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sam roweis
A(B + C) = AB + AC (1a)
T T T
(A + B) = A + B (1b)
(AB)T = BT AT (1c)
−1 −1 −1
if individual inverses exist (AB) =B A (1d)
−1 T T −1
(A ) = (A ) (1e)
1
0.3 derivatives of traces
∂Tr [X]
=I (3a)
∂X
∂Tr [XA] ∂Tr [AX]
= = AT (3b)
T∂X ∂X
∂Tr X A ∂Tr AXT
= =A (3c)
∂X ∂X
∂Tr XT AX
= (A + AT )X (3d)
∂X
∂Tr X−1 A
= −X−1 AT X−1 (3e)
∂X
2
the derivative of one vector y with respect to another vector x is a matrix
whose (i, j)th element is ∂y(j)/∂x(i). such a derivative should be written as
∂yT /∂x in which case it is the Jacobian matrix of y wrt x. its determinant
R
represents the ratio of the hypervolume dy to that of dx so that f (y)dy =
f (y(x))|∂yT /∂x|dx. however, the sloppy forms ∂y/∂x, ∂yT /∂xT and
R
∂(X−1 ) ∂X −1
= −X−1 X (6a)
∂z ∂z
∂(Ax) ∂x
=A (6b)
∂z ∂z
∂(XY) ∂Y ∂X
=X + Y (6c)
∂z ∂z ∂z
∂(AXB) ∂X
=A B (6d)
∂z ∂z
∂(xT A)
=A (6e)
∂x
∂(xT )
=I (6f)
∂x
∂(x AxxT )
T
= (A + AT )xxT + xT AxI (6g)
∂x
3
where the columns of C are (orthonormal) eigenvectors (i.e. CCT = I) and
the diagonal of Λ has the eigenvalues
where
F11 = A11 − A12 A−1
22 A21 F22 = A22 − A21 A−1
11 A12