矩阵求导之四:定义篇(下)

6 矩阵对标量求导

6.1 定义

对于 m × n m\times n m×n的矩阵
F m × n ( x ) = [ f 11 ( x ) f 12 ( x ) ⋯ f 1 n ( x ) f 21 ( x ) f 22 ( x ) ⋯ f 2 n ( x ) ⋮ ⋮ ⋱ ⋮ f m 1 ( x ) f m 2 ( x ) ⋯ f m n ( x ) ] m × n \boldsymbol{F}_{m\times n}\left( x \right) =\left[ \begin{matrix} f_{11}\left( x \right)& f_{12}\left( x \right)& \cdots& f_{1n}\left( x \right)\\ \\ f_{21}\left( x \right)& f_{22}\left( x \right)& \cdots& f_{2n}\left( x \right)\\ \\ \vdots& \vdots& \ddots& \vdots\\ \\ f_{m1}\left( x \right)& f_{m2}\left( x \right)& \cdots& f_{mn}\left( x \right)\\ \end{matrix} \right] _{m\times n} Fm×n(x)= f11(x)f21(x)fm1(x)f12(x)f22(x)fm2(x)f1n(x)f2n(x)fmn(x) m×n
逐元素求导,得:
∂ F ∂ x = [ ∂ f 11 ∂ x ∂ f 12 ∂ x ⋯ ∂ f 1 n ∂ x ∂ f 21 ∂ x ∂ f 22 ∂ x ⋯ ∂ f 2 n ∂ x ⋮ ⋮ ⋱ ⋮ ∂ f m 1 ∂ x ∂ f m 2 ∂ x ⋯ ∂ f m n ∂ x ] \frac{\partial \boldsymbol{F}}{\partial x}=\left[ \begin{matrix} \frac{\partial f_{11}}{\partial x}& \frac{\partial f_{12}}{\partial x}& \cdots& \frac{\partial f_{1n}}{\partial x}\\ \\ \frac{\partial f_{21}}{\partial x}& \frac{\partial f_{22}}{\partial x}& \cdots& \frac{\partial f_{2n}}{\partial x}\\ \\ \vdots& \vdots& \ddots& \vdots\\ \\ \frac{\partial f_{m1}}{\partial x}& \frac{\partial f_{m2}}{\partial x}& \cdots& \frac{\partial f_{mn}}{\partial x}\\ \end{matrix} \right] xF= xf11xf21xfm1xf12xf22xfm2xf1nxf2nxfmn

6.2 运算法则

∂ [ A ( t ) ± B ( t ) ] ∂ t = ∂ A ( t ) ∂ t ± ∂ B ( t ) ∂ t \frac{\partial \left[ \boldsymbol{A}\left( t \right) \pm \boldsymbol{B}\left( t \right) \right]}{\partial t}=\frac{\partial \boldsymbol{A}\left( t \right)}{\partial t}\pm \frac{\partial \boldsymbol{B}\left( t \right)}{\partial t} t[A(t)±B(t)]=tA(t)±tB(t)
∂ [ λ ( t ) ⋅ A ( t ) ] ∂ t = ∂ λ ( t ) ∂ t ⋅ A ( t ) + λ ( t ) ⋅ ∂ A ( t ) ∂ t \frac{\partial \left[ \lambda \left( t \right) \cdot \boldsymbol{A}\left( t \right) \right]}{\partial t}=\frac{\partial \lambda \left( t \right)}{\partial t}\cdot \boldsymbol{A}\left( t \right) +\lambda \left( t \right) \cdot \frac{\partial \boldsymbol{A}\left( t \right)}{\partial t} t[λ(t)A(t)]=tλ(t)A(t)+λ(t)tA(t)

其中 λ ( t ) \lambda \left( t \right) λ(t)为变量 t t t的数量函数。
∂ [ A ( t ) ⋅ B ( t ) ] ∂ t = ∂ A ( t ) ∂ t ⋅ B ( t ) + A ( t ) ⋅ ∂ B ( t ) ∂ t \frac{\partial \left[ \boldsymbol{A}\left( t \right) \cdot \boldsymbol{B}\left( t \right) \right]}{\partial t}=\frac{\partial \boldsymbol{A}\left( t \right)}{\partial t}\cdot \boldsymbol{B}\left( t \right) +\boldsymbol{A}\left( t \right) \cdot \frac{\partial \boldsymbol{B}\left( t \right)}{\partial t} t[A(t)B(t)]=tA(t)B(t)+A(t)tB(t)

6.3 示例

【例6.1】求 x T A x \boldsymbol{x}^T\boldsymbol{Ax} xTAx t t t的导数,其中
x = [ x 1 ( t ) x 2 ( t ) ⋯ x n ( t ) ] T    A = [ a 11 a 12 ⋯ a 1 n a 12 a 11 ⋯ a 2 n ⋮ ⋮ ⋱ ⋮ a 1 n a 2 n ⋯ a n n ] \boldsymbol{x}=\left[ \begin{matrix} x_1\left( t \right)& x_2\left( t \right)& \cdots& x_n\left( t \right)\\ \end{matrix} \right] ^T \\ \ \ \\ \boldsymbol{A}=\left[ \begin{matrix} a_{11}& a_{12}& \cdots& a_{1n}\\ a_{12}& a_{11}& \cdots& a_{2n}\\ \vdots& \vdots& \ddots& \vdots\\ a_{1n}& a_{2n}& \cdots& a_{nn}\\ \end{matrix} \right] x=[x1(t)x2(t)xn(t)]T  A= a11a12a1na12a11a2na1na2nann
A \boldsymbol{A} A为对称阵。
【解】
∂ ( x T A x ) ∂ t = ∂ x T ∂ t ⋅ A x + x T ⋅ ∂ ( A x ) ∂ t    = ∂ x T ∂ t ⋅ A x + x T ⋅ ( ∂ A ∂ t ⋅ x + A ∂ x ∂ t )    = x ^ T A x + x T A x ^ = ( x ^ T A x ) T + x T A x ^    = x T A x ^ + x T A x ^ = 2 x T A x ^ \begin{aligned} \frac{\partial \left( \boldsymbol{x}^T\boldsymbol{Ax} \right)}{\partial t}&=\frac{\partial \boldsymbol{x}^T}{\partial t}\cdot \boldsymbol{Ax}+\boldsymbol{x}^T\cdot \frac{\partial \left( \boldsymbol{Ax} \right)}{\partial t} \\ \ \ \\ &=\frac{\partial \boldsymbol{x}^T}{\partial t}\cdot \boldsymbol{Ax}+\boldsymbol{x}^T\cdot \left( \frac{\partial \boldsymbol{A}}{\partial t}\cdot \boldsymbol{x}+\boldsymbol{A}\frac{\partial \boldsymbol{x}}{\partial t} \right) \\ \ \ \\ &=\hat{\boldsymbol{x}}^T\boldsymbol{Ax}+\boldsymbol{x}^T\boldsymbol{A}\hat{\boldsymbol{x}}=\left( \hat{\boldsymbol{x}}^T\boldsymbol{Ax} \right) ^T+\boldsymbol{x}^T\boldsymbol{A}\hat{\boldsymbol{x}} \\ \ \ \\ &=\boldsymbol{x}^T\boldsymbol{A}\hat{\boldsymbol{x}}+\boldsymbol{x}^T\boldsymbol{A}\hat{\boldsymbol{x}}=2\boldsymbol{x}^T\boldsymbol{A}\hat{\boldsymbol{x}} \end{aligned} t(xTAx)      =txTAx+xTt(Ax)=txTAx+xT(tAx+Atx)=x^TAx+xTAx^=(x^TAx)T+xTAx^=xTAx^+xTAx^=2xTAx^
【注】 x T A x ^ \boldsymbol{x}^T\boldsymbol{A}\hat{\boldsymbol{x}} xTAx^ x ^ T A x \hat{\boldsymbol{x}}^T\boldsymbol{Ax} x^TAx都是数量函数,且 A \boldsymbol{A} A为对称阵,他们等于自己的转置。
【例6.2】证明:
∂ [ A ( t ) ⋅ B ( t ) ] ∂ t = ∂ A ( t ) ∂ t ⋅ B ( t ) + A ( t ) ⋅ ∂ B ( t ) ∂ t \frac{\partial \left[ \boldsymbol{A}\left( t \right) \cdot \boldsymbol{B}\left( t \right) \right]}{\partial t}=\frac{\partial \boldsymbol{A}\left( t \right)}{\partial t}\cdot \boldsymbol{B}\left( t \right) +\boldsymbol{A}\left( t \right) \cdot \frac{\partial \boldsymbol{B}\left( t \right)}{\partial t} t[A(t)B(t)]=tA(t)B(t)+A(t)tB(t)
【证】
A ( t ) \boldsymbol{A}\left( t \right) A(t) B ( t ) \boldsymbol{B}\left( t \right) B(t)分别为 n × m n\times m n×m m × l m\times l m×l矩阵:
A ( t ) = [ a 11 ( t ) a 12 ( t ) ⋯ a 1 m ( t ) a 21 ( t ) a 22 ( t ) ⋯ a 2 m ( t ) ⋮ ⋮ ⋱ ⋮ a n 1 ( t ) a n 2 ( t ) ⋯ a n m ( t ) ] = [ α T ( t ) α T ( t ) ⋮ α T ( t ) ] \boldsymbol{A}\left( t \right) =\left[ \begin{matrix} a_{11}\left( t \right)& a_{12}\left( t \right)& \cdots& a_{1m}\left( t \right)\\ \\ a_{21}\left( t \right)& a_{22}\left( t \right)& \cdots& a_{2m}\left( t \right)\\ \\ \vdots& \vdots& \ddots& \vdots\\ \\ a_{n1}\left( t \right)& a_{n2}\left( t \right)& \cdots& a_{nm}\left( t \right)\\ \end{matrix} \right] =\left[ \begin{array}{c} \boldsymbol{\alpha }^T\left( t \right)\\ \\ \boldsymbol{\alpha }^T\left( t \right)\\ \\ \vdots\\ \\ \boldsymbol{\alpha }^T\left( t \right)\\ \end{array} \right] A(t)= a11(t)a21(t)an1(t)a12(t)a22(t)an2(t)a1m(t)a2m(t)anm(t) = αT(t)αT(t)αT(t)
B ( t ) = [ b 11 ( t ) b 12 ( t ) ⋯ b 1 l ( t ) b 21 ( t ) b 22 ( t ) ⋯ b 2 l ( t ) ⋮ ⋮ ⋱ ⋮ b m 1 ( t ) b m 2 ( t ) ⋯ b m l ( t ) ] = [ β 1 ( t ) β 2 ( t ) ⋯ β l ( t ) ] \boldsymbol{B}\left( t \right) =\left[ \begin{matrix} b_{11}\left( t \right)& b_{12}\left( t \right)& \cdots& b_{1l}\left( t \right)\\ \\ b_{21}\left( t \right)& b_{22}\left( t \right)& \cdots& b_{2l}\left( t \right)\\ \\ \vdots& \vdots& \ddots& \vdots\\ \\ b_{m1}\left( t \right)& b_{m2}\left( t \right)& \cdots& b_{ml}\left( t \right)\\ \end{matrix} \right] =\left[ \begin{matrix} \boldsymbol{\beta }_1\left( t \right)& \boldsymbol{\beta }_2\left( t \right)& \cdots& \boldsymbol{\beta }_l\left( t \right)\\ \end{matrix} \right] B(t)= b11(t)b21(t)bm1(t)b12(t)b22(t)bm2(t)b1l(t)b2l(t)bml(t) =[β1(t)β2(t)βl(t)]
A ( t ) ⋅ B ( t ) = [ α 1 T ( t ) β 1 ( t ) α 1 T ( t ) β 2 ( t ) ⋯ α 1 T ( t ) β l ( t ) α 2 T ( t ) β 1 ( t ) α 2 T ( t ) β 2 ( t ) ⋯ α 2 T ( t ) β l ( t ) ⋮ ⋮ ⋱ ⋮ α n T ( t ) β 1 ( t ) α n T ( t ) β 2 ( t ) ⋯ α n T ( t ) β l ( t ) ]    = [ α i T ( t ) β j ( t ) ] n × l \begin{aligned} \boldsymbol{A}\left( t \right) \cdot \boldsymbol{B}\left( t \right) &=\left[ \begin{matrix} {\boldsymbol{\alpha }_1}^T\left( t \right) \boldsymbol{\beta }_1\left( t \right)& {\boldsymbol{\alpha }_1}^T\left( t \right) \boldsymbol{\beta }_2\left( t \right)& \cdots& {\boldsymbol{\alpha }_1}^T\left( t \right) \boldsymbol{\beta }_l\left( t \right)\\ \\ {\boldsymbol{\alpha }_2}^T\left( t \right) \boldsymbol{\beta }_1\left( t \right)& {\boldsymbol{\alpha }_2}^T\left( t \right) \boldsymbol{\beta }_2\left( t \right)& \cdots& {\boldsymbol{\alpha }_2}^T\left( t \right) \boldsymbol{\beta }_l\left( t \right)\\ \\ \vdots& \vdots& \ddots& \vdots\\ \\ {\boldsymbol{\alpha }_n}^T\left( t \right) \boldsymbol{\beta }_1\left( t \right)& {\boldsymbol{\alpha }_n}^T\left( t \right) \boldsymbol{\beta }_2\left( t \right)& \cdots& {\boldsymbol{\alpha }_n}^T\left( t \right) \boldsymbol{\beta }_l\left( t \right)\\ \end{matrix} \right] \\ \ \ \\ &=\left[ {\boldsymbol{\alpha }_i}^T\left( t \right) \boldsymbol{\beta }_j\left( t \right) \right] _{n\times l} \end{aligned} A(t)B(t)  = α1T(t)β1(t)α2T(t)β1(t)αnT(t)β1(t)α1T(t)β2(t)α2T(t)β2(t)αnT(t)β2(t)α1T(t)βl(t)α2T(t)βl(t)αnT(t)βl(t) =[αiT(t)βj(t)]n×l
因此:
∂ [ A ( t ) ⋅ B ( t ) ] ∂ t = ∂ [ α i T ( t ) β j ( t ) ] n × l ∂ t    = [ ∂ α i T ( t ) ∂ t ⋅ β j ( t ) + α i T ( t ) ⋅ ∂ β j ( t ) ∂ t ] n × l    = ∂ A ( t ) ∂ t ⋅ B ( t ) + A ( t ) ⋅ ∂ B ( t ) ∂ t \begin{aligned} \frac{\partial \left[ \boldsymbol{A}\left( t \right) \cdot \boldsymbol{B}\left( t \right) \right]}{\partial t}&=\frac{\partial \left[ {\boldsymbol{\alpha }_i}^T\left( t \right) \boldsymbol{\beta }_j\left( t \right) \right] _{n\times l}}{\partial t} \\ \ \ \\ &=\left[ \frac{\partial {\boldsymbol{\alpha }_i}^T\left( t \right)}{\partial t}\cdot \boldsymbol{\beta }_j\left( t \right) +{\boldsymbol{\alpha }_i}^T\left( t \right) \cdot \frac{\partial \boldsymbol{\beta }_j\left( t \right)}{\partial t} \right] _{n\times l} \\ \ \ \\ &=\frac{\partial \boldsymbol{A}\left( t \right)}{\partial t}\cdot \boldsymbol{B}\left( t \right) +\boldsymbol{A}\left( t \right) \cdot \frac{\partial \boldsymbol{B}\left( t \right)}{\partial t} \end{aligned} t[A(t)B(t)]    =t[αiT(t)βj(t)]n×l=[tαiT(t)βj(t)+αiT(t)tβj(t)]n×l=tA(t)B(t)+A(t)tB(t)

7 矩阵对向量求导

7.1 定义

对于 m × l m\times l m×l的数量函数矩阵
F m × n ( x ) = [ f 11 ( x ) f 12 ( x ) ⋯ f 1 l ( x ) f 21 ( x ) f 22 ( x ) ⋯ f 2 l ( x ) ⋮ ⋮ ⋱ ⋮ f m 1 ( x ) f m 2 ( x ) ⋯ f m l ( x ) ] m × l \boldsymbol{F}_{m\times n}\left(\boldsymbol{x} \right) =\left[ \begin{matrix} f_{11}\left( \boldsymbol{x} \right)& f_{12}\left( \boldsymbol{x} \right)& \cdots& f_{1l}\left( \boldsymbol{x} \right)\\ & & & \\ f_{21}\left( \boldsymbol{x} \right)& f_{22}\left( \boldsymbol{x} \right)& \cdots& f_{2l}\left( \boldsymbol{x} \right)\\ & & & \\ \vdots& \vdots& \ddots& \vdots\\ & & & \\ f_{m1}\left( \boldsymbol{x} \right)& f_{m2}\left( \boldsymbol{x} \right)& \cdots& f_{ml}\left( \boldsymbol{x} \right)\\ \end{matrix} \right] _{m\times l} Fm×n(x)= f11(x)f21(x)fm1(x)f12(x)f22(x)fm2(x)f1l(x)f2l(x)fml(x) m×l
n n n维列向量 x = [ x 1 , x 2 , ⋯   , x n ] T \boldsymbol{x}=\left[ x_1,x_2,\cdots ,x_n \right]^T x=[x1,x2,,xn]T,有:
∂ F ( x ) ∂ x = [ ∂ F ( x ) ∂ x 1 ∂ F ( x ) ∂ x 2 ⋮ ∂ F ( x ) ∂ x n ] n m × l \frac{\partial \boldsymbol{F}\left( \boldsymbol{x} \right)}{\partial \boldsymbol{x}}=\left[ \begin{array}{c} \frac{\partial \boldsymbol{F}\left( \boldsymbol{x} \right)}{\partial x_1}\\ \\ \frac{\partial \boldsymbol{F}\left( \boldsymbol{x} \right)}{\partial x_2}\\ \\ \vdots\\ \\ \frac{\partial \boldsymbol{F}\left( \boldsymbol{x} \right)}{\partial x_n}\\ \end{array} \right] _{nm\times l} xF(x)= x1F(x)x2F(x)xnF(x) nm×l
∂ F ( x ) ∂ x T = [ ∂ F ( x ) ∂ x 1 ∂ F ( x ) ∂ x 2 ⋯ ∂ F ( x ) ∂ x n ] m × l n \frac{\partial \boldsymbol{F}\left( \boldsymbol{x} \right)}{\partial \boldsymbol{x}^T}=\left[ \begin{matrix} \frac{\partial \boldsymbol{F}\left( \boldsymbol{x} \right)}{\partial x_1}& \frac{\partial \boldsymbol{F}\left( \boldsymbol{x} \right)}{\partial x_2}& \cdots& \frac{\partial \boldsymbol{F}\left( \boldsymbol{x} \right)}{\partial x_n}\\ \end{matrix} \right] _{m\times ln} xTF(x)=[x1F(x)x2F(x)xnF(x)]m×ln
其中:
∂ F ( x ) ∂ x i = [ ∂ f 11 ∂ x i ∂ f 12 ∂ x i ⋯ ∂ f 1 l ∂ x i ∂ f 21 ∂ x i ∂ f 22 ∂ x i ⋯ ∂ f 2 l ∂ x i ⋮ ⋮ ⋱ ⋮ ∂ f m 1 ∂ x i ∂ f m 2 ∂ x i ⋯ ∂ f m l ∂ x i ] m × l \frac{\partial \boldsymbol{F}\left( \boldsymbol{x} \right)}{\partial x_i}=\left[ \begin{matrix} \frac{\partial f_{11}}{\partial x_i}& \frac{\partial f_{12}}{\partial x_i}& \cdots& \frac{\partial f_{1l}}{\partial x_i}\\ & & & \\ \frac{\partial f_{21}}{\partial x_i}& \frac{\partial f_{22}}{\partial x_i}& \cdots& \frac{\partial f_{2l}}{\partial x_i}\\ & & & \\ \vdots& \vdots& \ddots& \vdots\\ & & & \\ \frac{\partial f_{m1}}{\partial x_i}& \frac{\partial f_{m2}}{\partial x_i}& \cdots& \frac{\partial f_{ml}}{\partial x_i}\\ \end{matrix} \right] _{m\times l} xiF(x)= xif11xif21xifm1xif12xif22xifm2xif1lxif2lxifml m×l

7.2 运算法则

7.2.1 加法运算

∂ [ A ( x ) ± B ( x ) ] ∂ x = ∂ A ( x ) ∂ x ± ∂ B ( x ) ∂ x \frac{\partial \left[ \boldsymbol{A}\left( \boldsymbol{x} \right) \pm \boldsymbol{B}\left( \boldsymbol{x} \right) \right]}{\partial \boldsymbol{x}}=\frac{\partial \boldsymbol{A}\left( \boldsymbol{x} \right)}{\partial \boldsymbol{x}}\pm \frac{\partial \boldsymbol{B}\left( \boldsymbol{x} \right)}{\partial \boldsymbol{x}} x[A(x)±B(x)]=xA(x)±xB(x)

7.2.2 数乘运算

∂ ( λ A ) ∂ x = [ ∂ λ ∂ x ] ⋅ A + λ ⋅ ∂ A ∂ x \frac{\partial \left( \boldsymbol{\lambda A} \right)}{\partial \boldsymbol{x}}=\left[ \frac{\partial \boldsymbol{\lambda }}{\partial \boldsymbol{x}} \right] \cdot \boldsymbol{A}+\boldsymbol{\lambda }\cdot \frac{\partial \boldsymbol{A}}{\partial \boldsymbol{x}} x(λA)=[xλ]A+λxA
其中:
[ ∂ λ ∂ x ] ⋅ A = [ ∂ λ ∂ x 1 ⋅ A ∂ λ ∂ x 2 ⋅ A ⋯ ∂ λ ∂ x n ⋅ A ] T \left[ \frac{\partial \boldsymbol{\lambda }}{\partial \boldsymbol{x}} \right] \cdot \boldsymbol{A}=\left[ \begin{matrix} \frac{\partial \boldsymbol{\lambda }}{\partial x_1}\cdot \boldsymbol{A}& \frac{\partial \boldsymbol{\lambda }}{\partial x_2}\cdot \boldsymbol{A}& \cdots& \frac{\partial \boldsymbol{\lambda }}{\partial x_n}\\ \end{matrix}\cdot \boldsymbol{A} \right] ^T [xλ]A=[x1λAx2λAxnλA]T

7.2.3 乘法运算

∂ ( A B ) ∂ x = ∂ A ∂ x ⋅ B + A ⋅ ∂ B ∂ x \frac{\partial \left( \boldsymbol{AB} \right)}{\partial \boldsymbol{x}}=\frac{\partial \boldsymbol{A}}{\partial \boldsymbol{x}}\cdot \boldsymbol{B}+\boldsymbol{A}\cdot \frac{\partial \boldsymbol{B}}{\partial \boldsymbol{x}} x(AB)=xAB+AxB
其中:
A ⋅ ∂ B ∂ x = [ A ⋅ ∂ B ∂ x 1 A ⋅ ∂ B ∂ x 2 ⋯ A ⋅ ∂ B ∂ x n ] T \boldsymbol{A}\cdot \frac{\partial \boldsymbol{B}}{\partial \boldsymbol{x}}=\left[ \begin{matrix} \boldsymbol{A}\cdot \frac{\partial \boldsymbol{B}}{\partial x_1}& \boldsymbol{A}\cdot \frac{\partial \boldsymbol{B}}{\partial x_2}& \cdots& \boldsymbol{A}\cdot \frac{\partial \boldsymbol{B}}{\partial x_n}\\ \end{matrix} \right] ^T AxB=[Ax1BAx2BAxnB]T

8 矩阵对矩阵求导

8.1 定义

对于 n × l n\times l n×l的数量函数矩阵
F n × l ( X ) = [ f 11 ( X ) f 12 ( X ) ⋯ f 1 l ( X ) f 21 ( X ) f 22 ( X ) ⋯ f 2 l ( X ) ⋮ ⋮ ⋱ ⋮ f n 1 ( X ) f n 2 ( X ) ⋯ f n l ( X ) ] n × l \boldsymbol{F}_{n\times l}\left( \boldsymbol{X} \right) =\left[ \begin{matrix} f_{11}\left( \boldsymbol{X} \right)& f_{12}\left( \boldsymbol{X} \right)& \cdots& f_{1l}\left( \boldsymbol{X} \right)\\ & & & \\ f_{21}\left( \boldsymbol{X} \right)& f_{22}\left( \boldsymbol{X} \right)& \cdots& f_{2l}\left( \boldsymbol{X} \right)\\ & & & \\ \vdots& \vdots& \ddots& \vdots\\ & & & \\ f_{n1}\left( \boldsymbol{X} \right)& f_{n2}\left( \boldsymbol{X} \right)& \cdots& f_{nl}\left( \boldsymbol{X} \right)\\ \end{matrix} \right] _{n\times l} Fn×l(X)= f11(X)f21(X)fn1(X)f12(X)f22(X)fn2(X)f1l(X)f2l(X)fnl(X) n×l
对于 p × m p\times m p×m的数量矩阵
X p × m = [ x 11 x 12 ⋯ x 1 m x 21 x 22 ⋯ x 2 m ⋮ ⋮ ⋱ ⋮ x p 1 x p 2 ⋯ x p m ] \boldsymbol{X}_{p\times m}=\left[ \begin{matrix} x_{11}& x_{12}& \cdots& x_{1m}\\ x_{21}& x_{22}& \cdots& x_{2m}\\ \vdots& \vdots& \ddots& \vdots\\ x_{p1}& x_{p2}& \cdots& x_{pm}\\ \end{matrix} \right] Xp×m= x11x21xp1x12x22xp2x1mx2mxpm
有:
∂ F ( X ) ∂ X = [ ∂ F ( X ) ∂ x 11 ∂ F ( X ) ∂ x 12 ⋯ ∂ F ( X ) ∂ x 1 m ∂ F ( X ) ∂ x 21 ∂ F ( X ) ∂ x 22 ⋯ ∂ F ( X ) ∂ x 2 m ⋮ ⋮ ⋱ ⋮ ∂ F ( X ) ∂ x p 1 ∂ F ( X ) ∂ x p 2 ⋯ ∂ F ( X ) ∂ x p m ] \frac{\partial \boldsymbol{F}\left( \boldsymbol{X} \right)}{\partial \boldsymbol{X}}=\left[ \begin{matrix} \frac{\partial \boldsymbol{F}\left( \boldsymbol{X} \right)}{\partial x_{11}}& \frac{\partial \boldsymbol{F}\left( \boldsymbol{X} \right)}{\partial x_{12}}& \cdots& \frac{\partial \boldsymbol{F}\left( \boldsymbol{X} \right)}{\partial x_{1m}}\\ \\ \frac{\partial \boldsymbol{F}\left( \boldsymbol{X} \right)}{\partial x_{21}}& \frac{\partial \boldsymbol{F}\left( \boldsymbol{X} \right)}{\partial x_{22}}& \cdots& \frac{\partial \boldsymbol{F}\left( \boldsymbol{X} \right)}{\partial x_{2m}}\\ \\ \vdots& \vdots& \ddots& \vdots\\ \\ \frac{\partial \boldsymbol{F}\left( \boldsymbol{X} \right)}{\partial x_{p1}}& \frac{\partial \boldsymbol{F}\left( \boldsymbol{X} \right)}{\partial x_{p2}}& \cdots& \frac{\partial \boldsymbol{F}\left( \boldsymbol{X} \right)}{\partial x_{pm}}\\ \end{matrix} \right] XF(X)= x11F(X)x21F(X)xp1F(X)x12F(X)x22F(X)xp2F(X)x1mF(X)x2mF(X)xpmF(X)
对于每个分块矩阵,有:
[ ∂ F ( x ) ∂ x i j ] = [ ∂ f 11 ( X ) ∂ x i j ∂ f 12 ( X ) ∂ x i j ⋯ ∂ f 1 l ( X ) ∂ x i j ∂ f 21 ( X ) ∂ x i j ∂ f 22 ( X ) ∂ x i j ⋯ ∂ f 2 l ( X ) ∂ x i j ⋮ ⋮ ⋱ ⋮ ∂ f n 1 ( X ) ∂ x i j ∂ f n 2 ( X ) ∂ x i j ⋯ ∂ f n l ( X ) ∂ x i j ] \left[ \frac{\partial \boldsymbol{F}\left( \boldsymbol{x} \right)}{\partial x_{ij}} \right] =\left[ \begin{matrix} \frac{\partial f_{11}\left( \boldsymbol{X} \right)}{\partial x_{ij}}& \frac{\partial f_{12}\left( \boldsymbol{X} \right)}{\partial x_{ij}}& \cdots& \frac{\partial f_{1l}\left( \boldsymbol{X} \right)}{\partial x_{ij}}\\ \\ \frac{\partial f_{21}\left( \boldsymbol{X} \right)}{\partial x_{ij}}& \frac{\partial f_{22}\left( \boldsymbol{X} \right)}{\partial x_{ij}}& \cdots& \frac{\partial f_{2l}\left( \boldsymbol{X} \right)}{\partial x_{ij}}\\ \\ \vdots& \vdots& \ddots& \vdots\\ \\ \frac{\partial f_{n1}\left( \boldsymbol{X} \right)}{\partial x_{ij}}& \frac{\partial f_{n2}\left( \boldsymbol{X} \right)}{\partial x_{ij}}& \cdots& \frac{\partial f_{nl}\left( \boldsymbol{X} \right)}{\partial x_{ij}}\\ \end{matrix} \right] [xijF(x)]= xijf11(X)xijf21(X)xijfn1(X)xijf12(X)xijf22(X)xijfn2(X)xijf1l(X)xijf2l(X)xijfnl(X)
易知 ∂ F ( X ) ∂ X \frac{\partial \boldsymbol{F}\left( \boldsymbol{X} \right)}{\partial \boldsymbol{X}} XF(X)的结果为 p n × m l pn\times ml pn×ml维矩阵。

参考文献

[1] 向量对矩阵求导
[2] 向量,标量对向量求导数

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