Re: matrix derivative

From: Peter Spellucci (spellucci_at_fb04373.mathematik.tu-darmstadt.de)
Date: 11/03/04 

Date: Wed, 3 Nov 2004 12:01:09 +0000 (UTC)

In article <5duo7a9vyy8f@legacy>,
 sunht <sunht@ece.ucdavis.edu> writes:
>I am currently having a matrix derivative problem
>
>What is derivative of
>trace{(A+F'*B*F)^(-1)}
>with respect to matrix F
>where ()' is the transpose of a matrix.
>A and B is diagonal matrices.
>
>I searched online and was only able to find the derivative of
>d trace{(F'*B*F)^(-1)}/d F
>=-2*B*F*(F'*B*F)^(-2)
>without knowing how they get it.
>
>Moreover, all these matrix derivative problems seem to be
>difficult forme. Could anyone be kind enough to give me
>some good references on this topic.
>
>Thanks a lot
>

some reference which might help:
 Magnus, J.R., Neudecker, H. Matrix Differential
Calculus with Applications in Statistics and Econometrics.

paul fackler has some notes at
 http://www4.ncsu.edu/~pfackler/MATCALC.ps

hth
peter