Lecture Notes

$\gdef\E{\mathbb E}$ Due Date : May 10th (Sunday) 11:59PM. Submit online to gradescope.

Policy : You can use textbook and your notes. There should be no discussion or collaborations, since this is suppose to be a exam on your own understanding. If you found some question that is unclear, please let me know via email.

All vectors spaces are finite dimensional over $\R$.

1. True or False (10 pts)

1. (F) Any vector space has a unique basis.
2. (F) Any vector space has a unique inner product.
3. (T) Given a basis $e_1, \cdots, e_n$ of $V$, there exists a basis $E^1, \cdots, E^n$ on $V^*$, such that $E^i (e_j) = \delta_{ij}$.
4. (F) If we change $e_1$ in the basis $e_1, \cdots, e_n$, in the dual basis only $E^1$ will change.
   • The correct statement would be, “If we change $e_1$ in the basis $e_1, \cdots, e_n$, in the dual basis, not only $E_1$ will change, all other $E_i$ might also change.”
5. (F) Given a vector space with inner product, there exists a unique orthogonal basis.
6. (T) Let $V$ and $W$ be two vector spaces with inner products and of the same dimension.Then there exists a linear map $f: V \to W$, such that for any $v_1, v_2 \in V$, $$\la v_1, v_2 \ra = \la f(v_1), f(v_2) \ra.$$
7. (F) If $V$ and $W$ are vector spaces of dimension $3$ and $5$, then the tensor product $V \otimes W$ have dimension $8$. (should be $3 \times 5 = 15$)
8. (T) If $V$ has dimension $5$, then the exterior power $\wedge^3 V$ is a vector space with dimension $10$.
9. (T) The solution space of equation $y'(x) + x^2 y(x) = 0$ forms a vector space.
10. (F) The solution space of equation $y'(x) + x y^2(x) = 0$ forms a vector space.

2. (10 pt) Let $V_n$ be the vector space of polynomials whose degree is at most $n$. Let $f(x)$ be any smooth function on $[-1,1]$. We fix $f(x)$ once and for all. Show that there is a unique element $f_n \in V_n$ (depending on our choice of $f$), such that for any $g \in V_n$, we have $\int_{-1}^1 f_n(x) g(x) dx = \int_{-1}^1 f(x) g(x) dx.$

Hint:

• (1) Equip $V_n$ with an inner product $\la g_1, g_2 \ra = \int_{-1}^1 g_1(x) g_2(x) dx$.
• (2) Show that $f(x)$ induces an element in $V_n^*$: $g \mapsto \int_{-1}^1 f(x) g(x) dx$.
• (3) use inner product to identify $V_n$ and $V_n^*$.

A remark: if $f(x)$ were a polynomial of degree less than $n$, then you could just take $f_n(x) = f(x)$. But, we have limited our choices of $f_n$ to be just degree $\leq n$ polynomial, so we are looking for a 'best approximation' of $f(x)$ in $V_n$ in a sense. Try solve the example case of $n=1$, $f(x) = \sin(x)$ if you need some intuition.

Solution: First some remark about what we are trying to prove: say you have an friend called $A$ who want to challenge you by playing a game:

• $A$ provide $n$ and $f(x)$ to you,
• then you need to provide $f_n(x)$ to $A$,
• then $A$ will examine if your $f_n$ pass the quality-check, i.e., $A$ take an arbitrary $g(x) \in V_n$, and test if $\int_{-1}^1 g(x) f(x) dx = \int_{-1}^1 g(x) f_n(x) dx$.

Note that, when you produce $f_n(x)$, you have no knowledge of what $g(x)$ would be.

Here is a solution, that is of a concrete flavor, not quite following the hint. First, we define an inner product $\la g_1, g_2 \ra = \int_{-1}^1 g_1(x) g_2(x) dx$, whenever the integral make sense. Then, we may take an orthonormal basis $e_0, \cdots, e_n$ of $V_n$ (note $\dim V_n= n+1$), and then $$ f_n(x) = \sum_{i=0}^n \la f, e_i \ra e_i. $$ Then, we have for any $g \in V_n$, $$ \la f_n, g \ra = \sum_{i=0}^n \la f, e_i \ra \la e_i, g \ra = \la f, \sum_{i=0}^n \la e_i, g \ra e_i \ra = \la f, g \ra. $$

Conceptually, if $V$ denote the space of smooth functions on $[0,1]$ with inner product, then $V \supset V_n$, then there is an orthogonal projection $\Pi_n: V \to V_n.$ You have seen this orthogonal projection in different guises, for example the least square regression, the truncation of Fourier series expansion of some function, … Here $f_n = \Pi_n(f)$.

3. (10 pt) Let $\R^3$ be equipped with curvilinear coordinate $(u,v,w)$ where $u = x, v = y, w = z - x^2 + y^2.$

1. (3pt) Write the vector fields $\d_u, \d_v, \d_w$ in terms of $\d_x, \d_y, \d_z$.
2. (3pt) Write the 1-forms (co-vector fields) $du,dv,dw$ in terms of $dx, dy, dz$.
3. (4pt) Write down the standard metric of $\R^3$ in coordinates $(u,v,w)$.

Solution: We write $x,y,z$ in terms of $u,v,w$ $x = u, y = v, z = w + u^2 - v^2$ then $\d_u = \d_u(x) \d_x + \d_u(y) \d_y + \d_u(z) \d_z = \d_x + 2u \d_z = \d_x + 2x \d_z$ The others are similar.

$dw = dz - 2x dx + 2y dy$

Then finally $g = (dx)^2 + (dy)^2 + (dz)^2 = (du)^2 + (dv)^2 + (dz - 2x dx + 2y dy)^2$ open up the parenthesis if you wish.

1. (10 pt) Orthogonal polynomials. Let $I = [-1,1]$ be a closed interval. $w(x) = x^2$ a non-negative function on $I$. For functions $f,g$ on $I$, we define their inner products as $$ \la f, g \ra = \int_{-1}^1 f(x) g(x) w(x) dx $$ The normalized orthogonal polynomials $P_0, P_1, \cdots$ are defined by

1. $P_n(x)$ is a degree $n$ polynomial.
2. $\la P_n, P_n \ra = 1$
3. $\la P_i, P_j \ra = 0$ if $i \neq j$.

Find out $P_0, P_1, P_2$.

$P_0(x) = \pm \sqrt{3/2}, \quad P_1(x) = \pm \sqrt{5/2} x, \quad P_2(x) = \pm \sqrt{14}/4(-3+5 x^2).$

2. (10 pt) Find eigenvalues and eigenfunctions for the Laplacian on the unit sphere $S^2$, i.e., solve $\Delta F(\theta, \varphi) = \lambda F(\theta, \varphi)$ for appropriate $\lambda$ and $F$. The Laplacian on a sphere is $\Delta f = \frac{1}{\sin \theta} \d_\theta(\sin \theta \d_\theta(f)) + \frac{1}{\sin^2 \theta} \d_\varphi^2 f.$

Solution: Eigenvalue $\lambda = -l(l+1)$ and eigenfunctions $$F(\theta, \varphi) = P_l^\cos \theta) \cos (m \varphi) , P_l^\cos \theta) \sin (m \varphi) $$

3. (5 pt) Find eigenvalues and eigenfunctions for the Laplacian on the half unit sphere $S^2$ with Dirichelet boundary condition, i.e., solve $\Delta F(\theta, \varphi) = \lambda F(\theta, \varphi), \quad F(\theta=\pi/2, \varphi)=0.$ for appropriate $\lambda$ and $F$.

Here the trick is that, any eigenfunction on the upper-semisphere, by reflection, can be extended to an eigenfunction on the whole sphere $F(\pi/2 - \theta, \varphi) = - F(\pi/2 + \theta, \varphi)$ hence, we want those eigenfunction on the whole sphere that satisfies $$ P_l^m(x) = - P_l^-x) $$ this turns out to be satisfies if $l+m$ is odd.

Note that, even though the boundary condition is rotational symmetric, it does not mean the solution is rotational symmetry (after all, the $S^2$ itself is symmetric, but the eigenfunction can have fluctuations).

4. (15 pt) (Heat flow). Consider heat flow on the closed interval $[0,1]$ $\d_t u(x,t) = \d_x^2 u(x,t),$ where $u(x,t)$ denote the temperature. \ Let $u(0, t) = u(1, t) = 0$ for all $t$. Let the initial condition be $u(x, 0) = \begin{cases} 2x & x \in [0, 1/2] \cr 2(1-x) & x \in [1/2, 1] \end{cases}$

• (12pt) Solve the equation for $t > 0$.
• (3 pt) Does the solution make sense for any negative $t$? Why or why not?

The problem is standard, I won't repeat the solution.

The solution will diverge for any negative $t$, no matter how small $|t|$ is, since $\sum_n c_n e^{-n^2 t} = \sum_n c_n e^{n^2 |t|}$ will diverge quite fast due to $e^{n^2}$, and $c_n$ is only decaying as $1/n^c$ for some constant $c$.

Note that, how much you can go negative in time, depends on how smooth the initial condition is. Here the inital condition is already non-smooth, hence you cannot extend the solution to $t \in (-\epsilon, +\infty)$ from $t \in (0, +infty)$.

5. (10 pt) (Steady Heat equation). Let $D$ be the unit disk. We consider the steady state heat equation on $D$ $\Delta u(r, \theta) = 0$

• (3 pt) Write down the Laplacian $\Delta$ in polar coordinate
• (5 pt) Show that, if the boundary value is $u(r=1, \theta) = 0$, then $u=0$ on the entire disk.
• (2 pt) Is it possible to have a boundary condition $u(r=1, \theta) = f(\theta)$, such that there are two different solutions $u_1(r,\theta)$ and $u_2(r,\theta)$ to the problem?

It is impossible to have a boundary condition $u(r=1, \theta) = f(\theta)$, such that there are two different solutions $u_1(r,\theta)$ and $u_2(r,\theta)$ to the problem. Otherwise, let $u_1$ and $u_2$ be the two solutions, and we may take their difference $u = u_1 - u_2$ then $\Delta u = 0, \quad u|_{\d D} = 0$ by part (b), $u=0$.

1. (5 pt) Throw a die 100 times. Let $X$ be the random variable that denote the number of times that $4$ appears. What distribution does $X$ follow? What is its mean and variance?

Binomial distribution, with $n=100, p=1/6$. Mean is $np$, variance is $np(1-p)$.

2. (5 pt) Let $X \sim N(0,1)$ be a standard normal R.V . Compute its moment generating function $\E(e^{t X}).$ Use the moment generating function to find out $\E(X^4)$. Let $Y = X^2$. What is the mean and variance of $Y$?

Do the integral, we get $\E(e^tX) = e^{t^2/2}$.

To compute $\E(X^4)$, we note that $\E(e^tX) = m_0 + m_1 t + \frac{t^2}{2!} m_2 + \frac{t^3}{3!} m_3+ \frac{t^4}{4!} m_4 + \cdots$ where $\E(X^k) = m_k$. Hence, we may get the coefficients of Taylor expansion $e^{t^2/2} = 1 + (t^2/2) + \frac{(t^2/2)^2}{2!} + \cdots = 1 + t^2/2 + t^4/8 + \cdots$ comparing the $t^4$ coefficients, we see $m_4/4! = 1/8 \Rightarrow m_4 = 3$

3. (5 pt) There are two bags of balls. Bag A contains 4 black balls and 6 white balls, Bag B contains 10 black balls and 10 white balls. Suppose we randomly pick a bag (with equal probability) and randomly pick a ball. Given that the ball is white, what is the probability that we picked bag A?

Note that $P(\z{white ball}) = P(\z{white} | \z{bag A}) P( \z{bag A}) + P(\z{white} | \z{bag B}) P( \z{bag B}) = (6/10)(1/2) + (10/20)(1/2)$ instead of total number of white ball divided by total number of balls.

4. (5 pt) Consider a random walk on the real line: at $t=0$, one start at $x=0$. Let $S_n$ denote the position at $t=n$, then $S_n = S_{n-1} + X_n$, where $X_n = \pm 1$ with equal probability.

• (3pt) What is the variance of $S_n$?
• (2pt) Use Markov inequality, prove that for any $c > 1$, we have

$\P(|S_n| > c \sqrt{n}) \leq 1/c^2$

Since $S_n = X_1 + \cdots + X_n$ and $X_i$ are independent, we have $Var(S_n) = \sum_{i=1}^n Var(X_i) = n (1^2 (1/2) + (-1)^2 (1/2) = n$

Then, by Markov inequality, we have $\P(|X| > c \sqrt{Var(X)}) \leq \frac{1}{c^2}$ take $X = S_n$.