What do double parallel lines on vectors mean?

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What do the lines mean in the notation $\|u\|$ where $u$ is a vector?

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That notation usually represents the Euclidean norm of a vector. If $u=\langle u_1,u_2,\dots,u_n\rangle,u_i\in\mathbb{R}$, then $||u||=\sqrt{u_1^2+u_2^2+\cdots+u_n^2}$. If $u_i\in\mathbb{C}$, then $||u||=\sqrt{u_1\bar u_1+u_2\bar u_2+\cdots+u_n\bar u_n}$.

More info on Wikipedia.