矩阵求导

Matrix calculus

1. Derivative of linear function:
   

   $$\frac{\partial x^Ta}{\partial x} = a$$
   $$\frac{\partial a^Tx}{\partial x} = a$$
   $$\frac{\partial x^TXb}{\partial X} = ab^T$$
   $$\frac{\partial x^TX^Tb}{\partial X} = ba^T$$

2. Derivative of quadratic function:
   

   $$\frac{\partial b^TX^TXc}{\partial X} = X(bc^T+cb^T)$$
   $$\frac{\partial (Bx+b)^TC(Dx+d)}{\partial x} = B^TC(Dx+d)+D^TC^T(Bx+b)$$
   $$\frac{\partial x^TBx}{\partial x} = (B+B^T)x$$
   $$\frac{\partial b^TX^TDXc}{\partial X} = D^TXbc^T+DXcb^T$$

3. Derivative of determinant:
   

   $$\frac{\partial det[Y]}{\partial x} = det[T]tr\left[Y^{-1}\frac{\partial Y}{\partial x}\right]$$
   $$\frac{\partial det[Y]}{\partial Y} = det[Y]Y^{-T}$$

4. Derivative of log determinant:
   

   $$\frac{\partial log[det[Y]]}{\partial Y} = Y^{-T}$$

5. Derivative of inverse:
   

   $$\frac{\partial Y^{-1}}{\partial x} = -Y^{-1}\frac{\partial Y}{\partial x}Y^{-1}$$

6. Derivative of trace:
   

   $$\frac{\partial tr[F[X]]}{\partial X} = \left(\frac{\partial F[X]}{\partial X}\right)^T$$