Jacobian matrix & hassian matrix

1. Jacobian matrix

$$\begin{array}{c}f(x)=\left[\begin{array}{c}{f}_1=x_1^2+2x_2\\ \\ f_2=3x_1+4x_2^2\end{array}\right],J=\left[\begin{array}{cc}\frac{\partial f_1}{\partial x_1}& \frac{\partial f_1}{\partial x_2}\\ & \\ \frac{\partial f_2}{\partial x_1}& \frac{\partial f_2}{\partial x_2}\end{array}\right]=\left[\begin{array}{cc}2x_1& 2\\ & \\ 3& 8x_2\end{array}\right]\end{array}$$

• 我们假设$x_1=1,x_2=2$,可得Jacobian matrix 表示如下：
  $$\begin{array}{c}J=\left[\begin{array}{cc}2x_1& 2\\ & \\ 3& 8x_2\end{array}\right]=\left[\begin{array}{cc}2& 2\\ & \\ 3& 16\end{array}\right]\end{array}$$
• 引用 pytorch 进行代码验证

import torch


# define f(x)
def f(x):
    return torch.stack([x[0] ** 2 + 2 * x[1], 3 * x[0] + 4 * x[1] ** 2])


x = torch.tensor([1.0, 2.0], dtype=torch.float, requires_grad=True)

jacobian_matrix = torch.autograd.functional.jacobian(f, x)
print(f"jacobian_matrix=\n{jacobian_matrix}")

• 运行结果：

jacobian_matrix=
tensor([[ 2.,  2.],
        [ 3., 16.]])

2. hassian matrix

二阶偏导。待续