The Kalman Filter I: The Gauss-Markov model
We present the Gauss-Markov Model, thus taking our first step towards understanding the Kalman filter
Mathematix
Blog posts on mathematics
Dual of p-norm via the KKT theorem
Dual of p-norm via the KKT theorem
Polynomial chaos expansions: Part I
An introduction to polynomial chaos expansions
From Separation Theorems to Farkas' Lemma
From the Hahn-Banach theorem to the three separating theorems
From Hahn-Banach to Separating Theorems
From the Hahn-Banach theorem to the three separating theorems
Itô Integrals
Table of Itô stochastic integrals and their variances
Differentiability of pointwise maximum
Some notes on the differentiability of the pointwise max of a family of functions and the Fritz-John and Mangasarian-Ffromowitz optimality conditions
Normal and tangent cones
Useful convex analysis stuff
Rayleigh quotient
Some notes on the Rayleigh quotient
Support functions
Properties of support functions