Chain Rules for Hessian and Higher Derivatives Made Easy by Tensor Calculus

11/29/2019

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by   Maciej Skorski, et al.

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Computing multivariate derivatives of matrix-like expressions in the compact, coordinate free fashion is very important for both theory and applied computations (e.g. optimization and machine learning). The critical components of such computations are chain and product rules for derivatives. Although they are taught early in simple scenarios, practical applications involve high-dimensional arrays; in this context it is very hard to find easy accessible and compact explanation. This paper discusses how to relatively simply carry such derivations based on the (simplified as adapted in applied computer science) concept of tensors. Numerical examples in modern Python libraries are provided. This discussion simplifies and illustrates an earlier exposition by Manton (2012).