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Results tagged with cholesky-decomposition
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user 46837
6
votes
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answer
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Derivative of $x^T A^Ty$ with respect to $\Sigma$ where $A$ is (an upper triangle matrix and...
I would like to evaluate:
$$
\frac{
\partial x^T A^Ty}{\partial \Sigma}
$$
where $A$ is a Cholesky decomposition of $\Sigma$ and an upper triangle matrix such that $\Sigma = A^T A$, $x$ and $y$ are a …
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