Herman Rubin wrote: > In article <[EMAIL PROTECTED]>, > Fernando De la Torre <[EMAIL PROTECTED]> wrote: >> Hi all, > >> I want to make the matrix derivative of an expression like: > >> min over B of sum_i A_i B(B^TW_iB^T)^-1 B^TA_i subject to >> B^TB=Identity. > >> where B^T denotes transpose of B and it is an arbitrary matrix. > >> Do you know any good reference book which show how to make >> derivatives w.r.t. the pseudo-inverse or in general >> any good reference for matrix derivatives. Or any goo trick to >> minimize a similar expression w.r.t. matrix B with constraints? > >> Thanks very much in advance. If possible send an e-mail to >> [EMAIL PROTECTED] > >> Take care. > > Derivatives do not work, but differentials do.
Formulae for derivatives (inc. generalised inverses) are given in (Ch 15 of): Matrix Algebra from a Statistician's Perspective David A. Harville, Springer, 1997 David Jones . . ================================================================= Instructions for joining and leaving this list, remarks about the problem of INAPPROPRIATE MESSAGES, and archives are available at: . http://jse.stat.ncsu.edu/ . =================================================================
