Wednesday, September 13, 2006

Matrix wizardry

While we're on the topic of books,
vec(AXB) = (BT ⊗ A) vec(X)
This identity is your best friend if you're doing any kind of matrix calculus. To know more about it, and all you might ever want to know about Kronecker products, the vec() operator, and matrix calculus, check out The Matrix Cookbook, a 50+ page reference guide for all things matrix and calculus.

p.s the reason the identity is so handy is that it allows you to get the variable matrix X out from in between A and B.


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