Cauchy-Schwarz inequality
The Cauchy-Schwarz inequality, also known as the Schwarz inequality, or the Cauchy-Bunyakovski-Schwarz inequality, is a useful inequality encountered in many different settings, such as linear algebra applied to vectors, in analysis applied to infinite series and integration of products, and in probability theory, applied to variances and covariances. The inequality states that if x and y are elements of real or complex inner product spaces then
- |<x, y>|2 ≤ <x, x> · <y, y>
The two sides are equal if and only if x and y are linearly dependent.
An important consequence of the Cauchy-Schwarz inequality is that the inner product is a continuous function.
Formulated for Euclidean space Rn, we get
- ( ∑ xi yi )2 ≤ ( ∑ xi2) · ( ∑ yi2)
In the case of square-integrable complex-valued functionss, we get
- | ∫ f * g dx|2 ≤ ( ∫ |f|2 dx) · ( ∫ |g|2 dx)
These latter two are generalized by the Hölder inequality.
See also triangle inequality.
