Let p , q , r ≥ 1 p,q,r\ge1 p , q , r ≥ 1 be natural numbers . For x x x in the Euclidean space R p \mathbb{R}^{p} R p write ∣ x ∣ = d ( x , 0 ) |x|=d(x,0) ∣ x ∣ = d ( x , 0 ) with the Euclidean distance d d d , so that d ( x , y ) = ∣ x − y ∣ d(x,y)=|x-y| d ( x , y ) = ∣ x − y ∣ ; for a real p × q p\times q p × q matrix X X X write ∣ X ∣ |X| ∣ X ∣ for the Euclidean norm of the tuple of its entries and ∣ X ∣ e = max i , j ∣ X i j ∣ |X|_{e}=\max_{i,j}|X_{ij}| ∣ X ∣ e = max i , j ∣ X ij ∣ . Products are the matrix product and matrix-vector product , ( ⋅ ) ⊤ (\cdot)^{\top} ( ⋅ ) ⊤ is the transpose , and ⋅ \cdot ⋅ is the dot product .
1. (Entry and norm inequalities) For x ∈ R p x\in\mathbb{R}^{p} x ∈ R p and each i i i : ∣ x i ∣ ≤ ∣ x ∣ ≤ ∑ l = 1 p ∣ x l ∣ ≤ p max l ∣ x l ∣ |x^{i}|\le|x|\le\sum_{l=1}^{p}|x^{l}|\le p\max_{l}|x^{l}| ∣ x i ∣ ≤ ∣ x ∣ ≤ ∑ l = 1 p ∣ x l ∣ ≤ p max l ∣ x l ∣ . For a real p × q p\times q p × q matrix X X X and all i , j i,j i , j : ∣ X i j ∣ ≤ ∣ X ∣ e |X_{ij}|\le|X|_{e} ∣ X ij ∣ ≤ ∣ X ∣ e , ∣ X i j ∣ ≤ ∣ X ∣ |X_{ij}|\le|X| ∣ X ij ∣ ≤ ∣ X ∣ , and ∣ X ∣ ≤ p q ∣ X ∣ e |X|\le pq\,|X|_{e} ∣ X ∣ ≤ pq ∣ X ∣ e .
2. (Product entry bound) For a real p × q p\times q p × q matrix U U U and a real q × r q\times r q × r matrix V V V : ∣ ( U V ) i l ∣ ≤ q ∣ U ∣ e ∣ V ∣ e |(UV)_{il}|\le q\,|U|_{e}\,|V|_{e} ∣ ( U V ) i l ∣ ≤ q ∣ U ∣ e ∣ V ∣ e for all i , l i,l i , l ; in particular ∣ U V ∣ e ≤ q ∣ U ∣ e ∣ V ∣ e |UV|_{e}\le q\,|U|_{e}\,|V|_{e} ∣ U V ∣ e ≤ q ∣ U ∣ e ∣ V ∣ e .
3. (Transpose identities) For matrices U U U (p × q p\times q p × q ) and V V V (q × r q\times r q × r ): ( U V ) ⊤ = V ⊤ U ⊤ (UV)^{\top}=V^{\top}U^{\top} ( U V ) ⊤ = V ⊤ U ⊤ . For a real p × q p\times q p × q matrix M M M , y ∈ R p y\in\mathbb{R}^{p} y ∈ R p , and z ∈ R q z\in\mathbb{R}^{q} z ∈ R q : y ⋅ ( M z ) = ( M ⊤ y ) ⋅ z y\cdot(Mz)=(M^{\top}y)\cdot z y ⋅ ( M z ) = ( M ⊤ y ) ⋅ z .
4. (Indefinite Riemann integrals) Let a < b a<b a < b be real numbers and φ : [ a , b ] → R \varphi:[a,b]\to\mathbb{R} φ : [ a , b ] → R continuous , with the degenerate-interval convention of Mean-Square Riemann Integral of a Family of Random Variables . Then for all a ≤ s ≤ t ≤ b a\le s\le t\le b a ≤ s ≤ t ≤ b , with the Riemann integral (existing by Continuous Functions on a Closed Interval are Riemann Integrable ),
∫ a t φ ( u ) d u − ∫ a s φ ( u ) d u = ∫ s t φ ( u ) d u , ∣ ∫ s t φ ( u ) d u ∣ ≤ ( t − s ) max u ∈ [ a , b ] ∣ φ ( u ) ∣ , \int_a^t\varphi(u)\,du-\int_a^s\varphi(u)\,du=\int_s^t\varphi(u)\,du,\qquad\Bigl|\int_s^t\varphi(u)\,du\Bigr|\le(t-s)\max_{u\in[a,b]}|\varphi(u)| , ∫ a t φ ( u ) d u − ∫ a s φ ( u ) d u = ∫ s t φ ( u ) d u , ∫ s t φ ( u ) d u ≤ ( t − s ) u ∈ [ a , b ] max ∣ φ ( u ) ∣ ,
the maximum existing by Extreme Value Theorem on a Compact Interval ; consequently t ↦ ∫ a t φ ( u ) d u t\mapsto\int_a^t\varphi(u)\,du t ↦ ∫ a t φ ( u ) d u is continuous on all of [ a , b ] [a,b] [ a , b ] , including the endpoints.
5. (Vector integral bound) For w : [ a , b ] → R p w:[a,b]\to\mathbb{R}^{p} w : [ a , b ] → R p with continuous components and a ≤ t ≤ b a\le t\le b a ≤ t ≤ b : ∣ w ( ⋅ ) ∣ |w(\cdot)| ∣ w ( ⋅ ) ∣ and the ∣ w i ( ⋅ ) ∣ |w^{i}(\cdot)| ∣ w i ( ⋅ ) ∣ are continuous, and
∣ ∫ a t w ( r ) d r ∣ ≤ ∑ i = 1 p ∫ a t ∣ w i ( r ) ∣ d r ≤ p ∫ a t ∣ w ( r ) ∣ d r , \Bigl|\int_a^tw(r)\,dr\Bigr|\le\sum_{i=1}^{p}\int_a^t|w^{i}(r)|\,dr\le p\int_a^t|w(r)|\,dr , ∫ a t w ( r ) d r ≤ i = 1 ∑ p ∫ a t ∣ w i ( r ) ∣ d r ≤ p ∫ a t ∣ w ( r ) ∣ d r ,
the integral of w w w being taken componentwise.
6. (Bilinear forms under entrywise integrals) For an assignment U U U of a real p × q p\times q p × q matrix U ( t ) U(t) U ( t ) with entries continuous on [ a , b ] [a,b] [ a , b ] , y ∈ R p y\in\mathbb{R}^{p} y ∈ R p , z ∈ R q z\in\mathbb{R}^{q} z ∈ R q , and a ≤ t ≤ b a\le t\le b a ≤ t ≤ b :
y ⋅ ( ( ∫ a t U ( r ) d r ) z ) = ∫ a t y ⋅ ( U ( r ) z ) d r , y\cdot\Bigl(\Bigl(\int_a^tU(r)\,dr\Bigr)z\Bigr)=\int_a^t y\cdot\bigl(U(r)z\bigr)\,dr , y ⋅ ( ( ∫ a t U ( r ) d r ) z ) = ∫ a t y ⋅ ( U ( r ) z ) d r ,
the integral of U U U being taken entrywise.
7. (Translation) For u : [ a , b ] → R u:[a,b]\to\mathbb{R} u : [ a , b ] → R continuous and t ∈ [ a , b ] t\in[a,b] t ∈ [ a , b ] : the function τ ↦ u ( a + τ ) \tau\mapsto u(a+\tau) τ ↦ u ( a + τ ) is continuous on [ 0 , b − a ] [0,b-a] [ 0 , b − a ] and
∫ a t u ( r ) d r = ∫ 0 t − a u ( a + τ ) d τ . \int_a^tu(r)\,dr=\int_0^{t-a}u(a+\tau)\,d\tau . ∫ a t u ( r ) d r = ∫ 0 t − a u ( a + τ ) d τ .