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If we have a paralyzed loss function of the form of: \begin{align} L(\beta)& =\frac{1}{2}(y-X\beta)^T(y-X\beta)+ \lambda \beta^T f(\beta) \end{align} where $X_{n\times m}$ and $\beta_{m \times 1}$ and $f$ is considered as a column vector. Then what is the derivative of this function with respect to $\beta$. Note that it is derivative with respect to a vector. \begin{align} \frac{\partial L(\beta)}{\partial \beta}& =\frac{\partial}{\partial \beta}\bigg(\frac{1}{2}(y-X\beta)^T(y-X\beta)+ \lambda \beta^T f(\beta)\bigg) \end{align}

Sorry for the silly question. I just confused myself.

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Reference

From (84):

$$ \begin{align} \frac{\partial}{\partial \beta}\bigg((y-X\beta)^T(y-X\beta)\bigg) & = -2 X^T(y-X\beta) \end{align} $$

And using (93):

$$ \begin{align} \frac{\partial}{\partial \beta}\bigg(\lambda\beta^Tf(\beta)\bigg) &= \lambda \bigg( {\bigg[ \frac{\partial \beta}{\partial \beta} \bigg]}^Tf(\beta) + \bigg[ \frac{\partial f(\beta)}{\partial \beta}\bigg]_{m\times m}^T\beta\bigg) \\ &= \lambda\bigg(I_{m \times m}f(\beta)+\bigg[ \frac{\partial f(\beta)}{\partial \beta}\bigg]_{m\times m}^T\beta_{m \times 1}\bigg) \end{align} $$

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  • $\begingroup$ This was what I guessed before but the problem is that the first part (in your answer) is a $m\times 1$ vector and the second part is summation of a $m \times 1 $ and $1\times 1$ that is strange! $\endgroup$ – TPArrow Jun 28 '15 at 22:37
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    $\begingroup$ Edited. I was using column differentiation for the second part. Note that differentiation of a vector wrt vector is a matrix. $\endgroup$ – rightskewed Jun 28 '15 at 23:11

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