TITLE: Derivatives of a the Matrix diagonal function
QUESTION [5 upvotes]: If A is a not diagonal but symetric matrix and diag() is a function such that returns the diagonal, i.e. diag(A) is a matrix of zeros except on the diagonal. Im interested in the derivative of vec(diag(A)) with respect to x where A is a function of the vector x. So, how do I do This in the best way?
Thanks in advance!

REPLY [6 votes]: The derivative of the $(i,i)$ entry of $\text{diag}(A)$ is the same as the derivative of the $(i,i)$ entry of $A$.  The derivative of the $(i,j)$ entry of $\text{diag}(A)$ for $i \ne j$ is $0$.