by John
Last Updated January 20, 2018 16:20 PM

There is a scaler-by-matrix derivative identity:

$$\frac{\partial}{\partial X}trace\left(AXBX'C\right)=B'X'A'C'+BX'CA$$

How does this change if instead I am trying to find

$$\frac{\partial}{\partial x}trace\left(Adiag(x)Bdiag(x)'C\right)$$

where $x$ is a vector rather than a matrix.

My thinking is that all I have to do is multiply the original identity by a vector of ones as that would be the derivative of $diag(x)$. However, I'm not sure how the chain rule interacts with traces.

I ask as I am trying to calculate. $$\frac{\partial}{\partial w}trace\left(Ddiag(w)\Omega diag(w)D'\right)$$

where $w \mathbb{\in R^{N}}$, $D\mathbb{\in R^{M\times N}}$, and $\Omega\mathbb{\in R^{N\times N}}$. Also $\Omega$ can be assumed to be positive definite.

This implies the result would be

$$\left(2\Omega diag(w)D'D\right)e$$

where $e \mathbb{\in R^{N}}$ is a vector of ones.

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