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Approximation and Projections in Hilbert Space

Module by: Justin Romberg. E-mail the author

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Summary: This module introduces approximation and projections in Hilbert space.

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Introduction

Given a line 'l' and a point 'p' in the plane, what's the closest point 'm' to 'p' on 'l'?

Figure 1: Figure of point 'p' and line 'l' mentioned above.
Figure 1 (approx_f1.png)

Same problem: Let xx and vv be vectors in ℝ2 2 . Say ∥v∥=1 v 1 . For what value of αα is ∥x−αv∥ 2 x α v 2 minimized? (what point in span{v} best approximates xx?)

Figure 2:
Figure 2 (approx_f2.png)

The condition is that x− α ^ v x α ^ v and αv α v are orthogonal.

Calculating α

How to calculate α ^ α ^ ?

We know that ( x− α ^ v x α ^ v ) is perpendicular to every vector in span{v}, so ∀β,∀β:<x− α ^ v,βv>=0 β ∀ β x α ^ v β v 0 β¯<x,v>− α ^ β¯<v,v>=0 β x v α ^ β v v 0 because <v,v>=1 v v 1 , so <x,v>− α ^ =0⇒ α ^ =<x,v> x v α ^ 0 α ^ x v Closest vector in span{v} = <x,v>v x v v , where <x,v>v x v v is the projection of xx onto vv.

Point to a plane?

Figure 3:
Figure 3 (approx_f3.png)

We can do the same thing in higher dimensions.

Exercise 1

Let V⊂H V H be a subspace of a Hilbert space H. Let x∈H x H be given. Find the y∈V y V that best approximates xx. i.e., ∥x−y∥ x y is minimized.

Solution

  1. Find an orthonormal basis b1…bk b1 … bk for VV
  2. Project xx onto VV using y=∑i=1k<x,bi>bi y i 1 k x bi bi then yy is the closest point in V to x and (x-y) ⊥ V ( ∀v,∀v∈V:<x−y,v>=0 v ∀ v V x y v 0

Example 1

x∈ℝ3 x 3 , V=span100010 V span 1 0 0 0 1 0 , x=abc x a b c . So, y=∑i=12<x,bi>bi=a100+b010=ab0 y i 1 2 x bi bi a 1 0 0 b 0 1 0 a b 0

Example 2

V = {space of periodic signals with frequency no greater than 3w0 3 w0 }. Given periodic f(t), what is the signal in V that best approximates f?

  1. { 1Tⅇⅈw0kt 1 T w0 k t , k = -3, -2, ..., 2, 3} is an ONB for V
  2. gt=1T∑k=-33<ft,ⅇⅈw0kt>ⅇⅈw0kt g t 1 T k -3 3 f t w0 k t w0 k t is the closest signal in V to f(t) ⇒ reconstruct f(t) using only 7 terms of its Fourier series.

Example 3

Let V = {functions piecewise constant between the integers}

  1. ONB for V.

bi=1ifi−1≤t<i0otherwise bi 1 i 1 t i 0 where {bibi} is an ONB.

Best piecewise constant approximation? gt=∑i=-∞∞<f,bi>bi g t i f bi bi <f,bi>=∫-∞∞ftbitdt=∫i−1iftdt f bi t f t bi t t i 1 i f t

Example 4

This demonstration explores approximation using a Fourier basis and a Haar Wavelet basis.See here for instructions on how to use the demo.

LabVIEW Example: (run) (source)

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