Auto-generated summary from the source site. Handy as a checklist; the lessons above explain each idea from scratch.
Here’s a structured summary of core topics, concepts, principles, and equations essential for the exam, followed by Mermaid knowledge graphs to visualize relationships.
Core Topics & Key Concepts
1. Probability & Statistics
Key Concepts:
Joint Probability Density Function (PDF):
Transformation of random variables (e.g., U=X+Y, V=X−Y).
Jacobian determinant for change of variables.
Support/range of transformed variables.
Expected Value & Linearity:
E[X1+X2+X3]=E[X1]+E[X2]+E[X3].
Expected values for common distributions:
Uniform(a,b): E[X]=2a+b.
Poisson(λ): E[X]=λ.
Exponential(λ): E[X]=λ1.
Inequalities:
Markov’s Inequality:P(X≥a)≤aE[X].
Chebyshev’s Inequality (not in questions but related).
Cumulative Distribution Function (CDF):
For Uniform(a,b): FX(x)=b−ax−a.
Key Equations:
Joint PDF Transformation:
fU,V(u,v)=fX,Y(x(u,v),y(u,v))⋅∣J∣
where J is the Jacobian determinant:
J=∂u∂x∂u∂y∂v∂x∂v∂y
Markov’s Inequality:
P(X≥a)≤aE[X]
CDF for Uniform Distribution:
FX(x)=b−ax−afor a≤x≤b
2. Linear Algebra & Matrix Decompositions
Key Concepts:
Singular Value Decomposition (SVD):
For matrix A∈Rm×n:
A=UΣVT, where:
U: Left singular vectors (eigenvectors of AAT).
V: Right singular vectors (eigenvectors of ATA).
Σ: Diagonal matrix of singular values (square roots of eigenvalues of ATA or AAT).
Rank of A = Number of non-zero singular values.
SVD is not unique for square matrices (depends on sign flips in U and V).
Eigenvalues/Eigenvectors:
Used in PCA and SVD.
Av=λv.
Key Equations:
SVD Relationships:
A=UΣVT,ATA=VΣTΣVT,AAT=UΣΣTUT
Singular Values:
σi=λi(ATA)
3. Principal Component Analysis (PCA)
Key Concepts:
Goal: Project data onto a lower-dimensional subspace capturing maximum variance.
Steps:
Center the data (subtract mean).
Compute covariance matrix Σ.
Eigenvalue decomposition: Σ=VΛVT.
Principal components = eigenvectors sorted by eigenvalues (descending).
Properties:
Principal components are orthogonal.
Uncorrelated (if data is centered).
First PC captures the most variance.
Key Equations:
Covariance Matrix:
Σ=n1XTX(for centered data)
Projection onto PCs:
Y=XWwhere W=[v1,v2,…,vk]
4. Convex Optimization
Key Concepts:
Convex Sets:
A set C is convex if ∀x,y∈C, θx+(1−θ)y∈C for θ∈[0,1].
Examples: Lines, hyperplanes, intersections of convex sets.
Convex Functions:
f is convex if:
f(θx+(1−θ)y)≤θf(x)+(1−θ)f(y)
Tests for Convexity:
Hessian ∇2f⪰0 (positive semidefinite).
First-order condition: f(y)≥f(x)+∇f(x)T(y−x).
Examples: ex, x2, −lnx (if domain is convex).
Gradient Descent:
Update rule:
xk+1=xk−η∇f(xk)
Converges to minimum for convex f with appropriate η.
Karush-Kuhn-Tucker (KKT) Conditions:
Necessary for optimality in constrained optimization.