Hi,
I am studying machine learning and lately I had to do some matrix
calculus. I am using the 'The Matrix cookbook' to calculate things
like the gradient and hessian of expressions like:
{Z \alpha}^T (Z^T diag(\alpha) Z - ...)^{-1} Z \alpha
where Z is a matrix and alpha a vector. This can get pretty ugly and
tedious when done by hand.
I looked for some automatic way to do this i.e. a CAS, but didn't find
any (I am looking for something that can do this symbolically and not
numerically).
I was wandering why is it so. Is it too complicated? or maybe its not
well defined?
Thanks,
Amit
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