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Re: Matrix Minimization

  • To: mathgroup at
  • Subject: [mg99826] Re: Matrix Minimization
  • From: dh <dh at>
  • Date: Fri, 15 May 2009 04:21:33 -0400 (EDT)
  • References: <gue2j0$7kd$> <gugaqf$egm$> <gugcb9$fjk$>


if you want to minimize log det (M) you define a function of the 

parameters that returns log det (M). Subsequently you minimize this 

function using e.g. Minimize, NMinimize, FindMinimum..


math.mud.mad wrote:

> On May 14, 2:39 pm, dh <d... at> wrote:

>> Hi,


>> you may minimize a real scalar but not a matrix. However, what you can


>> do is to minimize some measure like a Norm of the matrix.


>> Towards this aim, you will have to calculate e.g. Norm[] and then


>> minimize it.


>> Daniel


>> math.mud.... at wrote:

>>> 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..


> Hi Daniel,


> sorry for my mistake. i want to optimize log det (M) with respect to

> A. can i use mathematica for that?


> regards,


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