONS32. Linear transformations, 55; 33. Transformations as vectors, 5634. Products, 58; 35. Polynomials, 59 36. Inverses, 61; 37. Mat-rices, 64; 38. Matrices of transformations, 67; 39. Invariance,7l;40. Reducibility, 72 41. Projections, 73 42. Combinations of pro-jections, 74; 43. Projections and invariance, 76; 44. Adjoints, 78;45. Adjoints of projections, 80; 46. Change of basis, 82 47. Similarity, 84; 48. Quotient transformations, 87; 49. Range and null-space, 88; 50. Rank and nullity, 90; 51. Transformations of rankone, 92 52. Tensor products of transformations, 95; 53. Determinants, 98 54. Proper values, 102; 55. Multiplicity, 104; 56. Triangular form, 106; 57. Nilpotence, 109; 58. Jordan form. 112III ORTHOGONALITY11859. Inner products, 118; 60. Complex inner products, 120; 61. Innerproduct spaces, 121; 62 Orthogonality, 122; 63. Completeness, 124;64. Schwarz e inequality, 125; 65. 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HILBERT SPACERECOMMENDED READING, 195INDEX OF TERMS, 197INDEX OF SYMBOLS, 200CHAPTER ISPACES§L. FieldsIn what follows we shall have occasion to use various classes of numbers(such as the class of all real numbers or the class of all complex numbers)Because we should not at this early stage commit ourselves to any specificclass, we shall adopt the dodge of referring to numbers as scalars. Thereader will not lose anything essential if he consistently interprets scalarsas real numbers or as complex numbers in the examples that we shallstudy both classes will occur. To be specific(and also in order to operateat the proper level of generality) we proceed to list all the general factsabout scalars that we shall need to assume(A)To every pair, a and B, of scalars there corresponds a scalar a+called the sum of a and B, in such a way that(1) addition is commutative,a+β=β+a,(2)addition is associative, a+(8+y)=(a+B)+y(3 there exists a unique scalar o(called zero)such that a+0= a forevery scalar a, and(4)to every scalar a there corresponds a unique scalar -a such that十(0(B)To every pair, a and B, of scalars there corresponds a scalar aBcalled the product of a and B, in such a way that(1)multiplication is commutative, aB pa(2)multiplication is associative, a(Br)=(aB)Y,( )there exists a unique non-zero scalar 1 (called one)such that al afor every scalar a, and(4)to every non-zero scalar a there corresponds a unique scalar a-1or-such that aaSPACES(C)Multiplication is distributive with respect to addition, a(a+n)If addition and multiplication are defined within some set of objectsscalars) so that the conditions(A),B), and (c)are satisfied, then thatset(together with the given operations) is called a field. Thus, for examplethe set Q of all rational numbers(with the ordinary definitions of sumand product)is a field, and the same is true of the set of all real numberaand the set e of all complex numbersHHXERCISIS1. Almost all the laws of elementary arithmetic are consequences of the axiomsdefining a field. Prove, in particular, that if 5 is field and if a, and y belongto 5. then the following relations hold80+a=ab )Ifa+B=a+r, then p=yca+(B-a)=B (Here B-a=B+(a)(d)a0=0 c=0.(For clarity or emphasis we sometimes use the dot to indi-cate multiplication.()(-a)(-p)(g).If aB=0, then either a=0 or B=0(or both).2.(a)Is the set of all positive integers a field? (In familiar systems, such as theintegers, we shall almost always use the ordinary operations of addition and multi-lication. On the rare occasions when we depart from this convention, we shallgive ample warningAs for "positive, "by that word we mean, here and elsewherein this book, "greater than or equal to zero If 0 is to be excluded, we shall say"strictly positive(b)What about the set of all integers?(c) Can the answers to these questiong be changed by re-defining addition ormultiplication (or both)?3. Let m be an integer, m2 2, and let Zm be the set of all positive integers lessthan m, zm=10, 1, .. m-1). If a and B are in Zmy let a +p be the leastpositive remainder obtained by dividing the(ordinary) sum of a and B by m, andproduct of a and B by m.(Example: if m= 12, then 3+11=2 and 3. 11=9)a) Prove that i is a field if and only if m is a prime.(b What is -1 in Z5?(c) What is囊izr?4. The example of Z, (where p is a prime)shows that not quite all the laws ofelementary arithmetic hold in fields; in Z2, for instance, 1 +1 =0. Prove thatif is a field, then either the result of repeatedly adding 1 to itself is always dif-ferent from 0, or else the first time that it is equal to0 occurs when the numberof summands is a prime. (The characteristic of the field s is defined to be 0 in thefirst case and the crucial prime in the second)SEC. 2VECTOR SPACES35. Let Q(v2)be the set of all real numbers of the form a+Bv2, wherea and B are rational.(a)Ie(√2) a field?(b )What if a and B are required to be integer?6.(a)Does the set of all polynomials with integer coefficients form a feld?(b)What if the coeficients are allowed to be real numbers?7: Let g be the set of all(ordered) pairs(a, b)of real numbers(a) If addition and multiplication are defined by(a月)+(,6)=(a+y,B+6)and(a,B)(Y,8)=(ary,B6),does s become a field?(b )If addition and multiplication are defined by(α,月)+⑦,b)=(a+%,B+6)daB)(,b)=(ay-6a6+的y),is g a field then?(c)What happens (in both the preceding cases)if we consider ordered pairs ofcomplex numbers instead?§2. 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A vector space is a set o of elements called vectors satisfyingthe following axiomsQ (A)To every pair, a and g, of vectors in u there corresponds vectora t y, called the aum of a and y, in such a way that(1)& ddition is commutative,x十y=y十a(2)addition is associative, t+(y+2)=(+y)+a(3)there exists in V a unique vector 0(called the origin) such thata t0=s for every vector and(4)to every vector r in U there corresponds a unique vector -rthat c+(-x)=o(B)To every pair, a and E, where a is a scalar and a is a vector in u,there corresponds a vector at in 0, called the product of a and a, in sucha way that(1)multiplication by scalars is associative, a(Bx)=aB)=, and(2 lz a s for every vector xSPACESSFC B(C)(1)Multiplication by scalars is distributive with respect to vectorddition, a(+y=a+ ag, and2)multiplication by vectors is distributive with respect to scalar ad-dition, (a B )r s ac+ Bc.These axioms are not claimed to be logically independent; they aremerely a convenient characterization of the objects we wish to study. 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