Filetype PDF | Posted on 26 Jan 2023 | 2 years ago
Authentication
digital resources
152x Filetype PDF File size 0.69 MB Source: www.math.uwaterloo.ca
The Matrix Cookbook
[ http://matrixcookbook.com ]
Kaare Brandt Petersen
Michael Syskind Pedersen
Version: November 15, 2012
1
Introduction
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 quick
desktop reference .
Disclaimer: Theidentities, approximations and relations presented here were
obviously not invented but collected, borrowed and copied from a large amount
of sources. These sources include similar but shorter notes found on the internet
and 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 involving
matrices is naturally ongoing and the version will be apparent from the date in
the header.
Suggestions: Your suggestion for additional content or elaboration of some
topics is most welcome acookbook@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 contributions
and suggestions: Bill Baxter, Brian Templeton, Christian Rishøj, Christian
Schr¨oppel, Dan Boley, Douglas L. Theobald, Esben Hoegh-Rasmussen, Evripidis
Karseras, Georg Martius, Glynne Casteel, Jan Larsen, Jun Bin Gao, Jurgen¨
Struckmeier, Kamil Dedecius, Karim T. Abou-Moustafa, Korbinian Strimmer,
Lars Christiansen, Lars Kai Hansen, Leland Wilkinson, Liguo He, Loic Thibaut,
Markus Froeb, Michael Hubatka, Miguel Bar˜ao, Ole Winther, Pavel Sakov,
Stephan Hattinger, Troels Pedersen, Vasile Sima, Vincent Rabaud, Zhaoshui
He. We would also like thank The Oticon Foundation for funding our PhD
studies.
Petersen & Pedersen, The Matrix Cookbook, Version: November 15, 2012, Page 2
CONTENTS CONTENTS
Contents
1 Basics 6
1.1 Trace . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
1.2 Determinant . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
1.3 The Special Case 2x2 . . . . . . . . . . . . . . . . . . . . . . . . . 7
2 Derivatives 8
2.1 Derivatives of a Determinant . . . . . . . . . . . . . . . . . . . . 8
2.2 Derivatives of an Inverse . . . . . . . . . . . . . . . . . . . . . . . 9
2.3 Derivatives of Eigenvalues . . . . . . . . . . . . . . . . . . . . . . 10
2.4 Derivatives of Matrices, Vectors and Scalar Forms . . . . . . . . 10
2.5 Derivatives of Traces . . . . . . . . . . . . . . . . . . . . . . . . . 12
2.6 Derivatives of vector norms . . . . . . . . . . . . . . . . . . . . . 14
2.7 Derivatives of matrix norms . . . . . . . . . . . . . . . . . . . . . 14
2.8 Derivatives of Structured Matrices . . . . . . . . . . . . . . . . . 14
3 Inverses 17
3.1 Basic . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
3.2 Exact Relations . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
3.3 Implication on Inverses . . . . . . . . . . . . . . . . . . . . . . . . 20
3.4 Approximations . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20
3.5 Generalized Inverse . . . . . . . . . . . . . . . . . . . . . . . . . . 21
3.6 Pseudo Inverse . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
4 Complex Matrices 24
4.1 Complex Derivatives . . . . . . . . . . . . . . . . . . . . . . . . . 24
4.2 Higher order and non-linear derivatives . . . . . . . . . . . . . . . 26
4.3 Inverse of complex sum . . . . . . . . . . . . . . . . . . . . . . . 27
5 Solutions and Decompositions 28
5.1 Solutions to linear equations . . . . . . . . . . . . . . . . . . . . . 28
5.2 Eigenvalues and Eigenvectors . . . . . . . . . . . . . . . . . . . . 30
5.3 Singular Value Decomposition . . . . . . . . . . . . . . . . . . . . 31
5.4 Triangular Decomposition . . . . . . . . . . . . . . . . . . . . . . 32
5.5 LUdecomposition . . . . . . . . . . . . . . . . . . . . . . . . . . 32
5.6 LDMdecomposition . . . . . . . . . . . . . . . . . . . . . . . . . 33
5.7 LDLdecompositions . . . . . . . . . . . . . . . . . . . . . . . . . 33
6 Statistics and Probability 34
6.1 Definition of Moments . . . . . . . . . . . . . . . . . . . . . . . . 34
6.2 Expectation of Linear Combinations . . . . . . . . . . . . . . . . 35
6.3 Weighted Scalar Variable . . . . . . . . . . . . . . . . . . . . . . 36
7 Multivariate Distributions 37
7.1 Cauchy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37
7.2 Dirichlet . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37
7.3 Normal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37
7.4 Normal-Inverse Gamma . . . . . . . . . . . . . . . . . . . . . . . 37
7.5 Gaussian . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37
7.6 Multinomial . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37
Petersen & Pedersen, The Matrix Cookbook, Version: November 15, 2012, Page 3
CONTENTS CONTENTS
7.7 Student’s t . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37
7.8 Wishart . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38
7.9 Wishart, Inverse . . . . . . . . . . . . . . . . . . . . . . . . . . . 39
8 Gaussians 40
8.1 Basics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40
8.2 Moments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42
8.3 Miscellaneous . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44
8.4 Mixture of Gaussians . . . . . . . . . . . . . . . . . . . . . . . . . 44
9 Special Matrices 46
9.1 Block matrices . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46
9.2 Discrete Fourier Transform Matrix, The . . . . . . . . . . . . . . 47
9.3 Hermitian Matrices and skew-Hermitian . . . . . . . . . . . . . . 48
9.4 Idempotent Matrices . . . . . . . . . . . . . . . . . . . . . . . . . 49
9.5 Orthogonal matrices . . . . . . . . . . . . . . . . . . . . . . . . . 49
9.6 Positive Definite and Semi-definite Matrices . . . . . . . . . . . . 50
9.7 Singleentry Matrix, The . . . . . . . . . . . . . . . . . . . . . . . 52
9.8 Symmetric, Skew-symmetric/Antisymmetric . . . . . . . . . . . . 54
9.9 Toeplitz Matrices . . . . . . . . . . . . . . . . . . . . . . . . . . . 54
9.10 Transition matrices . . . . . . . . . . . . . . . . . . . . . . . . . . 55
9.11 Units, Permutation and Shift . . . . . . . . . . . . . . . . . . . . 56
9.12 Vandermonde Matrices . . . . . . . . . . . . . . . . . . . . . . . . 57
10 Functions and Operators 58
10.1 Functions and Series . . . . . . . . . . . . . . . . . . . . . . . . . 58
10.2 Kronecker and Vec Operator . . . . . . . . . . . . . . . . . . . . 59
10.3 Vector Norms . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61
10.4 Matrix Norms . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61
10.5 Rank . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62
10.6 Integral Involving Dirac Delta Functions . . . . . . . . . . . . . . 62
10.7 Miscellaneous . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63
A One-dimensional Results 64
A.1 Gaussian . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64
A.2 One Dimensional Mixture of Gaussians . . . . . . . . . . . . . . . 65
B Proofs and Details 66
B.1 Misc Proofs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 66
Petersen & Pedersen, The Matrix Cookbook, Version: November 15, 2012, Page 4
no reviews yet
Please Login to review.
