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Cauchy Schwartz Inequality

The Cauchy-Schwarz Inequality provides a method for bounding expected values of random variables, stating that E(XY)² is less than or equal to E(X²)E(Y²) for random variables X and Y with finite variances. This inequality has numerous applications across various fields of mathematics, including probability, statistics, and analysis. An example illustrates its use in maximizing a linear expression under a quadratic constraint.

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24 views1 page

Cauchy Schwartz Inequality

The Cauchy-Schwarz Inequality provides a method for bounding expected values of random variables, stating that E(XY)² is less than or equal to E(X²)E(Y²) for random variables X and Y with finite variances. This inequality has numerous applications across various fields of mathematics, including probability, statistics, and analysis. An example illustrates its use in maximizing a linear expression under a quadratic constraint.

Uploaded by

tashuy21
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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What is the Cauchy-Schwarz Inequality?

The Cauchy-Schwarz Inequality (also called Cauchy’s Inequality, the Cauchy-


Bunyakovsky-Schwarz Inequality and Schwarz’s Inequality) is useful for
bounding expected values that are difficult to calculate. It allows you to split
E[X1, X2] into an upper bound with two parts, one for each random variable

The formula is:

Given that X and Y have finite variances.

What this is basically saying is that for two random variables, X and Y, the expected
value of the square of them multiplied together E(XY)2 will always be less than or
equal to the expected value of the product of the squares of each. E(X2)E(Y2).

Applications
The Cauchy-Schwarz inequality is arguably the inequality with the widest number of
applications. As well as probability and statistics, the inequality is used in many other
branches of mathematics, including:

 Classical Real and Complex Analysis,


 Hilbert spaces theory,
 Numerical analysis,
 Qualitative theory of differential equations

Example question: use the Cauchy-Schwarz inequality to find the maximum of x +


2y + 3z,
given that x2 + y2 + z2 = 1.

We know that: (x + 2y + 3x)2 ≤ (12 + 22 32)(x2 + y2 + z2) = 14.

Therefore: x + 2y + 3z ≤ √14.

The equality holds when: x/1 = y/2 = z/3.

We are given that: x2 + y2 + z2 = 1,


so:
x = 1/√14, x = 2/√14, x = 3/√14,

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