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Tagged with derivations linear-algebra
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Gradient of QZ decomposition
Let $A$ and $B$ be an $m \times n$ matrix of rank $ k_1 \le \min(m,n) $ and $ k_2 \le \min(m,n) $. Then the QZ decomposition or the generalized Schur decomposition is $A = USV^T$ and $B = UTV^T $, ...
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Hessian matrix of vectorized matrix product
I need to find the Hessian Matrix of $f(X,Y) = C \operatorname{vec} (A X^{-1} Y)$ where $C$ and $A$ are constant matrices and $X$ and $Y$ are the variable matrices. This would be a vector function of ...