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【機器學習筆記05】Jacobian矩陣&Hessian矩陣

Jacobian矩陣

Jacobian矩陣是函式對向量求導,其結果是一階偏導陣列成的矩陣。假設:F:RnRmF:R_n \to R_m也就是一個n維歐式空間向m維歐式空間的一個對映。

舉例:

  1. 由球座標系轉換到直角座標系,存在對映形式化表示如下:

R×[0,π]×[0,2π]R3R \times [0, \pi] \times [0, 2\pi] \to R^3

原始座標: x1=rcosθsinϕx_1 = rcos\theta sin\phi x2=rsinθcosϕx_2 = rsin\theta cos\phi

2=rsinθcosϕ x3=rcosϕx_3 = rcos\phi 其Jacobian矩陣轉換後如下: JF(r,θ,ϕ)=[x1rx1θx1ϕx2rx2θx2ϕx3rx3θx3ϕ]=[cosθsinϕrsinθsinϕrcosθcosϕsinθcosϕrcosθcosϕrsinθsinϕcosϕ0rsinϕ] J_F(r, \theta, \phi)=\begin{bmatrix} \dfrac{\partial x_1}{\partial r} & \dfrac{\partial x_1}{\partial \theta} & \dfrac{\partial x_1}{\partial \phi} \\ \dfrac{\partial x_2}{\partial r} & \dfrac{\partial x_2}{\partial \theta} & \dfrac{\partial x_2}{\partial \phi} \\ \dfrac{\partial x_3}{\partial r} & \dfrac{\partial x_3}{\partial \theta} & \dfrac{\partial x_3}{\partial \phi} \\ \end{bmatrix}=\begin{bmatrix} cos\theta sin\phi & -rsin\theta sin\phi & rcos\theta cos\phi \\ sin\theta cos\phi & rcos\theta cos\phi & -rsin\theta sin\phi \\ cos\phi& 0 & -rsin\phi \\ \end{bmatrix}
2. 存在R4R^4的函式如下(Jacobian矩陣不一定是方陣): y1=x1y_1 = x_1 y2=5x3y_2 = 5x_3 y3=4x222x3y_3 = 4x_2^2-2x_3 y4=x3
sinx1y_4 = x_3sinx_1

JF(x1,x2,x3)=[y1x1y1x2y1x3y2x1y2x2y2x3y3x1y3x2y3x3y4x1y4x2y4x3][1000050bx22x3cosx10sinx1] J_F(x_1, x_2, x_3)=\begin{bmatrix} \dfrac{\partial y_1}{\partial x_1} & \dfrac{\partial y_1}{\partial x_2} & \dfrac{\partial y_1}{\partial x_3}\\ \dfrac{\partial y_2}{\partial x_1} & \dfrac{\partial y_2}{\partial x_2} & \dfrac{\partial y_2}{\partial x_3}\\ \dfrac{\partial y_3}{\partial x_1} & \dfrac{\partial y_3}{\partial x_2} & \dfrac{\partial y_3}{\partial x_3}\\ \dfrac{\partial y_4}{\partial x_1} & \dfrac{\partial y_4}{\partial x_2} & \dfrac{\partial y_4}{\partial x_3} \end{bmatrix}\begin{bmatrix} 1 & 0 & 0 \\ 0 & 0 & 5 \\ 0 & bx_2 & -2 \\ x_3cosx_1 & 0 & sinx_1 \end{bmatrix}