Matrix Minimization

*To*: mathgroup at smc.vnet.net*Subject*: [mg99748] Matrix Minimization*From*: "math.mud.mad at gmail.com" <math.mud.mad at gmail.com>*Date*: Wed, 13 May 2009 05:07:01 -0400 (EDT)

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..