矩阵求导公式
矩阵求导:
∂
(
a
x
+
b
)
2
∂
x
=
a
T
(
a
x
+
b
)
\frac{\partial (ax+b)^2}{\partial x}=a^T(ax+b)
∂x∂(ax+b)2=aT(ax+b)
矩阵求导、几种重要的矩阵及常用的矩阵求导公
https://blog.csdn.net/daaikuaichuan/article/details/80620518
a ^ = T F a \widehat{\mathbf{a}}=\sqrt{T} \mathbf{F} \mathbf{a} a =TFa,
matlab验证:
arg min h k { λ 1 2 ∥ w ⊙ h k ∥ 2 2 + μ 2 ∥ g ^ k − T F P ⊤ h k + s ^ k ∥ 2 2 } = [ λ 1 W ⊤ W + μ T P P T ] − 1 μ T P F T ( s ^ k + g ^ k ) = μ T P ⊙ ( s k + g k ) λ 1 ( w ⊙ w ) + μ T s k = 1 T F T s ^ k g k = 1 T F T g ^ k \arg \min _{\mathbf{h}_{k}} \left\{\begin{array}{l}{\frac{\lambda_{1}}{2}\left\|\mathbf{w} \odot \mathbf{h}_{k}\right\|_{2}^{2}+} \\ {\frac{\mu}{2}\left\|\widehat{\mathbf{g}}_{k}-\sqrt{T} \mathbf{F} \mathbf{P}^{\top} \mathbf{h}_{k}+\widehat{\mathbf{s}}_{k}\right\|_{2}^{2}}\end{array}\right\}\\ \begin{array}{l}{=\left[\lambda_{1} \mathbf{W}^{\top} \mathbf{W}+\mu T \mathbf{P} \mathbf{P}^{T}\right]^{-1} \mu \sqrt T \mathbf{P}\mathbf F^{T}\left(\hat\mathbf{s}_{k}+\hat\mathbf{g}_{k}\right)} \\ {=\frac{\mu T \mathbf{P} \odot\left({\mathbf{s}_{k}}+\mathbf{g}_{k}\right)}{\lambda_{1}(\mathbf{w} \odot \mathbf{w})+\mu T }}\end{array}\\ \mathbf{s}_{k}=\frac{1}{\sqrt T}\mathbf F^{T}\hat\mathbf{s}_{k}\\\mathbf{g}_{k}=\frac{1}{\sqrt T}\mathbf F^{T}\hat\mathbf{g}_{k} arghkmin⎩⎨⎧2λ1∥w⊙hk∥22+2μ∥∥∥g k−TFP⊤hk+s k∥∥∥22⎭⎬⎫=[λ1W⊤W+μTPPT]−1μTPFT(s^k+g^k)=λ1(w⊙w)+μTμTP⊙(sk+gk)sk=T1FTs^kgk=T1FTg^k