A simple library for calculating matrix derivatives.
from matrix_calculus import *
from matrix_calculus.matrix_massage import massage2canonical
A = Variable("A")
B = Variable("B")
X = Variable("X")
expr = Tr(A*X*B)
wrt = X
dX = d(expr,wrt,hessian=hessian)
print dX # Raw form
dX = massage2canonical(dX)
print dX # Canonical form
The canonical form can consequently be directly used with an optimization method such as L-BFGS.
See also test.py.
Based on Minka, Thomas P. "Old and new matrix algebra useful for statistics." See www. stat. cmu. edu/minka/papers/matrix. html (2000).
MIT License.