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The Matrix Cookbook

The Matrix Cookbook

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Published by Dhillonv
A reference book for matrix and vector calculus
A reference book for matrix and vector calculus

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Categories:Types, Research
Published by: Dhillonv on Jun 12, 2010
Copyright:Attribution Non-commercial

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The Matrix Cookbook
[ http://matrixcookbook.com ]
Kaare Brandt PetersenMichael Syskind Pedersen
Version: November 14, 2008
What is this?
These pages are a collection of facts (identities, approxima-tions, inequalities, relations, ...) about matrices and matters relating to them.It is collected in this form for the convenience of anyone who wants a quickdesktop reference .
Disclaimer:
The identities, approximations and relations presented here wereobviously not invented but collected, borrowed and copied from a large amountof sources. These sources include similar but shorter notes found on the internetand appendices in books - see the references for a full list.
Errors:
Very likely there are errors, typos, and mistakes for which we apolo-gize and would be grateful to receive corrections at cookbook@2302.dk.
Its ongoing:
The project of keeping a large repository of relations involvingmatrices is naturally ongoing and the version will be apparent from the date inthe header.
Suggestions:
Your suggestion for additional content or elaboration of sometopics is most welcome at cookbook@2302.dk.
Keywords:
Matrix algebra, matrix relations, matrix identities, derivative of determinant, derivative of inverse matrix, differentiate a matrix.
Acknowledgements:
We would like to thank the following for contributionsand suggestions: Bill Baxter, Brian Templeton, Christian Rishøj, ChristianSchr¨oppel Douglas L. Theobald, Esben Hoegh-Rasmussen, Glynne Casteel, JanLarsen, Jun Bin Gao, J¨urgen Struckmeier, Kamil Dedecius, Korbinian Strim-mer, Lars Christiansen, Lars Kai Hansen, Leland Wilkinson, Liguo He, LoicThibaut, Miguel Bar˜ao, Ole Winther, Pavel Sakov, Stephan Hattinger, VasileSima, Vincent Rabaud, Zhaoshui He. We would also like thank The OticonFoundation for funding our PhD studies.1
 
CONTENTS CONTENT
Contents
1.1 Trace and Determinants. . . . . . . . . . . . . . . . . . . . . . . 51.2 The Special Case 2x2. . . . . . . . . . . . . . . . . . . . . . . . . 5
2.1 Derivatives of a Determinant. . . . . . . . . . . . . . . . . . . . 72.2 Derivatives of an Inverse. . . . . . . . . . . . . . . . . . . . . . . 82.3 Derivatives of Eigenvalues. . . . . . . . . . . . . . . . . . . . . . 92.4 Derivatives of Matrices, Vectors and Scalar Forms. . . . . . . . 92.5 Derivatives of Traces. . . . . . . . . . . . . . . . . . . . . . . . . 112.6 Derivatives of vector norms. . . . . . . . . . . . . . . . . . . . . 132.7 Derivatives of matrix norms. . . . . . . . . . . . . . . . . . . . . 132.8 Derivatives of Structured Matrices. . . . . . . . . . . . . . . . . 14
3.1 Basic. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 163.2 Exact Relations. . . . . . . . . . . . . . . . . . . . . . . . . . . . 173.3 Implication on Inverses. . . . . . . . . . . . . . . . . . . . . . . . 193.4 Approximations. . . . . . . . . . . . . . . . . . . . . . . . . . . . 193.5 Generalized Inverse. . . . . . . . . . . . . . . . . . . . . . . . . . 203.6 Pseudo Inverse. . . . . . . . . . . . . . . . . . . . . . . . . . . . 20
4.1 Complex Derivatives. . . . . . . . . . . . . . . . . . . . . . . . . 234.2 Higher order and non-linear derivatives. . . . . . . . . . . . . . . 264.3 Inverse of complex sum. . . . . . . . . . . . . . . . . . . . . . . 26
5.1 Solutions to linear equations. . . . . . . . . . . . . . . . . . . . . 275.2 Eigenvalues and Eigenvectors. . . . . . . . . . . . . . . . . . . . 295.3 Singular Value Decomposition. . . . . . . . . . . . . . . . . . . . 305.4 Triangular Decomposition. . . . . . . . . . . . . . . . . . . . . . 325.5 LU decomposition. . . . . . . . . . . . . . . . . . . . . . . . . . 325.6 LDM decomposition. . . . . . . . . . . . . . . . . . . . . . . . . 325.7 LDL decompositions. . . . . . . . . . . . . . . . . . . . . . . . . 32
6.1 Definition of Moments. . . . . . . . . . . . . . . . . . . . . . . . 336.2 Expectation of Linear Combinations. . . . . . . . . . . . . . . . 346.3 Weighted Scalar Variable. . . . . . . . . . . . . . . . . . . . . . 35
Petersen & Pedersen, The Matrix Cookbook, Version: November 14, 2008,
Page 2
 
CONTENTS CONTENT
7.1 Cauchy. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 367.2 Dirichlet. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 367.3 Normal. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 367.4 Normal-Inverse Gamma. . . . . . . . . . . . . . . . . . . . . . . 367.5 Gaussian. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 367.6 Multinomial. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 367.7 Student’s t. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 367.8 Wishart. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 377.9 Wishart, Inverse. . . . . . . . . . . . . . . . . . . . . . . . . . . 38
8.1 Basics. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 398.2 Moments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 418.3 Miscellaneous. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 438.4 Mixture of Gaussians. . . . . . . . . . . . . . . . . . . . . . . . . 44
9.1 Block matrices. . . . . . . . . . . . . . . . . . . . . . . . . . . . 459.2 Discrete Fourier Transform Matrix, The. . . . . . . . . . . . . . 469.3 Hermitian Matrices and skew-Hermitian. . . . . . . . . . . . . . 479.4 Idempotent Matrices. . . . . . . . . . . . . . . . . . . . . . . . . 489.5 Orthogonal matrices. . . . . . . . . . . . . . . . . . . . . . . . . 489.6 Positive Definite and Semi-definite Matrices. . . . . . . . . . . . 509.7 Singleentry Matrix, The. . . . . . . . . . . . . . . . . . . . . . . 519.8 Symmetric, Skew-symmetric/Antisymmetric. . . . . . . . . . . . 539.9 Toeplitz Matrices. . . . . . . . . . . . . . . . . . . . . . . . . . . 549.10 Transition matrices. . . . . . . . . . . . . . . . . . . . . . . . . . 559.11 Units, Permutation and Shift. . . . . . . . . . . . . . . . . . . . 569.12 Vandermonde Matrices. . . . . . . . . . . . . . . . . . . . . . . . 57
10.1 Functions and Series. . . . . . . . . . . . . . . . . . . . . . . . . 5810.2 Kronecker and Vec Operator. . . . . . . . . . . . . . . . . . . . 5910.3 Vector Norms. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6110.4 Matrix Norms. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6110.5 Rank. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6210.6 Integral Involving Dirac Delta Functions. . . . . . . . . . . . . . 6210.7 Miscellaneous. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63
A.1 Gaussian. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64A.2 One Dimensional Mixture of Gaussians. . . . . . . . . . . . . . . 65
B.1 Misc Proofs. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67
Petersen & Pedersen, The Matrix Cookbook, Version: November 14, 2008,
Page 3

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