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Question:

Let $A_{n\times n}$ be the vector space of all real $n\times n$ matrices. If I define a map $g:A_{n\times n}\rightarrow A_{n\times n}$ such that: $g\left ( X \right )=X^{2}$

In this case, what is the derivative of $g$?

I am thinking whether the formula: g'\left ( X \right )=2XX{'} works. But I have no idea how the derivative of a matrix is defined. please help?

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    You are talking about matrix calculus. see http://en.wikipedia.org/wiki/Matrix_calculus. For g(X), $(X^2)'=(XX)'=X'X+XX'\ne 2XX'$ in general.2012-03-02

2 Answers 2

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If we consider $g$ as a function from $\mathbb{R}^{n^2}\to \mathbb{R}^{n^2}$, then its derivative makes sense and the procedure to find the derivative goes in the usual way.

So, find $g(X+H)-g(X)$ and recognize the linear term and the remainder term which when divided by $\|H\|$ goes to $\bf{0}$ as $H\to \bf{0}$.

You would see that for any matrix $X\in A_{n\times n}$, we have g'(X)H=XH+HX.

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Again, I can only write here, since I don't have enough points.

As Ashok said, you may consider your product as a product from $\mathbb R^{n^2}$ to itself, or your matrices maybe can be made to be elements of a Frechet space, whereby we can define the Gateaux or Frechet derivatives as the linear maps that best describe the change of the function, i.e., the derivative would then be a linear map L , so that:

$\lim_{||h||->0}\frac{||f(x+h)-f(x)-L(x,h)||_2}{||h||_1}=0$

is the derivative.