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Friday, April 24, 2015

Relationship between vec operator, Schur, Kronecker and Khatri-Rao product

Define vec(A) as the operation of stacking the columns of matrix A into a vector, AB the Kronecker product, AB the Schur (Hadamard) product and finally AB Bhatri-Rao product is defined as the column wise Kronecker product.

Here are some useful properties:
(AB)T=ATBT
Adiag(xy)BT=Adiag(x)diag(y)BT
(CD)(AB)=CADB
vec(AXBT)=(BA)vec(X)
vec(Adiag(x)BT)=(AB)x
(ABxT)y=(AB)(xy)

Where A,B,C,D,X are matrices and x,y are vectors of compatible dimensions.