前言
本公式來自The Matrix Cookbook中的公式(104)。
證明
∂ tr ( A X T ) ∂ X = ∂ ∑ i , j A i j X i j ∂ X tr ( A B T ) = ∑ i , j A i j B i j = [ ∂ ∑ i , j A i j X i j ∂ X 11 . . . ∂ ∑ i , j A i j X i j ∂ X 1 n . . . ∂ ∑ i , j A i j X i j ∂ X m 1 . . . ∂ ∑ i , j A i j X i j ∂ X m n ] = [ A 11 . . . A 1 n . . . A m 1 . . . A m n ] = A \begin{aligned}\frac{\partial \text{tr}(\bold{A}\bold{X}^T)}{\partial \bold{X}} &= \frac{\partial \sum\limits_{i,j}A_{ij}X_{ij}}{\partial \bold{X}} && \text{tr}(\bold{A}\bold{B}^T) = \sum\limits_{i,j}A_{ij}B_{ij} \\&= \begin{bmatrix}\frac{\partial \sum\limits_{i,j}A_{ij}X_{ij}}{\partial \bold{X}_{11}} & ... & \frac{\partial \sum\limits_{i,j}A_{ij}X_{ij}}{\partial \bold{X}_{1n}} \\ ... \\ \frac{\partial \sum\limits_{i,j}A_{ij}X_{ij}}{\partial \bold{X}_{m1}} & ... & \frac{\partial \sum\limits_{i,j}A_{ij}X_{ij}}{\partial \bold{X}_{mn}}\end{bmatrix} \\&= \begin{bmatrix}A_{11} & ... & A_{1n} \\ ... \\ A_{m1} & ... & A_{mn}\end{bmatrix} \\&= \bold{A} \end{aligned} ∂X∂tr(AXT)=∂X∂i,j∑AijXij=⎣⎢⎢⎢⎡∂X11∂i,j∑AijXij...∂Xm1∂i,j∑AijXij......∂X1n∂i,j∑AijXij∂Xmn∂i,j∑AijXij⎦⎥⎥⎥⎤=⎣⎡A11...Am1......A1nAmn⎦⎤=Atr(ABT)=i,j∑AijBij
註:上述推導使用分母布局。