转自:http://blog.sina.com.cn/s/blog_4a033b090100pwjq.html
求导公式(撇号为转置):
Y = A * X --> DY/DX = A'
Y = X * A --> DY/DX = A
Y = A' * X * B --> DY/DX = A * B'
Y = A' * X' * B --> DY/DX = B * A'
乘积的导数
d(f*g)/dx=(df'/dx)g+(dg/dx)f'
于是把以前学过的矩阵求导部分整理一下:
1. 矩阵Y对标量x求导:
2. 标量y对列向量X求导:
3. 行向量Y'对列向量X求导:
4. 列向量Y对行向量X’求导:
5. 向量积对列向量X求导运算法则:
6. 矩阵Y对列向量X求导:
7. 矩阵积对列向量求导法则:
8. 标量y对矩阵X的导数:
9. 矩阵Y对矩阵X的导数:
10.乘积的导数
d(f*g)/dx=(df'/dx)g+(dg/dx)f'
结论
d(x'Ax)=(d(x'')/dx)Ax+(d(Ax)/dx)(x'')=Ax+A'x
Notation
- d/dx
(y) is a vector whose (i) element is dy(i)/dx - d/dx
(y) is a vector whose (i) element is dy/dx(i) - d/dx
(yT) is a matrix whose (i,j) element is dy(j)/dx(i) - d/dx
(Y) is a matrix whose (i,j) element is dy(i,j)/dx - d/dX
(y) is a matrix whose (i,j) element is dy/dx(i,j)
Note that the Hermitian transpose is not used because complex conjugates are not analytic.
In the expressions below matrices and vectors
Derivatives of Linear Products
- d/dx
(AYB) =A * d/dx (Y) * B -
- d/dx
(Ay) =A * d/dx (y)
- d/dx
- d/dx
(xTA) =A -
- d/dx
(xT) =I - d/dx
(xTa) = d/dx (aTx) = a
- d/dx
- d/dX
(aTXb) = abT -
- d/dX
(aTXa) = d/dX (aTXTa) = aaT
- d/dX
- d/dX
(aTXTb) = baT - d/dx
(YZ) =Y * d/dx (Z) + d/dx (Y) * Z
Derivatives of Quadratic Products
- d/dx
(Ax+b)TC(Dx+e) = ATC(Dx+e) + DTCT(Ax+b) -
- d/dx
(xTCx) = (C+CT)x -
- [C: symmetric]:
d/dx (xTCx) = 2Cx - d/dx
(xTx) = 2x
- [C: symmetric]:
- d/dx
(Ax+b)T (Dx+e) = AT (Dx+e) + DT (Ax+b) -
- d/dx
(Ax+b)T (Ax+b) = 2AT (Ax+b)
- d/dx
- [C: symmetric]:
d/dx (Ax+b)TC(Ax+b) = 2ATC(Ax+b)
- d/dx
- d/dX
(aTXTXb) = X(abT + baT) -
- d/dX
(aTXTXa) = 2XaaT
- d/dX
- d/dX
(aTXTCXb) = CTXabT + CXbaT -
- d/dX
(aTXTCXa) = (C + CT)XaaT - [C:Symmetric]
d/dX (aTXTCXa) = 2CXaaT
- d/dX
- d/dX
((Xa+b)TC(Xa+b)) = (C+CT)(Xa+b)aT
Derivatives of Cubic Products
- d/dx
(xTAxxT) = (A+AT)xxT+xTAxI
Derivatives of Inverses
- d/dx
(Y-1) = -Y-1d/dx (Y)Y-1
Derivative of Trace
Note: matrix dimensions must result in an
- d/dX
(tr(X)) = I - d/dX
(tr(Xk)) =k(Xk-1)T - d/dX
(tr(AXk)) = SUMr=0:k-1(XrAXk-r-1)T - d/dX
(tr(AX-1B)) = -(X-1BAX-1)T - d/dX
(tr(AX-1)) =d/dX (tr(X-1A)) = -X-TATX-T
- d/dX
- d/dX
(tr(ATXBT)) = d/dX (tr(BXTA)) = AB - d/dX
(tr(XAT)) = d/dX (tr(ATX)) =d/dX (tr(XTA)) = d/dX (tr(AXT)) = A
- d/dX
- d/dX
(tr(AXBXT)) = ATXBT + AXB - d/dX
(tr(XAXT)) = X(A+AT) - d/dX
(tr(XTAX)) = XT(A+AT) - d/dX
(tr(AXTX)) = (A+AT)X
- d/dX
- d/dX
(tr(AXBX)) = ATXTBT + BTXTAT - [C:symmetric]
d/dX (tr((XTCX)-1A) = d/dX (tr(A (XTCX)-1) = -(CX(XTCX)-1)(A+AT)(XTCX)-1 - [B,C:symmetric]
d/dX (tr((XTCX)-1(XTBX)) = d/dX (tr( (XTBX)(XTCX)-1) = -2(CX(XTCX)-1)XTBX(XTCX)-1 + 2BX(XTCX)-1
Derivative of Determinant
Note: matrix dimensions must result in an
- d/dX
(det(X)) = d/dX (det(XT)) = det(X)*X-T -
- d/dX
(det(AXB)) = det(AXB)*X-T - d/dX
(ln(det(AXB))) = X-T
- d/dX
- d/dX
(det(Xk)) = k*det(Xk)*X-T - d/dX
(ln(det(Xk))) = kX-T
- d/dX
- [Real]
d/dX (det(XTCX)) = det(XTCX)*(C+CT)X(XTCX)-1 -
- [C:
Real,Symmetric] d/dX (det(XTCX)) = 2det(XTCX)* CX(XTCX)-1
- [C:
- [C:
Real,Symmetricc] d/dX (ln(det(XTCX))) = 2CX(XTCX)-1
Jacobian
If
Its determinant, |dyT/dx|, is the
Hessian matrix
If f is a function of
- d2/dx2
(aTx) = 0 - d2/dx2
(Ax+b)TC(Dx+e) = ATCD + DTCTA -
- d2/dx2
(xTCx) = C+CT -
- d2/dx2
(xTx) = 2I
- d2/dx2
- d2/dx2
(Ax+b)T (Dx+e) = ATD + DTA -
- d2/dx2
(Ax+b)T (Ax+b) = 2ATA
- d2/dx2
- [C: symmetric]:
d2/dx2 (Ax+b)TC(Ax+b) = 2ATCA
- d2/dx2