常用矩阵求导公式，逆矩阵求导

常用矩阵求导

• $$\frac{\partial \beta \mathbf{x}}{\partial \mathbf{x}}=\beta$$

• $$\frac{\partial {\mathbf{x}}^T\mathbf{a}}{\partial \mathbf{x}}=\frac{\partial {\mathbf{a}}^T\mathbf{x}}{\partial \mathbf{x}}=\mathbf{a}$$
  证明：
  

• $$\frac{\partial {\mathbf{x}}^T\mathbf{x}}{\partial \mathbf{x}}=2\mathbf{x}$$

• $$\frac{\partial {\mathbf{x}}^{T}A\mathbf{x}}{\partial \mathbf{x}}=(A+A^T)\mathbf{x}$$

• $$tr(a)=a$$

• $$tr(AB)=tr(BA)$$

• $$tr(ABC)=tr(CAB)=tr(BCA)$$

• $$tr(A)=tr(A^T)$$

• $$\frac{\partial tr(AB)}{\partial A}=B^T$$

• $$\frac{\partial tr(AB{A}^{T}C)}{\partial A}=CAB+C^{T}A{B}^T$$

逆矩阵求导

两种方法：

• 直接法
  $$\begin{array}{rl}\frac{d{X}^{-1}}{dx}& =\underset{\Delta X\to 0}{\lim }\frac{(X+\Delta X{)}^{-1}-X^{-1}}{\Delta x}\\ & =\underset{\Delta X\to 0}{\lim }\frac{(X+\Delta X{)}^{-1}X{X}^{-1}-(X+\Delta X{)}^{-1}(X+\Delta X)X^{-1}}{\Delta x}\\ & =\underset{\Delta X\to 0}{\lim }(X+\Delta X{)}^{-1}\frac{X-(X+\Delta X)}{\Delta x}{X}^{-1}\\ & =\underset{\Delta X\to 0}{\lim }(X+\Delta X{)}^{-1}\frac{-\Delta X}{\Delta x}{X}^{-1}\\ & =-(X+\Delta X{)}^{-1}\underset{\Delta X\to 0}{\lim }\frac{\Delta X}{\Delta x}{X}^{-1}\\ & =-X^{-1}\underset{\Delta X\to 0}{\lim }\frac{\Delta X}{\Delta x}{X}^{-1}\\ & =-X^{-1}\frac{dX}{dx}{X}^{-1}\end{array}$$

• 利用$0=(X{X}^{-1}{)}^{{}^{\prime }}$
  $$\begin{array}{rl}0& =(X{X}^{-1}{)}^{{}^{\prime }}=X^{{}^{\prime }}{X}^{-1}+X(X^{-1}{)}^{{}^{\prime }}\end{array}$$
  Then,
  $$\Rightarrow (X^{-1}{)}^{{}^{\prime }}=-X^{-1}{X}^{{}^{\prime }}{X}^{-1}$$