A Taylor expansion of the square root matrix function
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Publication:1635587
Abstract: This short note provides an explicit description of the Fr'echet derivatives of the principal square root matrix functional at any order. We present an original formulation that allows to compute sequentially the Fr'echet derivatives of the matrix square root at any order starting from the first order derivative. A Taylor expansion at any order with an integral remainder term is also provided, yielding the first result of this type for this class of matrix functional.
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Cited in
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- A perturbation analysis of stochastic matrix Riccati diffusions
- A general Monte Carlo method for multivariate goodness-of-fit testing applied to elliptical families
- A note on Riccati matrix difference equations
- Integral transform methods in goodness-of-fit testing. II: The Wishart distributions
- Exponential Convergence of Sum-of-Squares Hierarchies for Trigonometric Polynomials
- Derivatives of symplectic eigenvalues and a Lidskii type theorem
- Phase diagram of stochastic gradient descent in high-dimensional two-layer neural networks
- Finding global minima via kernel approximations
- Large deviations for interacting multiscale particle systems
- MSE bounds for estimators of matrix functions
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