Re: matrix differentiation
- To: mathgroup at smc.vnet.net
- Subject: [mg43797] Re: [mg43792] matrix differentiation
- From: Andrzej Kozlowski <akoz at mimuw.edu.pl>
- Date: Mon, 6 Oct 2003 02:07:50 -0400 (EDT)
- Sender: owner-wri-mathgroup at wolfram.com
On Saturday, October 4, 2003, at 03:05 PM, Bp Sudheer wrote:
> Hi
>
> I want to differentiate an expression like
>
> f(y) = X'{(w'*X)(X'*w')}X with respect X where each of these elements
> are
> matrices.
>
> X is of the order N X 1 matrix
> w is of the order N X N matrix
> f(y) is of the order of 1 X 1 matrix
>
> X' is the transpose of X and w' is the transpose of w
>
> if X = [x0 x1] ( for eg ) and say N = 2
>
> Can any one help me how do i get the gradient of f(y) with respect to X
>
> Regds
> Sudheer
>
>
>
One can try brute force:
X=Array[x,{2,1}];
W=Array[w,{2,2}];
Z=(Transpose[X].(Transpose[W].X).(Transpose[X].Transpose[W]).X)//
Simplify
{{(w[1, 1]*x[1, 1]^2 + x[2, 1]*(w[1, 2]*x[1, 1] + w[2, 1]*x[1, 1] +
w[2, 2]*x[2, 1]))^2}}
Map[D[Z,#]&,Flatten[X]]//Simplify
{{{2*(2*w[1, 1]*x[1, 1] + (w[1, 2] + w[2, 1])*x[2, 1])*(w[1, 1]*x[1,
1]^2 +
x[2, 1]*(w[1, 2]*x[1, 1] + w[2, 1]*x[1, 1] + w[2, 2]*x[2, 1]))}},
{{2*(w[1, 2]*x[1, 1] + w[2, 1]*x[1, 1] + 2*w[2, 2]*x[2, 1])*(w[1,
1]*x[1, 1]^2 +
x[2, 1]*(w[1, 2]*x[1, 1] + w[2, 1]*x[1, 1] + w[2, 2]*x[2, 1]))}}}
Andrzej Kozlowski
Yokohama, Japan
http://www.mimuw.edu.pl/~akoz/
http://platon.c.u-tokyo.ac.jp/andrzej/