一个简单的矩阵范数求偏导小例子

问题：如果有以下目标函数，则其对P,Q的求导结果是怎样的，怎么来的？这个问题困扰了我非常久，费了不少劲，特此记录下。

$$\begin{gathered} F(P,Q)=\underset{P,Q}{\min }\Vert X-PQ{\Vert }_F^2+\alpha \Vert P{|}_F^2+\alpha \Vert Q{|}_F^2 \\ \frac{\partial F}{\partial P}=?,\frac{\partial F}{\partial Q}=? \\ 并且整个推导过程是怎么样的？ \end{gathered}$$

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1. 常用公式：

$$\Vert X{\Vert }_F^2=tr(X{X}^T)\text{\hspace{1em}(54)}$$
$$(A+B{)}^T=A^T+B^T\text{\hspace{1em}(4)}$$$$tr(A)=tr(A^T)\text{\hspace{1em}(13)}$$$$\frac{\partial \Vert x{\Vert }_2^2}{\partial x}=2x,x是向量\text{\hspace{1em}(131)}$$$$\frac{\partial \Vert X{\Vert }_F^2}{\partial X}=2X,X是矩阵\text{\hspace{1em}(132)}$$$$\frac{\partial tr(F(X))}{\partial X}=f(X{)}^T，其中f(X)是F(X)的标量导数\text{\hspace{1em}(98-99)}$$$$\frac{\partial tr(XB{X}^T)}{\partial X}=X{B}^T+XB\text{\hspace{1em}(111)}$$$$\frac{\partial tr(AXB{X}^{T}C)}{\partial X}=A^T{C}^{T}X{B}^T+CAXB\text{\hspace{1em}(118)}$$$$\partial A=0，A是一个常量矩阵\text{\hspace{1em}(33)}$$$$\partial (XY)=\partial (X)Y+X\partial (Y)，matmulproduct（一般矩阵乘积）\text{\hspace{1em}(37)}$$$$\partial (X\circ Y)=\partial (X)\circ Y+X\circ \partial (Y)，Hadamard积\text{\hspace{1em}(38)}$$$$\partial (X\otimes Y)=\partial (X)\otimes Y+X\otimes \partial (Y),Kronecker积\text{\hspace{1em}(39)}$$

2. 问题推导：

先对目标函数进行整理：
$$\begin{gathered} F(P,Q)=\Vert X-PQ{\Vert }_F^2+\alpha \Vert P{|}_F^2+\alpha \Vert Q{|}_F^2 \\ =tr((X-PQ)(X-PQ{)}^T)+\alpha tr(P{P}^T)+\alpha tr(Q{Q}^T) \\ =tr((X-PQ)(X^T-Q^T{P}^T))+\alpha tr(P{P}^T)+\alpha tr(Q{Q}^T) \\ =tr(X{X}^T)-tr(PQ{X}^T)-tr(X{Q}^T{P}^T)+tr(PQ{Q}^T{P}^T)+\alpha tr(P{P}^T)+\alpha tr(Q{Q}^T) \\ =tr(X{X}^T)-2tr(PQ{X}^T)+tr(PQ{Q}^T{P}^T)+\alpha tr(P{P}^T)+\alpha tr(Q{Q}^T) \end{gathered}$$
则
$$\begin{gathered} \frac{\partial F}{\partial P}=0-2(Q{X}^T{)}^T+P(Q{Q}^T{)}^T+P(Q{Q}^T)+\alpha P{1}^T+\alpha P1+0 \\ =-2X{Q}^T+PQ{Q}^T+PQ{Q}^T+2\alpha P \\ =-2X{Q}^T+2PQ{Q}^T+2\alpha P \end{gathered}$$
同理：
$$\frac{\partial F}{\partial Q}=-2P^{T}X+2P^{T}PQ+2\alpha Q$$