Hessian Matrix

函数\(f\)的Hessian矩阵由是由它的二阶偏导数组成的方阵

\[H = \begin{bmatrix} \dfrac{\partial^2 f}{\partial x_1^2} & \dfrac{\partial^2 f}{\partial x_1\,\partial x_2} & \cdots & \dfrac{\partial^2 f}{\partial x_1\,\partial x_n} \\[2.2ex] \dfrac{\partial^2 f}{\partial x_2\,\partial x_1} & \dfrac{\partial^2 f}{\partial x_2^2} & \cdots & \dfrac{\partial^2 f}{\partial x_2\,\partial x_n} \\[2.2ex] \vdots & \vdots & \ddots & \vdots \\[2.2ex] \dfrac{\partial^2 f}{\partial x_n\,\partial x_1} & \dfrac{\partial^2 f}{\partial x_n\,\partial x_2} & \cdots & \dfrac{\partial^2 f}{\partial x_n^2} \end{bmatrix}. \]

\[h_{ij} = \frac {\partial^2f}{\partial x_i \partial x_j} \]

当\(f\)为连续函数时, 高阶偏导数的值与偏导顺序无关. 所以Hessian Matrix是对称阵.