0
$\begingroup$

Consider the matrix $\mathbf{B}\in\mathbb{R}^{2\times 2}$ and vector $\vec{b}\in\mathbb{R}^2$ given by $$ \mathbf{B} = \left(\begin{array}{c c}8 & \alpha \\ \alpha & 2\end{array}\right),\quad\vec{b} = \left(\begin{array}{c}6 \\ \beta \end{array}\right), $$ and hence define $$ f(x) = x^\intercal \mathbf{B} x + b\cdot x,\quad x\in\mathbb{R}^2, $$ I'm trying to evaluate the Hessian of this matrix without explicitly calculating the second order partial derivatives of $f$. To this end, we note that the Jacobian matrix of $f$, $f'$, is given by $$ f'(x) = 2x^\intercal \mathbf{B} + \vec{b}^\intercal,\quad x\in\mathbb{R}^2. $$ I was simply wondering whether or not, from here, to determine the Hessian matrix of $f$, $f''$, we can simply differentiate symbolically again to obtain $$ f''(x) = 2\mathbf{B},\quad x\in\mathbb{R}^2. $$ I've double-checked by explicitly calculating the second-order partial derivatives of $f$, and it seems the Hessian of $f$ is indeed $2\mathbf{B}$, although I was also wondering whether or not the above approach is valid in general? Thanks in advance.

$\endgroup$
2
  • $\begingroup$ As noted in the answer by @Golden_Ratio, this is correct since $ \mathbf B $ is symmetric. Conversely, if $ \mathbf B $ were not symmetric, then even $ f ' ( x ) $ would have to be $ x ^ \intercal \mathbf B + x ^ \intercal \mathbf B ^ \intercal + \vec b ^ \intercal $. This may make it more obvious why the second derivative is $ \mathbf B + \mathbf B ^ \intercal $ in general. $\endgroup$ Commented Apr 4, 2023 at 16:26
  • 1
    $\begingroup$ Please note that it is far more common to write the first derivative as a vector, i.e., $f'(x) = 2B x + b.$ That is why below people write $\partial^2 f/ \partial x \partial x^\intercal := \partial/ \partial x (\partial f / \partial x^\intercal)$ and $\partial f / \partial x^\intercal := (\partial f / \partial x)^\intercal.$ (Here I've used $:=$ to mean "is defined as.") $\endgroup$ Commented Apr 4, 2023 at 16:40

1 Answer 1

1
$\begingroup$

In general, for constant matrix $B$, you have

$${\partial^2 \over \partial x\partial x'}x'Bx =B+B'.$$

Of course, if $B$ is symmetric as in your example, then this simplifies to $2B$.

$\endgroup$

You must log in to answer this question.

Start asking to get answers

Find the answer to your question by asking.

Ask question

Explore related questions

See similar questions with these tags.