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Matrix Minimization


Hi ,

i would like to minimize the following matrix  M with respect to A.

M=  E_X + A E_S A' + A E_P A'        E_X H' +A E_S H'
       H E_X + H E_S A'                 H E_X H' + H E_S H' + E_Q

where E_X, E_S, E_P and E_Q are covariance matrices..

can we do matrix optimization in mathematica?

thanks a lot..


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