泛函分析极简笔记（2）——Mahalanobis distance

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分类专栏：奇异叶文章标签：人工智能机器学习泛函分析

于 2021-10-18 15:47:14 首次发布

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Mahalanobis距离是一种衡量点与分布之间距离的方法，由P. C. Mahalanobis在1936年提出。它考虑了数据集的协方差和相关性，当协方差矩阵为单位矩阵时退化为欧氏距离，对角矩阵时对应标准欧氏距离。该距离常用于高维图像的异常检测。

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Mahalanobis distance

搬运定义

The Mahalanobis distance is a measure of the distance between a point P and a distribution D, introduced by P. C. Mahalanobis in 1936. It is a multi-dimensional generalization of the idea of measuring how many standard deviations away P is from the mean of D. This distance is zero for P at the mean of D and grows as P moves away from the mean along each principal component axis. If each of these axes is re-scaled to have unit variance, then the Mahalanobis distance corresponds to standard Euclidean distance in the transformed space. The Mahalanobis distance is thus unitless, scale-invariant, and takes into account the correlations of the data set.