Calculus and Matrix Theory Help

Matrix calculus is a specialized notation for doing multivariable calculus, especially over spaces of matrices, where it defines the matrix derivative. This notation was to describe systems of differential equations and taking derivatives of matrix-valued functions with respect to matrix variables. Matrix calculus is used for deriving optimal stochastic estimators, often involving the use of Lagrange multipliers. This includes the derivation of:
* Kalman filter
* Wiener filter
* Expectation-maximization algorithm for Gaussian mixture

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