本系列主要参考张贤达的《矩阵分析与应用》第三章 矩阵微分和下面的博客内容进行学习,并整理成学习笔记。学习路线参考SinclairWang的文章——矩阵求导入门学习路线,按下面推荐顺序学习,效果更佳。
简介 | 链接 |
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矩阵求导——本质篇:矩阵求导中分子布局、分母布局的本质 | https://zhuanlan.zhihu.com/p/263777564 |
矩阵求导——基础篇:基本的向量/矩阵变元的实值标量函数的求导 | https://zhuanlan.zhihu.com/p/273729929 |
矩阵求导——进阶篇: 矩阵的迹 t r ( A ) tr(\pmb{A}) tr(AAA) 与一阶实矩阵微分 d X d\pmb{X} dXXX | https://zhuanlan.zhihu.com/p/288541909 |
矩阵求导术(上):标量对矩阵的求导 | https://zhuanlan.zhihu.com/p/24709748 |
矩阵求导术(下):矩阵对矩阵的求导 | https://zhuanlan.zhihu.com/p/24863977 |
矩阵微分(Matrix Differential)也称矩阵求导(Matrix Derivative),在机器学习、图像处理、最优化等领域的公式推导过程中经常用到。本篇将对各种形式下的矩阵求导进行简单的介绍。
本文使用小写字母 x x x 表示标量,粗体小写字母 x \pmb{x} xxx 表示(列)向量,粗体大写字母 X \pmb{X} XXX 表示矩阵。
1 引言
本篇主要讨论实值标量函数、实值向量函数和实值矩阵函数相对于实向量变元或矩阵变元的偏导。为了方便理解,首先对变元和函数作统一的符号规定:
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\pmb{X}=[\pmb{x_1},\pmb{x_2},\cdots,\pmb{x_n}]^T \in \mathbb{R}^{m \times n}
XXX=[x1x1x1,x2x2x2,⋯,xnxnxn]T∈Rm×n 为实矩阵变元。
实值函数,是指这样的函数 f ( X ) : X → Y f(X): X \to Y f(X):X→Y,其中 Y Y Y 是实数集 R R R, X X X 可以是复数域的子集。“实值函数”是指函数值是“实数”,不可以取虚数或 ± ∞ ±\infty ±∞ 的。实值函数有以下分类:
函数类型\变元类型 | 标量变元 x ∈ R x \in \mathbb{R} x∈R | 向量变元 x ∈ R m \boldsymbol{x} \in \mathbb{R}^m x∈Rm | 矩阵变元 X ∈ R m × n \boldsymbol{X} \in \mathbb{R}^{m \times n} X∈Rm×n |
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标量函数 f ∈ R f \in \mathbb{R} f∈R | f ( x ) { f : R → R } f(x) \quad \{f: \mathbb{R} \to \mathbb{R}\} f(x){f:R→R} | f ( x ) { f : R m → R } f(\boldsymbol{x}) \quad \{ f: \mathbb{R}^m \to \mathbb{R}\} f(x){f:Rm→R} | f ( X ) { f : R m × n → R } f(\boldsymbol{X}) \quad \{ f: \mathbb{R}^{m \times n} \to \mathbb{R}\} f(X){f:Rm×n→R} |
向量函数 f ∈ R p \boldsymbol{f} \in \mathbb{R}^p f∈Rp | f ( x ) { f : R → R p } \boldsymbol{f}(x) \quad \{\boldsymbol{f}: \mathbb{R} \to \mathbb{R}^p\} f(x){f:R→Rp} | f ( x ) { f : R m → R p } \boldsymbol{f}(\boldsymbol{x}) \quad \{\boldsymbol{f}: \mathbb{R}^m \to \mathbb{R}^p\} f(x){f:Rm→Rp} | f ( X ) { f : R m × n → R p } \boldsymbol{f}(\boldsymbol{X}) \quad \{\boldsymbol{f}: \mathbb{R}^{m \times n} \to \mathbb{R}^{p}\} f(X){f:Rm×n→Rp} |
矩阵函数 F ∈ R p × q \boldsymbol{F} \in \mathbb{R}^{p \times q} F∈Rp×q | F ( x ) { F : R → R p × q } \boldsymbol{F}(x) \quad \{\boldsymbol{F}: \mathbb{R} \to \mathbb{R}^{p \times q}\} F(x){F:R→Rp×q} | F ( x ) { F : R m → R p × q } \boldsymbol{F}(\boldsymbol{x}) \quad \{\boldsymbol{F}: \mathbb{R}^m \to \mathbb{R}^{p \times q}\} F(x){F:Rm→Rp×q} | F ( X ) { F : R m × n → R p × q } \boldsymbol{F}(\boldsymbol{X}) \quad \{\boldsymbol{F}: \mathbb{R}^{m \times n} \to \mathbb{R}^{p \times q}\} F(X){F:Rm×n→Rp×q} |
矩阵微分是实函数微分对矩阵函数的推广,矩阵求导为标量函数,向量函数和矩阵函数的梯度矩阵与Hessian矩阵的计算提供了便捷的算法。
2 定义
2.1 引入
在高数里,我们学习过多元函数求偏导,如:
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f(x_1, x_2, x_3) = (x_1)^2+(x_2)^2+(x_3)^2+x_1x_2x_3
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\begin{cases} \frac{\partial f}{\partial x_1} = 2x_1+ x_2x_3 \\ \frac{\partial f}{\partial x_2} = 2x_2+ x_1x_3 \\ \frac{\partial f}{\partial x_3} = 2x_3+ x_1x_2 \\ \end{cases} \tag{2-1}
⎩⎪⎨⎪⎧∂x1∂f=2x1+x2x3∂x2∂f=2x2+x1x3∂x3∂f=2x3+x1x2(2-1)
并把这组标量写成向量的形式,即可得到一个标量
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所谓的矩阵求导本质上就是把因变量的每个元素逐个对自变量的元素求导,并把求导的结果排列成了矩阵的形式。但逐元素求导破坏了整体性,使用矩阵运算也更整洁。所以在求导时不宜拆开矩阵,而是要找一个从整体出发的算法。
根据求导的自变量和因变量是标量,向量还是矩阵,我们有9种可能的矩阵求导定义,如下:
因变量\自变量 | 标量 x x x | 向量 x \pmb{x} xxx | 矩阵 X \pmb{X} XXX |
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标量 f f f | ∂ f ∂ x \frac{\partial f}{\partial x} ∂x∂f | ∂ f ∂ x \dfrac{\partial {f}}{\partial \boldsymbol{x}} ∂x∂f | ∂ f ∂ X \dfrac{\partial {f}}{\partial \boldsymbol{X}} ∂X∂f |
向量 f \boldsymbol{f} f | ∂ f ∂ x \frac{\partial \boldsymbol{f}}{\partial {x}} ∂x∂f | ∂ f ∂ x \dfrac{ \partial \boldsymbol{f}}{\partial \boldsymbol{x}} ∂x∂f | ∂ F ∂ X \dfrac{ \partial \boldsymbol{F}}{\partial \boldsymbol{X}} ∂X∂F |
矩阵 F \boldsymbol{F} F | ∂ F ∂ x \dfrac{\partial \boldsymbol{F}}{\partial {x}} ∂x∂F | ∂ F ∂ x \dfrac{ \partial \boldsymbol{F}}{\partial \boldsymbol{x}} ∂x∂F | ∂ F ∂ X \dfrac{ \partial \boldsymbol{F}}{\partial \boldsymbol{X}} ∂X∂F |
这里我们主要以实值标量函数对向量变元、矩阵变元和矩阵函数对矩阵的求导为主。
2.2 矩阵向量求导布局
对于上面多元函数求导的例子,也许会想是写成行向量还是列向量的形式呢?当分子分母都是向量,且一个是行向量,另一个是列向量,或者分子分母一个是标量,另一个是行向量或列向量,我们才会讨论求导的布局。最基本的求导布局有两个:分子布局(numerator layout)和分母布局(denominator layout )。
对于分子布局来说,我们求导结果的维度以分子为主,即结果的维度和分子的维度是一致的。对于分母布局来说,我们求导结果的维度以分母为主。但是对于某一种求导类型,不能同时使用分子布局和分母布局求导。通常,对于分子布局和分母布局的结果来说,两者相差一个转置。 在实际应用中,一般来说我们会使用一种叫混合布局的思路,即如果是向量或者矩阵对标量求导,则使用分子布局为准,如果是标量对向量或者矩阵求导,则以分母布局为准。下面分析具体的矩阵求导结果布局。
2.2.1 向量变元的实值标量函数
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f(xxx),xxx=[x1,x2,⋯,xm]T,定义行向量偏导算子为:
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D_{\boldsymbol{x}} \overset{def}{=} \dfrac{\partial}{\partial \boldsymbol{x}^T} = \left[ \frac{\partial}{\partial x_1}, \frac{\partial}{\partial x_2}, \cdots, \frac{\partial}{\partial x_m} \right] \tag{2-2}
Dx=def∂xT∂=[∂x1∂,∂x2∂,⋯,∂xm∂](2-2)
列向量偏导算子即梯度算子定义为:
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\nabla_{\boldsymbol{x}} \overset{def}{=} \dfrac{\partial}{\partial \boldsymbol{x}} = \left[ \frac{\partial}{\partial x_1}, \frac{\partial}{\partial x_2}, \cdots, \frac{\partial}{\partial x_m} \right]^T \tag{2-3}
∇x=def∂x∂=[∂x1∂,∂x2∂,⋯,∂xm∂]T(2-3)
1. 行向量偏导形式
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\text{D}_{\boldsymbol{x}}f(\pmb{x})= \frac{\partial f(\pmb{x})}{\partial \pmb{x}^T}= \left[ \frac{\partial f}{\partial x_1}, \frac{\partial f}{\partial x_2}, \cdots, \frac{\partial f}{\partial x_m} \right] \tag{2-4}
Dxf(xxx)=∂xxxT∂f(xxx)=[∂x1∂f,∂x2∂f,⋯,∂xm∂f](2-4)
式(2-4)又称为行偏导向量形式,为了方便,下面统一称作行向量偏导形式。
2. 梯度向量形式
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\nabla_{\boldsymbol{x}}f(\pmb{x})= \frac{\partial f(\pmb{x})}{\partial \pmb{x}}= \left[ \frac{\partial f}{\partial x_1}, \frac{\partial f}{\partial x_2}, \cdots, \frac{\partial f}{\partial x_m} \right]^T \tag{2-5}
∇xf(xxx)=∂xxx∂f(xxx)=[∂x1∂f,∂x2∂f,⋯,∂xm∂f]T(2-5)
式(2-5)又称为列向量偏导形式或列偏导向量形式,为了方便,下面统一称作梯度向量形式。可以看到式(2-4)和(2-5)互为转置。
2.2.2 向量变元的实向量函数
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f(\pmb{x}) = [f_1,f_2,\cdots,f_n]^T,\pmb{x}=[x_1,x_2,\cdots,x_m]^T
f(xxx)=[f1,f2,⋯,fn]T,xxx=[x1,x2,⋯,xm]T
分子布局(Jacobian 矩阵形式),就是分子是列向量形式,分母是行向量形式,即:
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\frac{\partial \pmb{f}_{n\times1}(\pmb{x})}{\partial \pmb{x}^T_{m\times1}}= \begin{bmatrix} \frac{\partial f_1}{\partial x_{1}} & \frac{\partial f_1}{\partial x_{2}} & \cdots&\frac{\partial f_1}{\partial x_{m}} \\ \quad \\ \frac{\partial f_2}{\partial x_{1}} & \frac{\partial f_2}{\partial x_{2}} & \cdots & \frac{\partial f_2}{\partial x_{m}}\\ \vdots & \vdots & \vdots & \vdots\\ \frac{\partial f_n} {\partial x_{1}} & \frac{\partial f_n}{\partial x_{2}} & \cdots &\frac{\partial f_n}{\partial x_{m}} \end{bmatrix}_{n \times m} \tag{2-6}
∂xxxm×1T∂fffn×1(xxx)=⎣⎢⎢⎢⎢⎢⎢⎡∂x1∂f1∂x1∂f2⋮∂x1∂fn∂x2∂f1∂x2∂f2⋮∂x2∂fn⋯⋯⋮⋯∂xm∂f1∂xm∂f2⋮∂xm∂fn⎦⎥⎥⎥⎥⎥⎥⎤n×m(2-6)
分母布局(梯度矩阵形式),就是分母是列向量形式,分子是行向量形式,即:
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\frac{\partial \pmb{f}_{n\times1}^T(\pmb{x})}{\partial \pmb{x}_{m\times1}}= \begin{bmatrix} \frac{\partial f_1}{\partial x_{1}} & \frac{\partial f_2}{\partial x_{1}} & \cdots&\frac{\partial f_n}{\partial x_{1}} \\ \quad \\ \frac{\partial f_1}{\partial x_{2}} & \frac{\partial f_2}{\partial x_{2}} & \cdots & \frac{\partial f_n}{\partial x_{2}}\\ \vdots & \vdots & \vdots & \vdots\\ \frac{\partial f_1} {\partial x_{m}} & \frac{\partial f_2}{\partial x_{m}} & \cdots &\frac{\partial f_n}{\partial x_{m}} \end{bmatrix}_{m \times n} \tag{2-7}
∂xxxm×1∂fffn×1T(xxx)=⎣⎢⎢⎢⎢⎢⎢⎡∂x1∂f1∂x2∂f1⋮∂xm∂f1∂x1∂f2∂x2∂f2⋮∂xm∂f2⋯⋯⋮⋯∂x1∂fn∂x2∂fn⋮∂xm∂fn⎦⎥⎥⎥⎥⎥⎥⎤m×n(2-7)
2.2.3 矩阵变元的实值标量函数
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f(\pmb{X}),\pmb{X}_{m\times n}=(x_{ij})_{i=1,j=1}^{m,n}
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这里引入一个新的概念,矩阵
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\text{vec}({\pmb{X})}= \left[ x_{11},x_{21},\cdots,x_{m1},x_{12},x_{22},\cdots,x_{m2},\cdots,x_{1n},x_{2n},\cdots,x_{mn} \right]^T \tag{2-8}
vec(XXX)=[x11,x21,⋯,xm1,x12,x22,⋯,xm2,⋯,x1n,x2n,⋯,xmn]T(2-8)
矩阵
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rvec(XXX) 表示,定义为:
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\text{rvec}({\pmb{X})}= \left[ x_{11},x_{12},\cdots,x_{1n},x_{21},x_{22},\cdots,x_{2n},\cdots,x_{m1},x_{m2},\cdots,x_{mn} \right]
rvec(XXX)=[x11,x12,⋯,x1n,x21,x22,⋯,x2n,⋯,xm1,xm2,⋯,xmn]
矩阵的向量化和行向量化之间存在下列关系:
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rvec(XXX)=(vec(XXXT))T,vec(XXXT)=(rvec(XXX))T
1. 行向量偏导形式
先把矩阵变元
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(2-9)
\begin{aligned} \text{D}_{\text{vec}\boldsymbol{X}}f(\pmb{X})&= \frac{\partial f(\pmb{X})}{\partial \text{vec}^T(\pmb{X})} \\\\ &= \left[ \frac{\partial f}{\partial x_{11}},\frac{\partial f}{\partial x_{21}},\cdots,\frac{\partial f}{\partial x_{m1}},\frac{\partial f}{\partial x_{12}},\frac{\partial f}{\partial x_{22}},\cdots,\frac{\partial f}{\partial x_{m2}},\cdots,\frac{\partial f} {\partial x_{1n}},\frac{\partial f}{\partial x_{2n}},\cdots,\frac{\partial f}{\partial x_{mn}} \right] \end{aligned} \tag{2-9}
DvecXf(XXX)=∂vecT(XXX)∂f(XXX)=[∂x11∂f,∂x21∂f,⋯,∂xm1∂f,∂x12∂f,∂x22∂f,⋯,∂xm2∂f,⋯,∂x1n∂f,∂x2n∂f,⋯,∂xmn∂f](2-9)
2. Jacobian 矩阵形式
先把矩阵变元
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\boldsymbol{X}
X 进行转置,再对转置后的每个位置的元素逐个求偏导,结果布局和转置布局一样。
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(2-10)
\begin{aligned} \text{D}_{\boldsymbol{X}}f(\pmb{X})&= \frac{\partial f(\pmb{X})}{\partial \pmb{X}^T_{m\times n}} &= \begin{bmatrix} \frac{\partial f}{\partial x_{11}}&\frac{\partial f}{\partial x_{21}}&\cdots&\frac{\partial f}{\partial x_{m1}} \\ \\ \quad \frac{\partial f}{\partial x_{12}}&\frac{\partial f}{\partial x_{22}}& \cdots & \frac{\partial f}{\partial x_{m2}}\\ \vdots&\vdots&\vdots&\vdots\\ \frac{\partial f} {\partial x_{1n}}&\frac{\partial f}{\partial x_{2n}}&\cdots&\frac{\partial f}{\partial x_{mn}}\end{bmatrix}_{n\times m} \end{aligned} \tag{2-10}
DXf(XXX)=∂XXXm×nT∂f(XXX)=⎣⎢⎢⎢⎢⎢⎢⎡∂x11∂f∂x12∂f⋮∂x1n∂f∂x21∂f∂x22∂f⋮∂x2n∂f⋯⋯⋮⋯∂xm1∂f∂xm2∂f⋮∂xmn∂f⎦⎥⎥⎥⎥⎥⎥⎤n×m(2-10)
3. 梯度向量形式
先把矩阵变元
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\boldsymbol{X}
X 按
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vec 向量化,转换成向量变元,再对该变元使用式(2-5):
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(2-11)
\begin{aligned} \nabla_{\text{vec}\boldsymbol{X}}f(\pmb{X})&= \frac{\partial f(\pmb{X})}{\partial \text{vec}\pmb{X}} \\\\ &= \left[ \frac{\partial f}{\partial x_{11}},\frac{\partial f}{\partial x_{21}},\cdots,\frac{\partial f}{\partial x_{m1}},\frac{\partial f}{\partial x_{12}},\frac{\partial f}{\partial x_{22}},\cdots,\frac{\partial f}{\partial x_{m2}},\cdots,\frac{\partial f} {\partial x_{1n}},\frac{\partial f}{\partial x_{2n}},\cdots,\frac{\partial f}{\partial x_{mn}} \right]^T \end{aligned} \tag{2-11}
∇vecXf(XXX)=∂vecXXX∂f(XXX)=[∂x11∂f,∂x21∂f,⋯,∂xm1∂f,∂x12∂f,∂x22∂f,⋯,∂xm2∂f,⋯,∂x1n∂f,∂x2n∂f,⋯,∂xmn∂f]T(2-11)
4. 梯度矩阵形式
直接对原矩阵变元
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\boldsymbol{X}
X 的每个位置的元素逐个求偏导,结果布局和原矩阵布局一样。
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(2-12)
\begin{aligned} \nabla_{\boldsymbol{X}}f(\pmb{X}) &= \frac{\partial f(\pmb{X})}{\partial \pmb{X}_{m\times n}} &= \begin{bmatrix} \frac{\partial f}{\partial x_{11}} & \frac{\partial f}{\partial x_{12}} & \cdots&\frac{\partial f}{\partial x_{1n}} \\ \quad \\ \frac{\partial f}{\partial x_{21}} & \frac{\partial f}{\partial x_{22}} & \cdots & \frac{\partial f}{\partial x_{2n}}\\ \vdots & \vdots & \vdots & \vdots\\ \frac{\partial f} {\partial x_{m1}} & \frac{\partial f}{\partial x_{m2}} & \cdots &\frac{\partial f}{\partial x_{mn}} \end{bmatrix}_{m\times n} \end{aligned} \tag{2-12}
∇Xf(XXX)=∂XXXm×n∂f(XXX)=⎣⎢⎢⎢⎢⎢⎢⎡∂x11∂f∂x21∂f⋮∂xm1∂f∂x12∂f∂x22∂f⋮∂xm2∂f⋯⋯⋮⋯∂x1n∂f∂x2n∂f⋮∂xmn∂f⎦⎥⎥⎥⎥⎥⎥⎤m×n(2-12)
小结: 由上面的定义,我们可以发现当矩阵变元
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xxx=[x1,x2,⋯,xn]T 时,式(2-4)、(2-9)、(2-10)相等,式(2-5)、(2-11)、(2-12)相等。所以说,对于向量变元的实值标量函数
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xxx=[x1,x2,⋯,xn]T,结果布局本质上有两种形式,一种是Jacobian
矩阵(已经成行向量了)形式,一种是梯度矩阵(已经成列向量了)形式。两种形式互为转置。一句话概括,就是向量变元的实值标量函数是矩阵变元的实值标量函数的特例(变元由矩阵变为向量)。
2.2.4 矩阵变元的实矩阵函数
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\pmb{F}(\pmb{X}),\pmb{X}_{m\times n}=(x_{ij})_{i=1,j=1}^{m,n},\pmb{F}_{p\times q}=(f_{ij})_{i=1,j=1}^{p,q}
FFF(XXX),XXXm×n=(xij)i=1,j=1m,n,FFFp×q=(fij)i=1,j=1p,q
1. Jacobian 矩阵形式
同样先把矩阵变元
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\boldsymbol{X}
X 按
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vec 向量化,转换成向量变元:
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(2-13)
\text{vec}({\pmb{X})}= \left[ x_{11},x_{21},\cdots,x_{m1},x_{12},x_{22},\cdots,x_{m2},\cdots,x_{1n},x_{2n},\cdots,x_{mn} \right]^T \tag{2-13}
vec(XXX)=[x11,x21,⋯,xm1,x12,x22,⋯,xm2,⋯,x1n,x2n,⋯,xmn]T(2-13)
再把实矩阵函数
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\boldsymbol{F}
F 按
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vec 向量化,转换成实向量函数:
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(2-14)
\text{vec}({\pmb{F}(\pmb{X}))} = \left[ f_{11}(\pmb{X}),f_{21}(\pmb{X}),\cdots,f_{p1}(\pmb{X}),f_{12}(\pmb{X}),f_{22}(\pmb{X}),\cdots,f_{p2}(\pmb{X}),\cdots,f_{1q}(\pmb{X}),f_{2q}(\pmb{X}),\cdots,f_{pq}(\pmb{X}) \right]^T \tag{2-14}
vec(FFF(XXX))=[f11(XXX),f21(XXX),⋯,fp1(XXX),f12(XXX),f22(XXX),⋯,fp2(XXX),⋯,f1q(XXX),f2q(XXX),⋯,fpq(XXX)]T(2-14)
这样,我们就把一个矩阵变元的实矩阵函数
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FFF(XXX),转换成了向量变元的实向量函数
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fff(XXX) 。接着,对照式(2-2)写出结果布局为
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(2-15)
\begin{aligned} \text{D}_{\boldsymbol{X}}\pmb{F}(\pmb{X}) &=\frac{\partial \text{vec}_{pq\times 1}(\pmb{F}_{}(\pmb{X}))}{\partial \text{vec}^T_{mn\times 1}\pmb{X}} \\\\ &= \begin{bmatrix} \frac{\partial f_{11}}{\partial x_{11}}&\frac{\partial f_{11}}{\partial x_{21}}&\cdots&\frac{\partial f_{11}}{\partial x_{m1}}&\frac{\partial f_{11}}{\partial x_{12}}&\frac{\partial f_{11}}{\partial x_{22}}&\cdots&\frac{\partial f_{11}}{\partial x_{m2}}&\cdots&\frac{\partial f_{11}}{\partial x_{1n}}&\frac{\partial f_{11}}{\partial x_{2n}}&\cdots&\frac{\partial f_{11}}{\partial x_{mn}}\\ \\ \quad \frac{\partial f_{21}}{\partial x_{11}}&\frac{\partial f_{21}}{\partial x_{21}}&\cdots&\frac{\partial f_{21}}{\partial x_{m1}}&\frac{\partial f_{21}}{\partial x_{12}}&\frac{\partial f_{21}}{\partial x_{22}}&\cdots&\frac{\partial f_{21}}{\partial x_{m2}}&\cdots&\frac{\partial f_{21}}{\partial x_{1n}}&\frac{\partial f_{21}}{\partial x_{2n}}&\cdots&\frac{\partial f_{21}}{\partial x_{mn}} \\ \vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots\\ \frac{\partial f_{p1}}{\partial x_{11}}&\frac{\partial f_{p1}}{\partial x_{21}}&\cdots&\frac{\partial f_{p1}}{\partial x_{m1}}&\frac{\partial f_{p1}}{\partial x_{12}}&\frac{\partial f_{p1}}{\partial x_{22}}&\cdots&\frac{\partial f_{p1}}{\partial x_{m2}}&\cdots&\frac{\partial f_{p1}}{\partial x_{1n}}&\frac{\partial f_{p1}}{\partial x_{2n}}&\cdots&\frac{\partial f_{p1}}{\partial x_{mn}}\\ \\ \quad \frac{\partial f_{12}}{\partial x_{11}}&\frac{\partial f_{12}}{\partial x_{21}}&\cdots&\frac{\partial f_{12}}{\partial x_{m1}}&\frac{\partial f_{12}}{\partial x_{12}}&\frac{\partial f_{12}}{\partial x_{22}}&\cdots&\frac{\partial f_{12}}{\partial x_{m2}}&\cdots&\frac{\partial f_{12}}{\partial x_{1n}}&\frac{\partial f_{12}}{\partial x_{2n}}&\cdots&\frac{\partial f_{12}}{\partial x_{mn}}\\ \\ \quad \frac{\partial f_{22}}{\partial x_{11}}&\frac{\partial f_{22}}{\partial x_{21}}&\cdots&\frac{\partial f_{22}}{\partial x_{m1}}&\frac{\partial f_{22}}{\partial x_{12}}&\frac{\partial f_{22}}{\partial x_{22}}&\cdots&\frac{\partial f_{22}}{\partial x_{m2}}&\cdots&\frac{\partial f_{22}}{\partial x_{1n}}&\frac{\partial f_{22}}{\partial x_{2n}}&\cdots&\frac{\partial f_{22}}{\partial x_{mn}}\\ \vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots\\ \frac{\partial f_{p2}}{\partial x_{11}}&\frac{\partial f_{p2}}{\partial x_{21}}&\cdots&\frac{\partial f_{p2}}{\partial x_{m1}}&\frac{\partial f_{p2}}{\partial x_{12}}&\frac{\partial f_{p2}}{\partial x_{22}}&\cdots&\frac{\partial f_{p2}}{\partial x_{m2}}&\cdots&\frac{\partial f_{p2}}{\partial x_{1n}}&\frac{\partial f_{p2}}{\partial x_{2n}}&\cdots&\frac{\partial f_{p2}}{\partial x_{mn}}\\ \vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots\\ \frac{\partial f_{1q}}{\partial x_{11}}&\frac{\partial f_{1q}}{\partial x_{21}}&\cdots&\frac{\partial f_{1q}}{\partial x_{m1}}&\frac{\partial f_{1q}}{\partial x_{12}}&\frac{\partial f_{1q}}{\partial x_{22}}&\cdots&\frac{\partial f_{1q}}{\partial x_{m2}}&\cdots&\frac{\partial f_{1q}}{\partial x_{1n}}&\frac{\partial f_{1q}}{\partial x_{2n}}&\cdots&\frac{\partial f_{1q}}{\partial x_{mn}}\\ \\ \quad \frac{\partial f_{2q}}{\partial x_{11}}&\frac{\partial f_{2q}}{\partial x_{21}}&\cdots&\frac{\partial f_{2q}}{\partial x_{m1}}&\frac{\partial f_{2q}}{\partial x_{12}}&\frac{\partial f_{2q}}{\partial x_{22}}&\cdots&\frac{\partial f_{2q}}{\partial x_{m2}}&\cdots&\frac{\partial f_{2q}}{\partial x_{1n}}&\frac{\partial f_{2q}}{\partial x_{2n}}&\cdots&\frac{\partial f_{2q}}{\partial x_{mn}}\\ \vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots\\ \frac{\partial f_{pq}}{\partial x_{11}}&\frac{\partial f_{pq}}{\partial x_{21}}&\cdots&\frac{\partial f_{pq}}{\partial x_{m1}}&\frac{\partial f_{pq}}{\partial x_{12}}&\frac{\partial f_{pq}}{\partial x_{22}}&\cdots&\frac{\partial f_{pq}}{\partial x_{m2}}&\cdots&\frac{\partial f_{pq}}{\partial x_{1n}}&\frac{\partial f_{pq}}{\partial x_{2n}}&\cdots&\frac{\partial f_{pq}}{\partial x_{mn}} \end{bmatrix}_{pq\times mn} \end{aligned} \tag{2-15}
DXFFF(XXX)=∂vecmn×1TXXX∂vecpq×1(FFF(XXX))=⎣⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎡∂x11∂f11∂x11∂f21⋮∂x11∂fp1∂x11∂f12∂x11∂f22⋮∂x11∂fp2⋮∂x11∂f1q∂x11∂f2q⋮∂x11∂fpq∂x21∂f11∂x21∂f21⋮∂x21∂fp1∂x21∂f12∂x21∂f22⋮∂x21∂fp2⋮∂x21∂f1q∂x21∂f2q⋮∂x21∂fpq⋯⋯⋮⋯⋯⋯⋮⋯⋮⋯⋯⋮⋯∂xm1∂f11∂xm1∂f21⋮∂xm1∂fp1∂xm1∂f12∂xm1∂f22⋮∂xm1∂fp2⋮∂xm1∂f1q∂xm1∂f2q⋮∂xm1∂fpq∂x12∂f11∂x12∂f21⋮∂x12∂fp1∂x12∂f12∂x12∂f22⋮∂x12∂fp2⋮∂x12∂f1q∂x12∂f2q⋮∂x12∂fpq∂x22∂f11∂x22∂f21⋮∂x22∂fp1∂x22∂f12∂x22∂f22⋮∂x22∂fp2⋮∂x22∂f1q∂x22∂f2q⋮∂x22∂fpq⋯⋯⋮⋯⋯⋯⋮⋯⋮⋯⋯⋮⋯∂xm2∂f11∂xm2∂f21⋮∂xm2∂fp1∂xm2∂f12∂xm2∂f22⋮∂xm2∂fp2⋮∂xm2∂f1q∂xm2∂f2q⋮∂xm2∂fpq⋯⋯⋮⋯⋯⋯⋮⋯⋮⋯⋯⋮⋯∂x1n∂f11∂x1n∂f21⋮∂x1n∂fp1∂x1n∂f12∂x1n∂f22⋮∂x1n∂fp2⋮∂x1n∂f1q∂x1n∂f2q⋮∂x1n∂fpq∂x2n∂f11∂x2n∂f21⋮∂x2n∂fp1∂x2n∂f12∂x2n∂f22⋮∂x2n∂fp2⋮∂x2n∂f1q∂x2n∂f2q⋮∂x2n∂fpq⋯⋯⋮⋯⋯⋯⋮⋯⋮⋯⋯⋮⋯∂xmn∂f11∂xmn∂f21⋮∂xmn∂fp1∂xmn∂f12∂xmn∂f22⋮∂xmn∂fp2⋮∂xmn∂f1q∂xmn∂f2q⋮∂xmn∂fpq⎦⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎤pq×mn(2-15)
2. 梯度矩阵形式
同样先把矩阵变元
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\boldsymbol{X}
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(2-16)
\text{vec}({\pmb{X})}= \left[ x_{11},x_{21},\cdots,x_{m1},x_{12},x_{22},\cdots,x_{m2},\cdots,x_{1n},x_{2n},\cdots,x_{mn} \right]^T \tag{2-16}
vec(XXX)=[x11,x21,⋯,xm1,x12,x22,⋯,xm2,⋯,x1n,x2n,⋯,xmn]T(2-16)
再把实矩阵函数
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\boldsymbol{F}
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(2-17)
\text{vec}({\pmb{F}(\pmb{X}))}= \left[ f_{11}(\pmb{X}),f_{21}(\pmb{X}),\cdots,f_{p1}(\pmb{X}),f_{12}(\pmb{X}),f_{22}(\pmb{X}),\cdots,f_{p2}(\pmb{X}),\cdots,f_{1q}(\pmb{X}),f_{2q}(\pmb{X}),\cdots,f_{pq}(\pmb{X}) \right]^T \tag{2-17}
vec(FFF(XXX))=[f11(XXX),f21(XXX),⋯,fp1(XXX),f12(XXX),f22(XXX),⋯,fp2(XXX),⋯,f1q(XXX),f2q(XXX),⋯,fpq(XXX)]T(2-17)
这样,我们就把一个矩阵变元的实矩阵函数
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FFF(XXX),转换成了向量变元的实向量函数
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\pmb{f}(\pmb{X})
fff(XXX) 。接着,对照式(2-3)写出结果布局为
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mn×pq 的矩阵:
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(2-18)
\begin{aligned} \nabla_{\boldsymbol{X}}\pmb{F}(\pmb{X}) &=\frac{\partial \text{vec}_{pq\times 1}^T(\pmb{F}_{}(\pmb{X}))}{\partial \text{vec}_{mn\times 1}\pmb{X}} \\\\ &= \begin{bmatrix} \frac{\partial f_{11}}{\partial x_{11}}&\frac{\partial f_{21}}{\partial x_{11}}&\cdots&\frac{\partial f_{p1}}{\partial x_{11}}&\frac{\partial f_{12}}{\partial x_{11}}&\frac{\partial f_{22}}{\partial x_{11}}&\cdots&\frac{\partial f_{p2}}{\partial x_{11}}&\cdots&\frac{\partial f_{1q}}{\partial x_{11}}&\frac{\partial f_{2q}}{\partial x_{11}}&\cdots&\frac{\partial f_{pq}}{\partial x_{11}}\\ \quad \\ \frac{\partial f_{11}}{\partial x_{21}}&\frac{\partial f_{21}}{\partial x_{21}}&\cdots&\frac{\partial f_{p1}}{\partial x_{21}}&\frac{\partial f_{12}}{\partial x_{21}}&\frac{\partial f_{22}}{\partial x_{21}}&\cdots&\frac{\partial f_{p2}}{\partial x_{21}}&\cdots&\frac{\partial f_{1q}}{\partial x_{21}}&\frac{\partial f_{2q}}{\partial x_{21}}&\cdots&\frac{\partial f_{pq}}{\partial x_{21}}\\ \vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots\\ \frac{\partial f_{11}}{\partial x_{m1}}&\frac{\partial f_{21}}{\partial x_{m1}}&\cdots&\frac{\partial f_{p1}}{\partial x_{m1}}&\frac{\partial f_{12}}{\partial x_{m1}}&\frac{\partial f_{22}}{\partial x_{m1}}&\cdots&\frac{\partial f_{p2}}{\partial x_{m1}}&\cdots&\frac{\partial f_{1q}}{\partial x_{m1}}&\frac{\partial f_{2q}}{\partial x_{m1}}&\cdots&\frac{\partial f_{pq}}{\partial x_{m1}}\\ \quad \\ \frac{\partial f_{11}}{\partial x_{12}}&\frac{\partial f_{21}}{\partial x_{12}}&\cdots&\frac{\partial f_{p1}}{\partial x_{12}}&\frac{\partial f_{12}}{\partial x_{12}}&\frac{\partial f_{22}}{\partial x_{12}}&\cdots&\frac{\partial f_{p2}}{\partial x_{12}}&\cdots&\frac{\partial f_{1q}}{\partial x_{12}}&\frac{\partial f_{2q}}{\partial x_{12}}&\cdots&\frac{\partial f_{pq}}{\partial x_{12}}\\ \quad \\ \frac{\partial f_{11}}{\partial x_{22}}&\frac{\partial f_{21}}{\partial x_{22}}&\cdots&\frac{\partial f_{p1}}{\partial x_{22}}&\frac{\partial f_{12}}{\partial x_{22}}&\frac{\partial f_{22}}{\partial x_{22}}&\cdots&\frac{\partial f_{p2}}{\partial x_{22}}&\cdots&\frac{\partial f_{1q}}{\partial x_{22}}&\frac{\partial f_{2q}}{\partial x_{22}}&\cdots&\frac{\partial f_{pq}}{\partial x_{22}}\\ \vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots\\ \frac{\partial f_{11}}{\partial x_{m2}}&\frac{\partial f_{21}}{\partial x_{m2}}&\cdots&\frac{\partial f_{p1}}{\partial x_{m2}}&\frac{\partial f_{12}}{\partial x_{m2}}&\frac{\partial f_{22}}{\partial x_{m2}}&\cdots&\frac{\partial f_{p2}}{\partial x_{m2}}&\cdots&\frac{\partial f_{1q}}{\partial x_{m2}}&\frac{\partial f_{2q}}{\partial x_{m2}}&\cdots&\frac{\partial f_{pq}}{\partial x_{m2}}\\ \vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots\\ \frac{\partial f_{11}}{\partial x_{1n}}&\frac{\partial f_{21}}{\partial x_{1n}}&\cdots&\frac{\partial f_{p1}}{\partial x_{1n}}&\frac{\partial f_{12}}{\partial x_{1n}}&\frac{\partial f_{22}}{\partial x_{1n}}&\cdots&\frac{\partial f_{p2}}{\partial x_{1n}}&\cdots&\frac{\partial f_{1q}}{\partial x_{1n}}&\frac{\partial f_{2q}}{\partial x_{1n}}&\cdots&\frac{\partial f_{pq}}{\partial x_{1n}}\\ \quad \\ \frac{\partial f_{11}}{\partial x_{2n}}&\frac{\partial f_{21}}{\partial x_{2n}}&\cdots&\frac{\partial f_{p1}}{\partial x_{2n}}&\frac{\partial f_{12}}{\partial x_{2n}}&\frac{\partial f_{22}}{\partial x_{2n}}&\cdots&\frac{\partial f_{p2}}{\partial x_{2n}}&\cdots&\frac{\partial f_{1q}}{\partial x_{2n}}&\frac{\partial f_{2q}}{\partial x_{2n}}&\cdots&\frac{\partial f_{pq}}{\partial x_{2n}}\\ \vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots&\vdots\\ \frac{\partial f_{11}}{\partial x_{mn}}&\frac{\partial f_{21}}{\partial x_{mn}}&\cdots&\frac{\partial f_{p1}}{\partial x_{mn}}&\frac{\partial f_{12}}{\partial x_{mn}}&\frac{\partial f_{22}}{\partial x_{mn}}&\cdots&\frac{\partial f_{p2}}{\partial x_{mn}}&\cdots&\frac{\partial f_{1q}}{\partial x_{mn}}&\frac{\partial f_{2q}}{\partial x_{mn}}&\cdots&\frac{\partial f_{pq}}{\partial x_{mn}} \end{bmatrix}_{mn \times pq} \end{aligned} \tag{2-18}
∇XFFF(XXX)=∂vecmn×1XXX∂vecpq×1T(FFF(XXX))=⎣⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎢⎡∂x11∂f11∂x21∂f11⋮∂xm1∂f11∂x12∂f11∂x22∂f11⋮∂xm2∂f11⋮∂x1n∂f11∂x2n∂f11⋮∂xmn∂f11∂x11∂f21∂x21∂f21⋮∂xm1∂f21∂x12∂f21∂x22∂f21⋮∂xm2∂f21⋮∂x1n∂f21∂x2n∂f21⋮∂xmn∂f21⋯⋯⋮⋯⋯⋯⋮⋯⋮⋯⋯⋮⋯∂x11∂fp1∂x21∂fp1⋮∂xm1∂fp1∂x12∂fp1∂x22∂fp1⋮∂xm2∂fp1⋮∂x1n∂fp1∂x2n∂fp1⋮∂xmn∂fp1∂x11∂f12∂x21∂f12⋮∂xm1∂f12∂x12∂f12∂x22∂f12⋮∂xm2∂f12⋮∂x1n∂f12∂x2n∂f12⋮∂xmn∂f12∂x11∂f22∂x21∂f22⋮∂xm1∂f22∂x12∂f22∂x22∂f22⋮∂xm2∂f22⋮∂x1n∂f22∂x2n∂f22⋮∂xmn∂f22⋯⋯⋮⋯⋯⋯⋮⋯⋮⋯⋯⋮⋯∂x11∂fp2∂x21∂fp2⋮∂xm1∂fp2∂x12∂fp2∂x22∂fp2⋮∂xm2∂fp2⋮∂x1n∂fp2∂x2n∂fp2⋮∂xmn∂fp2⋯⋯⋮⋯⋯⋯⋮⋯⋮⋯⋯⋮⋯∂x11∂f1q∂x21∂f1q⋮∂xm1∂f1q∂x12∂f1q∂x22∂f1q⋮∂xm2∂f1q⋮∂x1n∂f1q∂x2n∂f1q⋮∂xmn∂f1q∂x11∂f2q∂x21∂f2q⋮∂xm1∂f2q∂x12∂f2q∂x22∂f2q⋮∂xm2∂f2q⋮∂x1n∂f2q∂x2n∂f2q⋮∂xmn∂f2q⋯⋯⋮⋯⋯⋯⋮⋯⋮⋯⋯⋮⋯∂x11∂fpq∂x21∂fpq⋮∂xm1∂fpq∂x12∂fpq∂x22∂fpq⋮∂xm2∂fpq⋮∂x1n∂fpq∂x2n∂fpq⋮∂xmn∂fpq⎦⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎥⎤mn×pq(2-18)
小结: 通过对比发现,对于矩阵变元的实值标量函数和矩阵变元的实矩阵函数,结果布局都有四种形式,第一种是Jacobian
矩阵(已经成行向量了)形式,第二种是梯度矩阵(已经成列向量了)形式,第三种是Jacobian
矩阵(就是矩阵)形式,第四种是梯度矩阵(就是矩阵)形式。第一种和第二种形式互为转置,第三种和第四种形式互为转置。
2.2.5 矩阵变元的实向量函数
对于矩阵变元的实向量函数
f
(
X
)
\pmb{f}(\pmb{X})
fff(XXX) 、向量变元的实向量函数
f
(
x
)
\pmb{f}(\pmb{x})
fff(xxx) 、向量变元的实矩阵函数
F
(
x
)
\pmb{F}(\pmb{x})
FFF(xxx) ,这三个都可以看做是矩阵变元的实矩阵函数
F
(
X
)
\pmb{F}(\pmb{X})
FFF(XXX),可使用 2.2.4 矩阵变元的实矩阵函数
进行计算(因为向量就是一种特殊的矩阵)。
2.2.6 总结
矩阵求导结果的布局无非是分子的转置、向量化,分母的转置、向量化,它们的各种组合而已。总结为:
- 分子布局的本质:分子是标量、列向量、矩阵向量化后的列向量;分母是标量、列向量转置后的行向量、矩阵的转置矩阵、矩阵向量化后的列向量转置后的行向量。
- 分母布局的本质:分子是标量、列向量转置后的行向量、矩阵向量化后的列向量转置后的行向量;分母是标量、列向量、矩阵自己、矩阵向量化后的列向量。
参考
- Matrix calculus:https://en.wikipedia.org/wiki/Matrix_calculus#Scalar-by-vector_identities
- 矩阵求导的本质与分子布局、分母布局的本质:https://zhuanlan.zhihu.com/p/263777564
- 机器学习中的矩阵向量求导(一) 求导定义与求导布局:https://www.cnblogs.com/pinard/p/10750718.html
- 数学-矩阵计算(4)两种布局:https://blog.csdn.net/shouhuxianjian/article/details/46669365
- 矩阵求导(分母布局与分子布局):https://blog.csdn.net/keeppractice/article/details/107231685