# Gradient of MSE with two sets of parameters

I repropose a question I have had no answer on

I am trying to calculate $$∇_wMSE=0$$ and $$∇_mMSE=0$$ with '$$w$$' and '$$m$$' being matrices of unknown parameters and $$MSE=(X⋅m⋅w−Y)^2$$ ($$X$$ and $$Y$$ are matrices of known values).

If I simply had one set of parameters, i.e., $$∇_wMSE=0→∇_m(X⋅m−Y)^2=0$$, the solution would be $$m=(X^T⋅X)−1⋅X^T⋅Y$$

With the two sets of parameters: $$∇_wMSE=0→∇_w(X⋅m⋅w−Y)^2=0$$

$$→w=(m^T⋅X^T⋅X⋅m)−1⋅m^T⋅X^T⋅y$$

How to solve this last equation? I could apply the chain rule, multiplying by $$∇_mX⋅m$$, but I am not sure how to then multiply the equation by this result.

• It would be easier to follow your post if you used math formatting: math.meta.stackexchange.com/questions/5020/…
– Sycorax
Jun 14, 2020 at 15:22
• You can not solve this as a linear equation (stats.stackexchange.com/questions/470818/…) and instead you need to find the minimum with some gradient method, starting with some m and w and improve the solution in small steps. Jun 14, 2020 at 15:44
• You may have a problem that there'll be multiple solutions. If some m and w minimize the MSE then m/k and w*k give the same MSE and also minimize the MSE Jun 14, 2020 at 15:49