Second derivative of a matrix quartic form
I need to compute the second derivative of the following quartic expression: $$x^H A^H x x^H A x$$ where is Hermitian. I have tried to compute the first derivative, and if I am not wrong, it should be: $$(A+A^H) x x^H (A+A^H) x$$
But then, I do not know how to proceed to calculate the second derivative. Could someone sketch the steps I need to follow? Thank you.
linear-algebra matrices derivatives optimization
add a comment |
I need to compute the second derivative of the following quartic expression: $$x^H A^H x x^H A x$$ where is Hermitian. I have tried to compute the first derivative, and if I am not wrong, it should be: $$(A+A^H) x x^H (A+A^H) x$$
But then, I do not know how to proceed to calculate the second derivative. Could someone sketch the steps I need to follow? Thank you.
linear-algebra matrices derivatives optimization
Did you compute the first derivative with respect to $x$ or $x^*$?
– Alex Silva
Nov 27 at 8:08
add a comment |
I need to compute the second derivative of the following quartic expression: $$x^H A^H x x^H A x$$ where is Hermitian. I have tried to compute the first derivative, and if I am not wrong, it should be: $$(A+A^H) x x^H (A+A^H) x$$
But then, I do not know how to proceed to calculate the second derivative. Could someone sketch the steps I need to follow? Thank you.
linear-algebra matrices derivatives optimization
I need to compute the second derivative of the following quartic expression: $$x^H A^H x x^H A x$$ where is Hermitian. I have tried to compute the first derivative, and if I am not wrong, it should be: $$(A+A^H) x x^H (A+A^H) x$$
But then, I do not know how to proceed to calculate the second derivative. Could someone sketch the steps I need to follow? Thank you.
linear-algebra matrices derivatives optimization
linear-algebra matrices derivatives optimization
asked Nov 27 at 7:49
Fer Nando
164
164
Did you compute the first derivative with respect to $x$ or $x^*$?
– Alex Silva
Nov 27 at 8:08
add a comment |
Did you compute the first derivative with respect to $x$ or $x^*$?
– Alex Silva
Nov 27 at 8:08
Did you compute the first derivative with respect to $x$ or $x^*$?
– Alex Silva
Nov 27 at 8:08
Did you compute the first derivative with respect to $x$ or $x^*$?
– Alex Silva
Nov 27 at 8:08
add a comment |
2 Answers
2
active
oldest
votes
Define the scalar variables
$$eqalign{
&phi &= x^HAx = (A^Tx^*)^Tx cr
&phi^* &= x^HA^Hx = (A^*x^*)^Tx cr
&psi &= phi^*phi cr
}$$
Find the gradient of your function $(psi)$ with respect to $x$, treating $x^*$ as an independent variable.
$$eqalign{
dphi &= (A^Tx^*)^T,dx cr
dphi^* &= (A^*x^*)^T,dx cr
dpsi
&= phi,dphi^* + phi^*,dphi cr
&= (phi A^*x^* + phi^*A^Tx^*)^Tdx cr
g = frac{partialpsi}{partial x}
&= A^*x^*phi + A^Tx^*phi^* cr
g^* = frac{partialpsi}{partial x^*}
&= Axphi^* + A^Hxphi cr
}$$
Not that we need it, but the last equation is a consequence of the fact that $psi=psi^*,$ (it's real).
Now the Hessian is just the gradient of the gradient, so
$$eqalign{
dg
&= (A^*x^*),dphi + (A^Tx^*),dphi^* cr
&= Big((A^*x^*)(A^Tx^*)^T + (A^Tx^*)(A^*x^*)^TBig),dx cr
H = frac{partial g}{partial x}
&= A^*x^*x^HA + A^Tx^*x^HA^H cr
}$$
Note that the Hessian is symmetric, but it is not Hermitian.
A question with respect to $dpsi = (phi A^*x^* + phi^*A^Tx^*)^Tdx Rightarrow g = A^*x^*phi + A^Tx^*phi^* $. What rule did you apply that $phi A^*x^*$ became $A^*x^*phi$? Am I misunderstanding something?
– user550103
Nov 28 at 8:17
Since $phi$ is a scalar, you can move it anywhere you like. It was convenient to move it to the end of the expression, to prepare for the subsequent step of calculating $dg$
– greg
Nov 28 at 13:29
Oh yes, makes sense... thanks for the clarification, greg!
– user550103
Nov 28 at 13:49
add a comment |
The second derivative of a multi-variable function $f=f(x_1,ldots,x_n)$ is usually expressed as its Hessian matrix
$$
Hf(x_1,ldots,x_n)=left(frac{partial^2 f}{partial x_ipartial x_j}right)_{i,j=1}^n
$$
Here
$$
f(x)=x^tA^txx^tAx=(x^tBx)^2, quad text{where $B=frac{1}{2}(A+A^t)=(b_{ii})$}.
$$
Hence
$$
frac{partial f}{partial x_i}=4(x^tBx)(Bx)_i
$$
and
$$
frac{partial^2 f}{partial x_ipartial x_j}=8(Bx)_i(Bx)_j+4(x^tBx)b_{ij},
$$
and thus
$$
Hf(x)=8Bx(Bx)^t+4(x^tBx)B
$$
$x$ is a complex variable.
– Alex Silva
Nov 27 at 8:17
What is $x^H$? Is it the conjugate of the transpose, or just the transpose?
– Yiorgos S. Smyrlis
Nov 27 at 8:19
Hermitian = conjugate transpose.
– Alex Silva
Nov 27 at 8:22
Unfortunately, you CAN NOT differentiate the conjugate. The function $f(z)=overline{z}$ is NOT analytic! Hence, the conjugate applies only to matrix (if at all).
– Yiorgos S. Smyrlis
Nov 27 at 8:25
2
@YiorgosS.Smyrlis I suppose they are talking about Wirtinger derivatives, see en.wikipedia.org/wiki/Wirtinger_derivatives
– lisyarus
Nov 27 at 9:22
|
show 10 more comments
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2 Answers
2
active
oldest
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2 Answers
2
active
oldest
votes
active
oldest
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active
oldest
votes
Define the scalar variables
$$eqalign{
&phi &= x^HAx = (A^Tx^*)^Tx cr
&phi^* &= x^HA^Hx = (A^*x^*)^Tx cr
&psi &= phi^*phi cr
}$$
Find the gradient of your function $(psi)$ with respect to $x$, treating $x^*$ as an independent variable.
$$eqalign{
dphi &= (A^Tx^*)^T,dx cr
dphi^* &= (A^*x^*)^T,dx cr
dpsi
&= phi,dphi^* + phi^*,dphi cr
&= (phi A^*x^* + phi^*A^Tx^*)^Tdx cr
g = frac{partialpsi}{partial x}
&= A^*x^*phi + A^Tx^*phi^* cr
g^* = frac{partialpsi}{partial x^*}
&= Axphi^* + A^Hxphi cr
}$$
Not that we need it, but the last equation is a consequence of the fact that $psi=psi^*,$ (it's real).
Now the Hessian is just the gradient of the gradient, so
$$eqalign{
dg
&= (A^*x^*),dphi + (A^Tx^*),dphi^* cr
&= Big((A^*x^*)(A^Tx^*)^T + (A^Tx^*)(A^*x^*)^TBig),dx cr
H = frac{partial g}{partial x}
&= A^*x^*x^HA + A^Tx^*x^HA^H cr
}$$
Note that the Hessian is symmetric, but it is not Hermitian.
A question with respect to $dpsi = (phi A^*x^* + phi^*A^Tx^*)^Tdx Rightarrow g = A^*x^*phi + A^Tx^*phi^* $. What rule did you apply that $phi A^*x^*$ became $A^*x^*phi$? Am I misunderstanding something?
– user550103
Nov 28 at 8:17
Since $phi$ is a scalar, you can move it anywhere you like. It was convenient to move it to the end of the expression, to prepare for the subsequent step of calculating $dg$
– greg
Nov 28 at 13:29
Oh yes, makes sense... thanks for the clarification, greg!
– user550103
Nov 28 at 13:49
add a comment |
Define the scalar variables
$$eqalign{
&phi &= x^HAx = (A^Tx^*)^Tx cr
&phi^* &= x^HA^Hx = (A^*x^*)^Tx cr
&psi &= phi^*phi cr
}$$
Find the gradient of your function $(psi)$ with respect to $x$, treating $x^*$ as an independent variable.
$$eqalign{
dphi &= (A^Tx^*)^T,dx cr
dphi^* &= (A^*x^*)^T,dx cr
dpsi
&= phi,dphi^* + phi^*,dphi cr
&= (phi A^*x^* + phi^*A^Tx^*)^Tdx cr
g = frac{partialpsi}{partial x}
&= A^*x^*phi + A^Tx^*phi^* cr
g^* = frac{partialpsi}{partial x^*}
&= Axphi^* + A^Hxphi cr
}$$
Not that we need it, but the last equation is a consequence of the fact that $psi=psi^*,$ (it's real).
Now the Hessian is just the gradient of the gradient, so
$$eqalign{
dg
&= (A^*x^*),dphi + (A^Tx^*),dphi^* cr
&= Big((A^*x^*)(A^Tx^*)^T + (A^Tx^*)(A^*x^*)^TBig),dx cr
H = frac{partial g}{partial x}
&= A^*x^*x^HA + A^Tx^*x^HA^H cr
}$$
Note that the Hessian is symmetric, but it is not Hermitian.
A question with respect to $dpsi = (phi A^*x^* + phi^*A^Tx^*)^Tdx Rightarrow g = A^*x^*phi + A^Tx^*phi^* $. What rule did you apply that $phi A^*x^*$ became $A^*x^*phi$? Am I misunderstanding something?
– user550103
Nov 28 at 8:17
Since $phi$ is a scalar, you can move it anywhere you like. It was convenient to move it to the end of the expression, to prepare for the subsequent step of calculating $dg$
– greg
Nov 28 at 13:29
Oh yes, makes sense... thanks for the clarification, greg!
– user550103
Nov 28 at 13:49
add a comment |
Define the scalar variables
$$eqalign{
&phi &= x^HAx = (A^Tx^*)^Tx cr
&phi^* &= x^HA^Hx = (A^*x^*)^Tx cr
&psi &= phi^*phi cr
}$$
Find the gradient of your function $(psi)$ with respect to $x$, treating $x^*$ as an independent variable.
$$eqalign{
dphi &= (A^Tx^*)^T,dx cr
dphi^* &= (A^*x^*)^T,dx cr
dpsi
&= phi,dphi^* + phi^*,dphi cr
&= (phi A^*x^* + phi^*A^Tx^*)^Tdx cr
g = frac{partialpsi}{partial x}
&= A^*x^*phi + A^Tx^*phi^* cr
g^* = frac{partialpsi}{partial x^*}
&= Axphi^* + A^Hxphi cr
}$$
Not that we need it, but the last equation is a consequence of the fact that $psi=psi^*,$ (it's real).
Now the Hessian is just the gradient of the gradient, so
$$eqalign{
dg
&= (A^*x^*),dphi + (A^Tx^*),dphi^* cr
&= Big((A^*x^*)(A^Tx^*)^T + (A^Tx^*)(A^*x^*)^TBig),dx cr
H = frac{partial g}{partial x}
&= A^*x^*x^HA + A^Tx^*x^HA^H cr
}$$
Note that the Hessian is symmetric, but it is not Hermitian.
Define the scalar variables
$$eqalign{
&phi &= x^HAx = (A^Tx^*)^Tx cr
&phi^* &= x^HA^Hx = (A^*x^*)^Tx cr
&psi &= phi^*phi cr
}$$
Find the gradient of your function $(psi)$ with respect to $x$, treating $x^*$ as an independent variable.
$$eqalign{
dphi &= (A^Tx^*)^T,dx cr
dphi^* &= (A^*x^*)^T,dx cr
dpsi
&= phi,dphi^* + phi^*,dphi cr
&= (phi A^*x^* + phi^*A^Tx^*)^Tdx cr
g = frac{partialpsi}{partial x}
&= A^*x^*phi + A^Tx^*phi^* cr
g^* = frac{partialpsi}{partial x^*}
&= Axphi^* + A^Hxphi cr
}$$
Not that we need it, but the last equation is a consequence of the fact that $psi=psi^*,$ (it's real).
Now the Hessian is just the gradient of the gradient, so
$$eqalign{
dg
&= (A^*x^*),dphi + (A^Tx^*),dphi^* cr
&= Big((A^*x^*)(A^Tx^*)^T + (A^Tx^*)(A^*x^*)^TBig),dx cr
H = frac{partial g}{partial x}
&= A^*x^*x^HA + A^Tx^*x^HA^H cr
}$$
Note that the Hessian is symmetric, but it is not Hermitian.
edited Nov 28 at 5:34
answered Nov 27 at 20:21
greg
7,5251721
7,5251721
A question with respect to $dpsi = (phi A^*x^* + phi^*A^Tx^*)^Tdx Rightarrow g = A^*x^*phi + A^Tx^*phi^* $. What rule did you apply that $phi A^*x^*$ became $A^*x^*phi$? Am I misunderstanding something?
– user550103
Nov 28 at 8:17
Since $phi$ is a scalar, you can move it anywhere you like. It was convenient to move it to the end of the expression, to prepare for the subsequent step of calculating $dg$
– greg
Nov 28 at 13:29
Oh yes, makes sense... thanks for the clarification, greg!
– user550103
Nov 28 at 13:49
add a comment |
A question with respect to $dpsi = (phi A^*x^* + phi^*A^Tx^*)^Tdx Rightarrow g = A^*x^*phi + A^Tx^*phi^* $. What rule did you apply that $phi A^*x^*$ became $A^*x^*phi$? Am I misunderstanding something?
– user550103
Nov 28 at 8:17
Since $phi$ is a scalar, you can move it anywhere you like. It was convenient to move it to the end of the expression, to prepare for the subsequent step of calculating $dg$
– greg
Nov 28 at 13:29
Oh yes, makes sense... thanks for the clarification, greg!
– user550103
Nov 28 at 13:49
A question with respect to $dpsi = (phi A^*x^* + phi^*A^Tx^*)^Tdx Rightarrow g = A^*x^*phi + A^Tx^*phi^* $. What rule did you apply that $phi A^*x^*$ became $A^*x^*phi$? Am I misunderstanding something?
– user550103
Nov 28 at 8:17
A question with respect to $dpsi = (phi A^*x^* + phi^*A^Tx^*)^Tdx Rightarrow g = A^*x^*phi + A^Tx^*phi^* $. What rule did you apply that $phi A^*x^*$ became $A^*x^*phi$? Am I misunderstanding something?
– user550103
Nov 28 at 8:17
Since $phi$ is a scalar, you can move it anywhere you like. It was convenient to move it to the end of the expression, to prepare for the subsequent step of calculating $dg$
– greg
Nov 28 at 13:29
Since $phi$ is a scalar, you can move it anywhere you like. It was convenient to move it to the end of the expression, to prepare for the subsequent step of calculating $dg$
– greg
Nov 28 at 13:29
Oh yes, makes sense... thanks for the clarification, greg!
– user550103
Nov 28 at 13:49
Oh yes, makes sense... thanks for the clarification, greg!
– user550103
Nov 28 at 13:49
add a comment |
The second derivative of a multi-variable function $f=f(x_1,ldots,x_n)$ is usually expressed as its Hessian matrix
$$
Hf(x_1,ldots,x_n)=left(frac{partial^2 f}{partial x_ipartial x_j}right)_{i,j=1}^n
$$
Here
$$
f(x)=x^tA^txx^tAx=(x^tBx)^2, quad text{where $B=frac{1}{2}(A+A^t)=(b_{ii})$}.
$$
Hence
$$
frac{partial f}{partial x_i}=4(x^tBx)(Bx)_i
$$
and
$$
frac{partial^2 f}{partial x_ipartial x_j}=8(Bx)_i(Bx)_j+4(x^tBx)b_{ij},
$$
and thus
$$
Hf(x)=8Bx(Bx)^t+4(x^tBx)B
$$
$x$ is a complex variable.
– Alex Silva
Nov 27 at 8:17
What is $x^H$? Is it the conjugate of the transpose, or just the transpose?
– Yiorgos S. Smyrlis
Nov 27 at 8:19
Hermitian = conjugate transpose.
– Alex Silva
Nov 27 at 8:22
Unfortunately, you CAN NOT differentiate the conjugate. The function $f(z)=overline{z}$ is NOT analytic! Hence, the conjugate applies only to matrix (if at all).
– Yiorgos S. Smyrlis
Nov 27 at 8:25
2
@YiorgosS.Smyrlis I suppose they are talking about Wirtinger derivatives, see en.wikipedia.org/wiki/Wirtinger_derivatives
– lisyarus
Nov 27 at 9:22
|
show 10 more comments
The second derivative of a multi-variable function $f=f(x_1,ldots,x_n)$ is usually expressed as its Hessian matrix
$$
Hf(x_1,ldots,x_n)=left(frac{partial^2 f}{partial x_ipartial x_j}right)_{i,j=1}^n
$$
Here
$$
f(x)=x^tA^txx^tAx=(x^tBx)^2, quad text{where $B=frac{1}{2}(A+A^t)=(b_{ii})$}.
$$
Hence
$$
frac{partial f}{partial x_i}=4(x^tBx)(Bx)_i
$$
and
$$
frac{partial^2 f}{partial x_ipartial x_j}=8(Bx)_i(Bx)_j+4(x^tBx)b_{ij},
$$
and thus
$$
Hf(x)=8Bx(Bx)^t+4(x^tBx)B
$$
$x$ is a complex variable.
– Alex Silva
Nov 27 at 8:17
What is $x^H$? Is it the conjugate of the transpose, or just the transpose?
– Yiorgos S. Smyrlis
Nov 27 at 8:19
Hermitian = conjugate transpose.
– Alex Silva
Nov 27 at 8:22
Unfortunately, you CAN NOT differentiate the conjugate. The function $f(z)=overline{z}$ is NOT analytic! Hence, the conjugate applies only to matrix (if at all).
– Yiorgos S. Smyrlis
Nov 27 at 8:25
2
@YiorgosS.Smyrlis I suppose they are talking about Wirtinger derivatives, see en.wikipedia.org/wiki/Wirtinger_derivatives
– lisyarus
Nov 27 at 9:22
|
show 10 more comments
The second derivative of a multi-variable function $f=f(x_1,ldots,x_n)$ is usually expressed as its Hessian matrix
$$
Hf(x_1,ldots,x_n)=left(frac{partial^2 f}{partial x_ipartial x_j}right)_{i,j=1}^n
$$
Here
$$
f(x)=x^tA^txx^tAx=(x^tBx)^2, quad text{where $B=frac{1}{2}(A+A^t)=(b_{ii})$}.
$$
Hence
$$
frac{partial f}{partial x_i}=4(x^tBx)(Bx)_i
$$
and
$$
frac{partial^2 f}{partial x_ipartial x_j}=8(Bx)_i(Bx)_j+4(x^tBx)b_{ij},
$$
and thus
$$
Hf(x)=8Bx(Bx)^t+4(x^tBx)B
$$
The second derivative of a multi-variable function $f=f(x_1,ldots,x_n)$ is usually expressed as its Hessian matrix
$$
Hf(x_1,ldots,x_n)=left(frac{partial^2 f}{partial x_ipartial x_j}right)_{i,j=1}^n
$$
Here
$$
f(x)=x^tA^txx^tAx=(x^tBx)^2, quad text{where $B=frac{1}{2}(A+A^t)=(b_{ii})$}.
$$
Hence
$$
frac{partial f}{partial x_i}=4(x^tBx)(Bx)_i
$$
and
$$
frac{partial^2 f}{partial x_ipartial x_j}=8(Bx)_i(Bx)_j+4(x^tBx)b_{ij},
$$
and thus
$$
Hf(x)=8Bx(Bx)^t+4(x^tBx)B
$$
answered Nov 27 at 8:13
Yiorgos S. Smyrlis
62.4k1383162
62.4k1383162
$x$ is a complex variable.
– Alex Silva
Nov 27 at 8:17
What is $x^H$? Is it the conjugate of the transpose, or just the transpose?
– Yiorgos S. Smyrlis
Nov 27 at 8:19
Hermitian = conjugate transpose.
– Alex Silva
Nov 27 at 8:22
Unfortunately, you CAN NOT differentiate the conjugate. The function $f(z)=overline{z}$ is NOT analytic! Hence, the conjugate applies only to matrix (if at all).
– Yiorgos S. Smyrlis
Nov 27 at 8:25
2
@YiorgosS.Smyrlis I suppose they are talking about Wirtinger derivatives, see en.wikipedia.org/wiki/Wirtinger_derivatives
– lisyarus
Nov 27 at 9:22
|
show 10 more comments
$x$ is a complex variable.
– Alex Silva
Nov 27 at 8:17
What is $x^H$? Is it the conjugate of the transpose, or just the transpose?
– Yiorgos S. Smyrlis
Nov 27 at 8:19
Hermitian = conjugate transpose.
– Alex Silva
Nov 27 at 8:22
Unfortunately, you CAN NOT differentiate the conjugate. The function $f(z)=overline{z}$ is NOT analytic! Hence, the conjugate applies only to matrix (if at all).
– Yiorgos S. Smyrlis
Nov 27 at 8:25
2
@YiorgosS.Smyrlis I suppose they are talking about Wirtinger derivatives, see en.wikipedia.org/wiki/Wirtinger_derivatives
– lisyarus
Nov 27 at 9:22
$x$ is a complex variable.
– Alex Silva
Nov 27 at 8:17
$x$ is a complex variable.
– Alex Silva
Nov 27 at 8:17
What is $x^H$? Is it the conjugate of the transpose, or just the transpose?
– Yiorgos S. Smyrlis
Nov 27 at 8:19
What is $x^H$? Is it the conjugate of the transpose, or just the transpose?
– Yiorgos S. Smyrlis
Nov 27 at 8:19
Hermitian = conjugate transpose.
– Alex Silva
Nov 27 at 8:22
Hermitian = conjugate transpose.
– Alex Silva
Nov 27 at 8:22
Unfortunately, you CAN NOT differentiate the conjugate. The function $f(z)=overline{z}$ is NOT analytic! Hence, the conjugate applies only to matrix (if at all).
– Yiorgos S. Smyrlis
Nov 27 at 8:25
Unfortunately, you CAN NOT differentiate the conjugate. The function $f(z)=overline{z}$ is NOT analytic! Hence, the conjugate applies only to matrix (if at all).
– Yiorgos S. Smyrlis
Nov 27 at 8:25
2
2
@YiorgosS.Smyrlis I suppose they are talking about Wirtinger derivatives, see en.wikipedia.org/wiki/Wirtinger_derivatives
– lisyarus
Nov 27 at 9:22
@YiorgosS.Smyrlis I suppose they are talking about Wirtinger derivatives, see en.wikipedia.org/wiki/Wirtinger_derivatives
– lisyarus
Nov 27 at 9:22
|
show 10 more comments
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Did you compute the first derivative with respect to $x$ or $x^*$?
– Alex Silva
Nov 27 at 8:08