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Nov 15th, 2019
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  1. # Your solution is here
  2. ## Problem 1
  3. $$
  4. \frac{1}{2} ||X - UV||^2_F =
  5. \frac{1}{2} \langle X - UV, X - UV \rangle =
  6. \frac{1}{2} (\langle X, X \rangle - 2 \langle X, UV \rangle + \langle UV, UV \rangle)
  7. $$
  8. ### U derivative
  9. $$
  10. d F(U, V) =
  11. \frac{1}{2} (2 \langle d(UV), UV) \rangle - 2 \langle d(UV), X \rangle =
  12. \langle UV, dU V \rangle - \langle X, dU V \rangle =
  13. \langle UVV^* - XV^*, dU \rangle
  14. $$
  15. Then, $grad F(U, V)$ w.r.t. U equals $(UV - X)V^*$
  16. ### V derivative
  17. Accordingly, we get gradient w.r.t. V: $grad F(U, V) = U^*(UV - X)$
  18. ### Complexity
  19. We multiply $n \times k$ matrix with $k \times n$, what gives us $O(n^2 k)$ complexity. Then we have a sum of 2 matrices, which has $O(n^2)$ complexity and finally we have muliplication with complexity $O(n^2 k)$. Summing up results, we have complexity of $O(n^2 k + n^2 + n^2k) = O(n^2 k)$
  20. ## Problem 2
  21. $$
  22. d R(x) =
  23. \frac{\langle x, x \rangle d\langle Ax, x \rangle - \langle Ax, x \rangle d \langle x, x \rangle}{\langle x, x \rangle^2} =
  24. \frac{\langle x, x \rangle \langle (A + A^T) x, dx \rangle - \langle Ax, x \rangle \langle x, dx \rangle}{\langle x, x \rangle^2} =
  25. \frac{\langle \langle x, x \rangle (A + A^T)x - \langle Ax, x \rangle x\rangle, dx}{\langle x, x \rangle^2}
  26. $$
  27. ## Problem 3
  28. Let's denote $\sum_{i = 1}^{m} w_i x_i x_i^T$ as $S$.
  29. Then we have:
  30. $$
  31. d f(w) = \frac{\det S * \langle S^{-T}, dS \rangle}{\det S} =
  32. \langle S^{-T}, dS \rangle
  33. $$
  34. Let's find derivative of $S$ w.r.t. $w_i$:
  35. $$
  36. \frac{\partial S}{\partial w_i} = x_i x_i^T
  37. $$
  38. Then we can derive a coordinate of the gradient we are looking for:
  39. $$
  40. \frac{\partial f(w)}{\partial w_i} = \langle \left( \sum_{i = 1}^{m} w_i x_i x_i^T \right)^{-T}, x_i x_i^T \rangle
  41. $$
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