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I need to calculate $\dfrac{\partial}{\partial K}f(K)$, with: $$ f(K)=-\frac{1}{2}(u-Kx)^T\Sigma^{-1}(u-Kx)$$ $K$ and $\Sigma$ are $n\times n$ matrices, $\Sigma$ is symmetric, $u$ and $x$ are column vectors of size $n$.

The result should be a matrix like: $$ \begin{bmatrix} \frac{\partial f(K)}{\partial k_{11}} & \frac{\partial f(K)}{\partial k_{12}} & \ldots \\ \frac{\partial f(K)}{\partial k_{21}} & \ldots & \ldots \\ \ldots & \ldots & \ldots \end{bmatrix} $$ Am I right?

Following Petersen's Matrix Cookbook, I obtain the following matrix: $$ \Sigma^{-1}(u-Kx)x^T $$ My problem is that, choosing both $K$ and $\Sigma$ $2 \times 2$ diagonal, I get two different results:

  • if I derive it step by step, that is finding the scalar $f(K)$ and then deriving wrt of all $k_{ij}$ I obtain this matrix: $$ \begin{pmatrix} \frac{(u_1-k_1x_1)x_1}{\sigma_1^2} & 0 \\ 0 & \frac{(u_2-k_2x_2)x_2}{\sigma_2^2} \end{pmatrix} $$
  • following Petersen's formula: $$ \begin{pmatrix} \frac{(u_1-k_1x_1)x_1}{\sigma_1^2} & \frac{(u_1-k_1x_1)x_2}{\sigma_1^2} \\ \frac{(u_2-k_2x_2)x_1}{\sigma_2^2} & \frac{(u_2-k_2x_2)x_2}{\sigma_2^2} \end{pmatrix} $$ What am I doing wrong?
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The formula from matrix cookbook does not assume any special structure on $K$, e.g. diagonal. If you want to impose this structure when taking the derivative, you should use eq. (122): $$ \dfrac{\partial f}{\partial K_{ij}} = \mathrm{Tr}\left[\left[\dfrac{\partial f}{\partial K}\right]^T\dfrac{\partial K}{\partial K_{ij}}\right]. $$ The terms $ \dfrac{\partial K}{\partial K_{ij}} $ will be 1 in the diagonal and 0 otherwise. This connects the two formulas that you have derived.

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