泰勒展开与黑塞矩阵(Hessian Matrix)

tech2026-03-01  62

黑塞矩阵(Hessian Matrix),又译作海森矩阵、海瑟矩阵、海塞矩阵等,是一个多元函数的二阶偏导数构成的方阵,描述了函数的局部曲率。黑塞矩阵最早于19世纪由德国数学家Ludwig Otto Hesse提出,并以其名字命名。黑塞矩阵常用于牛顿法解决优化问题,利用黑塞矩阵可判定多元函数的极值问题。在工程实际问题的优化设计中,所列的目标函数往往很复杂,为了使问题简化,常常将目标函数在某点邻域展开成泰勒多项式来逼近原函数,此时函数在某点泰勒展开式的矩阵形式中会涉及到黑塞矩阵。 在工程实际问题的优化设计中,所列的目标函数往往很复杂,为了使问题简化,常常将目标函数在某点邻域展开成泰勒多项式来逼近原函数。

二元函数的黑塞矩阵

根据高等数学知识,若一元函数 f ( x ) f(x) f(x) 在 x = x ( 0 ) x=x^{(0)} x=x(0) 点某个领域内具有任意阶导数,则 f ( x ) f(x) f(x) 在 x ( 0 ) x^{(0)} x(0)处的泰勒展开式为 f ( x ) = f ( x ( 0 ) ) + f ′ ( x ( 0 ) ) Δ x + 1 2 f ′ ′ ( x ( 0 ) ) ( Δ x ) 2 + . . . f(x)=f(x^{(0)})+f^\prime(x^{(0)})\Delta x+\frac{1}{2}f^{\prime\prime}(x^{(0)})(\Delta x)^2+... f(x)=f(x(0))+f′(x(0))Δx+21​f′′(x(0))(Δx)2+... 其中 Δ x = x − x ( 0 ) , Δ x 2 = ( x − x ( 0 ) ) 2 \Delta x=x-x^{(0)}, \Delta x^2=(x-x^{(0)})^2 Δx=x−x(0),Δx2=(x−x(0))2 对于二元函数 f ( x 1 , x 2 ) f(x_1, x_2) f(x1​,x2​) 在 X ( 0 ) ( x 1 ( 0 ) , x 2 ( 0 ) ) X^{(0)}(x_1^{(0)}, x_2^{(0)}) X(0)(x1(0)​,x2(0)​) 点处的泰勒展开式为: f ( x 1 , x 2 ) = f ( x 1 ( 0 ) , x 2 ( 0 ) ) + ∂ f ∂ x 1 ∣ X ( 0 ) Δ x 1 + ∂ f ∂ x 2 ∣ X ( 0 ) Δ x 2 + 1 2 [ ∂ 2 f ∂ x 1 2 ∣ X ( 0 ) Δ x 1 2 + 2 ∂ 2 f ∂ x 1 ∂ x 2 ∣ X ( 0 ) Δ x 1 Δ x 2 + ∂ 2 f ∂ x 2 2 ∣ X ( 0 ) Δ x 2 2 ] + . . . f(x_1,x_2)=f(x_1^{(0)}, x_2^{(0)})+\frac{\partial f}{\partial x_1}\bigg |_{X^{(0)}}\Delta x_1+\frac{\partial f}{\partial x_2}\bigg |_{X^{(0)}} \Delta x_2+\frac{1}{2}[\frac{\partial^2 f}{\partial x_1^2}\bigg |_{X^{(0)}}\Delta x_1^2+2\frac{\partial^2 f}{\partial x_1\partial x_2}\bigg |_{X^{(0)}}\Delta x_1\Delta x_2+\frac{\partial^2 f}{\partial x_2^2}\bigg |_{X^{(0)}}\Delta x_2^2]+... f(x1​,x2​)=f(x1(0)​,x2(0)​)+∂x1​∂f​∣∣∣∣​X(0)​Δx1​+∂x2​∂f​∣∣∣∣​X(0)​Δx2​+21​[∂x12​∂2f​∣∣∣∣​X(0)​Δx12​+2∂x1​∂x2​∂2f​∣∣∣∣​X(0)​Δx1​Δx2​+∂x22​∂2f​∣∣∣∣​X(0)​Δx22​]+... 其中 Δ x 1 = x 1 − x 1 ( 0 ) , Δ x 2 = x 2 − x 2 ( 0 ) \Delta x_1=x_1-x_1^{(0)}, \Delta x_2=x_2-x_2^{(0)} Δx1​=x1​−x1(0)​,Δx2​=x2​−x2(0)​ 将上述展开式写成矩阵形式,则有: f ( X ) = f ( X ( 0 ) ) + ( ∂ f ∂ x 1 , ∂ f ∂ x 2 ) X ( 0 ) ( Δ x 1 Δ x 2 ) + 1 2 ( Δ x 1 , Δ x 2 ) ( ∂ 2 f ∂ x 1 2 ∂ 2 f ∂ x 1 ∂ x 2 ∂ 2 f ∂ x 2 ∂ x 1 ∂ 2 f ∂ x 2 2 ) ∣ X ( 0 ) ( Δ x 1 Δ x 2 ) + . . . f(X)=f(X^{(0)})+(\frac{\partial f}{\partial x_1}, \frac{\partial f}{\partial x_2})_{X_{(0)}}\dbinom{\Delta x_1}{\Delta x_2}+\frac{1}{2}(\Delta x_1, \Delta x_2)\begin{pmatrix}\frac{\partial^2 f}{\partial x_1^2}&\frac{\partial^2f}{\partial x_1\partial x_2}\\ \frac{\partial^2f}{\partial x_2\partial x_1}&\frac{\partial^2 f}{\partial x_2^2}\end{pmatrix}\bigg|_{X^{(0)}}\dbinom{\Delta x_1}{\Delta x_2}+... f(X)=f(X(0))+(∂x1​∂f​,∂x2​∂f​)X(0)​​(Δx2​Δx1​​)+21​(Δx1​,Δx2​)(∂x12​∂2f​∂x2​∂x1​∂2f​​∂x1​∂x2​∂2f​∂x22​∂2f​​)∣∣∣∣​X(0)​(Δx2​Δx1​​)+... 即: f ( X ) = f ( X ( 0 ) ) + Δ f ( X ( 0 ) ) T Δ X + 1 2 Δ X T G ( X ( 0 ) ) Δ X + . . . f(X)=f(X^{(0)})+\Delta f(X^{(0)})^T\Delta X+\frac{1}{2}\Delta X^TG(X^{(0)})\Delta X+... f(X)=f(X(0))+Δf(X(0))TΔX+21​ΔXTG(X(0))ΔX+... 其中 G ( X ( 0 ) ) = ( ∂ 2 f ∂ x 1 2 ∂ 2 f ∂ x 1 ∂ x 2 ∂ 2 f ∂ x 2 ∂ x 1 ∂ 2 f ∂ x 2 2 ) ∣ X ( 0 ) , Δ X = ( Δ x 1 Δ x 2 ) G(X^{(0)})=\begin{pmatrix}\frac{\partial^2 f}{\partial x_1^2}&\frac{\partial^2f}{\partial x_1\partial x_2}\\ \frac{\partial^2f}{\partial x_2\partial x_1}&\frac{\partial^2 f}{\partial x_2^2}\end{pmatrix}\bigg|_{X^{(0)}}, \Delta X=\dbinom{\Delta x_1}{\Delta x_2} G(X(0))=(∂x12​∂2f​∂x2​∂x1​∂2f​​∂x1​∂x2​∂2f​∂x22​∂2f​​)∣∣∣∣​X(0)​,ΔX=(Δx2​Δx1​​) G ( X ( 0 ) ) G(X^{(0)}) G(X(0)) 是 f ( x 1 , x 2 ) f(x_1,x_2) f(x1​,x2​) 在 X ( 0 ) X^{(0)} X(0) 处的黑塞矩阵。它是由函数 f ( ( x 1 , x 2 ) f((x_1,x_2) f((x1​,x2​) 在 X ( 0 ) X^{(0)} X(0) 处的二阶偏导数所组成的方阵

多元函数的黑塞矩阵 将二元函数的泰勒展开式推广到多元函数,则 f ( x 1 , x 2 , . . . , x n ) f(x_1, x_2, ..., x_n) f(x1​,x2​,...,xn​) 在 X ( 0 ) X^{(0)} X(0) 点处的泰勒展开式的矩阵形式为: f ( X ) = f ( X ( 0 ) ) + Δ f ( X ( 0 ) ) T Δ X + 1 2 Δ X T G ( X ( 0 ) ) Δ X + . . . f(X)=f(X^{(0)})+\Delta f(X^{(0)})^T\Delta X+\frac{1}{2}\Delta X^TG(X^{(0)})\Delta X+... f(X)=f(X(0))+Δf(X(0))TΔX+21​ΔXTG(X(0))ΔX+... 其中: (1) Δ f ( X 0 ) ) = [ ∂ f ∂ x 1 , ∂ f ∂ x 2 , . . . , ∂ f ∂ x n ] ∣ X ( 0 ) T \Delta f(X^{0)})=[\frac{\partial f}{\partial x_1}, \frac{\partial f}{\partial x_2}, ..., \frac{\partial f}{\partial x_n}]\bigg|_{X^{(0)}}^T Δf(X0))=[∂x1​∂f​,∂x2​∂f​,...,∂xn​∂f​]∣∣∣∣​X(0)T​,他是 f ( x ) f(x) f(x) 在 X ( 0 ) X^{(0)} X(0) 点处的梯度 (2) G ( X ( 0 ) ) = ( ∂ 2 f ∂ x 1 2 ∂ 2 f ∂ x 1 ∂ x 2 . . . ∂ 2 f ∂ x 1 ∂ x n ∂ 2 f ∂ x 2 ∂ x 1 ∂ 2 f ∂ x 2 2 . . . ∂ 2 f ∂ x 2 ∂ x n ⋮ ⋮ ⋱ ⋮ ∂ 2 f ∂ x n ∂ x 1 ∂ 2 f ∂ x n ∂ x 2 . . . ∂ 2 f ∂ x n 2 ) X ( 0 ) G(X^{(0)})=\begin{pmatrix}\frac{\partial^2 f}{\partial x_1^2}&\frac{\partial^2 f}{\partial x_1\partial x_2}&...&\frac{\partial^2 f}{\partial x_1\partial x_n}\\\frac{\partial^2 f}{\partial x_2\partial x_1}&\frac{\partial^2 f}{\partial x_2^2}&...&\frac{\partial^2 f}{\partial x_2\partial x_n}\\\vdots&\vdots&\ddots&\vdots\\\frac{\partial^2 f}{\partial x_n\partial x_1}&\frac{\partial^2 f}{\partial x_n\partial x_2}&...&\frac{\partial^2 f}{\partial x_n^2}\\\end{pmatrix}_{X^{(0)}} G(X(0))=⎝⎜⎜⎜⎜⎜⎛​∂x12​∂2f​∂x2​∂x1​∂2f​⋮∂xn​∂x1​∂2f​​∂x1​∂x2​∂2f​∂x22​∂2f​⋮∂xn​∂x2​∂2f​​......⋱...​∂x1​∂xn​∂2f​∂x2​∂xn​∂2f​⋮∂xn2​∂2f​​⎠⎟⎟⎟⎟⎟⎞​X(0)​ 为函数 f ( X ) f(X) f(X) 在 X ( 0 ) X^{(0)} X(0) 点处的黑塞矩阵。 黑塞矩阵是由目标函数 f f f 在点X处的二阶偏导数组成的 n × n n×n n×n 阶对称矩阵。

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