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I was going through this link and I found the minimization expression. It says $\|Xw-y\|_2^2$.

What is the significance of $2$ in the subscript? What does it mean? I understand that the double vertical lines mean the length of the vector.

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This designates the $2$-norm of your vector. If $1<p<\infty$, then the $p$ norm of a vector $x=[x_1,x_2,\dots,x_n]\in\mathbb C^n$ is defined as

$$||x||_p = \sqrt[p]{|x_1|^p + |x_2|^p + \cdots + |x_n|^p}$$

For the particular case of $p=2$, the $2$-norm of the vector is also called the Euclidean norm (and it is equal to our standard definition of distance):

$$||x||_2 = \sqrt{\langle x,x\rangle}$$

Where $$\langle x,y\rangle = \sum_{i=1}^n x_i \bar{y_i}$$ denotes the euclidian inner product in $\mathbb C^n$ (or in $\mathbb R^n$)

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    $\begingroup$ Where $\langle x,y\rangle = \sum_{i=1}^n x_i \overline{y_i}$ denotes the euclidean inner product in $\mathbb C^n$. $\endgroup$ – AlexR May 21 '15 at 9:26
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    $\begingroup$ I'm a beginner here. Can you please direct me to some links for the same. Thank you. $\endgroup$ – Srikanth Guhan May 21 '15 at 9:27
  • $\begingroup$ @AlexR Thanks, I added that into my answer. $\endgroup$ – 5xum May 21 '15 at 9:42
  • $\begingroup$ @SrikanthGuhan One good place to start is en.wikipedia.org/wiki/Norm_%28mathematics%29. Another is asking your professors/teachers for advice. $\endgroup$ – 5xum May 21 '15 at 9:43

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