The Matrix Cookbook

Kaare Brandt Petersen

Michael Syskind Pedersen
Version: February 16, 2006

What is this? These pages are a collection of facts (identities, approxima-

tions, inequalities, relations, ...) about matrices and matters relating to them.
It is collected in this form for the convenience of anyone who wants a quick
desktop reference .

Disclaimer: The identities, approximations and relations presented here were

obviously not invented but collected, borrowed and copied from a large amount
of sources. These sources include similar but shorter notes found on the internet
and appendices in books - see the references for a full list.

Errors: Very likely there are errors, typos, and mistakes for which we apolo-
gize and would be grateful to receive corrections at [email protected].

Its ongoing: The project of keeping a large repository of relations involving

matrices is naturally ongoing and the version will be apparent from the date in
the header.

Suggestions: Your suggestion for additional content or elaboration of some

topics is most welcome at [email protected].

Keywords: Matrix algebra, matrix relations, matrix identities, derivative of

determinant, derivative of inverse matrix, differentiate a matrix.

Acknowledgements: We would like to thank the following for contribu-

tions and suggestions: Christian Rishj, Douglas L. Theobald, Esben Hoegh-
Rasmussen, Lars Christiansen, and Vasile Sima. We would also like thank The
Oticon Foundation for funding our PhD studies.

1
CONTENTS CONTENTS

Contents
1 Basics 5
1.1 Trace and Determinants . . . . . . . . . . . . . . . . . . . . . . . 5
1.2 The Special Case 2x2 . . . . . . . . . . . . . . . . . . . . . . . . . 5

2 Derivatives 7
2.1 Derivatives of a Determinant . . . . . . . . . . . . . . . . . . . . 7
2.2 Derivatives of an Inverse . . . . . . . . . . . . . . . . . . . . . . . 8
2.3 Derivatives of Matrices, Vectors and Scalar Forms . . . . . . . . 9
2.4 Derivatives of Traces . . . . . . . . . . . . . . . . . . . . . . . . . 11
2.5 Derivatives of Structured Matrices . . . . . . . . . . . . . . . . . 12

3 Inverses 15
3.1 Basic . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
3.2 Exact Relations . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
3.3 Implication on Inverses . . . . . . . . . . . . . . . . . . . . . . . . 17
3.4 Approximations . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
3.5 Generalized Inverse . . . . . . . . . . . . . . . . . . . . . . . . . . 17
3.6 Pseudo Inverse . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17

4 Complex Matrices 19
4.1 Complex Derivatives . . . . . . . . . . . . . . . . . . . . . . . . . 19

5 Decompositions 22
5.1 Eigenvalues and Eigenvectors . . . . . . . . . . . . . . . . . . . . 22
5.2 Singular Value Decomposition . . . . . . . . . . . . . . . . . . . . 22
5.3 Triangular Decomposition . . . . . . . . . . . . . . . . . . . . . . 24

6 Statistics and Probability 25

6.1 Definition of Moments . . . . . . . . . . . . . . . . . . . . . . . . 25
6.2 Expectation of Linear Combinations . . . . . . . . . . . . . . . . 26
6.3 Weighted Scalar Variable . . . . . . . . . . . . . . . . . . . . . . 27

7 Gaussians 28
7.1 Basics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
7.2 Moments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
7.3 Miscellaneous . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32
7.4 Mixture of Gaussians . . . . . . . . . . . . . . . . . . . . . . . . . 33

8 Special Matrices 34
8.1 Units, Permutation and Shift . . . . . . . . . . . . . . . . . . . . 34
8.2 The Singleentry Matrix . . . . . . . . . . . . . . . . . . . . . . . 35
8.3 Symmetric and Antisymmetric . . . . . . . . . . . . . . . . . . . 37
8.4 Vandermonde Matrices . . . . . . . . . . . . . . . . . . . . . . . . 37
8.5 Toeplitz Matrices . . . . . . . . . . . . . . . . . . . . . . . . . . . 38
8.6 The DFT Matrix . . . . . . . . . . . . . . . . . . . . . . . . . . . 39

Petersen & Pedersen, The Matrix Cookbook, Version: February 16, 2006, Page 2
CONTENTS CONTENTS

8.7 Positive Definite and Semi-definite Matrices . . . . . . . . . . . . 40

8.8 Block matrices . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41

9 Functions and Operators 43

9.1 Functions and Series . . . . . . . . . . . . . . . . . . . . . . . . . 43
9.2 Kronecker and Vec Operator . . . . . . . . . . . . . . . . . . . . 44
9.3 Solutions to Systems of Equations . . . . . . . . . . . . . . . . . 45
9.4 Matrix Norms . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47
9.5 Rank . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48
9.6 Integral Involving Dirac Delta Functions . . . . . . . . . . . . . . 48
9.7 Miscellaneous . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49

A One-dimensional Results 50
A.1 Gaussian . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50
A.2 One Dimensional Mixture of Gaussians . . . . . . . . . . . . . . . 51

B Proofs and Details 53

B.1 Misc Proofs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53

Petersen & Pedersen, The Matrix Cookbook, Version: February 16, 2006, Page 3
CONTENTS CONTENTS

Notation and Nomenclature

A Matrix
Aij Matrix indexed for some purpose
Ai Matrix indexed for some purpose
Aij Matrix indexed for some purpose
An Matrix indexed for some purpose or
The n.th power of a square matrix
A1 The inverse matrix of the matrix A
A+ The pseudo inverse matrix of the matrix A (see Sec. 3.6)
A1/2 The square root of a matrix (if unique), not elementwise
(A)ij The (i, j).th entry of the matrix A
Aij The (i, j).th entry of the matrix A
[A]ij The ij-submatrix, i.e. A with i.th row and j.th column deleted
a Vector
ai Vector indexed for some purpose
ai The i.th element of the vector a
a Scalar

<z Real part of a scalar

<z Real part of a vector
<Z Real part of a matrix
=z Imaginary part of a scalar
=z Imaginary part of a vector
=Z Imaginary part of a matrix

det(A) Determinant of A
Tr(A) Trace of the matrix A
diag(A) Diagonal matrix of the matrix A, i.e. (diag(A))ij = ij Aij
vec(A) The vector-version of the matrix A (see Sec. 9.2.2)
||A|| Matrix norm (subscript if any denotes what norm)
AT Transposed matrix
A Complex conjugated matrix
AH Transposed and complex conjugated matrix (Hermitian)

AB Hadamard (elementwise) product

AB Kronecker product

0 The null matrix. Zero in all entries.

I The identity matrix
Jij The single-entry matrix, 1 at (i, j) and zero elsewhere
A positive definite matrix
A diagonal matrix

Petersen & Pedersen, The Matrix Cookbook, Version: February 16, 2006, Page 4
 1 BASICS

1 Basics

(AB)1 = B1 A1
(ABC...)1 = ...C1 B1 A1
(AT )1 = (A1 )T
(A + B)T = AT + B T
(AB)T = B T AT
(ABC...)T = ...CT BT AT
(AH )1 = (A1 )H
(A + B)H = AH + B H
(AB)H = B H AH
(ABC...)H = ...CH BH AH

1.1 Trace and Determinants

P
Tr(A) = Aii
Pi
Tr(A) = i i , i = eig(A)
T
Tr(A) = Tr(A )
Tr(AB) = Tr(BA)
Tr(A + B) = Tr(A) + Tr(B)
Tr(ABC) = Tr(BCA) = Tr(CAB)
Q
det(A) = i i i = eig(A)
det(AB) = det(A) det(B)
det(A1 ) = 1/ det(A)
det(I + uvT ) = 1 + uT v

1.2 The Special Case 2x2

Consider the matrix A  
A11 A12
A=
A21 A22
Determinant and trace

det(A) = A11 A22 A12 A21

Tr(A) = A11 + A22

Eigenvalues
2 Tr(A) + det(A) = 0

Petersen & Pedersen, The Matrix Cookbook, Version: February 16, 2006, Page 5
1.2 The Special Case 2x2 1 BASICS

p p
Tr(A) + Tr(A)2 4 det(A) Tr(A) Tr(A)2 4 det(A)
1 = 2 =
2 2
1 + 2 = Tr(A) 1 2 = det(A)
Eigenvectors    
A12 A12
v1 v2
1 A11 2 A11
Inverse  
1 1 A22 A12
A =
det(A) A21 A11

Petersen & Pedersen, The Matrix Cookbook, Version: February 16, 2006, Page 6
 2 DERIVATIVES

2 Derivatives
This section is covering differentiation of a number of expressions with respect to
a matrix X. Note that it is always assumed that X has no special structure, i.e.
that the elements of X are independent (e.g. not symmetric, Toeplitz, positive
definite). See section 2.5 for differentiation of structured matrices. The basic
assumptions can be written in a formula as
Xkl
= ik lj
Xij

that is for e.g. vector forms,

     
x xi x x x xi
= = =
y i y y i yi y ij yj

The following rules are general and very useful when deriving the differential of
an expression ([13]):

A = 0 (A is a constant) (1)
(X) = X (2)
(X + Y) = X + Y (3)
(Tr(X)) = Tr(X) (4)
(XY) = (X)Y + X(Y) (5)
(X Y) = (X) Y + X (Y) (6)
(X Y) = (X) Y + X (Y) (7)
(X1 ) = X1 (X)X1 (8)
(det(X)) = det(X)Tr(X1 X) (9)
(ln(det(X))) = Tr(X1 X) (10)
XT = (X)T (11)
XH = (X)H (12)

2.1 Derivatives of a Determinant

2.1.1 General form
 
det(Y) Y
= det(Y)Tr Y1
x x

2.1.2 Linear forms

det(X)
= det(X)(X1 )T
X
det(AXB)
= det(AXB)(X1 )T = det(AXB)(XT )1
X

Petersen & Pedersen, The Matrix Cookbook, Version: February 16, 2006, Page 7
2.2 Derivatives of an Inverse 2 DERIVATIVES

2.1.3 Square forms

If X is square and invertible, then

det(XT AX)
= 2 det(XT AX)XT
X
If X is not square but A is symmetric, then

det(XT AX)
= 2 det(XT AX)AX(XT AX)1
X
If X is not square and A is not symmetric, then

det(XT AX)
= det(XT AX)(AX(XT AX)1 + AT X(XT AT X)1 ) (13)
X

2.1.4 Other nonlinear forms

Some special cases are (See [8, 7])

ln det(XT X)|
= 2(X+ )T
X
ln det(XT X)
= 2XT
X+
ln | det(X)|
= (X1 )T = (XT )1
X
det(Xk )
= k det(Xk )XT
X

2.2 Derivatives of an Inverse

From [19] we have the basic identity

Y1 Y 1
= Y1 Y
x x
from which it follows
(X1 )kl
= (X1 )ki (X1 )jl
Xij
aT X1 b
= XT abT XT
X
det(X1 )
= det(X1 )(X1 )T
X
Tr(AX1 B)
= (X1 BAX1 )T
X

Petersen & Pedersen, The Matrix Cookbook, Version: February 16, 2006, Page 8
2.3 Derivatives of Matrices, Vectors and Scalar Forms 2 DERIVATIVES

2.3 Derivatives of Matrices, Vectors and Scalar Forms

2.3.1 First Order

xT a aT x
= = a
x x
aT Xb
= abT
X
aT XT b
= baT
X
aT Xa aT XT a
= = aaT
X X
X
= Jij
Xij
(XA)ij
= im (A)nj = (Jmn A)ij
Xmn
(XT A)ij
= in (A)mj = (Jnm A)ij
Xmn

2.3.2 Second Order

X X
Xkl Xmn = 2 Xkl
Xij
klmn kl
bT XT Xc
= X(bcT + cbT )
X
(Bx + b)T C(Dx + d)
= BT C(Dx + d) + DT CT (Bx + b)
x
(XT BX)kl
= lj (XT B)ki + kj (BX)il
Xij
(XT BX)
= XT BJij + Jji BX (Jij )kl = ik jl
Xij

See Sec 8.2 for useful properties of the Single-entry matrix Jij

xT Bx
= (B + BT )x
x
bT XT DXc
= DT XbcT + DXcbT
X

(Xb + c)T D(Xb + c) = (D + DT )(Xb + c)bT
X

Petersen & Pedersen, The Matrix Cookbook, Version: February 16, 2006, Page 9
2.3 Derivatives of Matrices, Vectors and Scalar Forms 2 DERIVATIVES

Assume W is symmetric, then

(x As)T W(x As) = 2AT W(x As)
s

(x s)T W(x s) = 2W(x s)
s

(x As)T W(x As) = 2W(x As)
x

(x As)T W(x As) = 2W(x As)sT
A

2.3.3 Higher order and non-linear

n1
X
T n
a X b= (Xr )T abT (Xn1r )T (14)
X r=0

T n T n Xh
n1
a (X ) X b = Xn1r abT (Xn )T Xr
X r=0
i
+(Xr )T Xn abT (Xn1r )T (15)

See B.1.1 for a proof.

Assume s and r are functions of x, i.e. s = s(x), r = r(x), and that A is a
constant, then
 T  
T s r
s Ar = Ar + sT A
x x x

2.3.4 Gradient and Hessian

Using the above we have for the gradient and the hessian

f = xT Ax + bT x
f
x f = = (A + AT )x + b
x
2f
= A + AT
xxT

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2.4 Derivatives of Traces 2 DERIVATIVES

2.4 Derivatives of Traces

2.4.1 First Order

Tr(X) = I
X

Tr(XA) = AT (16)
X

Tr(AXB) = AT B T
X

Tr(AXT B) = BA
X

Tr(XT A) = A
X

Tr(AXT ) = A
X

2.4.2 Second Order

Tr(X2 ) = 2XT
X

Tr(X2 B) = (XB + BX)T
X

Tr(XT BX) = BX + BT X
X

Tr(XBXT ) = XBT + XB
X

Tr(AXBX) = AT XT BT + BT XT AT
X

Tr(XT X) = 2X
X

Tr(BXXT ) = (B + BT )X
X

Tr(BT XT CXB) = CT XBBT + CXBBT
X
 
Tr XT BXC = BXC + BT XCT
X

Tr(AXBXT C) = AT CT XBT + CAXB
X
h i
Tr (AXb + c)(AXb + c)T = 2AT (AXb + c)bT
X
See [7].

Petersen & Pedersen, The Matrix Cookbook, Version: February 16, 2006, Page 11
2.5 Derivatives of Structured Matrices 2 DERIVATIVES

2.4.3 Higher Order

Tr(Xk ) = k(Xk1 )T
X
k1
X

Tr(AXk ) = (Xr AXkr1 )T
X r=0
 T T T
 T

X Tr B X CXX CXB = CXX CXBBT
+CT XBBT XT CT X
+CXBBT XT CX
+CT XXT CT XBBT

2.4.4 Other

Tr(AX1 B) = (X1 BAX1 )T = XT AT BT XT
X
Assume B and C to be symmetric, then
h i
Tr (XT CX)1 A = (CX(XT CX)1 )(A + AT )(XT CX)1
X

h i
Tr (XT CX)1 (XT BX) = 2CX(XT CX)1 XT BX(XT CX)1
X
+2BX(XT CX)1

See [7].

2.5 Derivatives of Structured Matrices

Assume that the matrix A has some structure, i.e. symmetric, toeplitz, etc.
In that case the derivatives of the previous section does not apply in general.
Instead, consider the following general rule for differentiating a scalar function
f (A) " #
X f Akl T
df f A
= = Tr
dAij Akl Aij A Aij
kl
The matrix differentiated with respect to itself is in this document referred to
as the structure matrix of A and is defined simply by
A
= Sij
Aij

If A has no special structure we have simply Sij = Jij , that is, the structure
matrix is simply the singleentry matrix. Many structures have a representation
in singleentry matrices, see Sec. 8.2.6 for more examples of structure matrices.

Petersen & Pedersen, The Matrix Cookbook, Version: February 16, 2006, Page 12
2.5 Derivatives of Structured Matrices 2 DERIVATIVES

2.5.1 The Chain Rule

Sometimes the objective is to find the derivative of a matrix which is a function
of another matrix. Let U = f (X), the goal is to find the derivative of the
function g(U) with respect to X:

g(U) g(f (X))

= (17)
X X
Then the Chain Rule can then be written the following way:
M N
g(U) g(U) X X g(U) ukl
= = (18)
X xij ukl xij
k=1 l=1

Using matrix notation, this can be written as:

g(U) h g(U) U i
= Tr ( )T . (19)
Xij U Xij

2.5.2 Symmetric
If A is symmetric, then Sij = Jij + Jji Jij Jij and therefore
   T  
df f f f
= + diag
dA A A A

That is, e.g., ([5], [20]):

Tr(AX)
= A + AT (A I), see (23) (20)
X
det(X)
= det(X)(2X1 (X1 I)) (21)
X
ln det(X)
= 2X1 (X1 I) (22)
X

2.5.3 Diagonal
If X is diagonal, then ([13]):

Tr(AX)
= AI (23)
X

2.5.4 Toeplitz
Like symmetric matrices and diagonal matrices also Toeplitz matrices has a
special structure which should be taken into account when the derivative with
respect to a matrix with Toeplitz structure.

Petersen & Pedersen, The Matrix Cookbook, Version: February 16, 2006, Page 13
2.5 Derivatives of Structured Matrices 2 DERIVATIVES

Tr(AT)
(24)
T
Tr(TA)
=
T
Tr(A) Tr([AT ]n1 ) Tr([[AT ]1n ]n1,2 ) An1

.
.
.
.
.
.
Tr([AT ]1n )) Tr(A) . . .

= Tr([[AT ]1n ]2,n1 )
.
.
.
.
.
.
Tr([[AT ]1n ]n1,2 )

. . .

.
.
.
.
.
.
.
.

. . . . Tr([AT ]n1 )
A1n Tr([[AT ]1n ]2,n1 ) Tr([AT ]1n )) Tr(A)

(A)

As it can be seen, the derivative (A) also has a Toeplitz structure. Each value
in the diagonal is the sum of all the diagonal valued in A, the values in the
diagonals next to the main diagonal equal the sum of the diagonal next to the
main diagonal in AT . This result is only valid for the unconstrained Toeplitz
matrix. If the Toeplitz matrix also is symmetric, the same derivative yields

Tr(AT) Tr(TA)
=
T T
= (A) + (A)T (A) I (25)

Petersen & Pedersen, The Matrix Cookbook, Version: February 16, 2006, Page 14
 3 INVERSES

3 Inverses
3.1 Basic
3.1.1 Definition
The inverse A1 of a matrix A Cnn is defined such that

AA1 = A1 A = I, (26)

where I is the n n identity matrix. If A1 exists, A is said to be nonsingular.

Otherwise, A is said to be singular (see e.g. [9]).

3.1.2 Cofactors and Adjoint

The submatrix of a matrix A, denoted by [A]ij is a (n 1) (n 1) matrix
obtained by deleting the ith row and the jth column of A. The (i, j) cofactor
of a matrix is defined as

cof(A, i, j) = (1)i+j det([A]ij ), (27)

The matrix of cofactors can be created from the cofactors

cof(A, 1, 1) cof(A, 1, n)


.
.. .
..
cof(A) = cof(A, i, j) (28)


cof(A, n, 1) cof(A, n, n)

The adjoint matrix is the transpose of the cofactor matrix

adj(A) = (cof(A))T , (29)

3.1.3 Determinant
The determinant of a matrix A Cnn is defined as (see [9])
n
X
det(A) = (1)j+1 A1j det ([A]1j )
j=1
n
X
= A1j cof(A, 1, j). (30)
j=1

3.1.4 Construction
The inverse matrix can be constructed, using the adjoint matrix, by
1
A1 = adj(A) (31)
det(A)

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3.2 Exact Relations 3 INVERSES

3.1.5 Condition number

The condition number of a matrix c(A) is the ratio between the largest and the
smallest singular value of a matrix (see Section 5.2 on singular values),

d+
c(A) =
d

The condition number can be used to measure how singular a matrix is. If the
condition number is large, it indicates that the matrix is nearly singular. The
condition number can also be estimated from the matrix norms. Here

c(A) = kAk kA1 k, (32)

where k k is a norm such as e.g the 1-norm, the 2-norm, the -norm or the
Frobenius norm (see Sec 9.4 for more on matrix norms).

3.2 Exact Relations

3.2.1 The Woodbury identity

(A + CBCT )1 = A1 A1 C(B1 + CT A1 C)1 CT A1

If P, R are positive definite, then (see [22])

(P1 + BT R1 B)1 BT R1 = PBT (BPBT + R)1

3.2.2 The Kailath Variant

(A + BC)1 = A1 A1 B(I + CA1 B)1 CA1

See [4] page 153.

3.2.3 The Searle Set of Identities

The following set of identities, can be found in [17], page 151,

(I + A1 )1 = A(A + I)1

(A + BBT )1 B = A1 B(I + BT A1 B)1

(A1 + B1 )1 = A(A + B)1 B = B(A + B)1 A
A A(A + B)1 A = B B(A + B)1 B
A1 + B1 = A1 (A + B)B1
(I + AB)1 = I A(I + BA)1 B
(I + AB)1 A = A(I + BA)1

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3.3 Implication on Inverses 3 INVERSES

3.3 Implication on Inverses

(A + B)1 = A1 + B1 AB1 A = BA1 B

See [17].

3.3.1 A PosDef identity

Assume P, R to be positive definite and invertible, then

(P1 + BT R1 B)1 BT R1 = PBT (BPBT + R)1

See [22].

3.4 Approximations

(I + A)1 = I A + A2 A3 + ...
A A(I + A)1 A
= I A1 if A large and symmetric
If 2 is small then

(Q + 2 M)1
= Q1 2 Q1 MQ1

3.5 Generalized Inverse

3.5.1 Definition
A generalized inverse matrix of the matrix A is any matrix A such that (see
[18])
AA A = A
The matrix A is not unique.

3.6 Pseudo Inverse

3.6.1 Definition
The pseudo inverse (or Moore-Penrose inverse) of a matrix A is the matrix A+
that fulfils

I AA+ A = A
II A+ AA+ = A+
III AA+ symmetric
IV A+ A symmetric

The matrix A+ is unique and does always exist.

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3.6 Pseudo Inverse 3 INVERSES

3.6.2 Properties
Assume A+ to be the pseudo-inverse of A, then (See [3])

(A+ )+ = A
(AT )+ = (A+ )T
(cA)+ = (1/c)A+
T +
(A A) = A+ (AT )+
(AAT )+ = (AT )+ A+

Assume A to have full rank, then

(AA+ )(AA+ ) = AA+

(A+ A)(A+ A) = A+ A
Tr(AA+ ) = rank(AA+ ) (See [18])
Tr(A+ A) = rank(A+ A) (See [18])

3.6.3 Construction
Assume that A has full rank, then
A nn Square rank(A) = n A+ = A1
A nm Broad rank(A) = n A+ = AT (AAT )1
A nm Tall rank(A) = m A+ = (AT A)1 AT

Assume A does not have full rank, i.e. A is nm and rank(A) = r < min(n, m).
The pseudo inverse A+ can be constructed from the singular value decomposi-
tion A = UDVT , by
A+ = VD+ UT
A different way is this: There does always exists two matrices C n r and D
r m of rank r, such that A = CD. Using these matrices it holds that

A+ = DT (DDT )1 (CT C)1 CT

See [3].

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 4 COMPLEX MATRICES

4 Complex Matrices
4.1 Complex Derivatives
In order to differentiate an expression f (z) with respect to a complex z, the
Cauchy-Riemann equations have to be satisfied ([7]):

df (z) <(f (z)) =(f (z))

= +i (33)
dz <z <z
and
df (z) <(f (z)) =(f (z))
= i + (34)
dz =z =z
or in a more compact form:

f (z) f (z)
=i . (35)
=z <z
A complex function that satisfies the Cauchy-Riemann equations for points in a
region R is said yo be analytic in this region R. In general, expressions involving
complex conjugate or conjugate transpose do not satisfy the Cauchy-Riemann
equations. In order to avoid this problem, a more generalized definition of
complex derivative is used ([16], [6]):
Generalized Complex Derivative:

df (z) 1  f (z) f (z) 

= i . (36)
dz 2 <z =z

Conjugate Complex Derivative

df (z) 1  f (z) f (z) 

= + i . (37)
dz 2 <z =z

The Generalized Complex Derivative equals the normal derivative, when f is an

analytic function. For a non-analytic function such as f (z) = z , the derivative
equals zero. The Conjugate Complex Derivative equals zero, when f is an
analytic function. The Conjugate Complex Derivative has e.g been used by [14]
when deriving a complex gradient.
Notice:
df (z) f (z) f (z)
6= +i . (38)
dz <z =z
Complex Gradient Vector: If f is a real function of a complex vector z,
then the complex gradient vector is given by ([11, p. 798])

df (z)
f (z) = 2 (39)
dz
f (z) f (z)
= +i .
<z =z

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4.1 Complex Derivatives 4 COMPLEX MATRICES

Complex Gradient Matrix: If f is a real function of a complex matrix Z,

then the complex gradient matrix is given by ([2])

df (Z)
f (Z) = 2 (40)
dZ
f (Z) f (Z)
= +i .
<Z =Z
These expressions can be used for gradient descent algorithms.

4.1.1 The Chain Rule for complex numbers

The chain rule is a little more complicated when the function of a complex
u = f (x) is non-analytic. For a non-analytic function, the following chain rule
can be applied ([7])

g(u) g u g u
= + (41)
x u x u x
g u  g  u
= +
u x u x
Notice, if the function is analytic, the second term reduces to zero, and the func-
tion is reduced to the normal well-known chain rule. For the matrix derivative
of a scalar function g(U), the chain rule can be written the following way:

g(U) Tr(( g(U) T

U ) U) Tr(( g(U) T
U ) U )
= + . (42)
X X X

4.1.2 Complex Derivatives of Traces

If the derivatives involve complex numbers, the conjugate transpose is often in-
volved. The most useful way to show complex derivative is to show the derivative
with respect to the real and the imaginary part separately. An easy example is:

Tr(X ) Tr(XH )
= = I (43)
<X <X

Tr(X ) Tr(XH )
i =i = I (44)
=X =X
Since the two results have the same sign, the conjugate complex derivative (37)
should be used.
Tr(X) Tr(XT )
= = I (45)
<X <X
Tr(X) Tr(XT )
i =i = I (46)
=X =X
Here, the two results have different signs, the generalized complex derivative
(36) should be used. Hereby, it can be seen that (16) holds even if X is a

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4.1 Complex Derivatives 4 COMPLEX MATRICES

complex number.

Tr(AXH )
= A (47)
<X
Tr(AXH )
i = A (48)
=X

Tr(AX )
= AT (49)
<X
Tr(AX )
i = AT (50)
=X

Tr(XXH ) Tr(XH X)
= = 2<X (51)
<X <X
H
Tr(XX ) Tr(XH X)
i =i = i2=X (52)
=X =X
By inserting (51) and (52) in (36) and (37), it can be seen that

Tr(XXH )
= X (53)
X
Tr(XXH )
=X (54)
X
Since the function Tr(XXH ) is a real function of the complex matrix X, the
complex gradient matrix (40) is given by

Tr(XXH )
Tr(XXH ) = 2 = 2X (55)
X

4.1.3 Complex Derivative Involving Determinants

Here, a calculation example is provided. The objective is to find the derivative
of det(XH AX) with respect to X Cmn . The derivative is found with respect
to the real part and the imaginary part of X, by use of (9) and (5), det(XH AX)
can be calculated as (see Sec. B.1.2 for details)

det(XH AX) 1  det(XH AX) det(XH AX) 

= i
X 2 <X =X
H H 1 H

T
= det(X AX) (X AX) X A (56)

and the complex conjugate derivative yields

det(XH AX) 1  det(XH AX) det(XH AX) 

= +i
X 2 <X =X
= det(XH AX)AX(XH AX)1 (57)

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 5 DECOMPOSITIONS

5 Decompositions
5.1 Eigenvalues and Eigenvectors
5.1.1 Definition
The eigenvectors v and eigenvalues are the ones satisfying

Avi = i vi

AV = VD, (D)ij = ij i
where the columns of V are the vectors vi

5.1.2 General Properties

eig(AB) = eig(BA)
A is n m At most min(n, m) distinct i
rank(A) = r At most r non-zero i

5.1.3 Symmetric
Assume A is symmetric, then

VVT = I (i.e. V is orthogonal)

i R (i.e. i is real)
p P p
Tr(A ) = i i
eig(I + cA) = 1 + ci
eig(A cI) = i c
eig(A1 ) = 1
i

For a symmetric, positive matrix A,

eig(AT A) = eig(AAT ) = eig(A) eig(A) (58)

5.2 Singular Value Decomposition

Any n m matrix A can be written as

A = UDVT

where
U = eigenvectors
p of AAT n n
D = diag(eig(AAT )) nm
V = eigenvectors of AT A m m

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5.2 Singular Value Decomposition 5 DECOMPOSITIONS

5.2.1 Symmetric Square decomposed into squares

Assume A to be n n and symmetric. Then
     T 
A = V D V
where D is diagonal with the eigenvalues of A and V is orthogonal and the
eigenvectors of A.

5.2.2 Square decomposed into squares

Assume A Rnn . Then
     
A = V D UT
where D is diagonal with the square root of the eigenvalues of AAT , V is the
eigenvectors of AAT and UT is the eigenvectors of AT A.

5.2.3 Square decomposed into rectangular

Assume V D UT = 0 then we can expand the SVD of A into
  T 
    D 0 U
A = V V
0 D UT
where the SVD of A is A = VDUT .

5.2.4 Rectangular decomposition I

Assume A is n m
     
A = V D UT
where D is diagonal with the square root of the eigenvalues of AAT , V is the
eigenvectors of AAT and UT is the eigenvectors of AT A.

5.2.5 Rectangular decomposition II

Assume A is n m

   
A = V D UT

5.2.6 Rectangular decomposition III

Assume A is n m

    
A = V D UT

where D is diagonal with the square root of the eigenvalues of AAT , V is the
eigenvectors of AAT and UT is the eigenvectors of AT A.

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5.3 Triangular Decomposition 5 DECOMPOSITIONS

5.3 Triangular Decomposition

5.3.1 Cholesky-decomposition
Assume A is positive definite, then

A = BT B

where B is a unique upper triangular matrix.

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 6 STATISTICS AND PROBABILITY

6 Statistics and Probability

6.1 Definition of Moments
Assume x Rn1 is a random variable

6.1.1 Mean
The vector of means, m, is defined by

(m)i = hxi i

6.1.2 Covariance
The matrix of covariance M is defined by

(M)ij = h(xi hxi i)(xj hxj i)i

or alternatively as
M = h(x m)(x m)T i

6.1.3 Third moments

The matrix of third centralized moments in some contexts referred to as
coskewness is defined using the notation
(3)
mijk = h(xi hxi i)(xj hxj i)(xk hxk i)i

as h i
(3) (3)
M3 = m::1 m::2 ...m(3)
::n

where : denotes all elements within the given index. M3 can alternatively be
expressed as
M3 = h(x m)(x m)T (x m)T i

6.1.4 Fourth moments

The matrix of fourth centralized moments in some contexts referred to as
cokurtosis is defined using the notation
(4)
mijkl = h(xi hxi i)(xj hxj i)(xk hxk i)(xl hxl i)i

as h i
(4) (4) (4) (4) (4) (4) (4) (4)
M4 = m::11 m::21 ...m::n1 |m::12 m::22 ...m::n2 |...|m::1n m::2n ...m(4)
::nn

or alternatively as

M4 = h(x m)(x m)T (x m)T (x m)T i

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6.2 Expectation of Linear Combinations
6 STATISTICS AND PROBABILITY

6.2 Expectation of Linear Combinations

6.2.1 Linear Forms
Assume X and x to be a matrix and a vector of random variables. Then (see
See [18])
E[AXB + C] = AE[X]B + C
Var[Ax] = AVar[x]AT
Cov[Ax, By] = ACov[x, y]BT
Assume x to be a stochastic vector with mean m, then (see [7])

E[Ax + b] = Am + b
E[Ax] = Am
E[x + b] = m+b

6.2.2 Quadratic Forms

Assume A is symmetric, c = E[x] and = Var[x]. Assume also that all
coordinates xi are independent, have the same central moments 1 , 2 , 3 , 4
and denote a = diag(A). Then (See [18])

E[xT Ax] = Tr(A) + cT Ac

Var[xT Ax] = 222 Tr(A2 ) + 42 cT A2 c + 43 cT Aa + (4 322 )aT a

Also, assume x to be a stochastic vector with mean m, and covariance M. Then
(see [7])

E[(Ax + a)(Bx + b)T ] = AMBT + (Am + a)(Bm + b)T

E[xxT ] = M + mmT
E[xaT x] = (M + mmT )a
E[xT axT ] = aT (M + mmT )
E[(Ax)(Ax)T ] = A(M + mmT )AT
E[(x + a)(x + a)T ] = M + (m + a)(m + a)T

E[(Ax + a)T (Bx + b)] = Tr(AMBT ) + (Am + a)T (Bm + b)

E[xT x] = Tr(M) + mT m
E[xT Ax] = Tr(AM) + mT Am
E[(Ax)T (Ax)] = Tr(AMAT ) + (Am)T (Am)
E[(x + a)T (x + a)] = Tr(M) + (m + a)T (m + a)

See [7].

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6.3 Weighted Scalar Variable 6 STATISTICS AND PROBABILITY

6.2.3 Cubic Forms

Assume x to be a stochastic vector with independent coordinates, mean m,
covariance M and central moments v3 = E[(x m)3 ]. Then (see [7])

E[(Ax + a)(Bx + b)T (Cx + c)] = Adiag(BT C)v3

+Tr(BMCT )(Am + a)
+AMCT (Bm + b)
+(AMBT + (Am + a)(Bm + b)T )(Cm + c)
E[xxT x] = v3 + 2Mm + (Tr(M) + mT m)m
E[(Ax + a)(Ax + a)T (Ax + a)] = Adiag(AT A)v3
+[2AMAT + (Ax + a)(Ax + a)T ](Am + a)
+Tr(AMAT )(Am + a)

E[(Ax + a)bT (Cx + c)(Dx + d)T ] = (Ax + a)bT (CMDT + (Cm + c)(Dm + d)T )
+(AMCT + (Am + a)(Cm + c)T )b(Dm + d)T
+bT (Cm + c)(AMDT (Am + a)(Dm + d)T )

6.3 Weighted Scalar Variable

Assume x Rn1 is a random variable, w Rn1 is a vector of constants and
y is the linear combination y = wT x. Assume further that m, M2 , M3 , M4
denotes the mean, covariance, and central third and fourth moment matrix of
the variable x. Then it holds that

hyi = wT m
h(y hyi)2 i = wT M2 w
h(y hyi)3 i = wT M3 w w
h(y hyi)4 i = wT M4 w w w

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 7 GAUSSIANS

7 Gaussians
7.1 Basics
7.1.1 Density and normalization
The density of x N (m, ) is
 
1 1
p(x) = p exp (x m)T 1 (x m)
det(2) 2

Note that if x is d-dimensional, then det(2) = (2)d det().

Integration and normalization
Z  
1 T 1
p
exp (x m) (x m) dx = det(2)
2
Z    
1 T T
p 1 T 1
1
exp x Ax + b x dx = det(2A ) exp b A b
2 2
Z    
1 p 1
exp Tr(ST AS) + Tr(BT S) dS = det(2A1 ) exp Tr(BT A1 B)
2 2
The derivatives of the density are

p(x)
= p(x)1 (x m)
x
2p  
= p(x) 1 (x m)(x m)T 1 1
xxT

7.1.2 Marginal Distribution

Assume x Nx (, ) where
     
xa a a c
x= = =
xb b Tc b

then

p(xa ) = Nxa (a , a )
p(xb ) = Nxb (b , b )

7.1.3 Conditional Distribution

Assume x Nx (, ) where
     
xa a a c
x= = =
xb b Tc b

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7.1 Basics 7 GAUSSIANS

then
n = a + c 1
p(xa |xb ) = Nxa (a , a ) a b (xb b )
a = a c 1
b c
T

n = b + Tc 1
b a (xa a )
p(xb |xa ) = Nxb (b , b )
b = b Tc 1
a c

7.1.4 Linear combination

Assume x N (mx , x ) and y N (my , y ) then

Ax + By + c N (Amx + Bmy + c, Ax AT + By BT )

7.1.5 Rearranging Means

p
det(2(AT 1 A)1 )
NAx [m, ] = p Nx [A1 m, (AT 1 A)1 ]
det(2)

7.1.6 Rearranging into squared form

If A is symmetric, then
1 1 1
xT Ax + bT x = (x A1 b)T A(x A1 b) + bT A1 b
2 2 2
1 1 1
Tr(XT AX)+Tr(BT X) = Tr[(XA1 B)T A(XA1 B)]+ Tr(BT A1 B)
2 2 2

7.1.7 Sum of two squared forms

In vector formulation (assuming 1 , 2 are symmetric)
1
(x m1 )T 1
1 (x m1 )
2
1
(x m2 )T 1
2 (x m2 )
2
1
= (x mc )T 1
c (x mc ) + C
2

1
c = 1
1 + 2
1

mc = (1 1 1
1 + 2 ) (1 1
1 m1 + 2 m2 )
1 T 1
C = (m + mT2 1 1 1 1
2 )(1 + 2 ) (1 1
1 m1 + 2 m2 )
2 1 1
1 
mT1 1 T 1
1 m1 + m2 2 m2
2

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7.2 Moments 7 GAUSSIANS

In a trace formulation (assuming 1 , 2 are symmetric)

1
Tr((X M1 )T 11 (X M1 ))
2
1
Tr((X M2 )T 21 (X M2 ))
2
1
= Tr[(X Mc )T 1
c (X Mc )] + C
2

1
c = 1
1 + 2
1

Mc = (1 1 1
1 + 2 ) (1 1
1 M1 + 2 M2 )
1 h i
C = Tr (1
1 M 1 + 1
2 M2 )T
(1
1 + 1 1
2 ) ( 1
1 M1 + 1
2 M2 )
2
1
Tr(MT1 1 T 1
1 M1 + M2 2 M2 )
2

7.1.8 Product of gaussian densities

Let Nx (m, ) denote a density of x, then
Nx (m1 , 1 ) Nx (m2 , 2 ) = cc Nx (mc , c )

cc = Nm1 (m2 , (1 + 2 ))
 
1 1 T 1
= p exp (m1 m2 ) (1 + 2 ) (m1 m2 )
det(2(1 + 2 )) 2
mc = (1 1 1
1 + 2 ) (1 1
1 m1 + 2 m2 )
1 1 1
c = (1 + 2 )
but note that the product is not normalized as a density of x.

7.2 Moments
7.2.1 Mean and covariance of linear forms
First and second moments. Assume x N (m, )
E(x) = m

Cov(x, x) = Var(x) = = E(xxT ) E(x)E(xT ) = E(xxT ) mmT

As for any other distribution is holds for gaussians that
E[Ax] = AE[x]
Var[Ax] = AVar[x]AT
Cov[Ax, By] = ACov[x, y]BT

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7.2 Moments 7 GAUSSIANS

7.2.2 Mean and variance of square forms

Mean and variance of square forms: Assume x N (m, )

E(xxT ) = + mmT
E[xT Ax] = Tr(A) + mT Am
Var(xT Ax)
= 2 4 Tr(A2 ) + 4 2 mT A2 m
E[(x m ) A(x m )] = (m m0 )T A(m m0 ) + Tr(A)
0 T 0

Assume x N (0, 2 I) and A and B to be symmetric, then

Cov(xT Ax, xT Bx) = 2 4 Tr(AB)

7.2.3 Cubic forms

E[xbT xxT ] = mbT (M + mmT ) + (M + mmT )bmT

+bT m(M mmT )

7.2.4 Mean of Quartic Forms

E[xxT xxT ] =2( + mmT )2 + mT m( mmT )

+Tr()( + mmT )
E[xxT AxxT ] = ( + mmT )(A + AT )( + mmT )
+mT Am( mmT ) + Tr[A( + mmT )]
E[xT xxT x] = 2Tr(2 ) + 4mT m + (Tr() + mT m)2
E[xT AxxT Bx] = Tr[A(B + BT )] + mT (A + AT )(B + BT )m
+(Tr(A) + mT Am)(Tr(B) + mT Bm)

E[aT xbT xcT xdT x]

= (aT ( + mmT )b)(cT ( + mmT )d)
+(aT ( + mmT )c)(bT ( + mmT )d)
+(aT ( + mmT )d)(bT ( + mmT )c) 2aT mbT mcT mdT m

E[(Ax + a)(Bx + b)T (Cx + c)(Dx + d)T ]

= [ABT + (Am + a)(Bm + b)T ][CDT + (Cm + c)(Dm + d)T ]
+[ACT + (Am + a)(Cm + c)T ][BDT + (Bm + b)(Dm + d)T ]
+(Bm + b)T (Cm + c)[ADT (Am + a)(Dm + d)T ]
+Tr(BCT )[ADT + (Am + a)(Dm + d)T ]

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7.3 Miscellaneous 7 GAUSSIANS

E[(Ax + a)T (Bx + b)(Cx + c)T (Dx + d)]

= Tr[A(CT D + DT C)BT ]
+[(Am + a)T B + (Bm + b)T A][CT (Dm + d) + DT (Cm + c)]
+[Tr(ABT ) + (Am + a)T (Bm + b)][Tr(CDT ) + (Cm + c)T (Dm + d)]

See [7].

7.2.5 Moments

X
E[x] = k mk
k
XX
Cov(x) = k k0 (k + mk mTk mk mTk0 )
k k0

7.3 Miscellaneous
7.3.1 Whitening
Assume x N (m, ) then

z = 1/2 (x m) N (0, I)

Conversely having z N (0, I) one can generate data x N (m, ) by setting

x = 1/2 z + m N (m, )

Note that 1/2 means the matrix which fulfils 1/2 1/2 = , and that it exists
and is unique since is positive definite.

7.3.2 The Chi-Square connection

Assume x N (m, ) and x to be n dimensional, then

z = (x m)T 1 (x m) 2n

where 2n denotes the Chi square distribution with n degrees of freedom.

7.3.3 Entropy
Entropy of a D-dimensional gaussian
Z p D
H(x) = N (m, ) ln N (m, )dx = ln det(2) +
2

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7.4 Mixture of Gaussians 7 GAUSSIANS

7.4 Mixture of Gaussians

7.4.1 Density
The variable x is distributed as a mixture of gaussians if it has the density
K
X  
1 1
p(x) = k p exp (x mk )T 1
k (x mk )
det(2k ) 2
k=1

where k sum to 1 and the k all are positive definite.

7.4.2 Derivatives
P
Defining p(s) = k k Ns (k , k ) one get

ln p(s) j Ns (j , j )
= P ln[j Ns (j , j )]
j k k Ns (k , k ) j
j Ns (j , j ) 1
= P
k k Ns (k , k ) j
ln p(s) j Ns (j , j )
= P ln[j Ns (j , j )]
j
k k s N (k , k ) j
j Ns (j , j )  
= P 1 k (s k )
k k Ns (k , k )
ln p(s) j Ns (j , j )
= P ln[j Ns (j , j )]
j
k k s N (k , k ) j
j Ns (j , j ) 1  T 
= P j + T T T
j (s j )(s j ) j

k k s N (k , k ) 2

But k and k needs to be constrained.

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 8 SPECIAL MATRICES

8 Special Matrices
8.1 Units, Permutation and Shift
8.1.1 Unit vector
Let ei Rn1 be the ith unit vector, i.e. the vector which is zero in all entries
except the ith at which it is 1.

8.1.2 Rows and Columns

i.th row of A = eTi A

j.th column of A = Aej

8.1.3 Permutations
Let P be some permutation matrix, e.g.

0 1 0   eT2
P= 1 0 0 = e2 e1 e3 = eT1
0 0 1 eT3
For permutation matrices it holds that

PPT = I

and that
  eT2 A
AP = Ae2 Ae1 Ae3 PA = eT1 A
eT3 A
That is, the first is a matrix which has columns of A but in permuted sequence
and the second is a matrix which has the rows of A but in the permuted se-
quence.

8.1.4 Translation, Shift or Lag Operators

Let L denote the lag (or translation or shift) operator defined on a 4 4
example by
0 0 0 0
1 0 0 0
L=
0 1 0 0
0 0 1 0
i.e. a matrix of zeros with one on the sub-diagonal, (L)ij = i,j+1 . With some
signal xt for t = 1, ..., N , the n.th power of the lag operator shifts the indices,
i.e. n 0 for t = 1, .., n
(Ln x)t =
xtn for t = n + 1, ..., N

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8.2 The Singleentry Matrix 8 SPECIAL MATRICES

A related but slightly different matrix is the recurrent shifted operator defined
on a 4x4 example by
0 0 0 1
1 0 0 0
L =
0 1 0 0

0 0 1 0

i.e. a matrix defined by (L)ij = i,j+1 + i,1 j,dim(L) . On a signal x it has the
effect
(Ln x)t = xt0 , t0 = [(t n) mod N ] + 1
That is, L is like the shift operator L except that it wraps the signal as if it
was periodic and shifted (substituting the zeros with the rear end of the signal).
Note that L is invertible and orthogonal, i.e.

L1 = LT

8.2 The Singleentry Matrix

8.2.1 Definition
The single-entry matrix Jij Rnn is defined as the matrix which is zero
everywhere except in the entry (i, j) in which it is 1. In a 4 4 example one
might have
0 0 0 0
0 0 1 0
J23 =
0 0 0 0

0 0 0 0
The single-entry matrix is very useful when working with derivatives of expres-
sions involving matrices.

8.2.2 Swap and Zeros

Assume A to be n m and Jij to be m p
 
AJij = 0 0 . . . Ai ... 0

i.e. an n p matrix of zeros with the i.th column of A in place of the j.th
column. Assume A to be n m and Jij to be p n

0
..
.

0

Jij A =
Aj

0

.
..
0

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8.2 The Singleentry Matrix 8 SPECIAL MATRICES

i.e. an p m matrix of zeros with the j.th row of A in the placed of the i.th
row.

8.2.3 Rewriting product of elements

Aki Bjl = (Aei eTj B)kl = (AJij B)kl

Aik Blj = (AT ei eTj BT )kl = (AT Jij BT )kl
Aik Bjl = (AT ei eTj B)kl = (AT Jij B)kl
Aki Blj = (Aei eTj BT )kl = (AJij BT )kl

8.2.4 Properties of the Singleentry Matrix

If i = j
Jij Jij = Jij (Jij )T (Jij )T = Jij
Jij (Jij )T = Jij (Jij )T Jij = Jij
If i 6= j
Jij Jij = 0 (Jij )T (Jij )T = 0
Jij (Jij )T = Jii (Jij )T Jij = Jjj

8.2.5 The Singleentry Matrix in Scalar Expressions

Assume A is n m and J is m n, then

Tr(AJij ) = Tr(Jij A) = (AT )ij

Assume A is n n, J is n m and B is m n, then

Tr(AJij B) = (AT BT )ij

Tr(AJji B) = (BA)ij
Tr(AJij Jij B) = diag(AT BT )ij
Assume A is n n, Jij is n m B is m n, then

xT AJij Bx = (AT xxT BT )ij

xT AJij Jij Bx = diag(AT xxT BT )ij

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8.3 Symmetric and Antisymmetric 8 SPECIAL MATRICES

8.2.6 Structure Matrices

The structure matrix is defined by
A
= Sij
Aij
If A has no special structure then
Sij = Jij
If A is symmetric then
Sij = Jij + Jji Jij Jij

8.3 Symmetric and Antisymmetric

8.3.1 Symmetric
The matrix A is said to be symmetric if
A = AT
Symmetric matrices have many important properties, e.g. that their eigenvalues
are real and eigenvalues orthogonal.

8.3.2 Antisymmetric
The antisymmetric matrix is also known as the skew symmetric matrix. It has
the following property from which it is defined
A = AT
Hereby, it can be seen that the antisymmetric matrices always have a zero
diagonal. The n n antisymmetric matrices also have the following properties.
det(AT ) = det(A) = (1)n det(A)
det(A) = det(A) = 0, if n is odd

8.4 Vandermonde Matrices

A Vandermonde matrix has the form [12]

1 v1 v12 v1n1
1 v2 v22 v2n1

V= . . .. .. . (59)
.. .. . .
1 vn vn2 vnn1
The transpose of V is also said to a Vandermonde matrix. The determinant is
given by [21] Y
det V = > j(vi vj ) (60)
i

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8.5 Toeplitz Matrices 8 SPECIAL MATRICES

8.5 Toeplitz Matrices

A Toeplitz matrix T is a matrix where the elements of each diagonal is the
same. In the n n square case, it has the following structure:

t11 t12 t1n t0 t1 tn1
.. ..
t21 . . . . . . . ..
.
..
. .
T= = t1 (61)
. .. .. . .. ..
.. . . t12 .. . . t1
tn1 t21 t11 t(n1) t1 t0

A Toeplitz matrix is persymmetric. If a matrix is persymmetric (or orthosym-

metric), it means that the matrix is symmetric about its northeast-southwest
diagonal (anti-diagonal) [9]. Persymmetric matrices is a larger class of matrices,
since a persymmetric matrix not necessarily has a Toeplitz structure. There are
some special cases of Toeplitz matrices. The symmetric Toeplitz matrix is given
by:
t0 t1 tn1
.. . ..

t1 . .. .

T= .. (62)
. . . .
. . . t1
t(n1) t1 t0
The circular Toeplitz matrix:

t0 t1 tn1
.. .. ..
tn . . .
TC =
..

(63)
.. ..
. . . t1
t1 tn1 t0

The upper triangular Toeplitz matrix:

t0 t1 tn1
..
0 ... ..
. .
TU = . .
,
(64)
.. .. ..
. t1
0 0 t0

and the lower triangular Toeplitz matrix:

t0 0 0
. .. .. ..
t1 . .
TL = ..

(65)
.. ..
. . . 0
t(n1) t1 t0

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8.6 The DFT Matrix 8 SPECIAL MATRICES

8.5.1 Properties of Toeplitz Matrices

The Toeplitz matrix has some computational advantages. The addition of two
Toeplitz matrices can be done with O(n) flops, multiplication of two Toeplitz
matrices can be done in O(n ln n) flops. Toeplitz equation systems can be solved
in O(n2 ) flops. The inverse of a positive definite Toeplitz matrix can be found
in O(n2 ) flops too. The inverse of a Toeplitz matrix is persymmetric. The
product of two lower triangular Toeplitz matrices is a Toeplitz matrix. More
information on Toeplitz matrices and circulant matrices can be found in [10, 7].

8.6 The DFT Matrix

The DFT matrix is an N N symmetric matrix WN , where the k, nth element
is given by
j2kn
WNkn = e N (66)
Thus the discrete Fourier transform (DFT) can be expressed as
N
X 1
X(k) = x(n)WNkn . (67)
n=0

Likewise the inverse discrete Fourier transform (IDFT) can be expressed as

N 1
1 X
x(n) = X(k)WNkn . (68)
N
k=0

The DFT of the vector x = [x(0), x(1), , x(N 1)]T can be written in matrix
form as
X = WN x, (69)
where X = [X(0), X(1), , x(N 1)]T . The IDFT is similarly given as
x = W1
N X. (70)
Some properties of WN exist:
1
W1 = W (71)
N
N N
WN WN = NI (72)
WN = WHN (73)
j2
If WN = e N , then [15]
m+N/2
WN = WNm (74)
Notice, the DFT matrix is a Vandermonde Matrix.
The following important relation between the circulant matrix and the dis-
crete Fourier transform (DFT) exists
TC = W1
N (I (WN t))WN , (75)
where t = [t0 , t1 , , tn1 ]T is the first row of TC .

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8.7 Positive Definite and Semi-definite Matrices 8 SPECIAL MATRICES

8.7 Positive Definite and Semi-definite Matrices

8.7.1 Definitions
A matrix A is positive definite if and only if

xT Ax > 0, x

A matrix A is positive semi-definite if and only if

xT Ax 0, x

Note that if A is positive definite, then A is also positive semi-definite.

8.7.2 Eigenvalues
The following holds with respect to the eigenvalues:

A pos. def. eig(A) > 0

A pos. semi-def. eig(A) 0

8.7.3 Trace
The following holds with respect to the trace:

A pos. def. Tr(A) > 0

A pos. semi-def. Tr(A) 0

8.7.4 Inverse
If A is positive definite, then A is invertible and A1 is also positive definite.

8.7.5 Diagonal
If A is positive definite, then Aii > 0, i

8.7.6 Decomposition I
The matrix A is positive semi-definite of rank r there exists a matrix B of
rank r such that A = BBT

The matrix A is positive definite there exists an invertible matrix B such

that A = BBT

8.7.7 Decomposition II
Assume A is an n n positive semi-definite, then there exists an n r matrix
B of rank r such that BT AB = I.

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8.8 Block matrices 8 SPECIAL MATRICES

8.7.8 Equation with zeros

Assume A is positive semi-definite, then XT AX = 0 AX = 0

8.7.9 Rank of product

Assume A is positive definite, then rank(BABT ) = rank(B)

8.7.10 Positive definite property

If A is n n positive definite and B is r n of rank r, then BABT is positive
definite.

8.7.11 Outer Product

If X is n r, where n r and rank(X) = n, then XXT is positive definite.

8.7.12 Small pertubations

If A is positive definite and B is symmetric, then A tB is positive definite for
sufficiently small t.

8.8 Block matrices

Let Aij denote the ijth block of A.

8.8.1 Multiplication
Assuming the dimensions of the blocks matches we have
    
A11 A12 B11 B12 A11 B11 + A12 B21 A11 B12 + A12 B22
=
A21 A22 B21 B22 A21 B11 + A22 B21 A21 B12 + A22 B22

8.8.2 The Determinant

The determinant can be expressed as by the use of

C1 = A11 A12 A1
22 A21
C2 = A22 A21 A1
11 A12

as  
A11 A12
det = det(A22 ) det(C1 ) = det(A11 ) det(C2 )
A21 A22

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8.8 Block matrices 8 SPECIAL MATRICES

8.8.3 The Inverse

The inverse can be expressed as by the use of

C1 = A11 A12 A1
22 A21
C2 = A22 A21 A1
11 A12

as  1  
A11 A12 C1
1 A1 1
11 A12 C2
=
A21 A22 C2 A21 A1
1
11 C21

 
A1 1 1 1
11 + A11 A12 C2 A21 A11 C1 1
1 A12 A22
=
A1 1
22 A21 C1 A1 1 1 1
22 + A22 A21 C1 A12 A22

8.8.4 Block diagonal

For block diagonal matrices we have
 1  
A11 0 (A11 )1 0
=
0 A22 0 (A22 )1
 
A11 0
det = det(A11 ) det(A22 )
0 A22

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 9 FUNCTIONS AND OPERATORS

9 Functions and Operators

9.1 Functions and Series
9.1.1 Finite Series

(Xn I)(X I)1 = I + X + X2 + ... + Xn1

9.1.2 Taylor Expansion of Scalar Function

Consider some scalar function f (x) which takes the vector x as an argument.
This we can Taylor expand around x0
1
f (x)
= f (x0 ) + g(x0 )T (x x0 ) + (x x0 )T H(x0 )(x x0 )
2
where
f (x)  2 f (x) 
g(x0 ) =  H(x0 ) = 
x x0 xxT x0

9.1.3 Matrix Functions by Infinite Series

As for analytical functions in one dimension, one can define a matrix function
for square matrices X by an infinite series

X
f (X) = cn Xn
n=0
P
assuming the limit exists and is finite. If the coefficients cn fulfils n cn xn < ,
then one can prove that the above series exists and is finite, see [1]. Thus for
any analytical function f (x) there exists a corresponding matrix function f (x)
constructed by the Taylor expansion. Using this one can prove the following
results:
1) A matrix A is a zero of its own characteristic polynomium [1]:
X
p() = det(I A) = cn n p(A) = 0
n

2) If A is square it holds that [1]

A = UBU1 f (A) = Uf (B)U1

3) A useful fact when using power series is that

An 0forn if |A| < 1

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9.2 Kronecker and Vec Operator 9 FUNCTIONS AND OPERATORS

9.1.4 Exponential Matrix Function

In analogy to the ordinary scalar exponential function, one can define exponen-
tial and logarithmic matrix functions:
X
A 1 n 1
e A = I + A + A2 + ...
n=0
n! 2
X
1 1
eA (1)n An = I A + A2 ...
n=0
n! 2
X
1 1
etA (tA)n = I + tA + t2 A2 + ...
n=0
n! 2
X
(1)n1 n 1 1
ln(I + A) A = A A2 + A3 ...
n=1
n 2 3

Some of the properties of the exponential function are [1]

eA eB = eA+B if AB = BA
(eA )1 = eA
d tA
e = AetA = etA A, tR
dt
d
Tr(etA ) = Tr(AetA )
dt
det(eA ) = eTr(A)

9.1.5 Trigonometric Functions

X
(1)n A2n+1 1 1
sin(A) = A A3 + A5 ...
n=0
(2n + 1)! 3! 5!
X
(1)n A2n 1 1
cos(A) = I A2 + A4 ...
n=0
(2n)! 2! 4!

9.2 Kronecker and Vec Operator

9.2.1 The Kronecker Product
The Kronecker product of an m n matrix A and an r q matrix B, is an
mr nq matrix, A B defined as

A11 B A12 B ... A1n B
A21 B A22 B ... A2n B

AB= .. ..
. .
Am1 B Am2 B ... Amn B

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9.3 Solutions to Systems of Equations 9 FUNCTIONS AND OPERATORS

The Kronecker product has the following properties (see [13])

A (B + C) = A B + A C
A B 6= B A
A (B C) = (A B) C
(A A B B) = A B (A B)
(A B)T = AT BT
(A B)(C D) = AC BD
(A B)1 = A1 B1
rank(A B) = rank(A)rank(B)
Tr(A B) = Tr(A)Tr(B)
det(A B) = det(A)rank(B) det(B)rank(A)

9.2.2 The Vec Operator

The vec-operator applied on a matrix A stacks the columns into a vector, i.e.
for a 2 2 matrix

  A11
A11 A12 A21
A= vec(A) = A12

A21 A22
A22

Properties of the vec-operator include (see [13])

vec(AXB) = (BT A)vec(X)

Tr(AT B) = vec(A)T vec(B)
vec(A + B) = vec(A) + vec(B)
vec(A) = vec(A)

9.3 Solutions to Systems of Equations

9.3.1 Existence in Linear Systems
Assume A is n m and consider the linear system

Ax = b

Construct the augmented matrix B = [A b] then

Condition Solution
rank(A) = rank(B) = m Unique solution x
rank(A) = rank(B) < m Many solutions x
rank(A) < rank(B) No solutions x

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9.3 Solutions to Systems of Equations 9 FUNCTIONS AND OPERATORS

9.3.2 Standard Square

Assume A is square and invertible, then

Ax = b x = A1 b

9.3.3 Degenerated Square

9.3.4 Over-determined Rectangular
Assume A to be n m, n > m (tall) and rank(A) = m, then

Ax = b x = (AT A)1 AT b = A+ b

that is if there exists a solution x at all! If there is no solution the following

can be useful:
Ax = b xmin = A+ b
Now xmin is the vector x which minimizes ||Ax b||2 , i.e. the vector which is
least wrong. The matrix A+ is the pseudo-inverse of A. See [3].

9.3.5 Under-determined Rectangular

Assume A is n m and n < m (broad).

Ax = b xmin = AT (AAT )1 b

The equation have many solutions x. But xmin is the solution which minimizes
||Ax b||2 and also the solution with the smallest norm ||x||2 . The same holds
for a matrix version: Assume A is n m, X is m n and B is n n, then

AX = B Xmin = A+ B

The equation have many solutions X. But Xmin is the solution which minimizes
||AX B||2 and also the solution with the smallest norm ||X||2 . See [3].
Similar but different: Assume A is square n n and the matrices B0 , B1
are n N , where N > n, then if B0 has maximal rank

AB0 = B1 Amin = B1 BT0 (B0 BT0 )1

where Amin denotes the matrix which is optimal in a least square sense. An
interpretation is that A is the linear approximation which maps the columns
vectors of B0 into the columns vectors of B1 .

9.3.6 Linear form and zeros

Ax = 0, x A=0

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9.4 Matrix Norms 9 FUNCTIONS AND OPERATORS

9.3.7 Square form and zeros

If A is symmetric, then

xT Ax = 0, x A=0

9.3.8 The Lyapunov Equation

AX + XB = C
vec(X) = (I A + BT I)1 vec(C)
See Sec 9.2.1 and 9.2.2 for details on the Kronecker product and the vec operator.

9.3.9 Encapsulating Sum

P
n An XBn
=C
P T
1
vec(X) = n Bn An vec(C)
See Sec 9.2.1 and 9.2.2 for details on the Kronecker product and the vec operator.

9.4 Matrix Norms

9.4.1 Definitions
A matrix norm is a mapping which fulfils

||A|| 0 ||A|| = 0 A = 0
||cA|| = |c|||A||, cR
||A + B|| ||A|| + ||B||

9.4.2 Examples

P
||A||1 = max
p j i |Aij |
||A||2 = max eig(AT A)
1/p
||A||p = (max||x||
P p =1 ||Ax||p )
||A|| = maxi j |Aij |
qP p
||A||F = 2 Tr(AAH )
ij |Aij | = (Frobenius)
||A||max = maxij |Aij |
||A||KF = ||sing(A)||1 (Ky Fan)
where sing(A) is the vector of singular values of the matrix A.

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9.5 Rank 9 FUNCTIONS AND OPERATORS

9.4.3 Inequalities
E. H. Rasmussen has in yet unpublished material derived and collected the
following inequalities. They are collected in a table as below, assuming A is an
m n, and d = min{m, n}
||A||max ||A||1 ||A|| ||A||2 ||A||F ||A||KF
||A||max 1 1 1 1 1
||A||1 m m m m m
||A|| n n n n n
||A||2 mn n m 1 1

||A||F mn n m d 1
||A||KF mnd nd md d d
which are to be read as, e.g.

||A||2 m ||A||

9.4.4 Condition Number

p
The 2-norm of A equals (max(eig(AT A))) [9, p.57]. For a symmetric, positive
definite matrix, this reduces to max(eig(A)) The condition number based on the
2-norm thus reduces to
max(eig(A))
kAk2 kA1 k2 = max(eig(A)) max(eig(A1 )) = . (76)
min(eig(A))

9.5 Rank
9.5.1 Sylvesters Inequality
If A is m n and B is n r, then

rank(A) + rank(B) n rank(AB) min{rank(A), rank(B)}

9.6 Integral Involving Dirac Delta Functions

Assuming A to be square, then
Z
1
p(s)(x As)ds = p(A1 x)
det(A)

Assuming A to be underdetermined, i.e. tall, then

Z ( )
1 T p(A+ x) if x = AA+ x
p(s)(x As)ds = det(A A)
0 elsewhere

See [8].

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9.7 Miscellaneous 9 FUNCTIONS AND OPERATORS

9.7 Miscellaneous
For any A it holds that

rank(A) = rank(AT ) = rank(AAT ) = rank(AT A)

It holds that

A is positive definite B invertible, such that A = BBT

9.7.1 Orthogonal matrix

If A is orthogonal, then det(A) = 1.

Petersen & Pedersen, The Matrix Cookbook, Version: February 16, 2006, Page 49
 A ONE-DIMENSIONAL RESULTS

A One-dimensional Results
A.1 Gaussian
A.1.1 Density

 
1 (x )2
p(x) = exp
2 2 2 2

A.1.2 Normalization
Z
(s)2
e 2 2 ds = 2 2
Z r  2 
2 b 4ac
e(ax +bx+c)
dx = exp
a 4a
Z r  2 
2 c 4c2 c0
e c2 x +c1 x+c0
dx = exp 1
c2 4c2

A.1.3 Derivatives

p(x) (x )
= p(x)
2
ln p(x) (x )
=
2
 
p(x) 1 (x )2
= p(x) 1
2
 
ln p(x) 1 (x )2
= 1
2

A.1.4 Completing the Squares

c2 x2 + c1 x + c0 = a(x b)2 + w
1 c1 1 c21
a = c2 b= w= + c0
2 c2 4 c2
or
1
c2 x2 + c1 x + c0 = (x )2 + d
2 2
c1 1 c21
= 2 = d = c0
2c2 2c2 4c2

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A.2 One Dimensional Mixture of Gaussians
A ONE-DIMENSIONAL RESULTS

A.1.5 Moments
If the density is expressed by
 
1 (s )2
p(x) = exp or p(x) = C exp(c2 x2 + c1 x)
2 2 2 2

then the first few basic moments are

c1
hxi = = 2c2  2
1 c1
hx2 i = 2 + 2 = 2c2 + h 2c2 i
c1 c21
hx3 i = 3 2 + 3 = (2c ) 2 3 2c2
 2 4  2    2
c1 c1 1 1
hx4 i = 4 + 62 2 + 3 4 = 2c2 + 6 2c2 2c2 +3 2c2

and the central moments are

h(x )i = 0 = 0h i
2 2 1
h(x ) i = = 2c2
h(x )3 i = 0 = 0
h i2
1
h(x )4 i = 3 4 = 3 2c2

A kind of pseudo-moments (un-normalized integrals) can easily be derived as

Z r  2 
c1
exp(c2 x2 + c1 x)xn dx = Zhxn i = exp hxn i
c2 4c2

From the un-centralized moments one can derive other entities like
1
hx2 i hxi2 = 2 = 2c2
2c1
hx3 i hx2 ihxi = 2 2 = (2c2 )2 h i
2 c2
hx4 i hx2 i2 = 2 4 + 42 2 = (2c2 )2 1 4 2c12

A.2 One Dimensional Mixture of Gaussians

A.2.1 Density and Normalization

K
X  
k 1 (s k )2
p(s) = p exp
2k2 2 k2
k

A.2.2 Moments
An useful fact of MoG, is that
X
hxn i = k hxn ik
k

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A.2 One Dimensional Mixture of Gaussians
A ONE-DIMENSIONAL RESULTS

where hik denotes average with respect to the k.th component. We can calculate
the first four moments from the densities
X  
1 1 (x k )2
p(x) = k p exp
2k2 2 k2
k
X  
p(x) = k Ck exp ck2 x2 + ck1 x
k
as

P P h i
ck1
hxi = k k k = k k
 2ck2  2 
P P 1 ck1
hx2 i = k k (k2 + 2k ) = k k 2ck2 + 2ck2
P P h h ii
ck1 c2k1
hx3 i = k k (3k2 k + 3k ) =
k k (2ck2 )2 3 2ck2
 2  2 
P P 1 c c2k1
hx4 i = k k (4k + 62k k2 + 3k4 ) =
k k 2ck2
k1
2ck2 6 2ck2 + 3

If all the gaussians are centered, i.e. k = 0 for all k, then

hxi = 0 = 0 h i
2
P 2
P 1
hx i = k k k = k k 2ck2
hx3 i = 0 = 0
P P h i2
4 4 1
hx i = k k 3k = k k 3 2ck2

From the un-centralized moments one can derive other entities like
P  2 
hx2 i hxi2 = 2
k,k0 k k0 k + k k k0 
P
hx3 i hx2 ihxi = 2 3 2 2
k,k0 k k0 3k k + k (k + k )k0 
P
hx4 i hx2 i2 = 4 2 2 4 2 2 2 2
k,k0 k k0 k + 6k k + 3k (k + k )(k0 + k0 )

A.2.3 Derivatives
P
Defining p(s) = k k Ns (k , k2 ) we get for a parameter j of the j.th compo-
nent
ln p(s) j Ns (j , j2 ) ln(j Ns (j , j2 ))
=P 2
j k k Ns (k , k ) j
that is,

ln p(s) j Ns (j , j2 ) 1
= P 2
j k k Ns (k , k ) j
ln p(s) j Ns (j , j2 ) (s j )
= P 2
j k k Ns (k , k ) j2
" #
ln p(s) j Ns (j , j2 ) 1 (s j )2
= P 2 1
j k k Ns (k , k ) j j2

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 B PROOFS AND DETAILS

Note thatP k must be constrained to be proper ratios. Defining the ratios by

j = erj / k erk , we obtain

ln p(s) X ln p(s) l l
= where = l (lj j )
rj l rj rj
l

B Proofs and Details

B.1 Misc Proofs
B.1.1 Proof of Equation 14
Essentially we need to calculate

(Xn )kl X
= Xk,u1 Xu1 ,u2 ...Xun1 ,l
Xij Xij u1 ,...,un1
= k,i u1 ,j Xu1 ,u2 ...Xun1 ,l
+Xk,u1 u1 ,i u2 ,j ...Xun1 ,l
..
.
+Xk,u1 Xu1 ,u2 ...un1 ,i l,j
n1
X
= (Xr )ki (Xn1r )jl
r=0
n1
X
= (Xr Jij Xn1r )kl
r=0

Using the properties of the single entry matrix found in Sec. 8.2.4, the result
follows easily.

B.1.2 Details on Eq. 78

det(XH AX) = det(XH AX)Tr[(XH AX)1 (XH AX)]

= det(XH AX)Tr[(XH AX)1 ((XH )AX + XH (AX))]
= det(XH AX) Tr[(XH AX)1 (XH )AX]


+Tr[(XH AX)1 XH (AX)]
= det(XH AX) Tr[AX(XH AX)1 (XH )]


+Tr[(XH AX)1 XH A(X)]

Petersen & Pedersen, The Matrix Cookbook, Version: February 16, 2006, Page 53
B.1 Misc Proofs B PROOFS AND DETAILS

First, the derivative is found with respect to the real part of X

det(XH AX)  Tr[AX(XH AX)1 (XH )]

= det(XH AX)
<X <X
Tr[(XH AX)1 XH A(X)] 
+
<X


= det(XH AX) AX(XH AX)1 + ((XH AX)1 XH A)T

Through the calculations, (16) and (47) were used. In addition, by use of (48),
the derivative is found with respect to the imaginary part of X

det(XH AX)  Tr[AX(XH AX)1 (XH )]

i = i det(XH AX)
=X =X
Tr[(X AX) X A(X)] 
H 1 H
+
=X


= det(XH AX) AX(XH AX)1 ((XH AX)1 XH A)T

Hence, derivative yields

det(XH AX) 1  det(XH AX) det(XH AX) 

= i
X 2 <X =X

T
= det(XH AX) (XH AX)1 XH A

and the complex conjugate derivative yields

det(XH AX) 1  det(XH AX) det(XH AX) 

= +i
X 2 <X =X
= det(XH AX)AX(XH AX)1

Notice, for real X, A, the sum of (56) and (57) is reduced to (13).
Similar calculations yield

det(XAXH ) 1  det(XAXH ) det(XAXH ) 

= i
X 2 <X =X

T
= det(XAXH ) AXH (XAXH )1 (77)

and

det(XAXH ) 1  det(XAXH ) det(XAXH ) 

= +i
X 2 <X =X
= det(XAXH )(XAXH )1 XA (78)

Petersen & Pedersen, The Matrix Cookbook, Version: February 16, 2006, Page 54
REFERENCES REFERENCES

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