Hessian matrix
Let and let be a real-valued function having 2nd-order partial derivatives in an open set containing . The Hessian matrix of is the matrix of second partial derivatives evaluated at :
(1) |
If is in , is symmetric (http://planetmath.org/SymmetricMatrix) because of the equality of mixed partials. Note that , the Jacobian of the gradient of .
Given a vector , the Hessian of at is:
(2) |
Here we view as a by matrix so that is the transpose of .
Remark. The Hessian of at is a quadratic form, since for any .
If is further assumed to be in , and is a critical point of such that is positive definite (http://planetmath.org/PositiveDefinite), then is a strict local minimum of .
This is not difficult to show. Since is positive definite (http://planetmath.org/PositiveDefinite), the Rayleigh-Ritz theorem shows that there is a such that for all , . Thus by Taylor’s theorem (http://planetmath.org/TaylorPolynomialsInBanachSpaces) ( form)
For small the first on the the second, so that both sides are positive for small .
Title | Hessian matrix |
Canonical name | HessianMatrix |
Date of creation | 2013-03-22 12:59:41 |
Last modified on | 2013-03-22 12:59:41 |
Owner | cvalente (11260) |
Last modified by | cvalente (11260) |
Numerical id | 31 |
Author | cvalente (11260) |
Entry type | Definition |
Classification | msc 26B12 |
Related topic | Gradient |
Related topic | PartialDerivative |
Related topic | SymmetricMatrix |
Related topic | ComplexHessianMatrix |
Related topic | HessianForm |
Related topic | DirectionalDerivative |
Defines | Hessian |