Positive Semidefinite Function

In mathematics, a positive-definite function is, depending on the context, either of two types of function.

Most common usage

A ''positive-definite function'' of a real variable ''x'' is a complex-valued function $f: \mathbb \to \mathbb$ such that for any real numbers ''x''₁, …, ''x''_''n'' the ''n'' × ''n'' matrix

:$A = \left(a_\right)_^n~, \quad a_ = f(x_i - x_j)$

is positive ''semi-''definite (which requires ''A'' to be Hermitian; therefore ''f''(−''x'') is the complex conjugate of ''f''(''x'')).

In particular, it is necessary (but not sufficient) that

:$f(0) \geq 0~, \quad , f(x), \leq f(0)$

(these inequalities follow from the condition for ''n'' = 1, 2.)

A function is ''negative semi-definite'' if the inequality is reversed. A function is ''definite'' if the weak inequality is replaced with a strong (<, > 0).

Examples

If $(X, \langle \cdot, \cdot \rangle)$ is a real inner product space, then $g_y \colon X \to \mathbb$, $x \mapsto \exp(i \langle y, x \rangle)$ is positive definite for every $y \in X$: for all $u \in \mathbb^n$ and all $x_1, \ldots, x_n$ we have
:$u^* A^ u = \sum_^ \overline u_j e^ = \sum_^ \overline e^ \sum_^ u_j e^ = \left, \sum_^ \overline e^ \^2 \ge 0.$
As nonnegative linear combinations of positive definite functions are again positive definite, the cosine function is positive definite as a nonnegative linear combination of the above functions:
:$\cos(x) = \frac ( e^ + e^) = \frac(g_ + g_).$

One can create a positive definite function $f \colon X \to \mathbb$ easily from positive definite function $f \colon \R \to \mathbb C$ for any vector space $X$: choose a linear function $\phi \colon X \to \R$ and define $f^* := f \circ \phi$.
Then
:$u^* A^ u = \sum_^ \overline u_j f^*(x_k - x_j) = \sum_^ \overline u_j f(\phi(x_k) - \phi(x_j)) = u^* \tilde^ u \ge 0,$
where $\tilde^ = \big( f(\phi(x_i) - \phi(x_j)) = f(\tilde_i - \tilde_j) \big)_$ where $\tilde_k := \phi(x_k)$ are distinct as $\phi$ is linear.

Bochner's theorem

Positive-definiteness arises naturally in the theory of the Fourier transform; it can be seen directly that to be positive-definite it is sufficient for ''f'' to be the Fourier transform of a function ''g'' on the real line with ''g''(''y'') ≥ 0.

The converse result is '' Bochner's theorem'', stating that any continuous positive-definite function on the real line is the Fourier transform of a (positive) measure.

Applications

In statistics, and especially Bayesian statistics, the theorem is usually applied to real functions. Typically, ''n'' scalar measurements of some scalar value at points in $R^d$ are taken and points that are mutually close are required to have measurements that are highly correlated. In practice, one must be careful to ensure that the resulting covariance matrix (an matrix) is always positive-definite. One strategy is to define a correlation matrix ''A'' which is then multiplied by a scalar to give a covariance matrix: this must be positive-definite. Bochner's theorem states that if the correlation between two points is dependent only upon the distance between them (via function ''f''), then function ''f'' must be positive-definite to ensure the covariance matrix ''A'' is positive-definite. See Kriging.

In this context, Fourier terminology is not normally used and instead it is stated that ''f''(''x'') is the characteristic function of a symmetric probability density function (PDF).

Generalization

One can define positive-definite functions on any locally compact abelian topological group; Bochner's theorem extends to this context. Positive-definite functions on groups occur naturally in the representation theory of groups on Hilbert spaces (i.e. the theory of unitary representations).

Alternative definition

The following definition conflicts with the one above.

In dynamical systems, a real-valued, continuously differentiable function ''f'' can be called ''positive-definite'' on a neighborhood ''D'' of the origin if $f(0) = 0$ and $f(x) > 0$ for every non-zero $x \in D$. In physics, the requirement that $f(0) = 0$ may be dropped (see, e.g., Corney and Olsen).

See also

* Positive-definite kernel

References

* Christian Berg, Christensen, Paul Ressel. ''Harmonic Analysis on Semigroups'', GTM, Springer Verlag.
* Z. Sasvári, ''Positive Definite and Definitizable Functions'', Akademie Verlag, 1994
* Wells, J. H.; Williams, L. R. ''Embeddings and extensions in analysis''. Ergebnisse der Mathematik und ihrer Grenzgebiete, Band 84. Springer-Verlag, New York-Heidelberg, 1975. vii+108 pp.

Notes

External links

* {{springer, title=Positive-definite function, id=p/p073890

Complex analysis
Dynamical systems
Types of functions