Complex Hessian Matrices for Scalar, Vector, and Matrix Functions
Are Hjørungnes · Cambridge University Press eBooks · 2011
Introduction This chapter provides the tools for finding Hessians (i.e., second-order derivatives) in a systematic way when the input variables are complex-valued matrices. The proposed theory is useful when solving numerous problems that involve optimization when the unknown parameter is a complex-valued matrix. In an effort to build adaptive optimization algorithms, it is important to find out if a certain value of the complex-valued parameter matrix at a stationary point is a maximum, minimum, or saddle point; the Hessian can then be utilized very efficiently. The complex Hessian might also be used to accelerate the convergence of iterative optimization algorithms, to study the stability of iterative algorithms, and to study convexity and concavity of an objective function. The methods presented in this chapter are general, such that many results can be derived using the introduced framework. Complex Hessians are derived for some useful examples taken from signal processing and communications. The problem of finding Hessians has been treated for real-valued matrix variables in Magnus and Neudecker (1988, Chapter 10). For complex-valued vector variables, the Hessian matrix is treated for scalar functions in Brookes (July 2009) and Kreutz-Delgado (2009, June 25th). Both gradients and Hessians for scalar functions that depend on complex-valued vectors are studied in van den Bos (1994 a ). The Hessian of real-valued functions depending on real-valued matrix variables is used in Payaró and Palomar (2009) to enhance the connection between information theory and estimation theory.